@quantform/core 0.4.11 → 0.5.15

package/src/store/store.spec.ts

@@ -0,0 +1,180 @@
+import { withLatestFrom } from 'rxjs';
+
+import { Asset, balance, Instrument, Order, order } from '../domain';
+import { now } from '../shared';
+import { Store } from './store';
+import { BalanceTransactEvent } from './store-balance.event';
+import {
+  OrderCanceledEvent,
+  OrderCancelingEvent,
+  OrderFilledEvent,
+  OrderLoadEvent,
+  OrderNewEvent,
+  OrderPendingEvent
+} from './store-order.event';
+
+const instrument = new Instrument(
+  new Asset('abc', 'xyz', 4),
+  new Asset('def', 'xyz', 4),
+  'abc-def'
+);
+
+describe('Store', () => {
+  let store: Store;
+
+  beforeEach(() => {
+    store = new Store();
+  });
+
+  test('should load an existing order and not pipe a changes', () => {
+    let hasUpdatedOrder = false;
+
+    store.changes$.pipe(order(instrument)).subscribe({
+      next: () => {
+        hasUpdatedOrder = true;
+      }
+    });
+
+    store.dispatch(new OrderLoadEvent(Order.market(instrument, 10), now()));
+
+    expect(hasUpdatedOrder).toBe(false);
+  });
+
+  test('should create a new order and pipe a changes', () => {
+    let hasUpdatedOrder = false;
+
+    store.changes$.pipe(order(instrument)).subscribe({
+      next: () => {
+        hasUpdatedOrder = true;
+      }
+    });
+
+    store.dispatch(new OrderNewEvent(Order.market(instrument, 10), now()));
+
+    expect(hasUpdatedOrder).toBe(true);
+  });
+
+  test('should transition order state from new to pending', () => {
+    const states = ['NEW', 'PENDING'].reverse();
+
+    store.changes$.pipe(order(instrument)).subscribe({
+      next: it => {
+        expect(it.state).toBe(states.pop());
+      }
+    });
+
+    const buyOrder = Order.market(instrument, 10);
+
+    store.dispatch(new OrderNewEvent(buyOrder, now()));
+    store.dispatch(new OrderPendingEvent(buyOrder.id, instrument, now()));
+
+    expect(buyOrder.state).toBe('PENDING');
+    expect(states.length).toBe(0);
+  });
+
+  test('should transition order state from new to filled', () => {
+    const states = ['NEW', 'PENDING', 'FILLED'].reverse();
+
+    store.changes$.pipe(order(instrument)).subscribe({
+      next: it => {
+        expect(it.state).toBe(states.pop());
+      }
+    });
+
+    const buyOrder = Order.market(instrument, 10);
+
+    store.dispatch(new OrderNewEvent(buyOrder, now()));
+    store.dispatch(new OrderPendingEvent(buyOrder.id, instrument, now()));
+    store.dispatch(new OrderFilledEvent(buyOrder.id, instrument, 44, now()));
+
+    expect(buyOrder.state).toBe('FILLED');
+    expect(buyOrder.averageExecutionRate).toBe(44);
+    expect(states.length).toBe(0);
+  });
+
+  test('should transition order state from new to canceled', () => {
+    const states = ['NEW', 'PENDING', 'CANCELING', 'CANCELED'].reverse();
+
+    store.changes$.pipe(order(instrument)).subscribe({
+      next: it => {
+        expect(it.state).toBe(states.pop());
+      }
+    });
+
+    const buyOrder = Order.market(instrument, 10);
+
+    store.dispatch(new OrderNewEvent(buyOrder, now()));
+    store.dispatch(new OrderPendingEvent(buyOrder.id, instrument, now()));
+    store.dispatch(new OrderCancelingEvent(buyOrder.id, instrument, now()));
+    store.dispatch(new OrderCanceledEvent(buyOrder.id, instrument, now()));
+
+    expect(buyOrder.state).toBe('CANCELED');
+    expect(states.length).toBe(0);
+  });
+
+  test('should patch balance with order and pipe changes once', done => {
+    store.snapshot.universe.instrument.upsert(instrument);
+    store.snapshot.universe.asset.upsert(instrument.quote);
+
+    store.changes$
+      .pipe(
+        balance(instrument.quote, store.snapshot),
+        withLatestFrom(store.changes$.pipe(order(instrument)))
+      )
+      .subscribe({
+        next: ([balance, order]) => {
+          expect(balance.free).toBe(10);
+          expect(order.state).toBe('PENDING');
+
+          done();
+        }
+      });
+
+    const buyOrder = Order.market(instrument, 10);
+
+    store.dispatch(
+      new OrderNewEvent(buyOrder, now()),
+      new OrderPendingEvent(buyOrder.id, instrument, now()),
+      new BalanceTransactEvent(instrument.quote, 10, now())
+    );
+  });
+
+  test('should pipe balance and order changes', done => {
+    store.snapshot.universe.instrument.upsert(instrument);
+    store.snapshot.universe.asset.upsert(instrument.quote);
+
+    let counter = 2;
+
+    store.changes$.pipe(balance(instrument.quote, store.snapshot)).subscribe({
+      next: it => {
+        counter--;
+
+        expect(it.free).toBe(10);
+
+        if (!counter) {
+          done();
+        }
+      }
+    });
+
+    store.changes$.pipe(order(instrument)).subscribe({
+      next: it => {
+        counter--;
+
+        expect(it.state).toBe('PENDING');
+
+        if (!counter) {
+          done();
+        }
+      }
+    });
+
+    const buyOrder = Order.market(instrument, 10);
+
+    store.dispatch(
+      new OrderNewEvent(buyOrder, now()),
+      new OrderPendingEvent(buyOrder.id, instrument, now()),
+      new BalanceTransactEvent(instrument.quote, 10, now())
+    );
+  });
+});

