@quantform/core 0.4.11 → 0.5.13

package/src/store/store.ts

@@ -1,5 +1,6 @@
 import { BehaviorSubject, Observable, Subject } from 'rxjs';
 import { Set } from 'typescript-collections';
+
 import { Component } from '../domain';
 import { handler, Topic } from '../shared/topic';
 import {

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

@@ -5,7 +5,7 @@ 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 { Cache, Feed, InMemoryStorage } from '../storage';
 import { InstrumentPatchEvent, Store, TradePatchEvent } from '../store';
 
 const base = new Asset('btc', 'binance', 8);
@@ -41,6 +41,7 @@ const instrument = instrumentOf('binance:btc-usdt');
 const adapter = new DefaultAdapter();
 const store = new Store();
 const feed = new Feed(new InMemoryStorage());
+const cache = new Cache(new InMemoryStorage());
 
 describe('backtester adapter tests', () => {
   test('should return proper adapter name and timestamp', () => {
@@ -79,7 +80,7 @@ describe('backtester adapter tests', () => {
 
     const sut = new BacktesterAdapter(adapter, streamer);
 
-    sut.awake(new AdapterContext(sut, store));
+    sut.awake(new AdapterContext(sut, store, cache));
     sut.subscribe([instrument]);
 
     expect(sut.name).toEqual('default');

package/tsconfig.json

@@ -2,7 +2,7 @@
   "extends": "./../../tsconfig.json",
   "compilerOptions": {
     "baseUrl": "./",
-    "outDir": "./dist",
+    "outDir": "./dist"
   },
   "include": ["*.ts", "**/*.ts"]
-}
+}

package/dist/ipc.d.ts

@@ -1,33 +0,0 @@
-/// <reference types="node" />
-import { EventEmitter } from 'events';
-import { Session, SessionDescriptor } from './domain';
-export interface IpcCommand {
-    type: any;
-}
-export declare class IpcLiveCommand implements IpcCommand {
-    type: string;
-    id?: number;
-}
-export declare class IpcPaperCommand implements IpcCommand {
-    type: string;
-    id?: number;
-}
-export declare class IpcBacktestCommand implements IpcCommand {
-    type: string;
-    from?: number;
-    to?: number;
-}
-export declare class IpcFeedCommand implements IpcCommand {
-    type: string;
-    instrument: string;
-    from?: number;
-    to?: number;
-}
-export declare class IpcTaskCommand implements IpcCommand {
-    type: string;
-    taskName: string;
-}
-export declare type IpcSessionDescriptor = SessionDescriptor & {
-    ipcSub?: EventEmitter;
-};
-export declare function run(descriptor: IpcSessionDescriptor, ...commands: IpcCommand[]): Promise<Session>;

