@quantform/core 0.5.15 → 0.6.4

This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
Files changed (562) hide show
  1. package/LICENSE.md +21 -0
  2. package/dist/adapter/adapter-aggregate.d.ts +41 -5
  3. package/dist/adapter/adapter-aggregate.d.ts.map +1 -0
  4. package/dist/adapter/adapter-aggregate.js +114 -54
  5. package/dist/adapter/adapter.d.ts +29 -15
  6. package/dist/adapter/adapter.d.ts.map +1 -0
  7. package/dist/adapter/adapter.js +4 -1
  8. package/dist/adapter/backtester/backtester-adapter.d.ts +4 -3
  9. package/dist/adapter/backtester/backtester-adapter.d.ts.map +1 -0
  10. package/dist/adapter/backtester/backtester-adapter.js +28 -15
  11. package/dist/adapter/backtester/backtester-cursor.d.ts +5 -4
  12. package/dist/adapter/backtester/backtester-cursor.d.ts.map +1 -0
  13. package/dist/adapter/backtester/backtester-cursor.js +24 -14
  14. package/dist/adapter/backtester/backtester-streamer.d.ts +20 -2
  15. package/dist/adapter/backtester/backtester-streamer.d.ts.map +1 -0
  16. package/dist/adapter/backtester/backtester-streamer.js +54 -40
  17. package/dist/adapter/backtester/error.d.ts +3 -0
  18. package/dist/adapter/backtester/error.d.ts.map +1 -0
  19. package/dist/adapter/backtester/error.js +11 -0
  20. package/dist/adapter/backtester/index.d.ts +1 -0
  21. package/dist/adapter/backtester/index.d.ts.map +1 -0
  22. package/dist/adapter/backtester/index.js +0 -1
  23. package/dist/adapter/error.d.ts +2 -0
  24. package/dist/adapter/error.d.ts.map +1 -0
  25. package/dist/adapter/error.js +5 -2
  26. package/dist/adapter/index.d.ts +1 -0
  27. package/dist/adapter/index.d.ts.map +1 -0
  28. package/dist/adapter/index.js +0 -1
  29. package/dist/adapter/paper/engine/paper-engine.d.ts +1 -0
  30. package/dist/adapter/paper/engine/paper-engine.d.ts.map +1 -0
  31. package/dist/adapter/paper/engine/paper-engine.js +38 -32
  32. package/dist/adapter/paper/index.d.ts +1 -0
  33. package/dist/adapter/paper/index.d.ts.map +1 -0
  34. package/dist/adapter/paper/index.js +0 -1
  35. package/dist/adapter/paper/paper-adapter.d.ts +7 -5
  36. package/dist/adapter/paper/paper-adapter.d.ts.map +1 -0
  37. package/dist/adapter/paper/paper-adapter.js +49 -25
  38. package/dist/cli/build.d.ts +1 -0
  39. package/dist/cli/build.d.ts.map +1 -0
  40. package/dist/cli/build.js +18 -8
  41. package/dist/cli/dev.d.ts +1 -0
  42. package/dist/cli/dev.d.ts.map +1 -0
  43. package/dist/cli/dev.js +52 -12
  44. package/dist/cli/error.d.ts +2 -0
  45. package/dist/cli/error.d.ts.map +1 -0
  46. package/dist/cli/error.js +7 -0
  47. package/dist/cli/index.d.ts +1 -0
  48. package/dist/cli/index.d.ts.map +1 -0
  49. package/dist/cli/index.js +21 -10
  50. package/dist/cli/internal/workspace.d.ts +1 -7
  51. package/dist/cli/internal/workspace.d.ts.map +1 -0
  52. package/dist/cli/internal/workspace.js +1 -6
  53. package/dist/cli/pull.d.ts +1 -0
  54. package/dist/cli/pull.d.ts.map +1 -0
  55. package/dist/cli/pull.js +65 -40
  56. package/dist/cli/run.d.ts +2 -1
  57. package/dist/cli/run.d.ts.map +1 -0
  58. package/dist/cli/run.js +52 -14
  59. package/dist/cli/test.d.ts +2 -1
  60. package/dist/cli/test.d.ts.map +1 -0
  61. package/dist/cli/test.js +59 -34
  62. package/dist/domain/asset.d.ts +24 -4
  63. package/dist/domain/asset.d.ts.map +1 -0
  64. package/dist/domain/asset.js +23 -8
  65. package/dist/domain/{balance.operator.d.ts → balance-operator.d.ts} +1 -0
  66. package/dist/domain/balance-operator.d.ts.map +1 -0
  67. package/dist/domain/{balance.operator.js → balance-operator.js} +0 -1
  68. package/dist/domain/balance.d.ts +35 -11
  69. package/dist/domain/balance.d.ts.map +1 -0
  70. package/dist/domain/balance.js +46 -17
  71. package/dist/domain/candle-operator.d.ts +11 -0
  72. package/dist/domain/candle-operator.d.ts.map +1 -0
