@quantform/core 0.3.238 → 0.3.243

package/src/domain/instrument.spec.ts

@@ -10,9 +10,9 @@ describe('instrument tests', () => {
     );
 
     expect(sut.base.name).toEqual('abc');
-    expect(sut.base.exchange).toEqual('xyz');
+    expect(sut.base.adapter).toEqual('xyz');
     expect(sut.quote.name).toEqual('def');
-    expect(sut.quote.exchange).toEqual('xyz');
+    expect(sut.quote.adapter).toEqual('xyz');
     expect(sut.toString()).toEqual('xyz:abc-def');
   });
 });
@@ -22,9 +22,9 @@ describe('instrument selector tests', () => {
     const sut = instrumentOf('xyz:abc-def');
 
     expect(sut.base.name).toEqual('abc');
-    expect(sut.base.exchange).toEqual('xyz');
+    expect(sut.base.adapter).toEqual('xyz');
     expect(sut.quote.name).toEqual('def');
-    expect(sut.quote.exchange).toEqual('xyz');
+    expect(sut.quote.adapter).toEqual('xyz');
     expect(sut.toString()).toEqual('xyz:abc-def');
   });
 
@@ -32,9 +32,9 @@ describe('instrument selector tests', () => {
     const sut = instrumentOf('XYZ:ABC-DEF');
 
     expect(sut.base.name).toEqual('abc');
-    expect(sut.base.exchange).toEqual('xyz');
+    expect(sut.base.adapter).toEqual('xyz');
     expect(sut.quote.name).toEqual('def');
-    expect(sut.quote.exchange).toEqual('xyz');
+    expect(sut.quote.adapter).toEqual('xyz');
     expect(sut.toString()).toEqual('xyz:abc-def');
   });
 
@@ -62,7 +62,7 @@ describe('instrument selector tests', () => {
     expect(fn).toThrow(Error);
   });
 
-  test('should throw invalid format message for missing exchange name', () => {
+  test('should throw invalid format message for missing adapter name', () => {
     const fn = () => {
       assetOf(':abc-def');
     };

package/src/domain/instrument.ts

@@ -9,9 +9,9 @@ export class InstrumentSelector {
   readonly base: AssetSelector;
   readonly quote: AssetSelector;
 
-  constructor(base: string, quote: string, exchange: string) {
-    this.base = new AssetSelector(base.toLowerCase(), exchange.toLowerCase());
-    this.quote = new AssetSelector(quote.toLowerCase(), exchange.toLowerCase());
+  constructor(base: string, quote: string, adapter: string) {
+    this.base = new AssetSelector(base.toLowerCase(), adapter.toLowerCase());
+    this.quote = new AssetSelector(quote.toLowerCase(), adapter.toLowerCase());
 
     this.id = `${this.base.toString()}-${this.quote.name}`;
   }
@@ -31,10 +31,10 @@ export class Instrument extends InstrumentSelector implements Component {
   leverage?: number = null;
 
   constructor(readonly base: Asset, readonly quote: Asset, readonly raw: string) {
-    super(base.name, quote.name, base.exchange);
+    super(base.name, quote.name, base.adapter);
 
-    if (base.exchange != quote.exchange) {
-      throw new Error('Exchange mismatch!');
+    if (base.adapter != quote.adapter) {
+      throw new Error('Adapter mismatch!');
     }
   }
 }

package/src/domain/orderbook.ts

@@ -11,7 +11,7 @@ export class Orderbook implements Component {
   bestAskQuantity: number;
   bestBidRate: number;
   bestBidQuantity: number;
-  az;
+
   get midRate(): number {
     return this.instrument.quote.fixed((this.bestAskRate + this.bestBidRate) / 2);
   }

