@quantform/core 0.3.267 → 0.4.5

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/domain/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;
-  };
-}