@quantform/core 0.3.229 → 0.3.233

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);
-  }
-}