@quantform/core 0.5.14 → 0.5.15

package/dist/adapter/backtester/backtester-streamer.js

@@ -1,6 +1,7 @@
 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
 exports.BacktesterStreamer = void 0;
+const store_1 = require("../../store");
 const backtester_cursor_1 = require("./backtester-cursor");
 class BacktesterStreamer {
     constructor(store, feed, period, listener) {
@@ -17,17 +18,23 @@ class BacktesterStreamer {
         }
         this.timestamp = period.from;
     }
+    getTimeProvider() {
+        const provider = {
+            timestamp: () => this.timestamp
+        };
+        return provider;
+    }
     subscribe(instrument) {
-        if (instrument.toString() in this.cursor) {
+        if (instrument.id in this.cursor) {
             return;
         }
         const cursor = new backtester_cursor_1.BacktesterCursor(instrument, this.feed);
-        this.cursor[instrument.toString()] = cursor;
+        this.cursor[instrument.id] = cursor;
     }
     stop() {
         this.stopAcquire++;
     }
-    async tryContinue() {
+    tryContinue() {
         if (this.stopAcquire == 0) {
             return;
         }
@@ -40,34 +47,48 @@ class BacktesterStreamer {
                 this.listener.onBacktestStarted(this);
             }
         }
-        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) {
+                    setImmediate(next);
                 }
             }
-            if (this.stopAcquire > 0) {
-                return;
+            else {
+                if (this.listener.onBacktestCompleted) {
+                    this.listener.onBacktestCompleted(this);
+                }
             }
-        }
-        if (this.listener.onBacktestCompleted) {
-            this.listener.onBacktestCompleted(this);
-        }
+        };
+        next();
     }
     async processNext() {
+        var _a;
         const cursor = await this.current(this.timestamp, this.period.to);
         if (!cursor) {
             return false;
         }
-        const event = cursor.peek();
-        this.timestamp = event.timestamp;
+        const candle = cursor.peek();
+        const instrument = cursor.instrument;
+        const volume = (_a = candle.volume) !== null && _a !== void 0 ? _a : 0;
+        this.timestamp = candle.timestamp;
         this.sequence++;
-        this.store.dispatch(event);
-        if (cursor.dequeue().timestamp != event.timestamp) {
+        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 != candle.timestamp) {
             throw new Error('invalid event to consume');
         }
         return true;
     }
+    dispatch(timestamp, instrument, rate, volume) {
+        this.store.dispatch(new store_1.TradePatchEvent(instrument, rate, volume, timestamp), new store_1.OrderbookPatchEvent(instrument, rate, volume, rate, volume, timestamp));
+    }
     async current(from, to) {
         for (const cursor of Object.values(this.cursor)) {
             if (cursor.size == 0 && !cursor.completed) {
@@ -75,7 +96,7 @@ 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/dist/adapter/backtester/backtester-streamer.js.map

