@quantform/core 0.5.13 → 0.5.23

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

@@ -0,0 +1,65 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+const rxjs_1 = require("rxjs");
+const shared_1 = require("../shared");
+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, (0, shared_1.d)(-100)))
+            .pipe((0, order_operator_1.order)(instrument))
+            .subscribe({
+            next: it => {
+                expect(it.instrument).toEqual(instrument);
+                expect(it.quantity).toEqual((0, shared_1.d)(-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, (0, shared_1.d)(-100));
+        order2 = order_1.Order.limit(instrument, (0, shared_1.d)(100), (0, shared_1.d)(10));
+        order3 = order_1.Order.market(instrument, (0, shared_1.d)(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 +1,34 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+const shared_1 = require("../shared");
+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, (0, shared_1.d)(100));
+        expect(sut.quantity).toEqual((0, shared_1.d)(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, (0, shared_1.d)(-100));
+        expect(sut.quantity).toEqual((0, shared_1.d)(-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, (0, shared_1.d)(100), (0, shared_1.d)(2000));
+        expect(sut.quantity).toEqual((0, shared_1.d)(100));
+        expect(sut.rate).toEqual((0, shared_1.d)(2000));
+        expect(sut.type).toEqual('LIMIT');
+    });
+    test('should construct a limit sell order', () => {
+        const sut = order_1.Order.limit(instrument, (0, shared_1.d)(-100), (0, shared_1.d)(2000));
+        expect(sut.quantity).toEqual((0, shared_1.d)(-100));
+        expect(sut.rate).toEqual((0, shared_1.d)(2000));
+        expect(sut.type).toEqual('LIMIT');
+    });
+});
+//# sourceMappingURL=order.spec.js.map

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

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

@@ -1,15 +1,28 @@
 import { Instrument } from '../domain';
-import { timestamp } from '../shared';
+import { decimal, timestamp } from '../shared';
 import { Component } from './component';
+export interface Liquidity {
+    rate: decimal;
+    quantity: decimal;
+    next: this;
+}
+export declare const LiquidityAskComparer: (lhs: {
+    rate: decimal;
+}, rhs: {
+    rate: decimal;
+}) => number;
+export declare const LiquidityBidComparer: (lhs: {
+    rate: decimal;
+}, rhs: {
+    rate: decimal;
+}) => number;
 export declare class Orderbook implements Component {
     readonly instrument: Instrument;
+    id: string;
     kind: string;
     timestamp: timestamp;
-    bestAskRate: number;
-    bestAskQuantity: number;
-    bestBidRate: number;
-    bestBidQuantity: number;
-    get midRate(): number;
+    asks: Liquidity;
+    bids: Liquidity;
     constructor(instrument: Instrument);
     toString(): string;
 }

package/dist/domain/orderbook.js

@@ -1,13 +1,15 @@
 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
-exports.Orderbook = void 0;
+exports.Orderbook = exports.LiquidityBidComparer = exports.LiquidityAskComparer = void 0;
+const LiquidityAskComparer = (lhs, rhs) => lhs.rate.comparedTo(rhs.rate);
+exports.LiquidityAskComparer = LiquidityAskComparer;
+const LiquidityBidComparer = (lhs, rhs) => rhs.rate.comparedTo(lhs.rate);
+exports.LiquidityBidComparer = LiquidityBidComparer;
 class Orderbook {
     constructor(instrument) {
         this.instrument = instrument;
         this.kind = 'orderbook';
-    }
-    get midRate() {
-        return this.instrument.quote.fixed((this.bestAskRate + this.bestBidRate) / 2);
+        this.id = instrument.id;
     }
     toString() {
         return this.instrument.toString();

