@quantform/core 0.4.11 → 0.5.15

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

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

@@ -1,32 +1,31 @@
 import { timestamp } from '../shared';
+import { Balance } from './balance';
 import { Component } from './component';
 import { InstrumentSelector } from './instrument';
-export declare type OrderSide = 'SELL' | 'BUY';
 export declare type OrderType = 'MARKET' | 'LIMIT' | 'STOP-MARKET' | 'STOP-LIMIT';
 export declare type OrderState = 'NEW' | 'PENDING' | 'FILLED' | 'CANCELING' | 'CANCELED' | 'REJECTED';
 export declare class Order implements Component {
     readonly instrument: InstrumentSelector;
-    readonly side: OrderSide;
     readonly type: OrderType;
     readonly quantity: number;
-    readonly rate: number;
-    readonly stopRate: number;
+    readonly rate?: number;
+    readonly stopRate?: number;
+    kind: string;
     timestamp: timestamp;
-    id: any;
+    id: string;
     externalId: string;
     state: OrderState;
     quantityExecuted: number;
     averageExecutionRate: number;
     createdAt: timestamp;
-    comment: string;
-    static sellMarket(instrument: InstrumentSelector, quantity: number): Order;
-    static buyMarket(instrument: InstrumentSelector, quantity: number): Order;
-    static sellLimit(instrument: InstrumentSelector, quantity: number, rate: number): Order;
-    static buyLimit(instrument: InstrumentSelector, quantity: number, rate: number): Order;
-    static sellStopMarket(instrument: InstrumentSelector, quantity: number, stopRate: number): Order;
-    static buyStopMarket(instrument: InstrumentSelector, quantity: number, stopRate: number): Order;
-    static sellStopLimit(instrument: InstrumentSelector, quantity: number, rate: number, stopRate: number): Order;
-    static buyStopLimit(instrument: InstrumentSelector, quantity: number, rate: number, stopRate: number): Order;
-    constructor(instrument: InstrumentSelector, side: OrderSide, type: OrderType, quantity: number, rate?: number, stopRate?: number);
-    toString(): any;
+    static market(instrument: InstrumentSelector, quantity: number): Order;
+    static limit(instrument: InstrumentSelector, quantity: number, rate: number): Order;
+    static stopMarket(instrument: InstrumentSelector, quantity: number, stopRate: number): Order;
+    static stopLimit(instrument: InstrumentSelector, quantity: number, rate: number, stopRate: number): Order;
+    constructor(instrument: InstrumentSelector, type: OrderType, quantity: number, rate?: number, stopRate?: number);
+    toString(): string;
+    calculateBalanceToLock(base: Balance, quote: Balance): {
+        base: number;
+        quote: number;
+    };
 }

