@quantform/core 0.5.14 → 0.5.15

package/src/adapter/backtester/backtester-streamer.ts

@@ -1,7 +1,8 @@
 import { InstrumentSelector } from '../../domain';
 import { timestamp } from '../../shared';
 import { Feed } from '../../storage';
-import { Store } from '../../store';
+import { OrderbookPatchEvent, Store, TradePatchEvent } from '../../store';
+import { AdapterTimeProvider } from '../adapter';
 import { BacktesterCursor } from './backtester-cursor';
 
 /**
@@ -45,14 +46,22 @@ export class BacktesterStreamer {
     this.timestamp = period.from;
   }
 
+  getTimeProvider(): AdapterTimeProvider {
+    const provider = {
+      timestamp: () => this.timestamp
+    };
+
+    return provider;
+  }
+
   subscribe(instrument: InstrumentSelector) {
-    if (instrument.toString() in this.cursor) {
+    if (instrument.id in this.cursor) {
       return;
     }
 
     const cursor = new BacktesterCursor(instrument, this.feed);
 
-    this.cursor[instrument.toString()] = cursor;
+    this.cursor[instrument.id] = cursor;
   }
 
   /**
@@ -65,7 +74,7 @@ export class BacktesterStreamer {
   /**
    * Decreases stop counter and continues execution if no more stops requested.
    */
-  async tryContinue(): Promise<void> {
+  tryContinue() {
     if (this.stopAcquire == 0) {
       return;
     }
@@ -82,21 +91,25 @@ export class BacktesterStreamer {
       }
     }
 
-    while (await this.processNext()) {
-      if (this.sequence % this.sequenceUpdateBatch == 0) {
-        if (this.listener.onBacktestUpdated) {
-          this.listener.onBacktestUpdated(this);
+    const next = async () => {
+      if (await this.processNext()) {
+        if (this.sequence % this.sequenceUpdateBatch == 0) {
+          if (this.listener.onBacktestUpdated) {
+            this.listener.onBacktestUpdated(this);
+          }
         }
-      }
 
-      if (this.stopAcquire > 0) {
-        return;
+        if (this.stopAcquire === 0) {
+          setImmediate(next);
+        }
+      } else {
+        if (this.listener.onBacktestCompleted) {
+          this.listener.onBacktestCompleted(this);
+        }
       }
-    }
+    };
 
-    if (this.listener.onBacktestCompleted) {
-      this.listener.onBacktestCompleted(this);
-    }
+    next();
   }
 
   private async processNext(): Promise<boolean> {
@@ -105,20 +118,37 @@ export class BacktesterStreamer {
       return false;
     }
 
-    const event = cursor.peek();
+    const candle = cursor.peek();
+    const instrument = cursor.instrument;
+    const volume = candle.volume ?? 0;
 
-    this.timestamp = event.timestamp;
+    this.timestamp = candle.timestamp;
     this.sequence++;
 
-    this.store.dispatch(event);
+    this.dispatch(candle.timestamp, instrument, candle.open, volume);
+    this.dispatch(candle.timestamp, instrument, candle.high, volume);
+    this.dispatch(candle.timestamp, instrument, candle.low, volume);
+    this.dispatch(candle.timestamp, instrument, candle.close, volume);
 
-    if (cursor.dequeue().timestamp != event.timestamp) {
+    if (cursor.dequeue().timestamp != candle.timestamp) {
       throw new Error('invalid event to consume');
     }
 
     return true;
   }
 
+  private dispatch(
+    timestamp: number,
+    instrument: InstrumentSelector,
+    rate: number,
+    volume: number
+  ) {
+    this.store.dispatch(
+      new TradePatchEvent(instrument, rate, volume, timestamp),
+      new OrderbookPatchEvent(instrument, rate, volume, rate, volume, timestamp)
+    );
+  }
+
   private async current(from: timestamp, to: timestamp): Promise<BacktesterCursor> {
     for (const cursor of Object.values(this.cursor)) {
       if (cursor.size == 0 && !cursor.completed) {
@@ -127,7 +157,7 @@ export class BacktesterStreamer {
     }
 
