@quantform/core 0.5.15 → 0.5.23

package/dist/indicator/trailing.js

@@ -1,7 +1,8 @@
 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
-exports.trailingdown = exports.trailingup = exports.Trailing = void 0;
+exports.trailingDown = exports.trailingUp = exports.Trailing = void 0;
 const rxjs_1 = require("rxjs");
+const shared_1 = require("../shared");
 class Trailing {
     constructor(trigger, buffer) {
         this.trigger = trigger;
@@ -11,7 +12,7 @@ class Trailing {
         this.min = null;
     }
     up(value) {
-        if (value >= this.trigger) {
+        if (value.greaterThanOrEqualTo(this.trigger)) {
             this.triggered = true;
         }
         if (this.triggered) {
@@ -19,10 +20,10 @@ class Trailing {
                 this.max = value;
             }
             else {
-                this.max = Math.max(this.max, value);
+                this.max = shared_1.decimal.max(this.max, value);
             }
         }
-        if (this.triggered && value <= this.max - this.buffer) {
+        if (this.triggered && value.lessThanOrEqualTo(this.max.minus(this.buffer))) {
             this.triggered = false;
             this.max = null;
             return true;
@@ -30,7 +31,7 @@ class Trailing {
         return false;
     }
     down(value) {
-        if (value <= this.trigger) {
+        if (value.lessThanOrEqualTo(this.trigger)) {
             this.triggered = true;
         }
         if (this.triggered) {
@@ -38,10 +39,10 @@ class Trailing {
                 this.min = value;
             }
             else {
-                this.min = Math.min(this.min, value);
+                this.min = shared_1.decimal.min(this.min, value);
             }
         }
-        if (this.triggered && value >= this.min + this.buffer) {
+        if (this.triggered && value.greaterThanOrEqualTo(this.min.plus(this.buffer))) {
             this.triggered = false;
             this.min = null;
             return true;
@@ -50,18 +51,18 @@ class Trailing {
     }
 }
 exports.Trailing = Trailing;
-function trailingup(trigger, buffer, value) {
+function trailingUp(trigger, buffer, value) {
     return function (source) {
         const trailing = new Trailing(trigger, buffer);
         return source.pipe((0, rxjs_1.filter)(it => trailing.up(value(it))));
     };
 }
-exports.trailingup = trailingup;
-function trailingdown(trigger, buffer, value) {
+exports.trailingUp = trailingUp;
+function trailingDown(trigger, buffer, value) {
     return function (source) {
         const trailing = new Trailing(trigger, buffer);
         return source.pipe((0, rxjs_1.filter)(it => trailing.down(value(it))));
     };
 }
-exports.trailingdown = trailingdown;
+exports.trailingDown = trailingDown;
 //# sourceMappingURL=trailing.js.map

package/dist/indicator/trailing.js.map

@@ -1 +1 @@
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+{"version":3,"file":"trailing.js","sourceRoot":"","sources":["../../src/indicator/trailing.ts"],"names":[],"mappings":";;;AAAA,+BAA0C;AAE1C,sCAAuC;AAEvC,MAAa,QAAQ;IAKnB,YAAqB,OAAgB,EAAW,MAAe;QAA1C,YAAO,GAAP,OAAO,CAAS;QAAW,WAAM,GAAN,MAAM,CAAS;QAJvD,cAAS,GAAG,KAAK,CAAC;QAClB,QAAG,GAAY,IAAI,CAAC;QACpB,QAAG,GAAY,IAAI,CAAC;IAEsC,CAAC;IAEnE,EAAE,CAAC,KAAc;QACf,IAAI,KAAK,CAAC,oBAAoB,CAAC,IAAI,CAAC,OAAO,CAAC,EAAE;YAC5C,IAAI,CAAC,SAAS,GAAG,IAAI,CAAC;SACvB;QAED,IAAI,IAAI,CAAC,SAAS,EAAE;YAClB,IAAI,CAAC,IAAI,CAAC,GAAG,EAAE;gBACb,IAAI,CAAC,GAAG,GAAG,KAAK,CAAC;aAClB;iBAAM;gBACL,IAAI,CAAC,GAAG,GAAG,gBAAO,CAAC,GAAG,CAAC,IAAI,CAAC,GAAG,EAAE,KAAK,CAAC,CAAC;aACzC;SACF;QAED,IAAI,IAAI,CAAC,SAAS,IAAI,KAAK,CAAC,iBAAiB,CAAC,IAAI,CAAC,GAAG,CAAC,KAAK,CAAC,IAAI,CAAC,MAAM,CAAC,CAAC,EAAE;YAC1E,IAAI,CAAC,SAAS,GAAG,KAAK,CAAC;YACvB,IAAI,CAAC,GAAG,GAAG,IAAI,CAAC;YAEhB,OAAO,IAAI,CAAC;SACb;QAED,OAAO,KAAK,CAAC;IACf,CAAC;IAED,IAAI,CAAC,KAAc;QACjB,IAAI,KAAK,CAAC,iBAAiB,CAAC,IAAI,CAAC,OAAO,CAAC,EAAE;YACzC,IAAI,CAAC,SAAS,GAAG,IAAI,CAAC;SACvB;QAED,IAAI,IAAI,CAAC,SAAS,EAAE;YAClB,IAAI,CAAC,IAAI,CAAC,GAAG,EAAE;gBACb,IAAI,CAAC,GAAG,GAAG,KAAK,CAAC;aAClB;iBAAM;gBACL,IAAI,CAAC,GAAG,GAAG,gBAAO,CAAC,GAAG,CAAC,IAAI,CAAC,GAAG,EAAE,KAAK,CAAC,CAAC;aACzC;SACF;QAED,IAAI,IAAI,CAAC,SAAS,IAAI,KAAK,CAAC,oBAAoB,CAAC,IAAI,CAAC,GAAG,CAAC,IAAI,CAAC,IAAI,CAAC,MAAM,CAAC,CAAC,EAAE;YAC5E,IAAI,CAAC,SAAS,GAAG,KAAK,CAAC;YACvB,IAAI,CAAC,GAAG,GAAG,IAAI,CAAC;YAEhB,OAAO,IAAI,CAAC;SACb;QAED,OAAO,KAAK,CAAC;IACf,CAAC;CACF;AApDD,4BAoDC;AAED,SAAgB,UAAU,CACxB,OAAgB,EAChB,MAAe,EACf,KAAyB;IAEzB,OAAO,UAAU,MAAqB;QACpC,MAAM,QAAQ,GAAG,IAAI,QAAQ,CAAC,OAAO,EAAE,MAAM,CAAC,CAAC;QAE/C,OAAO,MAAM,CAAC,IAAI,CAAC,IAAA,aAAM,EAAC,EAAE,CAAC,EAAE,CAAC,QAAQ,CAAC,EAAE,CAAC,KAAK,CAAC,EAAE,CAAC,CAAC,CAAC,CAAC,CAAC;IAC3D,CAAC,CAAC;AACJ,CAAC;AAVD,gCAUC;AAED,SAAgB,YAAY,CAC1B,OAAgB,EAChB,MAAe,EACf,KAAyB;IAEzB,OAAO,UAAU,MAAqB;QACpC,MAAM,QAAQ,GAAG,IAAI,QAAQ,CAAC,OAAO,EAAE,MAAM,CAAC,CAAC;QAE/C,OAAO,MAAM,CAAC,IAAI,CAAC,IAAA,aAAM,EAAC,EAAE,CAAC,EAAE,CAAC,QAAQ,CAAC,IAAI,CAAC,KAAK,CAAC,EAAE,CAAC,CAAC,CAAC,CAAC,CAAC;IAC7D,CAAC,CAAC;AACJ,CAAC;AAVD,oCAUC"}