package/src/store/store.ts

@@ -1,234 +1,37 @@
-import { BehaviorSubject, Observable, Subject } from 'rxjs';
-import { Set } from 'typescript-collections';
+import { Observable, Subject } from 'rxjs';
+
 import { Component } from '../domain';
-import { handler, Topic } from '../shared/topic';
-import {
-  BalanceFreezEvent,
-  BalanceFreezEventHandler,
-  BalancePatchEvent,
-  BalancePatchEventHandler,
-  BalanceTransactEvent,
-  BalanceTransactEventHandler,
-  BalanceUnfreezEvent,
-  BalanceUnfreezEventHandler,
-  CandleEvent,
-  CandleEventHandler,
-  InstrumentPatchEvent,
-  InstrumentPatchEventHandler,
-  InstrumentSubscriptionEvent,
-  InstrumentSubscriptionEventHandler,
-  OrderbookPatchEvent,
-  OrderbookPatchEventHandler,
-  OrderCanceledEvent,
-  OrderCanceledEventHandler,
-  OrderCancelFailedEvent,
-  OrderCancelFailedEventHandler,
-  OrderCancelingEvent,
-  OrderCancelingEventHandler,
-  OrderFilledEvent,
-  OrderFilledEventHandler,
-  OrderLoadEvent,
-  OrderLoadEventHandler,
-  OrderNewEvent,
-  OrderNewEventHandler,
-  OrderPendingEvent,
-  OrderPendingEventHandler,
-  OrderRejectedEvent,
-  OrderRejectedEventHandler,
-  PositionLoadEvent,
-  PositionLoadEventHandler,
-  PositionPatchEvent,
-  PositionPatchEventHandler,
-  StoreEvent,
-  TradePatchEvent,
-  TradePatchEventHandler
-} from './event';
-import { State, StateChangeTracker } from './store.state';
+import { StoreEvent } from './store.event';
+import { State, StateChangeTracker } from './store-state';
 
