@quantform/core 0.3.263 → 0.3.271

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

@@ -1,13 +1,12 @@
-import { Asset, Commission, instrumentOf } from '../domain';
-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 { PaperAdapter } from '../adapter/paper/paper-adapter';
 import { BacktesterAdapter } from '../adapter/backtester/backtester-adapter';
 import { BacktesterStreamer } from '../adapter/backtester/backtester-streamer';
+import { PaperSpotSimulator } from '../adapter/paper';
+import { PaperAdapter } from '../adapter/paper/paper-adapter';
+import { PaperSimulator } from '../adapter/paper/simulator/paper-simulator';
+import { Asset, Commission, instrumentOf } from '../domain';
+import { Feed, InMemoryStorage } from '../storage';
+import { InstrumentPatchEvent, Store, TradePatchEvent } from '../store';
 
 const base = new Asset('btc', 'binance', 8);
 const quote = new Asset('usdt', 'binance', 4);
@@ -19,8 +18,8 @@ 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> {
@@ -48,9 +47,6 @@ describe('backtester adapter tests', () => {
     const sut = new BacktesterAdapter(
       adapter,
       new BacktesterStreamer(store, feed, {
-        balance: {
-          ['binance:usdt']: 1000
-        },
         from: 1,
         to: 100
       })
@@ -65,9 +61,6 @@ describe('backtester adapter tests', () => {
       store,
       feed,
       {
-        balance: {
-          ['binance:usdt']: 1000
-        },
         from: 0,
         to: 100
       },

package/src/tests/session.spec.ts

@@ -1,6 +1,3 @@
-import { SessionDescriptor } from '../session';
-import { assetOf, instrumentOf, Timeframe } from '../domain';
-import { finalize, tap } from 'rxjs/operators';
 /*
 