package/dist/indicator/trailing.spec.js

@@ -1,19 +1,20 @@
 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
 const rxjs_1 = require("rxjs");
+const shared_1 = require("../shared");
 const trailing_1 = require("./trailing");
-describe('trailingup', () => {
+describe('trailingUp', () => {
     test('should trigger uptrend once', done => {
         let triggered = false;
         (0, rxjs_1.from)([1, 2, 3, 2, 3])
-            .pipe((0, trailing_1.trailingup)(3, 1, it => it))
+            .pipe((0, rxjs_1.map)(it => (0, shared_1.d)(it)), (0, trailing_1.trailingUp)((0, shared_1.d)(3), (0, shared_1.d)(1), it => it))
             .subscribe({
             next: it => {
-                expect(it).toBe(2);
+                expect(it).toEqual((0, shared_1.d)(2));
                 triggered = true;
             },
             complete: () => {
-                expect(triggered).toBe(true);
+                expect(triggered).toEqual(true);
                 done();
             }
         });
@@ -21,31 +22,31 @@ describe('trailingup', () => {
     test('should trigger uptrend twice', done => {
         let triggered = 0;
         (0, rxjs_1.from)([1, 2, 3, 2, 3, 2, 3])
-            .pipe((0, trailing_1.trailingup)(3, 1, it => it))
+            .pipe((0, rxjs_1.map)(it => (0, shared_1.d)(it)), (0, trailing_1.trailingUp)((0, shared_1.d)(3), (0, shared_1.d)(1), it => it))
             .subscribe({
             next: it => {
-                expect(it).toBe(2);
+                expect((0, shared_1.d)(it)).toEqual((0, shared_1.d)(2));
                 triggered++;
             },
             complete: () => {
-                expect(triggered).toBe(2);
+                expect(triggered).toEqual(2);
                 done();
             }
         });
     });
 });
-describe('trailingdown', () => {
+describe('trailingDown', () => {
     test('should trigger downtrend once', done => {
         let triggered = false;
         (0, rxjs_1.from)([3, 2, 1, 2, 1])
-            .pipe((0, trailing_1.trailingdown)(3, 1, it => it))
+            .pipe((0, rxjs_1.map)(it => (0, shared_1.d)(it)), (0, trailing_1.trailingDown)((0, shared_1.d)(3), (0, shared_1.d)(1), it => it))
             .subscribe({
             next: it => {
-                expect(it).toBe(2);
+                expect(it).toEqual((0, shared_1.d)(2));
                 triggered = true;
             },
             complete: () => {
-                expect(triggered).toBe(true);
+                expect(triggered).toEqual(true);
                 done();
             }
         });
@@ -53,14 +54,14 @@ describe('trailingdown', () => {
     test('should trigger downtrend twice', done => {
         let triggered = 0;
         (0, rxjs_1.from)([3, 2, 1, 2, 1, 2, 1])
-            .pipe((0, trailing_1.trailingdown)(3, 1, it => it))
+            .pipe((0, rxjs_1.map)(it => (0, shared_1.d)(it)), (0, trailing_1.trailingDown)((0, shared_1.d)(3), (0, shared_1.d)(1), it => it))
             .subscribe({
             next: it => {
-                expect(it).toBe(2);
+                expect(it).toEqual((0, shared_1.d)(2));
                 triggered++;
             },
             complete: () => {
-                expect(triggered).toBe(2);
+                expect(triggered).toEqual(2);
                 done();
             }
         });

package/dist/indicator/trailing.spec.js.map

@@ -1 +1 @@
-{"version":3,"file":"trailing.spec.js","sourceRoot":"","sources":["../../src/indicator/trailing.spec.ts"],"names":[],"mappings":";;AAAA,+BAA4B;AAE5B,yCAAsD;AAEtD,QAAQ,CAAC,YAAY,EAAE,GAAG,EAAE;IAC1B,IAAI,CAAC,6BAA6B,EAAE,IAAI,CAAC,EAAE;QACzC,IAAI,SAAS,GAAG,KAAK,CAAC;QAEtB,IAAA,WAAI,EAAC,CAAC,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,CAAC,CAAC;aAClB,IAAI,CAAC,IAAA,qBAAU,EAAC,CAAC,EAAE,CAAC,EAAE,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,CAAC;aAChC,SAAS,CAAC;YACT,IAAI,EAAE,EAAE,CAAC,EAAE;gBACT,MAAM,CAAC,EAAE,CAAC,CAAC,IAAI,CAAC,CAAC,CAAC,CAAC;gBACnB,SAAS,GAAG,IAAI,CAAC;YACnB,CAAC;YACD,QAAQ,EAAE,GAAG,EAAE;gBACb,MAAM,CAAC,SAAS,CAAC,CAAC,IAAI,CAAC,IAAI,CAAC,CAAC;gBAC7B,IAAI,EAAE,CAAC;YACT,CAAC;SACF,CAAC,CAAC;IACP,CAAC,CAAC,CAAC;IAEH,IAAI,CAAC,8BAA8B,EAAE,IAAI,CAAC,EAAE;QAC1C,IAAI,SAAS,GAAG,CAAC,CAAC;QAElB,IAAA,WAAI,EAAC,CAAC,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,CAAC,CAAC;aACxB,IAAI,CAAC,IAAA,qBAAU,EAAC,CAAC,EAAE,CAAC,EAAE,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,CAAC;aAChC,SAAS,CAAC;YACT,IAAI,EAAE,EAAE,CAAC,EAAE;gBACT,MAAM,CAAC,EAAE,CAAC,CAAC,IAAI,CAAC,CAAC,CAAC,CAAC;gBACnB,SAAS,EAAE,CAAC;YACd,CAAC;YACD,QAAQ,EAAE,GAAG,EAAE;gBACb,MAAM,CAAC,SAAS,CAAC,CAAC,IAAI,CAAC,CAAC,CAAC,CAAC;gBAC1B,IAAI,EAAE,CAAC;YACT,CAAC;SACF,CAAC,CAAC;IACP,CAAC,CAAC,CAAC;AACL,CAAC,CAAC,CAAC;AAEH,QAAQ,CAAC,cAAc,EAAE,GAAG,EAAE;IAC5B,IAAI,CAAC,+BAA+B,EAAE,IAAI,CAAC,EAAE;QAC3C,IAAI,SAAS,GAAG,KAAK,CAAC;QAEtB,IAAA,WAAI,EAAC,CAAC,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,CAAC,CAAC;aAClB,IAAI,CAAC,IAAA,uBAAY,EAAC,CAAC,EAAE,CAAC,EAAE,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,CAAC;aAClC,SAAS,CAAC;YACT,IAAI,EAAE,EAAE,CAAC,EAAE;gBACT,MAAM,CAAC,EAAE,CAAC,CAAC,IAAI,CAAC,CAAC,CAAC,CAAC;gBACnB,SAAS,GAAG,IAAI,CAAC;YACnB,CAAC;YACD,QAAQ,EAAE,GAAG,EAAE;gBACb,MAAM,CAAC,SAAS,CAAC,CAAC,IAAI,CAAC,IAAI,CAAC,CAAC;gBAC7B,IAAI,EAAE,CAAC;YACT,CAAC;SACF,CAAC,CAAC;IACP,CAAC,CAAC,CAAC;IAEH,IAAI,CAAC,gCAAgC,EAAE,IAAI,CAAC,EAAE;QAC5C,IAAI,SAAS,GAAG,CAAC,CAAC;QAElB,IAAA,WAAI,EAAC,CAAC,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,CAAC,CAAC;aACxB,IAAI,CAAC,IAAA,uBAAY,EAAC,CAAC,EAAE,CAAC,EAAE,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,CAAC;aAClC,SAAS,CAAC;YACT,IAAI,EAAE,EAAE,CAAC,EAAE;gBACT,MAAM,CAAC,EAAE,CAAC,CAAC,IAAI,CAAC,CAAC,CAAC,CAAC;gBACnB,SAAS,EAAE,CAAC;YACd,CAAC;YACD,QAAQ,EAAE,GAAG,EAAE;gBACb,MAAM,CAAC,SAAS,CAAC,CAAC,IAAI,CAAC,CAAC,CAAC,CAAC;gBAC1B,IAAI,EAAE,CAAC;YACT,CAAC;SACF,CAAC,CAAC;IACP,CAAC,CAAC,CAAC;AACL,CAAC,CAAC,CAAC"}
+{"version":3,"file":"trailing.spec.js","sourceRoot":"","sources":["../../src/indicator/trailing.spec.ts"],"names":[],"mappings":";;AAAA,+BAAiC;AAEjC,sCAA8B;AAC9B,yCAAsD;AAEtD,QAAQ,CAAC,YAAY,EAAE,GAAG,EAAE;IAC1B,IAAI,CAAC,6BAA6B,EAAE,IAAI,CAAC,EAAE;QACzC,IAAI,SAAS,GAAG,KAAK,CAAC;QAEtB,IAAA,WAAI,EAAC,CAAC,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,CAAC,CAAC;aAClB,IAAI,CACH,IAAA,UAAG,EAAC,EAAE,CAAC,EAAE,CAAC,IAAA,UAAC,EAAC,EAAE,CAAC,CAAC,EAChB,IAAA,qBAAU,EAAC,IAAA,UAAC,EAAC,CAAC,CAAC,EAAE,IAAA,UAAC,EAAC,CAAC,CAAC,EAAE,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,CACjC;aACA,SAAS,CAAC;YACT,IAAI,EAAE,EAAE,CAAC,EAAE;gBACT,MAAM,CAAC,EAAE,CAAC,CAAC,OAAO,CAAC,IAAA,UAAC,EAAC,CAAC,CAAC,CAAC,CAAC;gBACzB,SAAS,GAAG,IAAI,CAAC;YACnB,CAAC;YACD,QAAQ,EAAE,GAAG,EAAE;gBACb,MAAM,CAAC,SAAS,CAAC,CAAC,OAAO,CAAC,IAAI,CAAC,CAAC;gBAChC,IAAI,EAAE,CAAC;YACT,CAAC;SACF,CAAC,CAAC;IACP,CAAC,CAAC,CAAC;IAEH,IAAI,CAAC,8BAA8B,EAAE,IAAI,CAAC,EAAE;QAC1C,IAAI,SAAS,GAAG,CAAC,CAAC;QAElB,IAAA,WAAI,EAAC,CAAC,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,CAAC,CAAC;aACxB,IAAI,CACH,IAAA,UAAG,EAAC,EAAE,CAAC,EAAE,CAAC,IAAA,UAAC,EAAC,EAAE,CAAC,CAAC,EAChB,IAAA,qBAAU,EAAC,IAAA,UAAC,EAAC,CAAC,CAAC,EAAE,IAAA,UAAC,EAAC,CAAC,CAAC,EAAE,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,CACjC;aACA,SAAS,CAAC;YACT,IAAI,EAAE,EAAE,CAAC,EAAE;gBACT,MAAM,CAAC,IAAA,UAAC,EAAC,EAAE,CAAC,CAAC,CAAC,OAAO,CAAC,IAAA,UAAC,EAAC,CAAC,CAAC,CAAC,CAAC;gBAC5B,SAAS,EAAE,CAAC;YACd,CAAC;YACD,QAAQ,EAAE,GAAG,EAAE;gBACb,MAAM,CAAC,SAAS,CAAC,CAAC,OAAO,CAAC,CAAC,CAAC,CAAC;gBAC7B,IAAI,EAAE,CAAC;YACT,CAAC;SACF,CAAC,CAAC;IACP,CAAC,CAAC,CAAC;AACL,CAAC,CAAC,CAAC;AAEH,QAAQ,CAAC,cAAc,EAAE,GAAG,EAAE;IAC5B,IAAI,CAAC,+BAA+B,EAAE,IAAI,CAAC,EAAE;QAC3C,IAAI,SAAS,GAAG,KAAK,CAAC;QAEtB,IAAA,WAAI,EAAC,CAAC,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,CAAC,CAAC;aAClB,IAAI,CACH,IAAA,UAAG,EAAC,EAAE,CAAC,EAAE,CAAC,IAAA,UAAC,EAAC,EAAE,CAAC,CAAC,EAChB,IAAA,uBAAY,EAAC,IAAA,UAAC,EAAC,CAAC,CAAC,EAAE,IAAA,UAAC,EAAC,CAAC,CAAC,EAAE,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,CACnC;aACA,SAAS,CAAC;YACT,IAAI,EAAE,EAAE,CAAC,EAAE;gBACT,MAAM,CAAC,EAAE,CAAC,CAAC,OAAO,CAAC,IAAA,UAAC,EAAC,CAAC,CAAC,CAAC,CAAC;gBACzB,SAAS,GAAG,IAAI,CAAC;YACnB,CAAC;YACD,QAAQ,EAAE,GAAG,EAAE;gBACb,MAAM,CAAC,SAAS,CAAC,CAAC,OAAO,CAAC,IAAI,CAAC,CAAC;gBAChC,IAAI,EAAE,CAAC;YACT,CAAC;SACF,CAAC,CAAC;IACP,CAAC,CAAC,CAAC;IAEH,IAAI,CAAC,gCAAgC,EAAE,IAAI,CAAC,EAAE;QAC5C,IAAI,SAAS,GAAG,CAAC,CAAC;QAElB,IAAA,WAAI,EAAC,CAAC,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,CAAC,CAAC;aACxB,IAAI,CACH,IAAA,UAAG,EAAC,EAAE,CAAC,EAAE,CAAC,IAAA,UAAC,EAAC,EAAE,CAAC,CAAC,EAChB,IAAA,uBAAY,EAAC,IAAA,UAAC,EAAC,CAAC,CAAC,EAAE,IAAA,UAAC,EAAC,CAAC,CAAC,EAAE,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,CACnC;aACA,SAAS,CAAC;YACT,IAAI,EAAE,EAAE,CAAC,EAAE;gBACT,MAAM,CAAC,EAAE,CAAC,CAAC,OAAO,CAAC,IAAA,UAAC,EAAC,CAAC,CAAC,CAAC,CAAC;gBACzB,SAAS,EAAE,CAAC;YACd,CAAC;YACD,QAAQ,EAAE,GAAG,EAAE;gBACb,MAAM,CAAC,SAAS,CAAC,CAAC,OAAO,CAAC,CAAC,CAAC,CAAC;gBAC7B,IAAI,EAAE,CAAC;YACT,CAAC;SACF,CAAC,CAAC;IACP,CAAC,CAAC,CAAC;AACL,CAAC,CAAC,CAAC"}