@@ -1 +1 @@
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+{"version":3,"file":"backtester-streamer.js","sourceRoot":"","sources":["../../../src/adapter/backtester/backtester-streamer.ts"],"names":[],"mappings":";;;AAGA,uCAA0E;AAE1E,2DAAuD;AAsBvD,MAAa,kBAAkB;IAQ7B,YACmB,KAAY,EACZ,IAAU,EACV,MAAoC,EACpC,QAA6B;QAH7B,UAAK,GAAL,KAAK,CAAO;QACZ,SAAI,GAAJ,IAAI,CAAM;QACV,WAAM,GAAN,MAAM,CAA8B;QACpC,aAAQ,GAAR,QAAQ,CAAqB;QAXxC,wBAAmB,GAAG,KAAK,CAAC;QAC5B,WAAM,GAAqC,EAAE,CAAC;QAC9C,gBAAW,GAAG,CAAC,CAAC;QAGxB,aAAQ,GAAG,CAAC,CAAC;QAQX,IAAI,MAAM,CAAC,IAAI,IAAI,SAAS,IAAI,MAAM,CAAC,EAAE,IAAI,SAAS,EAAE;YACtD,MAAM,IAAI,KAAK,CAAC,8DAA8D,CAAC,CAAC;SACjF;QAED,IAAI,CAAC,SAAS,GAAG,MAAM,CAAC,IAAI,CAAC;IAC/B,CAAC;IAED,eAAe;QACb,MAAM,QAAQ,GAAG;YACf,SAAS,EAAE,GAAG,EAAE,CAAC,IAAI,CAAC,SAAS;SAChC,CAAC;QAEF,OAAO,QAAQ,CAAC;IAClB,CAAC;IAED,SAAS,CAAC,UAA8B;QACtC,IAAI,UAAU,CAAC,EAAE,IAAI,IAAI,CAAC,MAAM,EAAE;YAChC,OAAO;SACR;QAED,MAAM,MAAM,GAAG,IAAI,oCAAgB,CAAC,UAAU,EAAE,IAAI,CAAC,IAAI,CAAC,CAAC;QAE3D,IAAI,CAAC,MAAM,CAAC,UAAU,CAAC,EAAE,CAAC,GAAG,MAAM,CAAC;IACtC,CAAC;IAKD,IAAI;QACF,IAAI,CAAC,WAAW,EAAE,CAAC;IACrB,CAAC;IAKD,WAAW;QACT,IAAI,IAAI,CAAC,WAAW,IAAI,CAAC,EAAE;YACzB,OAAO;SACR;QAED,IAAI,CAAC,WAAW,GAAG,IAAI,CAAC,GAAG,CAAC,CAAC,EAAE,IAAI,CAAC,WAAW,GAAG,CAAC,CAAC,CAAC;QAErD,IAAI,IAAI,CAAC,WAAW,IAAI,CAAC,EAAE;YACzB,OAAO;SACR;QAED,IAAI,IAAI,CAAC,QAAQ,IAAI,CAAC,EAAE;YACtB,IAAI,IAAI,CAAC,QAAQ,CAAC,iBAAiB,EAAE;gBACnC,IAAI,CAAC,QAAQ,CAAC,iBAAiB,CAAC,IAAI,CAAC,CAAC;aACvC;SACF;QAED,MAAM,IAAI,GAAG,KAAK,IAAI,EAAE;YACtB,IAAI,MAAM,IAAI,CAAC,WAAW,EAAE,EAAE;gBAC5B,IAAI,IAAI,CAAC,QAAQ,GAAG,IAAI,CAAC,mBAAmB,IAAI,CAAC,EAAE;oBACjD,IAAI,IAAI,CAAC,QAAQ,CAAC,iBAAiB,EAAE;wBACnC,IAAI,CAAC,QAAQ,CAAC,iBAAiB,CAAC,IAAI,CAAC,CAAC;qBACvC;iBACF;gBAED,IAAI,IAAI,CAAC,WAAW,KAAK,CAAC,EAAE;oBAC1B,YAAY,CAAC,IAAI,CAAC,CAAC;iBACpB;aACF;iBAAM;gBACL,IAAI,IAAI,CAAC,QAAQ,CAAC,mBAAmB,EAAE