  73. package/dist/domain/{candle.operator.js → candle-operator.js} +11 -5
  74. package/dist/domain/candle.d.ts +9 -8
  75. package/dist/domain/candle.d.ts.map +1 -0
  76. package/dist/domain/candle.js +3 -3
  77. package/dist/domain/commission.d.ts +12 -9
  78. package/dist/domain/commission.d.ts.map +1 -0
  79. package/dist/domain/commission.js +7 -6
  80. package/dist/domain/component.d.ts +1 -0
  81. package/dist/domain/component.d.ts.map +1 -0
  82. package/dist/domain/component.js +0 -1
  83. package/dist/domain/error.d.ts +6 -4
  84. package/dist/domain/error.d.ts.map +1 -0
  85. package/dist/domain/error.js +4 -5
  86. package/dist/domain/index.d.ts +9 -7
  87. package/dist/domain/index.d.ts.map +1 -0
  88. package/dist/domain/index.js +8 -8
  89. package/dist/domain/{instrument.operator.d.ts → instrument-operator.d.ts} +1 -0
  90. package/dist/domain/instrument-operator.d.ts.map +1 -0
  91. package/dist/domain/{instrument.operator.js → instrument-operator.js} +0 -1
  92. package/dist/domain/instrument.d.ts +9 -6
  93. package/dist/domain/instrument.d.ts.map +1 -0
  94. package/dist/domain/instrument.js +7 -3
  95. package/dist/domain/{order.operator.d.ts → order-operator.d.ts} +1 -0
  96. package/dist/domain/order-operator.d.ts.map +1 -0
  97. package/dist/domain/order-operator.js +16 -0
  98. package/dist/domain/order.d.ts +17 -22
  99. package/dist/domain/order.d.ts.map +1 -0
  100. package/dist/domain/order.js +23 -34
  101. package/dist/domain/{orderbook.operator.d.ts → orderbook-operator.d.ts} +1 -0
  102. package/dist/domain/orderbook-operator.d.ts.map +1 -0
  103. package/dist/domain/{orderbook.operator.js → orderbook-operator.js} +0 -1
  104. package/dist/domain/orderbook.d.ts +26 -10
  105. package/dist/domain/orderbook.d.ts.map +1 -0
  106. package/dist/domain/orderbook.js +12 -6
  107. package/dist/domain/{position.operator.d.ts → position-operator.d.ts} +7 -4
  108. package/dist/domain/position-operator.d.ts.map +1 -0
  109. package/dist/domain/{position.operator.js → position-operator.js} +13 -6
  110. package/dist/domain/position.d.ts +10 -9
  111. package/dist/domain/position.d.ts.map +1 -0
  112. package/dist/domain/position.js +4 -4
  113. package/dist/domain/session-builder.d.ts +54 -0
  114. package/dist/domain/session-builder.d.ts.map +1 -0
  115. package/dist/domain/session-builder.js +105 -0
  116. package/dist/domain/session.d.ts +54 -13
  117. package/dist/domain/session.d.ts.map +1 -0
  118. package/dist/domain/session.js +104 -40
  119. package/dist/domain/timeframe.d.ts +1 -0
  120. package/dist/domain/timeframe.d.ts.map +1 -0
  121. package/dist/domain/timeframe.js +0 -1
  122. package/dist/domain/{trade.operator.d.ts → trade-operator.d.ts} +1 -0
  123. package/dist/domain/trade-operator.d.ts.map +1 -0
  124. package/dist/domain/{trade.operator.js → trade-operator.js} +0 -1
  125. package/dist/domain/trade.d.ts +12 -7
  126. package/dist/domain/trade.d.ts.map +1 -0
  127. package/dist/domain/trade.js +8 -2
  128. package/dist/index.d.ts +2 -2
  129. package/dist/index.d.ts.map +1 -0
  130. package/dist/index.js +1 -3
  131. package/dist/shared/collections.d.ts +20 -1
  132. package/dist/shared/collections.d.ts.map +1 -0
  133. package/dist/shared/collections.js +98 -8
  134. package/dist/shared/datetime.d.ts +1 -0
  135. package/dist/shared/datetime.d.ts.map +1 -0
  136. package/dist/shared/datetime.js +0 -1
  137. package/dist/shared/decimals.d.ts +28 -6
  138. package/dist/shared/decimals.d.ts.map +1 -0
  139. package/dist/shared/decimals.js +33 -35
  140. package/dist/shared/environment.d.ts +3 -0
  141. package/dist/shared/environment.d.ts.map +1 -0
  142. package/dist/shared/environment.js +15 -0
  143. package/dist/shared/index.d.ts +3 -1
  144. package/dist/shared/index.d.ts.map +1 -0
