@quantform/core 0.3.251 → 0.3.255

package/src/ipc.ts

@@ -2,7 +2,7 @@ import { Session, SessionDescriptor } from './session';
 import { instrumentOf } from './domain';
 import { Topic, event, handler } from './shared/topic';
 import { runTask, Logger } from './shared';
-import { backtest, live, paper } from './bin';
+import { Bootstrap } from './bootstrap';
 import { BacktesterStreamer } from './adapter/backtester';
 import { Observable } from 'rxjs';
 import { EventEmitter } from 'events';
@@ -116,7 +116,10 @@ export declare type IpcSessionDescriptor = SessionDescriptor & { ipcSub?: EventE
  * Inter process communication handler.
  */
 class IpcHandler extends Topic<{ type: string }, IpcSessionAccessor> {
-  constructor(private readonly descriptor: IpcSessionDescriptor) {
+  constructor(
+    private readonly bootstrap: Bootstrap,
+    private readonly ipcSub?: EventEmitter
+  ) {
     super();
   }
 
@@ -125,11 +128,7 @@ class IpcHandler extends Topic<{ type: string }, IpcSessionAccessor> {
    */
   @handler(IpcLiveCommand)
   async onLiveMode(command: IpcLiveCommand, accessor: IpcSessionAccessor) {
-    if (command.id) {
-      this.descriptor.id = command.id;
-    }
-
-    accessor.session = live(this.descriptor);
+    accessor.session = this.bootstrap.useSessionId(command.id).live();
 
     this.emit({
       type: 'live:started',
@@ -144,11 +143,7 @@ class IpcHandler extends Topic<{ type: string }, IpcSessionAccessor> {
    */
   @handler(IpcPaperCommand)
   async onPaperMode(command: IpcPaperCommand, accessor: IpcSessionAccessor) {
-    if (command.id) {
-      this.descriptor.id = command.id;
-    }
-
-    accessor.session = paper(this.descriptor);
+    accessor.session = this.bootstrap.useSessionId(command.id).paper();
 
     this.emit({
       type: 'paper:started',
@@ -163,22 +158,18 @@ class IpcHandler extends Topic<{ type: string }, IpcSessionAccessor> {
    */
   @handler(IpcBacktestCommand)
   onBacktestMode(command: IpcBacktestCommand, accessor: IpcSessionAccessor) {
-    if (command.from) {
-      this.descriptor.options.backtester.from = command.from;
-    }
-    if (command.to) {
-      this.descriptor.options.backtester.to = command.to;
-    }
+    this.bootstrap.useBacktestPeriod(command.from, command.to).backtest();
+    const { from, to } = this.bootstrap.descriptor.options.backtester;
 
     return new Promise<void>(async resolve => {
-      const [session, streamer] = backtest(this.descriptor, {
+      const [session, streamer] = this.bootstrap.backtest({
         onBacktestStarted: (streamer: BacktesterStreamer) => {
           this.emit({
             type: 'backtest:started',
             session: session.descriptor?.id,
             timestamp: streamer.timestamp,
-            from: this.descriptor.options.backtester.from,
-            to: this.descriptor.options.backtester.to
+            from,
+            to
           });
         },
         onBacktestUpdated: (streamer: BacktesterStreamer) => {
@@ -186,8 +177,8 @@ class IpcHandler extends Topic<{ type: string }, IpcSessionAccessor> {
             type: 'backtest:updated',
             session: session.descriptor?.id,
             timestamp: streamer.timestamp,
-            from: this.descriptor.options.backtester.from,
-            to: this.descriptor.options.backtester.to
+            from,
+            to
           });
         },
         onBacktestCompleted: async (streamer: BacktesterStreamer) => {
@@ -197,8 +188,8 @@ class IpcHandler extends Topic<{ type: string }, IpcSessionAccessor> {
             type: 'backtest:completed',
             session: session.descriptor?.id,
             timestamp: streamer.timestamp,
-            from: this.descriptor.options.backtester.from,
-            to: this.descriptor.options.backtester.to
+            from,
+            to
           });
 
           resolve();
@@ -217,18 +208,9 @@ class IpcHandler extends Topic<{ type: string }, IpcSessionAccessor> {
    */
   @handler(IpcFeedCommand)
   async onFeed(command: IpcFeedCommand, accessor: IpcSessionAccessor) {
-    if (!this.descriptor.options) {
-      this.descriptor.options = {};
-    }
-
-    if (!this.descriptor.options.paper) {
-      this.descriptor.options.paper = {
-        balance: {}
-      };
-    }
-
-    accessor.session = accessor.session ?? paper(this.descriptor);
+    accessor.session = accessor.session ?? this.bootstrap.paper();
     const instrument = instrumentOf(command.instrument);
+    const { feed } = accessor.session.descriptor;
 
     await accessor.session.awake(undefined);
 