 describe('session paper tests', () => {

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

@@ -1 +0,0 @@
-{"version":3,"file":"paper-executor.js","sourceRoot":"","sources":["../../../../src/adapter/paper/executor/paper-executor.ts"],"names":[],"mappings":";;;AAAA,8CAAqC;AACrC,4CAAyF;AAEzF,mEAA6C;AAE7C,MAAsB,aAAa;IAGjC,YAAqB,OAAqB;QAArB,YAAO,GAAP,OAAO,CAAc;QAFzB,YAAO,GAA+B,EAAE,CAAC;QAGxD,IAAI,CAAC,OAAO,CAAC,KAAK,CAAC,QAAQ,CAAC,IAAI,CAAC,IAAA,eAAG,EAAC,EAAE,CAAC,EAAE,CAAC,IAAI,CAAC,SAAS,CAAC,EAAE,CAAC,CAAC,CAAC,CAAC,SAAS,EAAE,CAAC;IAC9E,CAAC;IAYO,SAAS,CAAC,SAAoB;QACpC,IAAI,SAAS,YAAY,kBAAS,EAAE;YAClC,IAAI,CAAC,SAAS,CAAC,SAAS,CAAC,UAAU,CAAC,CAAC,OAAO,CAAC,EAAE,CAAC,EAAE,CAChD,IAAI,CAAC,wBAAwB,CAAC,EAAE,EAAE,SAAS,CAAC,CAC7C,CAAC;SACH;aAAM,IAAI,SAAS,YAAY,cAAK,EAAE;YACrC,IAAI,CAAC,SAAS,CAAC,SAAS,CAAC,UAAU,CAAC,CAAC,OAAO,CAAC,EAAE,CAAC,EAAE,CAChD,IAAI,CAAC,oBAAoB,CAAC,EAAE,EAAE,SAAS,CAAC,CACzC,CAAC;SACH;IACH,CAAC;IAEO,wBAAwB,CAAC,KAAY,EAAE,SAAoB;QACjE,IAAI,KAAK,CAAC,IAAI,IAAI,QAAQ,EAAE;YAC1B,IAAI,KAAK,CAAC,IAAI,IAAI,KAAK,IAAI,SAAS,CAAC,WAAW,EAAE;gBAChD,IAAI,CAAC,SAAS,CAAC,KAAK,CAAC,UAAU,CAAC,CAAC,MAAM,CAAC,KAAK,CAAC,CAAC;gBAC/C,IAAI,CAAC,gBAAgB,CAAC,KAAK,EAAE,SAAS,CAAC,WAAW,EAAE,SAAS,CAAC,SAAS,CAAC,CAAC;aAC1E;iBAAM,IAAI,KAAK,CAAC,IAAI,IAAI,MAAM,IAAI,SAAS,CAAC,WAAW,EAAE;gBACxD,IAAI,CAAC,SAAS,CAAC,KAAK,CAAC,UAAU,CAAC,CAAC,MAAM,CAAC,KAAK,CAAC,CAAC;gBAC/C,IAAI,CAAC,gBAAgB,CAAC,KAAK,EAAE,SAAS,CAAC,WAAW,EAAE,SAAS,CAAC,SAAS,CAAC,CAAC;aAC1E;YAED,OAAO;SACR;QAED,IAAI,KAAK,CAAC,IAAI,IAAI,OAAO,EAAE;YACzB,IAAI,KAAK,CAAC,IAAI,IAAI,KAAK,IAAI,KAAK,CAAC,IAAI,IAAI,SAAS,CAAC,WAAW,EAAE;gBAC9D,IAAI,CAAC,SAAS,CAAC,KAAK,CAAC,UAAU,CAAC,CAAC,MAAM,CAAC,KAAK,CAAC,CAAC;gBAC/C,IAAI,CAAC,gBAAgB,CAAC,KAAK,EAAE,SAAS,CAAC,WAAW,EAAE,SAAS,CAAC,SAAS,CAAC,CAAC;aAC1E;iBAAM,IAAI,KAAK,CAAC,IAAI,IAAI,MAAM,IAAI,KAAK,CAAC,IAAI,IAAI,SAAS,CAAC,WAAW,EAAE;gBACtE,IAAI,CAAC,SAAS,CAAC,KAAK,CAAC,UAAU,CAAC,CAAC,MAAM,CAAC,KAAK,CAAC,CAAC;gBAC/C,IAAI,CAAC,gBAAgB,CAAC,KAAK,EAAE,SAAS,CAAC,WAAW,EAAE,SAAS,CAAC,SAAS,CAAC,CAAC;aAC1E;YAED,OAAO;SACR;IACH,CAAC;IAEO,oBAAoB,CAAC,KAAY,EAAE,KAAY;QACrD,IAAI,KAAK,CAAC,IAAI,IAAI,QAAQ,EAAE;YAC1B,IAAI,CAAC,SAAS,CAAC,KAAK,CAAC,UAAU,CAAC,CAAC,MAAM,CAAC,KAAK,CAAC,CAAC;YAC/C,IAAI,CAAC,gBAAgB,CAAC,KAAK,EAAE,KAAK,CAAC,IAAI,EAAE,KAAK,CAAC,SAAS,CAAC,CAAC;YAE1D,OAAO;SACR;QAED,IAAI,KAAK,CAAC,IAAI,IAAI,OAAO,EAAE;YACzB,IAAI,KAAK,CAAC,IAAI,IAAI,KAAK,IAAI,KAAK,CAAC,IAAI,GAAG,KAAK,CAAC,IAAI,EAAE;gBAClD,IAAI,CAAC,SAAS,CAAC,KAAK,CAAC,UAAU,CAAC,CAAC,MAAM,CAAC,KAAK,CAAC,CAAC;gBAC/C,IAAI,CAAC,gBAAgB,CAAC,KAAK,EAAE,KAAK,CAAC,IAAI,EAAE,KAAK,CAAC,SAAS,CAAC,CAAC;aAC3D;iBAAM,IAAI,KAAK,CAAC,IAAI,IAAI,MAAM,IAAI,KAAK,CAAC,IAAI,GAAG,KAAK,CAAC,IAAI,EAAE;gBAC1D,IAAI,CAAC,SAAS,CAAC,KAAK,CAAC,UAAU,CAAC,CAAC,MAAM,CAAC,KAAK,CAAC,CAAC;gBAC/C,IAAI,CAAC,gBAAgB,CAAC,KAAK,EAAE,KAAK,CAAC,IAAI,EAAE,KAAK,CAAC,SAAS,CAAC,CAAC;aAC3D;YAED,OAAO;SACR;IACH,CAAC;IAEO,SAAS,CAAC,UAA8B;QAC9C,IAAI,OAAO,GAAG,IAAI,CAAC,OAAO,CAAC,UAAU,CAAC,QAAQ,EAAE,CAAC,CAAC;QAClD,IAAI,CAAC,OAAO,EAAE;YACZ,OAAO,GAAG,IAAI,4BAAG,EAAS,CAAC;YAE3B,IAAI,CAAC,OAAO,CAAC,UAAU,CAAC,QAAQ,EAAE,CAAC,GAAG,OAAO,CAAC;SAC/C;QAED,OAAO,OAAO,CAAC;IACjB,CAAC;IAED,IAAI,CAAC,KAAY;QACf,MAAM,OAAO,GAAG,IAAI,CAAC,SAAS,CAAC,KAAK,CAAC,UAAU,CAAC,CAAC;QAEjD,IAAI,CAAC,OAAO,CAAC,GAAG,CAAC,KAAK,CAAC,EAAE;YACvB,MAAM,IAAI,KAAK,CAAC,eAAe,CAAC,CAAC;SAClC;QAED,IAAI,CAAC,aAAa,CAAC,KAAK,CAAC,CAAC;IAC5B,CAAC;IAED,MAAM,CAAC,KAAY;QACjB,MAAM,OAAO,GAAG,IAAI,CAAC,SAAS,CAAC,KAAK,CAAC,UAAU,CAAC,CAAC;QAEjD,IAAI,CAAC,OAAO,CAAC,MAAM,CAAC,KAAK,CAAC,EAAE;YAC1B,MAAM,IAAI,KAAK,CAAC,eAAe,CAAC,CAAC;SAClC;QAED,IAAI,CAAC,eAAe,CAAC,KAAK,CAAC,CAAC;IAC9B,CAAC;CACF;AA1GD,sCA0GC"}