     return Object.values(this.cursor)
-      .filter(it => it.peek() != null)
+      .filter(it => it.peek() != undefined)
       .sort((lhs, rhs) => lhs.peek().timestamp - rhs.peek().timestamp)
       .find(() => true);
   }

package/src/adapter/error.ts

@@ -0,0 +1,9 @@
+export function adapterNotFoundError(adapterName: string) {
+  return new Error(
+    `Unknown adapter: ${adapterName}. You should provide adapter in session descriptor.`
+  );
+}
+
+export function backtestPageNotEmpty() {
+  return new Error('Backtest page is not empty');
+}

package/src/adapter/paper/engine/paper-engine.spec.ts

@@ -0,0 +1,92 @@
+import { Asset, commissionPercentOf, Instrument, Order } from '../../../domain';
+import { now } from '../../../shared';
+import {
+  BalancePatchEvent,
+  InstrumentPatchEvent,
+  InstrumentSubscriptionEvent,
+  OrderbookPatchEvent,
+  Store
+} from '../../../store';
+import { PaperEngine } from './paper-engine';
+
+describe('PaperEngine', () => {
+  const instrument = new Instrument(
+    new Asset('btc', 'binance', 8),
+    new Asset('usdt', 'binance', 2),
+    'binance:btc-usdt'
+  );
+
+  const commission = commissionPercentOf({
+    maker: 0.1,
+    taker: 0.1
+  });
+
+  test('should open a new buy market order', () => {
+    const store = new Store();
+    const engine = new PaperEngine(store);
+    const order = Order.market(instrument, 1.0);
+
+    store.dispatch(
+      new InstrumentPatchEvent(now(), instrument.base, instrument.quote, commission, ''),
+      new BalancePatchEvent(instrument.base, 1, 0, now()),
+      new BalancePatchEvent(instrument.quote, 1000, 0, now())
+    );
+
+    engine.open(order);
+
+    expect(store.snapshot.order.asReadonlyArray().length).toEqual(1);
+    expect(store.snapshot.order.get(instrument.id).get(order.id)).toEqual(order);
+    expect(store.snapshot.balance.get(instrument.quote.id).free).toEqual(0);
+    expect(store.snapshot.balance.get(instrument.quote.id).locked).toEqual(1000);
+  });
+
+  test('should open a new sell market order', () => {
+    const store = new Store();
+    const engine = new PaperEngine(store);
+    const order = Order.market(instrument, -0.6);
+
+    store.dispatch(
+      new InstrumentPatchEvent(now(), instrument.base, instrument.quote, commission, ''),
+      new BalancePatchEvent(instrument.base, 1, 0, now()),
+      new BalancePatchEvent(instrument.quote, 1000, 0, now())
+    );
+
+    engine.open(order);
+
+    expect(store.snapshot.order.asReadonlyArray().length).toEqual(1);
+    expect(store.snapshot.order.get(instrument.id).get(order.id)).toEqual(order);
+    expect(store.snapshot.balance.get(instrument.base.id).free).toEqual(0.4);
+    expect(store.snapshot.balance.get(instrument.base.id).locked).toEqual(0.6);
+  });
+
+  test('should open and fill a new sell limit order', () => {
+    const store = new Store();
+    const engine = new PaperEngine(store);
+    const order = Order.limit(instrument, -0.6, 100);
+
+    store.dispatch(
+      new InstrumentPatchEvent(now(), instrument.base, instrument.quote, commission, ''),
+      new BalancePatchEvent(instrument.base, 1, 0, now()),
+      new BalancePatchEvent(instrument.quote, 1000, 0, now()),
+      new InstrumentSubscriptionEvent(now(), instrument, true)
+    );
+
+    engine.open(order);
+
+    expect(store.snapshot.order.asReadonlyArray().length).toEqual(1);
+    expect(store.snapshot.order.get(instrument.id).get(order.id).state).toEqual(
+      'PENDING'
+    );
+    expect(store.snapshot.balance.get(instrument.base.id).free).toEqual(0.4);
+    expect(store.snapshot.balance.get(instrument.base.id).locked).toEqual(0.6);
+
+    store.dispatch(new OrderbookPatchEvent(instrument, 102, 1, 101, 1, now()));
+
+    expect(store.snapshot.order.asReadonlyArray().length).toEqual(1);
+    expect(store.snapshot.order.get(instrument.id).get(order.id).state).toEqual('FILLED');
+    expect(store.snapshot.balance.get(instrument.base.id).free).toEqual(0.4);
+    expect(store.snapshot.balance.get(instrument.base.id).locked).toEqual(0);
+    expect(store.snapshot.balance.get(instrument.quote.id).free).toEqual(1060.53);
+    expect(store.snapshot.balance.get(instrument.quote.id).locked).toEqual(0);
+  });
+});

