@quantform/core 0.4.11 → 0.5.15

package/dist/domain/asset.spec.js

@@ -1,55 +1,55 @@
 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
 const asset_1 = require("./asset");
-describe('asset tests', () => {
-    test('should instantiate proper asset', () => {
+describe('Asset', () => {
+    test('should construct a new asset', () => {
         const sut = new asset_1.Asset('abc', 'xyz', 4);
         expect(sut.name).toEqual('abc');
-        expect(sut.adapter).toEqual('xyz');
+        expect(sut.adapterName).toEqual('xyz');
         expect(sut.scale).toEqual(4);
         expect(sut.tickSize).toEqual(0.0001);
         expect(sut.fixed(1.1234567)).toEqual(1.1234);
         expect(sut.floor(1.1234567)).toEqual(1.1234);
         expect(sut.ceil(1.1234567)).toEqual(1.1235);
-        expect(sut.toString()).toEqual('xyz:abc');
+        expect(sut.id).toEqual('xyz:abc');
+    });
+    test('should throw for missing asset name', () => {
+        const fn = () => new asset_1.Asset('xyz', '', 5);
+        expect(fn).toThrowError();
+    });
+    test('should throw for missing adapter name', () => {
+        const fn = () => new asset_1.Asset('', 'xyz', 5);
+        expect(fn).toThrowError();
     });
 });
-describe('asset selector tests', () => {
-    test('should instantiate proper asset selector', () => {
+describe('AssetSelector', () => {
+    test('should construct a new asset selector from unified string', () => {
         const sut = (0, asset_1.assetOf)('xyz:abc');
         expect(sut.name).toEqual('abc');
-        expect(sut.adapter).toEqual('xyz');
-        expect(sut.toString()).toEqual('xyz:abc');
+        expect(sut.adapterName).toEqual('xyz');
+        expect(sut.id).toEqual('xyz:abc');
     });
     test('should instantiate proper asset selector capital case', () => {
         const sut = (0, asset_1.assetOf)('XYZ:ABC');
         expect(sut.name).toEqual('abc');
-        expect(sut.adapter).toEqual('xyz');
-        expect(sut.toString()).toEqual('xyz:abc');
+        expect(sut.adapterName).toEqual('xyz');
+        expect(sut.id).toEqual('xyz:abc');
     });
     test('should throw invalid format message for missing separator', () => {
-        const fn = () => {
-            (0, asset_1.assetOf)('xyzabc');
-        };
-        expect(fn).toThrow(Error);
-    });
-    test('should throw invalid format message for multiple separators', () => {
-        const fn = () => {
-            (0, asset_1.assetOf)('xyz:abc:');
-        };
-        expect(fn).toThrow(Error);
-    });
-    test('should throw invalid format message for missing asset name', () => {
-        const fn = () => {
-            (0, asset_1.assetOf)('xyz:');
-        };
-        expect(fn).toThrow(Error);
-    });
-    test('should throw invalid format message for missing adapter name', () => {
-        const fn = () => {
-            (0, asset_1.assetOf)(':abc');
-        };
-        expect(fn).toThrow(Error);
+        const fn = () => (0, asset_1.assetOf)('xyzabc');
+        expect(fn).toThrowError();
+    });
+    test('should throw for multiple separators', () => {
+        const fn = () => (0, asset_1.assetOf)('xyz:abc:');
+        expect(fn).toThrowError();
+    });
+    test('should throw for missing asset name', () => {
+        const fn = () => (0, asset_1.assetOf)('xyz:');
+        expect(fn).toThrowError();
+    });
+    test('should throw for missing adapter name', () => {
+        const fn = () => (0, asset_1.assetOf)(':abc');
+        expect(fn).toThrowError();
     });
 });
 //# sourceMappingURL=asset.spec.js.map

package/dist/domain/asset.spec.js.map

@@ -1 +1 @@
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package/dist/domain/balance.d.ts