package/dist/ipc.js

@@ -1,244 +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 });
-exports.run = exports.IpcTaskCommand = exports.IpcFeedCommand = exports.IpcBacktestCommand = exports.IpcPaperCommand = exports.IpcLiveCommand = void 0;
-const path_1 = require("path");
-const bootstrap_1 = require("./bootstrap");
-const domain_1 = require("./domain");
-const shared_1 = require("./shared");
-const topic_1 = require("./shared/topic");
-const minimist = require("minimist");
-const dotenv = require("dotenv");
-dotenv.config();
-let IpcLiveCommand = class IpcLiveCommand {
-    constructor() {
-        this.type = 'live';
-    }
-};
-IpcLiveCommand = __decorate([
-    topic_1.event
-], IpcLiveCommand);
-exports.IpcLiveCommand = IpcLiveCommand;
-let IpcPaperCommand = class IpcPaperCommand {
-    constructor() {
-        this.type = 'paper';
-    }
-};
-IpcPaperCommand = __decorate([
-    topic_1.event
-], IpcPaperCommand);
-exports.IpcPaperCommand = IpcPaperCommand;
-let IpcBacktestCommand = class IpcBacktestCommand {
-    constructor() {
-        this.type = 'backtest';
-    }
-};
-IpcBacktestCommand = __decorate([
-    topic_1.event
-], IpcBacktestCommand);
-exports.IpcBacktestCommand = IpcBacktestCommand;
-let IpcFeedCommand = class IpcFeedCommand {
-    constructor() {
-        this.type = 'feed';
-    }
-};
-IpcFeedCommand = __decorate([
-    topic_1.event
-], IpcFeedCommand);
-exports.IpcFeedCommand = IpcFeedCommand;
-let IpcTaskCommand = class IpcTaskCommand {
-    constructor() {
-        this.type = 'task';
-    }
-};
-IpcTaskCommand = __decorate([
-    topic_1.event
-], IpcTaskCommand);
-exports.IpcTaskCommand = IpcTaskCommand;
-class IpcSessionAccessor {
-}
-class IpcHandler extends topic_1.Topic {
-    constructor(bootstrap, ipcSub) {
-        super();
-        this.bootstrap = bootstrap;
-        this.ipcSub = ipcSub;
-    }
-    async onLiveMode(command, accessor) {
-        var _a;
-        accessor.session = this.bootstrap.useSessionId(command.id).live();
-        this.emit({
-            type: 'live:started',
-            session: (_a = accessor.session.descriptor) === null || _a === void 0 ? void 0 : _a.id
-        });
-        await accessor.session.awake(this.describe());
-    }
-    async onPaperMode(command, accessor) {
-        var _a;
-        accessor.session = this.bootstrap.useSessionId(command.id).paper();
-        this.emit({
-            type: 'paper:started',
-            session: (_a = accessor.session.descriptor) === null || _a === void 0 ? void 0 : _a.id
-        });
-        await accessor.session.awake(this.describe());
-    }
-    onBacktestMode(command, accessor) {
-        this.bootstrap.useBacktestPeriod(command.from, command.to).backtest();
-        const { from, to } = this.bootstrap.descriptor.options.backtester;
-        return new Promise(async (resolve) => {
-            const [session, streamer] = this.bootstrap.backtest({
-                onBacktestStarted: (streamer) => {
-                    var _a;
-                    this.emit({
-                        type: 'backtest:started',
-                        session: (_a = session.descriptor) === null || _a === void 0 ? void 0 : _a.id,
-                        timestamp: streamer.timestamp,
-                        from,
-                        to
-                    });
-                },
-                onBacktestUpdated: (streamer) => {
-                    var _a;
-                    this.emit({
-                        type: 'backtest:updated',
-                        session: (_a = session.descriptor) === null || _a === void 0 ? void 0 : _a.id,
-                        timestamp: streamer.timestamp,
-                        from,
-                        to
-                    });
-                },
-                onBacktestCompleted: async (streamer) => {
-                    var _a;
-                    await accessor.session.dispose();
-                    this.emit({
-                        type: 'backtest:completed',
-                        session: (_a = session.descriptor) === null || _a === void 0 ? void 0 : _a.id,
-                        timestamp: streamer.timestamp,
-                        from,
-                        to
-                    });
-                    resolve();
-                }
-            });
-            accessor.session = session;
-            await accessor.session.awake(this.describe());
