@quantform/core 0.5.15 → 0.6.4

package/dist/store/{store-order.event.js → store-order-event.js}

@@ -1,13 +1,18 @@
 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
 exports.OrderRejectedEvent = exports.OrderCancelFailedEvent = exports.OrderCanceledEvent = exports.OrderCancelingEvent = exports.OrderFilledEvent = exports.OrderPendingEvent = exports.OrderNewEvent = exports.OrderLoadEvent = void 0;
+const error_1 = require("./error");
 const store_state_1 = require("./store-state");
+/**
+ * Patches a store with an existing pending order.
+ * No store changing events are propagated.
+ */
 class OrderLoadEvent {
     constructor(order, timestamp) {
         this.order = order;
         this.timestamp = timestamp;
     }
-    handle(state, changes) {
+    handle(state) {
         this.order.timestamp = this.timestamp;
         const orderByInstrument = state.order.tryGetOrSet(this.order.instrument.id, () => new store_state_1.InnerSet(this.order.instrument.id));
         orderByInstrument.upsert(this.order);
@@ -21,7 +26,7 @@ class OrderNewEvent {
     }
     handle(state, changes) {
         if (this.order.state != 'NEW') {
-            throw new Error(`Order is not new`);
+            throw (0, error_1.orderInvalidStateError)(this.order.state, ['NEW']);
         }
         this.order.createdAt = this.timestamp;
         this.order.timestamp = this.timestamp;
@@ -40,13 +45,13 @@ class OrderPendingEvent {
     handle(state, changes) {
         const order = state.order
             .tryGetOrSet(this.instrument.id, () => {
-            throw new Error(`Trying to patch unknown order: ${this.id}`);
+            throw (0, error_1.orderNotFoundError)(this.id);
         })
             .tryGetOrSet(this.id, () => {
-            throw new Error(`Trying to patch unknown order: ${this.id}`);
+            throw (0, error_1.orderNotFoundError)(this.id);
         });
         if (order.state != 'NEW') {
-            throw new Error(`Order is not NEW: ${order.state}`);
+            throw (0, error_1.orderInvalidStateError)(order.state, ['NEW']);
         }
         order.state = 'PENDING';
         order.timestamp = this.timestamp;
@@ -64,13 +69,13 @@ class OrderFilledEvent {
     handle(state, changes) {
         const order = state.order
             .tryGetOrSet(this.instrument.id, () => {
-            throw new Error(`Trying to patch unknown order: ${this.id}`);
+            throw (0, error_1.orderNotFoundError)(this.id);
         })
             .tryGetOrSet(this.id, () => {
-            throw new Error(`Trying to patch unknown order: ${this.id}`);
+            throw (0, error_1.orderNotFoundError)(this.id);
         });
         if (order.state != 'PENDING' && order.state != 'CANCELING') {
-            throw new Error(`Order is not PENDING or CANCELING: ${order.state}`);
+            throw (0, error_1.orderInvalidStateError)(order.state, ['PENDING', 'CANCELING']);
         }
         order.state = 'FILLED';
         order.timestamp = this.timestamp;
@@ -89,16 +94,16 @@ class OrderCancelingEvent {
     handle(state, changes) {
         const order = state.order
             .tryGetOrSet(this.instrument.id, () => {
-            throw new Error(`Trying to patch unknown order: ${this.id}`);
+            throw (0, error_1.orderNotFoundError)(this.id);
         })
             .tryGetOrSet(this.id, () => {
-            throw new Error(`Trying to patch unknown order: ${this.id}`);
+            throw (0, error_1.orderNotFoundError)(this.id);
         });
         if (order.state == 'CANCELING' || order.state == 'CANCELED') {
             return;
         }
         if (order.state != 'PENDING') {
-            throw new Error(`Order is not PENDING: ${order.state}`);
+            throw (0, error_1.orderInvalidStateError)(order.state, ['PENDING']);
         }
         order.state = 'CANCELING';
         order.timestamp = this.timestamp;
@@ -115,16 +120,16 @@ class OrderCanceledEvent {
     handle(state, changes) {
         const order = state.order
             .tryGetOrSet(this.instrument.id, () => {
-            throw new Error(`Trying to patch unknown order: ${this.id}`);
+            throw (0, error_1.orderNotFoundError)(this.id);
         })
             .tryGetOrSet(this.id, () => {
-            throw new Error(`Trying to patch unknown order: ${this.id}`);
+            throw (0, error_1.orderNotFoundError)(this.id);
         });
         if (order.state == 'CANCELED') {
             return;
         }
         if (order.state != 'CANCELING') {
-            throw new Error(`Order is not CANCELING: ${order.state}`);
+            throw (0, error_1.orderInvalidStateError)(order.state, ['CANCELING']);
         }
         order.state = 'CANCELED';
         order.timestamp = this.timestamp;
@@ -141,10 +146,10 @@ class OrderCancelFailedEvent {
     handle(state, changes) {
         const order = state.order
             .tryGetOrSet(this.instrument.id, () => {
-            throw new Error(`Trying to patch unknown order: ${this.id}`);
+            throw (0, error_1.orderNotFoundError)(this.id);
         })
             .tryGetOrSet(this.id, () => {
-            throw new Error(`Trying to patch unknown order: ${this.id}`);
+            throw (0, error_1.orderNotFoundError)(this.id);
         });
         if (order.state != 'CANCELING') {
             return;
@@ -164,13 +169,13 @@ class OrderRejectedEvent {
     handle(state, changes) {
         const order = state.order
             .tryGetOrSet(this.instrument.id, () => {
-            throw new Error(`Trying to patch unknown order: ${this.id}`);
+            throw (0, error_1.orderNotFoundError)(this.id);
         })
             .tryGetOrSet(this.id, () => {
-            throw new Error(`Trying to patch unknown order: ${this.id}`);
+            throw (0, error_1.orderNotFoundError)(this.id);
         });
         if (order.state != 'NEW') {
-            throw new Error(`Order is not NEW: ${order.state}`);
+            throw (0, error_1.orderInvalidStateError)(order.state, ['NEW']);
         }
         order.state = 'REJECTED';
         order.timestamp = this.timestamp;
@@ -178,4 +183,3 @@ class OrderRejectedEvent {
     }
 }
 exports.OrderRejectedEvent = OrderRejectedEvent;
-//# sourceMappingURL=store-order.event.js.map