package/dist/domain/orderbook.js.map

@@ -1 +1 @@
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+{"version":3,"file":"orderbook.js","sourceRoot":"","sources":["../../src/domain/orderbook.ts"],"names":[],"mappings":";;;AAUO,MAAM,oBAAoB,GAAG,CAAC,GAAsB,EAAE,GAAsB,EAAE,EAAE,CACrF,GAAG,CAAC,IAAI,CAAC,UAAU,CAAC,GAAG,CAAC,IAAI,CAAC,CAAC;AADnB,QAAA,oBAAoB,wBACD;AACzB,MAAM,oBAAoB,GAAG,CAAC,GAAsB,EAAE,GAAsB,EAAE,EAAE,CACrF,GAAG,CAAC,IAAI,CAAC,UAAU,CAAC,GAAG,CAAC,IAAI,CAAC,CAAC;AADnB,QAAA,oBAAoB,wBACD;AAKhC,MAAa,SAAS;IAQpB,YAA4B,UAAsB;QAAtB,eAAU,GAAV,UAAU,CAAY;QANlD,SAAI,GAAG,WAAW,CAAC;QAOjB,IAAI,CAAC,EAAE,GAAG,UAAU,CAAC,EAAE,CAAC;IAC1B,CAAC;IAED,QAAQ;QACN,OAAO,IAAI,CAAC,UAAU,CAAC,QAAQ,EAAE,CAAC;IACpC,CAAC;CACF;AAfD,8BAeC"}

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 @@
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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 @@
+{"version":3,"file":"orderbook.operator.spec.js","sourceRoot":"","sources":["../../src/domain/orderbook.operator.spec.ts"],"names":[],"mappings":";;AAAA,+BAA+B;AAE/B,oCAAiC;AACjC,mCAAgC;AAEhC,6CAA0C;AAC1C,2CAAwC;AACxC,6DAAiD;AAEjD,QAAQ,CAAC,WAAW,EAAE,GAAG,EAAE;IACzB,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,0CAA0C,EAAE,IAAI,CAAC,EAAE;QACtD,MAAM,KAAK,GAAG,IAAI,aAAK,EAAE,CAAC;QAC1B,KAAK,CAAC,SAAS,CAAC,MAAM,CAAC,IAAI,qBAAS,CAAC,UAAU,CAAC,CAAC,CAAC;QAElD,IAAI,cAAO,EAAa,CAAC,IAAI,CAAC,IAAA,8BAAS,EAAC,UAAU,EAAE,KAAK,CAAC,CAAC,CAAC,SAAS,CAAC;YACpE,IAAI,EAAE,EAAE,CAAC,EAAE;gBACT,MAAM,CAAC,EAAE,CAAC,EAAE,CAAC,CAAC,OAAO,CAAC,UAAU,CAAC,EAAE,CAAC,CAAC;gBACrC,IAAI,EAAE,CAAC;YACT,CAAC;SACF,CAAC,CAAC;IACL,CAAC,CAAC,CAAC;AACL,CAAC,CAAC,CAAC"}

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 @@
+{"version":3,"file":"orderbook.spec.js","sourceRoot":"","sources":["../../src/domain/orderbook.spec.ts"],"names":[],"mappings":";;AAAA,mCAAgC;AAChC,6CAA0C;AAC1C,2CAAwC;AAExC,QAAQ,CAAC,WAAW,EAAE,GAAG,EAAE;IACzB,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,IAAI,qBAAS,CAAC,UAAU,CAAC,CAAC;QAEtC,MAAM,CAAC,GAAG,CAAC,EAAE,CAAC,CAAC,OAAO,CAAC,UAAU,CAAC,EAAE,CAAC,CAAC;IACxC,CAAC,CAAC,CAAC;AACL,CAAC,CAAC,CAAC"}

