@quantform/core 0.3.229 → 0.3.233

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.
Files changed (245) hide show
  1. package/dist/adapter/adapter-aggregate.d.ts +1 -1
  2. package/dist/adapter/adapter-aggregate.js +5 -5
  3. package/dist/adapter/adapter-aggregate.js.map +1 -1
  4. package/dist/adapter/adapter.d.ts +4 -4
  5. package/dist/adapter/adapter.event.d.ts +1 -1
  6. package/dist/adapter/adapter.event.js +1 -1
  7. package/dist/adapter/adapter.js +3 -3
  8. package/dist/adapter/adapter.js.map +1 -1
  9. package/dist/adapter/backtester/backtester-adapter.d.ts +2 -2
  10. package/dist/adapter/backtester/backtester-adapter.js +3 -3
  11. package/dist/adapter/backtester/backtester-adapter.js.map +1 -1
  12. package/dist/adapter/backtester/backtester-cursor.d.ts +1 -1
  13. package/dist/adapter/backtester/backtester-streamer.d.ts +1 -1
  14. package/dist/adapter/backtester/backtester-streamer.spec.js +1 -1
  15. package/dist/adapter/backtester/backtester-streamer.spec.js.map +1 -1
  16. package/dist/adapter/paper/{model/paper-model.d.ts → executor/paper-executor.d.ts} +1 -1
  17. package/dist/adapter/paper/{model/paper-model.js → executor/paper-executor.js} +4 -4
  18. package/dist/adapter/paper/executor/paper-executor.js.map +1 -0
  19. package/dist/adapter/paper/{model/paper-margin-model.d.ts → executor/paper-margin-executor.d.ts} +2 -2
  20. package/dist/adapter/paper/{model/paper-margin-model.js → executor/paper-margin-executor.js} +11 -11
  21. package/dist/adapter/paper/executor/paper-margin-executor.js.map +1 -0
  22. package/dist/adapter/paper/{model/paper-spot-model.d.ts → executor/paper-spot-executor.d.ts} +3 -3
  23. package/dist/adapter/paper/{model/paper-spot-model.js → executor/paper-spot-executor.js} +7 -7
  24. package/dist/adapter/paper/executor/paper-spot-executor.js.map +1 -0
  25. package/dist/adapter/paper/index.d.ts +2 -2
  26. package/dist/adapter/paper/index.js +2 -2
  27. package/dist/adapter/paper/index.js.map +1 -1
  28. package/dist/adapter/paper/paper-adapter.d.ts +3 -3
  29. package/dist/adapter/paper/paper-adapter.js +6 -6
  30. package/dist/adapter/paper/paper-adapter.js.map +1 -1
  31. package/dist/adapter/paper/paper-adapter.spec.js +2 -2
  32. package/dist/adapter/paper/paper-adapter.spec.js.map +1 -1
  33. package/dist/bin.d.ts +0 -33
  34. package/dist/bin.js +1 -189
  35. package/dist/bin.js.map +1 -1
  36. package/dist/domain/asset.js +1 -1
  37. package/dist/domain/balance.d.ts +1 -1
  38. package/dist/domain/balance.js +1 -3
  39. package/dist/domain/balance.js.map +1 -1
  40. package/dist/domain/candle-builder.d.ts +1 -1
  41. package/dist/domain/candle.d.ts +1 -1
  42. package/dist/domain/candle.spec.js +2 -2
  43. package/dist/domain/{commision.d.ts → commission.d.ts} +2 -2
  44. package/dist/domain/{commision.js → commission.js} +7 -7
  45. package/dist/domain/commission.js.map +1 -0
  46. package/dist/domain/component.d.ts +1 -1
  47. package/dist/domain/index.d.ts +1 -1
  48. package/dist/domain/index.js +1 -1
  49. package/dist/domain/index.js.map +1 -1
  50. package/dist/domain/instrument.d.ts +3 -3
  51. package/dist/domain/instrument.js.map +1 -1
  52. package/dist/domain/order.d.ts +1 -1
  53. package/dist/domain/orderbook.d.ts +2 -1
  54. package/dist/domain/orderbook.js.map +1 -1
  55. package/dist/domain/position.d.ts +1 -1
  56. package/dist/domain/position.js +3 -3
  57. package/dist/domain/trade.d.ts +1 -1
  58. package/dist/domain/trade.js.map +1 -1
  59. package/dist/index.d.ts +2 -2
  60. package/dist/index.js +2 -2
  61. package/dist/index.js.map +1 -1
  62. package/dist/indicator/truerange.spec.js +6 -6
  63. package/dist/ipc.d.ts +34 -0
  64. package/dist/ipc.js +193 -0
