@quantform/core 0.3.264 → 0.3.272

package/src/indicator/index.ts

@@ -1,4 +1,7 @@
+export * from './atr';
 export * from './cross';
+export * from './donchian';
+export * from './drawdown';
 export * from './ema';
 export * from './envelope';
 export * from './macd';
@@ -12,6 +15,3 @@ export * from './trailing';
 export * from './truerange';
 export * from './window';
 export * from './wma';
-export * from './donchian';
-export * from './atr';
-export * from './drawdown';

package/src/indicator/macd.ts

@@ -1,5 +1,4 @@
-import { Observable, withLatestFrom } from 'rxjs';
-import { map, share } from 'rxjs/operators';
+import { map, Observable, share, withLatestFrom } from 'rxjs';
 import { ema } from './ema';
 
 export function macd<T>(

package/src/indicator/min-max.ts

@@ -1,5 +1,4 @@
-import { Observable } from 'rxjs';
-import { filter, map, share } from 'rxjs/operators';
+import { filter, map, Observable, share } from 'rxjs';
 import { window } from './window';
 
 export function minMax<T>(length: number, fn: (it: T) => number) {

package/src/indicator/rma.ts

@@ -1,5 +1,4 @@
-import { Observable } from 'rxjs';
-import { map, share } from 'rxjs/operators';
+import { map, Observable, share } from 'rxjs';
 import { sma } from '.';
 
 export function rma<T>(length: number, fn: (it: T) => number) {

package/src/indicator/sma.ts

@@ -1,5 +1,4 @@
-import { Observable, tap } from 'rxjs';
-import { filter, map, share } from 'rxjs/operators';
+import { filter, map, Observable, share, tap } from 'rxjs';
 import { window } from './window';
 
 export function sma<T>(length: number, fn: (it: T) => number) {

package/src/indicator/swma.ts

@@ -1,5 +1,4 @@
-import { Observable } from 'rxjs';
-import { filter, map, share } from 'rxjs/operators';
+import { filter, map, Observable, share } from 'rxjs';
 import { window } from './window';
 
 export function swma<T>(fn: (it: T) => number) {

package/src/indicator/tma.ts

@@ -1,5 +1,4 @@
-import { Observable } from 'rxjs';
-import { share, map } from 'rxjs/operators';
+import { map, Observable, share } from 'rxjs';
 import { swma } from './swma';
 import { wma } from './wma';
 

package/src/indicator/trailing.ts

@@ -1,5 +1,4 @@
-import { Observable } from 'rxjs';
-import { filter } from 'rxjs/operators';
+import { filter, Observable } from 'rxjs';
 
 export class Trailing {
   private triggered = false;
@@ -56,7 +55,7 @@ export class Trailing {
 }
 
 export function trailingup<T>(trigger: number, buffer: number, value: (it: T) => number) {
-  return function(source: Observable<T>): Observable<T> {
+  return function (source: Observable<T>): Observable<T> {
     const trailing = new Trailing(trigger, buffer);
 
     return source.pipe(filter(it => trailing.up(value(it))));
@@ -68,7 +67,7 @@ export function trailingdown<T>(
   buffer: number,
   value: (it: T) => number
 ) {
-  return function(source: Observable<T>): Observable<T> {
+  return function (source: Observable<T>): Observable<T> {
     const trailing = new Trailing(trigger, buffer);
 
     return source.pipe(filter(it => trailing.down(value(it))));

package/src/indicator/truerange.spec.ts

@@ -1,8 +1,8 @@
 import { from } from 'rxjs';
 import { Candle } from '../domain';
-import { truerange } from './truerange';
-import { sma } from './sma';
 import { now } from '../shared';
+import { sma } from './sma';
+import { truerange } from './truerange';
 
 describe('truerange atr tests', () => {
   test('should return expected value', done => {

package/src/indicator/truerange.ts

@@ -1,5 +1,4 @@
-import { Observable } from 'rxjs';
-import { map, share } from 'rxjs/operators';
+import { map, Observable, share } from 'rxjs';
 import { Candle } from '../domain';
 
 export function truerange<T>(fn: (it: T) => Candle) {

package/src/indicator/window.ts

@@ -1,4 +1,4 @@
-import { Observable, share, map } from 'rxjs';
+import { map, Observable, share } from 'rxjs';
 import { RingBuffer } from './ring-buffer';
 
 export function window<T, Y>(length: number, fn: (value: T) => Y) {

package/src/indicator/wma.ts

@@ -1,5 +1,4 @@
-import { Observable } from 'rxjs';
-import { filter, map, share } from 'rxjs/operators';
+import { filter, map, Observable, share } from 'rxjs';
 import { window } from './window';
 