-            await streamer.tryContinue().catch(it => shared_1.Logger.error(it));
-        });
-    }
-    async onFeed(command, accessor) {
-        var _a;
-        accessor.session = (_a = accessor.session) !== null && _a !== void 0 ? _a : this.bootstrap.paper();
-        const instrument = (0, domain_1.instrumentOf)(command.instrument);
-        const { feed } = accessor.session.descriptor;
-        await accessor.session.awake(undefined);
-        this.emit({ type: 'feed:started' });
-        await accessor.session.aggregate.feed({
-            instrument,
-            from: command.from,
-            to: command.to,
-            destination: feed,
-            callback: timestamp => this.emit({
-                type: 'feed:updated',
-                timestamp,
-                from: command.from,
-                to: command.to
-            })
-        });
-        this.emit({ type: 'feed:completed' });
-        await accessor.session.dispose();
-    }
-    async onTask(query, accessor) {
-        var _a;
-        accessor.session = (_a = accessor.session) !== null && _a !== void 0 ? _a : this.bootstrap.live();
-        await accessor.session.awake(undefined);
-        this.emit({ type: 'task:started', taskName: query.taskName });
-        let result = undefined;
-        try {
-            result = await (0, shared_1.runTask)(query.taskName, accessor.session);
-        }
-        catch (e) {
-            result = e;
-        }
-        this.emit({ type: 'task:completed', taskName: query.taskName, result });
-        await accessor.session.dispose();
-    }
-    describe() {
-        var _a;
-        const pkg = require((0, path_1.join)(process.cwd(), 'package.json'));
-        const describe = (_a = require((0, path_1.join)(process.cwd(), pkg.main))) === null || _a === void 0 ? void 0 : _a.default;
-        if (describe instanceof Function) {
-            return describe;
-        }
-        return undefined;
-    }
-    emit(message) {
-        var _a;
-        if (process.send) {
-            process.send(message);
-        }
-        (_a = this.ipcSub) === null || _a === void 0 ? void 0 : _a.emit('message', message);
-    }
-}
-__decorate([
-    (0, topic_1.handler)(IpcLiveCommand),
-    __metadata("design:type", Function),
-    __metadata("design:paramtypes", [IpcLiveCommand, IpcSessionAccessor]),
-    __metadata("design:returntype", Promise)
-], IpcHandler.prototype, "onLiveMode", null);
-__decorate([
-    (0, topic_1.handler)(IpcPaperCommand),
-    __metadata("design:type", Function),
-    __metadata("design:paramtypes", [IpcPaperCommand, IpcSessionAccessor]),
-    __metadata("design:returntype", Promise)
-], IpcHandler.prototype, "onPaperMode", null);
-__decorate([
-    (0, topic_1.handler)(IpcBacktestCommand),
-    __metadata("design:type", Function),
-    __metadata("design:paramtypes", [IpcBacktestCommand, IpcSessionAccessor]),
-    __metadata("design:returntype", void 0)
-], IpcHandler.prototype, "onBacktestMode", null);
-__decorate([
-    (0, topic_1.handler)(IpcFeedCommand),
-    __metadata("design:type", Function),
-    __metadata("design:paramtypes", [IpcFeedCommand, IpcSessionAccessor]),
-    __metadata("design:returntype", Promise)
-], IpcHandler.prototype, "onFeed", null);
-__decorate([
-    (0, topic_1.handler)(IpcTaskCommand),
-    __metadata("design:type", Function),
-    __metadata("design:paramtypes", [IpcTaskCommand, IpcSessionAccessor]),
-    __metadata("design:returntype", Promise)
-], IpcHandler.prototype, "onTask", null);
-async function run(descriptor, ...commands) {
-    const handler = new IpcHandler(new bootstrap_1.Bootstrap(descriptor), descriptor.ipcSub);
-    const accessor = new IpcSessionAccessor();
-    const argv = minimist(process.argv.slice(2));
-    if (argv.command) {
-        const json = Buffer.from(argv.command, 'base64').toString('utf-8');
-        commands.push(JSON.parse(json));
-    }
-    else {
-        if (!commands.length) {
-            commands.push(new IpcPaperCommand());
-        }
-    }
-    for (const command of commands) {
-        await handler.dispatch(command, accessor);
-    }
-    process.on('message', async (request) => {
-        const response = await handler.dispatch(request, accessor);
-        if (response) {
-            process.send(response);
-        }
-    });
-    return accessor.session;
-}
-exports.run = run;
-//# sourceMappingURL=ipc.js.map

