@quantform/core 0.4.8 → 0.5.13

package/src/domain/candle.ts

@@ -9,6 +9,7 @@ import {
   skipLast,
   withLatestFrom
 } from 'rxjs';
+
 import { timestamp } from '../shared';
 import { tf } from './timeframe';
 
@@ -29,10 +30,10 @@ export class Candle {
 }
 
 export class CandleBuilder {
-  private _candle: Candle;
+  private current: Candle;
 
   get candle(): Candle {
-    return this._candle;
+    return this.current;
   }
 
   constructor(readonly timeframe: number) {}
@@ -40,8 +41,8 @@ export class CandleBuilder {
   append(value: number, timestamp: timestamp): Candle {
     const frame = tf(timestamp, this.timeframe);
 
-    if (!this._candle) {
-      this._candle = new Candle(frame, value, value, value, value);
+    if (!this.current) {
+      this.current = new Candle(frame, value, value, value, value);
 
       return null;
     }
@@ -52,25 +53,34 @@ export class CandleBuilder {
       return null;
     }
 
-    const previous = this._candle;
+    const previous = this.current;
 
-    this._candle = new Candle(frame, value, value, value, value);
+    this.current = new Candle(frame, value, value, value, value);
     return previous;
   }
 }
 
 export function candle<T extends { timestamp: number }>(
   timeframe: number,
-  fn: (x: T) => number
+  fn: (x: T) => number,
+  options: { passThru: boolean } = { passThru: false }
 ) {
   return function (source: Observable<T>): Observable<Candle> {
     const builder = new CandleBuilder(timeframe);
     let candle: Candle;
 
+    if (options.passThru) {
+      return source.pipe(
+        map(it => {
+          builder.append(fn(it), it.timestamp);
+          return builder.candle;
+        }),
+        share()
+      );
+    }
+
     return source.pipe(
-      filter(it => {
-        return (candle = builder.append(fn(it), it.timestamp)) != null;
-      }),
+      filter(it => (candle = builder.append(fn(it), it.timestamp)) != null),
       map(_ => candle),
       share()
     );

package/src/domain/component.ts

@@ -1,5 +1,6 @@
 import { timestamp } from '../shared';
 
 export interface Component {
+  kind: string;
   timestamp: timestamp;
 }

package/src/domain/instrument.ts

@@ -25,6 +25,7 @@ export class InstrumentSelector {
  * Represents trading market which is made up by two trading assets (base and quoted).
  */
 export class Instrument extends InstrumentSelector implements Component {
+  kind = 'instrument';
   timestamp: timestamp;
   commission: Commission;
   cross: Instrument;

package/src/domain/order.ts

@@ -1,4 +1,5 @@
 import { v4 } from 'uuid';
+
 import { timestamp } from '../shared';
 import { Component } from './component';
 import { InstrumentSelector } from './instrument';
@@ -14,12 +15,13 @@ export type OrderState =
   | 'REJECTED';
 
 export class Order implements Component {
+  kind = 'order';
   timestamp: timestamp;
   id = v4();
   externalId: string;
   state: OrderState = 'NEW';
 
-  quantityExecuted: number;
+  quantityExecuted = 0;
   averageExecutionRate: number;
   createdAt: timestamp;
   comment: string;

package/src/domain/orderbook.ts

@@ -6,6 +6,7 @@ import { Component } from './component';
  * Provides an access to pending buy and sell orders on the specific market.
  */
 export class Orderbook implements Component {
+  kind = 'orderbook';
   timestamp: timestamp;
   bestAskRate: number;
   bestAskQuantity: number;

package/src/domain/position.ts

@@ -1,4 +1,5 @@
 import { map, Observable, share } from 'rxjs';
+
 import { Instrument } from '../domain';
 import { pnl, timestamp, weightedMean } from '../shared';
 import { Component } from './component';
@@ -6,6 +7,7 @@ import { Component } from './component';
 export type PositionMode = 'CROSS' | 'ISOLATED';
 