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

@@ -1 +0,0 @@
-{"version":3,"file":"paper-margin-executor.js","sourceRoot":"","sources":["../../../../src/adapter/paper/executor/paper-margin-executor.ts"],"names":[],"mappings":";;;AAAA,4CAAoD;AAEpD,gDAQ8B;AAE9B,qDAAiD;AAEjD,MAAa,mBAAoB,SAAQ,8BAAa;IAGpD,YAAY,OAAqB;QAC/B,KAAK,CAAC,OAAO,CAAC,CAAC;QAHjB,aAAQ,GAAG,EAAE,CAAC;IAId,CAAC;IAED,aAAa,CAAC,KAAY;QACxB,MAAM,SAAS,GAAG,IAAI,CAAC,OAAO,CAAC,SAAS,EAAE,CAAC;QAE3C,IAAI,CAAC,OAAO,CAAC,KAAK,CAAC,QAAQ,CAAC,IAAI,qBAAa,CAAC,KAAK,EAAE,SAAS,CAAC,CAAC,CAAC;QACjE,IAAI,CAAC,OAAO,CAAC,KAAK,CAAC,QAAQ,CAAC,IAAI,yBAAiB,CAAC,KAAK,CAAC,EAAE,EAAE,SAAS,CAAC,CAAC,CAAC;IAC1E,CAAC;IAED,gBAAgB,CAAC,KAAY,EAAE,oBAA4B,EAAE,SAAiB;;QAC5E,MAAM,UAAU,GACd,IAAI,CAAC,OAAO,CAAC,KAAK,CAAC,QAAQ,CAAC,QAAQ,CAAC,UAAU,CAAC,KAAK,CAAC,UAAU,CAAC,QAAQ,EAAE,CAAC,CAAC;QAE/E,IAAI,QAAQ,GAAG,UAAU,CAAC,KAAK,CAAC,KAAK,CACnC,CAAC,UAAU,CAAC,UAAU,CAAC,iBAAiB,CAAC,oBAAoB,GAAG,KAAK,CAAC,QAAQ,CAAC,CAChF,CAAC;QAEF,MAAM,EAAE,GAAG,UAAU,CAAC,QAAQ,EAAE,CAAC;QACjC,MAAM,QAAQ,GACZ,IAAI,CAAC,OAAO,CAAC,KAAK,CAAC,QAAQ,CAAC,OAAO,CAAC,UAAU,CAAC,KAAK,CAAC,QAAQ,EAAE,CAAC,CAAC,QAAQ,CAAC,EAAE,CAAC,CAAC;QAEhF,IAAI,IAAI,GAAG,MAAA,QAAQ,aAAR,QAAQ,uBAAR,QAAQ,CAAE,oBAAoB,mCAAI,CAAC,CAAC;QAC/C,IAAI,IAAI,GAAG,MAAA,QAAQ,aAAR,QAAQ,uBAAR,QAAQ,CAAE,IAAI,mCAAI,CAAC,CAAC;QAC/B,IAAI,QAAQ,GAAG,KAAK,CAAC,QAAQ,CAAC;QAE9B,QAAQ,KAAK,CAAC,IAAI,EAAE;YAClB,KAAK,KAAK;gBACR,IAAI,IAAI,GAAG,CAAC,EAAE;oBACZ,MAAM,eAAe,GAAG,IAAI,CAAC,GAAG,CAAC,IAAI,CAAC,GAAG,CAAC,IAAI,CAAC,EAAE,QAAQ,CAAC,CAAC;oBAE3D,QAAQ,IAAI,IAAA,YAAG,EAAC,oBAAoB,EAAE,IAAI,EAAE,eAAe,CAAC,CAAC;oBAE7D,IAAI,IAAI,eAAe,CAAC;oBACxB,QAAQ,IAAI,eAAe,CAAC;iBAC7B;gBAED,IAAI,CAAC,IAAI,EAAE;oBACT,IAAI,GAAG,oBAAoB,CAAC;oBAC5B,IAAI,GAAG,QAAQ,CAAC;iBACjB;qBAAM;oBACL,IAAI,GAAG,IAAA,qBAAY,EAAC,CAAC,IAAI,EAAE,oBAAoB,CAAC,EAAE,CAAC,IAAI,EAAE,QAAQ,CAAC,CAAC,CAAC;oBACpE,IAAI,IAAI,QAAQ,CAAC;iBAClB;gBAED,MAAM;YAER,KAAK,MAAM;gBACT,IAAI,IAAI,GAAG,CAAC,EAAE;oBACZ,MAAM,eAAe,GAAG,IAAI,CAAC,GAAG,CAAC,IAAI,EAAE,QAAQ,CAAC,CAAC;oBAEjD,QAAQ,IAAI,IAAA,YAAG,EAAC,IAAI,EAAE,oBAAoB,EAAE,eAAe,CAAC,CAAC;oBAE7D,IAAI,IAAI,eAAe,CAAC;oBACxB,QAAQ,IAAI,eAAe,CAAC;iBAC7B;gBAED,IAAI,CAAC,IAAI,EAAE;oBACT,IAAI,GAAG,oBAAoB,CAAC;oBAC5B,IAAI,GAAG,CAAC,QAAQ,CAAC;iBAClB;qBAAM;oBACL,IAAI,GAAG,IAAA,qBAAY,EAAC,CAAC,IAAI,EAAE,oBAAoB,CAAC,EAAE,CAAC,IAAI,EAAE,CAAC,QAAQ,CAAC,CAAC,CAAC;oBACrE,IAAI,IAAI,QAAQ,CAAC;iBAClB;gBAED,MAAM;SACT;QAED,IAAI,CAAC,OAAO,CAAC,KAAK,CAAC,QAAQ,CACzB,IAAI,wBAAgB,CAAC,KAAK,CAAC,EAAE,EAAE,oBAAoB,EAAE,SAAS,CAAC,EAC/D,IAAI,4BAAoB,CAAC,UAAU,CAAC,KAAK,EAAE,QAAQ,EAAE,SAAS,CAAC,EAC/D,IAAI,0BAAkB,CACpB,EAAE,EACF,UAAU,EACV,IAAI,EACJ,IAAI,EACJ,IAAI,CAAC,QAAQ,EACb,OAAO,EACP,SAAS,CACV,CACF,CAAC;IACJ,CAAC;IAED,eAAe,CAAC,KAAY;QAC1B,MAAM,SAAS,GAAG,IAAI,CAAC,OAAO,CAAC,SAAS,EAAE,CAAC;QAE3C,IAAI,CAAC,OAAO,CAAC,KAAK,CAAC,QAAQ,CAAC,IAAI,2BAAmB,CAAC,KAAK,CAAC,EAAE,EAAE,SAAS,CAAC,CAAC,CAAC;QAC1E,IAAI,CAAC,OAAO,CAAC,KAAK,CAAC,QAAQ,CAAC,IAAI,0BAAkB,CAAC,KAAK,CAAC,EAAE,EAAE,SAAS,CAAC,CAAC,CAAC;IAC3E,CAAC;CACF;AA7FD,kDA6FC"}

