@quantform/core 0.3.256 → 0.3.262

package/src/session/session.ts

@@ -146,19 +146,29 @@ export class Session {
   }
 
   /**
-   * Opens collection of orders.
+   * Opens a new order.
    * Example:
    * session.open(Order.buyMarket(instrument, 100));
    */
-  async open(...orders: Order[]): Promise<void> {
-    await Promise.all(orders.map(it => this.aggregate.open(it)));
+  open(order: Order): Observable<Order> {
+    return from(this.aggregate.open(order)).pipe(
+      switchMap(it =>
+        this.store.changes$.pipe(filter(it => it instanceof Order && it.id == it.id))
+      ),
+      map(it => it as Order)
+    );
   }
 
   /**
    * Cancels specific order.
    */
-  cancel(order: Order): Promise<void> {
-    return this.aggregate.cancel(order);
+  cancel(order: Order): Observable<Order> {
+    return from(this.aggregate.cancel(order)).pipe(
+      switchMap(it =>
+        this.store.changes$.pipe(filter(it => it instanceof Order && it.id == it.id))
+      ),
+      map(it => it as Order)
+    );
   }
 
   /**
@@ -191,14 +201,12 @@ export class Session {
   /**
    * Subscribes to trade/ticker changes.
    */
-  trade(selector?: InstrumentSelector): Observable<Trade> {
+  trade(selector: InstrumentSelector): Observable<Trade> {
     this.subscribe([selector]);
 
     return this.store.changes$.pipe(
       filter(
-        it =>
-          it instanceof Trade &&
-          (!selector || it.instrument.toString() == selector.toString())
+        it => it instanceof Trade && it.instrument.toString() == selector.toString()
       ),
       map(it => it as Trade)
     );
@@ -208,14 +216,12 @@ export class Session {
    * Subscribes to orderbook changes.
    * Right now you can access only best bid and best ask.
    */
-  orderbook(selector?: InstrumentSelector): Observable<Orderbook> {
+  orderbook(selector: InstrumentSelector): Observable<Orderbook> {
     this.subscribe([selector]);
 
     return this.store.changes$.pipe(
       filter(
-        it =>
-          it instanceof Orderbook &&
-          (!selector || it.instrument.toString() == selector.toString())
+        it => it instanceof Orderbook && it.instrument.toString() == selector.toString()
       ),
       map(it => it as Orderbook)
     );
@@ -224,14 +230,12 @@ export class Session {
   /**
    * Subscribes to position on leveraged market.
    */
-  position(selector?: InstrumentSelector): Observable<Position> {
+  position(selector: InstrumentSelector): Observable<Position> {
     this.subscribe([selector]);
 
     return this.store.changes$.pipe(
       filter(
-        it =>
-          it instanceof Position &&
-          (!selector || it.instrument.toString() == selector.toString())
+        it => it instanceof Position && it.instrument.toString() == selector.toString()
       ),
       map(it => it as Position)
     );
@@ -256,73 +260,44 @@ export class Session {
     );
   }
 
-  order(selector?: InstrumentSelector): Observable<Order> {
+  order(selector: InstrumentSelector): Observable<Order> {
     this.subscribe([selector]);
 
     return this.store.changes$.pipe(
       filter(
-        it =>
-          it instanceof Order &&
-          (!selector || it.instrument.toString() == selector.toString())
+        it => it instanceof Order && it.instrument.toString() == selector.toString()
       ),
       map(it => it as Order)
     );
   }
 
-  private ordersOf(
-    orders: Order[],
-    states: OrderState[],
-    selector?: InstrumentSelector
-  ): Observable<Order[]> {
+  orders(selector: InstrumentSelector, states?: OrderState[]): Observable<Order[]> {
     this.subscribe([selector]);
 
     return this.store.changes$.pipe(
       filter(
         it =>
           it instanceof Order &&
-          (!selector || it.instrument.toString() == selector.toString()) &&
-          (states.indexOf(it.state) >= 0 || states.length == 0)
-      ),
-      map(() =>
-        Object.values(orders)
-          .filter(it => !selector || it.instrument.toString() == selector.toString())
-          .sort((lhs, rhs) => rhs.createdAt - lhs.createdAt)
+          it.instrument.toString() == selector.toString() &&
+          (!states || states.includes(it.state))
       ),
-      startWith(
-        Object.values(orders)
-          .filter(it => !selector || it.instrument.toString() == selector.toString())
+      map(() => this.store.snapshot.order),
+      startWith(this.store.snapshot.order),
+      map(it =>
+        Object.values(it)
+          .filter(
+            it =>
+              it.instrument.toString() == selector.toString() &&
+              (states ? states.includes(it.state) : true)
+          )
           .sort((lhs, rhs) => rhs.createdAt - lhs.createdAt)
       )
     );
   }
 