package/dist/domain/position.d.ts

@@ -1,24 +1,19 @@
-import { Observable } from 'rxjs';
 import { Instrument } from '../domain';
-import { timestamp } from '../shared';
+import { decimal, timestamp } from '../shared';
 import { Component } from './component';
 export declare type PositionMode = 'CROSS' | 'ISOLATED';
 export declare class Position implements Component {
     readonly id: string;
     readonly instrument: Instrument;
+    readonly mode: PositionMode;
+    averageExecutionRate: decimal;
+    size: decimal;
+    leverage: number;
     kind: string;
     timestamp: timestamp;
-    averageExecutionRate: number;
-    size: number;
-    leverage: number;
-    mode: PositionMode;
-    estimatedUnrealizedPnL: number;
-    get margin(): number;
-    constructor(id: string, instrument: Instrument);
-    calculatePnL(rate: number): number;
+    estimatedUnrealizedPnL?: decimal;
+    get margin(): decimal;
+    constructor(id: string, instrument: Instrument, mode: PositionMode, averageExecutionRate: decimal, size: decimal, leverage: number);
+    calculateEstimatedUnrealizedPnL(rate: decimal): decimal;
     toString(): string;
 }
-export declare function positionsFlat(): (source: Observable<Position[]>) => Observable<{
-    size: number;
-    rate: number;
-}>;

package/dist/domain/position.js

@@ -1,21 +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 = mode;
+        this.averageExecutionRate = averageExecutionRate;
+        this.size = size;
+        this.leverage = leverage;
         this.kind = 'position';
-        this.mode = 'CROSS';
-        this.estimatedUnrealizedPnL = 0;
     }
     get margin() {
-        return this.instrument.quote.ceil((Math.abs(this.size) * this.averageExecutionRate) / this.leverage);
+        return this.instrument.quote.floor(this.size.abs().div(this.leverage));
     }
-    calculatePnL(rate) {
-        this.estimatedUnrealizedPnL = (0, shared_1.pnl)(this.averageExecutionRate, rate, this.size);
+    calculateEstimatedUnrealizedPnL(rate) {
+        this.estimatedUnrealizedPnL = this.instrument.quote.floor((0, shared_1.pnl)(this.averageExecutionRate, rate, this.size));
         return this.estimatedUnrealizedPnL;
     }
     toString() {
@@ -23,27 +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,sCAAoD;AAKpD,MAAa,QAAQ;IASnB,YACW,EAAU,EACV,UAAsB,EACtB,IAAkB,EACpB,oBAA6B,EAC7B,IAAa,EACb,QAAgB;QALd,OAAE,GAAF,EAAE,CAAQ;QACV,eAAU,GAAV,UAAU,CAAY;QACtB,SAAI,GAAJ,IAAI,CAAc;QACpB,yBAAoB,GAApB,oBAAoB,CAAS;QAC7B,SAAI,GAAJ,IAAI,CAAS;QACb,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,IAAI,CAAC,GAAG,EAAE,CAAC,GAAG,CAAC,IAAI,CAAC,QAAQ,CAAC,CAAC,CAAC;IACzE,CAAC;IAWD,+BAA+B,CAAC,IAAa;QAC3C,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 +1,11 @@
+import { Observable } from 'rxjs';
+import { decimal } from '../shared';
+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: decimal;
+    rate: decimal;
+}>;

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.add(position.size), shared_1.d.Zero),
+                    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: shared_1.d.Zero,
+                rate: shared_1.d.Zero
+            };
+        }), (0, rxjs_1.share)());
+    };
+}
+exports.flatten = flatten;
+//# sourceMappingURL=position.operator.js.map

