@quantform/core 0.4.11 → 0.5.15

package/dist/tests/backtester-adapter.spec.js

@@ -1,60 +0,0 @@
-"use strict";
-Object.defineProperty(exports, "__esModule", { value: true });
-const adapter_1 = require("../adapter/adapter");
-const backtester_adapter_1 = require("../adapter/backtester/backtester-adapter");
-const backtester_streamer_1 = require("../adapter/backtester/backtester-streamer");
-const paper_1 = require("../adapter/paper");
-const domain_1 = require("../domain");
-const storage_1 = require("../storage");
-const store_1 = require("../store");
-const base = new domain_1.Asset('btc', 'binance', 8);
-const quote = new domain_1.Asset('usdt', 'binance', 4);
-class DefaultAdapter extends adapter_1.Adapter {
-    constructor() {
-        super(...arguments);
-        this.name = 'default';
-    }
-    timestamp() {
-        return 123;
-    }
-    createPaperSimulator(adapter) {
-        return new paper_1.PaperSpotSimulator(adapter);
-    }
-    async awake(context) {
-        await super.awake(context);
-        context.dispatch(new store_1.InstrumentPatchEvent(context.timestamp, base, quote, new domain_1.Commission(0.1, 0.1), 'btc-usdt'));
-    }
-}
-const instrument = (0, domain_1.instrumentOf)('binance:btc-usdt');
-const adapter = new DefaultAdapter();
-const store = new store_1.Store();
-const feed = new storage_1.Feed(new storage_1.InMemoryStorage());
-describe('backtester adapter tests', () => {
-    test('should return proper adapter name and timestamp', () => {
-        const sut = new backtester_adapter_1.BacktesterAdapter(adapter, new backtester_streamer_1.BacktesterStreamer(store, feed, {
-            from: 1,
-            to: 100
-        }));
-        expect(sut.name).toEqual('default');
-        expect(sut.timestamp()).toEqual(1);
-    });
-    test('should stream data from input array', done => {
-        const streamer = new backtester_streamer_1.BacktesterStreamer(store, feed, {
-            from: 0,
-            to: 100
-        }, {
-            onBacktestCompleted: () => {
-                expect(store.snapshot.timestamp).toEqual(1);
-                expect(store.snapshot.trade[instrument.toString()].rate).toEqual(100);
-                expect(store.snapshot.trade[instrument.toString()].quantity).toEqual(10);
-                done();
-            }
-        });
-        feed.save(instrument, [new store_1.TradePatchEvent(instrument, 100, 10, 1)]);
-        const sut = new backtester_adapter_1.BacktesterAdapter(adapter, streamer);
-        sut.awake(new adapter_1.AdapterContext(sut, store));
-        sut.subscribe([instrument]);
-        expect(sut.name).toEqual('default');
-    });
-});
-//# sourceMappingURL=backtester-adapter.spec.js.map

