@quantform/core 0.3.265 → 0.3.267

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/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/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/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

@@ -1 +0,0 @@
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