package/dist/domain/order.js

@@ -2,50 +2,63 @@
 Object.defineProperty(exports, "__esModule", { value: true });
 exports.Order = void 0;
 const uuid_1 = require("uuid");
+const error_1 = require("./error");
 class Order {
-    constructor(instrument, side, type, quantity, rate = null, stopRate = null) {
+    constructor(instrument, type, quantity, rate, stopRate) {
         this.instrument = instrument;
-        this.side = side;
         this.type = type;
         this.quantity = quantity;
         this.rate = rate;
         this.stopRate = stopRate;
+        this.kind = 'order';
         this.id = (0, uuid_1.v4)();
         this.state = 'NEW';
-        if (quantity <= 0 || Number.isNaN(quantity)) {
-            throw new Error(`invalid order quantity: ${quantity}`);
+        this.quantityExecuted = 0;
+        if (!quantity || Number.isNaN(quantity)) {
+            throw (0, error_1.invalidArgumentError)(quantity);
         }
-        if (rate && (Number.isNaN(quantity) || rate <= 0)) {
-            throw new Error('invalid order rate');
+        if (rate && (Number.isNaN(rate) || rate <= 0)) {
+            throw (0, error_1.invalidArgumentError)(rate);
         }
     }
-    static sellMarket(instrument, quantity) {
-        return new Order(instrument, 'SELL', 'MARKET', quantity);
+    static market(instrument, quantity) {
+        return new Order(instrument, 'MARKET', quantity);
     }
-    static buyMarket(instrument, quantity) {
-        return new Order(instrument, 'BUY', 'MARKET', quantity);
+    static limit(instrument, quantity, rate) {
+        return new Order(instrument, 'LIMIT', quantity, rate);
     }
-    static sellLimit(instrument, quantity, rate) {
-        return new Order(instrument, 'SELL', 'LIMIT', quantity, rate);
+    static stopMarket(instrument, quantity, stopRate) {
+        return new Order(instrument, 'STOP-MARKET', quantity, undefined, stopRate);
     }
-    static buyLimit(instrument, quantity, rate) {
-        return new Order(instrument, 'BUY', 'LIMIT', quantity, rate);
-    }
-    static sellStopMarket(instrument, quantity, stopRate) {
-        return new Order(instrument, 'SELL', 'STOP-MARKET', quantity, null, stopRate);
-    }
-    static buyStopMarket(instrument, quantity, stopRate) {
-        return new Order(instrument, 'BUY', 'STOP-MARKET', quantity, null, stopRate);
-    }
-    static sellStopLimit(instrument, quantity, rate, stopRate) {
-        return new Order(instrument, 'SELL', 'STOP-LIMIT', quantity, rate, stopRate);
-    }
-    static buyStopLimit(instrument, quantity, rate, stopRate) {
-        return new Order(instrument, 'BUY', 'STOP-LIMIT', quantity, rate, stopRate);
+    static stopLimit(instrument, quantity, rate, stopRate) {
+        return new Order(instrument, 'STOP-LIMIT', quantity, rate, stopRate);
     }
     toString() {
         return this.id;
     }
+    calculateBalanceToLock(base, quote) {
+        const qty = Math.abs(this.quantity);
+        if (this.quantity > 0) {
+            switch (this.type) {
+                case 'MARKET':
+                    return {
+                        base: 0,
+                        quote: quote.free
+                    };
+                case 'LIMIT':
+                    return {
+                        base: 0,
+                        quote: quote.asset.ceil(this.rate * qty)
+                    };
+            }
+        }
+        if (this.quantity < 0) {
+            return {
+                base: qty,
+                quote: 0
+            };
+        }
+    }
 }
 exports.Order = Order;
 //# sourceMappingURL=order.js.map

package/dist/domain/order.js.map

@@ -1 +1 @@
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package/dist/domain/order.operator.d.ts

@@ -0,0 +1,7 @@
+import { Observable } from 'rxjs';
+import { State } from '../store';
+import { Component } from './component';
+import { InstrumentSelector } from './instrument';
+import { Order } from './order';
+export declare function order(selector: InstrumentSelector): (source$: Observable<Component>) => Observable<Order>;
+export declare function orders(selector: InstrumentSelector, state: State): (source$: Observable<Component>) => Observable<readonly Order[]>;

package/dist/domain/order.operator.js

@@ -0,0 +1,14 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.orders = exports.order = void 0;
+const rxjs_1 = require("rxjs");
+const order_1 = require("./order");
+function order(selector) {
+    return (source$) => source$.pipe((0, rxjs_1.filter)(it => it instanceof order_1.Order && it.instrument.id == selector.id), (0, rxjs_1.map)(it => it));
+}
+exports.order = order;
+function orders(selector, state) {
+    return (source$) => source$.pipe((0, rxjs_1.filter)(it => it instanceof order_1.Order && it.instrument.id == selector.id), (0, rxjs_1.map)(() => state.order.get(selector.id).asReadonlyArray()), (0, rxjs_1.startWith)(state.order.get(selector.id).asReadonlyArray()));
+}
+exports.orders = orders;
+//# sourceMappingURL=order.operator.js.map

