@quantform/core 0.3.254 → 0.3.259

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);
 }

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

@@ -1,7 +1,7 @@
 import { event } from '../../shared/topic';
 import { timestamp } from '../../shared';
 import { Position, Instrument, PositionMode } 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 PositionLoadEvent implements StoreEvent {
   constructor(readonly position: Position, readonly timestamp: timestamp) {}
 }
 
-export function PositionLoadEventHandler(event: PositionLoadEvent, state: State) {
+export function PositionLoadEventHandler(
+  event: PositionLoadEvent,
+  state: State,
+  changes: StateChangeTracker
+) {
   if (
     event.position.instrument.toString()! in state.subscription.instrument ||
     event.position.size == 0
@@ -50,7 +54,11 @@ export class PositionPatchEvent implements StoreEvent {
   ) {}
 }
 
-export function PositionPatchEventHandler(event: PositionPatchEvent, state: State) {
+export function PositionPatchEventHandler(
+  event: PositionPatchEvent,
+  state: State,
+  changes: StateChangeTracker
+) {
   if (!(event.instrument.toString() in state.subscription.instrument)) {
     return;
   }
@@ -74,10 +82,9 @@ export function PositionPatchEventHandler(event: PositionPatchEvent, state: Stat
         position.calculatePnL(rate);
       }
 
-      return [position, balance];
+      changes.commit(position);
+      changes.commit(balance);
     }
-
-    return;
   }
 
   if (!position) {
@@ -97,5 +104,6 @@ export function PositionPatchEventHandler(event: PositionPatchEvent, state: Stat
     position.calculatePnL(rate);
   }
 
-  return [position, balance];
+  changes.commit(position);
+  changes.commit(balance);
 }

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

@@ -1,7 +1,7 @@
 import { Asset, Instrument } from '../../domain';
-import { TradePatchEvent, TradePatchEventHandler } from '.';
-import { State } from '../store.state';
+import { TradePatchEvent } from '.';
 import { now } from '../../shared';
+import { Store } from '..';
 
 const instrument = new Instrument(
   new Asset('btc', 'binance', 8),
@@ -12,49 +12,47 @@ const instrument = new Instrument(
 describe('trade patch event tests', () => {
   test('should create a new trade object and patch a store', () => {
     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 TradePatchEvent(instrument, 1000, 0.1, timestamp);
+    store.dispatch(new TradePatchEvent(instrument, 1000, 0.1, timestamp));
 
-    TradePatchEventHandler(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(trade.instrument.toString());
     expect(trade.rate).toEqual(1000);
     expect(trade.quantity).toEqual(0.1);
-    expect(state.timestamp).toEqual(timestamp);
+    expect(store.snapshot.timestamp).toEqual(timestamp);
   });
 
   test('should use the existing instance of trade when patching a store', () => {
-    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;
 
-    TradePatchEventHandler(new TradePatchEvent(instrument, 1000, 0.1, now()), state);
+    store.dispatch(new TradePatchEvent(instrument, 1000, 0.1, now()));
 
     const timestamp = now();
-    const trade = state.trade[instrument.toString()];
+    const trade = store.snapshot.trade[instrument.toString()];
 
-    TradePatchEventHandler(new TradePatchEvent(instrument, 2000, 0.2, timestamp), state);
+    store.dispatch(new TradePatchEvent(instrument, 2000, 0.2, now()));
 
     expect(trade.timestamp).toEqual(timestamp);
     expect(trade.instrument.toString()).toEqual(instrument.toString());
     expect(trade.rate).toEqual(2000);
     expect(trade.quantity).toEqual(0.2);
-    expect(state.timestamp).toEqual(timestamp);
+    expect(store.snapshot.timestamp).toEqual(timestamp);
   });
 
   test('should throw exception when patching unsubscribed instrument', () => {
-    const fn = () => {
-      const event = new TradePatchEvent(instrument, 1000, 0.1, now());
+    const store = new Store();
 
-      TradePatchEventHandler(event, new State());
+    const fn = () => {
+      store.dispatch(new TradePatchEvent(instrument, 1000, 0.1, now()));
     };
 
     expect(fn).toThrow(Error);

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

@@ -2,7 +2,7 @@ import { event } from '../../shared/topic';
 import { timestamp } from '../../shared';
 import { Trade } from '../../domain';
 import { InstrumentSelector } from '../../domain/instrument';
-import { State } from '../store.state';
+import { State, StateChangeTracker } from '../store.state';
 import { StoreEvent } from './store.event';
 
 /**
@@ -24,7 +24,11 @@ export class TradePatchEvent implements StoreEvent {
  * Patches a store with specific event @see TradePatchEvent
  * If there is no specific @see Trade in store, it will create a new one.
  */
-export function TradePatchEventHandler(event: TradePatchEvent, state: State) {
+export function TradePatchEventHandler(
+  event: TradePatchEvent,
+  state: State,
+  changes: StateChangeTracker
+) {
   const instrumentKey = event.instrument.toString();
 
   if (!(instrumentKey in state.subscription.instrument)) {
@@ -44,5 +48,5 @@ export function TradePatchEventHandler(event: TradePatchEvent, state: State) {
   trade.rate = trade.instrument.quote.fixed(event.rate);
   trade.quantity = trade.instrument.base.fixed(event.quantity);
 