package/dist/indicator/true-range.d.ts

@@ -0,0 +1,4 @@
+import { Observable } from 'rxjs';
+import { Candle } from '../domain';
+import { decimal } from '../shared';
+export declare function trueRange<T>(fn: (it: T) => Candle): (source: Observable<T>) => Observable<[T, decimal]>;

package/dist/indicator/true-range.js

@@ -0,0 +1,20 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.trueRange = void 0;
+const rxjs_1 = require("rxjs");
+const shared_1 = require("../shared");
+function trueRange(fn) {
+    return function (source) {
+        let previous;
+        return source.pipe((0, rxjs_1.map)(it => {
+            const current = fn(it);
+            const value = previous == null
+                ? current.high.minus(current.low)
+                : shared_1.decimal.max(shared_1.decimal.max(current.high.minus(current.low), shared_1.decimal.abs(current.high.minus(previous.close))), shared_1.decimal.abs(current.low.minus(previous.close)));
+            const tuple = [it, value];
+            return tuple;
+        }), (0, rxjs_1.share)());
+    };
+}
+exports.trueRange = trueRange;
+//# sourceMappingURL=true-range.js.map

package/dist/indicator/true-range.js.map

@@ -0,0 +1 @@
+{"version":3,"file":"true-range.js","sourceRoot":"","sources":["../../src/indicator/true-range.ts"],"names":[],"mappings":";;;AAAA,+BAA8C;AAG9C,sCAAoC;AAEpC,SAAgB,SAAS,CAAI,EAAqB;IAChD,OAAO,UAAU,MAAqB;QACpC,IAAI,QAAQ,CAAC;QAEb,OAAO,MAAM,CAAC,IAAI,CAChB,IAAA,UAAG,EAAC,EAAE,CAAC,EAAE;YACP,MAAM,OAAO,GAAG,EAAE,CAAC,EAAE,CAAC,CAAC;YAEvB,MAAM,KAAK,GACT,QAAQ,IAAI,IAAI;gBACd,CAAC,CAAC,OAAO,CAAC,IAAI,CAAC,KAAK,CAAC,OAAO,CAAC,GAAG,CAAC;gBACjC,CAAC,CAAC,gBAAO,CAAC,GAAG,CACT,gBAAO,CAAC,GAAG,CACT,OAAO,CAAC,IAAI,CAAC,KAAK,CAAC,OAAO,CAAC,GAAG,CAAC,EAC/B,gBAAO,CAAC,GAAG,CAAC,OAAO,CAAC,IAAI,CAAC,KAAK,CAAC,QAAQ,CAAC,KAAK,CAAC,CAAC,CAChD,EACD,gBAAO,CAAC,GAAG,CAAC,OAAO,CAAC,GAAG,CAAC,KAAK,CAAC,QAAQ,CAAC,KAAK,CAAC,CAAC,CAC/C,CAAC;YAER,MAAM,KAAK,GAAiB,CAAC,EAAE,EAAE,KAAK,CAAC,CAAC;YAExC,OAAO,KAAK,CAAC;QACf,CAAC,CAAC,EACF,IAAA,YAAK,GAAE,CACR,CAAC;IACJ,CAAC,CAAC;AACJ,CAAC;AA1BD,8BA0BC"}

package/dist/indicator/true-range.spec.js

@@ -0,0 +1,28 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+const rxjs_1 = require("rxjs");
+const domain_1 = require("../domain");
+const shared_1 = require("../shared");
+const sma_1 = require("./sma");
+const true_range_1 = require("./true-range");
+describe('trueRange', () => {
+    test('should return expected value', done => {
+        let value;
+        (0, rxjs_1.from)([
+            new domain_1.Candle((0, shared_1.now)(), (0, shared_1.d)(18127.81), (0, shared_1.d)(18149.75), (0, shared_1.d)(18100.0), (0, shared_1.d)(18136.17)),
+            new domain_1.Candle((0, shared_1.now)(), (0, shared_1.d)(18136.17), (0, shared_1.d)(18136.18), (0, shared_1.d)(18089.75), (0, shared_1.d)(18092.15)),
+            new domain_1.Candle((0, shared_1.now)(), (0, shared_1.d)(18092.15), (0, shared_1.d)(18120.03), (0, shared_1.d)(18081.0), (0, shared_1.d)(18082.39)),
+            new domain_1.Candle((0, shared_1.now)(), (0, shared_1.d)(18082.39), (0, shared_1.d)(18087.04), (0, shared_1.d)(18041.0), (0, shared_1.d)(18065.4)),
+            new domain_1.Candle((0, shared_1.now)(), (0, shared_1.d)(18066.11), (0, shared_1.d)(18079.15), (0, shared_1.d)(18041.0), (0, shared_1.d)(18046.47))
+        ])
+            .pipe((0, true_range_1.trueRange)(it => it), (0, sma_1.sma)(4, ([, it]) => it))
+            .subscribe({
+            next: ([, it]) => (value = it),
+            complete: () => {
+                expect(value.toDecimalPlaces(2)).toEqual((0, shared_1.d)(42.41));
+                done();
+            }
+        });
+    });
+});
+//# sourceMappingURL=true-range.spec.js.map