  65. package/dist/ipc.js.map +1 -0
  66. package/dist/session/index.d.ts +1 -0
  67. package/dist/session/index.js +1 -0
  68. package/dist/session/index.js.map +1 -1
  69. package/dist/session/session-descriptor.d.ts +2 -3
  70. package/dist/session/session-statement.d.ts +5 -0
  71. package/dist/session/session-statement.js +87 -0
  72. package/dist/session/session-statement.js.map +1 -0
  73. package/dist/session/session.d.ts +2 -2
  74. package/dist/session/session.js +10 -19
  75. package/dist/session/session.js.map +1 -1
  76. package/dist/session/session.spec.js +3 -3
  77. package/dist/session/session.spec.js.map +1 -1
  78. package/dist/{common → shared}/datetime.d.ts +0 -0
  79. package/dist/{common → shared}/datetime.js +0 -0
  80. package/dist/{common → shared}/datetime.js.map +1 -1
  81. package/dist/{common → shared}/decimals.d.ts +0 -0
  82. package/dist/{common → shared}/decimals.js +0 -0
  83. package/dist/{common → shared}/decimals.js.map +1 -1
  84. package/dist/{common → shared}/decimals.spec.d.ts +0 -0
  85. package/dist/{common → shared}/decimals.spec.js +0 -0
  86. package/dist/{common → shared}/decimals.spec.js.map +1 -1
  87. package/dist/{common → shared}/index.d.ts +0 -0
  88. package/dist/{common → shared}/index.js +0 -0
  89. package/dist/{common → shared}/index.js.map +1 -1
  90. package/dist/{common → shared}/io.d.ts +0 -0
  91. package/dist/{common → shared}/io.js +0 -0
  92. package/dist/shared/io.js.map +1 -0
  93. package/dist/{common → shared}/logger.d.ts +0 -0
  94. package/dist/{common → shared}/logger.js +0 -0
  95. package/dist/{common → shared}/logger.js.map +1 -1
  96. package/dist/{common → shared}/policy.d.ts +0 -0
  97. package/dist/{common → shared}/policy.js +0 -0
  98. package/dist/{common → shared}/policy.js.map +1 -1
  99. package/dist/{common → shared}/policy.spec.d.ts +0 -0
  100. package/dist/{common → shared}/policy.spec.js +0 -0
  101. package/dist/{common → shared}/policy.spec.js.map +1 -1
  102. package/dist/{common → shared}/topic.d.ts +0 -0
  103. package/dist/{common → shared}/topic.js +0 -0
  104. package/dist/{common → shared}/topic.js.map +1 -1
  105. package/dist/{common → shared}/topic.spec.d.ts +0 -0
  106. package/dist/{common → shared}/topic.spec.js +0 -0
  107. package/dist/{common → shared}/topic.spec.js.map +1 -1
  108. package/dist/{common → shared}/worker.d.ts +0 -0
  109. package/dist/{common → shared}/worker.js +0 -0
  110. package/dist/{common → shared}/worker.js.map +1 -1
  111. package/dist/{common → shared}/worker.spec.d.ts +0 -0
  112. package/dist/{common → shared}/worker.spec.js +0 -0
  113. package/dist/{common → shared}/worker.spec.js.map +1 -1
  114. package/dist/storage/measurement.d.ts +1 -1
  115. package/dist/store/event/store-balance.event.d.ts +1 -1
  116. package/dist/store/event/store-balance.event.js +1 -1
  117. package/dist/store/event/store-balance.event.spec.js +3 -3
  118. package/dist/store/event/store-balance.event.spec.js.map +1 -1
  119. package/dist/store/event/store-candle.event.d.ts +1 -1
  120. package/dist/store/event/store-candle.event.js +1 -1
  121. package/dist/store/event/store-candle.event.spec.js +2 -2
  122. package/dist/store/event/store-instrument.event.d.ts +4 -4
  123. package/dist/store/event/store-instrument.event.js +3 -3
  124. package/dist/store/event/store-instrument.event.js.map +1 -1
  125. package/dist/store/event/store-instrument.event.spec.js +3 -3
  126. package/dist/store/event/store-instrument.event.spec.js.map +1 -1
  127. package/dist/store/event/store-order.event.d.ts +1 -1
  128. package/dist/store/event/store-order.event.js +1 -1
  129. package/dist/store/event/store-order.event.spec.js +2 -2
  130. package/dist/store/event/store-orderbook.event.d.ts +1 -1
