@quantform/core 0.3.262 → 0.3.267

package/src/adapter/adapter.ts

@@ -1,5 +1,5 @@
 import { now, timestamp } from '../shared';
-import { PaperExecutor } from './paper/executor/paper-executor';
+import { PaperSimulator } from './paper/simulator/paper-simulator';
 import { PaperAdapter } from './paper';
 import { State, Store } from '../store';
 import { InstrumentSelector, Order, Candle } from '../domain';
@@ -106,5 +106,5 @@ export abstract class Adapter {
     throw new Error('method not implemented');
   }
 
-  abstract createPaperExecutor(adapter: PaperAdapter): PaperExecutor;
+  abstract createPaperSimulator(adapter: PaperAdapter): PaperSimulator;
 }

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

@@ -4,7 +4,7 @@ import { PaperAdapter, PaperOptions } from '../paper';
 import { timestamp } from '../../shared';
 import { InstrumentSubscriptionEvent } from '../../store/event';
 import { InstrumentSelector, Order, Candle } from '../../domain';
-import { PaperExecutor } from '../paper/executor/paper-executor';
+import { PaperSimulator } from '../paper/simulator/paper-simulator';
 import { FeedQuery, HistoryQuery } from '../adapter';
 
 export class BacktesterOptions extends PaperOptions {
@@ -24,7 +24,7 @@ export class BacktesterAdapter extends Adapter {
   }
 
   async awake(context: AdapterContext): Promise<void> {
-    await this.awake(context);
+    await super.awake(context);
     await this.decoratedAdapter.awake(context);
   }
 
@@ -70,7 +70,7 @@ export class BacktesterAdapter extends Adapter {
     return this.decoratedAdapter.feed(query);
   }
 
-  createPaperExecutor(adapter: PaperAdapter): PaperExecutor {
-    return this.decoratedAdapter.createPaperExecutor(adapter);
+  createPaperSimulator(adapter: PaperAdapter): PaperSimulator {
+    return this.decoratedAdapter.createPaperSimulator(adapter);
   }
 }

package/src/adapter/paper/index.ts

@@ -1,3 +1,3 @@
 export * from './paper-adapter';
-export * from './executor/paper-spot-executor';
-export * from './executor/paper-margin-executor';
+export * from './simulator/paper-spot-simulator';
+export * from './simulator/paper-margin-simulator';

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

@@ -1,8 +1,8 @@
-import { PaperSpotExecutor } from '.';
+import { PaperSpotSimulator } from '.';
 import { AdapterContext } from '..';
 import { Store } from '../../store';
 import { Adapter } from '../adapter';
-import { PaperExecutor } from './executor/paper-executor';
+import { PaperSimulator } from './simulator/paper-simulator';
 import { PaperAdapter } from './paper-adapter';
 import { Order, Asset, Commission, assetOf } from './../../domain';
 import { instrumentOf } from './../../domain/instrument';
@@ -29,8 +29,8 @@ class DefaultAdapter extends Adapter {
     );
   }
 
-  createPaperExecutor(adapter: PaperAdapter): PaperExecutor {
-    return new PaperSpotExecutor(adapter);
+  createPaperSimulator(adapter: PaperAdapter): PaperSimulator {
+    return new PaperSpotSimulator(adapter);
   }
 }
 

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

@@ -1,6 +1,6 @@
 import { Adapter, AdapterContext } from '..';
 import { Store } from '../../store';
-import { PaperExecutor } from './executor/paper-executor';
+import { PaperSimulator } from './simulator/paper-simulator';
 import { assetOf, Candle, InstrumentSelector, Order } from '../../domain';
 import { BalancePatchEvent } from '../../store/event';
 import { Feed } from 'src/storage';
@@ -12,7 +12,7 @@ export class PaperOptions {
 
 export class PaperAdapter extends Adapter {
   readonly name = this.decoratedAdapter.name;
-  readonly executor: PaperExecutor;
+  readonly simulator: PaperSimulator;
 
   constructor(
     readonly decoratedAdapter: Adapter,
@@ -21,7 +21,7 @@ export class PaperAdapter extends Adapter {
   ) {
     super();
 