@@ -238,7 +220,7 @@ class IpcHandler extends Topic<{ type: string }, IpcSessionAccessor> {
       instrument,
       command.from,
       command.to,
-      this.descriptor.feed,
+      feed,
       timestamp =>
         this.emit({
           type: 'feed:updated',
@@ -258,7 +240,7 @@ class IpcHandler extends Topic<{ type: string }, IpcSessionAccessor> {
    */
   @handler(IpcTaskCommand)
   async onTask(query: IpcTaskCommand, accessor: IpcSessionAccessor) {
-    accessor.session = accessor.session ?? live(this.descriptor);
+    accessor.session = accessor.session ?? this.bootstrap.live();
 
     await accessor.session.awake(undefined);
 
@@ -296,7 +278,7 @@ class IpcHandler extends Topic<{ type: string }, IpcSessionAccessor> {
       process.send(message);
     }
 
-    this.descriptor.ipcSub?.emit('message', message);
+    this.ipcSub?.emit('message', message);
   }
 }
 
@@ -310,7 +292,7 @@ export async function run(
   descriptor: IpcSessionDescriptor,
   ...commands: IpcCommand[]
 ): Promise<Session> {
-  const handler = new IpcHandler(descriptor);
+  const handler = new IpcHandler(new Bootstrap(descriptor), descriptor.ipcSub);
   const accessor = new IpcSessionAccessor();
   const argv = minimist(process.argv.slice(2));
 

package/src/session/session.spec.ts

@@ -2,9 +2,7 @@ import { InstrumentPatchEvent } from '../store/event';
 import { Asset, Commission } from '../domain';
 import { now } from '../shared';
 import { SessionDescriptor } from './session-descriptor';
-import { paper } from '../bin';
-import { Session } from './session';
-import { of } from 'rxjs';
+import { Bootstrap } from '../bootstrap';
 
 describe('session tests', () => {
   const descriptor: SessionDescriptor = {
@@ -13,7 +11,7 @@ describe('session tests', () => {
   };
 
   test('should trigger once', done => {
-    const session = paper(descriptor);
+    const session = new Bootstrap(descriptor).paper();
 
     session.instruments().subscribe({
       next: it => {

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

@@ -2,7 +2,7 @@ import { event } from '../../shared/topic';
 import { timestamp } from '../../shared';
 import { AssetSelector } from '../../domain/asset';
 import { Balance } from '../../domain/balance';
-import { State } from '../store.state';
+import { State, StateChangeTracker } from '../store.state';
 import { StoreEvent } from './store.event';
 
 /**
@@ -23,7 +23,11 @@ export class BalancePatchEvent implements StoreEvent {
 /**
  * @see BalancePatchEvent
  */
-export function BalancePatchEventHandler(event: BalancePatchEvent, state: State) {
+export function BalancePatchEventHandler(
+  event: BalancePatchEvent,
+  state: State,
+  changes: StateChangeTracker
+) {
   let balance = state.balance[event.asset.toString()];
 
   if (!balance) {
@@ -41,7 +45,7 @@ export function BalancePatchEventHandler(event: BalancePatchEvent, state: State)
 
   state.timestamp = event.timestamp;
 
-  return balance;
+  changes.commit(balance);
 }
 
 /**
@@ -61,7 +65,11 @@ export class BalanceTransactEvent implements StoreEvent {
 /**
  * @see BalanceTransactEvent
  */
-export function BalanceTransactEventHandler(event: BalanceTransactEvent, state: State) {
+export function BalanceTransactEventHandler(
+  event: BalanceTransactEvent,
+  state: State,
+  changes: StateChangeTracker
+) {
   let balance = state.balance[event.asset.toString()];
 
   if (!balance) {
@@ -77,7 +85,7 @@ export function BalanceTransactEventHandler(event: BalanceTransactEvent, state:
 
   state.timestamp = event.timestamp;
 