  145. package/dist/shared/index.js +2 -2
  146. package/dist/shared/logger.d.ts +5 -7
  147. package/dist/shared/logger.d.ts.map +1 -0
  148. package/dist/shared/logger.js +24 -8
  149. package/dist/shared/pipe.d.ts +5 -0
  150. package/dist/shared/pipe.d.ts.map +1 -0
  151. package/dist/shared/pipe.js +8 -0
  152. package/dist/shared/policy.d.ts +1 -0
  153. package/dist/shared/policy.d.ts.map +1 -0
  154. package/dist/shared/policy.js +0 -1
  155. package/dist/storage/cache.d.ts +1 -0
  156. package/dist/storage/cache.d.ts.map +1 -0
  157. package/dist/storage/cache.js +30 -19
  158. package/dist/storage/feed.d.ts +33 -4
  159. package/dist/storage/feed.d.ts.map +1 -0
  160. package/dist/storage/feed.js +93 -19
  161. package/dist/storage/index.d.ts +1 -0
  162. package/dist/storage/index.d.ts.map +1 -0
  163. package/dist/storage/index.js +0 -1
  164. package/dist/storage/measurement.d.ts +20 -0
  165. package/dist/storage/measurement.d.ts.map +1 -0
  166. package/dist/storage/measurement.js +41 -10
  167. package/dist/storage/storage.d.ts +41 -0
  168. package/dist/storage/storage.d.ts.map +1 -0
  169. package/dist/storage/storage.js +69 -33
  170. package/dist/store/error.d.ts +9 -0
  171. package/dist/store/error.d.ts.map +1 -0
  172. package/dist/store/error.js +31 -0
  173. package/dist/store/index.d.ts +8 -7
  174. package/dist/store/index.d.ts.map +1 -0
  175. package/dist/store/index.js +7 -8
  176. package/dist/store/{store-balance.event.d.ts → store-balance-event.d.ts} +20 -7
  177. package/dist/store/store-balance-event.d.ts.map +1 -0
  178. package/dist/store/{store-balance.event.js → store-balance-event.js} +54 -10
  179. package/dist/store/{store.event.d.ts → store-event.d.ts} +1 -0
  180. package/dist/store/store-event.d.ts.map +1 -0
  181. package/dist/store/{store.event.js → store-event.js} +0 -1
  182. package/dist/store/{store-instrument.event.d.ts → store-instrument-event.d.ts} +5 -4
  183. package/dist/store/store-instrument-event.d.ts.map +1 -0
  184. package/dist/store/{store-instrument.event.js → store-instrument-event.js} +13 -5
  185. package/dist/store/{store-order.event.d.ts → store-order-event.d.ts} +10 -5
  186. package/dist/store/store-order-event.d.ts.map +1 -0
  187. package/dist/store/{store-order.event.js → store-order-event.js} +24 -20
  188. package/dist/store/store-orderbook-event.d.ts +13 -0
  189. package/dist/store/store-orderbook-event.d.ts.map +1 -0
  190. package/dist/store/store-orderbook-event.js +43 -0
  191. package/dist/store/{store-position.event.d.ts → store-position-event.d.ts} +7 -6
  192. package/dist/store/store-position-event.d.ts.map +1 -0
  193. package/dist/store/{store-position.event.js → store-position-event.js} +36 -17
  194. package/dist/store/store-state.d.ts +3 -2
  195. package/dist/store/store-state.d.ts.map +1 -0
  196. package/dist/store/store-state.js +1 -1
  197. package/dist/store/store-trade-event.d.ts +17 -0
  198. package/dist/store/store-trade-event.d.ts.map +1 -0
  199. package/dist/store/{store-trade.event.js → store-trade-event.js} +14 -5
  200. package/dist/store/store.d.ts +2 -1
  201. package/dist/store/store.d.ts.map +1 -0
  202. package/dist/store/store.js +0 -1
  203. package/dist/strategy.d.ts +8 -0
  204. package/dist/strategy.d.ts.map +1 -0
  205. package/dist/strategy.js +44 -0
  206. package/jest.config.ts +13 -0
  207. package/package.json +19 -30
  208. package/src/adapter/adapter-aggregate.ts +57 -25
  209. package/src/adapter/adapter.ts +15 -18
  210. package/src/adapter/backtester/backtester-adapter.ts +14 -7
  211. package/src/adapter/backtester/backtester-cursor.spec.ts +20 -18
  212. package/src/adapter/backtester/backtester-cursor.ts +6 -6
  213. package/src/adapter/backtester/backtester-streamer.spec.ts +18 -15
  214. package/src/adapter/backtester/backtester-streamer.ts +21 -30