package/dist/tests/backtester-adapter.spec.js.map

@@ -1 +0,0 @@
-{"version":3,"file":"backtester-adapter.spec.js","sourceRoot":"","sources":["../../src/tests/backtester-adapter.spec.ts"],"names":[],"mappings":";;AAAA,gDAA6D;AAC7D,iFAA6E;AAC7E,mFAA+E;AAC/E,4CAAsD;AAGtD,sCAA4D;AAC5D,wCAAmD;AACnD,oCAAwE;AAExE,MAAM,IAAI,GAAG,IAAI,cAAK,CAAC,KAAK,EAAE,SAAS,EAAE,CAAC,CAAC,CAAC;AAC5C,MAAM,KAAK,GAAG,IAAI,cAAK,CAAC,MAAM,EAAE,SAAS,EAAE,CAAC,CAAC,CAAC;AAE9C,MAAM,cAAe,SAAQ,iBAAO;IAApC;;QACE,SAAI,GAAG,SAAS,CAAC;IAuBnB,CAAC;IArBC,SAAS;QACP,OAAO,GAAG,CAAC;IACb,CAAC;IAED,oBAAoB,CAAC,OAAqB;QACxC,OAAO,IAAI,0BAAkB,CAAC,OAAO,CAAC,CAAC;IACzC,CAAC;IAED,KAAK,CAAC,KAAK,CAAC,OAAuB;QACjC,MAAM,KAAK,CAAC,KAAK,CAAC,OAAO,CAAC,CAAC;QAE3B,OAAO,CAAC,QAAQ,CACd,IAAI,4BAAoB,CACtB,OAAO,CAAC,SAAS,EACjB,IAAI,EACJ,KAAK,EACL,IAAI,mBAAU,CAAC,GAAG,EAAE,GAAG,CAAC,EACxB,UAAU,CACX,CACF,CAAC;IACJ,CAAC;CACF;AAED,MAAM,UAAU,GAAG,IAAA,qBAAY,EAAC,kBAAkB,CAAC,CAAC;AACpD,MAAM,OAAO,GAAG,IAAI,cAAc,EAAE,CAAC;AACrC,MAAM,KAAK,GAAG,IAAI,aAAK,EAAE,CAAC;AAC1B,MAAM,IAAI,GAAG,IAAI,cAAI,CAAC,IAAI,yBAAe,EAAE,CAAC,CAAC;AAE7C,QAAQ,CAAC,0BAA0B,EAAE,GAAG,EAAE;IACxC,IAAI,CAAC,iDAAiD,EAAE,GAAG,EAAE;QAC3D,MAAM,GAAG,GAAG,IAAI,sCAAiB,CAC/B,OAAO,EACP,IAAI,wCAAkB,CAAC,KAAK,EAAE,IAAI,EAAE;YAClC,IAAI,EAAE,CAAC;YACP,EAAE,EAAE,GAAG;SACR,CAAC,CACH,CAAC;QAEF,MAAM,CAAC,GAAG,CAAC,IAAI,CAAC,CAAC,OAAO,CAAC,SAAS,CAAC,CAAC;QACpC,MAAM,CAAC,GAAG,CAAC,SAAS,EAAE,CAAC,CAAC,OAAO,CAAC,CAAC,CAAC,CAAC;IACrC,CAAC,CAAC,CAAC;IAEH,IAAI,CAAC,qCAAqC,EAAE,IAAI,CAAC,EAAE;QACjD,MAAM,QAAQ,GAAG,IAAI,wCAAkB,CACrC,KAAK,EACL,IAAI,EACJ;YACE,IAAI,EAAE,CAAC;YACP,EAAE,EAAE,GAAG;SACR,EACD;YACE,mBAAmB,EAAE,GAAG,EAAE;gBACxB,MAAM,CAAC,KAAK,CAAC,QAAQ,CAAC,SAAS,CAAC,CAAC,OAAO,CAAC,CAAC,CAAC,CAAC;gBAC5C,MAAM,CAAC,KAAK,CAAC,QAAQ,CAAC,KAAK,CAAC,UAAU,CAAC,QAAQ,EAAE,CAAC,CAAC,IAAI,CAAC,CAAC,OAAO,CAAC,GAAG,CAAC,CAAC;gBACtE,MAAM,CAAC,KAAK,CAAC,QAAQ,CAAC,KAAK,CAAC,UAAU,CAAC,QAAQ,EAAE,CAAC,CAAC,QAAQ,CAAC,CAAC,OAAO,CAAC,EAAE,CAAC,CAAC;gBAEzE,IAAI,EAAE,CAAC;YACT,CAAC;SACF,CACF,CAAC;QAEF,IAAI,CAAC,IAAI,CAAC,UAAU,EAAE,CAAC,IAAI,uBAAe,CAAC,UAAU,EAAE,GAAG,EAAE,EAAE,EAAE,CAAC,CAAC,CAAC,CAAC,CAAC;QAErE,MAAM,GAAG,GAAG,IAAI,sCAAiB,CAAC,OAAO,EAAE,QAAQ,CAAC,CAAC;QAErD,GAAG,CAAC,KAAK,CAAC,IAAI,wBAAc,CAAC,GAAG,EAAE,KAAK,CAAC,CAAC,CAAC;QAC1C,GAAG,CAAC,SAAS,CAAC,CAAC,UAAU,CAAC,CAAC,CAAC;QAE5B,MAAM,CAAC,GAAG,CAAC,IAAI,CAAC,CAAC,OAAO,CAAC,SAAS,CAAC,CAAC;IACtC,CAAC,CAAC,CAAC;AACL,CAAC,CAAC,CAAC"}