-export class Store extends Topic<StoreEvent, any> implements StateChangeTracker {
-  private readonly pendingChanges = new Set<Component>();
+export class Store implements StateChangeTracker {
+  private readonly pendingChanges = new Array<Component>();
   private readonly changes = new Subject<Component>();
-  private readonly state = new BehaviorSubject<State>(new State());
+
+  readonly snapshot = new State();
 
   get changes$(): Observable<Component> {
     return this.changes.asObservable();
   }
 
-  get snapshot(): State {
-    return this.state.value;
-  }
-
   dispatch(...events: StoreEvent[]) {
     for (const event of events) {
-      super.dispatch(event, {});
+      event.handle(this.snapshot, this);
     }
 
     this.commitPendingChanges();
   }
 
   commit(component: Component) {
-    this.pendingChanges.add(component);
+    this.pendingChanges.push(component);
   }
 
   commitPendingChanges() {
     this.pendingChanges.forEach(it => this.changes.next(it));
-    this.pendingChanges.clear();
+    this.pendingChanges.splice(0, this.pendingChanges.length);
   }
 
   dispose() {
-    this.state.complete();
     this.changes.complete();
   }
-
-  /**
-   * @see InstrumentPatchEventHandler
-   */
-  @handler(InstrumentPatchEvent)
-  onInstrumentPatch(event: InstrumentPatchEvent) {
-    return InstrumentPatchEventHandler(event, this.snapshot, this);
-  }
-
-  /**
-   * @see InstrumentSubscribedPatchEventHandler
-   */
-  @handler(InstrumentSubscriptionEvent)
-  onInstrumentSubscription(event: InstrumentSubscriptionEvent) {
-    return InstrumentSubscriptionEventHandler(event, this.snapshot, this);
-  }
-
-  /**
-   * @see BalancePatchEventHandler
-   */
-  @handler(BalancePatchEvent)
-  onBalancePatch(event: BalancePatchEvent) {
-    return BalancePatchEventHandler(event, this.snapshot, this);
-  }
-
-  /**
-   * @see BalanceTransactEventHandler
-   */
-  @handler(BalanceTransactEvent)
-  onBalanceTransact(event: BalanceTransactEvent) {
-    return BalanceTransactEventHandler(event, this.snapshot, this);
-  }
-
-  /**
-   * @see BalanceFreezEventHandler
-   */
-  @handler(BalanceFreezEvent)
-  onBalanceFreez(event: BalanceFreezEvent) {
-    return BalanceFreezEventHandler(event, this.snapshot, this);
-  }
-
-  /**
-   * @see BalanceUnfreezEventHandler
-   */
-  @handler(BalanceUnfreezEvent)
-  onBalanceUnfreez(event: BalanceUnfreezEvent) {
-    return BalanceUnfreezEventHandler(event, this.snapshot, this);
-  }
-
-  /**
-   * @see OrderLoadEventHandler
-   */