@@ -4,21 +4,22 @@ import { Component } from './component';
 import { Position, PositionMode } from './position';
 export declare class Balance implements Component {
     readonly asset: Asset;
+    id: string;
+    kind: string;
     timestamp: timestamp;
-    readonly maintenanceMarginRate = 1;
-    private _free;
-    private _freezed;
+    private locker;
+    private available;
+    private unavailable;
     get free(): number;
-    get freezed(): number;
+    get locked(): number;
     get total(): number;
-    position: Record<string, Position>;
+    readonly position: Record<string, Position>;
     constructor(asset: Asset);
-    transact(amount: number): void;
-    set(free: number, freezed: number): void;
-    freez(amount: number): void;
-    unfreez(amount: number): void;
+    account(amount: number): void;
+    set(free: number, locked: number): void;
+    lock(id: string, amount: number): void;
+    tryUnlock(id: string): boolean;
     getEstimatedUnrealizedPnL(mode?: PositionMode): number;
     getEstimatedMargin(mode?: PositionMode): number;
-    getEstimatedMaintenanceMargin(mode?: PositionMode): number;
     toString(): string;
 }

package/dist/domain/balance.js

@@ -1,52 +1,61 @@
 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
 exports.Balance = void 0;
+const error_1 = require("./error");
 class Balance {
     constructor(asset) {
         this.asset = asset;
-        this.maintenanceMarginRate = 1;
-        this._free = 0;
-        this._freezed = 0;
+        this.kind = 'balance';
+        this.locker = {};
+        this.available = 0;
+        this.unavailable = 0;
         this.position = {};
+        this.id = asset.id;
     }
     get free() {
-        return (this._free +
-            this.getEstimatedUnrealizedPnL('CROSS') -
-            this.getEstimatedMaintenanceMargin('CROSS'));
+        return this.asset.fixed(this.available) + this.getEstimatedUnrealizedPnL('CROSS');
     }
-    get freezed() {
-        return this._freezed;
+    get locked() {
+        return this.unavailable;
     }
     get total() {
-        return (this._free + this._freezed + this.getEstimatedUnrealizedPnL());
+        return (this.asset.fixed(this.available + this.unavailable) +
+            this.getEstimatedUnrealizedPnL());
     }
-    transact(amount) {
-        if (this._free + amount < 0) {
-            throw new Error(`invalid balance amount has: ${this._free} wants: ${amount}`);
+    account(amount) {
+        if (this.available + amount < 0) {
+            throw (0, error_1.insufficientFundsError)(this.id, amount, this.available);
         }
-        this._free += amount;
+        this.available += amount;
     }
-    set(free, freezed) {
-        if (free != null) {
-            this._free = free;
+    set(free, locked) {
+        this.available = free;
+        this.unavailable = locked;
+        this.locker = {};
+    }
+    lock(id, amount) {
+        if (this.available < amount) {
+            throw (0, error_1.insufficientFundsError)(this.id, amount, this.available);
         }
-        if (freezed != null) {
-            this._freezed = freezed;
+        if (this.locker[id]) {
+            throw (0, error_1.invalidArgumentError)(id);
         }
+        this.locker[id] = amount;
+        this.available -= amount;
+        this.unavailable += amount;
     }
-    freez(amount) {
-        if (this._free < amount) {
-            throw new Error(`insufficient funds has: ${this._free} wants: ${amount}`);
+    tryUnlock(id) {
+        if (!this.locker[id]) {
+            return false;
         }
-        this._free -= amount;
-        this._freezed += amount;
-    }
-    unfreez(amount) {
-        if (this._freezed < amount) {
-            throw new Error(`insufficient funds has: ${this._freezed} wants: ${amount}`);
+        const amount = this.locker[id];
+        delete this.locker[id];
+        if (this.unavailable < amount) {
+            throw (0, error_1.insufficientFundsError)(this.id, amount, this.unavailable);
         }
-        this._free += amount;
-        this._freezed -= amount;
+        this.available += amount;
+        this.unavailable -= amount;
+        return true;
     }
     getEstimatedUnrealizedPnL(mode) {
         return Object.values(this.position).reduce((aggregate, position) => (aggregate +=
@@ -55,9 +64,6 @@ class Balance {
     getEstimatedMargin(mode) {
         return Object.values(this.position).reduce((aggregate, position) => (aggregate += mode && mode != position.mode ? 0 : position.margin), 0);
     }
-    getEstimatedMaintenanceMargin(mode) {
-        return this.getEstimatedMargin(mode) * this.maintenanceMarginRate;
-    }
     toString() {
         return this.asset.toString();
     }