package/src/adapter/paper/engine/paper-engine.ts

@@ -0,0 +1,135 @@
+import { tap } from 'rxjs';
+
+import { Order, Orderbook, Trade } from '../../../domain';
+import {
+  BalanceLockOrderEvent,
+  BalanceTransactEvent,
+  BalanceUnlockOrderEvent,
+  OrderCanceledEvent,
+  OrderCancelingEvent,
+  OrderFilledEvent,
+  OrderNewEvent,
+  OrderPendingEvent,
+  OrderRejectedEvent,
+  Store
+} from '../../../store';
+
+export class PaperEngine {
+  constructor(private readonly store: Store) {
+    store.changes$
+      .pipe(
+        tap(it => {
+          if (it instanceof Orderbook) {
+            this.onOrderbook(it);
+          } else if (it instanceof Trade) {
+            this.onTrade(it);
+          }
+        })
+      )
+      .subscribe();
+  }
+
+  public open(order: Order) {
+    const { timestamp } = this.store.snapshot;
+
+    try {
+      this.store.dispatch(
+        new OrderNewEvent(order, timestamp),
+        new BalanceLockOrderEvent(order.id, order.instrument, timestamp)
+      );
+
+      this.store.dispatch(new OrderPendingEvent(order.id, order.instrument, timestamp));
+    } catch (error) {
+      this.store.dispatch(
+        new BalanceUnlockOrderEvent(order.id, order.instrument, timestamp),
+        new OrderRejectedEvent(order.id, order.instrument, timestamp)
+      );
+    }
+  }
+
+  public cancel(order: Order) {
+    const { timestamp } = this.store.snapshot;
+
+    this.store.dispatch(new OrderCancelingEvent(order.id, order.instrument, timestamp));
+
+    this.store.dispatch(
+      new BalanceUnlockOrderEvent(order.id, order.instrument, timestamp),
+      new OrderCanceledEvent(order.id, order.instrument, timestamp)
+    );
+  }
+
+  private onOrderbook(orderbook: Orderbook) {
+    this.store.snapshot.order
+      .get(orderbook.instrument.id)
+      .asReadonlyArray()
+      .forEach(it => {
+        if (it.state != 'PENDING') {
+          return;
+        }
+
+        if (it.type == 'LIMIT') {
+          if (it.quantity > 0 && it.rate > orderbook.bestAskRate) {
+            this.completeOrder(it, orderbook.bestAskRate);
+          } else if (it.quantity < 0 && it.rate < orderbook.bestBidRate) {
+            this.completeOrder(it, orderbook.bestBidRate);
+          }
+        } else if (it.type == 'MARKET') {
+          if (it.quantity > 0) {
+            this.completeOrder(it, orderbook.bestAskRate);
+          } else if (it.quantity < 0) {
+            this.completeOrder(it, orderbook.bestBidRate);
+          }
+        }
+      });
+  }
+
+  private onTrade(trade: Trade) {
+    this.store.snapshot.order
+      .get(trade.instrument.id)
+      .asReadonlyArray()
+      .forEach(it => {
+        if (it.state != 'PENDING') {
+          return;
+        }
+
+        if (it.type == 'LIMIT') {
+          if (it.quantity > 0 && it.rate > trade.rate) {
+            this.completeOrder(it, trade.rate);
+          } else if (it.quantity < 0 && it.rate < trade.rate) {
+            this.completeOrder(it, trade.rate);
+          }
+        } else if (it.type == 'MARKET') {
+          this.completeOrder(it, trade.rate);
+        }
+      });
+  }
+
+  private completeOrder(order: Order, averageExecutionRate: number) {
+    const { timestamp } = this.store.snapshot;
+
+    const instrument = this.store.snapshot.universe.instrument.get(order.instrument.id);
+    const transacted = {
+      base: 0,
+      quote: 0
+    };
+
+    const qty = Math.abs(order.quantity);
+
+    if (order.quantity > 0) {
+      transacted.base += instrument.base.floor(instrument.commission.applyMakerFee(qty));
+      transacted.quote -= instrument.quote.floor(averageExecutionRate * qty);
+    } else if (order.quantity < 0) {
+      transacted.base -= instrument.base.floor(qty);
+      transacted.quote += instrument.quote.floor(
+        instrument.commission.applyMakerFee(averageExecutionRate * qty)
+      );
+    }
+
+    this.store.dispatch(
+      new BalanceUnlockOrderEvent(order.id, order.instrument, timestamp),
+      new OrderFilledEvent(order.id, order.instrument, averageExecutionRate, timestamp),
+      new BalanceTransactEvent(instrument.base, transacted.base, timestamp),
+      new BalanceTransactEvent(instrument.quote, transacted.quote, timestamp)
+    );
+  }
+}