  131. package/dist/store/event/store-orderbook.event.js +1 -1
  132. package/dist/store/event/store-position.event.d.ts +1 -1
  133. package/dist/store/event/store-position.event.js +1 -1
  134. package/dist/store/event/store-trade.event.d.ts +1 -1
  135. package/dist/store/event/store-trade.event.js +1 -1
  136. package/dist/store/event/store-trade.event.spec.js +5 -5
  137. package/dist/store/event/store.event.d.ts +1 -1
  138. package/dist/store/store.d.ts +1 -1
  139. package/dist/store/store.js +1 -1
  140. package/dist/store/store.state.d.ts +1 -1
  141. package/dist/tests/backtester-adapter.spec.js +5 -5
  142. package/dist/tests/backtester-adapter.spec.js.map +1 -1
  143. package/dist/tsconfig.tsbuildinfo +1 -1
  144. package/package.json +1 -1
  145. package/src/adapter/adapter-aggregate.ts +23 -4
  146. package/src/adapter/adapter.event.ts +2 -2
  147. package/src/adapter/adapter.ts +14 -4
  148. package/src/adapter/backtester/backtester-adapter.ts +4 -4
  149. package/src/adapter/backtester/backtester-cursor.ts +1 -1
  150. package/src/adapter/backtester/backtester-streamer.spec.ts +1 -1
  151. package/src/adapter/backtester/backtester-streamer.ts +1 -1
  152. package/src/adapter/paper/{model/paper-model.ts → executor/paper-executor.ts} +1 -1
  153. package/src/adapter/paper/{model/paper-margin-model.ts → executor/paper-margin-executor.ts} +4 -4
  154. package/src/adapter/paper/{model/paper-spot-model.ts → executor/paper-spot-executor.ts} +5 -5
  155. package/src/adapter/paper/index.ts +2 -2
  156. package/src/adapter/paper/paper-adapter.spec.ts +4 -4
  157. package/src/adapter/paper/paper-adapter.ts +8 -8
  158. package/src/bin.ts +22 -191
  159. package/src/domain/asset.ts +5 -5
  160. package/src/domain/balance.ts +3 -5
  161. package/src/domain/candle-builder.ts +1 -1
  162. package/src/domain/candle.spec.ts +1 -1
  163. package/src/domain/candle.ts +1 -1
  164. package/src/domain/{commision.ts → commission.ts} +3 -3
  165. package/src/domain/component.ts +1 -1
  166. package/src/domain/index.ts +1 -1
  167. package/src/domain/instrument.ts +6 -3
  168. package/src/domain/order.ts +1 -1
  169. package/src/domain/orderbook.ts +5 -2
  170. package/src/domain/position.ts +2 -2
  171. package/src/domain/trade.ts +5 -1
  172. package/src/index.ts +2 -7
  173. package/src/indicator/truerange.spec.ts +1 -1
  174. package/src/ipc.ts +277 -0
  175. package/src/session/index.ts +1 -0
  176. package/src/session/session-descriptor.ts +35 -6
  177. package/src/session/session-statement.ts +119 -0
  178. package/src/session/session.spec.ts +6 -4
  179. package/src/session/session.ts +62 -20
  180. package/src/{common → shared}/datetime.ts +0 -0
  181. package/src/{common → shared}/decimals.spec.ts +0 -0
  182. package/src/{common → shared}/decimals.ts +0 -0
  183. package/src/{common → shared}/index.ts +0 -0
  184. package/src/{common → shared}/io.ts +0 -0
  185. package/src/{common → shared}/logger.ts +0 -0
  186. package/src/{common → shared}/policy.spec.ts +0 -0
  187. package/src/{common → shared}/policy.ts +0 -0
  188. package/src/{common → shared}/topic.spec.ts +0 -0
  189. package/src/{common → shared}/topic.ts +0 -0
  190. package/src/{common → shared}/worker.spec.ts +0 -0
  191. package/src/{common → shared}/worker.ts +0 -0
  192. package/src/storage/measurement.ts +1 -1
  193. package/src/store/event/store-balance.event.spec.ts +3 -3
  194. package/src/store/event/store-balance.event.ts +2 -2
  195. package/src/store/event/store-candle.event.spec.ts +1 -1
  196. package/src/store/event/store-candle.event.ts +2 -2
  197. package/src/store/event/store-instrument.event.spec.ts +3 -3
  198. package/src/store/event/store-instrument.event.ts +5 -5