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

@@ -1 +0,0 @@
-{"version":3,"file":"paper-spot-executor.js","sourceRoot":"","sources":["../../../../src/adapter/paper/executor/paper-spot-executor.ts"],"names":[],"mappings":";;;AACA,gDAS8B;AAE9B,qDAAiD;AAGjD,MAAa,iBAAkB,SAAQ,8BAAa;IAClD,YAAqB,OAAqB;QACxC,KAAK,CAAC,OAAO,CAAC,CAAC;QADI,YAAO,GAAP,OAAO,CAAc;IAE1C,CAAC;IAED,aAAa,CAAC,KAAY;QACxB,MAAM,SAAS,GAAG,IAAI,CAAC,OAAO,CAAC,SAAS,EAAE,CAAC;QAE3C,IAAI,CAAC,OAAO,CAAC,KAAK,CAAC,QAAQ,CACzB,GAAG,IAAI,CAAC,wBAAwB,CAAC,KAAK,EAAE,SAAS,CAAC,EAClD,IAAI,qBAAa,CAAC,KAAK,EAAE,SAAS,CAAC,CACpC,CAAC;QACF,IAAI,CAAC,OAAO,CAAC,KAAK,CAAC,QAAQ,CAAC,IAAI,yBAAiB,CAAC,KAAK,CAAC,EAAE,EAAE,SAAS,CAAC,CAAC,CAAC;IAC1E,CAAC;IAED,gBAAgB,CAAC,KAAY,EAAE,oBAA4B,EAAE,SAAoB;QAC/E,MAAM,UAAU,GACd,IAAI,CAAC,OAAO,CAAC,KAAK,CAAC,QAAQ,CAAC,QAAQ,CAAC,UAAU,CAAC,KAAK,CAAC,UAAU,CAAC,QAAQ,EAAE,CAAC,CAAC;QAC/E,MAAM,UAAU,GAAG;YACjB,IAAI,EAAE,CAAC;YACP,KAAK,EAAE,CAAC;SACT,CAAC;QAEF,QAAQ,KAAK,CAAC,IAAI,EAAE;YAClB,KAAK,KAAK;gBACR,UAAU,CAAC,IAAI,IAAI,UAAU,CAAC,IAAI,CAAC,KAAK,CACtC,UAAU,CAAC,UAAU,CAAC,aAAa,CAAC,KAAK,CAAC,QAAQ,CAAC,CACpD,CAAC;gBACF,UAAU,CAAC,KAAK,IAAI,UAAU,CAAC,KAAK,CAAC,KAAK,CAAC,oBAAoB,GAAG,KAAK,CAAC,QAAQ,CAAC,CAAC;gBAClF,MAAM;YAER,KAAK,MAAM;gBACT,UAAU,CAAC,IAAI,IAAI,UAAU,CAAC,IAAI,CAAC,KAAK,CAAC,KAAK,CAAC,QAAQ,CAAC,CAAC;gBACzD,UAAU,CAAC,KAAK,IAAI,UAAU,CAAC,KAAK,CAAC,KAAK,CACxC,UAAU,CAAC,UAAU,CAAC,aAAa,CAAC,oBAAoB,GAAG,KAAK,CAAC,QAAQ,CAAC,CAC3E,CAAC;gBACF,MAAM;SACT;QAED,IAAI,CAAC,OAAO,CAAC,KAAK,CAAC,QAAQ,CACzB,GAAG,IAAI,CAAC,0BAA0B,CAAC,KAAK,EAAE,SAAS,CAAC,EACpD,IAAI,wBAAgB,CAAC,KAAK,CAAC,EAAE,EAAE,oBAAoB,EAAE,SAAS,CAAC,EAC/D,IAAI,4BAAoB,CAAC,UAAU,CAAC,IAAI,EAAE,UAAU,CAAC,IAAI,EAAE,SAAS,CAAC,EACrE,IAAI,4BAAoB,CAAC,UAAU,CAAC,KAAK,EAAE,UAAU,CAAC,KAAK,EAAE,SAAS,CAAC,CACxE,CAAC;IACJ,CAAC;IAED,eAAe