@quantform/core 0.5.15 → 0.6.4

package/dist/domain/order.js

@@ -1,64 +1,53 @@
 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
 exports.Order = void 0;
-const uuid_1 = require("uuid");
+const shared_1 = require("../shared");
 const error_1 = require("./error");
 class Order {
-    constructor(instrument, type, quantity, rate, stopRate) {
+    constructor(timestamp, id, instrument, quantity, createdAt, rate, stopRate) {
+        this.timestamp = timestamp;
+        this.id = id;
         this.instrument = instrument;
-        this.type = type;
         this.quantity = quantity;
+        this.createdAt = createdAt;
         this.rate = rate;
         this.stopRate = stopRate;
         this.kind = 'order';
-        this.id = (0, uuid_1.v4)();
         this.state = 'NEW';
-        this.quantityExecuted = 0;
+        this.quantityExecuted = shared_1.d.Zero;
         if (!quantity || Number.isNaN(quantity)) {
             throw (0, error_1.invalidArgumentError)(quantity);
         }
-        if (rate && (Number.isNaN(rate) || rate <= 0)) {
+        if (rate && rate.lessThanOrEqualTo(0)) {
             throw (0, error_1.invalidArgumentError)(rate);
         }
     }
-    static market(instrument, quantity) {
-        return new Order(instrument, 'MARKET', quantity);
-    }
-    static limit(instrument, quantity, rate) {
-        return new Order(instrument, 'LIMIT', quantity, rate);
-    }
-    static stopMarket(instrument, quantity, stopRate) {
-        return new Order(instrument, 'STOP-MARKET', quantity, undefined, stopRate);
-    }
-    static stopLimit(instrument, quantity, rate, stopRate) {
-        return new Order(instrument, 'STOP-LIMIT', quantity, rate, stopRate);
-    }
     toString() {
         return this.id;
     }
     calculateBalanceToLock(base, quote) {
-        const qty = Math.abs(this.quantity);
-        if (this.quantity > 0) {
-            switch (this.type) {
-                case 'MARKET':
-                    return {
-                        base: 0,
-                        quote: quote.free
-                    };
-                case 'LIMIT':
-                    return {
-                        base: 0,
-                        quote: quote.asset.ceil(this.rate * qty)
-                    };
+        const qty = this.quantity.abs();
+        if (this.quantity.greaterThan(0)) {
+            if (this.rate) {
+                return {
+                    base: shared_1.d.Zero,
+                    quote: quote.asset.ceil(this.rate.mul(qty))
+                };
+            }
+            else {
+                return {
+                    base: shared_1.d.Zero,
+                    quote: quote.free
+                };
             }
         }
-        if (this.quantity < 0) {
+        if (this.quantity.lessThan(0)) {
             return {
                 base: qty,
-                quote: 0
+                quote: shared_1.d.Zero
             };
         }
+        return {};
     }
 }
 exports.Order = Order;
-//# sourceMappingURL=order.js.map

package/dist/domain/{orderbook.operator.d.ts → orderbook-operator.d.ts}

@@ -4,3 +4,4 @@ import { Component } from './component';
 import { InstrumentSelector } from './instrument';
 import { Orderbook } from './orderbook';
 export declare function orderbook(selector: InstrumentSelector, state: State): (source$: Observable<Component>) => Observable<Orderbook>;
+//# sourceMappingURL=orderbook-operator.d.ts.map

package/dist/domain/orderbook-operator.d.ts.map

@@ -0,0 +1 @@
+{"version":3,"file":"orderbook-operator.d.ts","sourceRoot":"","sources":["../../src/domain/orderbook-operator.ts"],"names":[],"mappings":"AAAA,OAAO,EAAe,UAAU,EAAa,MAAM,MAAM,CAAC;AAE1D,OAAO,EAAE,KAAK,EAAE,MAAM,UAAU,CAAC;AACjC,OAAO,EAAE,SAAS,EAAE,MAAM,aAAa,CAAC;AACxC,OAAO,EAAE,kBAAkB,EAAE,MAAM,cAAc,CAAC;AAClD,OAAO,EAAE,SAAS,EAAE,MAAM,aAAa,CAAC;AAExC,wBAAgB,SAAS,CAAC,QAAQ,EAAE,kBAAkB,EAAE,KAAK,EAAE,KAAK,aACjD,WAAW,SAAS,CAAC,2BAMvC"}

