@quantform/core 0.5.15 → 0.6.4

package/dist/domain/session.js

@@ -1,83 +1,125 @@
 "use strict";
+var __awaiter = (this && this.__awaiter) || function (thisArg, _arguments, P, generator) {
+    function adopt(value) { return value instanceof P ? value : new P(function (resolve) { resolve(value); }); }
+    return new (P || (P = Promise))(function (resolve, reject) {
+        function fulfilled(value) { try { step(generator.next(value)); } catch (e) { reject(e); } }
+        function rejected(value) { try { step(generator["throw"](value)); } catch (e) { reject(e); } }
+        function step(result) { result.done ? resolve(result.value) : adopt(result.value).then(fulfilled, rejected); }
+        step((generator = generator.apply(thisArg, _arguments || [])).next());
+    });
+};
 Object.defineProperty(exports, "__esModule", { value: true });
 exports.Session = void 0;
 const rxjs_1 = require("rxjs");
+const uuid_1 = require("uuid");
 const domain_1 = require("../domain");
-const shared_1 = require("../shared");
-const balance_operator_1 = require("./balance.operator");
-const instrument_operator_1 = require("./instrument.operator");
-const order_operator_1 = require("./order.operator");
-const orderbook_operator_1 = require("./orderbook.operator");
-const position_operator_1 = require("./position.operator");
-const trade_operator_1 = require("./trade.operator");
+const balance_operator_1 = require("./balance-operator");
+const instrument_operator_1 = require("./instrument-operator");
+const order_operator_1 = require("./order-operator");
+const orderbook_operator_1 = require("./orderbook-operator");
+const position_operator_1 = require("./position-operator");
+const trade_operator_1 = require("./trade-operator");
 class Session {
-    constructor(store, aggregate, descriptor) {
+    constructor(id, store, aggregate, measurement) {
+        this.id = id;
         this.store = store;
         this.aggregate = aggregate;
-        this.descriptor = descriptor;
+        this.measurement = measurement;
         this.initialized = false;
-        if (descriptor && !descriptor.id) {
-            descriptor.id = (0, shared_1.now)();
-        }
     }
     get timestamp() {
         return this.store.snapshot.timestamp;
     }
-    async awake(describe) {
-        if (this.initialized) {
-            return;
-        }
-        this.initialized = true;
-        await this.aggregate.awake();
-        if (describe) {
-            this.subscription = describe(this)
-                .pipe((0, rxjs_1.finalize)(() => this.dispose()))
-                .subscribe();
-        }
-    }
-    async dispose() {
-        if (!this.initialized) {
-            return;
-        }
-        if (this.subscription) {
-            this.subscription.unsubscribe();
-            this.subscription = undefined;
-        }
-        this.store.dispose();
-        await this.aggregate.dispose();
-        this.initialized = false;
-    }
+    awake() {
+        return __awaiter(this, void 0, void 0, function* () {
+            if (this.initialized) {
+                return;
+            }
+            this.initialized = true;
+            // awake all adapters and synchronize trading accounts with store.
+            yield this.aggregate.awake();
+        });
+    }
+    dispose() {
+        return __awaiter(this, void 0, void 0, function* () {
+            if (!this.initialized) {
+                return;
+            }
+            this.store.dispose();
+            yield this.aggregate.dispose();
+            this.initialized = false;
+        });
+    }
+    /**
+     * Subscribes to specific instrument. Usually forces adapter to subscribe
+     * for orderbook and ticker streams.
+     */
     subscribe(instrument) {
         return this.aggregate.subscribe(instrument);
     }
+    /**
+     * Opens a new order.
+     */
     open(order) {
-        return (0, rxjs_1.from)(this.aggregate.open(order)).pipe((0, rxjs_1.switchMap)(() => this.order(order.instrument).pipe((0, rxjs_1.filter)(it => it.id == order.id))));
+        const instrument = this.store.snapshot.universe.instrument.get(order.instrument.id);
+        if (!instrument) {
+            throw (0, domain_1.invalidInstrumentSelectorError)(order.instrument.id);
+        }
+        const newOrder = new domain_1.Order(this.timestamp, (0, uuid_1.v4)(), instrument, order.quantity, this.timestamp, order.rate);
+        return (0, rxjs_1.of)(newOrder).pipe((0, rxjs_1.switchMap)(() => this.aggregate.open(newOrder)), (0, rxjs_1.switchMap)(() => this.order(order.instrument).pipe((0, rxjs_1.filter)(it => it.id == newOrder.id))));