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

@@ -0,0 +1 @@
+{"version":3,"file":"position.operator.js","sourceRoot":"","sources":["../../src/domain/position.operator.ts"],"names":[],"mappings":";;;AAAA,+BAAiE;AAEjE,sCAAqD;AAKrD,SAAgB,QAAQ,CAAC,QAA4B;IACnD,OAAO,CAAC,MAA4B,EAAE,EAAE,CACtC,MAAM,CAAC,IAAI,CACT,IAAA,aAAM,EAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,IAAI,IAAI,UAAU,IAAI,EAAE,CAAC,UAAU,CAAC,EAAE,IAAI,QAAQ,CAAC,EAAE,CAAC,EACtE,IAAA,UAAG,EAAC,EAAE,CAAC,EAAE,CAAC,EAAwB,CAAC,CACpC,CAAC;AACN,CAAC;AAND,4BAMC;AAED,SAAgB,SAAS,CAAC,QAA4B,EAAE,KAAY;IAClE,MAAM,MAAM,GAAG,GAAG,EAAE,CAClB,MAAM,CAAC,MAAM,CAAC,KAAK,CAAC,OAAO,CAAC,GAAG,CAAC,QAAQ,CAAC,KAAK,CAAC,EAAE,CAAC,CAAC,QAAQ,CAAC,CAAC,MAAM,CACjE,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,UAAU,CAAC,EAAE,IAAI,QAAQ,CAAC,EAAE,CACtC,CAAC;IAEJ,OAAO,CAAC,MAA4B,EAAE,EAAE,CACtC,MAAM,CAAC,IAAI,CACT,QAAQ,CAAC,QAAQ,CAAC,EAClB,IAAA,UAAG,EAAC,GAAG,EAAE,CAAC,MAAM,EAAE,CAAC,EACnB,IAAA,gBAAS,EAAC,MAAM,EAAE,CAAC,CACpB,CAAC;AACN,CAAC;AAZD,8BAYC;AAED,SAAgB,OAAO;IACrB,OAAO,UACL,MAA8B;QAE9B,OAAO,MAAM,CAAC,IAAI,CAChB,IAAA,UAAG,EAAC,EAAE,CAAC,EAAE;YACP,IAAI,EAAE,CAAC,MAAM,GAAG,CAAC,EAAE;gBACjB,OAAO;oBACL,IAAI,EAAE,EAAE,CAAC,MAAM,CACb,CAAC,SAAS,EAAE,QAAQ,EAAE,EAAE,CAAC,SAAS,CAAC,GAAG,CAAC,QAAQ,CAAC,IAAI,CAAC,EACrD,UAAC,CAAC,IAAI,CACP;oBACD,IAAI,EAAE,IAAA,qBAAY,EAChB,EAAE,CAAC,GAAG,CAAC,CAAC,CAAC,EAAE,CAAC,CAAC,CAAC,oBAAoB,CAAC,EACnC,EAAE,CAAC,GAAG,CAAC,CAAC,CAAC,EAAE,CAAC,CAAC,CAAC,IAAI,CAAC,CACpB;iBACF,CAAC;aACH;YAED,IAAI,EAAE,CAAC,MAAM,IAAI,CAAC,EAAE;gBAClB,OAAO;oBACL,IAAI,EAAE,EAAE,CAAC,CAAC,CAAC,CAAC,IAAI;oBAChB,IAAI,EAAE,EAAE,CAAC,CAAC,CAAC,CAAC,oBAAoB;iBACjC,CAAC;aACH;YAED,OAAO;gBACL,IAAI,EAAE,UAAC,CAAC,IAAI;gBACZ,IAAI,EAAE,UAAC,CAAC,IAAI;aACb,CAAC;QACJ,CAAC,CAAC,EACF,IAAA,YAAK,GAAE,CACR,CAAC;IACJ,CAAC,CAAC;AACJ,CAAC;AAlCD,0BAkCC"}

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

@@ -0,0 +1 @@
+export {};