package/dist/domain/{orderbook.operator.js → orderbook-operator.js}

@@ -7,4 +7,3 @@ function orderbook(selector, state) {
     return (source$) => source$.pipe((0, rxjs_1.startWith)(state.orderbook.get(selector.id)), (0, rxjs_1.filter)(it => it instanceof orderbook_1.Orderbook && it.instrument.id == selector.id), (0, rxjs_1.map)(it => it));
 }
 exports.orderbook = orderbook;
-//# sourceMappingURL=orderbook.operator.js.map

package/dist/domain/orderbook.d.ts

@@ -1,16 +1,32 @@
 import { Instrument } from '../domain';
-import { timestamp } from '../shared';
+import { decimal } from '../shared';
 import { Component } from './component';
+export interface Liquidity {
+    rate: decimal;
+    quantity: decimal;
+    next: this | undefined;
+}
+export declare const LiquidityAskComparer: (lhs: {
+    rate: decimal;
+}, rhs: {
+    rate: decimal;
+}) => number;
+export declare const LiquidityBidComparer: (lhs: {
+    rate: decimal;
+}, rhs: {
+    rate: decimal;
+}) => number;
+/**
+ * Provides an access to pending buy and sell orders on the specific market.
+ */
 export declare class Orderbook implements Component {
+    timestamp: number;
     readonly instrument: Instrument;
-    id: string;
-    kind: string;
-    timestamp: timestamp;
-    bestAskRate: number;
-    bestAskQuantity: number;
-    bestBidRate: number;
-    bestBidQuantity: number;
-    get midRate(): number;
-    constructor(instrument: Instrument);
+    asks: Liquidity;
+    bids: Liquidity;
+    readonly id: string;
+    readonly kind = "orderbook";
+    constructor(timestamp: number, instrument: Instrument, asks: Liquidity, bids: Liquidity);
     toString(): string;
 }
+//# sourceMappingURL=orderbook.d.ts.map

package/dist/domain/orderbook.d.ts.map

@@ -0,0 +1 @@
+{"version":3,"file":"orderbook.d.ts","sourceRoot":"","sources":["../../src/domain/orderbook.ts"],"names":[],"mappings":"AAAA,OAAO,EAAE,UAAU,EAAE,MAAM,WAAW,CAAC;AACvC,OAAO,EAAE,OAAO,EAAE,MAAM,WAAW,CAAC;AACpC,OAAO,EAAE,SAAS,EAAE,MAAM,aAAa,CAAC;AAExC,MAAM,WAAW,SAAS;IACxB,IAAI,EAAE,OAAO,CAAC;IACd,QAAQ,EAAE,OAAO,CAAC;IAClB,IAAI,EAAE,IAAI,GAAG,SAAS,CAAC;CACxB;AAED,eAAO,MAAM,oBAAoB,QAAS;IAAE,IAAI,EAAE,OAAO,CAAA;CAAE,OAAO;IAAE,IAAI,EAAE,OAAO,CAAA;CAAE,WACpD,CAAC;AAChC,eAAO,MAAM,oBAAoB,QAAS;IAAE,IAAI,EAAE,OAAO,CAAA;CAAE,OAAO;IAAE,IAAI,EAAE,OAAO,CAAA;CAAE,WACpD,CAAC;AAEhC;;GAEG;AACH,qBAAa,SAAU,YAAW,SAAS;IAKhC,SAAS,EAAE,MAAM;aACR,UAAU,EAAE,UAAU;IAC/B,IAAI,EAAE,SAAS;IACf,IAAI,EAAE,SAAS;IAPxB,QAAQ,CAAC,EAAE,EAAE,MAAM,CAAC;IACpB,QAAQ,CAAC,IAAI,eAAe;gBAGnB,SAAS,EAAE,MAAM,EACR,UAAU,EAAE,UAAU,EAC/B,IAAI,EAAE,SAAS,EACf,IAAI,EAAE,SAAS;IAKxB,QAAQ;CAGT"}