  199. package/src/store/event/store-order.event.spec.ts +1 -1
  200. package/src/store/event/store-order.event.ts +2 -2
  201. package/src/store/event/store-orderbook.event.ts +2 -2
  202. package/src/store/event/store-position.event.ts +2 -2
  203. package/src/store/event/store-trade.event.spec.ts +1 -1
  204. package/src/store/event/store-trade.event.ts +2 -2
  205. package/src/store/event/store.event.ts +1 -1
  206. package/src/store/store.state.ts +1 -1
  207. package/src/store/store.ts +1 -1
  208. package/src/tests/backtester-adapter.spec.ts +7 -7
  209. package/dist/adapter/paper/model/paper-margin-model.js.map +0 -1
  210. package/dist/adapter/paper/model/paper-model.js.map +0 -1
  211. package/dist/adapter/paper/model/paper-spot-model.js.map +0 -1
  212. package/dist/behaviour/behaviour.d.ts +0 -6
  213. package/dist/behaviour/behaviour.js +0 -3
  214. package/dist/behaviour/behaviour.js.map +0 -1
  215. package/dist/behaviour/combined-behaviour.d.ts +0 -14
  216. package/dist/behaviour/combined-behaviour.js +0 -26
  217. package/dist/behaviour/combined-behaviour.js.map +0 -1
  218. package/dist/behaviour/index.d.ts +0 -3
  219. package/dist/behaviour/index.js +0 -16
  220. package/dist/behaviour/index.js.map +0 -1
  221. package/dist/behaviour/statement/benchmark-statement.behaviour.d.ts +0 -15
  222. package/dist/behaviour/statement/benchmark-statement.behaviour.js +0 -41
  223. package/dist/behaviour/statement/benchmark-statement.behaviour.js.map +0 -1
  224. package/dist/behaviour/statement/equity-statement.behaviour.d.ts +0 -15
  225. package/dist/behaviour/statement/equity-statement.behaviour.js +0 -54
  226. package/dist/behaviour/statement/equity-statement.behaviour.js.map +0 -1
  227. package/dist/behaviour/statement/index.d.ts +0 -1
  228. package/dist/behaviour/statement/index.js +0 -14
  229. package/dist/behaviour/statement/index.js.map +0 -1
  230. package/dist/behaviour/statement/period-statement.behaviour.d.ts +0 -9
  231. package/dist/behaviour/statement/period-statement.behaviour.js +0 -20
  232. package/dist/behaviour/statement/period-statement.behaviour.js.map +0 -1
  233. package/dist/behaviour/statement/statement.behaviour.d.ts +0 -7
  234. package/dist/behaviour/statement/statement.behaviour.js +0 -19
  235. package/dist/behaviour/statement/statement.behaviour.js.map +0 -1
  236. package/dist/common/io.js.map +0 -1
  237. package/dist/domain/commision.js.map +0 -1
  238. package/src/behaviour/behaviour.ts +0 -7
  239. package/src/behaviour/combined-behaviour.ts +0 -23
  240. package/src/behaviour/index.ts +0 -3
  241. package/src/behaviour/statement/benchmark-statement.behaviour.ts +0 -53
  242. package/src/behaviour/statement/equity-statement.behaviour.ts +0 -71
  243. package/src/behaviour/statement/index.ts +0 -1
  244. package/src/behaviour/statement/period-statement.behaviour.ts +0 -26
  245. package/src/behaviour/statement/statement.behaviour.ts +0 -19
package/dist/tsconfig.tsbuildinfo CHANGED
@@ -1 +1 @@
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package/package.json CHANGED
@@ -1,6 +1,6 @@
1
1
  {
2
2
  "name": "@quantform/core",
3
- "version": "0.3.229",
3
+ "version": "0.3.233",
4
4
  "description": "Node.js library for building systematic trading strategies in reactive way.",
5
5
  "repository": {
6
6
  "type": "git",
package/src/adapter/adapter-aggregate.ts CHANGED
@@ -1,12 +1,16 @@
1
1
  import { Store } from '../store';
2
2
  import { Adapter, AdapterContext } from '.';
3
- import { Logger } from '../common';
3
+ import { Logger } from '../shared';
4
4
  import {
5
5
  AdapterAccountCommand,
6
6
  AdapterAwakeCommand,
7
7
  AdapterDisposeCommand
8
8
  } from './adapter.event';
9
9
 