package/src/ipc.spec.ts

@@ -3,14 +3,18 @@ import {
   Adapter,
   AdapterFeedCommand,
   AdapterAwakeCommand,
-  AdapterAccountCommand
+  AdapterAccountCommand,
+  AdapterSubscribeCommand,
+  AdapterDisposeCommand
 } from './adapter';
 import { PaperAdapter, PaperSpotExecutor } from './adapter/paper';
 import { PaperExecutor } from './adapter/paper/executor/paper-executor';
-import { IpcFeedCommand, run } from './ipc';
+import { run } from './ipc';
 import { Feed, InMemoryStorage } from './storage';
 import { instrumentOf } from './domain';
-import { handler } from './shared';
+import { handler, task } from './shared';
+import { EventEmitter } from 'events';
+import { from, of, take, tap } from 'rxjs';
 
 class DefaultAdapter extends Adapter {
   name = 'default';
@@ -26,6 +30,12 @@ class DefaultAdapter extends Adapter {
   @handler(AdapterAwakeCommand)
   onAwake(command: AdapterAwakeCommand) {}
 
+  @handler(AdapterDisposeCommand)
+  onDispose(command: AdapterDisposeCommand) {}
+
+  @handler(AdapterSubscribeCommand)
+  onSubscribe(command: AdapterSubscribeCommand) {}
+
   @handler(AdapterAccountCommand)
   onAccount(command: AdapterAccountCommand) {}
 
@@ -51,6 +61,51 @@ describe('ipc feed tests', () => {
       command
     );
 
-    expect(session.descriptor).toBeUndefined();
+    //expect(session.descriptor).toBeUndefined();
+  });
+
+  test('should dispatch session started event', done => {
+    const command = {
+      type: 'paper',
+      balance: { 'default:usd': 100 }
+    };
+
+    const ipcSub = new EventEmitter();
+
+    ipcSub.on('message', (message: any) => {
+      expect(message.type).toBe('paper:started');
+      done();
+    });
+
+    run(
+      {
+        adapter: [new DefaultAdapter()],
+        describe: (session: Session) => session.trade(instrumentOf('default:btc-usdt')),
+        ipcSub
+      },
+      command
+    );
+  });
+
+  test('should execute user task', done => {
+    task('hello-world', session => {
+      return of(1).pipe(
+        take(1),
+        tap(() => done())
+      );
+    });
+
+    const command = {
+      type: 'task',
+      taskName: 'hello-world'
+    };
+
+    run(
+      {
+        adapter: [new DefaultAdapter()],
+        describe: (session: Session) => session.trade(instrumentOf('default:btc-usdt'))
+      },
+      command
+    );
   });
 });

package/src/ipc.ts

@@ -2,10 +2,15 @@ import { AdapterFeedCommand } from './adapter';
 import { Session, SessionDescriptor } from './session';
 import { instrumentOf } from './domain';
 import { Topic, event, handler } from './shared/topic';
-import { Logger } from './shared';
-import { backtest, idle, live, paper } from './bin';
+import { runTask, Logger } from './shared';
+import { backtest, live, paper } from './bin';
 import { BacktesterStreamer } from './adapter/backtester';
+import { EventEmitter } from 'events';
 import minimist = require('minimist');
+import dotenv = require('dotenv');
+
+// force to load environment variables from .env file if this file imported.
+dotenv.config();
 
 /**
  * Base command/query interface for IPC communication.
@@ -73,12 +78,6 @@ export class IpcBacktestCommand implements IpcCommand {
   balance: { [key: string]: number };
 }
 
-@event
-export class IpcUniverseQuery implements IpcCommand {
-  type = 'universe';
-  exchange: string;
-}
-
 /**
  * Feeds specific session descriptor with instrument data.
  */
@@ -102,6 +101,19 @@ export class IpcFeedCommand implements IpcCommand {
   to: number;
 }
 
+/**
+ * Executes user task defined in quantform.ts file.
+ */
+@event
+export class IpcTaskCommand implements IpcCommand {
+  type = 'task';
+
+  /**
+   * Name of the task to execute.
+   */
+  taskName: string;
+}
+
 /**
  * Stores current session instance.
  */
@@ -109,11 +121,13 @@ class IpcSessionAccessor {
   session: Session;
 }
 