package/dist/domain/orderbook.js

@@ -1,18 +1,24 @@
 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
-exports.Orderbook = void 0;
+exports.Orderbook = exports.LiquidityBidComparer = exports.LiquidityAskComparer = void 0;
+const LiquidityAskComparer = (lhs, rhs) => lhs.rate.comparedTo(rhs.rate);
+exports.LiquidityAskComparer = LiquidityAskComparer;
+const LiquidityBidComparer = (lhs, rhs) => rhs.rate.comparedTo(lhs.rate);
+exports.LiquidityBidComparer = LiquidityBidComparer;
+/**
+ * Provides an access to pending buy and sell orders on the specific market.
+ */
 class Orderbook {
-    constructor(instrument) {
+    constructor(timestamp, instrument, asks, bids) {
+        this.timestamp = timestamp;
         this.instrument = instrument;
+        this.asks = asks;
+        this.bids = bids;
         this.kind = 'orderbook';
         this.id = instrument.id;
     }
-    get midRate() {
-        return this.instrument.quote.fixed((this.bestAskRate + this.bestBidRate) / 2);
-    }
     toString() {
         return this.instrument.toString();
     }
 }
 exports.Orderbook = Orderbook;
-//# sourceMappingURL=orderbook.js.map

package/dist/domain/{position.operator.d.ts → position-operator.d.ts}

@@ -1,10 +1,13 @@
 import { Observable } from 'rxjs';
+import { decimal } from '../shared';
 import { State } from '../store';
+import { Component } from './component';
 import { InstrumentSelector } from './instrument';
 import { Position } from './position';
-export declare function position(selector: InstrumentSelector): (source: Observable<Position>) => Observable<Readonly<Position>>;
-export declare function positions(selector: InstrumentSelector, state: State): (source: Observable<Position>) => Observable<Position[]>;
+export declare function position(selector: InstrumentSelector): (source: Observable<Component>) => Observable<Readonly<Position>>;
+export declare function positions(selector: InstrumentSelector, state: State): (source: Observable<Component>) => Observable<Readonly<Position>[]>;
 export declare function flatten(): (source: Observable<Position[]>) => Observable<{
-    size: number;
-    rate: number;
+    size: decimal;
+    rate: decimal;
 }>;
+//# sourceMappingURL=position-operator.d.ts.map

package/dist/domain/position-operator.d.ts.map

@@ -0,0 +1 @@
+{"version":3,"file":"position-operator.d.ts","sourceRoot":"","sources":["../../src/domain/position-operator.ts"],"names":[],"mappings":"AAAA,OAAO,EAAe,UAAU,EAAoB,MAAM,MAAM,CAAC;AAEjE,OAAO,EAAK,OAAO,EAAgB,MAAM,WAAW,CAAC;AACrD,OAAO,EAAE,KAAK,EAAE,MAAM,UAAU,CAAC;AACjC,OAAO,EAAE,SAAS,EAAE,MAAM,aAAa,CAAC;AAExC,OAAO,EAAE,kBAAkB,EAAE,MAAM,cAAc,CAAC;AAClD,OAAO,EAAE,QAAQ,EAAE,MAAM,YAAY,CAAC;AAEtC,wBAAgB,QAAQ,CAAC,QAAQ,EAAE,kBAAkB,YACnC,WAAW,SAAS,CAAC,oCAKtC;AAED,wBAAgB,SAAS,CAAC,QAAQ,EAAE,kBAAkB,EAAE,KAAK,EAAE,KAAK,YAWlD,WAAW,SAAS,CAAC,sCAMtC;AAED,wBAAgB,OAAO,aAEX,WAAW,QAAQ,EAAE,CAAC,KAC7B,WAAW;IAAE,IAAI,EAAE,OAAO,CAAC;IAAC,IAAI,EAAE,OAAO,CAAA;CAAE,CAAC,CA+BhD"}