-  return balance;
+  changes.commit(balance);
 }
 
 /**
@@ -97,7 +105,11 @@ export class BalanceFreezEvent implements StoreEvent {
 /**
  * @see BalanceFreezEvent
  */
-export function BalanceFreezEventHandler(event: BalanceFreezEvent, state: State) {
+export function BalanceFreezEventHandler(
+  event: BalanceFreezEvent,
+  state: State,
+  changes: StateChangeTracker
+) {
   const balance = state.balance[event.asset.toString()];
 
   if (!balance) {
@@ -109,7 +121,7 @@ export function BalanceFreezEventHandler(event: BalanceFreezEvent, state: State)
 
   state.timestamp = event.timestamp;
 
-  return balance;
+  changes.commit(balance);
 }
 
 /**
@@ -129,7 +141,11 @@ export class BalanceUnfreezEvent implements StoreEvent {
 /**
  * @see BalanceUnfreezEvent
  */
-export function BalanceUnfreezEventHandler(event: BalanceUnfreezEvent, state: State) {
+export function BalanceUnfreezEventHandler(
+  event: BalanceUnfreezEvent,
+  state: State,
+  changes: StateChangeTracker
+) {
   const balance = state.balance[event.asset.toString()];
 
   if (!balance) {
@@ -141,5 +157,5 @@ export function BalanceUnfreezEventHandler(event: BalanceUnfreezEvent, state: St
 
   state.timestamp = event.timestamp;
 
-  return balance;
+  changes.commit(balance);
 }

package/src/store/event/store-candle.event.spec.ts

@@ -1,7 +1,7 @@
 import { Asset, Instrument } from '../../domain';
-import { CandleEvent, CandleEventHandler } from '.';
-import { State } from '../store.state';
+import { CandleEvent } from '.';
 import { now } from '../../shared';
+import { Store } from '../store';
 
 const instrument = new Instrument(
   new Asset('btc', 'binance', 8),
@@ -12,21 +12,19 @@ const instrument = new Instrument(
 describe('candle patch event tests', () => {
   test('should patch trade object', () => {
     const timestamp = now();
-    const state = new State();
+    const store = new Store();
 
-    state.universe.instrument[instrument.toString()] = instrument;
-    state.subscription.instrument[instrument.toString()] = instrument;
+    store.snapshot.universe.instrument[instrument.toString()] = instrument;
+    store.snapshot.subscription.instrument[instrument.toString()] = instrument;
 
-    const event = new CandleEvent(instrument, 1, 1, 1, 1, 1, 1, timestamp);
+    store.dispatch(new CandleEvent(instrument, 1, 1, 1, 1, 1, 1, timestamp));
 
-    CandleEventHandler(event, state);
-
-    const trade = state.trade[instrument.toString()];
+    const trade = store.snapshot.trade[instrument.toString()];
 
     expect(trade.timestamp).toEqual(timestamp);
     expect(trade.instrument.toString()).toEqual(instrument.toString());
     expect(trade.rate).toEqual(1);
     expect(trade.quantity).toEqual(1);
-    expect(state.timestamp).toEqual(timestamp);
+    expect(store.snapshot.timestamp).toEqual(timestamp);
   });
 });

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

@@ -5,6 +5,7 @@ import { InstrumentSelector } from '../../domain';
 import { State } from '../store.state';
 import { StoreEvent } from './store.event';
 import { event } from '../../shared/topic';
+import { StateChangeTracker } from '..';
 
 @event
 export class CandleEvent implements StoreEvent {
@@ -22,36 +23,49 @@ export class CandleEvent implements StoreEvent {
   ) {}
 }
 
-export function CandleEventHandler(event: CandleEvent, state: State) {
+export function CandleEventHandler(
+  event: CandleEvent,
+  state: State,
+  changes: StateChangeTracker
+) {
   const instrument = state.universe.instrument[event.instrument.toString()];
 