,CAAC,KAAY;QAC1B,MAAM,SAAS,GAAG,IAAI,CAAC,OAAO,CAAC,SAAS,EAAE,CAAC;QAE3C,IAAI,CAAC,OAAO,CAAC,KAAK,CAAC,QAAQ,CAAC,IAAI,2BAAmB,CAAC,KAAK,CAAC,EAAE,EAAE,SAAS,CAAC,CAAC,CAAC;QAC1E,IAAI,CAAC,OAAO,CAAC,KAAK,CAAC,QAAQ,CACzB,GAAG,IAAI,CAAC,0BAA0B,CAAC,KAAK,EAAE,SAAS,CAAC,EACpD,IAAI,0BAAkB,CAAC,KAAK,CAAC,EAAE,EAAE,SAAS,CAAC,CAC5C,CAAC;IACJ,CAAC;IAEO,wBAAwB,CAC9B,KAAY,EACZ,SAAoB;QAEpB,MAAM,QAAQ,GAAG,IAAI,CAAC,OAAO,CAAC,KAAK,CAAC,QAAQ,CAAC;QAC7C,MAAM,KAAK,GAAG,QAAQ,CAAC,OAAO,CAAC,KAAK,CAAC,UAAU,CAAC,KAAK,CAAC,QAAQ,EAAE,CAAC,CAAC;QAElE,QAAQ,KAAK,CAAC,IAAI,EAAE;YAClB,KAAK,KAAK;gBACR,QAAQ,KAAK,CAAC,IAAI,EAAE;oBAClB,KAAK,QAAQ;wBACX,OAAO,CAAC,IAAI,yBAAiB,CAAC,KAAK,CAAC,UAAU,CAAC,KAAK,EAAE,KAAK,CAAC,IAAI,EAAE,SAAS,CAAC,CAAC,CAAC;oBAEhF,KAAK,OAAO;wBACV,OAAO;4BACL,IAAI,yBAAiB,CACnB,KAAK,CAAC,UAAU,CAAC,KAAK,EACtB,KAAK,CAAC,KAAK,CAAC,IAAI,CAAC,KAAK,CAAC,IAAI,GAAG,KAAK,CAAC,QAAQ,CAAC,EAC7C,SAAS,CACV;yBACF,CAAC;iBACL;gBACD,MAAM;YAER,KAAK,MAAM;gBACT,OAAO,CAAC,IAAI,yBAAiB,CAAC,KAAK,CAAC,UAAU,CAAC,IAAI,EAAE,KAAK,CAAC,QAAQ,EAAE,SAAS,CAAC,CAAC,CAAC;SACpF;IACH,CAAC;IAEO,0BAA0B,CAChC,KAAY,EACZ,SAAoB;QAEpB,MAAM,QAAQ,GAAG,IAAI,CAAC,OAAO,CAAC,KAAK,CAAC,QAAQ,CAAC;QAC7C,MAAM,KAAK,GAAG,QAAQ,CAAC,OAAO,CAAC,KAAK,CAAC,UAAU,CAAC,KAAK,CAAC,QAAQ,EAAE,CAAC,CAAC;QAElE,QAAQ,KAAK,CAAC,IAAI,EAAE;YAClB,KAAK,KAAK;gBACR,QAAQ,KAAK,CAAC,IAAI,EAAE;oBAClB,KAAK,QAAQ;wBACX,OAAO;4BACL,IAAI,2BAAmB,CAAC,KAAK,CAAC,UAAU,CAAC,KAAK,EAAE,KAAK,CAAC,OAAO,EAAE,SAAS,CAAC;yBAC1E,CAAC;oBAEJ,KAAK,OAAO;wBACV,OAAO;4BACL,IAAI,2BAAmB,CACrB,KAAK,CAAC,UAAU,CAAC,KAAK,EACtB,KAAK,CAAC,KAAK,CAAC,IAAI,CAAC,KAAK,CAAC,IAAI,GAAG,KAAK,CAAC,QAAQ,CAAC,EAC7C,SAAS,CACV;yBACF,CAAC;iBACL;gBACD,MAAM;YAER,KAAK,MAAM;gBACT,OAAO;oBACL,IAAI,2BAAmB,CAAC,KAAK,CAAC,UAAU,CAAC,IAAI,EAAE,KAAK,CAAC,QAAQ,EAAE,SAAS,CAAC;iBAC1E,CAAC;SACL;IACH,CAAC;CACF;AAtHD,8CAsHC"}