package/dist/domain/{position.operator.js → position-operator.js}

@@ -3,12 +3,20 @@ Object.defineProperty(exports, "__esModule", { value: true });
 exports.flatten = exports.positions = exports.position = void 0;
 const rxjs_1 = require("rxjs");
 const shared_1 = require("../shared");
+const error_1 = require("./error");
+const position_1 = require("./position");
 function position(selector) {
-    return (source) => source.pipe((0, rxjs_1.filter)(it => it.kind == 'position' && it.instrument.id == selector.id), (0, rxjs_1.map)(it => it));
+    return (source) => source.pipe((0, rxjs_1.filter)(it => it instanceof position_1.Position && it.instrument.id == selector.id), (0, rxjs_1.map)(it => it));
 }
 exports.position = position;
 function positions(selector, state) {
-    const getter = () => Object.values(state.balance.get(selector.quote.id).position).filter(it => it.instrument.id == selector.id);
+    const balance = state.balance.get(selector.quote.id);
+    if (!balance) {
+        throw (0, error_1.invalidInstrumentSelectorError)(selector.id);
+    }
+    const getter = () => Object.values(balance.position)
+        .filter(it => it.instrument.id == selector.id)
+        .map(it => it);
     return (source) => source.pipe(position(selector), (0, rxjs_1.map)(() => getter()), (0, rxjs_1.startWith)(getter()));
 }
 exports.positions = positions;
@@ -17,7 +25,7 @@ function flatten() {
         return source.pipe((0, rxjs_1.map)(it => {
             if (it.length > 1) {
                 return {
-                    size: it.reduce((aggregate, position) => aggregate + position.size, 0),
+                    size: it.reduce((aggregate, position) => aggregate.add(position.size), shared_1.d.Zero),
                     rate: (0, shared_1.weightedMean)(it.map(x => x.averageExecutionRate), it.map(x => x.size))
                 };
             }
@@ -28,11 +36,10 @@ function flatten() {
                 };
             }
             return {
-                size: 0,
-                rate: 0
+                size: shared_1.d.Zero,
+                rate: shared_1.d.Zero
             };
         }), (0, rxjs_1.share)());
     };
 }
 exports.flatten = flatten;
-//# sourceMappingURL=position.operator.js.map

package/dist/domain/position.d.ts

@@ -1,19 +1,20 @@
 import { Instrument } from '../domain';
-import { timestamp } from '../shared';
+import { decimal } from '../shared';
 import { Component } from './component';
 export declare type PositionMode = 'CROSS' | 'ISOLATED';
 export declare class Position implements Component {
+    timestamp: number;
     readonly id: string;
     readonly instrument: Instrument;
     readonly mode: PositionMode;
-    averageExecutionRate: number;
-    size: number;
+    averageExecutionRate: decimal;
+    size: decimal;
     leverage: number;
-    kind: string;
-    timestamp: timestamp;
-    estimatedUnrealizedPnL?: number;
-    get margin(): number;
-    constructor(id: string, instrument: Instrument, mode: PositionMode, averageExecutionRate: number, size: number, leverage: number);
-    calculateEstimatedUnrealizedPnL(rate: number): number;
+    readonly kind = "position";
+    estimatedUnrealizedPnL?: decimal;
+    get margin(): decimal;
+    constructor(timestamp: number, id: string, instrument: Instrument, mode: PositionMode, averageExecutionRate: decimal, size: decimal, leverage: number);
+    calculateEstimatedUnrealizedPnL(rate: decimal): decimal;
     toString(): string;
 }
+//# sourceMappingURL=position.d.ts.map