package/src/adapter/paper/index.ts

@@ -1,3 +1,2 @@
 export * from './paper-adapter';
-export * from './simulator/paper-margin-simulator';
-export * from './simulator/paper-spot-simulator';
+export * from './engine/paper-engine';

package/src/adapter/paper/paper-adapter.spec.ts

@@ -1,25 +1,58 @@
-import { Cache, InMemoryStorage } from '../../storage';
 import { InstrumentPatchEvent, Store } from '../../store';
-import { AdapterContext } from '..';
-import { Adapter } from '../adapter';
-import { Asset, Commission, instrumentOf, Order } from './../../domain';
-import { PaperSpotSimulator } from '.';
+import {
+  Adapter,
+  AdapterTimeProvider,
+  DefaultTimeProvider,
+  FeedQuery,
+  HistoryQuery
+} from '../adapter';
+import {
+  Asset,
+  Candle,
+  Commission,
+  instrumentOf,
+  InstrumentSelector,
+  Order
+} from './../../domain';
+import { PaperEngine } from './engine/paper-engine';
 import { PaperAdapter } from './paper-adapter';
-import { PaperSimulator } from './simulator/paper-simulator';
 
 class DefaultAdapter extends Adapter {
+  dispose(): Promise<void> {
+    throw new Error('Method not implemented.');
+  }
+  subscribe(instruments: InstrumentSelector[]): Promise<void> {
+    throw new Error('Method not implemented.');
+  }
+  account(): Promise<void> {
+    throw new Error('Method not implemented.');
+  }
+  open(order: Order): Promise<void> {
+    throw new Error('Method not implemented.');
+  }
+  cancel(order: Order): Promise<void> {
+    throw new Error('Method not implemented.');
+  }
+  history(query: HistoryQuery): Promise<Candle[]> {
+    throw new Error('Method not implemented.');
+  }
+  feed(query: FeedQuery): Promise<void> {
+    throw new Error('Method not implemented.');
+  }
   name = 'default';
 
   timestamp() {
     return 123;
   }
 
-  async awake(context: AdapterContext): Promise<void> {
-    super.awake(context);
+  constructor(timeProvider: AdapterTimeProvider, private readonly store: Store) {
+    super(timeProvider);
+  }
 
-    context.dispatch(
+  async awake(): Promise<void> {
+    this.store.dispatch(
       new InstrumentPatchEvent(
-        context.timestamp,
+        this.timestamp(),
         new Asset('a', this.name, 8),
         new Asset('b', this.name, 4),
         new Commission(0.1, 0.1),
@@ -28,12 +61,12 @@ class DefaultAdapter extends Adapter {
     );
   }
 
-  createPaperSimulator(adapter: PaperAdapter): PaperSimulator {
-    return new PaperSpotSimulator(adapter);
+  createPaperEngine(adapter: PaperAdapter): PaperEngine {
+    return new PaperEngine(adapter.store);
   }
 }
 