package/dist/store/store-orderbook-event.d.ts

@@ -0,0 +1,13 @@
+import { InstrumentSelector, Liquidity } from '../domain';
+import { timestamp } from '../shared';
+import { StoreEvent } from './store-event';
+import { State, StateChangeTracker } from './store-state';
+export declare class OrderbookPatchEvent implements StoreEvent {
+    readonly instrument: InstrumentSelector;
+    readonly ask: Liquidity;
+    readonly bid: Liquidity;
+    readonly timestamp: timestamp;
+    constructor(instrument: InstrumentSelector, ask: Liquidity, bid: Liquidity, timestamp: timestamp);
+    handle(state: State, changes: StateChangeTracker): void;
+}
+//# sourceMappingURL=store-orderbook-event.d.ts.map

package/dist/store/store-orderbook-event.d.ts.map

@@ -0,0 +1 @@
+{"version":3,"file":"store-orderbook-event.d.ts","sourceRoot":"","sources":["../../src/store/store-orderbook-event.ts"],"names":[],"mappings":"AAAA,OAAO,EAAE,kBAAkB,EAAE,SAAS,EAAa,MAAM,WAAW,CAAC;AACrE,OAAO,EAAE,SAAS,EAAE,MAAM,WAAW,CAAC;AAEtC,OAAO,EAAE,UAAU,EAAE,MAAM,eAAe,CAAC;AAC3C,OAAO,EAAE,KAAK,EAAE,kBAAkB,EAAE,MAAM,eAAe,CAAC;AAE1D,qBAAa,mBAAoB,YAAW,UAAU;IAElD,QAAQ,CAAC,UAAU,EAAE,kBAAkB;IACvC,QAAQ,CAAC,GAAG,EAAE,SAAS;IACvB,QAAQ,CAAC,GAAG,EAAE,SAAS;IACvB,QAAQ,CAAC,SAAS,EAAE,SAAS;gBAHpB,UAAU,EAAE,kBAAkB,EAC9B,GAAG,EAAE,SAAS,EACd,GAAG,EAAE,SAAS,EACd,SAAS,EAAE,SAAS;IAG/B,MAAM,CAAC,KAAK,EAAE,KAAK,EAAE,OAAO,EAAE,kBAAkB,GAAG,IAAI;CAyCxD"}