     }
+    /**
+     * Cancels specific order.
+     */
     cancel(order) {
-        return (0, rxjs_1.defer)(() => (0, rxjs_1.from)(this.aggregate.cancel(order))).pipe((0, rxjs_1.switchMap)(() => this.store.changes$.pipe((0, rxjs_1.filter)(it => it instanceof domain_1.Order && order.id == it.id))), (0, rxjs_1.map)(it => it));
+        return (0, rxjs_1.defer)(() => (0, rxjs_1.from)(this.aggregate.cancel(order))).pipe((0, rxjs_1.switchMap)(() => this.order(order.instrument).pipe((0, rxjs_1.filter)(it => it.id == order.id))));
     }
+    /**
+     * Subscribes to specific instrument changes.
+     * When adapter awake then it will fetch collection of all available instruments.
+     */
     instrument(selector) {
         this.subscribe([selector]);
         return this.store.changes$.pipe((0, instrument_operator_1.instrument)(selector, this.store.snapshot));
     }
+    /**
+     * Subscribes to instruments changes.
+     * When adapter awake then it will fetch collection of all available instruments.
+     */
     instruments() {
         return this.store.changes$.pipe((0, instrument_operator_1.instruments)(this.store.snapshot));
     }
+    /**
+     * Subscribes to balance changes.
+     */
     balance(selector) {
         return this.store.changes$.pipe((0, balance_operator_1.balance)(selector, this.store.snapshot));
     }
+    /**
+     * Subscribes to trade/ticker changes.
+     */
     trade(selector) {
         this.subscribe([selector]);
         return this.store.changes$.pipe((0, trade_operator_1.trade)(selector, this.store.snapshot));
     }
+    /**
+     * Subscribes to orderbook changes.
+     * Right now you can access only best bid and best ask.
+     */
     orderbook(selector) {
         this.subscribe([selector]);
         return this.store.changes$.pipe((0, orderbook_operator_1.orderbook)(selector, this.store.snapshot));
     }
+    /**
+     * Subscribes to position on leveraged market.
+     */
     position(selector) {
         this.subscribe([selector]);
         return this.store.changes$.pipe((0, position_operator_1.position)(selector));
     }
+    /**
+     * Subscribes to positions on leveraged markets.
+     */
     positions(selector) {
         this.subscribe([selector]);
         return this.store.changes$.pipe((0, position_operator_1.positions)(selector, this.store.snapshot));
@@ -91,8 +133,30 @@ class Session {
         return this.store.changes$.pipe((0, order_operator_1.orders)(selector, this.store.snapshot));
     }
     history(selector, timeframe, length) {
-        return this.store.changes$.pipe((0, rxjs_1.startWith)(this.store.snapshot.universe.instrument.get(selector.id)), (0, rxjs_1.filter)(it => it instanceof domain_1.Instrument && it.id == selector.id), (0, rxjs_1.switchMap)(() => (0, rxjs_1.from)(this.aggregate.history({ instrument: selector, timeframe, length }))), (0, rxjs_1.take)(1), (0, rxjs_1.shareReplay)(), (0, rxjs_1.mergeMap)(it => it));
+        return this.store.changes$.pipe((0, rxjs_1.startWith)(this.store.snapshot.universe.instrument.get(selector.id)), (0, rxjs_1.filter)(it => it instanceof domain_1.Instrument && it.id == selector.id), (0, rxjs_1.switchMap)(() => (0, rxjs_1.from)(this.aggregate.history(selector, timeframe, length))), (0, rxjs_1.take)(1), (0, rxjs_1.shareReplay)(), (0, rxjs_1.mergeMap)(it => it));
+    }
+    measure(spec, defaultValue) {
+        var _a;
+        if (!this.measurement) {
+            throw new Error();
+        }
+        const changes$ = new rxjs_1.ReplaySubject();
+        const persisted$ = (0, rxjs_1.from)(this.measurement.query(this.id, {
+            to: (_a = spec.timestamp) !== null && _a !== void 0 ? _a : this.timestamp,
+            kind: spec.kind,
+            count: 1
+        })).pipe((0, rxjs_1.map)(it => it.length ? Object.assign({ timestamp: it[0].timestamp }, it[0].payload) : defaultValue), (0, rxjs_1.share)());
+        const setter = (value) => {
+            var _a, _b;
+            const timestamp = (_a = value.timestamp) !== null && _a !== void 0 ? _a : this.timestamp;
+            const measure = { timestamp, kind: spec.kind, payload: value };
+            (_b = this.measurement) === null || _b === void 0 ? void 0 : _b.save(this.id, [measure]);
+            changes$.next(Object.assign(Object.assign({}, value), { timestamp }));
+        };
+        return [
+            (0, rxjs_1.concat)(persisted$, changes$.asObservable()).pipe((0, rxjs_1.filter)(it => it !== undefined)),
+            setter
+        ];
     }
 }
 exports.Session = Session;
-//# sourceMappingURL=session.js.map