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

@@ -0,0 +1 @@
+{"version":3,"file":"order.operator.js","sourceRoot":"","sources":["../../src/domain/order.operator.ts"],"names":[],"mappings":";;;AAAA,+BAA0D;AAK1D,mCAAgC;AAEhC,SAAgB,KAAK,CAAC,QAA4B;IAChD,OAAO,CAAC,OAA8B,EAAE,EAAE,CACxC,OAAO,CAAC,IAAI,CACV,IAAA,aAAM,EAAC,EAAE,CAAC,EAAE,CAAC,EAAE,YAAY,aAAK,IAAI,EAAE,CAAC,UAAU,CAAC,EAAE,IAAI,QAAQ,CAAC,EAAE,CAAC,EACpE,IAAA,UAAG,EAAC,EAAE,CAAC,EAAE,CAAC,EAAW,CAAC,CACvB,CAAC;AACN,CAAC;AAND,sBAMC;AAED,SAAgB,MAAM,CAAC,QAA4B,EAAE,KAAY;IAC/D,OAAO,CAAC,OAA8B,EAAE,EAAE,CACxC,OAAO,CAAC,IAAI,CACV,IAAA,aAAM,EAAC,EAAE,CAAC,EAAE,CAAC,EAAE,YAAY,aAAK,IAAI,EAAE,CAAC,UAAU,CAAC,EAAE,IAAI,QAAQ,CAAC,EAAE,CAAC,EACpE,IAAA,UAAG,EAAC,GAAG,EAAE,CAAC,KAAK,CAAC,KAAK,CAAC,GAAG,CAAC,QAAQ,CAAC,EAAE,CAAC,CAAC,eAAe,EAAE,CAAC,EACzD,IAAA,gBAAS,EAAC,KAAK,CAAC,KAAK,CAAC,GAAG,CAAC,QAAQ,CAAC,EAAE,CAAC,CAAC,eAAe,EAAE,CAAC,CAC1D,CAAC;AACN,CAAC;AAPD,wBAOC"}

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

@@ -0,0 +1,64 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+const rxjs_1 = require("rxjs");
+const store_1 = require("../store");
+const asset_1 = require("./asset");
+const instrument_1 = require("./instrument");
+const order_1 = require("./order");
+const order_operator_1 = require("./order.operator");
+const instrument = new instrument_1.Instrument(new asset_1.Asset('abc', 'xyz', 4), new asset_1.Asset('def', 'xyz', 4), 'abc-def');
+describe('order', () => {
+    test('should pipe an order', done => {
+        new rxjs_1.BehaviorSubject(order_1.Order.market(instrument, -100))
+            .pipe((0, order_operator_1.order)(instrument))
+            .subscribe({
+            next: it => {
+                expect(it.instrument).toEqual(instrument);
+                expect(it.quantity).toEqual(-100);
+                done();
+            }
+        });
+    });
+    test('should skip a pipe', done => {
+        new rxjs_1.BehaviorSubject(instrument).pipe((0, order_operator_1.order)(instrument)).subscribe({
+            next: () => fail(),
+            complete: done()
+        });
+    });
+});
+describe('positions', () => {
+    let state;
+    let order1, order2, order3;
+    beforeEach(() => {
+        state = new store_1.State();
+        order1 = order_1.Order.market(instrument, -100);
+        order2 = order_1.Order.limit(instrument, 100, 10);
+        order3 = order_1.Order.market(instrument, 100);
+        state.order.upsert(new store_1.InnerSet(instrument.id, [order1, order2, order3]));
+    });
+    test('should pipe all orders on subscription start', done => {
+        order1.state = 'NEW';
+        order2.state = 'NEW';
+        order3.state = 'NEW';
+        new rxjs_1.Subject().pipe((0, order_operator_1.orders)(instrument, state)).subscribe({
+            next: it => {
+                expect(it.length).toEqual(3);
+                done();
+            }
+        });
+    });
+    test('should pipe pending orders on subscription start', done => {
+        order1.state = 'NEW';
+        order2.state = 'PENDING';
+        order3.state = 'PENDING';
+        new rxjs_1.Subject()
+            .pipe((0, order_operator_1.orders)(instrument, state), (0, rxjs_1.map)(it => it.filter(order => order.state === 'PENDING')))
+            .subscribe({
+            next: it => {
+                expect(it.length).toEqual(2);
+                done();
+            }
+        });
+    });
+});
+//# sourceMappingURL=order.operator.spec.js.map