-  pending(selector?: InstrumentSelector): Observable<Order[]> {
-    return this.ordersOf(
-      Object.values(this.store.snapshot.order.pending),
-      ['PENDING', 'NEW'],
-      selector
-    );
-  }
-
-  filled(selector?: InstrumentSelector): Observable<Order[]> {
-    return this.ordersOf(
-      Object.values(this.store.snapshot.order.filled),
-      ['FILLED'],
-      selector
-    );
-  }
-
-  canceled(selector?: InstrumentSelector): Observable<Order[]> {
-    return this.ordersOf(
-      Object.values(this.store.snapshot.order.canceled),
-      ['CANCELING', 'CANCELED'],
-      selector
-    );
-  }
-
   balance(selector: AssetSelector): Observable<Balance> {
     return this.store.changes$.pipe(
-      startWith(selector ? this.store.snapshot.balance[selector.toString()] : null),
+      startWith(this.store.snapshot.balance[selector.toString()]),
       filter(
         it =>
           it instanceof Balance &&
@@ -340,7 +315,9 @@ export class Session {
     return this.store.changes$.pipe(
       startWith(this.store.snapshot.universe.instrument[selector.toString()]),
       filter(it => it instanceof Instrument && it.toString() == selector.toString()),
-      switchMap(() => from(this.aggregate.history(selector, timeframe, length))),
+      switchMap(() =>
+        from(this.aggregate.history({ instrument: selector, timeframe, length }))
+      ),
       take(1),
       shareReplay(),
       mergeMap(it => it)

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

@@ -22,7 +22,7 @@ describe('order load event tests', () => {
 
     store.dispatch(new OrderLoadEvent(order, timestamp));
 
-    expect(Object.keys(store.snapshot.order.pending).length).toEqual(1);
-    expect(store.snapshot.order.pending[order.id]).toEqual(order);
+    expect(Object.keys(store.snapshot.order).length).toEqual(1);
+    expect(store.snapshot.order[order.id]).toEqual(order);
   });
 });

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

@@ -18,22 +18,7 @@ export function OrderLoadEventHandler(
 ) {
   event.order.timestamp = event.timestamp;
 
-  switch (event.order.state) {
-    case 'NEW':
-    case 'PENDING':
-      state.order.pending[event.order.id] = event.order;
-      break;
-    case 'FILLED':
-      state.order.filled[event.order.id] = event.order;
-      break;
-    case 'CANCELING':
-    case 'CANCELED':
-      state.order.canceled[event.order.id] = event.order;
-      break;
-    case 'REJECTED':
-      state.order.rejected[event.order.id] = event.order;
-      break;
-  }
+  state.order[event.order.id] = event.order;
 
   changes.commit(event.order);
 }
@@ -57,7 +42,7 @@ export function OrderNewEventHandler(
   event.order.createdAt = event.timestamp;
   event.order.timestamp = event.timestamp;
 
-  state.order.pending[event.order.id] = event.order;
+  state.order[event.order.id] = event.order;
 
   changes.commit(event.order);
 }
@@ -74,11 +59,11 @@ export function OrderPendingEventHandler(
   state: State,
   changes: StateChangeTracker
 ) {
-  if (!(event.id in state.order.pending)) {
+  if (!(event.id in state.order)) {
     throw new Error(`Trying to patch unknown order: ${event.id}`);
   }
 
-  const order = state.order.pending[event.id];
+  const order = state.order[event.id];
 
   if (order.state != 'NEW') {
     throw new Error(`Order is not new`);
@@ -106,11 +91,11 @@ export function OrderFilledEventHandler(
   state: State,
   changes: StateChangeTracker
 ) {
-  if (!(event.id in state.order.pending)) {
+  if (!(event.id in state.order)) {
     throw new Error(`Trying to patch unknown order: ${event.id}`);
   }
 