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

@@ -0,0 +1,49 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+const rxjs_1 = require("rxjs");
+const shared_1 = require("../shared");
+const store_1 = require("../store");
+const asset_1 = require("./asset");
+const balance_1 = require("./balance");
+const instrument_1 = require("./instrument");
+const position_1 = require("./position");
+const position_operator_1 = require("./position.operator");
+const instrument = new instrument_1.Instrument(new asset_1.Asset('abc', 'xyz', 4), new asset_1.Asset('def', 'xyz', 4), 'abc-def');
+describe('position', () => {
+    test('should pipe a position', done => {
+        new rxjs_1.BehaviorSubject(new position_1.Position('1', instrument, 'CROSS', (0, shared_1.d)(10), (0, shared_1.d)(2), 3))
+            .pipe((0, position_operator_1.position)(instrument))
+            .subscribe({
+            next: it => {
+                expect(it.id).toEqual('1');
+                done();
+            }
+        });
+    });
+    test('should skip a pipe', done => {
+        new rxjs_1.BehaviorSubject(instrument).pipe((0, position_operator_1.position)(instrument)).subscribe({
+            next: () => fail(),
+            complete: done()
+        });
+    });
+});
+describe('positions', () => {
+    const state = new store_1.State();
+    const balance = new balance_1.Balance(instrument.quote);
+    const position1 = new position_1.Position('1', instrument, 'CROSS', (0, shared_1.d)(10), (0, shared_1.d)(2), 3);
+    const position2 = new position_1.Position('2', instrument, 'CROSS', (0, shared_1.d)(20), (0, shared_1.d)(2), 3);
+    beforeEach(() => {
+        state.balance.upsert(balance);
+        balance.position['1'] = position1;
+        balance.position['2'] = position2;
+    });
+    test('should pipe an array of positions on subscription start', done => {
+        new rxjs_1.Subject().pipe((0, position_operator_1.positions)(instrument, state)).subscribe({
+            next: it => {
+                expect(it.length).toEqual(2);
+                done();
+            }
+        });
+    });
+});
+//# sourceMappingURL=position.operator.spec.js.map

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

@@ -0,0 +1 @@
+{"version":3,"file":"position.operator.spec.js","sourceRoot":"","sources":["../../src/domain/position.operator.spec.ts"],"names":[],"mappings":";;AAAA,+BAAgD;AAEhD,sCAA8B;AAC9B,oCAAiC;AACjC,mCAAgC;AAChC,uCAAoC;AAEpC,6CAA0C;AAC1C,yCAAsC;AACtC,2DAA0D;AAE1D,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;AAEF,QAAQ,CAAC,UAAU,EAAE,GAAG,EAAE;IACxB,IAAI,CAAC,wBAAwB,EAAE,IAAI,CAAC,EAAE;QACpC,IAAI,sBAAe,CAAY,IAAI,mBAAQ,CAAC,GAAG,EAAE,UAAU,EAAE,OAAO,EAAE,IAAA,UAAC,EAAC,EAAE,CAAC,EAAE,IAAA,UAAC,EAAC,CAAC,CAAC,EAAE,CAAC,CAAC,CAAC;aACnF,IAAI,CAAC,IAAA,4BAAQ,EAAC,UAAU,CAAC,CAAC;aAC1B,SAAS,CAAC;YACT,IAAI,EAAE,EAAE,CAAC,EAAE;gBACT,MAAM,CAAC,EAAE,CAAC,EAAE,CAAC,CAAC,OAAO,CAAC,GAAG,CAAC,CAAC;gBAC3B,IAAI,EAAE,CAAC;YACT,CAAC;SACF,CAAC,CAAC;IACP,CAAC,CAAC,CAAC;IAEH,IAAI,CAAC,oBAAoB,EAAE,IAAI,CAAC,EAAE;QAChC,IAAI,sBAAe,CAAY,UAAU,CAAC,CAAC,IAAI,CAAC,IAAA,4BAAQ,EAAC,UAAU,CAAC,CAAC,CAAC,SAAS,CAAC;YAC9E,IAAI,EAAE,GAAG,EAAE,CAAC,IAAI,EAAE;YAClB,QAAQ,EAAE,IAAI,EAAE;SACjB,CAAC,CAAC;IACL,CAAC,CAAC,CAAC;AACL,CAAC,CAAC,CAAC;AAEH,QAAQ,CAAC,WAAW,EAAE,GAAG,EAAE;IACzB,MAAM,KAAK,GAAG,IAAI,aAAK,EAAE,CAAC;IAC1B,MAAM,OAAO,GAAG,IAAI,iBAAO,CAAC,UAAU,CAAC,KAAK,CAAC,CAAC;IAC9C,MAAM,SAAS,GAAG,IAAI,mBAAQ,CAAC,GAAG,EAAE,UAAU,EAAE,OAAO,EAAE,IAAA,UAAC,EAAC,EAAE,CAAC,EAAE,IAAA,UAAC,EAAC,CAAC,CAAC,EAAE,CAAC,CAAC,CAAC;IACzE,MAAM,SAAS,GAAG,IAAI,mBAAQ,CAAC,GAAG,EAAE,UAAU,EAAE,OAAO,EAAE,IAAA,UAAC,EAAC,EAAE,CAAC,EAAE,IAAA,UAAC,EAAC,CAAC,CAAC,EAAE,CAAC,CAAC,CAAC;IAEzE,UAAU,CAAC,GAAG,EAAE;QACd,KAAK,CAAC,OAAO,CAAC,MAAM,CAAC,OAAO,CAAC,CAAC;QAE9B,OAAO,CAAC,QAAQ,CAAC,GAAG,CAAC,GAAG,SAAS,CAAC;QAClC,OAAO,CAAC,QAAQ,CAAC,GAAG,CAAC,GAAG,SAAS,CAAC;IACpC,CAAC,CAAC,CAAC;IAEH,IAAI,CAAC,yDAAyD,EAAE,IAAI,CAAC,EAAE;QACrE,IAAI,cAAO,EAAa,CAAC,IAAI,CAAC,IAAA,6BAAS,EAAC,UAAU,EAAE,KAAK,CAAC,CAAC,CAAC,SAAS,CAAC;YACpE,IAAI,EAAE,EAAE,CAAC,EAAE;gBACT,MAAM,CAAC,EAAE,CAAC,MAAM,CAAC,CAAC,OAAO,CAAC,CAAC,CAAC,CAAC;gBAC7B,IAAI,EAAE,CAAC;YACT,CAAC;SACF,CAAC,CAAC;IACL,CAAC,CAAC,CAAC;AACL,CAAC,CAAC,CAAC"}