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

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

@@ -0,0 +1,33 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+const asset_1 = require("./asset");
+const instrument_1 = require("./instrument");
+const order_1 = require("./order");
+describe('Order', () => {
+    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 a market buy order', () => {
+        const sut = order_1.Order.market(instrument, 100);
+        expect(sut.quantity).toEqual(100);
+        expect(sut.rate).toEqual(undefined);
+        expect(sut.type).toEqual('MARKET');
+    });
+    test('should construct a market sell order', () => {
+        const sut = order_1.Order.market(instrument, -100);
+        expect(sut.quantity).toEqual(-100);
+        expect(sut.rate).toEqual(undefined);
+        expect(sut.type).toEqual('MARKET');
+    });
+    test('should construct a limit buy order', () => {
+        const sut = order_1.Order.limit(instrument, 100, 2000);
+        expect(sut.quantity).toEqual(100);
+        expect(sut.rate).toEqual(2000);
+        expect(sut.type).toEqual('LIMIT');
+    });
+    test('should construct a limit sell order', () => {
+        const sut = order_1.Order.limit(instrument, -100, 2000);
+        expect(sut.quantity).toEqual(-100);
+        expect(sut.rate).toEqual(2000);
+        expect(sut.type).toEqual('LIMIT');
+    });
+});
+//# sourceMappingURL=order.spec.js.map