package/dist/domain/candle-builder.d.ts

@@ -1,16 +0,0 @@
-import { Observable } from 'rxjs';
-import { timestamp } from '../shared';
-import { Candle } from './candle';
-export declare class CandleBuilder {
-    readonly timeframe: number;
-    private _candle;
-    get candle(): Candle;
-    constructor(timeframe: number);
-    append(value: number, timestamp: timestamp): Candle;
-}
-export declare function candle<T extends {
-    timestamp: number;
-}>(timeframe: number, fn: (x: T) => number): (source: Observable<T>) => Observable<Candle>;
-export declare function mergeCandle<T extends {
-    timestamp: number;
-}>(timeframe: number, fn: (x: T) => number, history$: Observable<Candle>): (source$: Observable<T>) => Observable<Candle>;

package/dist/domain/candle-builder.js

@@ -1,70 +0,0 @@
-"use strict";
-Object.defineProperty(exports, "__esModule", { value: true });
-exports.mergeCandle = exports.candle = exports.CandleBuilder = void 0;
-const rxjs_1 = require("rxjs");
-const operators_1 = require("rxjs/operators");
-const candle_1 = require("./candle");
-const timeframe_1 = require("./timeframe");
-class CandleBuilder {
-    constructor(timeframe) {
-        this.timeframe = timeframe;
-    }
-    get candle() {
-        return this._candle;
-    }
-    append(value, timestamp) {
-        const frame = (0, timeframe_1.tf)(timestamp, this.timeframe);
-        if (!this._candle) {
-            this._candle = new candle_1.Candle(frame, value, value, value, value);
-            return null;
-        }
-        if (this.candle.timestamp == frame) {
-            this.candle.apply(value);
-            return null;
-        }
-        const previous = this._candle;
-        this._candle = new candle_1.Candle(frame, value, value, value, value);
-        return previous;
-    }
-}
-exports.CandleBuilder = CandleBuilder;
-function candle(timeframe, fn) {
-    return function (source) {
-        const builder = new CandleBuilder(timeframe);
-        let candle;
-        return source.pipe((0, operators_1.filter)(it => {
-            return (candle = builder.append(fn(it), it.timestamp)) != null;
-        }), (0, operators_1.map)(_ => candle), (0, operators_1.share)());
-    };
-}
-exports.candle = candle;
-function mergeCandle(timeframe, fn, history$) {
-    return function (source$) {
-        const builder = new CandleBuilder(timeframe);
-        let hasMergedHistory = false;
-        return (0, rxjs_1.concat)(history$.pipe((0, operators_1.skipLast)(1)), source$.pipe((0, operators_1.withLatestFrom)(history$.pipe((0, operators_1.last)())), (0, operators_1.mergeMap)(([it, history]) => {
-            const completed = builder.append(fn(it), it.timestamp);
-            if (completed) {
-                if (completed.timestamp == history.timestamp) {
-                    completed.open = history.open;
-                    completed.high = Math.max(completed.high, history.high);
-                    completed.low = Math.min(completed.low, history.low);
-                    hasMergedHistory = true;
-                }
-                else if (completed.timestamp > history.timestamp) {
-                    if (!hasMergedHistory) {
-                        hasMergedHistory = true;
-                        return [history, completed];
-                    }
-                }
-                else if (completed.timestamp < history.timestamp) {
-                    throw new Error('invalid candle sequence, input data is to old.');
-                }
-                return [completed];
-            }
-            return [];
-        })));
-    };
-}
-exports.mergeCandle = mergeCandle;
-//# sourceMappingURL=candle-builder.js.map

package/dist/domain/candle-builder.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.d.ts

@@ -1,15 +0,0 @@
-import { Adapter } from '../adapter';
-import { Measurement } from '../storage/measurement';
-import { Feed } from '../storage';
-import { BacktesterOptions } from './../adapter/backtester';
-import { PaperOptions } from './../adapter/paper';
-export interface SessionDescriptor {
-    id?: number;
-    adapter: Adapter[];
-    feed?: Feed;
-    measurement?: Measurement;
-    options?: {
-        backtester?: BacktesterOptions;
-        paper?: PaperOptions;
-    };
-}

package/dist/session/session-descriptor.js

@@ -1,3 +0,0 @@
-"use strict";
-Object.defineProperty(exports, "__esModule", { value: true });
-//# sourceMappingURL=session-descriptor.js.map