  215. package/src/adapter/backtester/error.ts +7 -0
  216. package/src/adapter/error.ts +4 -0
  217. package/src/adapter/paper/engine/paper-engine.spec.ts +54 -30
  218. package/src/adapter/paper/engine/paper-engine.ts +62 -46
  219. package/src/adapter/paper/paper-adapter.ts +30 -9
  220. package/src/cli/build.ts +1 -1
  221. package/src/cli/dev.ts +15 -7
  222. package/src/cli/error.ts +5 -0
  223. package/src/cli/internal/workspace.ts +0 -11
  224. package/src/cli/pull.ts +28 -36
  225. package/src/cli/run.ts +14 -11
  226. package/src/cli/test.ts +24 -37
  227. package/src/domain/asset.spec.ts +4 -4
  228. package/src/domain/asset.ts +8 -15
  229. package/src/domain/{balance.operator.spec.ts → balance-operator.spec.ts} +4 -3
  230. package/src/domain/{balance.operator.ts → balance-operator.ts} +0 -0
  231. package/src/domain/balance.spec.ts +51 -47
  232. package/src/domain/balance.ts +32 -31
  233. package/src/domain/candle-operator.spec.ts +126 -0
  234. package/src/domain/{candle.operator.ts → candle-operator.ts} +24 -7
  235. package/src/domain/candle.spec.ts +13 -12
  236. package/src/domain/candle.ts +9 -9
  237. package/src/domain/commission.spec.ts +13 -12
  238. package/src/domain/commission.ts +15 -11
  239. package/src/domain/error.ts +8 -6
  240. package/src/domain/index.ts +8 -7
  241. package/src/domain/{instrument.operator.spec.ts → instrument-operator.spec.ts} +9 -2
  242. package/src/domain/{instrument.operator.ts → instrument-operator.ts} +0 -0
  243. package/src/domain/instrument.spec.ts +8 -1
  244. package/src/domain/instrument.ts +11 -8
  245. package/src/domain/{order.operator.spec.ts → order-operator.spec.ts} +11 -7
  246. package/src/domain/{order.operator.ts → order-operator.ts} +2 -2
  247. package/src/domain/order.spec.ts +15 -15
  248. package/src/domain/order.ts +34 -61
  249. package/src/domain/{orderbook.operator.spec.ts → orderbook-operator.spec.ts} +15 -3
  250. package/src/domain/{orderbook.operator.ts → orderbook-operator.ts} +0 -0
  251. package/src/domain/orderbook.spec.ts +11 -2
  252. package/src/domain/orderbook.ts +20 -13
  253. package/src/domain/{position.operator.spec.ts → position-operator.spec.ts} +13 -7
  254. package/src/domain/{position.operator.ts → position-operator.ts} +21 -11
  255. package/src/domain/position.spec.ts +14 -10
  256. package/src/domain/position.ts +10 -10
  257. package/src/domain/session-builder.ts +158 -0
  258. package/src/domain/session.spec.ts +5 -12
  259. package/src/domain/session.ts +85 -72
  260. package/src/domain/{trade.operator.spec.ts → trade-operator.spec.ts} +7 -3
  261. package/src/domain/{trade.operator.ts → trade-operator.ts} +0 -0
  262. package/src/domain/trade.spec.ts +6 -2
  263. package/src/domain/trade.ts +9 -7
  264. package/src/index.ts +1 -2
  265. package/src/shared/collections.spec.ts +34 -0
  266. package/src/shared/collections.ts +125 -6
  267. package/src/shared/decimals.spec.ts +18 -24
  268. package/src/shared/decimals.ts +22 -55
  269. package/src/shared/environment.ts +13 -0
  270. package/src/shared/index.ts +2 -1
  271. package/src/shared/logger.ts +35 -7
  272. package/src/shared/pipe.ts +12 -0
  273. package/src/storage/cache.ts +3 -1
  274. package/src/storage/feed.ts +91 -34
  275. package/src/storage/storage.ts +10 -8
  276. package/src/store/error.ts +36 -0
  277. package/src/store/index.ts +7 -7
  278. package/src/store/{store-balance.event.spec.ts → store-balance-event.spec.ts} +8 -8
  279. package/src/store/{store-balance.event.ts → store-balance-event.ts} +58 -15
  280. package/src/store/{store.event.ts → store-event.ts} +0 -0
  281. package/src/store/{store-instrument.event.spec.ts → store-instrument-event.spec.ts} +8 -7
  282. package/src/store/{store-instrument.event.ts → store-instrument-event.ts} +18 -7