package/dist/domain/position.d.ts.map

@@ -0,0 +1 @@
+{"version":3,"file":"position.d.ts","sourceRoot":"","sources":["../../src/domain/position.ts"],"names":[],"mappings":"AAAA,OAAO,EAAE,UAAU,EAAE,MAAM,WAAW,CAAC;AACvC,OAAO,EAAE,OAAO,EAAO,MAAM,WAAW,CAAC;AACzC,OAAO,EAAE,SAAS,EAAE,MAAM,aAAa,CAAC;AAExC,oBAAY,YAAY,GAAG,OAAO,GAAG,UAAU,CAAC;AAEhD,qBAAa,QAAS,YAAW,SAAS;IAS/B,SAAS,EAAE,MAAM;IACxB,QAAQ,CAAC,EAAE,EAAE,MAAM;IACnB,QAAQ,CAAC,UAAU,EAAE,UAAU;IAC/B,QAAQ,CAAC,IAAI,EAAE,YAAY;IACpB,oBAAoB,EAAE,OAAO;IAC7B,IAAI,EAAE,OAAO;IACb,QAAQ,EAAE,MAAM;IAdzB,QAAQ,CAAC,IAAI,cAAc;IAC3B,sBAAsB,CAAC,EAAE,OAAO,CAAC;IAEjC,IAAI,MAAM,IAAI,OAAO,CAEpB;gBAGQ,SAAS,EAAE,MAAM,EACf,EAAE,EAAE,MAAM,EACV,UAAU,EAAE,UAAU,EACtB,IAAI,EAAE,YAAY,EACpB,oBAAoB,EAAE,OAAO,EAC7B,IAAI,EAAE,OAAO,EACb,QAAQ,EAAE,MAAM;IAGzB,+BAA+B,CAAC,IAAI,EAAE,OAAO,GAAG,OAAO;IAQvD,QAAQ;CAGT"}

package/dist/domain/position.js

@@ -3,7 +3,8 @@ Object.defineProperty(exports, "__esModule", { value: true });
 exports.Position = void 0;
 const shared_1 = require("../shared");
 class Position {
-    constructor(id, instrument, mode, averageExecutionRate, size, leverage) {
+    constructor(timestamp, id, instrument, mode, averageExecutionRate, size, leverage) {
+        this.timestamp = timestamp;
         this.id = id;
         this.instrument = instrument;
         this.mode = mode;
@@ -13,10 +14,10 @@ class Position {
         this.kind = 'position';
     }
     get margin() {
-        return this.instrument.quote.fixed(Math.abs(this.size) / this.leverage);
+        return this.instrument.quote.floor(this.size.abs().div(this.leverage));
     }
     calculateEstimatedUnrealizedPnL(rate) {
-        this.estimatedUnrealizedPnL = this.instrument.quote.fixed((0, shared_1.pnl)(this.averageExecutionRate, rate, this.size));
+        this.estimatedUnrealizedPnL = this.instrument.quote.floor((0, shared_1.pnl)(this.averageExecutionRate, rate, this.size));
         return this.estimatedUnrealizedPnL;
     }
     toString() {
@@ -24,4 +25,3 @@ class Position {
     }
 }
 exports.Position = Position;
-//# sourceMappingURL=position.js.map