-describe('paper adapter tests', () => {
+describe('PaperAdapter', () => {
   const options = {
     balance: {
       ['default:a']: 1000,
@@ -44,7 +77,11 @@ describe('paper adapter tests', () => {
   test('should return wrapped adapter name and timestamp', () => {
     const store = new Store();
 
-    const sut = new PaperAdapter(new DefaultAdapter(), store, options);
+    const sut = new PaperAdapter(
+      new DefaultAdapter(DefaultTimeProvider, store),
+      store,
+      options
+    );
 
     expect(sut.name).toEqual('default');
     expect(sut.timestamp()).toEqual(123);
@@ -52,18 +89,17 @@ describe('paper adapter tests', () => {
 
   test('', async () => {
     const store = new Store();
-    const adapter = new DefaultAdapter();
-    const cache = new Cache(new InMemoryStorage());
+    const adapter = new DefaultAdapter(DefaultTimeProvider, store);
 
     const sut = new PaperAdapter(adapter, store, options);
 
-    await sut.awake(new AdapterContext(sut, store, cache));
+    await sut.awake();
     await sut.account();
 
-    const order = Order.buyMarket(instrumentOf('default:a-b'), 1.0);
+    const order = Order.market(instrumentOf('default:a-b'), 1.0);
 
     await sut.open(order);
 
-    expect(store.snapshot.order[order.id]).toEqual(order);
+    expect(store.snapshot.order.get(order.instrument.id).get(order.id)).toEqual(order);
   });
 });

package/src/adapter/paper/paper-adapter.ts

@@ -1,34 +1,39 @@
 import { assetOf, Candle, InstrumentSelector, Order } from '../../domain';
 import { BalancePatchEvent, Store } from '../../store';
-import { Adapter, AdapterContext } from '..';
-import { FeedQuery, HistoryQuery } from '../adapter';
-import { PaperSimulator } from './simulator/paper-simulator';
+import { Adapter } from '..';
+import { AdapterFactory, FeedQuery, HistoryQuery } from '../adapter';
+import { PaperEngine } from './engine/paper-engine';
 
 export interface PaperOptions {
   balance: { [key: string]: number };
 }
 
+export function createPaperAdapterFactory(
+  decoratedAdapterFactory: AdapterFactory,
+  options: PaperOptions
+): AdapterFactory {
+  return (timeProvider, store, cache) =>
+    new PaperAdapter(decoratedAdapterFactory(timeProvider, store, cache), store, options);
+}
+
 export class PaperAdapter extends Adapter {
   readonly name = this.decoratedAdapter.name;
-  readonly simulator: PaperSimulator;
+  private engine: PaperEngine;
 
   constructor(
     readonly decoratedAdapter: Adapter,
     readonly store: Store,
     readonly options: PaperOptions
   ) {
-    super();
-
-    this.simulator = this.createPaperSimulator(this);
+    super({
+      timestamp: () => this.decoratedAdapter.timestamp()
+    });
   }
 
-  timestamp() {
-    return this.decoratedAdapter.timestamp();
-  }
+  async awake(): Promise<void> {
+    this.engine = this.createPaperEngine(this);
 
-  async awake(context: AdapterContext): Promise<void> {
-    await super.awake(context);
-    await this.decoratedAdapter.awake(context);
+    await this.decoratedAdapter.awake();
   }
 
   dispose(): Promise<void> {
@@ -41,36 +46,34 @@ export class PaperAdapter extends Adapter {
 
   async account(): Promise<void> {
     let subscribed = Object.values(this.store.snapshot.subscription.asset).filter(
-      it => it.adapter == this.name
+      it => it.adapterName == this.name
     );
 
     for (const balance in this.options.balance) {
       const asset = assetOf(balance);
 
-      if (asset.adapter != this.name) {
+      if (asset.adapterName != this.name) {
         continue;
       }
 
       const free = this.options.balance[balance];
 
-      subscribed = subscribed.filter(it => it.toString() != asset.toString());
+      subscribed = subscribed.filter(it => it.id != asset.id);
 