package/dist/domain/position.spec.js

@@ -1,26 +1,31 @@
 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
+const shared_1 = require("../shared");
 const asset_1 = require("./asset");
 const instrument_1 = require("./instrument");
 const position_1 = require("./position");
-const instrument = new instrument_1.Instrument(new asset_1.Asset('abc', 'xyz', 4), new asset_1.Asset('def', 'xyz', 4), 'abc-def');
-describe('position tests', () => {
-    test('should instantiate proper position', () => {
-        const sut = new position_1.Position('123', instrument);
-        sut.size = 5;
-        sut.averageExecutionRate = 20;
-        sut.leverage = 20;
-        expect(sut.margin).toEqual(5);
-        expect(sut.estimatedUnrealizedPnL).toEqual(0);
+describe('Position', () => {
+    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 position', () => {
+        const sut = new position_1.Position('1', instrument, 'CROSS', (0, shared_1.d)(10), (0, shared_1.d)(2), 3);
+        expect(sut.id).toEqual('1');
+        expect(sut.mode).toEqual('CROSS');
+        expect(sut.averageExecutionRate).toEqual((0, shared_1.d)(10));
+        expect(sut.size).toEqual((0, shared_1.d)(2));
+        expect(sut.leverage).toEqual(3);
+        expect(sut.estimatedUnrealizedPnL).toEqual(undefined);
+        expect(sut.id).toEqual('1');
     });
-    test('should calculate unrealized pnl', () => {
-        const sut = new position_1.Position('123', instrument);
-        sut.size = -5;
-        sut.averageExecutionRate = 20;
-        sut.leverage = 20;
-        sut.calculatePnL(10);
-        expect(sut.margin).toEqual(5);
-        expect(sut.estimatedUnrealizedPnL).toEqual(50);
+    test('should calculate correct margin', () => {
+        const sut = new position_1.Position('1', instrument, 'CROSS', (0, shared_1.d)(2511.81), (0, shared_1.d)(10.31), 20);
+        expect(sut.margin).toEqual((0, shared_1.d)(0.5155));
+        expect(sut.estimatedUnrealizedPnL).toEqual(undefined);
+    });
+    test('should calculate correct unrealized pnl', () => {
+        const sut = new position_1.Position('1', instrument, 'CROSS', (0, shared_1.d)(2511.81), (0, shared_1.d)(10.31), 20);
+        const pnl = sut.calculateEstimatedUnrealizedPnL((0, shared_1.d)(2576.44));
+        expect(pnl).toEqual((0, shared_1.d)(0.2652));
+        expect(sut.estimatedUnrealizedPnL).toEqual((0, shared_1.d)(0.2652));
     });
 });
 //# sourceMappingURL=position.spec.js.map