package/dist/ipc.js.map

@@ -1 +0,0 @@
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package/dist/ipc.spec.d.ts

@@ -1 +0,0 @@
-export {};

package/dist/ipc.spec.js

@@ -1,57 +0,0 @@
-"use strict";
-Object.defineProperty(exports, "__esModule", { value: true });
-const events_1 = require("events");
-const rxjs_1 = require("rxjs");
-const adapter_1 = require("./adapter");
-const ipc_1 = require("./ipc");
-const shared_1 = require("./shared");
-class DefaultAdapter extends adapter_1.Adapter {
-    constructor() {
-        super(...arguments);
-        this.name = 'default';
-    }
-    timestamp() {
-        return 123;
-    }
-    createPaperSimulator(adapter) {
-        return new adapter_1.PaperSpotSimulator(adapter);
-    }
-    awake(context) {
-        return super.awake(context);
-    }
-    async account() { }
-}
-describe('ipc feed tests', () => {
-    test('should dispatch session started event', done => {
-        const command = {
-            type: 'paper'
-        };
-        const ipcSub = new events_1.EventEmitter();
-        ipcSub.on('message', (message) => {
-            expect(message.type).toBe('paper:started');
-            done();
-        });
-        (0, ipc_1.run)({
-            adapter: [new DefaultAdapter()],
-            ipcSub,
-            options: {
-                paper: {
-                    balance: { 'default:usd': 100 }
-                }
-            }
-        }, command);
-    });
-    test('should execute user task', done => {
-        (0, shared_1.task)('hello-world', session => {
-            return (0, rxjs_1.of)(1).pipe((0, rxjs_1.take)(1), (0, rxjs_1.tap)(() => done()));
-        });
-        const command = {
-            type: 'task',
-            taskName: 'hello-world'
-        };
-        (0, ipc_1.run)({
-            adapter: [new DefaultAdapter()]
-        }, command);
-    });
-});
-//# sourceMappingURL=ipc.spec.js.map

package/dist/ipc.spec.js.map

@@ -1 +0,0 @@
-{"version":3,"file":"ipc.spec.js","sourceRoot":"","sources":["../src/ipc.spec.ts"],"names":[],"mappings":";;AAAA,mCAAsC;AACtC,+BAAqC;AACrC,uCAAsF;AAEtF,+BAA4B;AAC5B,qCAAgC;AAEhC,MAAM,cAAe,SAAQ,iBAAO;IAApC;;QACE,SAAI,GAAG,SAAS,CAAC;IAenB,CAAC;IAbC,SAAS;QACP,OAAO,GAAG,CAAC;IACb,CAAC;IAED,oBAAoB,CAAC,OAAqB;QACxC,OAAO,IAAI,4BAAkB,CAAC,OAAO,CAAC,CAAC;IACzC,CAAC;IAED,KAAK,CAAC,OAAuB;QAC3B,OAAO,KAAK,CAAC,KAAK,CAAC,OAAO,CAAC,CAAC;IAC9B,CAAC;IAED,KAAK,CAAC,OAAO,KAAmB,CAAC;CAClC;AAED,QAAQ,CAAC,gBAAgB,EAAE,GAAG,EAAE;IAC9B,IAAI,CAAC,uCAAuC,EAAE,IAAI,CAAC,EAAE;QACnD,MAAM,OAAO,GAAG;YACd,IAAI,EAAE,OAAO;SACd,CAAC;QAEF,MAAM,MAAM,GAAG,IAAI,qBAAY,EAAE,CAAC;QAElC,MAAM,CAAC,EAAE,CAAC,SAAS,EAAE,CAAC,OAAY,EAAE,EAAE;YACpC,MAAM,CAAC,OAAO,CAAC,IAAI,CAAC,CAAC,IAAI,CAAC,eAAe,CAAC,CAAC;YAC3C,IAAI,EAAE,CAAC;QACT,CAAC,CAAC,CAAC;QAEH,IAAA,SAAG,EACD;YACE,OAAO,EAAE,CAAC,IAAI,cAAc,EAAE,CAAC;YAC/B,MAAM;YACN,OAAO,EAAE;gBACP,KAAK,EAAE;oBACL,OAAO,EAAE,EAAE,aAAa,EAAE,GAAG,EAAE;iBAChC;aACF;SACF,EACD,OAAO,CACR,CAAC;IACJ,CAAC,CAAC,CAAC;IAEH,IAAI,CAAC,0BAA0B,EAAE,IAAI,CAAC,EAAE;QACtC,IAAA,aAAI,EAAC,aAAa,EAAE,OAAO,CAAC,EAAE;YAC5B,OAAO,IAAA,SAAE,EAAC,CAAC,CAAC,CAAC,IAAI,CACf,IAAA,WAAI,EAAC,CAAC,CAAC,EACP,IAAA,UAAG,EAAC,GAAG,EAAE,CAAC,IAAI,EAAE,CAAC,CAClB,CAAC;QACJ,CAAC,CAAC,CAAC;QAEH,MAAM,OAAO,GAAG;YACd,IAAI,EAAE,MAAM;YACZ,QAAQ,EAAE,aAAa;SACxB,CAAC;QAEF,IAAA,SAAG,EACD;YACE,OAAO,EAAE,CAAC,IAAI,cAAc,EAAE,CAAC;SAChC,EACD,OAAO,CACR,CAAC;IACJ,CAAC,CAAC,CAAC;AACL,CAAC,CAAC,CAAC"}