package/dist/domain/timeframe.d.ts

@@ -12,3 +12,4 @@ export declare class Timeframe {
     static W1: number;
 }
 export declare function tf(timestamp: number, timeframe: number): number;
+//# sourceMappingURL=timeframe.d.ts.map

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

@@ -0,0 +1 @@
+{"version":3,"file":"timeframe.d.ts","sourceRoot":"","sources":["../../src/domain/timeframe.ts"],"names":[],"mappings":"AAAA,qBAAa,SAAS;IACpB,MAAM,CAAC,EAAE,SAAQ;IACjB,MAAM,CAAC,EAAE,SAAqB;IAC9B,MAAM,CAAC,EAAE,SAAoB;IAC7B,MAAM,CAAC,GAAG,SAAoB;IAC9B,MAAM,CAAC,GAAG,SAAqB;IAC/B,MAAM,CAAC,EAAE,SAAqB;IAC9B,MAAM,CAAC,EAAE,SAAoB;IAC7B,MAAM,CAAC,EAAE,SAAoB;IAC7B,MAAM,CAAC,GAAG,SAAoB;IAC9B,MAAM,CAAC,EAAE,SAAqB;IAC9B,MAAM,CAAC,EAAE,SAAoB;CAC9B;AAED,wBAAgB,EAAE,CAAC,SAAS,EAAE,MAAM,EAAE,SAAS,EAAE,MAAM,GAAG,MAAM,CAE/D"}

package/dist/domain/timeframe.js

@@ -19,4 +19,3 @@ function tf(timestamp, timeframe) {
     return timestamp - (timestamp % timeframe);
 }
 exports.tf = tf;
-//# sourceMappingURL=timeframe.js.map

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

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

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

@@ -0,0 +1 @@
+{"version":3,"file":"trade-operator.d.ts","sourceRoot":"","sources":["../../src/domain/trade-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,KAAK,EAAE,MAAM,SAAS,CAAC;AAEhC,wBAAgB,KAAK,CAAC,QAAQ,EAAE,kBAAkB,EAAE,KAAK,EAAE,KAAK,aAC7C,WAAW,SAAS,CAAC,uBAMvC"}