  283. package/src/store/store-order-event.spec.ts +32 -0
  284. package/src/store/{store-order.event.ts → store-order-event.ts} +27 -22
  285. package/src/store/store-orderbook-event.spec.ts +39 -0
  286. package/src/store/store-orderbook-event.ts +56 -0
  287. package/src/store/{store-position.event.ts → store-position-event.ts} +41 -22
  288. package/src/store/store-state.ts +3 -3
  289. package/src/store/{store-trade.event.spec.ts → store-trade-event.spec.ts} +16 -14
  290. package/src/store/{store-trade.event.ts → store-trade-event.ts} +14 -8
  291. package/src/store/store.spec.ts +22 -20
  292. package/src/store/store.ts +1 -1
  293. package/src/strategy.ts +47 -0
  294. package/tsconfig.json +12 -5
  295. package/dist/adapter/adapter-aggregate.js.map +0 -1
  296. package/dist/adapter/adapter.js.map +0 -1
  297. package/dist/adapter/backtester/backtester-adapter.js.map +0 -1
  298. package/dist/adapter/backtester/backtester-adapter.spec.d.ts +0 -1
  299. package/dist/adapter/backtester/backtester-adapter.spec.js +0 -82
  300. package/dist/adapter/backtester/backtester-adapter.spec.js.map +0 -1
  301. package/dist/adapter/backtester/backtester-cursor.js.map +0 -1
  302. package/dist/adapter/backtester/backtester-cursor.spec.d.ts +0 -1
  303. package/dist/adapter/backtester/backtester-cursor.spec.js +0 -37
  304. package/dist/adapter/backtester/backtester-cursor.spec.js.map +0 -1
  305. package/dist/adapter/backtester/backtester-streamer.js.map +0 -1
  306. package/dist/adapter/backtester/backtester-streamer.spec.d.ts +0 -1
  307. package/dist/adapter/backtester/backtester-streamer.spec.js +0 -44
  308. package/dist/adapter/backtester/backtester-streamer.spec.js.map +0 -1
  309. package/dist/adapter/backtester/index.js.map +0 -1
  310. package/dist/adapter/error.js.map +0 -1
  311. package/dist/adapter/index.js.map +0 -1
  312. package/dist/adapter/paper/engine/paper-engine.js.map +0 -1
  313. package/dist/adapter/paper/engine/paper-engine.spec.d.ts +0 -1
  314. package/dist/adapter/paper/engine/paper-engine.spec.js +0 -54
  315. package/dist/adapter/paper/engine/paper-engine.spec.js.map +0 -1
  316. package/dist/adapter/paper/index.js.map +0 -1
  317. package/dist/adapter/paper/paper-adapter.js.map +0 -1
  318. package/dist/adapter/paper/paper-adapter.spec.d.ts +0 -1
  319. package/dist/adapter/paper/paper-adapter.spec.js +0 -69
  320. package/dist/adapter/paper/paper-adapter.spec.js.map +0 -1
  321. package/dist/bootstrap.d.ts +0 -11
  322. package/dist/bootstrap.js +0 -73
  323. package/dist/bootstrap.js.map +0 -1
  324. package/dist/cli/build.js.map +0 -1
  325. package/dist/cli/dev.js.map +0 -1
  326. package/dist/cli/index.js.map +0 -1
  327. package/dist/cli/internal/workspace.js.map +0 -1
  328. package/dist/cli/pull.js.map +0 -1
  329. package/dist/cli/run.js.map +0 -1
  330. package/dist/cli/test.js.map +0 -1
  331. package/dist/domain/asset.js.map +0 -1
  332. package/dist/domain/asset.spec.d.ts +0 -1
  333. package/dist/domain/asset.spec.js +0 -55
  334. package/dist/domain/asset.spec.js.map +0 -1
  335. package/dist/domain/balance.js.map +0 -1
  336. package/dist/domain/balance.operator.js.map +0 -1
  337. package/dist/domain/balance.operator.spec.d.ts +0 -1
  338. package/dist/domain/balance.operator.spec.js +0 -23
  339. package/dist/domain/balance.operator.spec.js.map +0 -1
  340. package/dist/domain/balance.spec.d.ts +0 -1
  341. package/dist/domain/balance.spec.js +0 -82
  342. package/dist/domain/balance.spec.js.map +0 -1
  343. package/dist/domain/candle.js.map +0 -1
  344. package/dist/domain/candle.operator.d.ts +0 -9
  345. package/dist/domain/candle.operator.js.map +0 -1
  346. package/dist/domain/candle.operator.spec.d.ts +0 -1
  347. package/dist/domain/candle.operator.spec.js +0 -111