-    this.executor = this.createPaperExecutor(this);
+    this.simulator = this.createPaperSimulator(this);
   }
 
   timestamp() {
@@ -68,11 +68,11 @@ export class PaperAdapter extends Adapter {
   }
 
   async open(order: Order): Promise<void> {
-    this.executor.open(order);
+    this.simulator.open(order);
   }
 
   async cancel(order: Order): Promise<void> {
-    this.executor.cancel(order);
+    this.simulator.cancel(order);
   }
 
   history(query: HistoryQuery): Promise<Candle[]> {
@@ -83,7 +83,7 @@ export class PaperAdapter extends Adapter {
     return this.decoratedAdapter.feed(query);
   }
 
-  createPaperExecutor(adapter: PaperAdapter): PaperExecutor {
-    return this.decoratedAdapter.createPaperExecutor(adapter);
+  createPaperSimulator(adapter: PaperAdapter): PaperSimulator {
+    return this.decoratedAdapter.createPaperSimulator(adapter);
   }
 }

package/src/adapter/paper/{executor/paper-margin-executor.ts → simulator/paper-margin-simulator.ts}

@@ -10,9 +10,9 @@ import {
   PositionPatchEvent
 } from '../../../store/event';
 import { PaperAdapter } from '..';
-import { PaperExecutor } from './paper-executor';
+import { PaperSimulator } from './paper-simulator';
 
-export class PaperMarginExecutor extends PaperExecutor {
+export class PaperMarginSimulator extends PaperSimulator {
   leverage = 10;
 
   constructor(adapter: PaperAdapter) {

package/src/adapter/paper/{executor/paper-executor.ts → simulator/paper-simulator.ts}

@@ -3,7 +3,7 @@ import { Component, InstrumentSelector, Order, Orderbook, Trade } from '../../..
 import { PaperAdapter } from '..';
 import { Set } from 'typescript-collections';
 
-export abstract class PaperExecutor {
+export abstract class PaperSimulator {
   private readonly pending: Record<string, Set<Order>> = {};
 
   constructor(readonly adapter: PaperAdapter) {

package/src/adapter/paper/simulator/paper-spot-simulator.spec.ts

@@ -0,0 +1,88 @@
+import { Adapter, AdapterContext } from './../../adapter';
+import {
+  BalancePatchEvent,
+  InstrumentPatchEvent,
+  InstrumentSubscriptionEvent,
+  OrderbookPatchEvent,
+  TradePatchEvent
+} from './../../../store/event';
+import { Store } from './../../../store';
+import { PaperSimulator } from './paper-simulator';
+import { PaperAdapter } from '../paper-adapter';
+import { PaperSpotSimulator } from './paper-spot-simulator';
+import {
+  Asset,
+  Commission,
+  Order,
+  instrumentOf,
+  assetOf,
+  commissionPercentOf
+} from './../../../domain';
+
+class DefaultAdapter extends Adapter {
+  name = 'default';
+
+  timestamp() {
+    return 123;
+  }
+
+  async awake(context: AdapterContext): Promise<void> {
+    await super.awake(context);
+
+    context.dispatch(
+      new InstrumentPatchEvent(
+        context.timestamp,
+        new Asset('a', this.name, 8),
+        new Asset('b', this.name, 4),
+        new Commission(0.1, 0.1),
+        'a-b'
+      )
+    );
+  }
+
+  createPaperSimulator(adapter: PaperAdapter): PaperSimulator {
+    return new PaperSpotSimulator(adapter);
+  }
+}
+
+describe('paper spot simulator tests', () => {
+  const options = {
+    balance: {
+      ['default:a']: 1000,
+      ['default:b']: 200
+    }
+  };
+
+  test('should open an market order', async () => {
+    const store = new Store();
+    const adapter = new DefaultAdapter();
+    const order = Order.buyMarket(instrumentOf('default:a-b'), 1);
+
+    store.dispatch(
+      new InstrumentPatchEvent(
+        0,
+        new Asset('a', 'default', 8),
+        new Asset('b', 'default', 4),
+        commissionPercentOf(0.1, 0.1),
+        'a-b'
+      ),
+      new BalancePatchEvent(assetOf('default:a'), 1000, 0, 1)
+    );
+    store.dispatch(new BalancePatchEvent(assetOf('default:b'), 1000, 0, 1));
+    store.dispatch(new InstrumentSubscriptionEvent(1, instrumentOf('default:a-b'), true));
+
+    const sut = new PaperSpotSimulator(new PaperAdapter(adapter, store, options));
+
+    await sut.open(order);
+
+    expect(store.snapshot.order[order.id].state).toBe('PENDING');
+
+    store.dispatch(new TradePatchEvent(instrumentOf('default:a-b'), 5, 1, 2));
+
+    expect(store.snapshot.order[order.id].quantity).toBe(1);
+    expect(store.snapshot.order[order.id].averageExecutionRate).toBe(5);
+    expect(store.snapshot.order[order.id].state).toBe('FILLED');
+    expect(store.snapshot.balance['default:b'].free).toBe(995);
+    expect(store.snapshot.balance['default:a'].free).toBe(1000.999);
+  });
+});