-  return trade;
+  changes.commit(trade);
 }

package/src/store/store.state.ts

@@ -7,13 +7,19 @@ import {
   Asset,
   Trade,
   AssetSelector,
-  InstrumentSelector
+  InstrumentSelector,
+  Component
 } from '../domain';
 
+export interface StateChangeTracker {
+  commit(component: Component);
+  commitPendingChanges();
+}
+
 export class State {
   timestamp: timestamp;
 
-  // all available trasing assets and instruments
+  // available trading assets and instruments
   universe: {
     asset: Record<string, Asset>;
     instrument: Record<string, Instrument>;
@@ -33,16 +39,5 @@ export class State {
   trade: Record<string, Trade> = {};
   orderbook: Record<string, Orderbook> = {};
   balance: Record<string, Balance> = {};
-
-  order: {
-    pending: Record<string, Order>;
-    filled: Record<string, Order>;
-    canceled: Record<string, Order>;
-    rejected: Record<string, Order>;
-  } = {
-    pending: {},
-    filled: {},
-    canceled: {},
-    rejected: {}
-  };
+  order: Record<string, Order> = {};
 }

package/src/store/store.ts

@@ -1,5 +1,5 @@
 import { BehaviorSubject, Observable, Subject } from 'rxjs';
-import { State } from './store.state';
+import { State, StateChangeTracker } from './store.state';
 import { Component } from '../domain';
 import { Set } from 'typescript-collections';
 import { StoreEvent } from './event/store.event';
@@ -44,7 +44,8 @@ import {
   PositionPatchEventHandler
 } from './event';
 
-export class Store extends Topic<StoreEvent, any> {
+export class Store extends Topic<StoreEvent, any> implements StateChangeTracker {
+  private readonly pendingChanges = new Set<Component>();
   private readonly changes = new Subject<Component>();
   private readonly state = new BehaviorSubject<State>(new State());
 
@@ -61,19 +62,20 @@ export class Store extends Topic<StoreEvent, any> {
   }
 
   dispatch(...events: StoreEvent[]) {
-    const notifyComponentsChanged = new Set<Component>();
-
     for (const event of events) {
-      const componentOrComponents = super.dispatch(event, {});
-
-      if (Array.isArray(componentOrComponents)) {
-        componentOrComponents.forEach(it => notifyComponentsChanged.add(it));
-      } else {
-        notifyComponentsChanged.add(componentOrComponents);
-      }
+      super.dispatch(event, {});
     }
 
-    notifyComponentsChanged.forEach(it => this.changes.next(it));
+    this.commitPendingChanges();
+  }
+
+  commit(component: Component) {
+    this.pendingChanges.add(component);
+  }
+
+  commitPendingChanges() {
+    this.pendingChanges.forEach(it => this.changes.next(it));
+    this.pendingChanges.clear();
   }
 
   dispose() {
@@ -86,7 +88,7 @@ export class Store extends Topic<StoreEvent, any> {
    */
   @handler(InstrumentPatchEvent)
   onInstrumentPatch(event: InstrumentPatchEvent) {
-    return InstrumentPatchEventHandler(event, this.snapshot);
+    return InstrumentPatchEventHandler(event, this.snapshot, this);
   }
 
   /**
@@ -94,7 +96,7 @@ export class Store extends Topic<StoreEvent, any> {
    */
   @handler(InstrumentSubscriptionEvent)
   onInstrumentSubscription(event: InstrumentSubscriptionEvent) {
-    return InstrumentSubscriptionEventHandler(event, this.snapshot);
+    return InstrumentSubscriptionEventHandler(event, this.snapshot, this);
   }
 
   /**
@@ -102,7 +104,7 @@ export class Store extends Topic<StoreEvent, any> {
    */
   @handler(BalancePatchEvent)
   onBalancePatch(event: BalancePatchEvent) {
-    return BalancePatchEventHandler(event, this.snapshot);
+    return BalancePatchEventHandler(event, this.snapshot, this);
   }
 
   /**
@@ -110,7 +112,7 @@ export class Store extends Topic<StoreEvent, any> {
    */
   @handler(BalanceTransactEvent)
   onBalanceTransact(event: BalanceTransactEvent) {
-    return BalanceTransactEventHandler(event, this.snapshot);
+    return BalanceTransactEventHandler(event, this.snapshot, this);
   }
 
   /**
@@ -118,7 +120,7 @@ export class Store extends Topic<StoreEvent, any> {
    */
   @handler(BalanceFreezEvent)
   onBalanceFreez(event: BalanceFreezEvent) {
-    return BalanceFreezEventHandler(event, this.snapshot);
+    return BalanceFreezEventHandler(event, this.snapshot, this);
   }
 