;oBACrC,IAAI,CAAC,QAAQ,CAAC,mBAAmB,CAAC,IAAI,CAAC,CAAC;iBACzC;aACF;QACH,CAAC,CAAC;QAEF,IAAI,EAAE,CAAC;IACT,CAAC;IAEO,KAAK,CAAC,WAAW;;QACvB,MAAM,MAAM,GAAG,MAAM,IAAI,CAAC,OAAO,CAAC,IAAI,CAAC,SAAS,EAAE,IAAI,CAAC,MAAM,CAAC,EAAE,CAAC,CAAC;QAClE,IAAI,CAAC,MAAM,EAAE;YACX,OAAO,KAAK,CAAC;SACd;QAED,MAAM,MAAM,GAAG,MAAM,CAAC,IAAI,EAAE,CAAC;QAC7B,MAAM,UAAU,GAAG,MAAM,CAAC,UAAU,CAAC;QACrC,MAAM,MAAM,GAAG,MAAA,MAAM,CAAC,MAAM,mCAAI,CAAC,CAAC;QAElC,IAAI,CAAC,SAAS,GAAG,MAAM,CAAC,SAAS,CAAC;QAClC,IAAI,CAAC,QAAQ,EAAE,CAAC;QAEhB,IAAI,CAAC,QAAQ,CAAC,MAAM,CAAC,SAAS,EAAE,UAAU,EAAE,MAAM,CAAC,IAAI,EAAE,MAAM,CAAC,CAAC;QACjE,IAAI,CAAC,QAAQ,CAAC,MAAM,CAAC,SAAS,EAAE,UAAU,EAAE,MAAM,CAAC,IAAI,EAAE,MAAM,CAAC,CAAC;QACjE,IAAI,CAAC,QAAQ,CAAC,MAAM,CAAC,SAAS,EAAE,UAAU,EAAE,MAAM,CAAC,GAAG,EAAE,MAAM,CAAC,CAAC;QAChE,IAAI,CAAC,QAAQ,CAAC,MAAM,CAAC,SAAS,EAAE,UAAU,EAAE,MAAM,CAAC,KAAK,EAAE,MAAM,CAAC,CAAC;QAElE,IAAI,MAAM,CAAC,OAAO,EAAE,CAAC,SAAS,IAAI,MAAM,CAAC,SAAS,EAAE;YAClD,MAAM,IAAI,KAAK,CAAC,0BAA0B,CAAC,CAAC;SAC7C;QAED,OAAO,IAAI,CAAC;IACd,CAAC;IAEO,QAAQ,CACd,SAAiB,EACjB,UAA8B,EAC9B,IAAY,EACZ,MAAc;QAEd,IAAI,CAAC,KAAK,CAAC,QAAQ,CACjB,IAAI,uBAAe,CAAC,UAAU,EAAE,IAAI,EAAE,MAAM,EAAE,SAAS,CAAC,EACxD,IAAI,2BAAmB,CAAC,UAAU,EAAE,IAAI,EAAE,MAAM,EAAE,IAAI,EAAE,MAAM,EAAE,SAAS,CAAC,CAC3E,CAAC;IACJ,CAAC;IAEO,KAAK,CAAC,OAAO,CAAC,IAAe,EAAE,EAAa;QAClD,KAAK,MAAM,MAAM,IAAI,MAAM,CAAC,MAAM,CAAC,IAAI,CAAC,MAAM,CAAC,EAAE;YAC/C,IAAI,MAAM,CAAC,IAAI,IAAI,CAAC,IAAI,CAAC,MAAM,CAAC,SAAS,EAAE;gBACzC,MAAM,MAAM,CAAC,aAAa,CAAC,IAAI,EAAE,EAAE,CAAC,CAAC;aACtC;SACF;QAED,OAAO,MAAM,CAAC,MAAM,CAAC,IAAI,CAAC,MAAM,CAAC;aAC9B,MAAM,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,IAAI,EAAE,IAAI,SAAS,CAAC;aACpC,IAAI,CAAC,CAAC,GAAG,EAAE,GAAG,EAAE,EAAE,CAAC,GAAG,CAAC,IAAI,EAAE,CAAC,SAAS,GAAG,GAAG,CAAC,IAAI,EAAE,CAAC,SAAS,CAAC;aAC/D,IAAI,CAAC,GAAG,EAAE,CAAC,IAAI,CAAC,CAAC;IACtB,CAAC;CACF;AAxID,gDAwIC"}