package/dist/domain/session-builder.d.ts

@@ -0,0 +1,54 @@
+import { AdapterFactory, BacktesterListener, BacktesterStreamer } from '../adapter';
+import { decimal } from '../shared';
+import { StorageFactory } from '../storage';
+import { AssetSelector } from './asset';
+import { Session } from './session';
+export declare type SessionFeature = (builder: SessionBuilder) => void;
+export declare function deposit(selector: AssetSelector, amount: decimal): SessionFeature;
+export declare function period(from: Date, to: Date): SessionFeature;
+export declare class SessionBuilder {
+    id: number;
+    adapter: AdapterFactory[];
+    storage: StorageFactory;
+    balance: Record<string, decimal>;
+    period: {
+        from: number;
+        to: number;
+    };
+    /**
+     * Unique session identifier, used to identify session in the storage.
+     * You can generate new id every time you start the new session or provide
+     * session id explicitly to resume previous session (in code or via CLI).
+     * If you don't provide session id, it will generate new one based on time.
+     */
+    useSessionId(id: number): SessionBuilder;
+    /**
+     * Collection of adapters used to connect to the exchanges.
+     */
+    useAdapter(adapter: AdapterFactory): SessionBuilder;
+    /**
+     * Provides historical data for backtest, it's not required for live and paper
+     * sessions. Stores session variables i.e. indicators, orders, or any other type of time
+     * series data. You can install @quantform/editor to render this data in your browser.
+     */
+    useStorage(storage: StorageFactory): SessionBuilder;
+    useBalance(selector: AssetSelector, amount: decimal): SessionBuilder;
+    usePeriod(from: number, to: number): SessionBuilder;
+    /**
+     * Starts a new backtest session.
+     * @param listener backtest event listener.
+     * @returns new session object.
+     */
+    backtest(listener?: BacktesterListener): [Session, BacktesterStreamer];
+    /**
+     * Starts a new paper session.
+     * @returns new session object.
+     */
+    paper(): Session;
+    /**
+     * Starts a new live session.
+     * @returns new session object.
+     */
+    live(): Session;
+}
+//# sourceMappingURL=session-builder.d.ts.map

package/dist/domain/session-builder.d.ts.map

@@ -0,0 +1 @@
+{"version":3,"file":"session-builder.d.ts","sourceRoot":"","sources":["../../src/domain/session-builder.ts"],"names":[],"mappings":"AAAA,OAAO,EAEL,cAAc,EACd,kBAAkB,EAClB,kBAAkB,EAInB,MAAM,YAAY,CAAC;AACpB,OAAO,EAAE,OAAO,EAAO,MAAM,WAAW,CAAC;AACzC,OAAO,EAKL,cAAc,EACf,MAAM,YAAY,CAAC;AAEpB,OAAO,EAAE,aAAa,EAAE,MAAM,SAAS,CAAC;AACxC,OAAO,EAAE,OAAO,EAAE,MAAM,WAAW,CAAC;AAEpC,oBAAY,cAAc,GAAG,CAAC,OAAO,EAAE,cAAc,KAAK,IAAI,CAAC;AAE/D,wBAAgB,OAAO,CAAC,QAAQ,EAAE,aAAa,EAAE,MAAM,EAAE,OAAO,GAAG,cAAc,CAIhF;AAED,wBAAgB,MAAM,CAAC,IAAI,EAAE,IAAI,EAAE,EAAE,EAAE,IAAI,GAAG,cAAc,CAI3D;AAED,qBAAa,cAAc;IAClB,EAAE,EAAE,MAAM,CAAS;IACnB,OAAO,mBAA+B;IACtC,OAAO,EAAE,cAAc,CAA4B;IACnD,OAAO,EAAE,MAAM,CAAC,MAAM,EAAE,OAAO,CAAC,CAAM;IACtC,MAAM;;;MAGX;IAEF;;;;;OAKG;IACH,YAAY,CAAC,EAAE,EAAE,MAAM,GAAG,cAAc;IAMxC;;OAEG;IACH,UAAU,CAAC,OAAO,EAAE,cAAc,GAAG,cAAc;IAMnD;;;;OAIG;IACH,UAAU,CAAC,OAAO,EAAE,cAAc,GAAG,cAAc;IAMnD,UAAU,CAAC,QAAQ,EAAE,aAAa,EAAE,MAAM,EAAE,OAAO,GAAG,cAAc;IAMpE,SAAS,CAAC,IAAI,EAAE,MAAM,EAAE,EAAE,EAAE,MAAM,GAAG,cAAc;IAOnD;;;;OAIG;IACH,QAAQ,CAAC,QAAQ,CAAC,EAAE,kBAAkB,GAAG,CAAC,OAAO,EAAE,kBAAkB,CAAC;IAyBtE;;;OAGG;IACH,KAAK,IAAI,OAAO;IAehB;;;OAGG;IACH,IAAI,IAAI,OAAO;CAchB"}