-      this.store.dispatch(new BalancePatchEvent(asset, free, 0, this.context.timestamp));
+      this.store.dispatch(new BalancePatchEvent(asset, free, 0, this.timestamp()));
     }
 
     for (const missingAsset of subscribed) {
-      this.store.dispatch(
-        new BalancePatchEvent(missingAsset, 0, 0, this.context.timestamp)
-      );
+      this.store.dispatch(new BalancePatchEvent(missingAsset, 0, 0, this.timestamp()));
     }
   }
 
   async open(order: Order): Promise<void> {
-    this.simulator.open(order);
+    this.engine.open(order);
   }
 
   async cancel(order: Order): Promise<void> {
-    this.simulator.cancel(order);
+    this.engine.cancel(order);
   }
 
   history(query: HistoryQuery): Promise<Candle[]> {
@@ -81,7 +84,7 @@ export class PaperAdapter extends Adapter {
     return this.decoratedAdapter.feed(query);
   }
 
-  createPaperSimulator(adapter: PaperAdapter): PaperSimulator {
-    return this.decoratedAdapter.createPaperSimulator(adapter);
+  createPaperEngine(adapter: PaperAdapter): PaperEngine {
+    return this.decoratedAdapter.createPaperEngine(adapter);
   }
 }

package/src/bootstrap.ts

@@ -1,12 +1,13 @@
 import {
   AdapterAggregate,
-  BacktesterAdapter,
   BacktesterListener,
   BacktesterStreamer,
-  PaperAdapter
+  createBacktesterAdapterFactory,
+  createPaperAdapterFactory,
+  DefaultTimeProvider
 } from './adapter';
 import { Session, SessionDescriptor } from './domain';
-import { Cache, Feed, InMemoryStorage, InMemoryStorageFactory } from './storage';
+import { Cache, Feed, inMemoryStorageFactory } from './storage';
 import { Store } from './store';
 
 export class Bootstrap {
@@ -56,9 +57,9 @@ export class Bootstrap {
    */
   backtest(listener?: BacktesterListener): [Session, BacktesterStreamer] {
     const store = new Store();
-    const { storage } = this.descriptor;
-    const feed = new Feed(storage.create('feed'));
-    const cache = new Cache(storage.create('cache'));
+    const storage = this.descriptor.storage ?? inMemoryStorageFactory();
+    const feed = new Feed(storage('feed'));
+    const cache = new Cache(storage('cache'));
 
     const streamer = new BacktesterStreamer(
       store,
@@ -68,13 +69,13 @@ export class Bootstrap {
     );
 
     const aggregate = new AdapterAggregate(
-      this.descriptor.adapter.map(
-        it =>
-          new BacktesterAdapter(
-            new PaperAdapter(it, store, this.descriptor.simulation),
-            streamer
-          )
+      this.descriptor.adapter.map(it =>
+        createBacktesterAdapterFactory(
+          createPaperAdapterFactory(it, this.descriptor.simulation),
+          streamer
+        )
       ),
+      streamer.getTimeProvider(),
       store,
       cache
     );
@@ -102,13 +103,14 @@ export class Bootstrap {
     }
 
     const store = new Store();
-    const storage = this.descriptor.storage ?? new InMemoryStorageFactory();
-    const cache = new Cache(storage.create('cache'));
+    const storage = this.descriptor.storage ?? inMemoryStorageFactory();
+    const cache = new Cache(storage('cache'));
 
     const aggregate = new AdapterAggregate(
-      this.descriptor.adapter.map(
-        it => new PaperAdapter(it, store, this.descriptor.simulation)
+      this.descriptor.adapter.map(it =>
+        createPaperAdapterFactory(it, this.descriptor.simulation)
       ),
+      DefaultTimeProvider,
       store,
       cache
     );
@@ -122,10 +124,15 @@ export class Bootstrap {
    */
   live(): Session {
     const store = new Store();
-    const storage = this.descriptor.storage ?? new InMemoryStorageFactory();
-    const cache = new Cache(storage.create('cache'));
+    const storage = this.descriptor.storage ?? inMemoryStorageFactory();
+    const cache = new Cache(storage('cache'));
 
-    const aggregate = new AdapterAggregate(this.descriptor.adapter, store, cache);
+    const aggregate = new AdapterAggregate(
+      this.descriptor.adapter,
+      DefaultTimeProvider,
+      store,
+      cache
+    );
 
     return new Session(store, aggregate, this.descriptor);
   }