@quantform/core 0.3.242 → 0.3.248

package/src/session/session-descriptor.ts

@@ -1,8 +1,8 @@
 import { Adapter } from '../adapter';
-import { Session } from '.';
 import { Measurement } from '../storage/measurement';
 import { Feed } from '../storage';
-import { Observable } from 'rxjs';
+import { BacktesterOptions } from './../adapter/backtester';
+import { PaperOptions } from './../adapter/paper';
 
 /**
  * Describes a single session.
@@ -44,7 +44,10 @@ export interface SessionDescriptor {
   measurement?: Measurement;
 
   /**
-   * Describes your trading strategy.
+   * Session additional options.
    */
-  describe?: (session: Session) => Observable<any>;
+  options?: {
+    backtester?: BacktesterOptions;
+    paper?: PaperOptions;
+  };
 }

package/src/session/session.spec.ts

@@ -13,11 +13,7 @@ describe('session tests', () => {
   };
 
   test('should trigger once', done => {
-    const session = paper(descriptor, {
-      balance: {
-        ['binance:btc']: 1.23
-      }
-    });
+    const session = paper(descriptor);
 
     session.instruments().subscribe({
       next: it => {

package/src/session/session.ts

@@ -26,12 +26,6 @@ import { AdapterAggregate } from '../adapter/adapter-aggregate';
 import { Worker, now } from '../shared';
 import { Trade } from '../domain/trade';
 import { SessionDescriptor } from './session-descriptor';
-import {
-  AdapterHistoryQuery,
-  AdapterOrderCancelCommand,
-  AdapterOrderOpenCommand,
-  AdapterSubscribeCommand
-} from '../adapter';
 
 type Optional<T, K extends keyof T> = Omit<T, K> & Partial<T>;
 
@@ -57,7 +51,7 @@ export class Session {
     }
   }
 
-  async awake(idle: boolean = false): Promise<void> {
+  async awake(describe: (session: Session) => Observable<any>): Promise<void> {
     if (this.initialized) {
       return;
     }
@@ -65,10 +59,10 @@ export class Session {
     this.initialized = true;
 
     // awake all adapters and synchronize trading accounts with store.
-    await this.aggregate.awake(this.descriptor != null);
+    await this.aggregate.awake();
 
-    if (!idle && this.descriptor?.describe) {
-      this.subscription = this.descriptor.describe(this).subscribe();
+    if (describe) {
+      this.subscription = describe(this).subscribe();
     }
   }
 
@@ -147,24 +141,8 @@ export class Session {
    * Subscribes to specific instrument. Usually forces adapter to subscribe
    * for orderbook and ticker streams.
    */
-  async subscribe(instrument: Array<InstrumentSelector>): Promise<void> {
-    const grouped = instrument
-      .filter(it => it != null)
-      .reduce((aggregate, it) => {
-        const adapter = it.base.adapter;
-
-        if (aggregate[adapter]) {
-          aggregate[adapter].push(it);
-        } else {
-          aggregate[adapter] = [it];
-        }
-
-        return aggregate;
-      }, {});
-
-    for (const group in grouped) {
-      this.aggregate.dispatch(group, new AdapterSubscribeCommand(grouped[group]));
-    }
+  subscribe(instrument: Array<InstrumentSelector>): Promise<void> {
+    return this.aggregate.subscribe(instrument);
   }
 
   /**
@@ -173,24 +151,14 @@ export class Session {
    * session.open(Order.buyMarket(instrument, 100));
    */
   async open(...orders: Order[]): Promise<void> {
-    await Promise.all(
-      orders.map(it =>
-        this.aggregate.dispatch<AdapterOrderOpenCommand, void>(
-          it.instrument.base.adapter,
-          new AdapterOrderOpenCommand(it)
-        )
-      )
-    );
+    await Promise.all(orders.map(it => this.aggregate.open(it)));
   }
 
   /**
    * Cancels specific order.
    */
   cancel(order: Order): Promise<void> {
-    return this.aggregate.dispatch(
-      order.instrument.base.adapter,
-      new AdapterOrderCancelCommand(order)
-    );
+    return this.aggregate.cancel(order);
   }
 
   /**
@@ -352,7 +320,7 @@ export class Session {
     );
   }
 
-  balance(selector?: AssetSelector): Observable<Balance> {
+  balance(selector: AssetSelector): Observable<Balance> {
     return this.store.changes$.pipe(
       startWith(selector ? this.store.snapshot.balance[selector.toString()] : null),
       filter(
@@ -372,14 +340,7 @@ export class Session {
     return this.store.changes$.pipe(
       startWith(this.store.snapshot.universe.instrument[selector.toString()]),
       filter(it => it instanceof Instrument && it.toString() == selector.toString()),
-      switchMap(() =>
-        from(
-          this.aggregate.dispatch<AdapterHistoryQuery, Candle[]>(
-            selector.base.adapter,
-            new AdapterHistoryQuery(selector, timeframe, length)
-          )
-        )
-      ),
+      switchMap(() => from(this.aggregate.history(selector, timeframe, length))),
       take(1),
       shareReplay(),
       mergeMap(it => it)

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`);
   }

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

@@ -63,13 +63,17 @@ describe('backtester adapter tests', () => {
   });
 
   test('should stream data from input array', done => {
-    const streamer = new BacktesterStreamer(store, feed, {
-      balance: {
-        ['binance:usdt']: 1000
+    const streamer = new BacktesterStreamer(
+      store,
+      feed,
+      {
+        balance: {
+          ['binance:usdt']: 1000
+        },
+        from: 0,
+        to: 100
       },
-      from: 0,
-      to: 100,
-      listener: {
+      {
         onBacktestCompleted: () => {
           expect(store.snapshot.timestamp).toEqual(1);
           expect(store.snapshot.trade[instrument.toString()].rate).toEqual(100);
@@ -78,7 +82,7 @@ describe('backtester adapter tests', () => {
           done();
         }
       }
-    });
+    );
 
     feed.save(instrument, [new TradePatchEvent(instrument, 100, 10, 1)]);