@quantform/core 0.3.239 → 0.3.246

package/src/adapter/backtester/backtester-streamer.spec.ts

@@ -18,11 +18,15 @@ describe('backtester streamer tests', () => {
     store.snapshot.universe.instrument[instrument.toString()] = instrument;
     store.snapshot.subscription.instrument[instrument.toString()] = instrument;
 
-    const streamer = new BacktesterStreamer(store, feed, {
-      balance: {},
-      from: 0,
-      to: 10,
-      listener: {
+    const streamer = new BacktesterStreamer(
+      store,
+      feed,
+      {
+        balance: {},
+        from: 0,
+        to: 10
+      },
+      {
         onBacktestCompleted: () => {
           const trade = store.snapshot.trade[instrument.toString()];
 
@@ -34,7 +38,7 @@ describe('backtester streamer tests', () => {
           done();
         }
       }
-    });
+    );
 
     feed
       .save(instrument, [

package/src/adapter/backtester/backtester-streamer.ts

@@ -36,7 +36,8 @@ export class BacktesterStreamer {
   constructor(
     private readonly store: Store,
     private readonly feed: Feed,
-    private readonly options: BacktesterOptions
+    private readonly options: BacktesterOptions,
+    private readonly listener?: BacktesterListener
   ) {
     this.timestamp = this.options.from;
   }
@@ -73,15 +74,15 @@ export class BacktesterStreamer {
     }
 
     if (this.sequence == 0) {
-      if (this.options.listener.onBacktestStarted) {
-        this.options.listener.onBacktestStarted(this);
+      if (this.listener.onBacktestStarted) {
+        this.listener.onBacktestStarted(this);
       }
     }
 
     while (await this.processNext()) {
       if (this.sequence % this.sequenceUpdateBatch == 0) {
-        if (this.options.listener.onBacktestUpdated) {
-          this.options.listener.onBacktestUpdated(this);
+        if (this.listener.onBacktestUpdated) {
+          this.listener.onBacktestUpdated(this);
         }
       }
 
@@ -90,8 +91,8 @@ export class BacktesterStreamer {
       }
     }
 
-    if (this.options.listener.onBacktestCompleted) {
-      this.options.listener.onBacktestCompleted(this);
+    if (this.listener.onBacktestCompleted) {
+      this.listener.onBacktestCompleted(this);
     }
   }
 

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

@@ -43,13 +43,13 @@ export class PaperAdapter extends Adapter {
   @handler(AdapterAccountCommand)
   onAccount(event: AdapterAccountCommand, context: AdapterContext) {
     let subscribed = Object.values(this.store.snapshot.subscription.asset).filter(
-      it => it.exchange == this.name
+      it => it.adapter == this.name
     );
 
     for (const balance in this.options.balance) {
       const asset = assetOf(balance);
 
-      if (asset.exchange != this.name) {
+      if (asset.adapter != this.name) {
         continue;
       }
 

package/src/bin.ts

@@ -1,10 +1,10 @@
 import {
   BacktesterAdapter,
-  BacktesterOptions,
+  BacktesterListener,
   BacktesterStreamer
 } from './adapter/backtester';
 import { AdapterAggregate } from './adapter';
-import { PaperAdapter, PaperOptions } from './adapter/paper';
+import { PaperAdapter } from './adapter/paper';
 import { Session, SessionDescriptor } from './session';
 import { Store } from './store';
 
@@ -16,15 +16,25 @@ import { Store } from './store';
  */
 export function backtest(
   descriptor: SessionDescriptor,
-  options: BacktesterOptions
+  listener?: BacktesterListener
 ): [Session, BacktesterStreamer] {
   const store = new Store();
 
-  const streamer = new BacktesterStreamer(store, descriptor.feed, options);
+  const streamer = new BacktesterStreamer(
+    store,
+    descriptor.feed,
+    descriptor.options.backtester,
+    listener
+  );
   const aggregate = new AdapterAggregate(
     store,
     descriptor.adapter.map(
-      it => new PaperAdapter(new BacktesterAdapter(it, streamer), store, options)
+      it =>
+        new PaperAdapter(
+          new BacktesterAdapter(it, streamer),
+          store,
+          descriptor.options.backtester
+        )
     )
   );
 