  348. package/dist/domain/candle.operator.spec.js.map +0 -1
  349. package/dist/domain/candle.spec.d.ts +0 -1
  350. package/dist/domain/candle.spec.js +0 -26
  351. package/dist/domain/candle.spec.js.map +0 -1
  352. package/dist/domain/commission.js.map +0 -1
  353. package/dist/domain/commission.spec.d.ts +0 -1
  354. package/dist/domain/commission.spec.js +0 -30
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package/jestconfig.json DELETED
@@ -1,12 +0,0 @@
1
- {
2
- "moduleFileExtensions": ["js", "json", "ts"],
3
- "verbose": true,
4
- "rootDir": "src",
5
- "testRegex": ".spec.ts$",
6
- "transform": {
7
- "^.+\\.(t|j)s$": "ts-jest"
8
- },
9
- "coverageDirectory": "../coverage",
10
- "testEnvironment": "node",
11
- "testPathIgnorePatterns": ["tests"]
12
- }
package/src/adapter/backtester/backtester-adapter.spec.ts DELETED
@@ -1,124 +0,0 @@
1
- import {
2
- Asset,
3
- Candle,
4
- Commission,
5
- instrumentOf,
6
- InstrumentSelector,
7
- Order
8
- } from '../../domain';
9
- import { Cache, Feed, InMemoryStorage } from '../../storage';
10
- import { InstrumentPatchEvent, Store } from '../../store';
11
- import {
12
- Adapter,
13
- AdapterTimeProvider,
14
- DefaultTimeProvider,
15
- FeedQuery,
16
- HistoryQuery
17
- } from '../adapter';
18
- import { PaperEngine } from '../paper/engine/paper-engine';
19
- import { PaperAdapter } from '../paper/paper-adapter';
20
- import { BacktesterAdapter } from './backtester-adapter';
21
- import { BacktesterStreamer } from './backtester-streamer';
22
-
23
- const base = new Asset('btc', 'binance', 8);
24
- const quote = new Asset('usdt', 'binance', 4);
25
-
26
- class DefaultAdapter extends Adapter {
27
- dispose(): Promise<void> {
28
- throw new Error('Method not implemented.');
29
- }
30
- subscribe(instruments: InstrumentSelector[]): Promise<void> {
31
- throw new Error('Method not implemented.');
32
- }
33
- account(): Promise<void> {
34
- throw new Error('Method not implemented.');
35
- }
36
- open(order: Order): Promise<void> {
37
- throw new Error('Method not implemented.');
38
- }
39
- cancel(order: Order): Promise<void> {
40
- throw new Error('Method not implemented.');
41
- }
42
- history(query: HistoryQuery): Promise<Candle[]> {
43
- throw new Error('Method not implemented.');
44
- }
45
- feed(query: FeedQuery): Promise<void> {
46
- throw new Error('Method not implemented.');
47
- }
48
- name = 'default';
49
-
50
- constructor(timeProvider: AdapterTimeProvider, private readonly store: Store) {
51
- super(timeProvider);
52
- }
53
-
54
- timestamp() {
55
- return 123;
56
- }
57
-
58
- createPaperEngine(adapter: PaperAdapter): PaperEngine {
59
- return new PaperEngine(adapter.store);
60
- }
61
-
62
- async awake(): Promise<void> {
63
- this.store.dispatch(
64
- new InstrumentPatchEvent(
65
- this.timestamp(),
66
- base,
67
- quote,
68
- new Commission(0.1, 0.1),
69
- 'btc-usdt'
70
- )
71
- );
72
- }
73
- }
74
-
75
- const instrument = instrumentOf('binance:btc-usdt');
76
- const store = new Store();
77
- const adapter = new DefaultAdapter(DefaultTimeProvider, store);
78
- const feed = new Feed(new InMemoryStorage());
79
- const cache = new Cache(new InMemoryStorage());
80
-
81
- describe('BacktesterAdapter', () => {
82
- test('should return proper adapter name and timestamp', () => {
83
- const sut = new BacktesterAdapter(
84
- adapter,
85
- new BacktesterStreamer(store, feed, {
86
- from: 1,
87
- to: 100
88
- }),
89
- store
90
- );
91
-
92
- expect(sut.name).toEqual('default');
93
- expect(sut.timestamp()).toEqual(1);
94
- });
95
-
96
- test('should stream data from input array', done => {
97
- const streamer = new BacktesterStreamer(
98
- store,
99
- feed,
100
- {
101
- from: 0,
102
- to: 100
103
- },
104
- {
105
- onBacktestCompleted: () => {
106
- expect(store.snapshot.timestamp).toEqual(1);
107