package/dist/domain/session-builder.js

@@ -0,0 +1,105 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.SessionBuilder = exports.period = exports.deposit = void 0;
+const adapter_1 = require("../adapter");
+const shared_1 = require("../shared");
+const storage_1 = require("../storage");
+const store_1 = require("../store");
+const session_1 = require("./session");
+function deposit(selector, amount) {
+    return (builder) => {
+        builder.useBalance(selector, amount);
+    };
+}
+exports.deposit = deposit;
+function period(from, to) {
+    return (builder) => {
+        builder.usePeriod(from.getTime(), to.getTime());
+    };
+}
+exports.period = period;
+class SessionBuilder {
+    constructor() {
+        this.id = (0, shared_1.now)();
+        this.adapter = new Array();
+        this.storage = (0, storage_1.inMemoryStorageFactory)();
+        this.balance = {};
+        this.period = {
+            from: 0,
+            to: Number.MAX_VALUE
+        };
+    }
+    /**
+     * Unique session identifier, used to identify session in the storage.
+     * You can generate new id every time you start the new session or provide
+     * session id explicitly to resume previous session (in code or via CLI).
+     * If you don't provide session id, it will generate new one based on time.
+     */
+    useSessionId(id) {
+        this.id = id;
+        return this;
+    }
+    /**
+     * Collection of adapters used to connect to the exchanges.
+     */
+    useAdapter(adapter) {
+        this.adapter.push(adapter);
+        return this;
+    }
+    /**
+     * Provides historical data for backtest, it's not required for live and paper
+     * sessions. Stores session variables i.e. indicators, orders, or any other type of time
+     * series data. You can install @quantform/editor to render this data in your browser.
+     */
+    useStorage(storage) {
+        this.storage = storage;
+        return this;
+    }
+    useBalance(selector, amount) {
+        this.balance[selector.toString()] = amount;
+        return this;
+    }
+    usePeriod(from, to) {
+        this.period.from = from;
+        this.period.to = to;
+        return this;
+    }
+    /**
+     * Starts a new backtest session.
+     * @param listener backtest event listener.
+     * @returns new session object.
+     */
+    backtest(listener) {
+        const store = new store_1.Store();
+        const feed = new storage_1.Feed(this.storage('feed'));
+        const cache = new storage_1.Cache(this.storage('cache'));
+        const measurement = new storage_1.Measurement(this.storage('measurement'));
+        const streamer = new adapter_1.BacktesterStreamer(store, feed, this.period, listener);
+        const aggregate = new adapter_1.AdapterAggregate(this.adapter.map(it => (0, adapter_1.createBacktesterAdapterFactory)((0, adapter_1.createPaperAdapterFactory)(it, { balance: this.balance }), streamer)), streamer.getTimeProvider(), store, cache);
+        const session = new session_1.Session(this.id, store, aggregate, measurement);
+        return [session, streamer];
+    }
+    /**
+     * Starts a new paper session.
+     * @returns new session object.
+     */
+    paper() {
+        const store = new store_1.Store();
+        const cache = new storage_1.Cache(this.storage('cache'));
+        const measurement = new storage_1.Measurement(this.storage('measurement'));
+        const aggregate = new adapter_1.AdapterAggregate(this.adapter.map(it => (0, adapter_1.createPaperAdapterFactory)(it, { balance: this.balance })), adapter_1.DefaultTimeProvider, store, cache);
+        return new session_1.Session(this.id, store, aggregate, measurement);
+    }
+    /**
+     * Starts a new live session.
+     * @returns new session object.
+     */
+    live() {
+        const store = new store_1.Store();
+        const cache = new storage_1.Cache(this.storage('cache'));
+        const measurement = new storage_1.Measurement(this.storage('measurement'));
+        const aggregate = new adapter_1.AdapterAggregate(this.adapter, adapter_1.DefaultTimeProvider, store, cache);
+        return new session_1.Session(this.id, store, aggregate, measurement);
+    }
+}
+exports.SessionBuilder = SessionBuilder;