package/dist/adapter/backtester/backtester-streamer.spec.js

@@ -4,19 +4,19 @@ const domain_1 = require("../../domain");
 const storage_1 = require("../../storage");
 const store_1 = require("../../store");
 const backtester_streamer_1 = require("./backtester-streamer");
-const instrument = new domain_1.Instrument(new domain_1.Asset('btc', 'binance', 8), new domain_1.Asset('usdt', 'binance', 2), 'binance:btc-usdt');
-describe('backtester streamer tests', () => {
+describe('BacktesterStreamer', () => {
+    const instrument = new domain_1.Instrument(new domain_1.Asset('btc', 'binance', 8), new domain_1.Asset('usdt', 'binance', 2), 'binance:btc-usdt');
     test('should repeat specific events', done => {
         const feed = new storage_1.Feed(new storage_1.InMemoryStorage());
         const store = new store_1.Store();
-        store.snapshot.universe.instrument[instrument.toString()] = instrument;
-        store.snapshot.subscription.instrument[instrument.toString()] = instrument;
+        store.snapshot.universe.instrument.upsert(instrument);
+        store.snapshot.subscription.instrument.upsert(instrument);
         const streamer = new backtester_streamer_1.BacktesterStreamer(store, feed, {
             from: 0,
             to: 10
         }, {
             onBacktestCompleted: () => {
-                const trade = store.snapshot.trade[instrument.toString()];
+                const trade = store.snapshot.trade.get(instrument.id);
                 expect(trade.timestamp).toEqual(8);
                 expect(trade.rate).toEqual(8);
                 expect(trade.quantity).toEqual(8);
@@ -26,14 +26,14 @@ describe('backtester streamer tests', () => {
         });
         feed
             .save(instrument, [
-            new store_1.CandleEvent(instrument, domain_1.Timeframe.M1, 1, 1, 1, 1, 1, 1),
-            new store_1.CandleEvent(instrument, domain_1.Timeframe.M1, 2, 2, 2, 2, 2, 2),
-            new store_1.CandleEvent(instrument, domain_1.Timeframe.M1, 3, 3, 3, 3, 3, 3),
-            new store_1.CandleEvent(instrument, domain_1.Timeframe.M1, 4, 4, 4, 4, 4, 4),
-            new store_1.CandleEvent(instrument, domain_1.Timeframe.M1, 5, 5, 5, 5, 5, 5),
-            new store_1.CandleEvent(instrument, domain_1.Timeframe.M1, 6, 6, 6, 6, 6, 6),
-            new store_1.CandleEvent(instrument, domain_1.Timeframe.M1, 7, 7, 7, 7, 7, 7),
-            new store_1.CandleEvent(instrument, domain_1.Timeframe.M1, 8, 8, 8, 8, 8, 8)
+            new domain_1.Candle(1, 1, 1, 1, 1, 1),
+            new domain_1.Candle(2, 2, 2, 2, 2, 2),
+            new domain_1.Candle(3, 3, 3, 3, 3, 3),
+            new domain_1.Candle(4, 4, 4, 4, 4, 4),
+            new domain_1.Candle(5, 5, 5, 5, 5, 5),
+            new domain_1.Candle(6, 6, 6, 6, 6, 6),
+            new domain_1.Candle(7, 7, 7, 7, 7, 7),
+            new domain_1.Candle(8, 8, 8, 8, 8, 8)
         ])
             .then(() => {
             streamer.subscribe(instrument);