package/dist/indicator/true-range.spec.js.map

@@ -0,0 +1 @@
+{"version":3,"file":"true-range.spec.js","sourceRoot":"","sources":["../../src/indicator/true-range.spec.ts"],"names":[],"mappings":";;AAAA,+BAA4B;AAE5B,sCAAmC;AACnC,sCAA4C;AAC5C,+BAA4B;AAC5B,6CAAyC;AAEzC,QAAQ,CAAC,WAAW,EAAE,GAAG,EAAE;IACzB,IAAI,CAAC,8BAA8B,EAAE,IAAI,CAAC,EAAE;QAC1C,IAAI,KAAc,CAAC;QAGnB,IAAA,WAAI,EAAC;YACH,IAAI,eAAM,CAAC,IAAA,YAAG,GAAE,EAAE,IAAA,UAAC,EAAC,QAAQ,CAAC,EAAE,IAAA,UAAC,EAAC,QAAQ,CAAC,EAAE,IAAA,UAAC,EAAC,OAAO,CAAC,EAAE,IAAA,UAAC,EAAC,QAAQ,CAAC,CAAC;YACpE,IAAI,eAAM,CAAC,IAAA,YAAG,GAAE,EAAE,IAAA,UAAC,EAAC,QAAQ,CAAC,EAAE,IAAA,UAAC,EAAC,QAAQ,CAAC,EAAE,IAAA,UAAC,EAAC,QAAQ,CAAC,EAAE,IAAA,UAAC,EAAC,QAAQ,CAAC,CAAC;YACrE,IAAI,eAAM,CAAC,IAAA,YAAG,GAAE,EAAE,IAAA,UAAC,EAAC,QAAQ,CAAC,EAAE,IAAA,UAAC,EAAC,QAAQ,CAAC,EAAE,IAAA,UAAC,EAAC,OAAO,CAAC,EAAE,IAAA,UAAC,EAAC,QAAQ,CAAC,CAAC;YACpE,IAAI,eAAM,CAAC,IAAA,YAAG,GAAE,EAAE,IAAA,UAAC,EAAC,QAAQ,CAAC,EAAE,IAAA,UAAC,EAAC,QAAQ,CAAC,EAAE,IAAA,UAAC,EAAC,OAAO,CAAC,EAAE,IAAA,UAAC,EAAC,OAAO,CAAC,CAAC;YACnE,IAAI,eAAM,CAAC,IAAA,YAAG,GAAE,EAAE,IAAA,UAAC,EAAC,QAAQ,CAAC,EAAE,IAAA,UAAC,EAAC,QAAQ,CAAC,EAAE,IAAA,UAAC,EAAC,OAAO,CAAC,EAAE,IAAA,UAAC,EAAC,QAAQ,CAAC,CAAC;SACrE,CAAC;aACC,IAAI,CACH,IAAA,sBAAS,EAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,EACnB,IAAA,SAAG,EAAC,CAAC,EAAE,CAAC,CAAC,EAAE,EAAE,CAAC,EAAE,EAAE,CAAC,EAAE,CAAC,CACvB;aACA,SAAS,CAAC;YACT,IAAI,EAAE,CAAC,CAAC,EAAE,EAAE,CAAC,EAAE,EAAE,CAAC,CAAC,KAAK,GAAG,EAAE,CAAC;YAC9B,QAAQ,EAAE,GAAG,EAAE;gBACb,MAAM,CAAC,KAAK,CAAC,eAAe,CAAC,CAAC,CAAC,CAAC,CAAC,OAAO,CAAC,IAAA,UAAC,EAAC,KAAK,CAAC,CAAC,CAAC;gBACnD,IAAI,EAAE,CAAC;YACT,CAAC;SACF,CAAC,CAAC;IACP,CAAC,CAAC,CAAC;AACL,CAAC,CAAC,CAAC"}

package/dist/indicator/window.d.ts

@@ -1,3 +1,3 @@
 import { Observable } from 'rxjs';
 import { RingBuffer } from './ring-buffer';
-export declare function window<T, Y>(length: number, fn: (value: T) => Y): (source: Observable<T>) => Observable<[T, RingBuffer<Y>, Y, Y]>;
+export declare function window<T, Y>(length: number, fn: (value: T) => Y): (source: Observable<T>) => Observable<[T, RingBuffer<Y>, Y, Y?]>;

package/dist/indicator/window.js

@@ -7,7 +7,7 @@ function window(length, fn) {
     return function (source) {
         const buffer = new ring_buffer_1.RingBuffer(length);
         return source.pipe((0, rxjs_1.map)(it => {
-            let removed = null;
+            let removed = undefined;
             if (buffer.isFull) {
                 removed = buffer.peek();
             }

package/dist/indicator/window.js.map

@@ -1 +1 @@
-{"version":3,"file":"window.js","sourceRoot":"","sources":["../../src/indicator/window.ts"],"names":[],"mappings":";;;AAAA,+BAA8C;AAE9C,+CAA2C;AAE3C,SAAgB,MAAM,CAAO,MAAc,EAAE,EAAmB;IAC9D,OAAO,UAAU,MAAqB;QACpC,MAAM,MAAM,GAAG,IAAI,wBAAU,CAAI,MAAM,CAAC,CAAC;QAEzC,OAAO,MAAM,CAAC,IAAI,CAChB,IAAA,UAAG,EAAC,EAAE,CAAC,EAAE;YACP,IAAI,OAAO,GAAG,IAAI,CAAC;YAEnB,IAAI,MAAM,CAAC,MAAM,EAAE;gBACjB,OAAO,GAAG,MAAM,CAAC,IAAI,EAAE,CAAC;aACzB;YAED,MAAM,KAAK,GAAG,EAAE,CAAC,EAAE,CAAC,CAAC;YAErB,MAAM,CAAC,OAAO,CAAC,KAAK,CAAC,CAAC;YAEtB,MAAM,KAAK,GAA6B,CAAC,EAAE,EAAE,MAAM,EAAE,KAAK,EAAE,OAAO,CAAC,CAAC;YAErE,OAAO,KAAK,CAAC;QACf,CAAC,CAAC,EACF,IAAA,YAAK,GAAE,CACR,CAAC;IACJ,CAAC,CAAC;AACJ,CAAC;AAvBD,wBAuBC"}
+{"version":3,"file":"window.js","sourceRoot":"","sources":["../../src/indicator/window.ts"],"names":[],"mappings":";;;AAAA,+BAA8C;AAE9C,+CAA2C;AAE3C,SAAgB,MAAM,CAAO,MAAc,EAAE,EAAmB;IAC9D,OAAO,UAAU,MAAqB;QACpC,MAAM,MAAM,GAAG,IAAI,wBAAU,CAAI,MAAM,CAAC,CAAC;QAEzC,OAAO,MAAM,CAAC,IAAI,CAChB,IAAA,UAAG,EAAC,EAAE,CAAC,EAAE;YACP,IAAI,OAAO,GAAG,SAAS,CAAC;YAExB,IAAI,MAAM,CAAC,MAAM,EAAE;gBACjB,OAAO,GAAG,MAAM,CAAC,IAAI,EAAE,CAAC;aACzB;YAED,MAAM,KAAK,GAAG,EAAE,CAAC,EAAE,CAAC,CAAC;YAErB,MAAM,CAAC,OAAO,CAAC,KAAK,CAAC,CAAC;YAEtB,MAAM,KAAK,GAA8B,CAAC,EAAE,EAAE,MAAM,EAAE,KAAK,EAAE,OAAO,CAAC,CAAC;YAEtE,OAAO,KAAK,CAAC;QACf,CAAC,CAAC,EACF,IAAA,YAAK,GAAE,CACR,CAAC;IACJ,CAAC,CAAC;AACJ,CAAC;AAvBD,wBAuBC"}

package/dist/indicator/wma.d.ts

@@ -1,2 +1,3 @@
 import { Observable } from 'rxjs';
-export declare function wma<T>(length: number, fn: (it: T) => number): (source: Observable<T>) => Observable<[T, number]>;
+import { decimal } from '../shared';
+export declare function wma<T>(length: number, fn: (it: T) => decimal): (source: Observable<T>) => Observable<[T, decimal]>;