-  @handler(OrderLoadEvent)
-  onOrderLoad(event: OrderLoadEvent) {
-    return OrderLoadEventHandler(event, this.snapshot, this);
-  }
-
-  /**
-   * @see OrderNewEventHandler
-   */
-  @handler(OrderNewEvent)
-  onOrderNew(event: OrderNewEvent) {
-    return OrderNewEventHandler(event, this.snapshot, this);
-  }
-
-  /**
-   * @see OrderPendingEventHandler
-   */
-  @handler(OrderPendingEvent)
-  onOrderPending(event: OrderPendingEvent) {
-    return OrderPendingEventHandler(event, this.snapshot, this);
-  }
-
-  /**
-   * @see OrderFilledEventHandler
-   */
-  @handler(OrderFilledEvent)
-  onOrderFilled(event: OrderFilledEvent) {
-    return OrderFilledEventHandler(event, this.snapshot, this);
-  }
-
-  /**
-   * @see OrderCancelingEventHandler
-   */
-  @handler(OrderCancelingEvent)
-  onOrderCanceling(event: OrderCancelingEvent) {
-    return OrderCancelingEventHandler(event, this.snapshot, this);
-  }
-
-  /**
-   * @see OrderCanceledEventHandler
-   */
-  @handler(OrderCanceledEvent)
-  onOrderCanceled(event: OrderCanceledEvent) {
-    return OrderCanceledEventHandler(event, this.snapshot, this);
-  }
-
-  /**
-   * @see OrderCancelFailedEventHandler
-   */
-  @handler(OrderCancelFailedEvent)
-  onOrderCancelFailed(event: OrderCancelFailedEvent) {
-    return OrderCancelFailedEventHandler(event, this.snapshot, this);
-  }
-
-  /**
-   * @see OrderRejectedEventHandler
-   */
-  @handler(OrderRejectedEvent)
-  onOrderRejected(event: OrderRejectedEvent) {
-    return OrderRejectedEventHandler(event, this.snapshot, this);
-  }
-
-  /**
-   * @see OrderbookPatchEventHandler
-   */
-  @handler(OrderbookPatchEvent)
-  onOrderbookPatch(event: OrderbookPatchEvent) {
-    return OrderbookPatchEventHandler(event, this.snapshot, this);
-  }
-
-  /**
-   * @see PositionLoadEventHandler
-   */
-  @handler(PositionLoadEvent)
-  onPositionLoad(event: PositionLoadEvent) {
-    return PositionLoadEventHandler(event, this.snapshot, this);
-  }
-
-  /**
-   * @see PositionPatchEventHandler
-   */
-  @handler(PositionPatchEvent)
-  onPositionPatch(event: PositionPatchEvent) {
-    return PositionPatchEventHandler(event, this.snapshot, this);
-  }
-
-  /**
-   * @see TradePatchEventHandler
-   */
-  @handler(TradePatchEvent)
-  onTradePatch(event: TradePatchEvent) {
-    return TradePatchEventHandler(event, this.snapshot, this);
-  }
-
-  /**
-   * @see CandleEventHandler
-   */
-  @handler(CandleEvent)
-  onCandle(event: CandleEvent) {
-    return CandleEventHandler(event, this.snapshot, this);
-  }
 }