package/dist/tests/session.spec.js

@@ -1 +0,0 @@
-//# sourceMappingURL=session.spec.js.map

package/dist/tests/session.spec.js.map

@@ -1 +0,0 @@
-{"version":3,"file":"session.spec.js","sourceRoot":"","sources":["../../src/tests/session.spec.ts"],"names":[],"mappings":""}

package/jestconfig.integration.json

@@ -1,12 +0,0 @@
-{
-  "moduleFileExtensions": ["js", "json", "ts"],
-  "verbose": true,
-  "rootDir": "src/tests",
-  "testRegex": ".spec.ts$",
-  "transform": {
-    "^.+\\.(t|j)s$": "ts-jest"
-  },
-  "coverageDirectory": "../coverage",
-  "testEnvironment": "node",
-  "testTimeout": 300000
-}

package/src/adapter/paper/simulator/paper-margin-simulator.ts

@@ -1,108 +0,0 @@
-import { PaperAdapter } from '..';
-import { Order } from '../../../domain';
-import { pnl, weightedMean } from '../../../shared';
-import {
-  BalanceTransactEvent,
-  OrderCanceledEvent,
-  OrderCancelingEvent,
-  OrderFilledEvent,
-  OrderNewEvent,
-  OrderPendingEvent,
-  PositionPatchEvent
-} from '../../../store';
-import { PaperSimulator } from './paper-simulator';
-
-export class PaperMarginSimulator extends PaperSimulator {
-  leverage = 10;
-
-  constructor(adapter: PaperAdapter) {
-    super(adapter);
-  }
-
-  onOrderOpened(order: Order) {
-    const timestamp = this.adapter.timestamp();
-
-    this.adapter.store.dispatch(new OrderNewEvent(order, timestamp));
-    this.adapter.store.dispatch(new OrderPendingEvent(order.id, timestamp));
-  }
-
-  onOrderCompleted(order: Order, averageExecutionRate: number, timestamp: number) {
-    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 = position?.averageExecutionRate ?? 0;
-    let size = position?.size ?? 0;
-    let quantity = order.quantity;
-
-    switch (order.side) {
-      case 'BUY':
-        if (size < 0) {
-          const comsumeQuantity = Math.min(Math.abs(size), quantity);
-
-          transact += pnl(averageExecutionRate, rate, comsumeQuantity);
-
-          size += comsumeQuantity;
-          quantity -= comsumeQuantity;
-        }
-
-        if (!size) {
-          rate = averageExecutionRate;
-          size = quantity;
-        } else {
-          rate = weightedMean([rate, averageExecutionRate], [size, quantity]);
-          size += quantity;
-        }
-
-        break;
-
-      case 'SELL':
-        if (size > 0) {
-          const comsumeQuantity = Math.min(size, quantity);
-
-          transact += pnl(rate, averageExecutionRate, comsumeQuantity);
-
-          size -= comsumeQuantity;
-          quantity -= comsumeQuantity;
-        }
-
-        if (!size) {
-          rate = averageExecutionRate;
-          size = -quantity;
-        } else {
-          rate = weightedMean([rate, averageExecutionRate], [size, -quantity]);
-          size -= quantity;
-        }
-
-        break;
-    }
-
-    this.adapter.store.dispatch(
-      new OrderFilledEvent(order.id, averageExecutionRate, timestamp),
-      new BalanceTransactEvent(instrument.quote, transact, timestamp),
-      new PositionPatchEvent(
-        id,
-        instrument,
-        rate,
-        size,
-        this.leverage,
-        'CROSS',
-        timestamp
-      )
-    );
-  }
-
-  onOrderCanceled(order: Order) {
-    const timestamp = this.adapter.timestamp();
-
-    this.adapter.store.dispatch(new OrderCancelingEvent(order.id, timestamp));
-    this.adapter.store.dispatch(new OrderCanceledEvent(order.id, timestamp));
-  }
-}