package/src/adapter/paper/{executor/paper-spot-executor.ts → simulator/paper-spot-simulator.ts}

@@ -10,10 +10,10 @@ import {
   OrderPendingEvent
 } from '../../../store/event';
 import { PaperAdapter } from '..';
-import { PaperExecutor } from './paper-executor';
+import { PaperSimulator } from './paper-simulator';
 import { timestamp } from '../../../shared';
 
-export class PaperSpotExecutor extends PaperExecutor {
+export class PaperSpotSimulator extends PaperSimulator {
   constructor(readonly adapter: PaperAdapter) {
     super(adapter);
   }

package/src/bootstrap.ts

@@ -5,7 +5,7 @@ import {
 } from './adapter/backtester';
 import { AdapterAggregate } from './adapter';
 import { PaperAdapter } from './adapter/paper';
-import { Session, SessionDescriptor } from './session';
+import { Session, SessionDescriptor } from './domain';
 import { Store } from './store';
 
 export class Bootstrap {

package/src/domain/index.ts

@@ -10,3 +10,6 @@ export * from './candle-builder';
 export * from './timeframe';
 export * from './position';
 export * from './trade';
+export * from './session';
+export * from './session-descriptor';
+export * from './statement';

package/src/{session → domain}/session-descriptor.ts

@@ -1,8 +1,8 @@
 import { Adapter } from '../adapter';
 import { Measurement } from '../storage/measurement';
 import { Feed } from '../storage';
-import { BacktesterOptions } from './../adapter/backtester';
-import { PaperOptions } from './../adapter/paper';
+import { BacktesterOptions } from '../adapter/backtester';
+import { PaperOptions } from '../adapter/paper';
 
 /**
  * Describes a single session.

package/src/{session/session-statement.ts → domain/statement.ts}

@@ -1,5 +1,5 @@
 import { Session } from '.';
-import { InstrumentSelector } from '../domain';
+import { InstrumentSelector } from '.';
 import { combineLatest, finalize, map, take, tap } from 'rxjs';
 import { drawdown } from '../indicator';
 import { floor, precision } from '../shared';

package/src/index.ts

@@ -4,7 +4,6 @@ export * from './adapter';
 export * from './adapter/backtester';
 export * from './adapter/paper';
 export * from './indicator';
-export * from './session';
 export * from './storage';
 export * from './store';
 export * from './store/event';

package/src/ipc.spec.ts

@@ -1,6 +1,6 @@
 import { Adapter, AdapterContext } from './adapter';
-import { PaperAdapter, PaperSpotExecutor } from './adapter/paper';
-import { PaperExecutor } from './adapter/paper/executor/paper-executor';
+import { PaperAdapter, PaperSpotSimulator } from './adapter/paper';
+import { PaperSimulator } from './adapter/paper/simulator/paper-simulator';
 import { run } from './ipc';
 import { task } from './shared';
 import { EventEmitter } from 'events';
@@ -13,8 +13,8 @@ class DefaultAdapter extends Adapter {
     return 123;
   }
 