 export class Position implements Component {
+  kind = 'position';
   timestamp: timestamp;
   averageExecutionRate: number;
   size: number;

package/src/domain/session.ts

@@ -1,13 +1,13 @@
 import {
-  concat,
   defer,
   distinctUntilChanged,
   filter,
+  finalize,
   from,
   map,
+  merge,
   mergeMap,
   Observable,
-  share,
   shareReplay,
   startWith,
   Subject,
@@ -15,6 +15,7 @@ import {
   switchMap,
   take
 } from 'rxjs';
+
 import { Adapter, BacktesterOptions, PaperOptions } from '../adapter';
 import { AdapterAggregate } from '../adapter/adapter-aggregate';
 import {
@@ -26,15 +27,13 @@ import {
   Order,
   Orderbook,
   OrderState,
-  Position
+  Position,
+  Trade
 } from '../domain';
-import { Trade } from '../domain/trade';
-import { now, Worker } from '../shared';
-import { Feed, Measurement } from '../storage';
+import { now } from '../shared';
+import { StorageFactory } from '../storage';
 import { Store } from '../store';
 
-type Optional<T, K extends keyof T> = Omit<T, K> & Partial<T>;
-
 /**
  * Describes a single session.
  * You can use @run function to start a new session managed by CLI.
@@ -64,29 +63,20 @@ export interface SessionDescriptor {
 
   /**
    * Provides historical data for backtest, it's not required for live and paper
-   * sessions.
-   */
-  feed?: Feed;
-
-  /**
-   * Stores session variables i.e. indicators, orders, or any other type of time
+   * sessions. Stores session variables i.e. indicators, orders, or any other type of time
    * series data. You can install @quantform/editor to render this data in your browser.
    */
-  measurement?: Measurement;
+  storage?: StorageFactory;
 
   /**
    * Session additional options.
    */
-  options?: {
-    backtester?: BacktesterOptions;
-    paper?: PaperOptions;
-  };
+  simulation?: PaperOptions & BacktesterOptions;
 }
 
 export class Session {
   private initialized = false;
   private subscription: Subscription;
-  private worker = new Worker();
 
   get timestamp(): number {
     return this.store.snapshot.timestamp;
@@ -116,7 +106,9 @@ export class Session {
     await this.aggregate.awake();
 
     if (describe) {
-      this.subscription = describe(this).subscribe();
+      this.subscription = describe(this)
+        .pipe(finalize(() => this.dispose()))
+        .subscribe();
     }
   }
 
@@ -125,63 +117,22 @@ export class Session {
       return;
     }
 
-    this.store.dispose();
-
     if (this.subscription) {
       this.subscription.unsubscribe();
+      this.subscription = undefined;
     }
 
+    this.store.dispose();
+
     await this.aggregate.dispose();
-    await this.worker.wait();
+
+    this.initialized = false;
   }
 
   useStatement(section: string): Record<string, any> {
     return this.statement[section] ?? (this.statement[section] = {});
   }
 