package/dist/adapter/backtester/backtester-streamer.spec.js.map

@@ -1 +1 @@
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+{"version":3,"file":"backtester-streamer.spec.js","sourceRoot":"","sources":["../../../src/adapter/backtester/backtester-streamer.spec.ts"],"names":[],"mappings":";;AAAA,yCAAyD;AACzD,2CAAsD;AACtD,uCAAoC;AACpC,+DAA2D;AAE3D,QAAQ,CAAC,oBAAoB,EAAE,GAAG,EAAE;IAClC,MAAM,UAAU,GAAG,IAAI,mBAAU,CAC/B,IAAI,cAAK,CAAC,KAAK,EAAE,SAAS,EAAE,CAAC,CAAC,EAC9B,IAAI,cAAK,CAAC,MAAM,EAAE,SAAS,EAAE,CAAC,CAAC,EAC/B,kBAAkB,CACnB,CAAC;IAEF,IAAI,CAAC,+BAA+B,EAAE,IAAI,CAAC,EAAE;QAC3C,MAAM,IAAI,GAAG,IAAI,cAAI,CAAC,IAAI,yBAAe,EAAE,CAAC,CAAC;QAC7C,MAAM,KAAK,GAAG,IAAI,aAAK,EAAE,CAAC;QAE1B,KAAK,CAAC,QAAQ,CAAC,QAAQ,CAAC,UAAU,CAAC,MAAM,CAAC,UAAU,CAAC,CAAC;QACtD,KAAK,CAAC,QAAQ,CAAC,YAAY,CAAC,UAAU,CAAC,MAAM,CAAC,UAAU,CAAC,CAAC;QAE1D,MAAM,QAAQ,GAAG,IAAI,wCAAkB,CACrC,KAAK,EACL,IAAI,EACJ;YACE,IAAI,EAAE,CAAC;YACP,EAAE,EAAE,EAAE;SACP,EACD;YACE,mBAAmB,EAAE,GAAG,EAAE;gBACxB,MAAM,KAAK,GAAG,KAAK,CAAC,QAAQ,CAAC,KAAK,CAAC,GAAG,CAAC,UAAU,CAAC,EAAE,CAAC,CAAC;gBAEtD,MAAM,CAAC,KAAK,CAAC,SAAS,CAAC,CAAC,OAAO,CAAC,CAAC,CAAC,CAAC;gBACnC,MAAM,CAAC,KAAK,CAAC,IAAI,CAAC,CAAC,OAAO,CAAC,CAAC,CAAC,CAAC;gBAC9B,MAAM,CAAC,KAAK,CAAC,QAAQ,CAAC,CAAC,OAAO,CAAC,CAAC,CAAC,CAAC;gBAClC,MAAM,CAAC,KAAK,CAAC,QAAQ,CAAC,SAAS,CAAC,CAAC,OAAO,CAAC,CAAC,CAAC,CAAC;gBAE5C,IAAI,EAAE,CAAC;YACT,CAAC;SACF,CACF,CAAC;QAEF,IAAI;aACD,IAAI,CAAC,UAAU,EAAE;YAChB,IAAI,eAAM,CAAC,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,CAAC;YAC5B,IAAI,eAAM,CAAC,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,CAAC;YAC5B,IAAI,eAAM,CAAC,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,CAAC;YAC5B,IAAI,eAAM,CAAC,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,CAAC;YAC5B,IAAI,eAAM,CAAC,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,CAAC;YAC5B,IAAI,eAAM,CAAC,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,CAAC;YAC5B,IAAI,eAAM,CAAC,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,CAAC;YAC5B,IAAI,eAAM,CAAC,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,CAAC;SAC7B,CAAC;aACD,IAAI,CAAC,GAAG,EAAE;YACT,QAAQ,CAAC,SAAS,CAAC,UAAU,CAAC,CAAC;YAC/B,QAAQ,CAAC,WAAW,EAAE,CAAC;QACzB,CAAC,CAAC,CAAC;IACP,CAAC,CAAC,CAAC;AACL,CAAC,CAAC,CAAC"}

package/dist/adapter/error.d.ts

@@ -0,0 +1,2 @@
+export declare function adapterNotFoundError(adapterName: string): Error;
+export declare function backtestPageNotEmpty(): Error;

package/dist/adapter/error.js

@@ -0,0 +1,12 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.backtestPageNotEmpty = exports.adapterNotFoundError = void 0;
+function adapterNotFoundError(adapterName) {
+    return new Error(`Unknown adapter: ${adapterName}. You should provide adapter in session descriptor.`);
+}
+exports.adapterNotFoundError = adapterNotFoundError;
+function backtestPageNotEmpty() {
+    return new Error('Backtest page is not empty');
+}
+exports.backtestPageNotEmpty = backtestPageNotEmpty;
+//# sourceMappingURL=error.js.map