package/dist/domain/session.d.ts

@@ -1,36 +1,77 @@
 import { Observable } from 'rxjs';
-import { AdapterFactory, BacktesterOptions, PaperOptions } from '../adapter';
 import { AdapterAggregate } from '../adapter/adapter-aggregate';
 import { AssetSelector, Balance, Candle, Instrument, InstrumentSelector, Order, Orderbook, Position, Trade } from '../domain';
-import { StorageFactory } from '../storage';
+import { decimal } from '../shared';
+import { Measurement } from '../storage';
 import { Store } from '../store';
-export interface SessionDescriptor {
-    id?: number;
-    adapter: AdapterFactory[];
-    storage?: StorageFactory;
-    simulation?: PaperOptions & BacktesterOptions;
-}
+declare type Optional<T, K extends keyof T> = Omit<T, K> & Partial<T>;
 export declare class Session {
+    readonly id: number;
     readonly store: Store;
     readonly aggregate: AdapterAggregate;
-    readonly descriptor?: SessionDescriptor;
+    readonly measurement: Measurement | undefined;
     private initialized;
-    private subscription;
     get timestamp(): number;
-    constructor(store: Store, aggregate: AdapterAggregate, descriptor?: SessionDescriptor);
-    awake(describe: (session: Session) => Observable<any>): Promise<void>;
+    constructor(id: number, store: Store, aggregate: AdapterAggregate, measurement: Measurement | undefined);
+    awake(): Promise<void>;
     dispose(): Promise<void>;
+    /**
+     * Subscribes to specific instrument. Usually forces adapter to subscribe
+     * for orderbook and ticker streams.
+     */
     subscribe(instrument: Array<InstrumentSelector>): Promise<void>;
-    open(order: Order): Observable<Readonly<Order>>;
+    /**
+     * Opens a new order.
+     */
+    open(order: {
+        instrument: InstrumentSelector;
+        quantity: decimal;
+        rate?: decimal;
+    }): Observable<Readonly<Order>>;
+    /**
+     * Cancels specific order.
+     */
     cancel(order: Order): Observable<Readonly<Order>>;
+    /**
+     * Subscribes to specific instrument changes.
+     * When adapter awake then it will fetch collection of all available instruments.
+     */
     instrument(selector: InstrumentSelector): Observable<Readonly<Instrument>>;
+    /**
+     * Subscribes to instruments changes.
+     * When adapter awake then it will fetch collection of all available instruments.
+     */
     instruments(): Observable<Readonly<Instrument[]>>;
+    /**
+     * Subscribes to balance changes.
+     */
     balance(selector: AssetSelector): Observable<Readonly<Balance>>;
+    /**
+     * Subscribes to trade/ticker changes.
+     */
     trade(selector: InstrumentSelector): Observable<Readonly<Trade>>;
+    /**
+     * Subscribes to orderbook changes.
+     * Right now you can access only best bid and best ask.
+     */
     orderbook(selector: InstrumentSelector): Observable<Readonly<Orderbook>>;
+    /**
+     * Subscribes to position on leveraged market.
+     */
     position(selector: InstrumentSelector): Observable<Readonly<Position>>;
+    /**
+     * Subscribes to positions on leveraged markets.
+     */
     positions(selector: InstrumentSelector): Observable<Readonly<Position[]>>;
     order(selector: InstrumentSelector): Observable<Readonly<Order>>;
     orders(selector: InstrumentSelector): Observable<Readonly<Order[]>>;
     history(selector: InstrumentSelector, timeframe: number, length: number): Observable<Readonly<Candle>>;
+    measure<T extends {
+        timestamp: number;
+    }>(spec: {
+        kind: string;
+        timestamp?: number;
+    }, defaultValue?: Optional<T, 'timestamp'>): [Observable<T>, (value: T) => void];
 }
+export {};
+//# sourceMappingURL=session.d.ts.map

package/dist/domain/session.d.ts.map

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