-  /**
-   * Returns last stored measurement and setter for it in session.
-   * For example you can save and restore variables in same session between runs.
-   * Example usage:
-   * const [order$, setOrder] = session.measurement<Order>('order');
-   *
-   * order.pipe(tap(it => console.log(`your last order was: ${it}`)));
-   *
-   * setOrder(order);
-   */
-  useMeasure<T extends { timestamp: number }>(
-    params: { kind: string; timestamp?: number },
-    defaultValue: T = undefined
-  ): [Observable<T>, (value: Optional<T, 'timestamp'>) => void] {
-    const stored$ = from(
-      this.descriptor.measurement.query(this.descriptor.id, {
-        to: params.timestamp ?? this.timestamp,
-        kind: params.kind,
-        count: 1
-      })
-    ).pipe(
-      map(it =>
-        it.length ? { timestamp: it[0].timestamp, ...it[0].payload } : defaultValue
-      ),
-      share()
-    );
-
-    const subject$ = new Subject<T>();
-
-    const setter = (value: T) => {
-      const timestamp = value.timestamp ?? this.timestamp;
-      const measure = { timestamp, kind: params.kind, payload: value };
-
-      this.worker.enqueue(() =>
-        this.descriptor.measurement.save(this.descriptor.id, [measure])
-      );
-
-      subject$.next({ ...value, timestamp });
-    };
-
-    return [concat(stored$, subject$.asObservable()), setter];
-  }
-
   /**
    * Return values for patch provided in optimization file.
    * Example usage:
@@ -205,11 +156,13 @@ export class Session {
    * session.open(Order.buyMarket(instrument, 100));
    */
   open(order: Order): Observable<Order> {
-    return defer(() => from(this.aggregate.open(order))).pipe(
-      switchMap(it =>
-        this.store.changes$.pipe(filter(it => it instanceof Order && order.id == it.id))
-      ),
-      map(it => it as Order)
+    const subject = new Subject<Order>();
+
+    this.aggregate.open(order).catch(subject.error);
+
+    return merge(
+      subject.asObservable(),
+      this.order(order.instrument).pipe(filter(it => it.id == order.id))
     );
   }
 

package/src/domain/statement.ts

@@ -1,7 +1,8 @@
 import { combineLatest, finalize, map, take, tap } from 'rxjs';
-import { InstrumentSelector, Session } from '.';
+
 import { drawdown } from '../indicator';
 import { floor, precision } from '../shared';
+import { InstrumentSelector, Session } from '.';
 
 export function period() {
   return (session: Session) => {
@@ -46,11 +47,11 @@ export function benchmark(instrument: InstrumentSelector) {
       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);
+        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);
       })
     );
   };
@@ -106,12 +107,12 @@ export function equity(instrument: InstrumentSelector) {
         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);
+        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);
       })
     );
   };

package/src/domain/trade.ts

@@ -1,5 +1,5 @@
-import { Instrument } from '.';
 import { timestamp } from '../shared';
+import { Instrument } from '.';
 import { Component } from './component';
 
 /**
@@ -7,6 +7,7 @@ import { Component } from './component';
  * and seller of the same asset.
  */
 export class Trade implements Component {
+  kind = 'trade';
   timestamp: timestamp;
   rate: number;
   quantity: number;

package/src/index.ts

@@ -2,7 +2,6 @@ export * from './adapter';
 export * from './bootstrap';
 export * from './domain';
 export * from './indicator';
-export * from './ipc';
 export * from './shared';
 export * from './storage';
 export * from './store';

package/src/indicator/atr.ts

@@ -1,4 +1,5 @@
 import { map, Observable, share } from 'rxjs';
+
 import { Candle } from '../domain';
 import { rma } from './rma';
 import { truerange } from './truerange';

package/src/indicator/cross.spec.ts

@@ -1,4 +1,5 @@
 import { from } from 'rxjs';
+
 import { crossover, crossunder } from './cross';
 
 describe('crossunder tests', () => {

package/src/indicator/donchian.ts

@@ -1,4 +1,5 @@
 import { map, Observable, share, withLatestFrom } from 'rxjs';
+
 import { Candle } from '../domain';
 import { minMax } from './min-max';
 

package/src/indicator/ema.spec.ts

@@ -1,4 +1,5 @@
 import { from } from 'rxjs';
+
 import { ema } from './ema';
 
 describe('ema tests', () => {

package/src/indicator/ema.ts

@@ -1,4 +1,5 @@
 import { map, Observable, share } from 'rxjs';
+
 import { sma } from './sma';
 
 export function ema<T>(length: number, fn: (it: T) => number) {

package/src/indicator/envelope.ts

@@ -1,4 +1,5 @@
 import { map, Observable, share } from 'rxjs';
+
 import { sma } from './sma';
 