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package/dist/domain/balance.operator.d.ts

@@ -0,0 +1,6 @@
+import { Observable } from 'rxjs';
+import { State } from '../store';
+import { AssetSelector } from './asset';
+import { Balance } from './balance';
+import { Component } from './component';
+export declare function balance(selector: AssetSelector, state: State): (source$: Observable<Component>) => Observable<Balance>;

package/dist/domain/balance.operator.js

@@ -0,0 +1,10 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.balance = void 0;
+const rxjs_1 = require("rxjs");
+const balance_1 = require("./balance");
+function balance(selector, state) {
+    return (source$) => source$.pipe((0, rxjs_1.startWith)(state.balance.get(selector.id)), (0, rxjs_1.filter)(it => it instanceof balance_1.Balance && (!selector || it.asset.id == selector.id)), (0, rxjs_1.map)(it => it));
+}
+exports.balance = balance;
+//# sourceMappingURL=balance.operator.js.map

package/dist/domain/balance.operator.js.map

@@ -0,0 +1 @@
+{"version":3,"file":"balance.operator.js","sourceRoot":"","sources":["../../src/domain/balance.operator.ts"],"names":[],"mappings":";;;AAAA,+BAA0D;AAI1D,uCAAoC;AAGpC,SAAgB,OAAO,CAAC,QAAuB,EAAE,KAAY;IAC3D,OAAO,CAAC,OAA8B,EAAE,EAAE,CACxC,OAAO,CAAC,IAAI,CACV,IAAA,gBAAS,EAAC,KAAK,CAAC,OAAO,CAAC,GAAG,CAAC,QAAQ,CAAC,EAAE,CAAC,CAAC,EACzC,IAAA,aAAM,EAAC,EAAE,CAAC,EAAE,CAAC,EAAE,YAAY,iBAAO,IAAI,CAAC,CAAC,QAAQ,IAAI,EAAE,CAAC,KAAK,CAAC,EAAE,IAAI,QAAQ,CAAC,EAAE,CAAC,CAAC,EAChF,IAAA,UAAG,EAAC,EAAE,CAAC,EAAE,CAAC,EAAa,CAAC,CACzB,CAAC;AACN,CAAC;AAPD,0BAOC"}

package/dist/domain/balance.operator.spec.js

@@ -0,0 +1,23 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+const rxjs_1 = require("rxjs");
+const store_1 = require("../store");
+const asset_1 = require("./asset");
+const balance_1 = require("./balance");
+const balance_operator_1 = require("./balance.operator");
+describe('balance', () => {
+    const asset = new asset_1.Asset('abc', 'xyz', 4);
+    const state = new store_1.State();
+    beforeEach(() => {
+        state.balance.upsert(new balance_1.Balance(asset));
+    });
+    test('should pipe a balance on subscription', done => {
+        new rxjs_1.Subject().pipe((0, balance_operator_1.balance)(asset, state)).subscribe({
+            next: it => {
+                expect(it.asset).toEqual(asset);
+                done();
+            }
+        });
+    });
+});
+//# sourceMappingURL=balance.operator.spec.js.map

package/dist/domain/balance.operator.spec.js.map

@@ -0,0 +1 @@
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package/dist/domain/balance.spec.js