+export declare type SessionRunDescriptor = SessionDescriptor & { ipcSub?: EventEmitter };
+
 /**
  * Inter process communication handler.
  */
 class IpcHandler extends Topic<{ type: string }, IpcSessionAccessor> {
-  constructor(private readonly descriptor: SessionDescriptor) {
+  constructor(private readonly descriptor: SessionRunDescriptor) {
     super();
   }
 
@@ -209,28 +223,20 @@ class IpcHandler extends Topic<{ type: string }, IpcSessionAccessor> {
     });
   }
 
-  /**
-   * @see IpcUniverseQuery
-   */
-  @handler(IpcUniverseQuery)
-  onUniverse(query: IpcUniverseQuery, accessor: IpcSessionAccessor) {
-    accessor.session = accessor.session ?? idle(this.descriptor);
-  }
-
   /**
    * @see IpcFeedCommand
    */
   @handler(IpcFeedCommand)
   async onFeed(command: IpcFeedCommand, accessor: IpcSessionAccessor) {
-    accessor.session = accessor.session ?? idle(this.descriptor);
+    accessor.session = accessor.session ?? live(this.descriptor);
     const instrument = instrumentOf(command.instrument);
 
-    await accessor.session.awake();
+    await accessor.session.awake(true);
 
     this.notify({ type: 'feed:started' });
 
     await accessor.session.aggregate.dispatch(
-      instrument.base.exchange,
+      instrument.base.adapter,
       new AdapterFeedCommand(
         instrument,
         command.from,
@@ -251,15 +257,39 @@ class IpcHandler extends Topic<{ type: string }, IpcSessionAccessor> {
     await accessor.session.dispose();
   }
 
+  /**
+   * @see IpcTaskCommand
+   */
+  @handler(IpcTaskCommand)
+  async onTask(query: IpcTaskCommand, accessor: IpcSessionAccessor) {
+    accessor.session = accessor.session ?? live(this.descriptor);
+
+    await accessor.session.awake(true);
+
+    this.notify({ type: 'task:started', taskName: query.taskName });
+
+    let result = undefined;
+
+    try {
+      result = await runTask(query.taskName, accessor.session);
+    } catch (e) {
+      result = e;
+    }
+
+    this.notify({ type: 'task:completed', taskName: query.taskName, result });
+
+    await accessor.session.dispose();
+  }
+
   /**
    * Sends a message to parent process.
    */
   private notify(message: any) {
-    if (!process.send) {
-      return;
+    if (process.send) {
+      process.send(message);
     }
 
-    process.send(message);
+    this.descriptor.ipcSub?.emit('message', message);
   }
 }
 
@@ -270,7 +300,7 @@ class IpcHandler extends Topic<{ type: string }, IpcSessionAccessor> {
  * @returns new session.
  */
 export async function run(
-  descriptor: SessionDescriptor,
+  descriptor: SessionRunDescriptor,
   ...commands: IpcCommand[]
 ): Promise<Session> {
   const handler = new IpcHandler(descriptor);

package/src/session/session.ts

@@ -57,7 +57,7 @@ export class Session {
     }
   }
 
-  async awake(): Promise<void> {
+  async awake(idle: boolean = false): Promise<void> {
     if (this.initialized) {
       return;
     }
@@ -67,7 +67,7 @@ export class Session {
     // awake all adapters and synchronize trading accounts with store.
     await this.aggregate.awake(this.descriptor != null);
 
-    if (this.descriptor?.describe) {
+    if (!idle && this.descriptor?.describe) {
       this.subscription = this.descriptor.describe(this).subscribe();
     }
   }
@@ -151,12 +151,12 @@ export class Session {
     const grouped = instrument
       .filter(it => it != null)
       .reduce((aggregate, it) => {
-        const exchange = it.base.exchange;
+        const adapter = it.base.adapter;
 