package/dist/shared/task.d.ts

@@ -1,6 +0,0 @@
-import { Observable } from 'rxjs';
-import { Session } from './../domain';
-declare type Task = (session: Session) => Observable<any> | Promise<any> | any;
-export declare function task(name: string, fn: Task): void;
-export declare function runTask(name: string, session: Session): Promise<void>;
-export {};

package/dist/shared/task.js

@@ -1,25 +0,0 @@
-"use strict";
-Object.defineProperty(exports, "__esModule", { value: true });
-exports.runTask = exports.task = void 0;
-const rxjs_1 = require("rxjs");
-const tasks = {};
-function task(name, fn) {
-    tasks[name] = fn;
-}
-exports.task = task;
-async function runTask(name, session) {
-    const task = tasks[name];
-    if (!task) {
-        throw new Error('Unknown task: ' + name);
-    }
-    const result = tasks[name](session);
-    if (result instanceof rxjs_1.Observable) {
-        return (0, rxjs_1.lastValueFrom)(result);
-    }
-    if (result instanceof Promise) {
-        return await result;
-    }
-    return result;
-}
-exports.runTask = runTask;
-//# sourceMappingURL=task.js.map

package/dist/shared/task.js.map

@@ -1 +0,0 @@
-{"version":3,"file":"task.js","sourceRoot":"","sources":["../../src/shared/task.ts"],"names":[],"mappings":";;;AAAA,+BAAiD;AAKjD,MAAM,KAAK,GAAyB,EAAE,CAAC;AAEvC,SAAgB,IAAI,CAAC,IAAY,EAAE,EAAQ;IACzC,KAAK,CAAC,IAAI,CAAC,GAAG,EAAE,CAAC;AACnB,CAAC;AAFD,oBAEC;AAEM,KAAK,UAAU,OAAO,CAAC,IAAY,EAAE,OAAgB;IAC1D,MAAM,IAAI,GAAG,KAAK,CAAC,IAAI,CAAC,CAAC;IAEzB,IAAI,CAAC,IAAI,EAAE;QACT,MAAM,IAAI,KAAK,CAAC,gBAAgB,GAAG,IAAI,CAAC,CAAC;KAC1C;IAED,MAAM,MAAM,GAAG,KAAK,CAAC,IAAI,CAAC,CAAC,OAAO,CAAC,CAAC;IAEpC,IAAI,MAAM,YAAY,iBAAU,EAAE;QAChC,OAAO,IAAA,oBAAa,EAAC,MAAM,CAAC,CAAC;KAC9B;IAED,IAAI,MAAM,YAAY,OAAO,EAAE;QAC7B,OAAO,MAAM,MAAM,CAAC;KACrB;IAED,OAAO,MAAM,CAAC;AAChB,CAAC;AAlBD,0BAkBC"}