-  // patch trade object
-  const trade = TradePatchEventHandler(
-    {
-      type: 'trade-patch',
-      instrument: event.instrument,
-      quantity: event.volume,
-      rate: event.close,
-      timestamp: event.timestamp
-    },
-    state
-  );
-
-  // patch orderbook by assuming candle close price is mid orderbook price
-  const orderbook = OrderbookPatchEventHandler(
-    {
-      type: 'orderbook-patch',
-      instrument: event.instrument,
-      bestAskQuantity: event.volume * 0.5,
-      bestAskRate: event.close + instrument.quote.tickSize,
-      bestBidQuantity: event.volume * 0.5,
-      bestBidRate: event.close - instrument.quote.tickSize,
-      timestamp: event.timestamp
-    },
-    state
-  );
-
-  state.timestamp = event.timestamp;
-
-  return [trade, orderbook];
+  const patch = (timestamp: number, rate: number) => {
+    // patch trade object
+    TradePatchEventHandler(
+      {
+        type: 'trade-patch',
+        instrument: event.instrument,
+        quantity: event.volume,
+        rate,
+        timestamp
+      },
+      state,
+      changes
+    );
+
+    // patch orderbook by assuming candle close price is mid orderbook price
+    OrderbookPatchEventHandler(
+      {
+        type: 'orderbook-patch',
+        instrument: event.instrument,
+        bestAskQuantity: instrument.base.fixed(event.volume * 0.5),
+        bestAskRate: rate,
+        bestBidQuantity: instrument.base.fixed(event.volume * 0.5),
+        bestBidRate: rate,
+        timestamp
+      },
+      state,
+      changes
+    );
+
+    state.timestamp = event.timestamp;
+
+    changes.commitPendingChanges();
+  };
+
+  patch(event.timestamp, instrument.quote.fixed(event.open));
+  patch(event.timestamp, instrument.quote.fixed(event.high));
+  patch(event.timestamp, instrument.quote.fixed(event.low));
+  patch(event.timestamp, instrument.quote.fixed(event.close));
 }

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

@@ -2,7 +2,7 @@ import { event } from '../../shared/topic';
 import { timestamp } from '../../shared';
 import { Asset, Commission } from '../../domain';
 import { Instrument, InstrumentSelector } from '../../domain/instrument';
-import { State } from '../../store';
+import { State, StateChangeTracker } from '../../store';
 import { StoreEvent } from './store.event';
 
 @event
@@ -13,13 +13,17 @@ export class InstrumentPatchEvent implements StoreEvent {
     readonly timestamp: timestamp,
     readonly base: Asset,
     readonly quote: Asset,
-    readonly commision: Commission,
+    readonly commission: Commission,
     readonly raw: string,
     readonly leverage?: number
   ) {}
 }
 
-export function InstrumentPatchEventHandler(event: InstrumentPatchEvent, state: State) {
+export function InstrumentPatchEventHandler(
+  event: InstrumentPatchEvent,
+  state: State,
+  changes: StateChangeTracker
+) {
   const selector = new InstrumentSelector(
     event.base.name,
     event.quote.name,
@@ -37,13 +41,13 @@ export function InstrumentPatchEventHandler(event: InstrumentPatchEvent, state:
   }
 
   instrument.timestamp = event.timestamp;
-  instrument.commission = event.commision;
+  instrument.commission = event.commission;
 
   if (event.leverage) {
     instrument.leverage = event.leverage;
   }
 
-  return instrument;
+  changes.commit(instrument);
 }
 
 @event
@@ -59,7 +63,8 @@ export class InstrumentSubscriptionEvent implements StoreEvent {
 
 export function InstrumentSubscriptionEventHandler(
   event: InstrumentSubscriptionEvent,
-  state: State
+  state: State,
+  changes: StateChangeTracker
 ) {
   const instrumentKey = event.instrument.toString();
 
@@ -75,5 +80,5 @@ export function InstrumentSubscriptionEventHandler(
     state.subscription.asset[instrument.quote.toString()] = instrument.quote;
   }
 