-  createPaperExecutor(adapter: PaperAdapter): PaperExecutor {
-    return new PaperSpotExecutor(adapter);
+  createPaperSimulator(adapter: PaperAdapter): PaperSimulator {
+    return new PaperSpotSimulator(adapter);
   }
 
   awake(context: AdapterContext): Promise<void> {

package/src/ipc.ts

@@ -1,5 +1,4 @@
-import { Session, SessionDescriptor } from './session';
-import { instrumentOf } from './domain';
+import { Session, SessionDescriptor, instrumentOf } from './domain';
 import { Topic, event, handler } from './shared/topic';
 import { runTask, Logger } from './shared';
 import { Bootstrap } from './bootstrap';

package/src/shared/task.ts

@@ -1,5 +1,5 @@
 import { lastValueFrom, Observable } from 'rxjs';
-import { Session } from './../session';
+import { Session } from './../domain';
 
 declare type Task = (session: Session) => Observable<any> | Promise<any> | any;
 

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

@@ -66,7 +66,7 @@ export function OrderPendingEventHandler(
   const order = state.order[event.id];
 
   if (order.state != 'NEW') {
-    throw new Error(`Order is not new`);
+    throw new Error(`Order is not NEW: ${order.state}`);
   }
 
   order.state = 'PENDING';
@@ -98,7 +98,7 @@ export function OrderFilledEventHandler(
   const order = state.order[event.id];
 
   if (order.state != 'PENDING' && order.state != 'CANCELING') {
-    throw new Error('Order is not pending');
+    throw new Error(`Order is not PENDING or CANCELING: ${order.state}`);
   }
 
   order.state = 'FILLED';
@@ -132,7 +132,7 @@ export function OrderCancelingEventHandler(
   }
 
   if (order.state != 'PENDING') {
-    throw new Error('Order is not pending');
+    throw new Error(`Order is not PENDING: ${order.state}`);
   }
 
   order.state = 'CANCELING';
@@ -160,7 +160,7 @@ export function OrderCanceledEventHandler(
   }
 
   if (order.state != 'CANCELING') {
-    throw new Error('Order is not canceling');
+    throw new Error(`Order is not CANCELING: ${order.state}`);
   }
 
   order.state = 'CANCELED';
@@ -208,7 +208,7 @@ export function OrderRejectedEventHandler(
   const order = state.order[event.id];
 
   if (order.state != 'NEW') {
-    throw new Error('Order is not new.');
+    throw new Error(`Order is not NEW: ${order.state}`);
   }
 
   order.state = 'REJECTED';

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

@@ -3,8 +3,8 @@ import { InMemoryStorage, Feed } from '../storage';
 import { Store } from '../store';
 import { InstrumentPatchEvent, TradePatchEvent } from '../store/event';
 import { Adapter, AdapterContext } from '../adapter/adapter';
-import { PaperSpotExecutor } from '../adapter/paper';
-import { PaperExecutor } from '../adapter/paper/executor/paper-executor';
+import { PaperSpotSimulator } from '../adapter/paper';
+import { PaperSimulator } from '../adapter/paper/simulator/paper-simulator';
 import { PaperAdapter } from '../adapter/paper/paper-adapter';
 import { BacktesterAdapter } from '../adapter/backtester/backtester-adapter';
 import { BacktesterStreamer } from '../adapter/backtester/backtester-streamer';
@@ -19,8 +19,8 @@ class DefaultAdapter extends Adapter {
     return 123;
   }
 
-  createPaperExecutor(adapter: PaperAdapter): PaperExecutor {
-    return new PaperSpotExecutor(adapter);
+  createPaperSimulator(adapter: PaperAdapter): PaperSimulator {
+    return new PaperSpotSimulator(adapter);
   }
 
   async awake(context: AdapterContext): Promise<void> {

package/src/tests/session.spec.ts

@@ -1,4 +1,4 @@
-import { SessionDescriptor } from '../session';
+import { SessionDescriptor } from '../domain';
 import { assetOf, instrumentOf, Timeframe } from '../domain';
 import { finalize, tap } from 'rxjs/operators';
 /*

package/dist/adapter/paper/executor/paper-executor.js.map

@@ -1 +0,0 @@
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package/dist/adapter/paper/executor/paper-margin-executor.js.map

@@ -1 +0,0 @@
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package/dist/adapter/paper/executor/paper-spot-executor.js.map

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package/dist/session/index.d.ts