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

@@ -7,4 +7,3 @@ function trade(selector, state) {
     return (source$) => source$.pipe((0, rxjs_1.startWith)(state.trade.get(selector.id)), (0, rxjs_1.filter)(it => it instanceof trade_1.Trade && it.instrument.id == selector.id), (0, rxjs_1.map)(it => it));
 }
 exports.trade = trade;
-//# sourceMappingURL=trade.operator.js.map

package/dist/domain/trade.d.ts

@@ -1,13 +1,18 @@
-import { timestamp } from '../shared';
+import { decimal } from '../shared';
 import { Instrument } from '.';
 import { Component } from './component';
+/**
+ * Simple trade or ticker executed on the market, it's a match of buyer
+ * and seller of the same asset.
+ */
 export declare class Trade implements Component {
+    timestamp: number;
     readonly instrument: Instrument;
-    id: string;
-    kind: string;
-    timestamp: timestamp;
-    rate: number;
-    quantity: number;
-    constructor(instrument: Instrument);
+    rate: decimal;
+    quantity: decimal;
+    readonly id: string;
+    readonly kind = "trade";
+    constructor(timestamp: number, instrument: Instrument, rate: decimal, quantity: decimal);
     toString(): string;
 }
+//# sourceMappingURL=trade.d.ts.map

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

@@ -0,0 +1 @@
+{"version":3,"file":"trade.d.ts","sourceRoot":"","sources":["../../src/domain/trade.ts"],"names":[],"mappings":"AAAA,OAAO,EAAE,OAAO,EAAE,MAAM,WAAW,CAAC;AACpC,OAAO,EAAE,UAAU,EAAE,MAAM,GAAG,CAAC;AAC/B,OAAO,EAAE,SAAS,EAAE,MAAM,aAAa,CAAC;AAExC;;;GAGG;AACH,qBAAa,KAAM,YAAW,SAAS;IAK5B,SAAS,EAAE,MAAM;aACR,UAAU,EAAE,UAAU;IAC/B,IAAI,EAAE,OAAO;IACb,QAAQ,EAAE,OAAO;IAP1B,QAAQ,CAAC,EAAE,EAAE,MAAM,CAAC;IACpB,QAAQ,CAAC,IAAI,WAAW;gBAGf,SAAS,EAAE,MAAM,EACR,UAAU,EAAE,UAAU,EAC/B,IAAI,EAAE,OAAO,EACb,QAAQ,EAAE,OAAO;IAK1B,QAAQ;CAGT"}

package/dist/domain/trade.js

@@ -1,9 +1,16 @@
 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
 exports.Trade = void 0;
+/**
+ * Simple trade or ticker executed on the market, it's a match of buyer
+ * and seller of the same asset.
+ */
 class Trade {
-    constructor(instrument) {
+    constructor(timestamp, instrument, rate, quantity) {
+        this.timestamp = timestamp;
         this.instrument = instrument;
+        this.rate = rate;
+        this.quantity = quantity;
         this.kind = 'trade';
         this.id = instrument.id;
     }
@@ -12,4 +19,3 @@ class Trade {
     }
 }
 exports.Trade = Trade;
-//# sourceMappingURL=trade.js.map

package/dist/index.d.ts

@@ -1,7 +1,7 @@
 export * from './adapter';
-export * from './bootstrap';
 export * from './domain';
-export * from './indicator';
 export * from './shared';
 export * from './storage';
 export * from './store';
+export * from './strategy';
+//# sourceMappingURL=index.d.ts.map

package/dist/index.d.ts.map

@@ -0,0 +1 @@
+{"version":3,"file":"index.d.ts","sourceRoot":"","sources":["../src/index.ts"],"names":[],"mappings":"AAAA,cAAc,WAAW,CAAC;AAC1B,cAAc,UAAU,CAAC;AACzB,cAAc,UAAU,CAAC;AACzB,cAAc,WAAW,CAAC;AAC1B,cAAc,SAAS,CAAC;AACxB,cAAc,YAAY,CAAC"}