-        if (aggregate[exchange]) {
-          aggregate[exchange].push(it);
+        if (aggregate[adapter]) {
+          aggregate[adapter].push(it);
         } else {
-          aggregate[exchange] = [it];
+          aggregate[adapter] = [it];
         }
 
         return aggregate;
@@ -176,7 +176,7 @@ export class Session {
     await Promise.all(
       orders.map(it =>
         this.aggregate.dispatch<AdapterOrderOpenCommand, void>(
-          it.instrument.base.exchange,
+          it.instrument.base.adapter,
           new AdapterOrderOpenCommand(it)
         )
       )
@@ -188,7 +188,7 @@ export class Session {
    */
   cancel(order: Order): Promise<void> {
     return this.aggregate.dispatch(
-      order.instrument.base.exchange,
+      order.instrument.base.adapter,
       new AdapterOrderCancelCommand(order)
     );
   }
@@ -352,7 +352,7 @@ export class Session {
     );
   }
 
-  balance(selector?: AssetSelector): Observable<Balance> {
+  balance(selector: AssetSelector): Observable<Balance> {
     return this.store.changes$.pipe(
       startWith(selector ? this.store.snapshot.balance[selector.toString()] : null),
       filter(
@@ -375,7 +375,7 @@ export class Session {
       switchMap(() =>
         from(
           this.aggregate.dispatch<AdapterHistoryQuery, Candle[]>(
-            selector.base.exchange,
+            selector.base.adapter,
             new AdapterHistoryQuery(selector, timeframe, length)
           )
         )

package/src/shared/index.ts

@@ -5,3 +5,4 @@ export * from './io';
 export * from './topic';
 export * from './policy';
 export * from './worker';
+export * from './task';

package/src/shared/task.ts

@@ -0,0 +1,30 @@
+import { lastValueFrom, Observable } from 'rxjs';
+import { Session } from './../session';
+
+declare type Task = (session: Session) => Observable<any> | Promise<any> | any;
+
+const tasks: Record<string, Task> = {};
+
+export function task(name: string, fn: Task) {
+  tasks[name] = fn;
+}
+
+export async function runTask(name: string, session: Session): Promise<void> {
+  const task = tasks[name];
+
+  if (!task) {
+    throw new Error('Unknown task: ' + name);
+  }
+
+  const result = tasks[name](session);
+
+  if (result instanceof Observable) {
+    return lastValueFrom(result);
+  }
+
+  if (result instanceof Promise) {
+    return await result;
+  }
+
+  return result;
+}

package/src/store/event/store-instrument.event.ts

@@ -23,7 +23,7 @@ export function InstrumentPatchEventHandler(event: InstrumentPatchEvent, state:
   const selector = new InstrumentSelector(
     event.base.name,
     event.quote.name,
-    event.base.exchange
+    event.base.adapter
   );
 
   let instrument = state.universe.instrument[selector.toString()];

package/src/store/event/store-order.event.ts

@@ -12,12 +12,6 @@ export class OrderLoadEvent implements StoreEvent {
 }
 
 export function OrderLoadEventHandler(event: OrderLoadEvent, state: State) {
-  const instrumentKey = event.order.instrument.toString();
-
-  if (!(instrumentKey in state.subscription.instrument)) {
-    throw new Error(`Trying to load order for unsubscribed instrument: ${instrumentKey}`);
-  }
-
   event.order.timestamp = event.timestamp;
 
   switch (event.order.state) {
@@ -48,12 +42,6 @@ export class OrderNewEvent implements StoreEvent {
 }
 
 export function OrderNewEventHandler(event: OrderNewEvent, state: State) {
-  const instrumentKey = event.order.instrument.toString();
-
-  if (!(instrumentKey in state.subscription.instrument)) {
-    throw new Error(`Trying to order for unsubscribed instrument: ${instrumentKey}`);
-  }
-
   if (event.order.state != 'NEW') {
     throw new Error(`Order is not new`);
   }