package/dist/indicator/wma.js

@@ -2,18 +2,19 @@
 Object.defineProperty(exports, "__esModule", { value: true });
 exports.wma = void 0;
 const rxjs_1 = require("rxjs");
+const shared_1 = require("../shared");
 const window_1 = require("./window");
 function wma(length, fn) {
     return function (source) {
         return source.pipe((0, window_1.window)(length, fn), (0, rxjs_1.filter)(([, buffer]) => buffer.isFull), (0, rxjs_1.map)(([it, buffer]) => {
-            let norm = 0.0;
-            let sum = 0.0;
+            let norm = (0, shared_1.d)(0.0);
+            let sum = (0, shared_1.d)(0.0);
             for (let i = 0; i < buffer.capacity; i++) {
                 const weight = (buffer.capacity - i) * buffer.capacity;
-                norm = norm + weight;
-                sum = sum + buffer.at(buffer.capacity - (i + 1)) * weight;
+                norm = norm.add(weight);
+                sum = sum.add(buffer.at(buffer.capacity - (i + 1)).mul(weight));
             }
-            const tuple = [it, sum / norm];
+            const tuple = [it, sum.div(norm)];
             return tuple;
         }), (0, rxjs_1.share)());
     };

package/dist/indicator/wma.js.map

@@ -1 +1 @@
-{"version":3,"file":"wma.js","sourceRoot":"","sources":["../../src/indicator/wma.ts"],"names":[],"mappings":";;;AAAA,+BAAsD;AAEtD,qCAAkC;AAElC,SAAgB,GAAG,CAAI,MAAc,EAAE,EAAqB;IAC1D,OAAO,UAAU,MAAqB;QACpC,OAAO,MAAM,CAAC,IAAI,CAChB,IAAA,eAAM,EAAC,MAAM,EAAE,EAAE,CAAC,EAClB,IAAA,aAAM,EAAC,CAAC,CAAC,EAAE,MAAM,CAAC,EAAE,EAAE,CAAC,MAAM,CAAC,MAAM,CAAC,EACrC,IAAA,UAAG,EAAC,CAAC,CAAC,EAAE,EAAE,MAAM,CAAC,EAAE,EAAE;YACnB,IAAI,IAAI,GAAG,GAAG,CAAC;YACf,IAAI,GAAG,GAAG,GAAG,CAAC;YAEd,KAAK,IAAI,CAAC,GAAG,CAAC,EAAE,CAAC,GAAG,MAAM,CAAC,QAAQ,EAAE,CAAC,EAAE,EAAE;gBACxC,MAAM,MAAM,GAAG,CAAC,MAAM,CAAC,QAAQ,GAAG,CAAC,CAAC,GAAG,MAAM,CAAC,QAAQ,CAAC;gBAEvD,IAAI,GAAG,IAAI,GAAG,MAAM,CAAC;gBACrB,GAAG,GAAG,GAAG,GAAG,MAAM,CAAC,EAAE,CAAC,MAAM,CAAC,QAAQ,GAAG,CAAC,CAAC,GAAG,CAAC,CAAC,CAAC,GAAG,MAAM,CAAC;aAC3D;YAED,MAAM,KAAK,GAAgB,CAAC,EAAE,EAAE,GAAG,GAAG,IAAI,CAAC,CAAC;YAE5C,OAAO,KAAK,CAAC;QACf,CAAC,CAAC,EACF,IAAA,YAAK,GAAE,CACR,CAAC;IACJ,CAAC,CAAC;AACJ,CAAC;AAvBD,kBAuBC"}
+{"version":3,"file":"wma.js","sourceRoot":"","sources":["../../src/indicator/wma.ts"],"names":[],"mappings":";;;AAAA,+BAAsD;AAEtD,sCAAuC;AACvC,qCAAkC;AAElC,SAAgB,GAAG,CAAI,MAAc,EAAE,EAAsB;IAC3D,OAAO,UAAU,MAAqB;QACpC,OAAO,MAAM,CAAC,IAAI,CAChB,IAAA,eAAM,EAAC,MAAM,EAAE,EAAE,CAAC,EAClB,IAAA,aAAM,EAAC,CAAC,CAAC,EAAE,MAAM,CAAC,EAAE,EAAE,CAAC,MAAM,CAAC,MAAM,CAAC,EACrC,IAAA,UAAG,EAAC,CAAC,CAAC,EAAE,EAAE,MAAM,CAAC,EAAE,EAAE;YACnB,IAAI,IAAI,GAAG,IAAA,UAAC,EAAC,GAAG,CAAC,CAAC;YAClB,IAAI,GAAG,GAAG,IAAA,UAAC,EAAC,GAAG,CAAC,CAAC;YAEjB,KAAK,IAAI,CAAC,GAAG,CAAC,EAAE,CAAC,GAAG,MAAM,CAAC,QAAQ,EAAE,CAAC,EAAE,EAAE;gBACxC,MAAM,MAAM,GAAG,CAAC,MAAM,CAAC,QAAQ,GAAG,CAAC,CAAC,GAAG,MAAM,CAAC,QAAQ,CAAC;gBAEvD,IAAI,GAAG,IAAI,CAAC,GAAG,CAAC,MAAM,CAAC,CAAC;gBACxB,GAAG,GAAG,GAAG,CAAC,GAAG,CAAC,MAAM,CAAC,EAAE,CAAC,MAAM,CAAC,QAAQ,GAAG,CAAC,CAAC,GAAG,CAAC,CAAC,CAAC,CAAC,GAAG,CAAC,MAAM,CAAC,CAAC,CAAC;aACjE;YAED,MAAM,KAAK,GAAiB,CAAC,EAAE,EAAE,GAAG,CAAC,GAAG,CAAC,IAAI,CAAC,CAAC,CAAC;YAEhD,OAAO,KAAK,CAAC;QACf,CAAC,CAAC,EACF,IAAA,YAAK,GAAE,CACR,CAAC;IACJ,CAAC,CAAC;AACJ,CAAC;AAvBD,kBAuBC"}

package/dist/indicator/wma.spec.js

@@ -1,16 +1,17 @@
 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
 const rxjs_1 = require("rxjs");
+const shared_1 = require("../shared");
 const wma_1 = require("./wma");
 describe('wma', () => {
     test('should return expected value', done => {
         let value;
-        (0, rxjs_1.from)([18136.17, 18092.15, 18082.39, 18065.4, 18046.47])
+        (0, rxjs_1.from)([(0, shared_1.d)(18136.17), (0, shared_1.d)(18092.15), (0, shared_1.d)(18082.39), (0, shared_1.d)(18065.4), (0, shared_1.d)(18046.47)])
             .pipe((0, wma_1.wma)(5, it => it))
             .subscribe({
             next: ([, it]) => (value = it),
             complete: () => {
-                expect(parseFloat(value.toFixed(2))).toBe(18070.77);
+                expect(value.toDecimalPlaces(2)).toEqual((0, shared_1.d)(18070.77));
                 done();
             }
         });

package/dist/indicator/wma.spec.js.map

@@ -1 +1 @@
-{"version":3,"file":"wma.spec.js","sourceRoot":"","sources":["../../src/indicator/wma.spec.ts"],"names":[],"mappings":";;AAAA,+BAA4B;AAE5B,+BAA4B;AAE5B,QAAQ,CAAC,KAAK,EAAE,GAAG,EAAE;IACnB,IAAI,CAAC,8BAA8B,EAAE,IAAI,CAAC,EAAE;QAC1C,IAAI,KAAK,CAAC;QAEV,IAAA,WAAI,EAAC,CAAC,QAAQ,EAAE,QAAQ,EAAE,QAAQ,EAAE,OAAO,EAAE,QAAQ,CAAC,CAAC;aACpD,IAAI,CAAC,IAAA,SAAG,EAAC,CAAC,EAAE,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,CAAC;aACtB,SAAS,CAAC;YACT,IAAI,EAAE,CAAC,CAAC,EAAE,EAAE,CAAC,EAAE,EAAE,CAAC,CAAC,KAAK,GAAG,EAAE,CAAC;YAC9B,QAAQ,EAAE,GAAG,EAAE;gBACb,MAAM,CAAC,UAAU,CAAC,KAAK,CAAC,OAAO,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,IAAI,CAAC,QAAQ,CAAC,CAAC;gBACpD,IAAI,EAAE,CAAC;YACT,CAAC;SACF,CAAC,CAAC;IACP,CAAC,CAAC,CAAC;AACL,CAAC,CAAC,CAAC"}
+{"version":3,"file":"wma.spec.js","sourceRoot":"","sources":["../../src/indicator/wma.spec.ts"],"names":[],"mappings":";;AAAA,+BAA4B;AAE5B,sCAAuC;AACvC,+BAA4B;AAE5B,QAAQ,CAAC,KAAK,EAAE,GAAG,EAAE;IACnB,IAAI,CAAC,8BAA8B,EAAE,IAAI,CAAC,EAAE;QAC1C,IAAI,KAAc,CAAC;QAEnB,IAAA,WAAI,EAAC,CAAC,IAAA,UAAC,EAAC,QAAQ,CAAC,EAAE,IAAA,UAAC,EAAC,QAAQ,CAAC,EAAE,IAAA,UAAC,EAAC,QAAQ,CAAC,EAAE,IAAA,UAAC,EAAC,OAAO,CAAC,EAAE,IAAA,UAAC,EAAC,QAAQ,CAAC,CAAC,CAAC;aACnE,IAAI,CAAC,IAAA,SAAG,EAAC,CAAC,EAAE,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,CAAC;aACtB,SAAS,CAAC;YACT,IAAI,EAAE,CAAC,CAAC,EAAE,EAAE,CAAC,EAAE,EAAE,CAAC,CAAC,KAAK,GAAG,EAAE,CAAC;YAC9B,QAAQ,EAAE,GAAG,EAAE;gBACb,MAAM,CAAC,KAAK,CAAC,eAAe,CAAC,CAAC,CAAC,CAAC,CAAC,OAAO,CAAC,IAAA,UAAC,EAAC,QAAQ,CAAC,CAAC,CAAC;gBACtD,IAAI,EAAE,CAAC;YACT,CAAC;SACF,CAAC,CAAC;IACP,CAAC,CAAC,CAAC;AACL,CAAC,CAAC,CAAC"}