package/dist/index.js

@@ -15,10 +15,8 @@ var __exportStar = (this && this.__exportStar) || function(m, exports) {
 };
 Object.defineProperty(exports, "__esModule", { value: true });
 __exportStar(require("./adapter"), exports);
-__exportStar(require("./bootstrap"), exports);
 __exportStar(require("./domain"), exports);
-__exportStar(require("./indicator"), exports);
 __exportStar(require("./shared"), exports);
 __exportStar(require("./storage"), exports);
 __exportStar(require("./store"), exports);
-//# sourceMappingURL=index.js.map
+__exportStar(require("./strategy"), exports);

package/dist/shared/collections.d.ts

@@ -3,8 +3,27 @@ export declare class Set<T extends {
 }> {
     private readonly array;
     constructor(values?: ReadonlyArray<T>);
-    get(id: string): T;
+    get(id: string): T | undefined;
     tryGetOrSet(id: string, setter: () => T): T;
     upsert(value: T): T;
+    remove(value: T): void;
     asReadonlyArray(): ReadonlyArray<T>;
+    clear(): void;
 }
+export declare class PriorityList<T extends {
+    next: T | undefined;
+}> {
+    private readonly comparer;
+    private readonly getKeyFn;
+    private valueByKey;
+    head: T | undefined;
+    constructor(comparer: (lhs: Omit<T, 'next'>, rhs: Omit<T, 'next'>) => number, getKeyFn: (key: Omit<T, 'next'>) => string);
+    getByKey(key: string): 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;
+}
+//# sourceMappingURL=collections.d.ts.map

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

@@ -0,0 +1 @@
+{"version":3,"file":"collections.d.ts","sourceRoot":"","sources":["../../src/shared/collections.ts"],"names":[],"mappings":"AAAA,qBAAa,GAAG,CAAC,CAAC,SAAS;IAAE,EAAE,EAAE,MAAM,CAAA;CAAE;IACvC,OAAO,CAAC,QAAQ,CAAC,KAAK,CAAgB;gBAE1B,MAAM,CAAC,EAAE,aAAa,CAAC,CAAC,CAAC;IAMrC,GAAG,CAAC,EAAE,EAAE,MAAM;IAId,WAAW,CAAC,EAAE,EAAE,MAAM,EAAE,MAAM,EAAE,MAAM,CAAC,GAAG,CAAC;IAI3C,MAAM,CAAC,KAAK,EAAE,CAAC;IAcf,MAAM,CAAC,KAAK,EAAE,CAAC;IAOf,eAAe,IAAI,aAAa,CAAC,CAAC,CAAC;IAInC,KAAK;CAGN;AAED,qBAAa,YAAY,CAAC,CAAC,SAAS;IAAE,IAAI,EAAE,CAAC,GAAG,SAAS,CAAA;CAAE;IAMvD,OAAO,CAAC,QAAQ,CAAC,QAAQ;IACzB,OAAO,CAAC,QAAQ,CAAC,QAAQ;IAN3B,OAAO,CAAC,UAAU,CAAyB;IAE3C,IAAI,EAAE,CAAC,GAAG,SAAS,CAAC;gBAGD,QAAQ,EAAE,CAAC,GAAG,EAAE,IAAI,CAAC,CAAC,EAAE,MAAM,CAAC,EAAE,GAAG,EAAE,IAAI,CAAC,CAAC,EAAE,MAAM,CAAC,KAAK,MAAM,EAChE,QAAQ,EAAE,CAAC,GAAG,EAAE,IAAI,CAAC,CAAC,EAAE,MAAM,CAAC,KAAK,MAAM;IAG7D,QAAQ,CAAC,GAAG,EAAE,MAAM,GAAG,CAAC;IAIxB,OAAO,CAAC,IAAI;IAQZ,OAAO,CAAC,KAAK,EAAE,IAAI,CAAC,CAAC,EAAE,MAAM,CAAC;IAkC9B,OAAO,CAAC,KAAK,EAAE,IAAI,CAAC,CAAC,EAAE,MAAM,CAAC;IAwB9B,KAAK;IAKL,KAAK,CAAC,EAAE,EAAE,CAAC,KAAK,EAAE,CAAC,KAAK,OAAO;IAY/B,MAAM,CAAC,CAAC,EAAE,EAAE,EAAE,CAAC,KAAK,EAAE,CAAC,EAAE,SAAS,EAAE,CAAC,KAAK,CAAC,EAAE,SAAS,EAAE,CAAC;CAS1D"}

