@quantform/core 0.5.13 → 0.5.23

package/dist/store/event/store-orderbook.event.d.ts

@@ -1,15 +0,0 @@
-import { InstrumentSelector } from '../../domain/instrument';
-import { timestamp } from '../../shared';
-import { State, StateChangeTracker } from '../store.state';
-import { StoreEvent } from './store.event';
-export declare class OrderbookPatchEvent implements StoreEvent {
-    readonly instrument: InstrumentSelector;
-    readonly bestAskRate: number;
-    readonly bestAskQuantity: number;
-    readonly bestBidRate: number;
-    readonly bestBidQuantity: number;
-    readonly timestamp: timestamp;
-    type: string;
-    constructor(instrument: InstrumentSelector, bestAskRate: number, bestAskQuantity: number, bestBidRate: number, bestBidQuantity: number, timestamp: timestamp);
-}
-export declare function OrderbookPatchEventHandler(event: OrderbookPatchEvent, state: State, changes: StateChangeTracker): void;

package/dist/store/event/store-orderbook.event.js

@@ -1,65 +0,0 @@
-"use strict";
-var __decorate = (this && this.__decorate) || function (decorators, target, key, desc) {
-    var c = arguments.length, r = c < 3 ? target : desc === null ? desc = Object.getOwnPropertyDescriptor(target, key) : desc, d;
-    if (typeof Reflect === "object" && typeof Reflect.decorate === "function") r = Reflect.decorate(decorators, target, key, desc);
-    else for (var i = decorators.length - 1; i >= 0; i--) if (d = decorators[i]) r = (c < 3 ? d(r) : c > 3 ? d(target, key, r) : d(target, key)) || r;
-    return c > 3 && r && Object.defineProperty(target, key, r), r;
-};
-var __metadata = (this && this.__metadata) || function (k, v) {
-    if (typeof Reflect === "object" && typeof Reflect.metadata === "function") return Reflect.metadata(k, v);
-};
-Object.defineProperty(exports, "__esModule", { value: true });
-exports.OrderbookPatchEventHandler = exports.OrderbookPatchEvent = void 0;
-const instrument_1 = require("../../domain/instrument");
-const orderbook_1 = require("../../domain/orderbook");
-const topic_1 = require("../../shared/topic");
-let OrderbookPatchEvent = class OrderbookPatchEvent {
-    constructor(instrument, bestAskRate, bestAskQuantity, bestBidRate, bestBidQuantity, timestamp) {
-        this.instrument = instrument;
-        this.bestAskRate = bestAskRate;
-        this.bestAskQuantity = bestAskQuantity;
-        this.bestBidRate = bestBidRate;
-        this.bestBidQuantity = bestBidQuantity;
-        this.timestamp = timestamp;
-        this.type = 'orderbook-patch';
-    }
-};
-OrderbookPatchEvent = __decorate([
-    topic_1.event,
-    __metadata("design:paramtypes", [instrument_1.InstrumentSelector, Number, Number, Number, Number, Number])
-], OrderbookPatchEvent);
-exports.OrderbookPatchEvent = OrderbookPatchEvent;
-function OrderbookPatchEventHandler(event, state, changes) {
-    const instrumentKey = event.instrument.toString();
-    if (!(instrumentKey in state.subscription.instrument)) {
-        throw new Error(`Trying to patch unsubscribed instrument: ${instrumentKey}`);
-    }
-    let orderbook = state.orderbook[instrumentKey];
-    if (!orderbook) {
-        const instrument = state.universe.instrument[instrumentKey];
-        orderbook = new orderbook_1.Orderbook(instrument);
-        state.orderbook[instrumentKey] = orderbook;
-    }
-    state.timestamp = event.timestamp;
-    orderbook.timestamp = event.timestamp;
-    orderbook.bestAskRate = orderbook.instrument.quote.fixed(event.bestAskRate);
-    orderbook.bestAskQuantity = orderbook.instrument.base.fixed(event.bestAskQuantity);
-    orderbook.bestBidRate = orderbook.instrument.quote.fixed(event.bestBidRate);
-    orderbook.bestBidQuantity = orderbook.instrument.base.fixed(event.bestBidQuantity);
-    const quote = state.balance[orderbook.instrument.quote.toString()];
-    if (quote) {
-        for (const position of Object.values(quote.position)) {
-            if (position.instrument.toString() != orderbook.toString()) {
-                continue;
-            }
-            const rate = position.size >= 0 ? orderbook.bestBidRate : orderbook.bestAskRate;
-            position.calculatePnL(rate);
-        }
-        if (quote.total < 0) {
-            throw new Error('liquidated');
-        }
-    }
-    changes.commit(orderbook);
-}
-exports.OrderbookPatchEventHandler = OrderbookPatchEventHandler;
-//# sourceMappingURL=store-orderbook.event.js.map