@@ -2,21 +2,81 @@
 Object.defineProperty(exports, "__esModule", { value: true });
 const asset_1 = require("./asset");
 const balance_1 = require("./balance");
-describe('balance tests', () => {
-    test('should instantiate empty balance', () => {
-        const sut = new balance_1.Balance(new asset_1.Asset('abc', 'xyz', 4));
-        expect(sut.asset.toString()).toEqual('xyz:abc');
+const instrument_1 = require("./instrument");
+const position_1 = require("./position");
+describe('Balance', () => {
+    const asset = new asset_1.Asset('abc', 'xyz', 4);
+    const instrument = new instrument_1.Instrument(new asset_1.Asset('abc', 'xyz', 4), new asset_1.Asset('def', 'xyz', 4), 'abc-def');
+    test('should construct empty balance', () => {
+        const sut = new balance_1.Balance(asset);
+        expect(sut.asset.id).toEqual('xyz:abc');
         expect(sut.free).toEqual(0);
-        expect(sut.freezed).toEqual(0);
+        expect(sut.locked).toEqual(0);
         expect(Object.keys(sut.position).length).toEqual(0);
     });
-    test('should instantiate balance', () => {
-        const sut = new balance_1.Balance(new asset_1.Asset('abc', 'xyz', 4));
+    test('should construct balance', () => {
+        const sut = new balance_1.Balance(asset);
         sut.set(100, 50);
-        expect(sut.asset.toString()).toEqual('xyz:abc');
+        expect(sut.asset.id).toEqual('xyz:abc');
         expect(sut.free).toEqual(100);
-        expect(sut.freezed).toEqual(50);
+        expect(sut.locked).toEqual(50);
+        expect(sut.total).toEqual(150);
         expect(Object.keys(sut.position).length).toEqual(0);
     });
+    test('should account positive amount', () => {
+        const sut = new balance_1.Balance(asset);
+        sut.set(100, 0);
+        sut.account(10);
+        expect(sut.free).toEqual(110);
+        expect(sut.locked).toEqual(0);
+        expect(sut.total).toEqual(110);
+    });
+    test('should account negative amount', () => {
+        const sut = new balance_1.Balance(asset);
+        sut.set(100, 0);
+        sut.account(-10);
+        expect(sut.free).toEqual(90);
+        expect(sut.locked).toEqual(0);
+        expect(sut.total).toEqual(90);
+    });
+    test('should throw for insufficient balance account amount', () => {
+        const sut = new balance_1.Balance(asset);
+        sut.set(100, 0);
+        const fn = () => sut.account(-120);
+        expect(fn).toThrowError();
+    });
+    test('should lock specific amount of available balance', () => {
+        const sut = new balance_1.Balance(asset);
+        sut.set(100, 0);
+        sut.lock('key', 10);
+        expect(sut.free).toEqual(90);
+        expect(sut.locked).toEqual(10);
+        expect(sut.total).toEqual(100);
+    });
+    test('should throw for lock insufficient amount of available balance', () => {
+        const sut = new balance_1.Balance(asset);
+        sut.set(30, 50);
+        const fn = () => sut.lock('key', 100);
+        expect(fn).toThrowError();
+    });
+    test('should lock an unlock specific amount of available balance', () => {
+        const sut = new balance_1.Balance(asset);
+        sut.set(100, 0);
+        sut.lock('key', 40);
+        sut.tryUnlock('key');
+        expect(sut.free).toEqual(100);
+        expect(sut.locked).toEqual(0);
+        expect(sut.total).toEqual(100);
+    });
+    test('should return correct estimated unrealized pnl', () => {
+        const position = new position_1.Position('1', instrument, 'CROSS', 2511.81, 10.31, 20);
+        position.calculateEstimatedUnrealizedPnL(2576.44);
+        const sut = new balance_1.Balance(asset);
+        sut.set(100, 0);
+        sut.position['1'] = position;
+        expect(sut.getEstimatedUnrealizedPnL()).toEqual(0.2652);
+        expect(sut.free).toEqual(100 + 0.2652);
+        expect(sut.total).toEqual(100 + 0.2652);
+    });
 });
 //# sourceMappingURL=balance.spec.js.map