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 = [];
@@ -16,18 +16,108 @@ class Set {
         return (_a = this.get(id)) !== null && _a !== void 0 ? _a : this.upsert(setter());
     }
     upsert(value) {
-        this.array.forEach((it, idx) => {
-            if (it.id == value.id) {
-                this.array[idx] = value;
-                return value;
-            }
-        });
+        const index = this.array.findIndex(it => it.id == value.id);
+        if (index >= 0) {
+            this.array[index] = value;
+            return value;
+        }
         this.array.push(value);
         return value;
     }
+    remove(value) {
+        const index = this.array.indexOf(value);
+        if (index > -1) {
+            this.array.splice(index, 1);
+        }
+    }
     asReadonlyArray() {
         return this.array;
     }
+    clear() {
+        this.array.splice(0, this.array.length);
+    }
 }
 exports.Set = Set;
-//# sourceMappingURL=collections.js.map
+class PriorityList {
+    constructor(comparer, getKeyFn) {
+        this.comparer = comparer;
+        this.getKeyFn = getKeyFn;
+        this.valueByKey = {};
+    }
+    getByKey(key) {
+        return this.valueByKey[key];
+    }
+    make(value, next = undefined) {
+        const node = Object.assign(Object.assign({}, value), { next });
+        this.valueByKey[this.getKeyFn(node)] = 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[this.getKeyFn(value)];
+        }
+        this.visit(it => {
+            if (it.next && this.comparer(it.next, value) == 0) {
+                it.next = it.next.next;
+                delete this.valueByKey[this.getKeyFn(value)];
+                return true;
+            }
+            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;

package/dist/shared/datetime.d.ts

@@ -1,2 +1,3 @@
 export declare type timestamp = number;
 export declare function now(): timestamp;
+//# sourceMappingURL=datetime.d.ts.map

package/dist/shared/datetime.d.ts.map

@@ -0,0 +1 @@
+{"version":3,"file":"datetime.d.ts","sourceRoot":"","sources":["../../src/shared/datetime.ts"],"names":[],"mappings":"AAAA,oBAAY,SAAS,GAAG,MAAM,CAAC;AAE/B,wBAAgB,GAAG,IAAI,SAAS,CAE/B"}

package/dist/shared/datetime.js

@@ -5,4 +5,3 @@ function now() {
     return new Date().getTime();
 }
 exports.now = now;
-//# sourceMappingURL=datetime.js.map

package/dist/shared/decimals.d.ts

@@ -1,8 +1,30 @@
-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;
+/**
+ *
+ * @param timestamp
+ * @param timeframe
+ * @returns nearest timestamp to the given timeframe
+ */
 export declare function candledown(timestamp: number, timeframe: number): number;
+/**
+ *
+ * @param timestamp
+ * @param timeframe
+ * @returns nearest timestamp to the given timeframe
+ */
 export declare function candleup(timestamp: number, timeframe: number): number;
+//# sourceMappingURL=decimals.d.ts.map