 export function wma<T>(length: number, fn: (it: T) => number) {

package/src/ipc.spec.ts

@@ -1,10 +1,9 @@
-import { Adapter, AdapterContext } from './adapter';
-import { PaperAdapter, PaperSpotExecutor } from './adapter/paper';
-import { PaperExecutor } from './adapter/paper/executor/paper-executor';
-import { run } from './ipc';
-import { task } from './shared';
 import { EventEmitter } from 'events';
 import { of, take, tap } from 'rxjs';
+import { Adapter, AdapterContext, PaperAdapter, PaperSpotSimulator } from './adapter';
+import { PaperSimulator } from './adapter/paper/simulator/paper-simulator';
+import { run } from './ipc';
+import { task } from './shared';
 
 class DefaultAdapter extends Adapter {
   name = 'default';
@@ -13,8 +12,8 @@ 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

@@ -1,11 +1,11 @@
-import { Session, SessionDescriptor, instrumentOf } from './domain';
-import { Topic, event, handler } from './shared/topic';
-import { runTask, Logger } from './shared';
-import { Bootstrap } from './bootstrap';
-import { BacktesterStreamer } from './adapter/backtester';
-import { Observable } from 'rxjs';
 import { EventEmitter } from 'events';
 import { join } from 'path';
+import { Observable } from 'rxjs';
+import { BacktesterStreamer } from './adapter/backtester';
+import { Bootstrap } from './bootstrap';
+import { instrumentOf, Session, SessionDescriptor } from './domain';
+import { Logger, runTask } from './shared';
+import { event, handler, Topic } from './shared/topic';
 import minimist = require('minimist');
 import dotenv = require('dotenv');
 

package/src/shared/index.ts

@@ -1,8 +1,8 @@
-export * from './decimals';
-export * from './logger';
 export * from './datetime';
+export * from './decimals';
 export * from './io';
-export * from './topic';
+export * from './logger';
 export * from './policy';
-export * from './worker';
 export * from './task';
+export * from './topic';
+export * from './worker';

package/src/shared/policy.ts

@@ -1,5 +1,5 @@
-import { retryAsync } from 'ts-retry';
 import * as hash from 'object-hash';
+import { retryAsync } from 'ts-retry';
 
 export function retry<T>(fn: () => Promise<T>): Promise<T> {
   return retryAsync(fn, { delay: 1000, maxTry: 3 });

package/src/shared/topic.spec.ts

@@ -1,4 +1,4 @@
-import { Topic, handler, event } from './topic';
+import { event, handler, Topic } from './topic';
 
 describe('topic tests', () => {
   test('string as key cache', () => {

package/src/storage/feed.ts

@@ -1,14 +1,27 @@
-import { StoreEvent } from '../store/event';
 import { InstrumentSelector } from '../domain';
+import { StoreEvent } from '../store';
 import { Storage, StorageQueryOptions } from './storage';
 
+/**
+ * Represents a storage supposed to store historical data.
+ * You can use CLI to fetch and save data in the Feed.
+ */
 export class Feed {
   constructor(private readonly storage: Storage) {}
 
+  /**
+   * Returns all instrument names stored in the feed.
+   */
   index(): Promise<Array<string>> {
     return this.storage.index();
   }
 
+  /**
+   *
+   * @param instrument
+   * @param events
+   * @returns
+   */
   save(instrument: InstrumentSelector, events: StoreEvent[]): Promise<void> {
     return this.storage.save(
       instrument.toString(),
@@ -22,6 +35,12 @@ export class Feed {
     );
   }
 
+  /**
+   *
+   * @param instrument
+   * @param options
+   * @returns
+   */
   async query(
     instrument: InstrumentSelector,
     options: StorageQueryOptions

package/src/storage/index.ts

@@ -1,3 +1,3 @@
 export * from './feed';
-export * from './storage';
 export * from './measurement';
+export * from './storage';

package/src/storage/measurement.ts

@@ -7,13 +7,26 @@ export interface Measure {
   payload: any;
 }
 
+/**
+ *
+ */
 export class Measurement {
   constructor(private readonly storage: Storage) {}
 
+  /**
+   *
+   * @returns
+   */
   async index(): Promise<Array<number>> {
     return (await this.storage.index()).map(it => Number(it));
   }
 
+  /**
+   *
+   * @param session
+   * @param measurements
+   * @returns
+   */
   save(session: number, measurements: Measure[]): Promise<void> {
     return this.storage.save(
       session.toString(),
@@ -25,6 +38,12 @@ export class Measurement {
     );
   }
 