package/dist/store/event/store-orderbook.event.js.map

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

@@ -1,23 +0,0 @@
-import { Instrument, Position, PositionMode } from '../../domain';
-import { timestamp } from '../../shared';
-import { State, StateChangeTracker } from '../store.state';
-import { StoreEvent } from './store.event';
-export declare class PositionLoadEvent implements StoreEvent {
-    readonly position: Position;
-    readonly timestamp: timestamp;
-    type: string;
-    constructor(position: Position, timestamp: timestamp);
-}
-export declare function PositionLoadEventHandler(event: PositionLoadEvent, state: State, changes: StateChangeTracker): Position;
-export declare class PositionPatchEvent implements StoreEvent {
-    readonly id: string;
-    readonly instrument: Instrument;
-    readonly rate: number;
-    readonly size: number;
-    readonly leverage: number;
-    readonly mode: PositionMode;
-    readonly timestamp: timestamp;
-    type: string;
-    constructor(id: string, instrument: Instrument, rate: number, size: number, leverage: number, mode: PositionMode, timestamp: timestamp);
-}
-export declare function PositionPatchEventHandler(event: PositionPatchEvent, state: State, changes: StateChangeTracker): void;

package/dist/store/event/store-position.event.js

@@ -1,97 +0,0 @@
-"use strict";
-var __decorate = (this && this.__decorate) || function (decorators, target, key, desc) {
-    var c = arguments.length, r = c < 3 ? target : desc === null ? desc = Object.getOwnPropertyDescriptor(target, key) : desc, d;
-    if (typeof Reflect === "object" && typeof Reflect.decorate === "function") r = Reflect.decorate(decorators, target, key, desc);
-    else for (var i = decorators.length - 1; i >= 0; i--) if (d = decorators[i]) r = (c < 3 ? d(r) : c > 3 ? d(target, key, r) : d(target, key)) || r;
-    return c > 3 && r && Object.defineProperty(target, key, r), r;
-};
-var __metadata = (this && this.__metadata) || function (k, v) {
-    if (typeof Reflect === "object" && typeof Reflect.metadata === "function") return Reflect.metadata(k, v);
-};
-Object.defineProperty(exports, "__esModule", { value: true });
-exports.PositionPatchEventHandler = exports.PositionPatchEvent = exports.PositionLoadEventHandler = exports.PositionLoadEvent = void 0;
-const domain_1 = require("../../domain");
-const topic_1 = require("../../shared/topic");
-let PositionLoadEvent = class PositionLoadEvent {
-    constructor(position, timestamp) {
-        this.position = position;
-        this.timestamp = timestamp;
-        this.type = 'position-load';
-    }
-};
-PositionLoadEvent = __decorate([
-    topic_1.event,
-    __metadata("design:paramtypes", [domain_1.Position, Number])
-], PositionLoadEvent);
-exports.PositionLoadEvent = PositionLoadEvent;
-function PositionLoadEventHandler(event, state, changes) {
-    if (event.position.instrument.toString() in state.subscription.instrument ||
-        event.position.size == 0) {
-        return;
-    }
-    event.position.timestamp = event.timestamp;
-    const balance = state.balance[event.position.instrument.quote.toString()];
-    const orderbook = state.orderbook[event.position.instrument.toString()];
-    balance.position[event.position.toString()] = event.position;
-    if (orderbook) {