package/dist/shared/collections.d.ts

@@ -8,3 +8,19 @@ export declare class Set<T extends {
     upsert(value: T): T;
     asReadonlyArray(): ReadonlyArray<T>;
 }
+export declare class PriorityList<T extends {
+    next: T;
+}> {
+    private readonly comparer;
+    private readonly key;
+    private valueByKey;
+    head: T;
+    constructor(comparer: (lhs: Omit<T, 'next'>, rhs: Omit<T, 'next'>) => number, key: keyof Omit<T, 'next'>);
+    getByKey(key: any): T;
+    private make;
+    enqueue(value: Omit<T, 'next'>): void;
+    dequeue(value: Omit<T, 'next'>): void;
+    clear(): void;
+    visit(fn: (value: T) => boolean): void;
+    reduce<K>(fn: (value: T, aggregate: K) => K, initValue: K): K;
+}

package/dist/shared/collections.js

@@ -1,6 +1,6 @@
 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
-exports.Set = void 0;
+exports.PriorityList = exports.Set = void 0;
 class Set {
     constructor(values) {
         this.array = [];
@@ -30,4 +30,86 @@ class Set {
     }
 }
 exports.Set = Set;
+class PriorityList {
+    constructor(comparer, key) {
+        this.comparer = comparer;
+        this.key = key;
+        this.valueByKey = {};
+    }
+    getByKey(key) {
+        return this.valueByKey[key];
+    }
+    make(value, next = undefined) {
+        const node = Object.assign(Object.assign({}, value), { next });
+        this.valueByKey[node[this.key].toString()] = node;
+        return node;
+    }
+    enqueue(value) {
+        if (!this.head) {
+            this.head = this.make(value);
+        }
+        if (this.comparer(this.head, value) > 0) {
+            this.head = this.make(value, this.head);
+        }
+        else if (this.comparer(this.head, value) == 0) {
+            this.head = this.make(value, this.head.next);
+        }
+        else {
+            this.visit(it => {
+                if (it.next) {
+                    if (this.comparer(it.next, value) == 0) {
+                        it.next = this.make(value, it.next.next);
+                        return false;
+                    }
+                    if (this.comparer(it.next, value) > 0) {
+                        it.next = this.make(value, it.next);
+                        return false;
+                    }
+                    return true;
+                }
+                else {
+                    it.next = this.make(value);
+                    return false;
+                }
+            });
+        }
+    }
+    dequeue(value) {
+        if (!this.head) {
+            return;
+        }
+        if (this.comparer(this.head, value) == 0) {
+            this.head = this.head.next;
+            delete this.valueByKey[value[this.key].toString()];
+        }
+        this.visit(it => {
+            if (it.next && this.comparer(it.next, value) == 0) {
+                it.next = it.next.next;
+                delete this.valueByKey[value[this.key].toString()];
+                return false;
+            }
+        });
+    }
+    clear() {
+        this.head = undefined;
+        this.valueByKey = {};
+    }
+    visit(fn) {
+        let top = this.head;
+        while (top) {
+            if (!fn(top)) {
+                break;
+            }
+            top = top.next;
+        }
+    }
+    reduce(fn, initValue) {
+        this.visit(it => {
+            initValue = fn(it, initValue);
+            return true;
+        });
+        return initValue;
+    }
+}
+exports.PriorityList = PriorityList;
 //# sourceMappingURL=collections.js.map

package/dist/shared/collections.js.map

@@ -1 +1 @@
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+{"version":3,"file":"collections.js","sourceRoot":"","sources":["../../src/shared/collections.ts"],"names":[],"mappings":";;;AAAA,MAAa,GAAG;IAGd,YAAY,MAAyB;QAFpB,UAAK,GAAa,EAAE,CAAC;QAGpC,IAAI,MAAM,EAAE;YACV,MAAM,CAAC,OAAO,CAAC,EAAE,CAAC,EAAE,CAAC,IAAI,CAAC,MAAM,CAAC,EAAE,CAAC,CAAC,CAAC;SACvC;IACH,CAAC;IAED,GAAG,CAAC,EAAU;QACZ,OAAO,IAAI,CAAC,KAAK,CAAC,IAAI,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,CAAC,EAAE,IAAI,EAAE,CAAC,CAAC;IAC5C,CAAC;IAED,WAAW,CAAC,EAAU,EAAE,MAAe;;QACrC,OAAO,MAAA,IAAI,CAAC,GAAG,CAAC,EAAE,CAAC,mCAAI,IAAI,CAAC,MAAM,CAAC,MAAM,EAAE,CAAC,CAAC;IAC/C,CAAC;IAED,MAAM,CAAC,KAAQ;QACb,IAAI,CAAC,KAAK,CAAC,OAAO,CAAC,CAAC,EAAE,EAAE,GAAG,EAAE,EAAE;YAC7B,IAAI,EAAE,CAAC,EAAE,IAAI,KAAK,CAAC,EAAE,EAAE;gBACrB,IAAI,CAAC,KAAK,CAAC,GAAG,CAAC,GAAG,KAAK,CAAC;gBAExB,OAAO,KAAK,CAAC;aACd;QACH,CAAC,CAAC,CAAC;QAEH,IAAI,CAAC,KAAK,CAAC,IAAI,CAAC,KAAK,CAAC,CAAC;QAEvB,OAAO,KAAK,CAAC;IACf,CAAC;IAED,eAAe;QACb,OAAO,IAAI,CAAC,KAAK,CAAC;IACpB,CAAC;CACF;AAlCD,kBAkCC;AAED,MAAa,YAAY;IAKvB,YACmB,QAAgE,EAChE,GAA0B;QAD1B,aAAQ,GAAR,QAAQ,CAAwD;QAChE,QAAG,GAAH,GAAG,CAAuB;QANrC,eAAU,GAAmB,EAAE,CAAC;IAOrC,CAAC;IAEJ,QAAQ,CAAC,GAAQ;QACf,OAAO,IAAI,CAAC,UAAU,CAAC,GAAG,CAAC,CAAC;IAC9B,CAAC;IAEO,IAAI,CAAC,KAAsB,EAAE,OAAU,SAAS;QACtD,MAAM,IAAI,GAAG,gCAAK,KAAK,KAAE,IAAI,GAAO,CAAC;QAErC,IAAI,CAAC,UAAU,CAAC,IAAI,CAAC,IAAI,CAAC,GAAG,CAAC,CAAC,QAAQ,EAAE,CAAC,GAAG,IAAI,CAAC;QAElD,OAAO,IAAI,CAAC;IACd,CAAC;IAED,OAAO,CAAC,KAAsB;QAC5B,IAAI,CAAC,IAAI,CAAC,IAAI,EAAE;YACd,IAAI,CAAC,IAAI,GAAG,IAAI,CAAC,IAAI,CAAC,KAAK,CAAC,CAAC;SAC9B;QAED,IAAI,IAAI,CAAC,QAAQ,CAAC,IAAI,CAAC,IAAI,EAAE,KAAK,CAAC,GAAG,CAAC,EAAE;YACvC,IAAI,CAAC,IAAI,GAAG,IAAI,CAAC,IAAI,CAAC,KAAK,EAAE,IAAI,CAAC,IAAI,CAAC,CAAC;SACzC;aAAM,IAAI,IAAI,CAAC,QAAQ,CAAC,IAAI,CAAC,IAAI,EAAE,KAAK,CAAC,IAAI,CAAC,EAAE;YAC/C,IAAI,CAAC,IAAI,GAAG,IAAI,CAAC,IAAI,CAAC,KAAK,EAAE,IAAI,CAAC,IAAI,CAAC,IAAI,CAAC,CAAC;SAC9C;aAAM;YACL,IAAI,CAAC,KAAK,CAAC,EAAE,CAAC,EAAE;gBACd,IAAI,EAAE,CAAC,IAAI,EAAE;oBACX,IAAI,IAAI,CAAC,QAAQ,CAAC,EAAE,CAAC,IAAI,EAAE,KAAK,CAAC,IAAI,CAAC,EAAE;wBACtC,EAAE,CAAC,IAAI,GAAG,IAAI,CAAC,IAAI,CAAC,KAAK,EAAE,EAAE,CAAC,IAAI,CAAC,IAAI,CAAC,CAAC;wBAEzC,OAAO,KAAK,CAAC;qBACd;oBAED,IAAI,IAAI,CAAC,QAAQ,CAAC,EAAE,CAAC,IAAI,EAAE,KAAK,CAAC,GAAG,CAAC,EAAE;wBACrC,EAAE,CAAC,IAAI,GAAG,IAAI,CAAC,IAAI,CAAC,KAAK,EAAE,EAAE,CAAC,IAAI,CAAC,CAAC;wBAEpC,OAAO,KAAK,CAAC;qBACd;oBAED,OAAO,IAAI,CAAC;iBACb;qBAAM;oBACL,EAAE,CAAC,IAAI,GAAG,IAAI,CAAC,IAAI,CAAC,KAAK,CAAC,CAAC;oBAE3B,OAAO,KAAK,CAAC;iBACd;YACH,CAAC,CAAC,CAAC;SACJ;IACH,CAAC;IAED,OAAO,CAAC,KAAsB;QAC5B,IAAI,CAAC,IAAI,CAAC,IAAI,EAAE;YACd,OAAO;SACR;QAED,IAAI,IAAI,CAAC,QAAQ,CAAC,IAAI,CAAC,IAAI,EAAE,KAAK,CAAC,IAAI,CAAC,EAAE;YACxC,IAAI,CAAC,IAAI,GAAG,IAAI,CAAC,IAAI,CAAC,IAAI,CAAC;YAE3B,OAAO,IAAI,CAAC,UAAU,CAAC,KAAK,CAAC,IAAI,CAAC,GAAG,CAAC,CAAC,QAAQ,EAAE,CAAC,CAAC;SACpD;QAED,IAAI,CAAC,KAAK,CAAC,EAAE,CAAC,EAAE;YACd,IAAI,EAAE,CAAC,IAAI,IAAI,IAAI,CAAC,QAAQ,CAAC,EAAE,CAAC,IAAI,EAAE,KAAK,CAAC,IAAI,CAAC,EAAE;gBACjD,EAAE,CAAC,IAAI,GAAG,EAAE,CAAC,IAAI,CAAC,IAAI,CAAC;gBAEvB,OAAO,IAAI,CAAC,UAAU,CAAC,KAAK,CAAC,IAAI,CAAC,GAAG,CAAC,CAAC,QAAQ,EAAE,CAAC,CAAC;gBAEnD,OAAO,KAAK,CAAC;aACd;QACH,CAAC,CAAC,CAAC;IACL,CAAC;IAED,KAAK;QACH,IAAI,CAAC,IAAI,GAAG,SAAS,CAAC;QACtB,IAAI,CAAC,UAAU,GAAG,EAAE,CAAC;IACvB,CAAC;IAED,KAAK,CAAC,EAAyB;QAC7B,IAAI,GAAG,GAAG,IAAI,CAAC,IAAI,CAAC;QAEpB,OAAO,GAAG,EAAE;YACV,IAAI,CAAC,EAAE,CAAC,GAAG,CAAC,EAAE;gBACZ,MAAM;aACP;YAED,GAAG,GAAG,GAAG,CAAC,IAAI,CAAC;SAChB;IACH,CAAC;IAED,MAAM,CAAI,EAAiC,EAAE,SAAY;QACvD,IAAI,CAAC,KAAK,CAAC,EAAE,CAAC,EAAE;YACd,SAAS,GAAG,EAAE,CAAC,EAAE,EAAE,SAAS,CAAC,CAAC;YAE9B,OAAO,IAAI,CAAC;QACd,CAAC,CAAC,CAAC;QAEH,OAAO,SAAS,CAAC;IACnB,CAAC;CACF;AAxGD,oCAwGC"}