-  const order = state.order.pending[event.id];
+  const order = state.order[event.id];
 
   if (order.state != 'PENDING' && order.state != 'CANCELING') {
     throw new Error('Order is not pending');
@@ -121,10 +106,6 @@ export function OrderFilledEventHandler(
   order.quantityExecuted = order.quantity;
   order.averageExecutionRate = event.averageExecutionRate;
 
-  delete state.order.pending[event.id];
-
-  state.order.filled[event.id] = order;
-
   changes.commit(order);
 }
 
@@ -140,11 +121,11 @@ export function OrderCancelingEventHandler(
   state: State,
   changes: StateChangeTracker
 ) {
-  if (!(event.id in state.order.pending)) {
+  if (!(event.id in state.order)) {
     throw new Error(`Trying to patch unknown order: ${event.id}`);
   }
 
-  const order = state.order.pending[event.id];
+  const order = state.order[event.id];
 
   if (order.state == 'CANCELING' || order.state == 'CANCELED') {
     return;
@@ -172,7 +153,7 @@ export function OrderCanceledEventHandler(
   state: State,
   changes: StateChangeTracker
 ) {
-  const order = state.order.pending[event.id];
+  const order = state.order[event.id];
 
   if (order.state == 'CANCELED') {
     return;
@@ -185,10 +166,6 @@ export function OrderCanceledEventHandler(
   order.state = 'CANCELED';
   order.timestamp = event.timestamp;
 
-  delete state.order.pending[event.id];
-
-  state.order.canceled[event.id] = order;
-
   changes.commit(order);
 }
 
@@ -204,7 +181,7 @@ export function OrderCancelFailedEventHandler(
   state: State,
   changes: StateChangeTracker
 ) {
-  const order = state.order.pending[event.id];
+  const order = state.order[event.id];
 
   if (order.state != 'CANCELING') {
     return;
@@ -228,7 +205,7 @@ export function OrderRejectedEventHandler(
   state: State,
   changes: StateChangeTracker
 ) {
-  const order = state.order.pending[event.id];
+  const order = state.order[event.id];
 
   if (order.state != 'NEW') {
     throw new Error('Order is not new.');
@@ -237,9 +214,5 @@ export function OrderRejectedEventHandler(
   order.state = 'REJECTED';
   order.timestamp = event.timestamp;
 
-  delete state.order.pending[event.id];
-
-  state.order.rejected[event.id] = order;
-
   changes.commit(order);
 }

package/src/store/store.state.ts

@@ -39,16 +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/tests/backtester-adapter.spec.ts

@@ -1,5 +1,3 @@
-import { AdapterAwakeCommand } from '../adapter';
-import { AdapterSubscribeCommand } from '../adapter';
 import { Asset, Commission, instrumentOf } from '../domain';
 import { InMemoryStorage, Feed } from '../storage';
 import { Store } from '../store';
@@ -10,7 +8,6 @@ import { PaperExecutor } from '../adapter/paper/executor/paper-executor';
 import { PaperAdapter } from '../adapter/paper/paper-adapter';
 import { BacktesterAdapter } from '../adapter/backtester/backtester-adapter';
 import { BacktesterStreamer } from '../adapter/backtester/backtester-streamer';
-import { handler } from '../shared';
 
 const base = new Asset('btc', 'binance', 8);
 const quote = new Asset('usdt', 'binance', 4);
@@ -26,9 +23,10 @@ class DefaultAdapter extends Adapter {
     return new PaperSpotExecutor(adapter);
   }
 
-  @handler(AdapterAwakeCommand)
-  onAwake(command: AdapterAwakeCommand, context: AdapterContext) {
-    context.store.dispatch(
+  async awake(context: AdapterContext): Promise<void> {
+    await super.awake(context);
+
+    context.dispatch(
       new InstrumentPatchEvent(
         context.timestamp,
         base,
@@ -88,12 +86,8 @@ describe('backtester adapter tests', () => {
 
     const sut = new BacktesterAdapter(adapter, streamer);
 