package/src/adapter/paper/simulator/paper-simulator.ts

@@ -1,120 +0,0 @@
-import { tap } from 'rxjs';
-import { Set } from 'typescript-collections';
-import { PaperAdapter } from '..';
-import { Component, InstrumentSelector, Order, Orderbook, Trade } from '../../../domain';
-
-export abstract class PaperSimulator {
-  private readonly pending: Record<string, Set<Order>> = {};
-
-  constructor(readonly adapter: PaperAdapter) {
-    this.adapter.store.changes$.pipe(tap(it => this.intercept(it))).subscribe();
-  }
-
-  protected abstract onOrderOpened(order: Order);
-
-  protected abstract onOrderCompleted(
-    order: Order,
-    averageExecutionRate: number,
-    timestamp: number
-  );
-
-  protected abstract onOrderCanceled(order: Order);
-
-  private intercept(component: Component) {
-    if (component instanceof Orderbook) {
-      this.pendingOf(component.instrument).forEach(it =>
-        this.simulateOrderOnOrderbook(it, component)
-      );
-    } else if (component instanceof Trade) {
-      this.pendingOf(component.instrument).forEach(it =>
-        this.simulateOrderOnTrade(it, component)
-      );
-    }
-  }
-
-  private simulateOrderOnOrderbook(order: Order, orderbook: 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;
-    }
-  }
-
-  private simulateOrderOnTrade(order: Order, trade: 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;
-    }
-  }
-
-  private pendingOf(instrument: InstrumentSelector) {
-    let pending = this.pending[instrument.toString()];
-    if (!pending) {
-      pending = new Set<Order>();
-
-      this.pending[instrument.toString()] = pending;
-    }
-
-    return pending;
-  }
-
-  open(order: Order) {
-    const pending = this.pendingOf(order.instrument);
-
-    if (!pending.add(order)) {
-      throw new Error('Invalid order');
-    }
-
-    this.onOrderOpened(order);
-  }
-
-  cancel(order: Order) {
-    const pending = this.pendingOf(order.instrument);
-
-    if (!pending.remove(order)) {
-      throw new Error('Invalid order');
-    }
-
-    this.onOrderCanceled(order);
-  }
-}

package/src/adapter/paper/simulator/paper-spot-simulator.spec.ts

@@ -1,87 +0,0 @@
-import { PaperAdapter } from '../paper-adapter';
-import {
-  Asset,
-  assetOf,
-  Commission,
-  commissionPercentOf,
-  instrumentOf,
-  Order
-} from './../../../domain';
-import {
-  BalancePatchEvent,
-  InstrumentPatchEvent,
-  InstrumentSubscriptionEvent,
-  Store,
-  TradePatchEvent
-} from './../../../store';
-import { Adapter, AdapterContext } from './../../adapter';
-import { PaperSimulator } from './paper-simulator';
-import { PaperSpotSimulator } from './paper-spot-simulator';
-
-class DefaultAdapter extends Adapter {
-  name = 'default';
-
-  timestamp() {
-    return 0;
-  }
-
-  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/simulator/paper-spot-simulator.ts