package/dist/shared/decimals.d.ts.map

@@ -0,0 +1 @@
+{"version":3,"file":"decimals.d.ts","sourceRoot":"","sources":["../../src/shared/decimals.ts"],"names":[],"mappings":"AAAA,OAAO,EAAE,OAAO,EAAE,MAAM,YAAY,CAAC;AAErC,OAAO,QAAQ,YAAY,CAAC;IAC1B,UAAU,OAAO;QACf,OAAO,CAAC,aAAa,EAAE,MAAM,GAAG,OAAO,CAAC;QACxC,MAAM,CAAC,aAAa,EAAE,MAAM,GAAG,OAAO,CAAC;KACxC;CACF;AAUD,qBAAa,OAAQ,SAAQ,OAAO;CAAG;AAEvC,wBAAgB,CAAC,CAAC,KAAK,EAAE,OAAO,CAAC,KAAK,WAErC;yBAFe,CAAC;;;AAMjB,wBAAgB,YAAY,CAAC,MAAM,EAAE,OAAO,EAAE,EAAE,OAAO,EAAE,OAAO,EAAE,GAAG,OAAO,CAc3E;AAED,wBAAgB,GAAG,CAAC,SAAS,EAAE,OAAO,EAAE,QAAQ,EAAE,OAAO,EAAE,MAAM,EAAE,OAAO,WAEzE;AAED;;;;;GAKG;AACH,wBAAgB,UAAU,CAAC,SAAS,EAAE,MAAM,EAAE,SAAS,EAAE,MAAM,GAAG,MAAM,CAEvE;AAED;;;;;GAKG;AACH,wBAAgB,QAAQ,CAAC,SAAS,EAAE,MAAM,EAAE,SAAS,EAAE,MAAM,GAAG,MAAM,CAErE"}

package/dist/shared/decimals.js

@@ -1,58 +1,56 @@
 "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;
+/**
+ *
+ * @param timestamp
+ * @param timeframe
+ * @returns nearest timestamp to the given timeframe
+ */
 function candledown(timestamp, timeframe) {
     return timestamp - (timestamp % timeframe);
 }
 exports.candledown = candledown;
+/**
+ *
+ * @param timestamp
+ * @param timeframe
+ * @returns nearest timestamp to the given timeframe
+ */
 function candleup(timestamp, timeframe) {
     return candledown(timestamp, timeframe) + timeframe;
 }
 exports.candleup = candleup;
-//# sourceMappingURL=decimals.js.map

package/dist/shared/environment.d.ts

@@ -0,0 +1,3 @@
+export declare function workingDirectory(): string;
+export declare function getEnvVar(name: string, optional?: boolean): string;
+//# sourceMappingURL=environment.d.ts.map

package/dist/shared/environment.d.ts.map

@@ -0,0 +1 @@
+{"version":3,"file":"environment.d.ts","sourceRoot":"","sources":["../../src/shared/environment.ts"],"names":[],"mappings":"AAAA,wBAAgB,gBAAgB,WAE/B;AAED,wBAAgB,SAAS,CAAC,IAAI,EAAE,MAAM,EAAE,QAAQ,UAAQ,GAAG,MAAM,CAQhE"}

package/dist/shared/environment.js

@@ -0,0 +1,15 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.getEnvVar = exports.workingDirectory = void 0;
+function workingDirectory() {
+    return './.quantform/';
+}
+exports.workingDirectory = workingDirectory;
+function getEnvVar(name, optional = false) {
+    const value = process.env[name];
+    if (!value && !optional) {
+        throw new Error(`Missing environment variable: ${name}`);
+    }
+    return value !== null && value !== void 0 ? value : '';
+}
+exports.getEnvVar = getEnvVar;

package/dist/shared/index.d.ts

@@ -1,6 +1,8 @@
 export * from './datetime';
 export * from './decimals';
-export * from './io';
+export * from './environment';
 export * from './logger';
 export * from './policy';
 export * from './collections';
+export * from './pipe';
+//# sourceMappingURL=index.d.ts.map