-    sut.dispatch(new AdapterAwakeCommand(), new AdapterContext(sut, store));
-
-    sut.dispatch(
-      new AdapterSubscribeCommand([instrument]),
-      new AdapterContext(sut, store)
-    );
+    sut.awake(new AdapterContext(sut, store));
+    sut.subscribe([instrument]);
 
     expect(sut.name).toEqual('default');
   });

package/dist/adapter/adapter.event.d.ts

@@ -1,43 +0,0 @@
-import { Feed } from '../storage';
-import { timestamp } from '../shared';
-import { InstrumentSelector, Order } from '../domain';
-export declare class AdapterAwakeCommand {
-    type: string;
-}
-export declare class AdapterDisposeCommand {
-    type: string;
-}
-export declare class AdapterAccountCommand {
-    type: string;
-}
-export declare class AdapterSubscribeCommand {
-    readonly instrument: Array<InstrumentSelector>;
-    type: string;
-    constructor(instrument: Array<InstrumentSelector>);
-}
-export declare class AdapterOrderOpenCommand {
-    readonly order: Order;
-    type: string;
-    constructor(order: Order);
-}
-export declare class AdapterOrderCancelCommand {
-    readonly order: Order;
-    type: string;
-    constructor(order: Order);
-}
-export declare class AdapterHistoryQuery {
-    readonly instrument: InstrumentSelector;
-    readonly timeframe: number;
-    readonly length: number;
-    type: string;
-    constructor(instrument: InstrumentSelector, timeframe: number, length: number);
-}
-export declare class AdapterFeedCommand {
-    readonly instrument: InstrumentSelector;
-    readonly from: timestamp;
-    readonly to: timestamp;
-    readonly feed: Feed;
-    readonly progress: (timestamp: number) => void;
-    type: string;
-    constructor(instrument: InstrumentSelector, from: timestamp, to: timestamp, feed: Feed, progress: (timestamp: number) => void);
-}