-        const rate = event.position.size >= 0 ? orderbook.bestBidRate : orderbook.bestAskRate;
-        event.position.calculatePnL(rate);
-    }
-    return event.position;
-}
-exports.PositionLoadEventHandler = PositionLoadEventHandler;
-let PositionPatchEvent = class PositionPatchEvent {
-    constructor(id, instrument, rate, size, leverage, mode, timestamp) {
-        this.id = id;
-        this.instrument = instrument;
-        this.rate = rate;
-        this.size = size;
-        this.leverage = leverage;
-        this.mode = mode;
-        this.timestamp = timestamp;
-        this.type = 'position-patch';
-    }
-};
-PositionPatchEvent = __decorate([
-    topic_1.event,
-    __metadata("design:paramtypes", [String, domain_1.Instrument, Number, Number, Number, String, Number])
-], PositionPatchEvent);
-exports.PositionPatchEvent = PositionPatchEvent;
-function PositionPatchEventHandler(event, state, changes) {
-    if (!(event.instrument.toString() in state.subscription.instrument)) {
-        return;
-    }
-    const balance = state.balance[event.instrument.quote.toString()];
-    const orderbook = state.orderbook[event.instrument.toString()];
-    let position = balance.position[event.id];
-    if (event.size == 0) {
-        if (position) {
-            position.averageExecutionRate = event.instrument.quote.fixed(event.rate);
-            position.size = event.instrument.base.fixed(event.size);
-            position.leverage = event.leverage;
-            delete balance.position[event.id];
-            if (orderbook) {
-                const rate = position.size >= 0 ? orderbook.bestBidRate : orderbook.bestAskRate;
-                position.calculatePnL(rate);
-            }
-            changes.commit(position);
-            changes.commit(balance);
-        }
-    }
-    if (!position) {
-        position = new domain_1.Position(event.id, event.instrument);
-        balance.position[event.id] = position;
-    }
-    position.averageExecutionRate = event.instrument.quote.fixed(event.rate);
-    position.size = event.instrument.base.fixed(event.size);
-    position.leverage = event.leverage;
-    position.mode = event.mode;
-    if (orderbook) {
-        const rate = position.size >= 0 ? orderbook.bestBidRate : orderbook.bestAskRate;
-        position.calculatePnL(rate);
-    }
-    changes.commit(position);
-    changes.commit(balance);
-}
-exports.PositionPatchEventHandler = PositionPatchEventHandler;
-//# sourceMappingURL=store-position.event.js.map

package/dist/store/event/store-position.event.js.map

@@ -1 +0,0 @@
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package/dist/store/event/store-trade.event.d.ts

@@ -1,13 +0,0 @@
-import { InstrumentSelector } from '../../domain/instrument';
-import { timestamp } from '../../shared';
-import { State, StateChangeTracker } from '../store.state';
-import { StoreEvent } from './store.event';
-export declare class TradePatchEvent implements StoreEvent {
-    readonly instrument: InstrumentSelector;
-    readonly rate: number;
-    readonly quantity: number;
-    readonly timestamp: timestamp;
-    type: string;
-    constructor(instrument: InstrumentSelector, rate: number, quantity: number, timestamp: timestamp);
-}
-export declare function TradePatchEventHandler(event: TradePatchEvent, state: State, changes: StateChangeTracker): void;