package/dist/domain/balance.spec.js.map

@@ -1 +1 @@
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+{"version":3,"file":"balance.spec.js","sourceRoot":"","sources":["../../src/domain/balance.spec.ts"],"names":[],"mappings":";;AAAA,mCAAgC;AAChC,uCAAoC;AACpC,6CAA0C;AAC1C,yCAAsC;AAEtC,QAAQ,CAAC,SAAS,EAAE,GAAG,EAAE;IACvB,MAAM,KAAK,GAAG,IAAI,aAAK,CAAC,KAAK,EAAE,KAAK,EAAE,CAAC,CAAC,CAAC;IACzC,MAAM,UAAU,GAAG,IAAI,uBAAU,CAC/B,IAAI,aAAK,CAAC,KAAK,EAAE,KAAK,EAAE,CAAC,CAAC,EAC1B,IAAI,aAAK,CAAC,KAAK,EAAE,KAAK,EAAE,CAAC,CAAC,EAC1B,SAAS,CACV,CAAC;IAEF,IAAI,CAAC,gCAAgC,EAAE,GAAG,EAAE;QAC1C,MAAM,GAAG,GAAG,IAAI,iBAAO,CAAC,KAAK,CAAC,CAAC;QAE/B,MAAM,CAAC,GAAG,CAAC,KAAK,CAAC,EAAE,CAAC,CAAC,OAAO,CAAC,SAAS,CAAC,CAAC;QACxC,MAAM,CAAC,GAAG,CAAC,IAAI,CAAC,CAAC,OAAO,CAAC,CAAC,CAAC,CAAC;QAC5B,MAAM,CAAC,GAAG,CAAC,MAAM,CAAC,CAAC,OAAO,CAAC,CAAC,CAAC,CAAC;QAC9B,MAAM,CAAC,MAAM,CAAC,IAAI,CAAC,GAAG,CAAC,QAAQ,CAAC,CAAC,MAAM,CAAC,CAAC,OAAO,CAAC,CAAC,CAAC,CAAC;IACtD,CAAC,CAAC,CAAC;IAEH,IAAI,CAAC,0BAA0B,EAAE,GAAG,EAAE;QACpC,MAAM,GAAG,GAAG,IAAI,iBAAO,CAAC,KAAK,CAAC,CAAC;QAE/B,GAAG,CAAC,GAAG,CAAC,GAAG,EAAE,EAAE,CAAC,CAAC;QAEjB,MAAM,CAAC,GAAG,CAAC,KAAK,CAAC,EAAE,CAAC,CAAC,OAAO,CAAC,SAAS,CAAC,CAAC;QACxC,MAAM,CAAC,GAAG,CAAC,IAAI,CAAC,CAAC,OAAO,CAAC,GAAG,CAAC,CAAC;QAC9B,MAAM,CAAC,GAAG,CAAC,MAAM,CAAC,CAAC,OAAO,CAAC,EAAE,CAAC,CAAC;QAC/B,MAAM,CAAC,GAAG,CAAC,KAAK,CAAC,CAAC,OAAO,CAAC,GAAG,CAAC,CAAC;QAC/B,MAAM,CAAC,MAAM,CAAC,IAAI,CAAC,GAAG,CAAC,QAAQ,CAAC,CAAC,MAAM,CAAC,CAAC,OAAO,CAAC,CAAC,CAAC,CAAC;IACtD,CAAC,CAAC,CAAC;IAEH,IAAI,CAAC,gCAAgC,EAAE,GAAG,EAAE;QAC1C,MAAM,GAAG,GAAG,IAAI,iBAAO,CAAC,KAAK,CAAC,CAAC;QAE/B,GAAG,CAAC,GAAG,CAAC,GAAG,EAAE,CAAC,CAAC,CAAC;QAChB,GAAG,CAAC,OAAO,CAAC,EAAE,CAAC,CAAC;QAEhB,MAAM,CAAC,GAAG,CAAC,IAAI,CAAC,CAAC,OAAO,CAAC,GAAG,CAAC,CAAC;QAC9B,MAAM,CAAC,GAAG,CAAC,MAAM,CAAC,CAAC,OAAO,CAAC,CAAC,CAAC,CAAC;QAC9B,MAAM,CAAC,GAAG,CAAC,KAAK,CAAC,CAAC,OAAO,CAAC,GAAG,CAAC,CAAC;IACjC,CAAC,CAAC,CAAC;IAEH,IAAI,CAAC,gCAAgC,EAAE,GAAG,EAAE;QAC1C,MAAM,GAAG,GAAG,IAAI,iBAAO,CAAC,KAAK,CAAC,CAAC;QAE/B,GAAG,CAAC,GAAG,CAAC,GAAG,EAAE,CAAC,CAAC,CAAC;QAChB,GAAG,CAAC,OAAO,CAAC,CAAC,EAAE,CAAC,CAAC;QAEjB,MAAM,CAAC,GAAG,CAAC,IAAI,CAAC,CAAC,OAAO,CAAC,EAAE,CAAC,CAAC;QAC7B,MAAM,CAAC,GAAG,CAAC,MAAM,CAAC,CAAC,OAAO,CAAC,CAAC,CAAC,CAAC;QAC9B,MAAM,CAAC,GAAG,CAAC,KAAK,CAAC,CAAC,OAAO,CAAC,EAAE,CAAC,CAAC;IAChC,CAAC,CAAC,CAAC;IAEH,IAAI,CAAC,sDAAsD,EAAE,GAAG,EAAE;QAChE,MAAM,GAAG,GAAG,IAAI,iBAAO,CAAC,KAAK,CAAC,CAAC;QAE/B,GAAG,CAAC,GAAG,CAAC,GAAG,EAAE,CAAC,CAAC,CAAC;QAChB,MAAM,EAAE,GAAG,GAAG,EAAE,CAAC,GAAG,CAAC,OAAO,CAAC,CAAC,GAAG,CAAC,CAAC;QAEnC,MAAM,CAAC,EAAE,CAAC,CAAC,YAAY,EAAE,CAAC;IAC5B,CAAC,CAAC,CAAC;IAEH,IAAI,CAAC,kDAAkD,EAAE,GAAG,EAAE;QAC5D,MAAM,GAAG,GAAG,IAAI,iBAAO,CAAC,KAAK,CAAC,CAAC;QAE/B,GAAG,CAAC,GAAG,CAAC,GAAG,EAAE,CAAC,CAAC,CAAC;QAChB,GAAG,CAAC,IAAI,CAAC,KAAK,EAAE,EAAE,CAAC,CAAC;QAEpB,MAAM,CAAC,GAAG,CAAC,IAAI,CAAC,CAAC,OAAO,CAAC,EAAE,CAAC,CAAC;QAC7B,MAAM,CAAC,GAAG,CAAC,MAAM,CAAC,CAAC,OAAO,CAAC,EAAE,CAAC,CAAC;QAC/B,MAAM,CAAC,GAAG,CAAC,KAAK,CAAC,CAAC,OAAO,CAAC,GAAG,CAAC,CAAC;IACjC,CAAC,CAAC,CAAC;IAEH,IAAI,CAAC,gEAAgE,EAAE,GAAG,EAAE;QAC1E,MAAM,GAAG,GAAG,IAAI,iBAAO,CAAC,KAAK,CAAC,CAAC;QAE/B,GAAG,CAAC,GAAG,CAAC,EAAE,EAAE,EAAE,CAAC,CAAC;QAChB,MAAM,EAAE,GAAG,GAAG,EAAE,CAAC,GAAG,CAAC,IAAI,CAAC,KAAK,EAAE,GAAG,CAAC,CAAC;QAEtC,MAAM,CAAC,EAAE,CAAC,CAAC,YAAY,EAAE,CAAC;IAC5B,CAAC,CAAC,CAAC;IAEH,IAAI,CAAC,4DAA4D,EAAE,GAAG,EAAE;QACtE,MAAM,GAAG,GAAG,IAAI,iBAAO,CAAC,KAAK,CAAC,CAAC;QAE/B,GAAG,CAAC,GAAG,CAAC,GAAG,EAAE,CAAC,CAAC,CAAC;QAChB,GAAG,CAAC,IAAI,CAAC,KAAK,EAAE,EAAE,CAAC,CAAC;QACpB,GAAG,CAAC,SAAS,CAAC,KAAK,CAAC,CAAC;QAErB,MAAM,CAAC,GAAG,CAAC,IAAI,CAAC,CAAC,OAAO,CAAC,GAAG,CAAC,CAAC;QAC9B,MAAM,CAAC,GAAG,CAAC,MAAM,CAAC,CAAC,OAAO,CAAC,CAAC,CAAC,CAAC;QAC9B,MAAM,CAAC,GAAG,CAAC,KAAK,CAAC,CAAC,OAAO,CAAC,GAAG,CAAC,CAAC;IACjC,CAAC,CAAC,CAAC;IAEH,IAAI,CAAC,gDAAgD,EAAE,GAAG,EAAE;QAC1D,MAAM,QAAQ,GAAG,IAAI,mBAAQ,CAAC,GAAG,EAAE,UAAU,EAAE,OAAO,EAAE,OAAO,EAAE,KAAK,EAAE,EAAE,CAAC,CAAC;QAE5E,QAAQ,CAAC,+BAA+B,CAAC,OAAO,CAAC,CAAC;QAElD,MAAM,GAAG,GAAG,IAAI,iBAAO,CAAC,KAAK,CAAC,CAAC;QAE/B,GAAG,CAAC,GAAG,CAAC,GAAG,EAAE,CAAC,CAAC,CAAC;QAChB,GAAG,CAAC,QAAQ,CAAC,GAAG,CAAC,GAAG,QAAQ,CAAC;QAE7B,MAAM,CAAC,GAAG,CAAC,yBAAyB,EAAE,CAAC,CAAC,OAAO,CAAC,MAAM,CAAC,CAAC;QACxD,MAAM,CAAC,GAAG,CAAC,IAAI,CAAC,CAAC,OAAO,CAAC,GAAG,GAAG,MAAM,CAAC,CAAC;QACvC,MAAM,CAAC,GAAG,CAAC,KAAK,CAAC,CAAC,OAAO,CAAC,GAAG,GAAG,MAAM,CAAC,CAAC;IAC1C,CAAC,CAAC,CAAC;AACL,CAAC,CAAC,CAAC"}