package/tsconfig.json

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

package/dist/adapter/paper/simulator/paper-margin-simulator.d.ts

@@ -1,10 +0,0 @@
-import { PaperAdapter } from '..';
-import { Order } from '../../../domain';
-import { PaperSimulator } from './paper-simulator';
-export declare class PaperMarginSimulator extends PaperSimulator {
-    leverage: number;
-    constructor(adapter: PaperAdapter);
-    onOrderOpened(order: Order): void;
-    onOrderCompleted(order: Order, averageExecutionRate: number, timestamp: number): void;
-    onOrderCanceled(order: Order): void;
-}

package/dist/adapter/paper/simulator/paper-margin-simulator.js

@@ -1,69 +0,0 @@
-"use strict";
-Object.defineProperty(exports, "__esModule", { value: true });
-exports.PaperMarginSimulator = void 0;
-const shared_1 = require("../../../shared");
-const store_1 = require("../../../store");
-const paper_simulator_1 = require("./paper-simulator");
-class PaperMarginSimulator extends paper_simulator_1.PaperSimulator {
-    constructor(adapter) {
-        super(adapter);
-        this.leverage = 10;
-    }
-    onOrderOpened(order) {
-        const timestamp = this.adapter.timestamp();
-        this.adapter.store.dispatch(new store_1.OrderNewEvent(order, timestamp));
-        this.adapter.store.dispatch(new store_1.OrderPendingEvent(order.id, timestamp));
-    }
-    onOrderCompleted(order, averageExecutionRate, timestamp) {
-        var _a, _b;
-        const instrument = this.adapter.store.snapshot.universe.instrument[order.instrument.toString()];
-        let transact = instrument.quote.floor(-instrument.commission.calculateMakerFee(averageExecutionRate * order.quantity));
-        const id = instrument.toString();
-        const position = this.adapter.store.snapshot.balance[instrument.quote.toString()].position[id];
-        let rate = (_a = position === null || position === void 0 ? void 0 : position.averageExecutionRate) !== null && _a !== void 0 ? _a : 0;
-        let size = (_b = position === null || position === void 0 ? void 0 : position.size) !== null && _b !== void 0 ? _b : 0;
-        let quantity = order.quantity;
-        switch (order.side) {
-            case 'BUY':
-                if (size < 0) {
-                    const comsumeQuantity = Math.min(Math.abs(size), quantity);
-                    transact += (0, shared_1.pnl)(averageExecutionRate, rate, comsumeQuantity);
-                    size += comsumeQuantity;
-                    quantity -= comsumeQuantity;
-                }
-                if (!size) {
-                    rate = averageExecutionRate;
-                    size = quantity;
-                }
-                else {
-                    rate = (0, shared_1.weightedMean)([rate, averageExecutionRate], [size, quantity]);
-                    size += quantity;
-                }
-                break;
-            case 'SELL':
-                if (size > 0) {
-                    const comsumeQuantity = Math.min(size, quantity);
-                    transact += (0, shared_1.pnl)(rate, averageExecutionRate, comsumeQuantity);
-                    size -= comsumeQuantity;
-                    quantity -= comsumeQuantity;
-                }
-                if (!size) {
-                    rate = averageExecutionRate;
-                    size = -quantity;
-                }
-                else {
-                    rate = (0, shared_1.weightedMean)([rate, averageExecutionRate], [size, -quantity]);
-                    size -= quantity;
-                }
-                break;
-        }
-        this.adapter.store.dispatch(new store_1.OrderFilledEvent(order.id, averageExecutionRate, timestamp), new store_1.BalanceTransactEvent(instrument.quote, transact, timestamp), new store_1.PositionPatchEvent(id, instrument, rate, size, this.leverage, 'CROSS', timestamp));
-    }
-    onOrderCanceled(order) {
-        const timestamp = this.adapter.timestamp();
-        this.adapter.store.dispatch(new store_1.OrderCancelingEvent(order.id, timestamp));
-        this.adapter.store.dispatch(new store_1.OrderCanceledEvent(order.id, timestamp));
-    }
-}
-exports.PaperMarginSimulator = PaperMarginSimulator;
-//# sourceMappingURL=paper-margin-simulator.js.map

package/dist/adapter/paper/simulator/paper-margin-simulator.js.map

@@ -1 +0,0 @@
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package/dist/adapter/paper/simulator/paper-simulator.d.ts

@@ -1,16 +0,0 @@
-import { PaperAdapter } from '..';
-import { Order } from '../../../domain';
-export declare abstract class PaperSimulator {
-    readonly adapter: PaperAdapter;
-    private readonly pending;
-    constructor(adapter: PaperAdapter);
-    protected abstract onOrderOpened(order: Order): any;
-    protected abstract onOrderCompleted(order: Order, averageExecutionRate: number, timestamp: number): any;
-    protected abstract onOrderCanceled(order: Order): any;
-    private intercept;
-    private simulateOrderOnOrderbook;
-    private simulateOrderOnTrade;
-    private pendingOf;
-    open(order: Order): void;
-    cancel(order: Order): void;
-}