   /**
@@ -126,7 +128,7 @@ export class Store extends Topic<StoreEvent, any> {
    */
   @handler(BalanceUnfreezEvent)
   onBalanceUnfreez(event: BalanceUnfreezEvent) {
-    return BalanceUnfreezEventHandler(event, this.snapshot);
+    return BalanceUnfreezEventHandler(event, this.snapshot, this);
   }
 
   /**
@@ -134,7 +136,7 @@ export class Store extends Topic<StoreEvent, any> {
    */
   @handler(OrderLoadEvent)
   onOrderLoad(event: OrderLoadEvent) {
-    return OrderLoadEventHandler(event, this.snapshot);
+    return OrderLoadEventHandler(event, this.snapshot, this);
   }
 
   /**
@@ -142,7 +144,7 @@ export class Store extends Topic<StoreEvent, any> {
    */
   @handler(OrderNewEvent)
   onOrderNew(event: OrderNewEvent) {
-    return OrderNewEventHandler(event, this.snapshot);
+    return OrderNewEventHandler(event, this.snapshot, this);
   }
 
   /**
@@ -150,7 +152,7 @@ export class Store extends Topic<StoreEvent, any> {
    */
   @handler(OrderPendingEvent)
   onOrderPending(event: OrderPendingEvent) {
-    return OrderPendingEventHandler(event, this.snapshot);
+    return OrderPendingEventHandler(event, this.snapshot, this);
   }
 
   /**
@@ -158,7 +160,7 @@ export class Store extends Topic<StoreEvent, any> {
    */
   @handler(OrderFilledEvent)
   onOrderFilled(event: OrderFilledEvent) {
-    return OrderFilledEventHandler(event, this.snapshot);
+    return OrderFilledEventHandler(event, this.snapshot, this);
   }
 
   /**
@@ -166,7 +168,7 @@ export class Store extends Topic<StoreEvent, any> {
    */
   @handler(OrderCancelingEvent)
   onOrderCanceling(event: OrderCancelingEvent) {
-    return OrderCancelingEventHandler(event, this.snapshot);
+    return OrderCancelingEventHandler(event, this.snapshot, this);
   }
 
   /**
@@ -174,7 +176,7 @@ export class Store extends Topic<StoreEvent, any> {
    */
   @handler(OrderCanceledEvent)
   onOrderCanceled(event: OrderCanceledEvent) {
-    return OrderCanceledEventHandler(event, this.snapshot);
+    return OrderCanceledEventHandler(event, this.snapshot, this);
   }
 
   /**
@@ -182,7 +184,7 @@ export class Store extends Topic<StoreEvent, any> {
    */
   @handler(OrderCancelFailedEvent)
   onOrderCancelFailed(event: OrderCancelFailedEvent) {
-    return OrderCancelFailedEventHandler(event, this.snapshot);
+    return OrderCancelFailedEventHandler(event, this.snapshot, this);
   }
 
   /**
@@ -190,7 +192,7 @@ export class Store extends Topic<StoreEvent, any> {
    */
   @handler(OrderRejectedEvent)
   onOrderRejected(event: OrderRejectedEvent) {
-    return OrderRejectedEventHandler(event, this.snapshot);
+    return OrderRejectedEventHandler(event, this.snapshot, this);
   }
 
   /**
@@ -198,7 +200,7 @@ export class Store extends Topic<StoreEvent, any> {
    */
   @handler(OrderbookPatchEvent)
   onOrderbookPatch(event: OrderbookPatchEvent) {
-    return OrderbookPatchEventHandler(event, this.snapshot);
+    return OrderbookPatchEventHandler(event, this.snapshot, this);
   }
 
   /**
@@ -206,7 +208,7 @@ export class Store extends Topic<StoreEvent, any> {
    */
   @handler(PositionLoadEvent)
   onPositionLoad(event: PositionLoadEvent) {
-    return PositionLoadEventHandler(event, this.snapshot);
+    return PositionLoadEventHandler(event, this.snapshot, this);
   }
 
   /**
@@ -214,7 +216,7 @@ export class Store extends Topic<StoreEvent, any> {
    */
   @handler(PositionPatchEvent)
   onPositionPatch(event: PositionPatchEvent) {
-    return PositionPatchEventHandler(event, this.snapshot);
+    return PositionPatchEventHandler(event, this.snapshot, this);
   }
 
   /**
@@ -222,7 +224,7 @@ export class Store extends Topic<StoreEvent, any> {
    */
   @handler(TradePatchEvent)
   onTradePatch(event: TradePatchEvent) {
-    return TradePatchEventHandler(event, this.snapshot);
+    return TradePatchEventHandler(event, this.snapshot, this);
   }
 
   /**
@@ -230,6 +232,6 @@ export class Store extends Topic<StoreEvent, any> {
    */
   @handler(CandleEvent)
   onCandle(event: CandleEvent) {
-    return CandleEventHandler(event, this.snapshot);
+    return CandleEventHandler(event, this.snapshot, this);
   }
 }