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

@@ -0,0 +1 @@
+{"version":3,"file":"order.spec.js","sourceRoot":"","sources":["../../src/domain/order.spec.ts"],"names":[],"mappings":";;AAAA,mCAAgC;AAChC,6CAA0C;AAC1C,mCAAgC;AAEhC,QAAQ,CAAC,OAAO,EAAE,GAAG,EAAE;IACrB,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,qCAAqC,EAAE,GAAG,EAAE;QAC/C,MAAM,GAAG,GAAG,aAAK,CAAC,MAAM,CAAC,UAAU,EAAE,GAAG,CAAC,CAAC;QAE1C,MAAM,CAAC,GAAG,CAAC,QAAQ,CAAC,CAAC,OAAO,CAAC,GAAG,CAAC,CAAC;QAClC,MAAM,CAAC,GAAG,CAAC,IAAI,CAAC,CAAC,OAAO,CAAC,SAAS,CAAC,CAAC;QACpC,MAAM,CAAC,GAAG,CAAC,IAAI,CAAC,CAAC,OAAO,CAAC,QAAQ,CAAC,CAAC;IACrC,CAAC,CAAC,CAAC;IAEH,IAAI,CAAC,sCAAsC,EAAE,GAAG,EAAE;QAChD,MAAM,GAAG,GAAG,aAAK,CAAC,MAAM,CAAC,UAAU,EAAE,CAAC,GAAG,CAAC,CAAC;QAE3C,MAAM,CAAC,GAAG,CAAC,QAAQ,CAAC,CAAC,OAAO,CAAC,CAAC,GAAG,CAAC,CAAC;QACnC,MAAM,CAAC,GAAG,CAAC,IAAI,CAAC,CAAC,OAAO,CAAC,SAAS,CAAC,CAAC;QACpC,MAAM,CAAC,GAAG,CAAC,IAAI,CAAC,CAAC,OAAO,CAAC,QAAQ,CAAC,CAAC;IACrC,CAAC,CAAC,CAAC;IAEH,IAAI,CAAC,oCAAoC,EAAE,GAAG,EAAE;QAC9C,MAAM,GAAG,GAAG,aAAK,CAAC,KAAK,CAAC,UAAU,EAAE,GAAG,EAAE,IAAI,CAAC,CAAC;QAE/C,MAAM,CAAC,GAAG,CAAC,QAAQ,CAAC,CAAC,OAAO,CAAC,GAAG,CAAC,CAAC;QAClC,MAAM,CAAC,GAAG,CAAC,IAAI,CAAC,CAAC,OAAO,CAAC,IAAI,CAAC,CAAC;QAC/B,MAAM,CAAC,GAAG,CAAC,IAAI,CAAC,CAAC,OAAO,CAAC,OAAO,CAAC,CAAC;IACpC,CAAC,CAAC,CAAC;IAEH,IAAI,CAAC,qCAAqC,EAAE,GAAG,EAAE;QAC/C,MAAM,GAAG,GAAG,aAAK,CAAC,KAAK,CAAC,UAAU,EAAE,CAAC,GAAG,EAAE,IAAI,CAAC,CAAC;QAEhD,MAAM,CAAC,GAAG,CAAC,QAAQ,CAAC,CAAC,OAAO,CAAC,CAAC,GAAG,CAAC,CAAC;QACnC,MAAM,CAAC,GAAG,CAAC,IAAI,CAAC,CAAC,OAAO,CAAC,IAAI,CAAC,CAAC;QAC/B,MAAM,CAAC,GAAG,CAAC,IAAI,CAAC,CAAC,OAAO,CAAC,OAAO,CAAC,CAAC;IACpC,CAAC,CAAC,CAAC;AACL,CAAC,CAAC,CAAC"}

package/dist/domain/orderbook.d.ts

@@ -3,6 +3,8 @@ import { timestamp } from '../shared';
 import { Component } from './component';
 export declare class Orderbook implements Component {
     readonly instrument: Instrument;
+    id: string;
+    kind: string;
     timestamp: timestamp;
     bestAskRate: number;
     bestAskQuantity: number;

package/dist/domain/orderbook.js

@@ -4,6 +4,8 @@ exports.Orderbook = void 0;
 class Orderbook {
     constructor(instrument) {
         this.instrument = instrument;
+        this.kind = 'orderbook';
+        this.id = instrument.id;
     }
     get midRate() {
         return this.instrument.quote.fixed((this.bestAskRate + this.bestBidRate) / 2);

package/dist/domain/orderbook.js.map

@@ -1 +1 @@
-{"version":3,"file":"orderbook.js","sourceRoot":"","sources":["../../src/domain/orderbook.ts"],"names":[],"mappings":";;;AAOA,MAAa,SAAS;IAWpB,YAA4B,UAAsB;QAAtB,eAAU,GAAV,UAAU,CAAY;IAAG,CAAC;IAJtD,IAAI,OAAO;QACT,OAAO,IAAI,CAAC,UAAU,CAAC,KAAK,CAAC,KAAK,CAAC,CAAC,IAAI,CAAC,WAAW,GAAG,IAAI,CAAC,WAAW,CAAC,GAAG,CAAC,CAAC,CAAC;IAChF,CAAC;IAID,QAAQ;QACN,OAAO,IAAI,CAAC,UAAU,CAAC,QAAQ,EAAE,CAAC;IACpC,CAAC;CACF;AAhBD,8BAgBC"}
+{"version":3,"file":"orderbook.js","sourceRoot":"","sources":["../../src/domain/orderbook.ts"],"names":[],"mappings":";;;AAOA,MAAa,SAAS;IAapB,YAA4B,UAAsB;QAAtB,eAAU,GAAV,UAAU,CAAY;QAXlD,SAAI,GAAG,WAAW,CAAC;QAYjB,IAAI,CAAC,EAAE,GAAG,UAAU,CAAC,EAAE,CAAC;IAC1B,CAAC;IAND,IAAI,OAAO;QACT,OAAO,IAAI,CAAC,UAAU,CAAC,KAAK,CAAC,KAAK,CAAC,CAAC,IAAI,CAAC,WAAW,GAAG,IAAI,CAAC,WAAW,CAAC,GAAG,CAAC,CAAC,CAAC;IAChF,CAAC;IAMD,QAAQ;QACN,OAAO,IAAI,CAAC,UAAU,CAAC,QAAQ,EAAE,CAAC;IACpC,CAAC;CACF;AApBD,8BAoBC"}