@@ -37,12 +47,12 @@ export function backtest(
  * @param options backtest options.
  * @returns new session object.
  */
-export function paper(descriptor: SessionDescriptor, options: PaperOptions): Session {
+export function paper(descriptor: SessionDescriptor): Session {
   const store = new Store();
 
   const aggregate = new AdapterAggregate(
     store,
-    descriptor.adapter.map(it => new PaperAdapter(it, store, options))
+    descriptor.adapter.map(it => new PaperAdapter(it, store, descriptor.options.paper))
   );
 
   return new Session(store, aggregate, descriptor);
@@ -59,14 +69,3 @@ export function live(descriptor: SessionDescriptor): Session {
 
   return new Session(store, aggregate, descriptor);
 }
-
-/**
- * Starts a new idle session.
- * @param descriptor session descriptor.
- */
-export function idle(descriptor: SessionDescriptor): Session {
-  const store = new Store();
-  const aggregate = new AdapterAggregate(store, descriptor.adapter);
-
-  return new Session(store, aggregate);
-}

package/src/domain/asset.spec.ts

@@ -5,7 +5,7 @@ describe('asset tests', () => {
     const sut = new Asset('abc', 'xyz', 4);
 
     expect(sut.name).toEqual('abc');
-    expect(sut.exchange).toEqual('xyz');
+    expect(sut.adapter).toEqual('xyz');
     expect(sut.scale).toEqual(4);
     expect(sut.tickSize).toEqual(0.0001);
     expect(sut.fixed(1.1234567)).toEqual(1.1234);
@@ -20,7 +20,7 @@ describe('asset selector tests', () => {
     const sut = assetOf('xyz:abc');
 
     expect(sut.name).toEqual('abc');
-    expect(sut.exchange).toEqual('xyz');
+    expect(sut.adapter).toEqual('xyz');
     expect(sut.toString()).toEqual('xyz:abc');
   });
 
@@ -28,7 +28,7 @@ describe('asset selector tests', () => {
     const sut = assetOf('XYZ:ABC');
 
     expect(sut.name).toEqual('abc');
-    expect(sut.exchange).toEqual('xyz');
+    expect(sut.adapter).toEqual('xyz');
     expect(sut.toString()).toEqual('xyz:abc');
   });
 
@@ -56,7 +56,7 @@ describe('asset 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');
     };

package/src/domain/asset.ts

@@ -7,13 +7,13 @@ export class AssetSelector {
   private readonly id: string;
 
   readonly name: string;
-  readonly exchange: string;
+  readonly adapter: string;
 
-  constructor(name: string, exchange: string) {
+  constructor(name: string, adapter: string) {
     this.name = name.toLowerCase();
-    this.exchange = exchange.toLowerCase();
+    this.adapter = adapter.toLowerCase();
 
-    this.id = `${this.exchange}:${this.name}`;
+    this.id = `${this.adapter}:${this.name}`;
   }
 
   /**
@@ -35,13 +35,13 @@ export function assetOf(asset: string): AssetSelector {
   }
 
   const assetName = section[1];
-  const exchangeName = section[0];
+  const adapterName = section[0];
 
-  if (assetName.length == 0 || exchangeName.length == 0) {
+  if (assetName.length == 0 || adapterName.length == 0) {
     throw Error('invalid asset format');
   }
 
-  return new AssetSelector(assetName, exchangeName);
+  return new AssetSelector(assetName, adapterName);
 }
 
 /**
@@ -51,8 +51,8 @@ export function assetOf(asset: string): AssetSelector {
 export class Asset extends AssetSelector {
   readonly tickSize: number;
 
-  constructor(name: string, exchange: string, public readonly scale: number) {
-    super(name, exchange);
+  constructor(name: string, adapter: string, public readonly scale: number) {
+    super(name, adapter);
 
     this.tickSize = 1.0 / Math.pow(10, this.scale);
   }

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

@@ -9,10 +9,12 @@ import {
 } from './adapter';
 import { PaperAdapter, PaperSpotExecutor } from './adapter/paper';
 import { PaperExecutor } from './adapter/paper/executor/paper-executor';
-import { ipcSub, 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';
@@ -53,21 +55,21 @@ describe('ipc feed tests', () => {
     const session = await run(
       {
         adapter: [new DefaultAdapter()],
-        feed: new Feed(new InMemoryStorage()),
-        describe: (session: Session) => session.trade(instrumentOf('default:btc-usdt'))
+        feed: new Feed(new InMemoryStorage())
       },
       command
     );
 
-    expect(session.descriptor).toBeUndefined();
+    //expect(session.descriptor).toBeUndefined();
   });
 
   test('should dispatch session started event', done => {
     const command = {
-      type: 'paper',
-      balance: { 'default:usd': 100 }
+      type: 'paper'
     };
 
+    const ipcSub = new EventEmitter();
+
     ipcSub.on('message', (message: any) => {
       expect(message.type).toBe('paper:started');
       done();
@@ -76,7 +78,33 @@ describe('ipc feed tests', () => {
     run(
       {
         adapter: [new DefaultAdapter()],
-        describe: (session: Session) => session.trade(instrumentOf('default:btc-usdt'))
+        ipcSub,
+        options: {
+          paper: {
+            balance: { 'default:usd': 100 }
+          }
+        }
+      },
+      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()]
       },
       command
     );