package/dist/store/store-orderbook-event.js

@@ -0,0 +1,43 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.OrderbookPatchEvent = void 0;
+const domain_1 = require("../domain");
+const error_1 = require("./error");
+class OrderbookPatchEvent {
+    constructor(instrument, ask, bid, timestamp) {
+        this.instrument = instrument;
+        this.ask = ask;
+        this.bid = bid;
+        this.timestamp = timestamp;
+    }
+    handle(state, changes) {
+        const instrument = state.universe.instrument.get(this.instrument.id);
+        if (!instrument) {
+            throw (0, error_1.instrumentNotSupportedError)(this.instrument);
+        }
+        const orderbook = state.orderbook.tryGetOrSet(this.instrument.id, () => new domain_1.Orderbook(0, instrument, this.ask, this.bid));
+        state.timestamp = this.timestamp;
+        orderbook.timestamp = this.timestamp;
+        orderbook.asks = this.ask;
+        orderbook.bids = this.bid;
+        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.greaterThanOrEqualTo(0)
+                    ? orderbook.bids.rate
+                    : orderbook.asks.rate;
+                if (rate) {
+                    position.calculateEstimatedUnrealizedPnL(rate);
+                }
+            }
+            if (quote.total.lessThan(0)) {
+                throw (0, error_1.liquidationError)();
+            }
+        }
+        changes.commit(orderbook);
+    }
+}
+exports.OrderbookPatchEvent = OrderbookPatchEvent;

package/dist/store/{store-position.event.d.ts → store-position-event.d.ts}

@@ -1,21 +1,22 @@
 import { Instrument, Position, PositionMode } from '../domain';
-import { timestamp } from '../shared';
-import { StoreEvent } from './store.event';
+import { decimal, timestamp } from '../shared';
+import { StoreEvent } from './store-event';
 import { State, StateChangeTracker } from './store-state';
 export declare class PositionLoadEvent implements StoreEvent {
     readonly position: Position;
     readonly timestamp: timestamp;
     constructor(position: Position, timestamp: timestamp);
-    handle(state: State, changes: StateChangeTracker): void;
+    handle(state: State): void;
 }
 export declare class PositionPatchEvent implements StoreEvent {
     readonly id: string;
     readonly instrument: Instrument;
-    readonly rate: number;
-    readonly size: number;
+    readonly rate: decimal;
+    readonly size: decimal;
     readonly leverage: number;
     readonly mode: PositionMode;
     readonly timestamp: timestamp;
-    constructor(id: string, instrument: Instrument, rate: number, size: number, leverage: number, mode: PositionMode, timestamp: timestamp);
+    constructor(id: string, instrument: Instrument, rate: decimal, size: decimal, leverage: number, mode: PositionMode, timestamp: timestamp);
     handle(state: State, changes: StateChangeTracker): void;
 }
+//# sourceMappingURL=store-position-event.d.ts.map

package/dist/store/store-position-event.d.ts.map

@@ -0,0 +1 @@
+{"version":3,"file":"store-position-event.d.ts","sourceRoot":"","sources":["../../src/store/store-position-event.ts"],"names":[],"mappings":"AAAA,OAAO,EAAE,UAAU,EAAE,QAAQ,EAAE,YAAY,EAAE,MAAM,WAAW,CAAC;AAC/D,OAAO,EAAE,OAAO,EAAE,SAAS,EAAE,MAAM,WAAW,CAAC;AAE/C,OAAO,EAAE,UAAU,EAAE,MAAM,eAAe,CAAC;AAC3C,OAAO,EAAE,KAAK,EAAE,kBAAkB,EAAE,MAAM,eAAe,CAAC;AAE1D,qBAAa,iBAAkB,YAAW,UAAU;IACtC,QAAQ,CAAC,QAAQ,EAAE,QAAQ;IAAE,QAAQ,CAAC,SAAS,EAAE,SAAS;gBAAjD,QAAQ,EAAE,QAAQ,EAAW,SAAS,EAAE,SAAS;IAEtE,MAAM,CAAC,KAAK,EAAE,KAAK,GAAG,IAAI;CAyB3B;AAED,qBAAa,kBAAmB,YAAW,UAAU;IAEjD,QAAQ,CAAC,EAAE,EAAE,MAAM;IACnB,QAAQ,CAAC,UAAU,EAAE,UAAU;IAC/B,QAAQ,CAAC,IAAI,EAAE,OAAO;IACtB,QAAQ,CAAC,IAAI,EAAE,OAAO;IACtB,QAAQ,CAAC,QAAQ,EAAE,MAAM;IACzB,QAAQ,CAAC,IAAI,EAAE,YAAY;IAC3B,QAAQ,CAAC,SAAS,EAAE,SAAS;gBANpB,EAAE,EAAE,MAAM,EACV,UAAU,EAAE,UAAU,EACtB,IAAI,EAAE,OAAO,EACb,IAAI,EAAE,OAAO,EACb,QAAQ,EAAE,MAAM,EAChB,IAAI,EAAE,YAAY,EAClB,SAAS,EAAE,SAAS;IAI/B,MAAM,CAAC,KAAK,EAAE,KAAK,EAAE,OAAO,EAAE,kBAAkB,GAAG,IAAI;CAwExD"}