package/dist/shared/collections.spec.d.ts

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

package/dist/shared/collections.spec.js

@@ -0,0 +1,28 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+const __1 = require("..");
+const _1 = require(".");
+describe('PriorityList', () => {
+    test('should patch a best bid and ask', () => {
+        const input = [
+            { rate: (0, _1.d)(2), quantity: (0, _1.d)(2) },
+            { rate: (0, _1.d)(2), quantity: (0, _1.d)(3) },
+            { rate: (0, _1.d)(5), quantity: (0, _1.d)(1) },
+            { rate: (0, _1.d)(5), quantity: (0, _1.d)(2) },
+            { rate: (0, _1.d)(3), quantity: (0, _1.d)(1) },
+            { rate: (0, _1.d)(1), quantity: (0, _1.d)(8) },
+            { rate: (0, _1.d)(1), quantity: (0, _1.d)(0) },
+            { rate: (0, _1.d)(3), quantity: (0, _1.d)(0) },
+            { rate: (0, _1.d)(5), quantity: (0, _1.d)(0) }
+        ];
+        const sut = new _1.PriorityList(__1.LiquidityAskComparer, 'rate');
+        input.forEach(it => (it.quantity.greaterThan(0) ? sut.enqueue(it) : sut.dequeue(it)));
+        const volume = sut.reduce((it, agg) => agg.add(it.quantity.mul(it.rate)), _1.d.Zero);
+        expect(sut.head.rate).toEqual((0, _1.d)(2));
+        expect(sut.head.quantity).toEqual((0, _1.d)(3));
+        expect(volume).toEqual((0, _1.d)(6));
+        expect(sut.getByKey(2).quantity).toEqual((0, _1.d)(3));
+        expect(sut.getByKey(3)).toEqual(undefined);
+    });
+});
+//# sourceMappingURL=collections.spec.js.map

package/dist/shared/collections.spec.js.map

@@ -0,0 +1 @@
+{"version":3,"file":"collections.spec.js","sourceRoot":"","sources":["../../src/shared/collections.spec.ts"],"names":[],"mappings":";;AAAA,0BAAqD;AACrD,wBAAoC;AAEpC,QAAQ,CAAC,cAAc,EAAE,GAAG,EAAE;IAC5B,IAAI,CAAC,iCAAiC,EAAE,GAAG,EAAE;QAC3C,MAAM,KAAK,GAAG;YACZ,EAAE,IAAI,EAAE,IAAA,IAAC,EAAC,CAAC,CAAC,EAAE,QAAQ,EAAE,IAAA,IAAC,EAAC,CAAC,CAAC,EAAE;YAC9B,EAAE,IAAI,EAAE,IAAA,IAAC,EAAC,CAAC,CAAC,EAAE,QAAQ,EAAE,IAAA,IAAC,EAAC,CAAC,CAAC,EAAE;YAC9B,EAAE,IAAI,EAAE,IAAA,IAAC,EAAC,CAAC,CAAC,EAAE,QAAQ,EAAE,IAAA,IAAC,EAAC,CAAC,CAAC,EAAE;YAC9B,EAAE,IAAI,EAAE,IAAA,IAAC,EAAC,CAAC,CAAC,EAAE,QAAQ,EAAE,IAAA,IAAC,EAAC,CAAC,CAAC,EAAE;YAC9B,EAAE,IAAI,EAAE,IAAA,IAAC,EAAC,CAAC,CAAC,EAAE,QAAQ,EAAE,IAAA,IAAC,EAAC,CAAC,CAAC,EAAE;YAC9B,EAAE,IAAI,EAAE,IAAA,IAAC,EAAC,CAAC,CAAC,EAAE,QAAQ,EAAE,IAAA,IAAC,EAAC,CAAC,CAAC,EAAE;YAC9B,EAAE,IAAI,EAAE,IAAA,IAAC,EAAC,CAAC,CAAC,EAAE,QAAQ,EAAE,IAAA,IAAC,EAAC,CAAC,CAAC,EAAE;YAC9B,EAAE,IAAI,EAAE,IAAA,IAAC,EAAC,CAAC,CAAC,EAAE,QAAQ,EAAE,IAAA,IAAC,EAAC,CAAC,CAAC,EAAE;YAC9B,EAAE,IAAI,EAAE,IAAA,IAAC,EAAC,CAAC,CAAC,EAAE,QAAQ,EAAE,IAAA,IAAC,EAAC,CAAC,CAAC,EAAE;SAC/B,CAAC;QAEF,MAAM,GAAG,GAAG,IAAI,eAAY,CAAY,wBAAoB,EAAE,MAAM,CAAC,CAAC;QAEtE,KAAK,CAAC,OAAO,CAAC,EAAE,CAAC,EAAE,CAAC,CAAC,EAAE,CAAC,QAAQ,CAAC,WAAW,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,GAAG,CAAC,OAAO,CAAC,EAAE,CAAC,CAAC,CAAC,CAAC,GAAG,CAAC,OAAO,CAAC,EAAE,CAAC,CAAC,CAAC,CAAC;QAEtF,MAAM,MAAM,GAAG,GAAG,CAAC,MAAM,CAAC,CAAC,EAAE,EAAE,GAAG,EAAE,EAAE,CAAC,GAAG,CAAC,GAAG,CAAC,EAAE,CAAC,QAAQ,CAAC,GAAG,CAAC,EAAE,CAAC,IAAI,CAAC,CAAC,EAAE,IAAC,CAAC,IAAI,CAAC,CAAC;QAElF,MAAM,CAAC,GAAG,CAAC,IAAI,CAAC,IAAI,CAAC,CAAC,OAAO,CAAC,IAAA,IAAC,EAAC,CAAC,CAAC,CAAC,CAAC;QACpC,MAAM,CAAC,GAAG,CAAC,IAAI,CAAC,QAAQ,CAAC,CAAC,OAAO,CAAC,IAAA,IAAC,EAAC,CAAC,CAAC,CAAC,CAAC;QACxC,MAAM,CAAC,MAAM,CAAC,CAAC,OAAO,CAAC,IAAA,IAAC,EAAC,CAAC,CAAC,CAAC,CAAC;QAC7B,MAAM,CAAC,GAAG,CAAC,QAAQ,CAAC,CAAC,CAAC,CAAC,QAAQ,CAAC,CAAC,OAAO,CAAC,IAAA,IAAC,EAAC,CAAC,CAAC,CAAC,CAAC;QAC/C,MAAM,CAAC,GAAG,CAAC,QAAQ,CAAC,CAAC,CAAC,CAAC,CAAC,OAAO,CAAC,SAAS,CAAC,CAAC;IAC7C,CAAC,CAAC,CAAC;AACL,CAAC,CAAC,CAAC"}