@@ -1,4 +0,0 @@
-export * from './session';
-export * from './session-descriptor';
-export * from './session-optimizer';
-export * from './session-statement';

package/dist/session/index.js

@@ -1,17 +0,0 @@
-"use strict";
-var __createBinding = (this && this.__createBinding) || (Object.create ? (function(o, m, k, k2) {
-    if (k2 === undefined) k2 = k;
-    Object.defineProperty(o, k2, { enumerable: true, get: function() { return m[k]; } });
-}) : (function(o, m, k, k2) {
-    if (k2 === undefined) k2 = k;
-    o[k2] = m[k];
-}));
-var __exportStar = (this && this.__exportStar) || function(m, exports) {
-    for (var p in m) if (p !== "default" && !Object.prototype.hasOwnProperty.call(exports, p)) __createBinding(exports, m, p);
-};
-Object.defineProperty(exports, "__esModule", { value: true });
-__exportStar(require("./session"), exports);
-__exportStar(require("./session-descriptor"), exports);
-__exportStar(require("./session-optimizer"), exports);
-__exportStar(require("./session-statement"), exports);
-//# sourceMappingURL=index.js.map

package/dist/session/index.js.map

@@ -1 +0,0 @@
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package/dist/session/session-descriptor.js.map

@@ -1 +0,0 @@
-{"version":3,"file":"session-descriptor.js","sourceRoot":"","sources":["../../src/session/session-descriptor.ts"],"names":[],"mappings":""}

package/dist/session/session-optimizer.d.ts

@@ -1,10 +0,0 @@
-export declare function fit(key: string, generator?: any[]): (target: any, propertyKey: string) => void;
-export declare class SessionOptimizer {
-    static source: any;
-    static provide(key: string): any;
-}
-export declare class SessionOptimizerGenerator {
-    static values: Record<string, any[]>;
-    static get count(): number;
-    static product(): any[];
-}

package/dist/session/session-optimizer.js

@@ -1,62 +0,0 @@
-"use strict";
-Object.defineProperty(exports, "__esModule", { value: true });
-exports.SessionOptimizerGenerator = exports.SessionOptimizer = exports.fit = void 0;
-function fit(key, generator) {
-    return function (target, propertyKey) {
-        let defaultSetterValue;
-        if (generator) {
-            SessionOptimizerGenerator.values[key] = generator;
-        }
-        Object.defineProperty(target, propertyKey, {
-            get: () => { var _a; return (_a = SessionOptimizer.provide(key)) !== null && _a !== void 0 ? _a : defaultSetterValue; },
-            set: (newValue) => {
-                if (!defaultSetterValue) {
-                    defaultSetterValue = newValue;
-                    return;
-                }
-                if (defaultSetterValue == newValue) {
-                    return;
-                }
-                throw new Error('can not set a value of optimized property.');
-            }
-        });
-    };
-}
-exports.fit = fit;
-class SessionOptimizer {
-    static provide(key) {
-        return key
-            .split('.')
-            .reduce((aggregate, propertyName) => (aggregate ? aggregate[propertyName] : null), this.source);
-    }
-}
-exports.SessionOptimizer = SessionOptimizer;
-SessionOptimizer.source = {};
-class SessionOptimizerGenerator {
-    static get count() {
-        return Object.values(this.values).reduce((aggregate, value) => (aggregate *= value.length), 1);
-    }
-    static product() {
-        const matrix = [];
-        const keys = Object.keys(this.values);
-        const values = Object.values(this.values).reduce((a, b) => a.map(x => b.map(y => x.concat(y))).reduce((a, b) => a.concat(b), []), [[]]);
-        for (const value of values) {
-            const result = {};
-            for (let i = 0; i < keys.length; i++) {
-                const path = keys[i];
-                const parts = path.split('.');
-                let it = result;
-                while (parts.length > 1) {
-                    const part = parts.shift();
-                    it = it[part] = it[part] || {};
-                }
-                it[parts[0]] = value[i];
-            }
-            matrix.push(result);
-        }
-        return matrix;
-    }
-}
-exports.SessionOptimizerGenerator = SessionOptimizerGenerator;
-SessionOptimizerGenerator.values = {};
-//# sourceMappingURL=session-optimizer.js.map

package/dist/session/session-optimizer.js.map

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