 export function envelope<T>(length: number, percent: number, valueFn: (it: T) => number) {

package/src/indicator/macd.ts

@@ -1,4 +1,5 @@
 import { map, Observable, share, withLatestFrom } from 'rxjs';
+
 import { ema } from './ema';
 
 export function macd<T>(

package/src/indicator/min-max.ts

@@ -1,4 +1,5 @@
 import { filter, map, Observable, share } from 'rxjs';
+
 import { window } from './window';
 
 export function minMax<T>(length: number, fn: (it: T) => number) {

package/src/indicator/rma.ts

@@ -1,4 +1,5 @@
 import { map, Observable, share } from 'rxjs';
+
 import { sma } from '.';
 
 export function rma<T>(length: number, fn: (it: T) => number) {

package/src/indicator/sma.spec.ts

@@ -1,4 +1,5 @@
 import { from } from 'rxjs';
+
 import { sma } from './sma';
 
 describe('sma tests', () => {

package/src/indicator/sma.ts

@@ -1,4 +1,5 @@
 import { filter, map, Observable, share, tap } from 'rxjs';
+
 import { window } from './window';
 
 export function sma<T>(length: number, fn: (it: T) => number) {

package/src/indicator/swma.ts

@@ -1,4 +1,5 @@
 import { filter, map, Observable, share } from 'rxjs';
+
 import { window } from './window';
 
 export function swma<T>(fn: (it: T) => number) {

package/src/indicator/tma.spec.ts

@@ -1,4 +1,5 @@
 import { from } from 'rxjs';
+
 import { tma } from './tma';
 
 describe('tma tests', () => {

package/src/indicator/tma.ts

@@ -1,4 +1,5 @@
 import { map, Observable, share } from 'rxjs';
+
 import { swma } from './swma';
 import { wma } from './wma';
 

package/src/indicator/trailing.spec.ts

@@ -1,4 +1,5 @@
 import { from } from 'rxjs';
+
 import { trailingdown, trailingup } from './trailing';
 
 describe('trailing up tests', () => {

package/src/indicator/truerange.spec.ts

@@ -1,4 +1,5 @@
 import { from } from 'rxjs';
+
 import { Candle } from '../domain';
 import { now } from '../shared';
 import { sma } from './sma';

package/src/indicator/truerange.ts

@@ -1,4 +1,5 @@
 import { map, Observable, share } from 'rxjs';
+
 import { Candle } from '../domain';
 
 export function truerange<T>(fn: (it: T) => Candle) {

package/src/indicator/window.ts

@@ -1,4 +1,5 @@
 import { map, Observable, share } from 'rxjs';
+
 import { RingBuffer } from './ring-buffer';
 
 export function window<T, Y>(length: number, fn: (value: T) => Y) {

package/src/indicator/wma.spec.ts

@@ -1,4 +1,5 @@
 import { from } from 'rxjs';
+
 import { wma } from './wma';
 
 describe('wma tests', () => {

package/src/indicator/wma.ts

@@ -1,4 +1,5 @@
 import { filter, map, Observable, share } from 'rxjs';
+
 import { window } from './window';
 
 export function wma<T>(length: number, fn: (it: T) => number) {

package/src/shared/index.ts

@@ -3,6 +3,4 @@ export * from './decimals';
 export * from './io';
 export * from './logger';
 export * from './policy';
-export * from './task';
 export * from './topic';
-export * from './worker';

package/src/shared/policy.spec.ts

@@ -4,9 +4,7 @@ describe('cache policy tests', () => {
   test('string as key cache', async () => {
     let counter = 0;
 
-    const request = async () => {
-      return ++counter;
-    };
+    const request = async () => ++counter;
 
     expect(await cache('abc', request)).toBe(1);
     expect(await cache('abc', request)).toBe(1);
@@ -17,9 +15,7 @@ describe('cache policy tests', () => {
   test('object as key cache', async () => {
     let counter = 0;
 