package/dist/shared/decimals.d.ts

@@ -1,8 +1,17 @@
-export declare function precision(value: number): number;
-export declare function floor(number: number, precision: number): number;
-export declare function ceil(number: number, precision: number): number;
-export declare function fixed(number: number, precision: number): number;
-export declare function weightedMean(values: number[], weights: number[]): number;
-export declare function pnl(entryRate: number, exitRate: number, amount: number): number;
+import { Decimal } from 'decimal.js';
+declare module 'decimal.js' {
+    interface Decimal {
+        toFloor(decimalPlaces: number): Decimal;
+        toCeil(decimalPlaces: number): Decimal;
+    }
+}
+export declare class decimal extends Decimal {
+}
+export declare function d(value: Decimal.Value): decimal;
+export declare namespace d {
+    var Zero: decimal;
+}
+export declare function weightedMean(values: decimal[], weights: decimal[]): decimal;
+export declare function pnl(entryRate: decimal, exitRate: decimal, amount: decimal): Decimal;
 export declare function candledown(timestamp: number, timeframe: number): number;
 export declare function candleup(timestamp: number, timeframe: number): number;

package/dist/shared/decimals.js

@@ -1,50 +1,37 @@
 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
-exports.candleup = exports.candledown = exports.pnl = exports.weightedMean = exports.fixed = exports.ceil = exports.floor = exports.precision = void 0;
-function precision(value) {
-    if (!isFinite(value)) {
-        return 0;
-    }
-    let e = 1;
-    let p = 0;
-    while (Math.round(value * e) / e !== value) {
-        e *= 10;
-        p++;
-    }
-    return p;
-}
-exports.precision = precision;
-function floor(number, precision) {
-    const fixed = Math.pow(10, precision);
-    return Math.floor(number * fixed) / fixed;
-}
-exports.floor = floor;
-function ceil(number, precision) {
-    const fixed = Math.pow(10, precision);
-    return Math.ceil(number * fixed) / fixed;
-}
-exports.ceil = ceil;
-function fixed(number, precision) {
-    return (Math.floor((number + Number.EPSILON) * Math.pow(10, precision)) /
-        Math.pow(10, precision));
-}
-exports.fixed = fixed;
+exports.candleup = exports.candledown = exports.pnl = exports.weightedMean = exports.d = exports.decimal = void 0;
+const decimal_js_1 = require("decimal.js");
+decimal_js_1.Decimal.prototype.toFloor = function (decimalPlaces) {
+    return this.toDecimalPlaces(decimalPlaces, decimal_js_1.Decimal.ROUND_FLOOR);
+};
+decimal_js_1.Decimal.prototype.toCeil = function (decimalPlaces) {
+    return this.toDecimalPlaces(decimalPlaces, decimal_js_1.Decimal.ROUND_CEIL);
+};
+class decimal extends decimal_js_1.Decimal {
+}
+exports.decimal = decimal;
+function d(value) {
+    return new decimal(value);
+}
+exports.d = d;
+d.Zero = new decimal(0);
 function weightedMean(values, weights) {
     const result = values
         .map((value, i) => {
         const weight = weights[i];
-        const sum = value * weight;
+        const sum = value.mul(weight);
         return [sum, weight];
     })
-        .reduce((p, c) => [p[0] + c[0], p[1] + c[1]], [0, 0]);
+        .reduce((p, c) => [p[0].add(c[0]), p[1].add(c[1])], [d.Zero, d.Zero]);
     if (!result[1]) {
-        return 0;
+        return d.Zero;
     }
-    return result[0] / result[1];
+    return result[0].div(result[1]);
 }
 exports.weightedMean = weightedMean;
 function pnl(entryRate, exitRate, amount) {
-    return (exitRate / entryRate - 1) * amount;
+    return exitRate.div(entryRate).minus(1).mul(amount);
 }
 exports.pnl = pnl;
 function candledown(timestamp, timeframe) {

package/dist/shared/decimals.js.map

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+{"version":3,"file":"decimals.js","sourceRoot":"","sources":["../../src/shared/decimals.ts"],"names":[],"mappings":";;;AAAA,2CAAqC;AASrC,oBAAO,CAAC,SAAS,CAAC,OAAO,GAAG,UAAU,aAAqB;IACzD,OAAO,IAAI,CAAC,eAAe,CAAC,aAAa,EAAE,oBAAO,CAAC,WAAW,CAAC,CAAC;AAClE,CAAC,CAAC;AAEF,oBAAO,CAAC,SAAS,CAAC,MAAM,GAAG,UAAU,aAAqB;IACxD,OAAO,IAAI,CAAC,eAAe,CAAC,aAAa,EAAE,oBAAO,CAAC,UAAU,CAAC,CAAC;AACjE,CAAC,CAAC;AAEF,MAAa,OAAQ,SAAQ,oBAAO;CAAG;AAAvC,0BAAuC;AAEvC,SAAgB,CAAC,CAAC,KAAoB;IACpC,OAAO,IAAI,OAAO,CAAC,KAAK,CAAC,CAAC;AAC5B,CAAC;AAFD,cAEC;AAED,CAAC,CAAC,IAAI,GAAG,IAAI,OAAO,CAAC,CAAC,CAAC,CAAC;AAExB,SAAgB,YAAY,CAAC,MAAiB,EAAE,OAAkB;IAChE,MAAM,MAAM,GAAG,MAAM;SAClB,GAAG,CAAC,CAAC,KAAK,EAAE,CAAC,EAAE,EAAE;QAChB,MAAM,MAAM,GAAG,OAAO,CAAC,CAAC,CAAC,CAAC;QAC1B,MAAM,GAAG,GAAG,KAAK,CAAC,GAAG,CAAC,MAAM,CAAC,CAAC;QAC9B,OAAO,CAAC,GAAG,EAAE,MAAM,CAAC,CAAC;IACvB,CAAC,CAAC;SACD,MAAM,CAAC,CAAC,CAAC,EAAE,CAAC,EAAE,EAAE,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,GAAG,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,EAAE,CAAC,CAAC,CAAC,CAAC,CAAC,GAAG,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,EAAE,CAAC,CAAC,CAAC,IAAI,EAAE,CAAC,CAAC,IAAI,CAAC,CAAC,CAAC;IAExE,IAAI,CAAC,MAAM,CAAC,CAAC,CAAC,EAAE;QACd,OAAO,CAAC,CAAC,IAAI,CAAC;KACf;IAED,OAAO,MAAM,CAAC,CAAC,CAAC,CAAC,GAAG,CAAC,MAAM,CAAC,CAAC,CAAC,CAAC,CAAC;AAClC,CAAC;AAdD,oCAcC;AAED,SAAgB,GAAG,CAAC,SAAkB,EAAE,QAAiB,EAAE,MAAe;IACxE,OAAO,QAAQ,CAAC,GAAG,CAAC,SAAS,CAAC,CAAC,KAAK,CAAC,CAAC,CAAC,CAAC,GAAG,CAAC,MAAM,CAAC,CAAC;AACtD,CAAC;AAFD,kBAEC;AAQD,SAAgB,UAAU,CAAC,SAAiB,EAAE,SAAiB;IAC7D,OAAO,SAAS,GAAG,CAAC,SAAS,GAAG,SAAS,CAAC,CAAC;AAC7C,CAAC;AAFD,gCAEC;AAQD,SAAgB,QAAQ,CAAC,SAAiB,EAAE,SAAiB;IAC3D,OAAO,UAAU,CAAC,SAAS,EAAE,SAAS,CAAC,GAAG,SAAS,CAAC;AACtD,CAAC;AAFD,4BAEC"}