+  /**
+   *
+   * @param session
+   * @param options
+   * @returns
+   */
   async query(session: number, options: StorageQueryOptions): Promise<Measure[]> {
     const rows = await this.storage.query(session.toString(), options);
 

package/src/storage/storage.ts

@@ -11,21 +11,50 @@ export type StorageQueryOptions = {
   count: number;
 };
 
+/**
+ *
+ */
 export interface Storage {
+  /**
+   *
+   */
   index(): Promise<Array<string>>;
 
+  /**
+   *
+   * @param library
+   * @param documents
+   */
   save(library: string, documents: StorageDocument[]): Promise<void>;
 
+  /**
+   *
+   * @param library
+   * @param options
+   */
   query(library: string, options: StorageQueryOptions): Promise<StorageDocument[]>;
 }
 
+/**
+ *
+ */
 export class InMemoryStorage implements Storage {
   private tables: Record<string, StorageDocument[]> = {};
 
+  /**
+   *
+   * @returns
+   */
   async index(): Promise<Array<string>> {
     return Object.keys(this.tables);
   }
 
+  /**
+   *
+   * @param library
+   * @param options
+   * @returns
+   */
   async query(library: string, options: StorageQueryOptions): Promise<StorageDocument[]> {
     if (!this.tables[library]) {
       return [];
@@ -56,6 +85,11 @@ export class InMemoryStorage implements Storage {
     return query;
   }
 
+  /**
+   *
+   * @param library
+   * @param documents
+   */
   async save(library: string, documents: StorageDocument[]): Promise<void> {
     if (!this.tables[library]) {
       this.tables[library] = [];
@@ -70,6 +104,9 @@ export class InMemoryStorage implements Storage {
     buffer.sort((lhs, rhs) => lhs.timestamp - rhs.timestamp);
   }
 
+  /**
+   *
+   */
   clear() {
     this.tables = {};
   }

package/src/store/event/index.ts

@@ -1,8 +1,8 @@
-export * from './store.event';
-export * from './store-orderbook.event';
-export * from './store-order.event';
 export * from './store-balance.event';
+export * from './store-candle.event';
 export * from './store-instrument.event';
+export * from './store-order.event';
+export * from './store-orderbook.event';
 export * from './store-position.event';
 export * from './store-trade.event';
-export * from './store-candle.event';
+export * from './store.event';

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

@@ -1,8 +1,8 @@
-import { Asset, Commission } from '../../domain';
 import { BalancePatchEvent } from '.';
-import { InstrumentPatchEvent } from './store-instrument.event';
-import { now } from '../../shared';
 import { Store } from '..';
+import { Asset, Commission } from '../../domain';
+import { now } from '../../shared';
+import { InstrumentPatchEvent } from './store-instrument.event';
 
 describe('balance event tests', () => {
   test('should patch a store', () => {

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

@@ -1,7 +1,7 @@
-import { event } from '../../shared/topic';
-import { timestamp } from '../../shared';
 import { AssetSelector } from '../../domain/asset';
 import { Balance } from '../../domain/balance';
+import { timestamp } from '../../shared';
+import { event } from '../../shared/topic';
 import { State, StateChangeTracker } from '../store.state';
 import { StoreEvent } from './store.event';
 

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

@@ -1,5 +1,5 @@
-import { Asset, Instrument } from '../../domain';
 import { CandleEvent } from '.';
+import { Asset, Instrument } from '../../domain';
 import { now } from '../../shared';
 import { Store } from '../store';
 

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

@@ -1,11 +1,11 @@
-import { TradePatchEventHandler } from './store-trade.event';
-import { OrderbookPatchEventHandler } from './store-orderbook.event';
-import { timestamp } from '../../shared/datetime';
+import { StateChangeTracker } from '..';
 import { InstrumentSelector } from '../../domain';
+import { timestamp } from '../../shared/datetime';
+import { event } from '../../shared/topic';
 import { State } from '../store.state';
+import { OrderbookPatchEventHandler } from './store-orderbook.event';
+import { TradePatchEventHandler } from './store-trade.event';
 import { StoreEvent } from './store.event';
-import { event } from '../../shared/topic';
-import { StateChangeTracker } from '..';
 