- expect(store.snapshot.trade.get(instrument.id).rate).toEqual(100);
108
- expect(store.snapshot.trade.get(instrument.id).quantity).toEqual(10);
109
-
110
- done();
111
- }
112
- }
113
- );
114
-
115
- feed.save(instrument, [new Candle(1, 100, 100, 100, 100, 10)]);
116
-
117
- const sut = new BacktesterAdapter(adapter, streamer, store);
118
-
119
- sut.awake();
120
- sut.subscribe([instrument]);
121
-
122
- expect(sut.name).toEqual('default');
123
- });
124
- });
package/src/adapter/paper/paper-adapter.spec.ts DELETED
@@ -1,105 +0,0 @@
1
- import { InstrumentPatchEvent, Store } from '../../store';
2
- import {
3
- Adapter,
4
- AdapterTimeProvider,
5
- DefaultTimeProvider,
6
- FeedQuery,
7
- HistoryQuery
8
- } from '../adapter';
9
- import {
10
- Asset,
11
- Candle,
12
- Commission,
13
- instrumentOf,
14
- InstrumentSelector,
15
- Order
16
- } from './../../domain';
17
- import { PaperEngine } from './engine/paper-engine';
18
- import { PaperAdapter } from './paper-adapter';
19
-
20
- class DefaultAdapter extends Adapter {
21
- dispose(): Promise<void> {
22
- throw new Error('Method not implemented.');
23
- }
24
- subscribe(instruments: InstrumentSelector[]): Promise<void> {
25
- throw new Error('Method not implemented.');
26
- }
27
- account(): Promise<void> {
28
- throw new Error('Method not implemented.');
29
- }
30
- open(order: Order): Promise<void> {
31
- throw new Error('Method not implemented.');
32
- }
33
- cancel(order: Order): Promise<void> {
34
- throw new Error('Method not implemented.');
35
- }
36
- history(query: HistoryQuery): Promise<Candle[]> {
37
- throw new Error('Method not implemented.');
38
- }
39
- feed(query: FeedQuery): Promise<void> {
40
- throw new Error('Method not implemented.');
41
- }
42
- name = 'default';
43
-
44
- timestamp() {
45
- return 123;
46
- }
47
-
48
- constructor(timeProvider: AdapterTimeProvider, private readonly store: Store) {
49
- super(timeProvider);
50
- }
51
-
52
- async awake(): Promise<void> {
53
- this.store.dispatch(
54
- new InstrumentPatchEvent(
55
- this.timestamp(),
56
- new Asset('a', this.name, 8),
57
- new Asset('b', this.name, 4),
58
- new Commission(0.1, 0.1),
59
- 'a-b'
60
- )
61
- );
62
- }
63
-
64
- createPaperEngine(adapter: PaperAdapter): PaperEngine {
65
- return new PaperEngine(adapter.store);
66
- }
67
- }
68
-
69
- describe('PaperAdapter', () => {
70
- const options = {
71
- balance: {
72
- ['default:a']: 1000,
73
- ['default:b']: 200
74
- }
75
- };
76
-
77
- test('should return wrapped adapter name and timestamp', () => {
78
- const store = new Store();
79
-
80
- const sut = new PaperAdapter(
81
- new DefaultAdapter(DefaultTimeProvider, store),
82
- store,
83
- options
84
- );
85
-
86
- expect(sut.name).toEqual('default');
87
- expect(sut.timestamp()).toEqual(123);
88
- });
89
-
90
- test('', async () => {
91
- const store = new Store();
92
- const adapter = new DefaultAdapter(DefaultTimeProvider, store);
93
-
94
- const sut = new PaperAdapter(adapter, store, options);
95
-
96
- await sut.awake();
97
- await sut.account();
98
-
99
- const order = Order.market(instrumentOf('default:a-b'), 1.0);
100
-
101
- await sut.open(order);
102
-
103
- expect(store.snapshot.order.get(order.instrument.id).get(order.id)).toEqual(order);
104
- });
105
- });
package/src/bootstrap.ts DELETED
@@ -1,139 +0,0 @@
1
- import {
2
- AdapterAggregate,
3
- BacktesterListener,
4
- BacktesterStreamer,
5
- createBacktesterAdapterFactory,
6
- createPaperAdapterFactory,
7
- DefaultTimeProvider
8
- } from './adapter';
9
- import { Session, SessionDescriptor } from './domain';
10
- import { Cache, Feed, inMemoryStorageFactory } from './storage';
11
- import { Store } from './store';
12
-
13
- export class Bootstrap {
14
- constructor(readonly descriptor: SessionDescriptor) {}
15
-
16
- /**
17
- * Set session id.