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

@@ -1,103 +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 });
-const domain_1 = require("../domain");
-const session_optimizer_1 = require("./session-optimizer");
-describe('session optimizer tests', () => {
-    test('should ignore not provided value for property', () => {
-        class Target {
-            constructor() {
-                this.timeframe = domain_1.Timeframe.H1;
-            }
-        }
-        __decorate([
-            (0, session_optimizer_1.fit)('timeframe'),
-            __metadata("design:type", Object)
-        ], Target.prototype, "timeframe", void 0);
-        const sut = new Target();
-        expect(sut.timeframe).toBe(domain_1.Timeframe.H1);
-    });
-    test('should ignore not provided descendant value for property', () => {
-        class Target {
-            constructor() {
-                this.timeframe = domain_1.Timeframe.H1;
-            }
-        }
-        __decorate([
-            (0, session_optimizer_1.fit)('timeframe.daily'),
-            __metadata("design:type", Object)
-        ], Target.prototype, "timeframe", void 0);
-        const sut = new Target();
-        expect(sut.timeframe).toBe(domain_1.Timeframe.H1);
-    });
-    test('should set provided value for property', () => {
-        class Target {
-            constructor() {
-                this.timeframe = domain_1.Timeframe.H1;
-            }
-        }
-        __decorate([
-            (0, session_optimizer_1.fit)('timeframe'),
-            __metadata("design:type", Object)
-        ], Target.prototype, "timeframe", void 0);
-        session_optimizer_1.SessionOptimizer.source = {
-            timeframe: domain_1.Timeframe.D1
-        };
-        const sut = new Target();
-        expect(sut.timeframe).toBe(domain_1.Timeframe.D1);
-    });
-    test('should set provided descendant value for property', () => {
-        class Target {
-            constructor() {
-                this.timeframe = domain_1.Timeframe.H1;
-            }
-        }
-        __decorate([
-            (0, session_optimizer_1.fit)('timeframe.daily'),
-            __metadata("design:type", Object)
-        ], Target.prototype, "timeframe", void 0);
-        session_optimizer_1.SessionOptimizer.source = {
-            timeframe: {
-                daily: domain_1.Timeframe.D1
-            }
-        };
-        const sut = new Target();
-        expect(sut.timeframe).toBe(domain_1.Timeframe.D1);
-    });
-});
-describe('optimizer generator tests', () => {
-    test('should generate optimized input', () => {
-        class Target {
-        }
-        __decorate([
-            (0, session_optimizer_1.fit)('target.timeframe', [domain_1.Timeframe.D1, domain_1.Timeframe.H1]),
-            __metadata("design:type", Object)
-        ], Target.prototype, "timeframe", void 0);
-        __decorate([
-            (0, session_optimizer_1.fit)('target.length', [7, 14, 21]),
-            __metadata("design:type", Object)
-        ], Target.prototype, "length", void 0);
-        __decorate([
-            (0, session_optimizer_1.fit)('target.size', [0.1, 0.2, 0.3, 0.4]),
-            __metadata("design:type", Object)
-        ], Target.prototype, "size", void 0);
-        expect(session_optimizer_1.SessionOptimizerGenerator.count).toBe(24);
-        const product = session_optimizer_1.SessionOptimizerGenerator.product();
-        expect(product.length).toBe(24);
-        expect(product[0].target.timeframe).toBe(domain_1.Timeframe.D1);
-        expect(product[0].target.length).toBe(7);
-        expect(product[0].target.size).toBe(0.1);
-        expect(product[23].target.timeframe).toBe(domain_1.Timeframe.H1);
-        expect(product[23].target.length).toBe(21);
-        expect(product[23].target.size).toBe(0.4);
-    });
-});
-//# sourceMappingURL=session-optimizer.spec.js.map

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

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package/dist/session/session.spec.js.map

@@ -1 +0,0 @@
-{"version":3,"file":"session.spec.js","sourceRoot":"","sources":["../../src/session/session.spec.ts"],"names":[],"mappings":";;AAAA,0CAAsD;AACtD,sCAA8C;AAC9C,sCAAgC;AAEhC,4CAAyC;AAEzC,QAAQ,CAAC,eAAe,EAAE,GAAG,EAAE;IAC7B,MAAM,UAAU,GAAsB;QACpC,EAAE,EAAE,IAAA,YAAG,GAAE;QACT,OAAO,EAAE,EAAE;KACZ,CAAC;IAEF,IAAI,CAAC,qBAAqB,EAAE,IAAI,CAAC,EAAE;QACjC,MAAM,OAAO,GAAG,IAAI,qBAAS,CAAC,UAAU,CAAC,CAAC,KAAK,EAAE,CAAC;QAElD,OAAO,CAAC,WAAW,EAAE,CAAC,SAAS,CAAC;YAC9B,IAAI,EAAE,EAAE,CAAC,EAAE;gBACT,MAAM,CAAC,EAAE,CAAC,MAAM,CAAC,CAAC,OAAO,CAAC,CAAC,CAAC,CAAC;YAC/B,CAAC;YACD,QAAQ,EAAE,IAAI,EAAE;SACjB,CAAC,CAAC;QAEH,OAAO,CAAC,KAAK,CAAC,QAAQ,CACpB,IAAI,4BAAoB,CACtB,IAAA,YAAG,GAAE,EACL,IAAI,cAAK,CAAC,MAAM,EAAE,KAAK,EAAE,CAAC,CAAC,EAC3B,IAAI,cAAK,CAAC,KAAK,EAAE,KAAK,EAAE,CAAC,CAAC,EAC1B,IAAI,mBAAU,CAAC,CAAC,EAAE,CAAC,CAAC,EACpB,EAAE,CACH,EACD,IAAI,4BAAoB,CACtB,IAAA,YAAG,GAAE,EACL,IAAI,cAAK,CAAC,OAAO,EAAE,KAAK,EAAE,CAAC,CAAC,EAC5B,IAAI,cAAK,CAAC,KAAK,EAAE,KAAK,EAAE,CAAC,CAAC,EAC1B,IAAI,mBAAU,CAAC,CAAC,EAAE,CAAC,CAAC,EACpB,EAAE,CACH,CACF,CAAC;IACJ,CAAC,CAAC,CAAC;AACL,CAAC,CAAC,CAAC"}