-  return instrument;
+  changes.commit(instrument);
 }

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

@@ -1,7 +1,7 @@
-import { State } from '../';
 import { now } from '../../shared';
 import { Asset, Instrument, Order } from '../../domain';
-import { OrderLoadEvent, OrderLoadEventHandler } from './store-order.event';
+import { OrderLoadEvent } from './store-order.event';
+import { Store } from '../store';
 
 const instrument = new Instrument(
   new Asset('btc', 'binance', 8),
@@ -12,17 +12,17 @@ const instrument = new Instrument(
 describe('order load event tests', () => {
   test('should load order to store', () => {
     const timestamp = now();
-    const state = new State();
+    const store = new Store();
     const order = Order.buyMarket(instrument, 1.0);
 
     order.state = 'PENDING';
 
-    state.universe.instrument[instrument.toString()] = instrument;
-    state.subscription.instrument[instrument.toString()] = instrument;
+    store.snapshot.universe.instrument[instrument.toString()] = instrument;
+    store.snapshot.subscription.instrument[instrument.toString()] = instrument;
 
-    OrderLoadEventHandler(new OrderLoadEvent(order, timestamp), state);
+    store.dispatch(new OrderLoadEvent(order, timestamp));
 
-    expect(Object.keys(state.order.pending).length).toEqual(1);
-    expect(state.order.pending[order.id]).toEqual(order);
+    expect(Object.keys(store.snapshot.order.pending).length).toEqual(1);
+    expect(store.snapshot.order.pending[order.id]).toEqual(order);
   });
 });

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

@@ -1,7 +1,7 @@
 import { event } from '../../shared/topic';
 import { timestamp } from '../../shared';
 import { Order } from '../../domain';
-import { State } from '../store.state';
+import { State, StateChangeTracker } from '../store.state';
 import { StoreEvent } from './store.event';
 
 @event
@@ -11,7 +11,11 @@ export class OrderLoadEvent implements StoreEvent {
   constructor(readonly order: Order, readonly timestamp: timestamp) {}
 }
 
-export function OrderLoadEventHandler(event: OrderLoadEvent, state: State) {
+export function OrderLoadEventHandler(
+  event: OrderLoadEvent,
+  state: State,
+  changes: StateChangeTracker
+) {
   event.order.timestamp = event.timestamp;
 
   switch (event.order.state) {
@@ -31,7 +35,7 @@ export function OrderLoadEventHandler(event: OrderLoadEvent, state: State) {
       break;
   }
 
-  return event.order;
+  changes.commit(event.order);
 }
 
 @event
@@ -41,7 +45,11 @@ export class OrderNewEvent implements StoreEvent {
   constructor(readonly order: Order, readonly timestamp: timestamp) {}
 }
 
-export function OrderNewEventHandler(event: OrderNewEvent, state: State) {
+export function OrderNewEventHandler(
+  event: OrderNewEvent,
+  state: State,
+  changes: StateChangeTracker
+) {
   if (event.order.state != 'NEW') {
     throw new Error(`Order is not new`);
   }
@@ -51,7 +59,7 @@ export function OrderNewEventHandler(event: OrderNewEvent, state: State) {
 
   state.order.pending[event.order.id] = event.order;
 
-  return event.order;
+  changes.commit(event.order);
 }
 
 @event
@@ -61,7 +69,11 @@ export class OrderPendingEvent implements StoreEvent {
   constructor(readonly id: string, readonly timestamp: timestamp) {}
 }
 
-export function OrderPendingEventHandler(event: OrderPendingEvent, state: State) {
+export function OrderPendingEventHandler(
+  event: OrderPendingEvent,
+  state: State,
+  changes: StateChangeTracker
+) {
   if (!(event.id in state.order.pending)) {
     throw new Error(`Trying to patch unknown order: ${event.id}`);
   }
@@ -75,7 +87,7 @@ export function OrderPendingEventHandler(event: OrderPendingEvent, state: State)
   order.state = 'PENDING';
   order.timestamp = event.timestamp;
 
-  return order;
+  changes.commit(order);
 }
 
 @event
@@ -89,7 +101,11 @@ export class OrderFilledEvent implements StoreEvent {
   ) {}
 }
 
-export function OrderFilledEventHandler(event: OrderFilledEvent, state: State) {
+export function OrderFilledEventHandler(
+  event: OrderFilledEvent,
+  state: State,
+  changes: StateChangeTracker
+) {
   if (!(event.id in state.order.pending)) {
     throw new Error(`Trying to patch unknown order: ${event.id}`);
   }
@@ -109,7 +125,7 @@ export function OrderFilledEventHandler(event: OrderFilledEvent, state: State) {
 
   state.order.filled[event.id] = order;
 