package/dist/adapter/error.js.map

@@ -0,0 +1 @@
+{"version":3,"file":"error.js","sourceRoot":"","sources":["../../src/adapter/error.ts"],"names":[],"mappings":";;;AAAA,SAAgB,oBAAoB,CAAC,WAAmB;IACtD,OAAO,IAAI,KAAK,CACd,oBAAoB,WAAW,qDAAqD,CACrF,CAAC;AACJ,CAAC;AAJD,oDAIC;AAED,SAAgB,oBAAoB;IAClC,OAAO,IAAI,KAAK,CAAC,4BAA4B,CAAC,CAAC;AACjD,CAAC;AAFD,oDAEC"}

package/dist/adapter/paper/engine/paper-engine.d.ts

@@ -0,0 +1,11 @@
+import { Order } from '../../../domain';
+import { Store } from '../../../store';
+export declare class PaperEngine {
+    private readonly store;
+    constructor(store: Store);
+    open(order: Order): void;
+    cancel(order: Order): void;
+    private onOrderbook;
+    private onTrade;
+    private completeOrder;
+}

package/dist/adapter/paper/engine/paper-engine.js

@@ -0,0 +1,103 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.PaperEngine = void 0;
+const rxjs_1 = require("rxjs");
+const domain_1 = require("../../../domain");
+const store_1 = require("../../../store");
+class PaperEngine {
+    constructor(store) {
+        this.store = store;
+        store.changes$
+            .pipe((0, rxjs_1.tap)(it => {
+            if (it instanceof domain_1.Orderbook) {
+                this.onOrderbook(it);
+            }
+            else if (it instanceof domain_1.Trade) {
+                this.onTrade(it);
+            }
+        }))
+            .subscribe();
+    }
+    open(order) {
+        const { timestamp } = this.store.snapshot;
+        try {
+            this.store.dispatch(new store_1.OrderNewEvent(order, timestamp), new store_1.BalanceLockOrderEvent(order.id, order.instrument, timestamp));
+            this.store.dispatch(new store_1.OrderPendingEvent(order.id, order.instrument, timestamp));
+        }
+        catch (error) {
+            this.store.dispatch(new store_1.BalanceUnlockOrderEvent(order.id, order.instrument, timestamp), new store_1.OrderRejectedEvent(order.id, order.instrument, timestamp));
+        }
+    }
+    cancel(order) {
+        const { timestamp } = this.store.snapshot;
+        this.store.dispatch(new store_1.OrderCancelingEvent(order.id, order.instrument, timestamp));
+        this.store.dispatch(new store_1.BalanceUnlockOrderEvent(order.id, order.instrument, timestamp), new store_1.OrderCanceledEvent(order.id, order.instrument, timestamp));
+    }
+    onOrderbook(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);
+                }
+            }
+        });
+    }
+    onTrade(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);
+            }
+        });
+    }
+    completeOrder(order, averageExecutionRate) {
+        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 store_1.BalanceUnlockOrderEvent(order.id, order.instrument, timestamp), new store_1.OrderFilledEvent(order.id, order.instrument, averageExecutionRate, timestamp), new store_1.BalanceTransactEvent(instrument.base, transacted.base, timestamp), new store_1.BalanceTransactEvent(instrument.quote, transacted.quote, timestamp));
+    }
+}
+exports.PaperEngine = PaperEngine;
+//# sourceMappingURL=paper-engine.js.map

package/dist/adapter/paper/engine/paper-engine.js.map

@@ -0,0 +1 @@
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package/dist/adapter/paper/engine/paper-engine.spec.js