package/dist/adapter/adapter.event.js

@@ -1,104 +0,0 @@
-"use strict";
-var __decorate = (this && this.__decorate) || function (decorators, target, key, desc) {
-    var c = arguments.length, r = c < 3 ? target : desc === null ? desc = Object.getOwnPropertyDescriptor(target, key) : desc, d;
-    if (typeof Reflect === "object" && typeof Reflect.decorate === "function") r = Reflect.decorate(decorators, target, key, desc);
-    else for (var i = decorators.length - 1; i >= 0; i--) if (d = decorators[i]) r = (c < 3 ? d(r) : c > 3 ? d(target, key, r) : d(target, key)) || r;
-    return c > 3 && r && Object.defineProperty(target, key, r), r;
-};
-var __metadata = (this && this.__metadata) || function (k, v) {
-    if (typeof Reflect === "object" && typeof Reflect.metadata === "function") return Reflect.metadata(k, v);
-};
-Object.defineProperty(exports, "__esModule", { value: true });
-exports.AdapterFeedCommand = exports.AdapterHistoryQuery = exports.AdapterOrderCancelCommand = exports.AdapterOrderOpenCommand = exports.AdapterSubscribeCommand = exports.AdapterAccountCommand = exports.AdapterDisposeCommand = exports.AdapterAwakeCommand = void 0;
-const storage_1 = require("../storage");
-const domain_1 = require("../domain");
-const topic_1 = require("../shared/topic");
-let AdapterAwakeCommand = class AdapterAwakeCommand {
-    constructor() {
-        this.type = 'awake';
-    }
-};
-AdapterAwakeCommand = __decorate([
-    topic_1.event
-], AdapterAwakeCommand);
-exports.AdapterAwakeCommand = AdapterAwakeCommand;
-let AdapterDisposeCommand = class AdapterDisposeCommand {
-    constructor() {
-        this.type = 'dispose';
-    }
-};
-AdapterDisposeCommand = __decorate([
-    topic_1.event
-], AdapterDisposeCommand);
-exports.AdapterDisposeCommand = AdapterDisposeCommand;
-let AdapterAccountCommand = class AdapterAccountCommand {
-    constructor() {
-        this.type = 'account';
-    }
-};
-AdapterAccountCommand = __decorate([
-    topic_1.event
-], AdapterAccountCommand);
-exports.AdapterAccountCommand = AdapterAccountCommand;
-let AdapterSubscribeCommand = class AdapterSubscribeCommand {
-    constructor(instrument) {
-        this.instrument = instrument;
-        this.type = 'subscribe';
-    }
-};
-AdapterSubscribeCommand = __decorate([
-    topic_1.event,
-    __metadata("design:paramtypes", [Array])
-], AdapterSubscribeCommand);
-exports.AdapterSubscribeCommand = AdapterSubscribeCommand;
-let AdapterOrderOpenCommand = class AdapterOrderOpenCommand {
-    constructor(order) {
-        this.order = order;
-        this.type = 'order-open';
-    }
-};
-AdapterOrderOpenCommand = __decorate([
-    topic_1.event,
-    __metadata("design:paramtypes", [domain_1.Order])
-], AdapterOrderOpenCommand);
-exports.AdapterOrderOpenCommand = AdapterOrderOpenCommand;
-let AdapterOrderCancelCommand = class AdapterOrderCancelCommand {
-    constructor(order) {
-        this.order = order;
-        this.type = 'order-cancel';
-    }
-};
-AdapterOrderCancelCommand = __decorate([
-    topic_1.event,
-    __metadata("design:paramtypes", [domain_1.Order])
-], AdapterOrderCancelCommand);
-exports.AdapterOrderCancelCommand = AdapterOrderCancelCommand;
-let AdapterHistoryQuery = class AdapterHistoryQuery {
-    constructor(instrument, timeframe, length) {
-        this.instrument = instrument;
-        this.timeframe = timeframe;
-        this.length = length;
-        this.type = 'history';
-    }
-};
-AdapterHistoryQuery = __decorate([
-    topic_1.event,
-    __metadata("design:paramtypes", [domain_1.InstrumentSelector, Number, Number])
-], AdapterHistoryQuery);
-exports.AdapterHistoryQuery = AdapterHistoryQuery;
-let AdapterFeedCommand = class AdapterFeedCommand {
-    constructor(instrument, from, to, feed, progress) {
-        this.instrument = instrument;
-        this.from = from;
-        this.to = to;
-        this.feed = feed;
-        this.progress = progress;
-        this.type = 'feed';
-    }
-};
-AdapterFeedCommand = __decorate([
-    topic_1.event,
-    __metadata("design:paramtypes", [domain_1.InstrumentSelector, Number, Number, storage_1.Feed, Function])
-], AdapterFeedCommand);
-exports.AdapterFeedCommand = AdapterFeedCommand;
-//# sourceMappingURL=adapter.event.js.map

package/dist/adapter/adapter.event.js.map

@@ -1 +0,0 @@
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package/src/adapter/adapter.event.ts

@@ -1,64 +0,0 @@
-import { Feed } from '../storage';
-import { timestamp } from '../shared';
-import { InstrumentSelector, Order } from '../domain';
-import { event } from '../shared/topic';
-
-@event
-export class AdapterAwakeCommand {
-  type = 'awake';
-}
-
-@event
-export class AdapterDisposeCommand {
-  type = 'dispose';
-}
-
-@event
-export class AdapterAccountCommand {
-  type = 'account';
-}
-
-@event
-export class AdapterSubscribeCommand {
-  type = 'subscribe';
-
-  constructor(readonly instrument: Array<InstrumentSelector>) {}
-}
-
-@event
-export class AdapterOrderOpenCommand {
-  type = 'order-open';
-
-  constructor(readonly order: Order) {}
-}
-
-@event
-export class AdapterOrderCancelCommand {
-  type = 'order-cancel';
-
-  constructor(readonly order: Order) {}
-}
-
-@event
-export class AdapterHistoryQuery {
-  type = 'history';
-
-  constructor(
-    readonly instrument: InstrumentSelector,
-    readonly timeframe: number,
-    readonly length: number
-  ) {}
-}
-
-@event
-export class AdapterFeedCommand {
-  type = 'feed';
-
-  constructor(
-    readonly instrument: InstrumentSelector,
-    readonly from: timestamp,
-    readonly to: timestamp,
-    readonly feed: Feed,
-    readonly progress: (timestamp: number) => void
-  ) {}
-}