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

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

package/dist/domain/orderbook.operator.js

@@ -0,0 +1,10 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.orderbook = void 0;
+const rxjs_1 = require("rxjs");
+const orderbook_1 = require("./orderbook");
+function orderbook(selector, state) {
+    return (source$) => source$.pipe((0, rxjs_1.startWith)(state.orderbook.get(selector.id)), (0, rxjs_1.filter)(it => it instanceof orderbook_1.Orderbook && it.instrument.id == selector.id), (0, rxjs_1.map)(it => it));
+}
+exports.orderbook = orderbook;
+//# sourceMappingURL=orderbook.operator.js.map

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

@@ -0,0 +1 @@
+{"version":3,"file":"orderbook.operator.js","sourceRoot":"","sources":["../../src/domain/orderbook.operator.ts"],"names":[],"mappings":";;;AAAA,+BAA0D;AAK1D,2CAAwC;AAExC,SAAgB,SAAS,CAAC,QAA4B,EAAE,KAAY;IAClE,OAAO,CAAC,OAA8B,EAAE,EAAE,CACxC,OAAO,CAAC,IAAI,CACV,IAAA,gBAAS,EAAC,KAAK,CAAC,SAAS,CAAC,GAAG,CAAC,QAAQ,CAAC,EAAE,CAAC,CAAC,EAC3C,IAAA,aAAM,EAAC,EAAE,CAAC,EAAE,CAAC,EAAE,YAAY,qBAAS,IAAI,EAAE,CAAC,UAAU,CAAC,EAAE,IAAI,QAAQ,CAAC,EAAE,CAAC,EACxE,IAAA,UAAG,EAAC,EAAE,CAAC,EAAE,CAAC,EAAe,CAAC,CAC3B,CAAC;AACN,CAAC;AAPD,8BAOC"}

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

@@ -0,0 +1,22 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+const rxjs_1 = require("rxjs");
+const store_1 = require("../store");
+const asset_1 = require("./asset");
+const instrument_1 = require("./instrument");
+const orderbook_1 = require("./orderbook");
+const orderbook_operator_1 = require("./orderbook.operator");
+describe('orderbook', () => {
+    const instrument = new instrument_1.Instrument(new asset_1.Asset('abc', 'xyz', 4), new asset_1.Asset('def', 'xyz', 4), 'abc-def');
+    test('should pipe an orderbook on subscription', done => {
+        const state = new store_1.State();
+        state.orderbook.upsert(new orderbook_1.Orderbook(instrument));
+        new rxjs_1.Subject().pipe((0, orderbook_operator_1.orderbook)(instrument, state)).subscribe({
+            next: it => {
+                expect(it.id).toEqual(instrument.id);
+                done();
+            }
+        });
+    });
+});
+//# sourceMappingURL=orderbook.operator.spec.js.map

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

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

@@ -0,0 +1,13 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+const asset_1 = require("./asset");
+const instrument_1 = require("./instrument");
+const orderbook_1 = require("./orderbook");
+describe('Orderbook', () => {
+    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 an empty orderbook', () => {
+        const sut = new orderbook_1.Orderbook(instrument);
+        expect(sut.id).toEqual(instrument.id);
+    });
+});
+//# sourceMappingURL=orderbook.spec.js.map