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

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package/dist/domain/session.d.ts

@@ -1,12 +1,12 @@
 import { Observable } from 'rxjs';
-import { Adapter, BacktesterOptions, PaperOptions } from '../adapter';
+import { AdapterFactory, BacktesterOptions, PaperOptions } from '../adapter';
 import { AdapterAggregate } from '../adapter/adapter-aggregate';
-import { AssetSelector, Balance, Candle, Instrument, InstrumentSelector, Order, Orderbook, OrderState, Position, Trade } from '../domain';
+import { AssetSelector, Balance, Candle, Instrument, InstrumentSelector, Order, Orderbook, Position, Trade } from '../domain';
 import { StorageFactory } from '../storage';
 import { Store } from '../store';
 export interface SessionDescriptor {
     id?: number;
-    adapter: Adapter[];
+    adapter: AdapterFactory[];
     storage?: StorageFactory;
     simulation?: PaperOptions & BacktesterOptions;
 }
@@ -17,23 +17,20 @@ export declare class Session {
     private initialized;
     private subscription;
     get timestamp(): number;
-    readonly statement: Record<string, Record<string, any>>;
     constructor(store: Store, aggregate: AdapterAggregate, descriptor?: SessionDescriptor);
     awake(describe: (session: Session) => Observable<any>): Promise<void>;
     dispose(): Promise<void>;
-    useStatement(section: string): Record<string, any>;
-    useOptimizer(path: string): any;
     subscribe(instrument: Array<InstrumentSelector>): Promise<void>;
-    open(order: Order): Observable<Order>;
-    cancel(order: Order): Observable<Order>;
-    instrument(selector: InstrumentSelector): Observable<Instrument>;
-    instruments(): Observable<Instrument[]>;
-    trade(selector: InstrumentSelector): Observable<Trade>;
-    orderbook(selector: InstrumentSelector): Observable<Orderbook>;
-    position(selector: InstrumentSelector): Observable<Position>;
-    positions(selector: InstrumentSelector): Observable<Position[]>;
-    order(selector: InstrumentSelector): Observable<Order>;
-    orders(selector: InstrumentSelector, states?: OrderState[]): Observable<Order[]>;
-    balance(selector: AssetSelector): Observable<Balance>;
-    history(selector: InstrumentSelector, timeframe: number, length: number): Observable<Candle>;
+    open(order: Order): Observable<Readonly<Order>>;
+    cancel(order: Order): Observable<Readonly<Order>>;
+    instrument(selector: InstrumentSelector): Observable<Readonly<Instrument>>;
+    instruments(): Observable<Readonly<Instrument[]>>;
+    balance(selector: AssetSelector): Observable<Readonly<Balance>>;
+    trade(selector: InstrumentSelector): Observable<Readonly<Trade>>;
+    orderbook(selector: InstrumentSelector): Observable<Readonly<Orderbook>>;
+    position(selector: InstrumentSelector): Observable<Readonly<Position>>;
+    positions(selector: InstrumentSelector): Observable<Readonly<Position[]>>;
+    order(selector: InstrumentSelector): Observable<Readonly<Order>>;
+    orders(selector: InstrumentSelector): Observable<Readonly<Order[]>>;
+    history(selector: InstrumentSelector, timeframe: number, length: number): Observable<Readonly<Candle>>;
 }