package/src/domain/candle-builder.ts

@@ -1,104 +0,0 @@
-import { concat, Observable } from 'rxjs';
-import {
-  filter,
-  last,
-  map,
-  mergeMap,
-  share,
-  skipLast,
-  withLatestFrom
-} from 'rxjs/operators';
-import { timestamp, toString } from '../shared';
-import { Candle } from './candle';
-import { tf } from './timeframe';
-
-export class CandleBuilder {
-  private _candle: Candle;
-
-  get candle(): Candle {
-    return this._candle;
-  }
-
-  constructor(readonly timeframe: number) {}
-
-  append(value: number, timestamp: timestamp): Candle {
-    const frame = tf(timestamp, this.timeframe);
-
-    if (!this._candle) {
-      this._candle = new Candle(frame, value, value, value, value);
-
-      return null;
-    }
-
-    if (this.candle.timestamp == frame) {
-      this.candle.apply(value);
-
-      return null;
-    }
-
-    const previous = this._candle;
-
-    this._candle = new Candle(frame, value, value, value, value);
-    return previous;
-  }
-}
-
-export function candle<T extends { timestamp: number }>(
-  timeframe: number,
-  fn: (x: T) => number
-) {
-  return function (source: Observable<T>): Observable<Candle> {
-    const builder = new CandleBuilder(timeframe);
-    let candle: Candle;
-
-    return source.pipe(
-      filter(it => {
-        return (candle = builder.append(fn(it), it.timestamp)) != null;
-      }),
-      map(_ => candle),
-      share()
-    );
-  };
-}
-
-export function mergeCandle<T extends { timestamp: number }>(
-  timeframe: number,
-  fn: (x: T) => number,
-  history$: Observable<Candle>
-) {
-  return function (source$: Observable<T>): Observable<Candle> {
-    const builder = new CandleBuilder(timeframe);
-    let hasMergedHistory = false;
-
-    return concat(
-      history$.pipe(skipLast(1)),
-      source$.pipe(
-        withLatestFrom(history$.pipe(last())),
-        mergeMap(([it, history]) => {
-          const completed = builder.append(fn(it), it.timestamp);
-
-          if (completed) {
-            if (completed.timestamp == history.timestamp) {
-              completed.open = history.open;
-              completed.high = Math.max(completed.high, history.high);
-              completed.low = Math.min(completed.low, history.low);
-
-              hasMergedHistory = true;
-            } else if (completed.timestamp > history.timestamp) {
-              if (!hasMergedHistory) {
-                hasMergedHistory = true;
-                return [history, completed];
-              }
-            } else if (completed.timestamp < history.timestamp) {
-              throw new Error('invalid candle sequence, input data is to old.');
-            }
-
-            return [completed];
-          }
-
-          return [];
-        })
-      )
-    );
-  };
-}

package/src/session/index.ts

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

package/src/session/session-descriptor.ts

@@ -1,53 +0,0 @@
-import { Adapter } from '../adapter';
-import { Measurement } from '../storage/measurement';
-import { Feed } from '../storage';
-import { BacktesterOptions } from './../adapter/backtester';
-import { PaperOptions } from './../adapter/paper';
-
-/**
- * Describes a single session.
- * You can use @run function to start a new session managed by CLI.
- * To start managed session you should install @quantform/cli package and run
- * specific command:
- *  - qf paper (to paper trade strategy)
- *  - qf backtest (to backtest strategy based on provided feed)
- *  - qf live (to live trade strategy)
- * or run on your own in code:
- *  - paper(descriptor, options)
- *  - backtest(descriptor, options)
- *  - live(descriptor)
- */
-export interface SessionDescriptor {
-  /**
-   * Unique session identifier, used to identify session in the storage.
-   * You can generate new id every time you start the new session or provide
-   * session id explicitly to resume previous session (in code or via CLI).
-   * If you don't provide session id, it will generate new one based on time.
-   */
-  id?: number;
-
-  /**
-   * Collection of adapters used to connect to the exchanges.
-   */
-  adapter: Adapter[];
-
-  /**
-   * Provides historical data for backtest, it's not required for live and paper
-   * sessions.
-   */
-  feed?: Feed;
-
-  /**
-   * Stores session variables i.e. indicators, orders, or any other type of time
-   * series data. You can install @quantform/editor to render this data in your browser.
-   */
-  measurement?: Measurement;
-
-  /**
-   * Session additional options.
-   */
-  options?: {
-    backtester?: BacktesterOptions;
-    paper?: PaperOptions;
-  };
-}