 @event
 export class CandleEvent implements StoreEvent {

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

@@ -1,6 +1,6 @@
 import { Store } from '..';
-import { now } from '../../shared';
 import { Asset, Commission } from '../../domain';
+import { now } from '../../shared';
 import { InstrumentPatchEvent } from './store-instrument.event';
 
 describe('instrument patch event tests', () => {

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

@@ -1,7 +1,7 @@
-import { event } from '../../shared/topic';
-import { timestamp } from '../../shared';
 import { Asset, Commission } from '../../domain';
 import { Instrument, InstrumentSelector } from '../../domain/instrument';
+import { timestamp } from '../../shared';
+import { event } from '../../shared/topic';
 import { State, StateChangeTracker } from '../../store';
 import { StoreEvent } from './store.event';
 

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

@@ -1,7 +1,7 @@
-import { now } from '../../shared';
 import { Asset, Instrument, Order } from '../../domain';
-import { OrderLoadEvent } from './store-order.event';
+import { now } from '../../shared';
 import { Store } from '../store';
+import { OrderLoadEvent } from './store-order.event';
 
 const instrument = new Instrument(
   new Asset('btc', 'binance', 8),

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

@@ -1,6 +1,6 @@
-import { event } from '../../shared/topic';
-import { timestamp } from '../../shared';
 import { Order } from '../../domain';
+import { timestamp } from '../../shared';
+import { event } from '../../shared/topic';
 import { State, StateChangeTracker } from '../store.state';
 import { StoreEvent } from './store.event';
 
@@ -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: ${order.state}`);
+    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/store/event/store-orderbook.event.ts

@@ -1,7 +1,7 @@
-import { event } from '../../shared/topic';
-import { timestamp } from '../../shared';
 import { InstrumentSelector } from '../../domain/instrument';
 import { Orderbook } from '../../domain/orderbook';
+import { timestamp } from '../../shared';
+import { event } from '../../shared/topic';
 import { State, StateChangeTracker } from '../store.state';
 import { StoreEvent } from './store.event';
 

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

@@ -1,6 +1,6 @@
-import { event } from '../../shared/topic';
+import { Instrument, Position, PositionMode } from '../../domain';
 import { timestamp } from '../../shared';
-import { Position, Instrument, PositionMode } from '../../domain';
+import { event } from '../../shared/topic';
 import { State, StateChangeTracker } from '../store.state';
 import { StoreEvent } from './store.event';
 

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

@@ -1,7 +1,7 @@
-import { Asset, Instrument } from '../../domain';
 import { TradePatchEvent } from '.';
-import { now } from '../../shared';
 import { Store } from '..';
+import { Asset, Instrument } from '../../domain';
+import { now } from '../../shared';
 
 const instrument = new Instrument(
   new Asset('btc', 'binance', 8),

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

@@ -1,7 +1,7 @@
-import { event } from '../../shared/topic';
-import { timestamp } from '../../shared';
 import { Trade } from '../../domain';
 import { InstrumentSelector } from '../../domain/instrument';
+import { timestamp } from '../../shared';
+import { event } from '../../shared/topic';
 import { State, StateChangeTracker } from '../store.state';
 import { StoreEvent } from './store.event';
 

package/src/store/index.ts

@@ -1,2 +1,3 @@
+export * from './event';
 export * from './store';
 export * from './store.state';

package/src/store/store.state.ts

@@ -1,15 +1,15 @@
-import { timestamp } from '../shared';
 import {
-  Instrument,
-  Balance,
-  Order,
-  Orderbook,
   Asset,
-  Trade,
   AssetSelector,
+  Balance,
+  Component,
+  Instrument,
   InstrumentSelector,
-  Component
+  Order,
+  Orderbook,
+  Trade
 } from '../domain';
+import { timestamp } from '../shared';
 
 export interface StateChangeTracker {
   commit(component: Component);

package/src/store/store.ts

@@ -1,10 +1,7 @@
 import { BehaviorSubject, Observable, Subject } from 'rxjs';
-import { State, StateChangeTracker } from './store.state';
-import { Component } from '../domain';
 import { Set } from 'typescript-collections';
-import { StoreEvent } from './event/store.event';
+import { Component } from '../domain';
 import { handler, Topic } from '../shared/topic';
-import { TradePatchEvent, TradePatchEventHandler } from './event/store-trade.event';
 import {
   BalanceFreezEvent,
   BalanceFreezEventHandler,
@@ -41,18 +38,18 @@ import {
   PositionLoadEvent,
   PositionLoadEventHandler,
   PositionPatchEvent,
-  PositionPatchEventHandler
+  PositionPatchEventHandler,
+  StoreEvent,
+  TradePatchEvent,
+  TradePatchEventHandler
 } from './event';
+import { State, StateChangeTracker } from './store.state';
 
 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());
 
-  get state$(): Observable<State> {
-    return this.state.asObservable();
-  }
-
   get changes$(): Observable<Component> {
     return this.changes.asObservable();
   }