@quantform/core 0.5.15 → 0.6.4

package/src/indicator/swma.ts

@@ -1,24 +0,0 @@
-import { filter, map, Observable, share } from 'rxjs';
-
-import { window } from './window';
-
-export function swma<T>(fn: (it: T) => number) {
-  return function (source: Observable<T>): Observable<[T, number]> {
-    return source.pipe(
-      window(4, fn),
-      filter(([, buffer]) => buffer.isFull),
-      map(([it, buffer]) => {
-        const x3 = buffer.at(buffer.capacity - (3 + 1));
-        const x2 = buffer.at(buffer.capacity - (2 + 1));
-        const x1 = buffer.at(buffer.capacity - (1 + 1));
-        const x0 = buffer.at(buffer.capacity - (0 + 1));
-
-        const value = (x3 * 1) / 6 + (x2 * 2) / 6 + (x1 * 2) / 6 + (x0 * 1) / 6;
-
-        const tuple: [T, number] = [it, value];
-        return tuple;
-      }),
-      share()
-    );
-  };
-}

package/src/indicator/tma.spec.ts

@@ -1,20 +0,0 @@
-import { from } from 'rxjs';
-
-import { tma } from './tma';
-
-describe('tma', () => {
-  test('should return expected value', done => {
-    let value;
-
-    //12 Dec 2020 00:00
-    from([18086.36, 18116.15, 18127.81, 18136.17, 18092.15, 18082.39, 18065.4, 18046.47])
-      .pipe(tma(4, it => it))
-      .subscribe({
-        next: ([, it]) => (value = it),
-        complete: () => {
-          expect(parseFloat(value.toFixed(2))).toBe(18090.98);
-          done();
-        }
-      });
-  });
-});

package/src/indicator/tma.ts

@@ -1,19 +0,0 @@
-import { map, Observable, share } from 'rxjs';
-
-import { swma } from './swma';
-import { wma } from './wma';
-
-export function tma<T>(length: number, fn: (it: T) => number) {
-  return function (source: Observable<T>): Observable<[T, number]> {
-    return source.pipe(
-      wma(length, fn),
-      swma(([, it]) => it),
-      map(([[it], swma]) => {
-        const tuple: [T, number] = [it, swma];
-
-        return tuple;
-      }),
-      share()
-    );
-  };
-}

package/src/indicator/trailing.spec.ts

@@ -1,75 +0,0 @@
-import { from } from 'rxjs';
-
-import { trailingdown, trailingup } from './trailing';
-
-describe('trailingup', () => {
-  test('should trigger uptrend once', done => {
-    let triggered = false;
-
-    from([1, 2, 3, 2, 3])
-      .pipe(trailingup(3, 1, it => it))
-      .subscribe({
-        next: it => {
-          expect(it).toBe(2);
-          triggered = true;
-        },
-        complete: () => {
-          expect(triggered).toBe(true);
-          done();
-        }
-      });
-  });
-
-  test('should trigger uptrend twice', done => {
-    let triggered = 0;
-
-    from([1, 2, 3, 2, 3, 2, 3])
-      .pipe(trailingup(3, 1, it => it))
-      .subscribe({
-        next: it => {
-          expect(it).toBe(2);
-          triggered++;
-        },
-        complete: () => {
-          expect(triggered).toBe(2);
-          done();
-        }
-      });
-  });
-});
-
-describe('trailingdown', () => {
-  test('should trigger downtrend once', done => {
-    let triggered = false;
-
-    from([3, 2, 1, 2, 1])
-      .pipe(trailingdown(3, 1, it => it))
-      .subscribe({
-        next: it => {
-          expect(it).toBe(2);
-          triggered = true;
-        },
-        complete: () => {
-          expect(triggered).toBe(true);
-          done();
-        }
-      });
-  });
-
-  test('should trigger downtrend twice', done => {
-    let triggered = 0;
-
-    from([3, 2, 1, 2, 1, 2, 1])
-      .pipe(trailingdown(3, 1, it => it))
-      .subscribe({
-        next: it => {
-          expect(it).toBe(2);
-          triggered++;
-        },
-        complete: () => {
-          expect(triggered).toBe(2);
-          done();
-        }
-      });
-  });
-});