10
+ /**
11
+ * Manages instances of all adapters provided in session descriptor.
12
+ * Awakes and disposes adapters, routes and executes commands.
13
+ */
10
14
  export class AdapterAggregate {
11
15
  private readonly adapter: Record<string, Adapter> = {};
12
16
 
@@ -14,6 +18,10 @@ export class AdapterAggregate {
14
18
  adapters.forEach(it => (this.adapter[it.name] = it));
15
19
  }
16
20
 
21
+ /**
22
+ * Sets up all adapters.
23
+ * @param usePrivateScope use private api (api keys needed).
24
+ */
17
25
  async awake(usePrivateScope = true): Promise<void> {
18
26
  for (const exchange in this.adapter) {
19
27
  await this.dispatch(exchange, new AdapterAwakeCommand());
@@ -24,20 +32,31 @@ export class AdapterAggregate {
24
32
  }
25
33
  }
26
34
 
35
+ /**
36
+ * Disposes all adapters.
37
+ */
27
38
  async dispose(): Promise<any> {
28
39
  for (const exchange in this.adapter) {
29
40
  await this.dispatch(exchange, new AdapterDisposeCommand());
30
41
  }
31
42
  }
32
43
 
44
+ /**
45
+ * Routes and executes command to a specific adapter.
46
+ * @param adapterName name of adapter
47
+ * @param event
48
+ * @returns
49
+ */
33
50
  dispatch<TEvent extends { type: string }, TResponse>(
34
- exchange: string,
51
+ adapterName: string,
35
52
  event: TEvent
36
53
  ): Promise<TResponse> {
37
- const adapter = this.adapter[exchange];
54
+ const adapter = this.adapter[adapterName];
38
55
 