package/dist/adapter/paper/simulator/paper-simulator.js

@@ -1,93 +0,0 @@
-"use strict";
-Object.defineProperty(exports, "__esModule", { value: true });
-exports.PaperSimulator = void 0;
-const rxjs_1 = require("rxjs");
-const typescript_collections_1 = require("typescript-collections");
-const domain_1 = require("../../../domain");
-class PaperSimulator {
-    constructor(adapter) {
-        this.adapter = adapter;
-        this.pending = {};
-        this.adapter.store.changes$.pipe((0, rxjs_1.tap)(it => this.intercept(it))).subscribe();
-    }
-    intercept(component) {
-        if (component instanceof domain_1.Orderbook) {
-            this.pendingOf(component.instrument).forEach(it => this.simulateOrderOnOrderbook(it, component));
-        }
-        else if (component instanceof domain_1.Trade) {
-            this.pendingOf(component.instrument).forEach(it => this.simulateOrderOnTrade(it, component));
-        }
-    }
-    simulateOrderOnOrderbook(order, orderbook) {
-        if (orderbook.timestamp <= order.timestamp) {
-            return;
-        }
-        if (order.type == 'MARKET') {
-            if (order.side == 'BUY' && orderbook.bestAskRate) {
-                this.pendingOf(order.instrument).remove(order);
-                this.onOrderCompleted(order, orderbook.bestAskRate, orderbook.timestamp);
-            }
-            else if (order.side == 'SELL' && orderbook.bestBidRate) {
-                this.pendingOf(order.instrument).remove(order);
-                this.onOrderCompleted(order, orderbook.bestBidRate, orderbook.timestamp);
-            }
-            return;
-        }
-        if (order.type == 'LIMIT') {
-            if (order.side == 'BUY' && order.rate >= orderbook.bestAskRate) {
-                this.pendingOf(order.instrument).remove(order);
-                this.onOrderCompleted(order, orderbook.bestAskRate, orderbook.timestamp);
-            }
-            else if (order.side == 'SELL' && order.rate <= orderbook.bestBidRate) {
-                this.pendingOf(order.instrument).remove(order);
-                this.onOrderCompleted(order, orderbook.bestBidRate, orderbook.timestamp);
-            }
-            return;
-        }
-    }
-    simulateOrderOnTrade(order, trade) {
-        if (trade.timestamp <= order.timestamp) {
-            return;
-        }
-        if (order.type == 'MARKET') {
-            this.pendingOf(order.instrument).remove(order);
-            this.onOrderCompleted(order, trade.rate, trade.timestamp);
-            return;
-        }
-        if (order.type == 'LIMIT') {
-            if (order.side == 'BUY' && order.rate > trade.rate) {
-                this.pendingOf(order.instrument).remove(order);
-                this.onOrderCompleted(order, trade.rate, trade.timestamp);
-            }
-            else if (order.side == 'SELL' && order.rate < trade.rate) {
-                this.pendingOf(order.instrument).remove(order);
-                this.onOrderCompleted(order, trade.rate, trade.timestamp);
-            }
-            return;
-        }
-    }
-    pendingOf(instrument) {
-        let pending = this.pending[instrument.toString()];
-        if (!pending) {
-            pending = new typescript_collections_1.Set();
-            this.pending[instrument.toString()] = pending;
-        }
-        return pending;
-    }
-    open(order) {
-        const pending = this.pendingOf(order.instrument);
-        if (!pending.add(order)) {
-            throw new Error('Invalid order');
-        }
-        this.onOrderOpened(order);
-    }
-    cancel(order) {
-        const pending = this.pendingOf(order.instrument);
-        if (!pending.remove(order)) {
-            throw new Error('Invalid order');
-        }
-        this.onOrderCanceled(order);
-    }
-}
-exports.PaperSimulator = PaperSimulator;
-//# sourceMappingURL=paper-simulator.js.map

package/dist/adapter/paper/simulator/paper-simulator.js.map

@@ -1 +0,0 @@
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package/dist/adapter/paper/simulator/paper-spot-simulator.d.ts

@@ -1,13 +0,0 @@
-import { PaperAdapter } from '..';
-import { Order } from '../../../domain';
-import { timestamp } from '../../../shared';
-import { PaperSimulator } from './paper-simulator';
-export declare class PaperSpotSimulator extends PaperSimulator {
-    readonly adapter: PaperAdapter;
-    constructor(adapter: PaperAdapter);
-    onOrderOpened(order: Order): void;
-    onOrderCompleted(order: Order, averageExecutionRate: number, timestamp: timestamp): void;
-    onOrderCanceled(order: Order): void;
-    private caluclateFreezAllocation;
-    private caluclateUnfreezAllocation;
-}