package/src/indicator/trailing.ts

@@ -1,75 +0,0 @@
-import { filter, Observable } from 'rxjs';
-
-export class Trailing {
-  private triggered = false;
-  private max = null;
-  private min = null;
-
-  constructor(readonly trigger: number, readonly buffer: number) {}
-
-  up(value: number): boolean {
-    if (value >= this.trigger) {
-      this.triggered = true;
-    }
-
-    if (this.triggered) {
-      if (!this.max) {
-        this.max = value;
-      } else {
-        this.max = Math.max(this.max, value);
-      }
-    }
-
-    if (this.triggered && value <= this.max - this.buffer) {
-      this.triggered = false;
-      this.max = null;
-
-      return true;
-    }
-
-    return false;
-  }
-
-  down(value: number): boolean {
-    if (value <= this.trigger) {
-      this.triggered = true;
-    }
-
-    if (this.triggered) {
-      if (!this.min) {
-        this.min = value;
-      } else {
-        this.min = Math.min(this.min, value);
-      }
-    }
-
-    if (this.triggered && value >= this.min + this.buffer) {
-      this.triggered = false;
-      this.min = null;
-
-      return true;
-    }
-
-    return false;
-  }
-}
-
-export function trailingup<T>(trigger: number, buffer: number, value: (it: T) => number) {
-  return function (source: Observable<T>): Observable<T> {
-    const trailing = new Trailing(trigger, buffer);
-
-    return source.pipe(filter(it => trailing.up(value(it))));
-  };
-}
-
-export function trailingdown<T>(
-  trigger: number,
-  buffer: number,
-  value: (it: T) => number
-) {
-  return function (source: Observable<T>): Observable<T> {
-    const trailing = new Trailing(trigger, buffer);
-
-    return source.pipe(filter(it => trailing.down(value(it))));
-  };
-}

package/src/indicator/truerange.spec.ts

@@ -1,32 +0,0 @@
-import { from } from 'rxjs';
-
-import { Candle } from '../domain';
-import { now } from '../shared';
-import { sma } from './sma';
-import { truerange } from './truerange';
-
-describe('truerange', () => {
-  test('should return expected value', done => {
-    let value;
-
-    //12 Dec 2020 00:00
-    from([
-      new Candle(now(), 18127.81, 18149.75, 18100.0, 18136.17),
-      new Candle(now(), 18136.17, 18136.18, 18089.75, 18092.15),
-      new Candle(now(), 18092.15, 18120.03, 18081.0, 18082.39),
-      new Candle(now(), 18082.39, 18087.04, 18041.0, 18065.4),
-      new Candle(now(), 18066.11, 18079.15, 18041.0, 18046.47)
-    ])
-      .pipe(
-        truerange(it => it),
-        sma(4, ([, it]) => it)
-      )
-      .subscribe({
-        next: ([, it]) => (value = it),
-        complete: () => {
-          expect(parseFloat(value.toFixed(2))).toBe(42.41);
-          done();
-        }
-      });
-  });
-});

package/src/indicator/truerange.ts

@@ -1,31 +0,0 @@
-import { map, Observable, share } from 'rxjs';
-
-import { Candle } from '../domain';
-
-export function truerange<T>(fn: (it: T) => Candle) {
-  return function (source: Observable<T>): Observable<[T, number]> {
-    let previous;
-
-    return source.pipe(
-      map(it => {
-        const current = fn(it);
-
-        const value =
-          previous == null
-            ? current.high - current.low
-            : Math.max(
-                Math.max(
-                  current.high - current.low,
-                  Math.abs(current.high - previous.close)
-                ),
-                Math.abs(current.low - previous.close)
-              );
-
-        const tuple: [T, number] = [it, value];
-
-        return tuple;
-      }),
-      share()
-    );
-  };
-}

package/src/indicator/window.ts

@@ -1,28 +0,0 @@
-import { map, Observable, share } from 'rxjs';
-
-import { RingBuffer } from './ring-buffer';
-
-export function window<T, Y>(length: number, fn: (value: T) => Y) {
-  return function (source: Observable<T>): Observable<[T, RingBuffer<Y>, Y, Y]> {
-    const buffer = new RingBuffer<Y>(length);
-
-    return source.pipe(
-      map(it => {
-        let removed = null;
-
-        if (buffer.isFull) {
-          removed = buffer.peek();
-        }
-
-        const value = fn(it);
-
-        buffer.enqueue(value);
-
-        const tuple: [T, RingBuffer<Y>, Y, Y] = [it, buffer, value, removed];
-
-        return tuple;
-      }),
-      share()
-    );
-  };
-}