package/dist/domain/candle.d.ts

@@ -1,4 +1,3 @@
-import { Observable } from 'rxjs';
 import { timestamp } from '../shared';
 export declare class Candle {
     timestamp: timestamp;
@@ -6,19 +5,7 @@ export declare class Candle {
     high: number;
     low: number;
     close: number;
-    constructor(timestamp: timestamp, open: number, high: number, low: number, close: number);
+    volume?: number;
+    constructor(timestamp: timestamp, open: number, high: number, low: number, close: number, volume?: number);
     apply(value: number): void;
 }
-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.js

@@ -1,15 +1,14 @@
 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
-exports.mergeCandle = exports.candle = exports.CandleBuilder = exports.Candle = void 0;
-const rxjs_1 = require("rxjs");
-const timeframe_1 = require("./timeframe");
+exports.Candle = void 0;
 class Candle {
-    constructor(timestamp, open, high, low, close) {
+    constructor(timestamp, open, high, low, close, volume) {
         this.timestamp = timestamp;
         this.open = open;
         this.high = high;
         this.low = low;
         this.close = close;
+        this.volume = volume;
     }
     apply(value) {
         this.high = Math.max(this.high, value);
@@ -18,66 +17,4 @@ class Candle {
     }
 }
 exports.Candle = Candle;
-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(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;
-    }
-}
-exports.CandleBuilder = CandleBuilder;
-function candle(timeframe, fn) {
-    return function (source) {
-        const builder = new CandleBuilder(timeframe);
-        let candle;
-        return source.pipe((0, rxjs_1.filter)(it => {
-            return (candle = builder.append(fn(it), it.timestamp)) != null;
-        }), (0, rxjs_1.map)(_ => candle), (0, rxjs_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$.pipe((0, rxjs_1.skipLast)(1)), source$.pipe((0, rxjs_1.withLatestFrom)(history$.pipe((0, rxjs_1.last)())), (0, rxjs_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.js.map