package/dist/shared/worker.d.ts

@@ -1,10 +0,0 @@
-/// <reference types="node" />
-import { EventEmitter } from 'stream';
-export declare type Work = () => Promise<void>;
-export declare class Worker extends EventEmitter {
-    private readonly queue;
-    private promise;
-    enqueue(job: Work): void;
-    wait(): Promise<void>;
-    private tryNext;
-}

package/dist/shared/worker.js

@@ -1,46 +0,0 @@
-"use strict";
-Object.defineProperty(exports, "__esModule", { value: true });
-exports.Worker = void 0;
-const stream_1 = require("stream");
-class Worker extends stream_1.EventEmitter {
-    constructor() {
-        super(...arguments);
-        this.queue = new Array();
-    }
-    enqueue(job) {
-        this.queue.push(job);
-        this.tryNext();
-    }
-    wait() {
-        if (!this.queue.length) {
-            return Promise.resolve();
-        }
-        return new Promise(resolve => {
-            const listener = () => {
-                if (this.queue.length) {
-                    return;
-                }
-                this.removeListener('completed', listener);
-                resolve();
-            };
-            this.addListener('completed', listener);
-        });
-    }
-    tryNext() {
-        if (!this.queue.length) {
-            return;
-        }
-        if (!this.promise) {
-            const queued = this.queue[0];
-            this.emit('started');
-            this.promise = queued().finally(() => {
-                this.queue.shift();
-                this.promise = null;
-                this.emit('completed');
-                this.tryNext();
-            });
-        }
-    }
-}
-exports.Worker = Worker;
-//# sourceMappingURL=worker.js.map

package/dist/shared/worker.js.map

@@ -1 +0,0 @@
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package/dist/shared/worker.spec.d.ts

@@ -1 +0,0 @@
-export {};

package/dist/shared/worker.spec.js

@@ -1,18 +0,0 @@
-"use strict";
-Object.defineProperty(exports, "__esModule", { value: true });
-const worker_1 = require("./worker");
-describe('worker tests', () => {
-    test('event handler tests', async () => {
-        const sut = new worker_1.Worker();
-        let started = 0, completed = 0;
-        sut.addListener('started', () => started++);
-        sut.addListener('completed', () => completed++);
-        sut.enqueue(() => new Promise(resolve => {
-            setTimeout(() => resolve(), 1);
-        }));
-        await sut.wait();
-        expect(started).toBe(1);
-        expect(completed).toBe(1);
-    });
-});
-//# sourceMappingURL=worker.spec.js.map

package/dist/shared/worker.spec.js.map

@@ -1 +0,0 @@
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package/src/ipc.spec.ts

@@ -1,73 +0,0 @@
-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';
-
-  timestamp() {
-    return 123;
-  }
-
-  createPaperSimulator(adapter: PaperAdapter): PaperSimulator {
-    return new PaperSpotSimulator(adapter);
-  }
-
-  awake(context: AdapterContext): Promise<void> {
-    return super.awake(context);
-  }
-
-  async account(): Promise<void> {}
-}
-
-describe('ipc feed tests', () => {
-  test('should dispatch session started event', done => {
-    const command = {
-      type: 'paper'
-    };
-
-    const ipcSub = new EventEmitter();
-
-    ipcSub.on('message', (message: any) => {
-      expect(message.type).toBe('paper:started');
-      done();
-    });
-
-    run(
-      {
-        adapter: [new DefaultAdapter()],
-        ipcSub,
-        options: {
-          paper: {
-            balance: { 'default:usd': 100 }
-          }
-        }
-      },
-      command
-    );
-  });
-
-  test('should execute user task', done => {
-    task('hello-world', session => {
-      return of(1).pipe(
-        take(1),
-        tap(() => done())
-      );
-    });
-
-    const command = {
-      type: 'task',
-      taskName: 'hello-world'
-    };
-
-    run(
-      {
-        adapter: [new DefaultAdapter()]
-      },
-      command
-    );
-  });
-});