39
56
  if (!adapter) {
40
- throw new Error(`Unknown adapter: ${exchange}`);
57
+ throw new Error(
58
+ `Unknown adapter: ${adapterName}. You should provide adapter in session descriptor.`
59
+ );
41
60
  }
42
61
 
43
62
  try {
package/src/adapter/adapter.event.ts CHANGED
@@ -1,7 +1,7 @@
1
1
  import { Feed } from '../storage';
2
- import { timestamp } from '../common';
2
+ import { timestamp } from '../shared';
3
3
  import { InstrumentSelector, Order } from '../domain';
4
- import { event } from '../common/topic';
4
+ import { event } from '../shared/topic';
5
5
 
6
6
  @event
7
7
  export class AdapterAwakeCommand {
package/src/adapter/adapter.ts CHANGED
@@ -1,10 +1,16 @@
1
- import { now, timestamp } from '../common';
2
- import { PaperModel } from './paper/model/paper-model';
1
+ import { now, timestamp } from '../shared';
2
+ import { PaperExecutor } from './paper/executor/paper-executor';
3
3
  import { PaperAdapter } from './paper';
4
- import { Topic } from '../common/topic';
4
+ import { Topic } from '../shared/topic';
5
5
  import { Store } from '../store';
6
6
 
7
+ /**
8
+ * Shared context for adapter execution. Provides access to the store.
9
+ */
7
10
  export class AdapterContext {
11
+ /**
12
+ * Returns the current unix timestamp (points to historical date in case of backtest).
13
+ */
8
14
  get timestamp(): timestamp {
9
15
  return this.adapter.timestamp();
10
16
  }
@@ -12,9 +18,13 @@ export class AdapterContext {
12
18
  constructor(private readonly adapter: Adapter, readonly store: Store) {}
13
19
  }
14
20
 
21
+ /**
22
+ * Base adapter class, you should derive your own adapter from this class.
23
+ * @abstract
24
+ */
15
25
  export abstract class Adapter extends Topic<{ type: string }, AdapterContext> {
16
26
  abstract name: string;
17
- abstract createPaperModel(adapter: PaperAdapter): PaperModel;
27
+ abstract createPaperExecutor(adapter: PaperAdapter): PaperExecutor;
18
28
 
19
29
  timestamp(): timestamp {
20
30
  return now();
package/src/adapter/backtester/backtester-adapter.ts CHANGED
@@ -1,8 +1,8 @@
1
1
  import { Adapter, AdapterContext } from '..';
2
2
  import { BacktesterStreamer } from './backtester-streamer';
3
3
  import { PaperAdapter, PaperOptions } from '../paper';
4
- import { handler } from '../../common/topic';
5
- import { Logger, timestamp } from '../../common';
4
+ import { handler } from '../../shared/topic';
5
+ import { Logger, timestamp } from '../../shared';
6
6
  import { AdapterSubscribeCommand, AdapterHistoryQuery } from '../adapter.event';
7
7
  import { InstrumentSubscriptionEvent } from '../../store/event';
8
8
 
@@ -24,8 +24,8 @@ export class BacktesterAdapter extends Adapter {
24
24
  return this.streamer.timestamp;
25
25
  }
26
26
 
27
- createPaperModel(adapter: PaperAdapter) {
28
- return this.decoratedAdapter.createPaperModel(adapter);
27
+ createPaperExecutor(adapter: PaperAdapter) {
28
+ return this.decoratedAdapter.createPaperExecutor(adapter);
29
29
  }
30
30
 
31
31
  onUnknownEvent(event: { type: string }, context: AdapterContext) {
package/src/adapter/backtester/backtester-cursor.ts CHANGED
@@ -1,7 +1,7 @@
1
1
  import { InstrumentSelector } from '../../domain';
2
2
  import { StoreEvent } from '../../store/event';
3
3
  import { Feed } from '../../storage';
4
- import { timestamp } from '../../common';
4
+ import { timestamp } from '../../shared';
5
5
 
6
6
  export class BacktesterCursor {
7
7
  private page = new Array<StoreEvent>();