@quantform/core 0.3.267 → 0.4.5

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, PaperSpotSimulator } from './adapter/paper';
+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';
-import { EventEmitter } from 'events';
-import { of, take, tap } from 'rxjs';
 
 class DefaultAdapter extends Adapter {
   name = 'default';

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';
 

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();
   }

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

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

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

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

package/dist/domain/session-descriptor.js.map

@@ -1 +0,0 @@
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