18
- * @param id session id.
19
- */
20
- useSessionId(id?: number): Bootstrap {
21
- if (id) {
22
- this.descriptor.id = id;
23
- }
24
-
25
- return this;
26
- }
27
-
28
- /**
29
- *
30
- * @param from
31
- * @param to
32
- */
33
- useBacktestPeriod(from?: number, to?: number): Bootstrap {
34
- if (!this.descriptor.simulation) {
35
- this.descriptor.simulation = {
36
- balance: {},
37
- from: undefined,
38
- to: undefined
39
- };
40
- }
41
-
42
- if (from) {
43
- this.descriptor.simulation.from = from;
44
- }
45
-
46
- if (to) {
47
- this.descriptor.simulation.to = to;
48
- }
49
-
50
- return this;
51
- }
52
-
53
- /**
54
- * Starts a new backtest session.
55
- * @param listener backtest event listener.
56
- * @returns new session object.
57
- */
58
- backtest(listener?: BacktesterListener): [Session, BacktesterStreamer] {
59
- const store = new Store();
60
- const storage = this.descriptor.storage ?? inMemoryStorageFactory();
61
- const feed = new Feed(storage('feed'));
62
- const cache = new Cache(storage('cache'));
63
-
64
- const streamer = new BacktesterStreamer(
65
- store,
66
- feed,
67
- this.descriptor.simulation,
68
- listener
69
- );
70
-
71
- const aggregate = new AdapterAggregate(
72
- this.descriptor.adapter.map(it =>
73
- createBacktesterAdapterFactory(
74
- createPaperAdapterFactory(it, this.descriptor.simulation),
75
- streamer
76
- )
77
- ),
78
- streamer.getTimeProvider(),
79
- store,
80
- cache
81
- );
82
-
83
- const session = new Session(store, aggregate, this.descriptor);
84
-
85
- return [session, streamer];
86
- }
87
-
88
- /**
89
- * Starts a new paper session.
90
- * @returns new session object.
91
- */
92
- paper(): Session {
93
- if (!this.descriptor.simulation) {
94
- this.descriptor.simulation = {
95
- balance: {},
96
- from: undefined,
97
- to: undefined
98
- };
99
- }
100
-
101
- if (!this.descriptor.simulation.balance) {
102
- this.descriptor.simulation.balance = {};
103
- }
104
-
105
- const store = new Store();
106
- const storage = this.descriptor.storage ?? inMemoryStorageFactory();
107
- const cache = new Cache(storage('cache'));
108
-
109
- const aggregate = new AdapterAggregate(
110
- this.descriptor.adapter.map(it =>
111
- createPaperAdapterFactory(it, this.descriptor.simulation)
112
- ),
113
- DefaultTimeProvider,
114
- store,
115
- cache
116
- );
117
-
118
- return new Session(store, aggregate, this.descriptor);
119
- }
120
-
121
- /**
122
- * Starts a new live session.
123
- * @returns new session object.
124
- */
125
- live(): Session {
126
- const store = new Store();
127
- const storage = this.descriptor.storage ?? inMemoryStorageFactory();
128
- const cache = new Cache(storage('cache'));
129
-
130
- const aggregate = new AdapterAggregate(
131
- this.descriptor.adapter,
132
- DefaultTimeProvider,
133
- store,
134
- cache
135
- );
136
-
137
- return new Session(store, aggregate, this.descriptor);
138
- }
139
- }