package/src/indicator/wma.spec.ts

@@ -1,19 +0,0 @@
-import { from } from 'rxjs';
-
-import { wma } from './wma';
-
-describe('wma', () => {
-  test('should return expected value', done => {
-    let value;
-    //12 Dec 2020 00:00
-    from([18136.17, 18092.15, 18082.39, 18065.4, 18046.47])
-      .pipe(wma(5, it => it))
-      .subscribe({
-        next: ([, it]) => (value = it),
-        complete: () => {
-          expect(parseFloat(value.toFixed(2))).toBe(18070.77);
-          done();
-        }
-      });
-  });
-});

package/src/indicator/wma.ts

@@ -1,28 +0,0 @@
-import { filter, map, Observable, share } from 'rxjs';
-
-import { window } from './window';
-
-export function wma<T>(length: number, fn: (it: T) => number) {
-  return function (source: Observable<T>): Observable<[T, number]> {
-    return source.pipe(
-      window(length, fn),
-      filter(([, buffer]) => buffer.isFull),
-      map(([it, buffer]) => {
-        let norm = 0.0;
-        let sum = 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;
-        }
-
-        const tuple: [T, number] = [it, sum / norm];
-
-        return tuple;
-      }),
-      share()
-    );
-  };
-}

package/src/shared/io.ts

@@ -1,3 +0,0 @@
-export function workingDirectory() {
-  return './.quantform/';
-}

package/src/store/store-order.event.spec.ts

@@ -1,28 +0,0 @@
-import { Asset, Instrument, Order } from '../domain';
-import { now } from '../shared';
-import { Store } from '../store';
-import { OrderLoadEvent } from './store-order.event';
-
-const instrument = new Instrument(
-  new Asset('btc', 'binance', 8),
-  new Asset('usdt', 'binance', 2),
-  'binance:btc-usdt'
-);
-
-describe('OrderLoadEvent', () => {
-  test('should load order to store', () => {
-    const timestamp = now();
-    const store = new Store();
-    const order = Order.market(instrument, 1.0);
-
-    order.state = 'PENDING';
-
-    store.snapshot.universe.instrument.upsert(instrument);
-    store.snapshot.subscription.instrument.upsert(instrument);
-
-    store.dispatch(new OrderLoadEvent(order, timestamp));
-
-    expect(store.snapshot.order.asReadonlyArray().length).toEqual(1);
-    expect(store.snapshot.order.get(instrument.id).get(order.id)).toEqual(order);
-  });
-});

package/src/store/store-orderbook.event.ts

@@ -1,54 +0,0 @@
-import { InstrumentSelector, Orderbook } from '../domain';
-import { timestamp } from '../shared';
-import { StoreEvent } from './store.event';
-import { State, StateChangeTracker } from './store-state';
-
-export class OrderbookPatchEvent implements StoreEvent {
-  constructor(
-    readonly instrument: InstrumentSelector,
-    readonly bestAskRate: number,
-    readonly bestAskQuantity: number,
-    readonly bestBidRate: number,
-    readonly bestBidQuantity: number,
-    readonly timestamp: timestamp
-  ) {}
-
-  handle(state: State, changes: StateChangeTracker): void {
-    if (!state.subscription.instrument.get(this.instrument.id)) {
-      throw new Error(`Trying to patch unsubscribed instrument: ${this.instrument.id}`);
-    }
-
-    const orderbook = state.orderbook.tryGetOrSet(
-      this.instrument.id,
-      () => new Orderbook(state.universe.instrument.get(this.instrument.id))
-    );
-
-    state.timestamp = this.timestamp;
-
-    orderbook.timestamp = this.timestamp;
-    orderbook.bestAskRate = orderbook.instrument.quote.fixed(this.bestAskRate);
-    orderbook.bestAskQuantity = orderbook.instrument.base.fixed(this.bestAskQuantity);
-    orderbook.bestBidRate = orderbook.instrument.quote.fixed(this.bestBidRate);
-    orderbook.bestBidQuantity = orderbook.instrument.base.fixed(this.bestBidQuantity);
-
-    const quote = state.balance.get(orderbook.instrument.quote.id);
-
-    if (quote) {
-      for (const position of Object.values(quote.position)) {
-        if (position.instrument.id != orderbook.instrument.id) {
-          continue;
-        }
-
-        const rate = position.size >= 0 ? orderbook.bestBidRate : orderbook.bestAskRate;
-
-        position.calculateEstimatedUnrealizedPnL(rate);
-      }
-
-      if (quote.total < 0) {
-        throw new Error('liquidated');
-      }
-    }
-
-    changes.commit(orderbook);
-  }
-}