@@ -1,134 +0,0 @@
-import { PaperAdapter } from '..';
-import { Order } from '../../../domain';
-import { timestamp } from '../../../shared';
-import {
-  BalanceFreezEvent,
-  BalanceTransactEvent,
-  BalanceUnfreezEvent,
-  OrderCanceledEvent,
-  OrderCancelingEvent,
-  OrderFilledEvent,
-  OrderNewEvent,
-  OrderPendingEvent
-} from '../../../store';
-import { PaperSimulator } from './paper-simulator';
-
-export class PaperSpotSimulator extends PaperSimulator {
-  constructor(readonly adapter: PaperAdapter) {
-    super(adapter);
-  }
-
-  onOrderOpened(order: Order) {
-    const timestamp = this.adapter.timestamp();
-
-    this.adapter.store.dispatch(
-      ...this.caluclateFreezAllocation(order, timestamp),
-      new OrderNewEvent(order, timestamp)
-    );
-    this.adapter.store.dispatch(new OrderPendingEvent(order.id, timestamp));
-  }
-
-  onOrderCompleted(order: Order, averageExecutionRate: number, timestamp: timestamp) {
-    const instrument =
-      this.adapter.store.snapshot.universe.instrument[order.instrument.toString()];
-    const transacted = {
-      base: 0,
-      quote: 0
-    };
-
-    switch (order.side) {
-      case 'BUY':
-        transacted.base += instrument.base.floor(
-          instrument.commission.applyMakerFee(order.quantity)
-        );
-        transacted.quote -= instrument.quote.floor(averageExecutionRate * order.quantity);
-        break;
-
-      case 'SELL':
-        transacted.base -= instrument.base.floor(order.quantity);
-        transacted.quote += instrument.quote.floor(
-          instrument.commission.applyMakerFee(averageExecutionRate * order.quantity)
-        );
-        break;
-    }
-
-    this.adapter.store.dispatch(
-      ...this.caluclateUnfreezAllocation(order, timestamp),
-      new OrderFilledEvent(order.id, averageExecutionRate, timestamp),
-      new BalanceTransactEvent(instrument.base, transacted.base, timestamp),
-      new BalanceTransactEvent(instrument.quote, transacted.quote, timestamp)
-    );
-  }
-
-  onOrderCanceled(order: Order) {
-    const timestamp = this.adapter.timestamp();
-
-    this.adapter.store.dispatch(new OrderCancelingEvent(order.id, timestamp));
-    this.adapter.store.dispatch(
-      ...this.caluclateUnfreezAllocation(order, timestamp),
-      new OrderCanceledEvent(order.id, timestamp)
-    );
-  }
-
-  private caluclateFreezAllocation(
-    order: Order,
-    timestamp: timestamp
-  ): BalanceFreezEvent[] {
-    const snapshot = this.adapter.store.snapshot;
-    const quote = snapshot.balance[order.instrument.quote.toString()];
-
-    switch (order.side) {
-      case 'BUY':
-        switch (order.type) {
-          case 'MARKET':
-            return [new BalanceFreezEvent(order.instrument.quote, quote.free, timestamp)];
-
-          case 'LIMIT':
-            return [
-              new BalanceFreezEvent(
-                order.instrument.quote,
-                quote.asset.ceil(order.rate * order.quantity),
-                timestamp
-              )
-            ];
-        }
-        break;
-
-      case 'SELL':
-        return [new BalanceFreezEvent(order.instrument.base, order.quantity, timestamp)];
-    }
-  }
-
-  private caluclateUnfreezAllocation(
-    order: Order,
-    timestamp: timestamp
-  ): BalanceUnfreezEvent[] {
-    const snapshot = this.adapter.store.snapshot;
-    const quote = snapshot.balance[order.instrument.quote.toString()];
-
-    switch (order.side) {
-      case 'BUY':
-        switch (order.type) {
-          case 'MARKET':
-            return [
-              new BalanceUnfreezEvent(order.instrument.quote, quote.freezed, timestamp)
-            ];
-
-          case 'LIMIT':
-            return [
-              new BalanceUnfreezEvent(
-                order.instrument.quote,
-                quote.asset.ceil(order.rate * order.quantity),
-                timestamp
-              )
-            ];
-        }
-        break;
-
-      case 'SELL':
-        return [
-          new BalanceUnfreezEvent(order.instrument.base, order.quantity, timestamp)
-        ];
-    }
-  }
-}