-    const request = async () => {
-      return ++counter;
-    };
+    const request = async () => ++counter;
 
     expect(await cache({ from: 1, to: 2, content: 'abc' }, request)).toBe(1);
     expect(await cache({ from: 1, to: 2, content: 'abc' }, request)).toBe(1);

package/src/storage/cache.ts

@@ -0,0 +1,35 @@
+import { now } from '../shared';
+import { Storage } from './storage';
+
+export class Cache {
+  constructor(private readonly storage: Storage) {}
+
+  async tryGet<T>(
+    getter: () => Promise<T>,
+    options: { key: string; ttl?: number }
+  ): Promise<T> {
+    const time = now();
+
+    const payload = await this.storage.query(options.key, {
+      kind: 'cache',
+      count: 1,
+      to: time
+    });
+
+    if ((!payload.length || payload[0].timestamp < time - options.ttl) ?? 60 * 60 * 24) {
+      const value = await getter();
+
+      await this.storage.save(options.key, [
+        {
+          timestamp: time,
+          kind: 'cache',
+          json: JSON.stringify(value)
+        }
+      ]);
+
+      return value;
+    }
+
+    return JSON.parse(payload[0].json);
+  }
+}

package/src/storage/index.ts

@@ -1,3 +1,4 @@
 export * from './feed';
 export * from './measurement';
 export * from './storage';
+export * from './cache';

package/src/storage/storage.ts

@@ -35,6 +35,13 @@ export interface Storage {
   query(library: string, options: StorageQueryOptions): Promise<StorageDocument[]>;
 }
 
+/**
+ *
+ */
+export interface StorageFactory {
+  create(type: string): Storage;
+}
+
 /**
  *
  */
@@ -111,3 +118,11 @@ export class InMemoryStorage implements Storage {
     this.tables = {};
   }
 }
+
+export class InMemoryStorageFactory implements StorageFactory {
+  private readonly storage: Record<string, Storage> = {};
+
+  create(type: string): Storage {
+    return this.storage[type] ?? (this.storage[type] = new InMemoryStorage());
+  }
+}

package/src/store/event/store-balance.event.spec.ts

@@ -1,7 +1,7 @@
-import { BalancePatchEvent } from '.';
-import { Store } from '..';
 import { Asset, Commission } from '../../domain';
 import { now } from '../../shared';
+import { Store } from '..';
+import { BalancePatchEvent } from '.';
 import { InstrumentPatchEvent } from './store-instrument.event';
 
 describe('balance event tests', () => {
@@ -23,7 +23,7 @@ describe('balance event tests', () => {
 
     expect(balance).toEqual(component);
     expect(balance.free).toEqual(100);
-    expect(balance.freezed).toEqual(0);
+    expect(balance.locked).toEqual(0);
     expect(balance.timestamp).toEqual(timestamp);
     expect(store.snapshot.timestamp).toEqual(timestamp);
   });

package/src/store/event/store-candle.event.spec.ts

@@ -1,7 +1,7 @@
-import { CandleEvent } from '.';
 import { Asset, Instrument } from '../../domain';
 import { now } from '../../shared';
 import { Store } from '../store';
+import { CandleEvent } from '.';
 
 const instrument = new Instrument(
   new Asset('btc', 'binance', 8),

package/src/store/event/store-candle.event.ts

@@ -1,11 +1,11 @@
-import { StateChangeTracker } from '..';
 import { InstrumentSelector } from '../../domain';
 import { timestamp } from '../../shared/datetime';
 import { event } from '../../shared/topic';
+import { StateChangeTracker } from '..';
 import { State } from '../store.state';
+import { StoreEvent } from './store.event';
 import { OrderbookPatchEventHandler } from './store-orderbook.event';
 import { TradePatchEventHandler } from './store-trade.event';
-import { StoreEvent } from './store.event';
 
 @event
 export class CandleEvent implements StoreEvent {