@@ -0,0 +1,54 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+const domain_1 = require("../../../domain");
+const shared_1 = require("../../../shared");
+const store_1 = require("../../../store");
+const paper_engine_1 = require("./paper-engine");
+describe('PaperEngine', () => {
+    const instrument = new domain_1.Instrument(new domain_1.Asset('btc', 'binance', 8), new domain_1.Asset('usdt', 'binance', 2), 'binance:btc-usdt');
+    const commission = (0, domain_1.commissionPercentOf)({
+        maker: 0.1,
+        taker: 0.1
+    });
+    test('should open a new buy market order', () => {
+        const store = new store_1.Store();
+        const engine = new paper_engine_1.PaperEngine(store);
+        const order = domain_1.Order.market(instrument, 1.0);
+        store.dispatch(new store_1.InstrumentPatchEvent((0, shared_1.now)(), instrument.base, instrument.quote, commission, ''), new store_1.BalancePatchEvent(instrument.base, 1, 0, (0, shared_1.now)()), new store_1.BalancePatchEvent(instrument.quote, 1000, 0, (0, shared_1.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_1.Store();
+        const engine = new paper_engine_1.PaperEngine(store);
+        const order = domain_1.Order.market(instrument, -0.6);
+        store.dispatch(new store_1.InstrumentPatchEvent((0, shared_1.now)(), instrument.base, instrument.quote, commission, ''), new store_1.BalancePatchEvent(instrument.base, 1, 0, (0, shared_1.now)()), new store_1.BalancePatchEvent(instrument.quote, 1000, 0, (0, shared_1.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_1.Store();
+        const engine = new paper_engine_1.PaperEngine(store);
+        const order = domain_1.Order.limit(instrument, -0.6, 100);
+        store.dispatch(new store_1.InstrumentPatchEvent((0, shared_1.now)(), instrument.base, instrument.quote, commission, ''), new store_1.BalancePatchEvent(instrument.base, 1, 0, (0, shared_1.now)()), new store_1.BalancePatchEvent(instrument.quote, 1000, 0, (0, shared_1.now)()), new store_1.InstrumentSubscriptionEvent((0, shared_1.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 store_1.OrderbookPatchEvent(instrument, 102, 1, 101, 1, (0, shared_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);
+    });
+});
+//# sourceMappingURL=paper-engine.spec.js.map

package/dist/adapter/paper/engine/paper-engine.spec.js.map

@@ -0,0 +1 @@
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package/dist/adapter/paper/index.d.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/dist/adapter/paper/index.js

@@ -15,6 +15,5 @@ var __exportStar = (this && this.__exportStar) || function(m, exports) {
 };
 Object.defineProperty(exports, "__esModule", { value: true });
 __exportStar(require("./paper-adapter"), exports);
-__exportStar(require("./simulator/paper-margin-simulator"), exports);
-__exportStar(require("./simulator/paper-spot-simulator"), exports);
+__exportStar(require("./engine/paper-engine"), exports);
 //# sourceMappingURL=index.js.map

package/dist/adapter/paper/index.js.map

@@ -1 +1 @@
-{"version":3,"file":"index.js","sourceRoot":"","sources":["../../../src/adapter/paper/index.ts"],"names":[],"mappings":";;;;;;;;;;;;;;;;AAAA,kDAAgC;AAChC,qEAAmD;AACnD,mEAAiD"}
+{"version":3,"file":"index.js","sourceRoot":"","sources":["../../../src/adapter/paper/index.ts"],"names":[],"mappings":";;;;;;;;;;;;;;;;AAAA,kDAAgC;AAChC,wDAAsC"}