package/src/domain/statement.ts

@@ -1,118 +0,0 @@
-import { combineLatest, finalize, map, take, tap } from 'rxjs';
-import { InstrumentSelector, Session } from '.';
-import { drawdown } from '../indicator';
-import { floor, precision } from '../shared';
-
-export function period() {
-  return (session: Session) => {
-    const period = session.useStatement('period');
-
-    return session.store.changes$.pipe(
-      finalize(() => (period.to = new Date(session.timestamp).toISOString())),
-      take(1),
-      tap(it => (period.from = new Date(it.timestamp).toISOString()))
-    );
-  };
-}
-
-export function benchmark(instrument: InstrumentSelector) {
-  return (session: Session) => {
-    const statement = session.useStatement('benchmark');
-
-    let balance: number, entry: number, exit: number;
-    let dd = 0;
-
-    return combineLatest([
-      session.orderbook(instrument),
-      session.balance(instrument.quote),
-      session.orderbook(instrument).pipe(
-        drawdown(it => it.midRate),
-        tap(it => (dd = it))
-      )
-    ]).pipe(
-      map(([orderbook, quote]) => {
-        const price = orderbook.midRate;
-
-        if (!balance) {
-          balance = quote.total;
-        }
-
-        if (!entry) {
-          entry = price;
-        }
-
-        exit = price;
-      }),
-      finalize(() => {
-        const pnl = exit / entry - 1;
-
-        statement['benchmark_entry'] = entry;
-        statement['benchmark_exit'] = exit;
-        statement['benchmark_pnl'] = floor(balance * pnl, precision(entry));
-        statement['benchmark_pnl_pp'] = floor(pnl * 100, 2);
-        statement['benchmark_drawdown_pp'] = floor(dd * 100, 2);
-      })
-    );
-  };
-}
-
-export function equity(instrument: InstrumentSelector) {
-  return (session: Session) => {
-    const statement = session.useStatement('benchmark');
-
-    let balance: number, min: number, max: number;
-    let dd = 0;
-    let equity = 0;
-
-    return combineLatest([
-      session.orderbook(instrument),
-      session.balance(instrument.base),
-      session.balance(instrument.quote),
-      session.positions(instrument)
-    ]).pipe(
-      tap(([, , quote]) => {
-        if (!balance) {
-          balance = quote.total;
-        }
-      }),
-      map(([orderbook, base, quote, positions]) =>
-        orderbook.instrument.quote.fixed(
-          quote.total +
-            base.total * orderbook.bestBidRate +
-            positions.reduce(
-              (agg, position) => agg + position.calculatePnL(orderbook.bestBidRate),
-              0
-            )
-        )
-      ),
-      tap(it => {
-        if (!min) {
-          min = it;
-        } else {
-          min = Math.min(min, it);
-        }
-
-        if (!max) {
-          max = it;
-        } else {
-          max = Math.max(max, it);
-        }
-
-        equity = it;
-      }),
-      drawdown(it => it),
-      tap(it => (dd = it)),
-      finalize(() => {
-        const pnl = equity / balance - 1;
-        const scale = precision(equity);
-
-        statement['equity'] = equity;
-        statement['equity_min'] = min;
-        statement['equity_max'] = max;
-        statement['equity_pnl'] = floor(balance * pnl, scale);
-        statement['equity_pnl_pp'] = floor(pnl * 100, 2);
-        statement['equity_drawdown_pp'] = floor(dd * 100, 2);
-      })
-    );
-  };
-}