package/dist/store/event/store-trade.event.js

@@ -1,47 +0,0 @@
-"use strict";
-var __decorate = (this && this.__decorate) || function (decorators, target, key, desc) {
-    var c = arguments.length, r = c < 3 ? target : desc === null ? desc = Object.getOwnPropertyDescriptor(target, key) : desc, d;
-    if (typeof Reflect === "object" && typeof Reflect.decorate === "function") r = Reflect.decorate(decorators, target, key, desc);
-    else for (var i = decorators.length - 1; i >= 0; i--) if (d = decorators[i]) r = (c < 3 ? d(r) : c > 3 ? d(target, key, r) : d(target, key)) || r;
-    return c > 3 && r && Object.defineProperty(target, key, r), r;
-};
-var __metadata = (this && this.__metadata) || function (k, v) {
-    if (typeof Reflect === "object" && typeof Reflect.metadata === "function") return Reflect.metadata(k, v);
-};
-Object.defineProperty(exports, "__esModule", { value: true });
-exports.TradePatchEventHandler = exports.TradePatchEvent = void 0;
-const domain_1 = require("../../domain");
-const instrument_1 = require("../../domain/instrument");
-const topic_1 = require("../../shared/topic");
-let TradePatchEvent = class TradePatchEvent {
-    constructor(instrument, rate, quantity, timestamp) {
-        this.instrument = instrument;
-        this.rate = rate;
-        this.quantity = quantity;
-        this.timestamp = timestamp;
-        this.type = 'trade-patch';
-    }
-};
-TradePatchEvent = __decorate([
-    topic_1.event,
-    __metadata("design:paramtypes", [instrument_1.InstrumentSelector, Number, Number, Number])
-], TradePatchEvent);
-exports.TradePatchEvent = TradePatchEvent;
-function TradePatchEventHandler(event, state, changes) {
-    const instrumentKey = event.instrument.toString();
-    if (!(instrumentKey in state.subscription.instrument)) {
-        throw new Error(`Trying to patch unsubscribed instrument: ${instrumentKey}`);
-    }
-    let trade = state.trade[instrumentKey];
-    if (!trade) {
-        trade = new domain_1.Trade(state.universe.instrument[instrumentKey]);
-        state.trade[instrumentKey] = trade;
-    }
-    state.timestamp = event.timestamp;
-    trade.timestamp = event.timestamp;
-    trade.rate = trade.instrument.quote.fixed(event.rate);
-    trade.quantity = trade.instrument.base.fixed(event.quantity);
-    changes.commit(trade);
-}
-exports.TradePatchEventHandler = TradePatchEventHandler;
-//# sourceMappingURL=store-trade.event.js.map

package/dist/store/event/store-trade.event.js.map

@@ -1 +0,0 @@
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package/dist/store/event/store-trade.event.spec.js

@@ -1,44 +0,0 @@
-"use strict";
-Object.defineProperty(exports, "__esModule", { value: true });
-const domain_1 = require("../../domain");
-const shared_1 = require("../../shared");
-const __1 = require("..");
-const _1 = require(".");
-const instrument = new domain_1.Instrument(new domain_1.Asset('btc', 'binance', 8), new domain_1.Asset('usdt', 'binance', 2), 'binance:btc-usdt');
-describe('trade patch event tests', () => {
-    test('should create a new trade object and patch a store', () => {
-        const timestamp = (0, shared_1.now)();
-        const store = new __1.Store();
-        store.snapshot.universe.instrument[instrument.toString()] = instrument;
-        store.snapshot.subscription.instrument[instrument.toString()] = instrument;
-        store.dispatch(new _1.TradePatchEvent(instrument, 1000, 0.1, timestamp));
-        const trade = store.snapshot.trade[instrument.toString()];
-        expect(trade.timestamp).toEqual(timestamp);
-        expect(trade.instrument.toString()).toEqual(trade.instrument.toString());
-        expect(trade.rate).toEqual(1000);
-        expect(trade.quantity).toEqual(0.1);
-        expect(store.snapshot.timestamp).toEqual(timestamp);
-    });
-    test('should use the existing instance of trade when patching a store', () => {
-        const store = new __1.Store();
-        store.snapshot.universe.instrument[instrument.toString()] = instrument;
-        store.snapshot.subscription.instrument[instrument.toString()] = instrument;
-        store.dispatch(new _1.TradePatchEvent(instrument, 1000, 0.1, (0, shared_1.now)()));
-        const timestamp = (0, shared_1.now)();
-        const trade = store.snapshot.trade[instrument.toString()];
-        store.dispatch(new _1.TradePatchEvent(instrument, 2000, 0.2, (0, shared_1.now)()));
-        expect(trade.timestamp).toEqual(timestamp);
-        expect(trade.instrument.toString()).toEqual(instrument.toString());
-        expect(trade.rate).toEqual(2000);
-        expect(trade.quantity).toEqual(0.2);
-        expect(store.snapshot.timestamp).toEqual(timestamp);
-    });
-    test('should throw exception when patching unsubscribed instrument', () => {
-        const store = new __1.Store();
-        const fn = () => {
-            store.dispatch(new _1.TradePatchEvent(instrument, 1000, 0.1, (0, shared_1.now)()));
-        };
-        expect(fn).toThrow(Error);
-    });
-});
-//# sourceMappingURL=store-trade.event.spec.js.map