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

@@ -0,0 +1 @@
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package/dist/domain/position.d.ts

@@ -1,4 +1,3 @@
-import { Observable } from 'rxjs';
 import { Instrument } from '../domain';
 import { timestamp } from '../shared';
 import { Component } from './component';
@@ -6,18 +5,15 @@ export declare type PositionMode = 'CROSS' | 'ISOLATED';
 export declare class Position implements Component {
     readonly id: string;
     readonly instrument: Instrument;
-    timestamp: timestamp;
+    readonly mode: PositionMode;
     averageExecutionRate: number;
     size: number;
     leverage: number;
-    mode: PositionMode;
-    estimatedUnrealizedPnL: number;
+    kind: string;
+    timestamp: timestamp;
+    estimatedUnrealizedPnL?: number;
     get margin(): number;
-    constructor(id: string, instrument: Instrument);
-    calculatePnL(rate: number): number;
+    constructor(id: string, instrument: Instrument, mode: PositionMode, averageExecutionRate: number, size: number, leverage: number);
+    calculateEstimatedUnrealizedPnL(rate: number): number;
     toString(): string;
 }
-export declare function positionsFlat(): (source: Observable<Position[]>) => Observable<{
-    size: number;
-    rate: number;
-}>;

package/dist/domain/position.js

@@ -1,20 +1,22 @@
 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
-exports.positionsFlat = exports.Position = void 0;
-const rxjs_1 = require("rxjs");
+exports.Position = void 0;
 const shared_1 = require("../shared");
 class Position {
-    constructor(id, instrument) {
+    constructor(id, instrument, mode, averageExecutionRate, size, leverage) {
         this.id = id;
         this.instrument = instrument;
-        this.mode = 'CROSS';
-        this.estimatedUnrealizedPnL = 0;
+        this.mode = mode;
+        this.averageExecutionRate = averageExecutionRate;
+        this.size = size;
+        this.leverage = leverage;
+        this.kind = 'position';
     }
     get margin() {
-        return this.instrument.quote.ceil((Math.abs(this.size) * this.averageExecutionRate) / this.leverage);
+        return this.instrument.quote.fixed(Math.abs(this.size) / this.leverage);
     }
-    calculatePnL(rate) {
-        this.estimatedUnrealizedPnL = (0, shared_1.pnl)(this.averageExecutionRate, rate, this.size);
+    calculateEstimatedUnrealizedPnL(rate) {
+        this.estimatedUnrealizedPnL = this.instrument.quote.fixed((0, shared_1.pnl)(this.averageExecutionRate, rate, this.size));
         return this.estimatedUnrealizedPnL;
     }
     toString() {
@@ -22,27 +24,4 @@ class Position {
     }
 }
 exports.Position = Position;
-function positionsFlat() {
-    return function (source) {
-        return source.pipe((0, rxjs_1.map)(it => {
-            if (it.length > 1) {
-                return {
-                    size: it.reduce((aggregate, position) => aggregate + position.size, 0),
-                    rate: (0, shared_1.weightedMean)(it.map(x => x.averageExecutionRate), it.map(x => x.size))
-                };
-            }
-            if (it.length == 1) {
-                return {
-                    size: it[0].size,
-                    rate: it[0].averageExecutionRate
-                };
-            }
-            return {
-                size: 0,
-                rate: 0
-            };
-        }), (0, rxjs_1.share)());
-    };
-}
-exports.positionsFlat = positionsFlat;
 //# sourceMappingURL=position.js.map