package/dist/domain/candle.js.map

@@ -1 +1 @@
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+{"version":3,"file":"candle.js","sourceRoot":"","sources":["../../src/domain/candle.ts"],"names":[],"mappings":";;;AAEA,MAAa,MAAM;IACjB,YACS,SAAoB,EACpB,IAAY,EACZ,IAAY,EACZ,GAAW,EACX,KAAa,EACb,MAAe;QALf,cAAS,GAAT,SAAS,CAAW;QACpB,SAAI,GAAJ,IAAI,CAAQ;QACZ,SAAI,GAAJ,IAAI,CAAQ;QACZ,QAAG,GAAH,GAAG,CAAQ;QACX,UAAK,GAAL,KAAK,CAAQ;QACb,WAAM,GAAN,MAAM,CAAS;IACrB,CAAC;IAEJ,KAAK,CAAC,KAAa;QACjB,IAAI,CAAC,IAAI,GAAG,IAAI,CAAC,GAAG,CAAC,IAAI,CAAC,IAAI,EAAE,KAAK,CAAC,CAAC;QACvC,IAAI,CAAC,GAAG,GAAG,IAAI,CAAC,GAAG,CAAC,IAAI,CAAC,GAAG,EAAE,KAAK,CAAC,CAAC;QACrC,IAAI,CAAC,KAAK,GAAG,KAAK,CAAC;IACrB,CAAC;CACF;AAfD,wBAeC"}

package/dist/domain/candle.operator.d.ts

@@ -0,0 +1,9 @@
+import { Observable } from 'rxjs';
+import { Candle } from './candle';
+export declare function candle<T extends {
+    timestamp: number;
+}>(timeframe: number, fn: (x: T) => number, candleToStartWith?: Candle): (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>;
+export declare function candleCompleted(): (source: Observable<Candle>) => Observable<Candle>;

package/dist/domain/candle.operator.js

@@ -0,0 +1,64 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.candleCompleted = exports.mergeCandle = exports.candle = void 0;
+const rxjs_1 = require("rxjs");
+const candle_1 = require("./candle");
+const timeframe_1 = require("./timeframe");
+function aggregate(candle, timeframe, value, timestamp) {
+    const frame = (0, timeframe_1.tf)(timestamp, timeframe);
+    if (!candle) {
+        return new candle_1.Candle(frame, value, value, value, value);
+    }
+    if (candle.timestamp === frame) {
+        candle.apply(value);
+    }
+    else {
+        return new candle_1.Candle(frame, candle.close, value, value, value);
+    }
+}
+function candle(timeframe, fn, candleToStartWith = undefined) {
+    return function (source) {
+        let candle = candleToStartWith;
+        return source.pipe((0, rxjs_1.map)(it => {
+            const newCandle = aggregate(candle, timeframe, fn(it), it.timestamp);
+            if (newCandle) {
+                const prevCandle = candle;
+                candle = newCandle;
+                if (candleToStartWith && candleToStartWith.timestamp < newCandle.timestamp) {
+                    candleToStartWith = undefined;
+                    return [prevCandle, candle];
+                }
+            }
+            if (candleToStartWith) {
+                candleToStartWith = undefined;
+            }
+            return [candle];
+        }), (0, rxjs_1.mergeMap)(it => it), (0, rxjs_1.share)());
+    };
+}
+exports.candle = candle;
+function mergeCandle(timeframe, fn, history$) {
+    return function (source$) {
+        return (0, rxjs_1.concat)(history$.pipe((0, rxjs_1.skipLast)(1)), history$.pipe((0, rxjs_1.last)(), (0, rxjs_1.switchMap)(lastHistoricalCandle => source$.pipe(candle(timeframe, fn, lastHistoricalCandle))), (0, rxjs_1.share)()));
+    };
+}
+exports.mergeCandle = mergeCandle;
+function candleCompleted() {
+    let currCandle;
+    return (source) => source.pipe((0, rxjs_1.map)(it => {
+        if (!currCandle) {
+            currCandle = it;
+            return undefined;
+        }
+        else {
+            if (currCandle.timestamp !== it.timestamp) {
+                const prevCandle = currCandle;
+                currCandle = it;
+                return prevCandle;
+            }
+            return undefined;
+        }
+    }), (0, rxjs_1.filter)(it => !!it), (0, rxjs_1.share)());
+}
+exports.candleCompleted = candleCompleted;
+//# sourceMappingURL=candle.operator.js.map

package/dist/domain/candle.operator.js.map

@@ -0,0 +1 @@
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