package/dist/store/event/store-trade.event.spec.js.map

@@ -1 +0,0 @@
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package/dist/store/event/store.event.d.ts

@@ -1,5 +0,0 @@
-import { timestamp } from '../../shared';
-export interface StoreEvent {
-    type: string;
-    timestamp: timestamp;
-}

package/dist/store/event/store.event.js.map

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

package/dist/store/store.state.d.ts

@@ -1,21 +0,0 @@
-import { Asset, AssetSelector, Balance, Component, Instrument, InstrumentSelector, Order, Orderbook, Trade } from '../domain';
-import { timestamp } from '../shared';
-export interface StateChangeTracker {
-    commit(component: Component): any;
-    commitPendingChanges(): any;
-}
-export declare class State {
-    timestamp: timestamp;
-    universe: {
-        asset: Record<string, Asset>;
-        instrument: Record<string, Instrument>;
-    };
-    subscription: {
-        asset: Record<string, AssetSelector>;
-        instrument: Record<string, InstrumentSelector>;
-    };
-    trade: Record<string, Trade>;
-    orderbook: Record<string, Orderbook>;
-    balance: Record<string, Balance>;
-    order: Record<string, Order>;
-}

package/dist/store/store.state.js

@@ -1,21 +0,0 @@
-"use strict";
-Object.defineProperty(exports, "__esModule", { value: true });
-exports.State = void 0;
-class State {
-    constructor() {
-        this.universe = {
-            asset: {},
-            instrument: {}
-        };
-        this.subscription = {
-            asset: {},
-            instrument: {}
-        };
-        this.trade = {};
-        this.orderbook = {};
-        this.balance = {};
-        this.order = {};
-    }
-}
-exports.State = State;
-//# sourceMappingURL=store.state.js.map

package/dist/store/store.state.js.map

@@ -1 +0,0 @@
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package/dist/tests/backtester-adapter.spec.js

@@ -1,61 +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());
-const cache = new storage_1.Cache(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, cache));
-        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,wCAA0D;AAC1D,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;AAC7C,MAAM,KAAK,GAAG,IAAI,eAAK,CAAC,IAAI,yBAAe,EAAE,CAAC,CAAC;AAE/C,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,EAAE,KAAK,CAAC,CAAC,CAAC;QACjD,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 { Order } from '../../../domain';
-import { pnl, weightedMean } from '../../../shared';
-import {
-  BalanceTransactEvent,
-  OrderCanceledEvent,
-  OrderCancelingEvent,
-  OrderFilledEvent,
-  OrderNewEvent,
-  OrderPendingEvent,
-  PositionPatchEvent
-} from '../../../store';
-import { PaperAdapter } from '..';
-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));
-  }
-}