-  return order;
+  changes.commit(order);
 }
 
 @event
@@ -119,7 +135,11 @@ export class OrderCancelingEvent implements StoreEvent {
   constructor(readonly id: string, readonly timestamp: timestamp) {}
 }
 
-export function OrderCancelingEventHandler(event: OrderCancelingEvent, state: State) {
+export function OrderCancelingEventHandler(
+  event: OrderCancelingEvent,
+  state: State,
+  changes: StateChangeTracker
+) {
   if (!(event.id in state.order.pending)) {
     throw new Error(`Trying to patch unknown order: ${event.id}`);
   }
@@ -137,7 +157,7 @@ export function OrderCancelingEventHandler(event: OrderCancelingEvent, state: St
   order.state = 'CANCELING';
   order.timestamp = event.timestamp;
 
-  return order;
+  changes.commit(order);
 }
 
 @event
@@ -147,7 +167,11 @@ export class OrderCanceledEvent implements StoreEvent {
   constructor(readonly id: string, readonly timestamp: timestamp) {}
 }
 
-export function OrderCanceledEventHandler(event: OrderCanceledEvent, state: State) {
+export function OrderCanceledEventHandler(
+  event: OrderCanceledEvent,
+  state: State,
+  changes: StateChangeTracker
+) {
   const order = state.order.pending[event.id];
 
   if (order.state == 'CANCELED') {
@@ -165,7 +189,7 @@ export function OrderCanceledEventHandler(event: OrderCanceledEvent, state: Stat
 
   state.order.canceled[event.id] = order;
 
-  return order;
+  changes.commit(order);
 }
 
 @event
@@ -177,7 +201,8 @@ export class OrderCancelFailedEvent implements StoreEvent {
 
 export function OrderCancelFailedEventHandler(
   event: OrderCancelFailedEvent,
-  state: State
+  state: State,
+  changes: StateChangeTracker
 ) {
   const order = state.order.pending[event.id];
 
@@ -188,7 +213,7 @@ export function OrderCancelFailedEventHandler(
   order.state = 'PENDING';
   order.timestamp = event.timestamp;
 
-  return order;
+  changes.commit(order);
 }
 
 @event
@@ -198,7 +223,11 @@ export class OrderRejectedEvent implements StoreEvent {
   constructor(readonly id: string, readonly timestamp: timestamp) {}
 }
 
-export function OrderRejectedEventHandler(event: OrderRejectedEvent, state: State) {
+export function OrderRejectedEventHandler(
+  event: OrderRejectedEvent,
+  state: State,
+  changes: StateChangeTracker
+) {
   const order = state.order.pending[event.id];
 
   if (order.state != 'NEW') {
@@ -212,5 +241,5 @@ export function OrderRejectedEventHandler(event: OrderRejectedEvent, state: Stat
 
   state.order.rejected[event.id] = order;
 
-  return order;
+  changes.commit(order);
 }

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

@@ -2,7 +2,7 @@ import { event } from '../../shared/topic';
 import { timestamp } from '../../shared';
 import { InstrumentSelector } from '../../domain/instrument';
 import { Orderbook } from '../../domain/orderbook';
-import { State } from '../store.state';
+import { State, StateChangeTracker } from '../store.state';
 import { StoreEvent } from './store.event';
 
 @event
@@ -19,7 +19,11 @@ export class OrderbookPatchEvent implements StoreEvent {
   ) {}
 }
 
-export function OrderbookPatchEventHandler(event: OrderbookPatchEvent, state: State) {
+export function OrderbookPatchEventHandler(
+  event: OrderbookPatchEvent,
+  state: State,
+  changes: StateChangeTracker
+) {
   const instrumentKey = event.instrument.toString();
 
   if (!(instrumentKey in state.subscription.instrument)) {
@@ -62,5 +66,5 @@ export function OrderbookPatchEventHandler(event: OrderbookPatchEvent, state: St
     }
   }
 
-  return orderbook;
+  changes.commit(orderbook);
 }