package/dist/adapter/paper/paper-adapter.d.ts

@@ -1,22 +1,22 @@
 import { Candle, InstrumentSelector, Order } from '../../domain';
 import { 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 declare function createPaperAdapterFactory(decoratedAdapterFactory: AdapterFactory, options: PaperOptions): AdapterFactory;
 export declare class PaperAdapter extends Adapter {
     readonly decoratedAdapter: Adapter;
     readonly store: Store;
     readonly options: PaperOptions;
     readonly name: string;
-    readonly simulator: PaperSimulator;
+    private engine;
     constructor(decoratedAdapter: Adapter, store: Store, options: PaperOptions);
-    timestamp(): number;
-    awake(context: AdapterContext): Promise<void>;
+    awake(): Promise<void>;
     dispose(): Promise<void>;
     subscribe(instruments: InstrumentSelector[]): Promise<void>;
     account(): Promise<void>;
@@ -24,5 +24,5 @@ export declare class PaperAdapter extends Adapter {
     cancel(order: Order): Promise<void>;
     history(query: HistoryQuery): Promise<Candle[]>;
     feed(query: FeedQuery): Promise<void>;
-    createPaperSimulator(adapter: PaperAdapter): PaperSimulator;
+    createPaperEngine(adapter: PaperAdapter): PaperEngine;
 }

package/dist/adapter/paper/paper-adapter.js

@@ -1,24 +1,26 @@
 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
-exports.PaperAdapter = void 0;
+exports.PaperAdapter = exports.createPaperAdapterFactory = void 0;
 const domain_1 = require("../../domain");
 const store_1 = require("../../store");
 const __1 = require("..");
+function createPaperAdapterFactory(decoratedAdapterFactory, options) {
+    return (timeProvider, store, cache) => new PaperAdapter(decoratedAdapterFactory(timeProvider, store, cache), store, options);
+}
+exports.createPaperAdapterFactory = createPaperAdapterFactory;
 class PaperAdapter extends __1.Adapter {
     constructor(decoratedAdapter, store, options) {
-        super();
+        super({
+            timestamp: () => this.decoratedAdapter.timestamp()
+        });
         this.decoratedAdapter = decoratedAdapter;
         this.store = store;
         this.options = options;
         this.name = this.decoratedAdapter.name;
-        this.simulator = this.createPaperSimulator(this);
-    }
-    timestamp() {
-        return this.decoratedAdapter.timestamp();
     }
-    async awake(context) {
-        await super.awake(context);
-        await this.decoratedAdapter.awake(context);
+    async awake() {
+        this.engine = this.createPaperEngine(this);
+        await this.decoratedAdapter.awake();
     }
     dispose() {
         return this.decoratedAdapter.dispose();
@@ -27,25 +29,25 @@ class PaperAdapter extends __1.Adapter {
         return this.decoratedAdapter.subscribe(instruments);
     }
     async account() {
-        let subscribed = Object.values(this.store.snapshot.subscription.asset).filter(it => it.adapter == this.name);
+        let subscribed = Object.values(this.store.snapshot.subscription.asset).filter(it => it.adapterName == this.name);
         for (const balance in this.options.balance) {
             const asset = (0, domain_1.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());
-            this.store.dispatch(new store_1.BalancePatchEvent(asset, free, 0, this.context.timestamp));
+            subscribed = subscribed.filter(it => it.id != asset.id);
+            this.store.dispatch(new store_1.BalancePatchEvent(asset, free, 0, this.timestamp()));
         }
         for (const missingAsset of subscribed) {
-            this.store.dispatch(new store_1.BalancePatchEvent(missingAsset, 0, 0, this.context.timestamp));
+            this.store.dispatch(new store_1.BalancePatchEvent(missingAsset, 0, 0, this.timestamp()));
         }
     }
     async open(order) {
-        this.simulator.open(order);
+        this.engine.open(order);
     }
     async cancel(order) {
-        this.simulator.cancel(order);
+        this.engine.cancel(order);
     }
     history(query) {
         return this.decoratedAdapter.history(query);
@@ -53,8 +55,8 @@ class PaperAdapter extends __1.Adapter {
     feed(query) {
         return this.decoratedAdapter.feed(query);
     }
-    createPaperSimulator(adapter) {
-        return this.decoratedAdapter.createPaperSimulator(adapter);
+    createPaperEngine(adapter) {
+        return this.decoratedAdapter.createPaperEngine(adapter);
     }
 }
 exports.PaperAdapter = PaperAdapter;

package/dist/adapter/paper/paper-adapter.js.map

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