package/dist/domain/position.js.map

@@ -1 +1 @@
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+{"version":3,"file":"position.js","sourceRoot":"","sources":["../../src/domain/position.ts"],"names":[],"mappings":";;;AACA,sCAA2C;AAK3C,MAAa,QAAQ;IASnB,YACW,EAAU,EACV,UAAsB,EACtB,IAAkB,EACpB,oBAA4B,EAC5B,IAAY,EACZ,QAAgB;QALd,OAAE,GAAF,EAAE,CAAQ;QACV,eAAU,GAAV,UAAU,CAAY;QACtB,SAAI,GAAJ,IAAI,CAAc;QACpB,yBAAoB,GAApB,oBAAoB,CAAQ;QAC5B,SAAI,GAAJ,IAAI,CAAQ;QACZ,aAAQ,GAAR,QAAQ,CAAQ;QAdzB,SAAI,GAAG,UAAU,CAAC;IAef,CAAC;IAXJ,IAAI,MAAM;QACR,OAAO,IAAI,CAAC,UAAU,CAAC,KAAK,CAAC,KAAK,CAAC,IAAI,CAAC,GAAG,CAAC,IAAI,CAAC,IAAI,CAAC,GAAG,IAAI,CAAC,QAAQ,CAAC,CAAC;IAC1E,CAAC;IAWD,+BAA+B,CAAC,IAAY;QAC1C,IAAI,CAAC,sBAAsB,GAAG,IAAI,CAAC,UAAU,CAAC,KAAK,CAAC,KAAK,CACvD,IAAA,YAAG,EAAC,IAAI,CAAC,oBAAoB,EAAE,IAAI,EAAE,IAAI,CAAC,IAAI,CAAC,CAChD,CAAC;QAEF,OAAO,IAAI,CAAC,sBAAsB,CAAC;IACrC,CAAC;IAED,QAAQ;QACN,OAAO,IAAI,CAAC,EAAE,CAAC;IACjB,CAAC;CACF;AA7BD,4BA6BC"}

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

@@ -0,0 +1,10 @@
+import { Observable } from 'rxjs';
+import { State } from '../store';
+import { InstrumentSelector } from './instrument';
+import { Position } from './position';
+export declare function position(selector: InstrumentSelector): (source: Observable<Position>) => Observable<Readonly<Position>>;
+export declare function positions(selector: InstrumentSelector, state: State): (source: Observable<Position>) => Observable<Position[]>;
+export declare function flatten(): (source: Observable<Position[]>) => Observable<{
+    size: number;
+    rate: number;
+}>;

package/dist/domain/position.operator.js

@@ -0,0 +1,38 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.flatten = exports.positions = exports.position = void 0;
+const rxjs_1 = require("rxjs");
+const shared_1 = require("../shared");
+function position(selector) {
+    return (source) => source.pipe((0, rxjs_1.filter)(it => it.kind == 'position' && it.instrument.id == selector.id), (0, rxjs_1.map)(it => it));
+}
+exports.position = position;
+function positions(selector, state) {
+    const getter = () => Object.values(state.balance.get(selector.quote.id).position).filter(it => it.instrument.id == selector.id);
+    return (source) => source.pipe(position(selector), (0, rxjs_1.map)(() => getter()), (0, rxjs_1.startWith)(getter()));
+}
+exports.positions = positions;
+function flatten() {
+    return function (source) {
+        return source.pipe((0, rxjs_1.map)(it => {
+            if (it.length > 1) {
+                return {
+                    size: it.reduce((aggregate, position) => aggregate + position.size, 0),
+                    rate: (0, shared_1.weightedMean)(it.map(x => x.averageExecutionRate), it.map(x => x.size))
+                };
+            }
+            if (it.length == 1) {
+                return {
+                    size: it[0].size,
+                    rate: it[0].averageExecutionRate
+                };
+            }
+            return {
+                size: 0,
+                rate: 0
+            };
+        }), (0, rxjs_1.share)());
+    };
+}
+exports.flatten = flatten;
+//# sourceMappingURL=position.operator.js.map

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

@@ -0,0 +1 @@
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