package/dist/store/{store-position.event.js → store-position-event.js}

@@ -2,22 +2,30 @@
 Object.defineProperty(exports, "__esModule", { value: true });
 exports.PositionPatchEvent = exports.PositionLoadEvent = void 0;
 const domain_1 = require("../domain");
+const error_1 = require("./error");
 class PositionLoadEvent {
     constructor(position, timestamp) {
         this.position = position;
         this.timestamp = timestamp;
     }
-    handle(state, changes) {
+    handle(state) {
         if (!state.subscription.instrument.get(this.position.instrument.id)) {
-            throw new Error(`Trying to patch unsubscribed instrument: ${this.position.instrument.id}`);
+            throw (0, error_1.instrumentNotSubscribedError)(this.position.instrument);
         }
         this.position.timestamp = this.timestamp;
         const balance = state.balance.get(this.position.instrument.quote.id);
-        const orderbook = state.orderbook.get(this.position.instrument.id);
+        if (!balance) {
+            throw (0, error_1.balanceNotFoundError)(this.position.instrument.quote);
+        }
         balance.position[this.position.id] = this.position;
+        const orderbook = state.orderbook.get(this.position.instrument.id);
         if (orderbook) {
-            const rate = this.position.size >= 0 ? orderbook.bestBidRate : orderbook.bestAskRate;
-            this.position.calculateEstimatedUnrealizedPnL(rate);
+            const rate = this.position.size.greaterThanOrEqualTo(0)
+                ? orderbook.bids.rate
+                : orderbook.asks.rate;
+            if (rate) {
+                this.position.calculateEstimatedUnrealizedPnL(rate);
+            }
         }
     }
 }
@@ -32,32 +40,40 @@ class PositionPatchEvent {
         this.mode = mode;
         this.timestamp = timestamp;
     }
+    // eslint-disable-next-line complexity
     handle(state, changes) {
         if (!state.subscription.instrument.get(this.instrument.id)) {
-            throw new Error(`Trying to patch unsubscribed instrument: ${this.instrument.id}`);
+            throw (0, error_1.instrumentNotSubscribedError)(this.instrument);
         }
         const balance = state.balance.get(this.instrument.quote.id);
+        if (!balance) {
+            throw (0, error_1.balanceNotFoundError)(this.instrument.quote);
+        }
         const orderbook = state.orderbook.get(this.instrument.id);
         let position = balance.position[this.id];
-        if (this.size == 0) {
+        if (this.size.equals(0)) {
             if (position) {
-                position.averageExecutionRate = this.instrument.quote.fixed(this.rate);
-                position.size = this.instrument.base.fixed(this.size);
+                position.averageExecutionRate = this.instrument.quote.floor(this.rate);
+                position.size = this.instrument.base.floor(this.size);
                 position.leverage = this.leverage;
                 delete balance.position[this.id];
                 if (orderbook) {
-                    const rate = position.size >= 0 ? orderbook.bestBidRate : orderbook.bestAskRate;
-                    position.calculateEstimatedUnrealizedPnL(rate);
+                    const rate = position.size.greaterThanOrEqualTo(0)
+                        ? orderbook.bids.rate
+                        : orderbook.asks.rate;
+                    if (rate) {
+                        position.calculateEstimatedUnrealizedPnL(rate);
+                    }
                 }
                 changes.commit(position);
                 changes.commit(balance);
             }
         }
-        const size = (position.size = this.instrument.base.fixed(this.size));
+        const size = (position.size = this.instrument.base.floor(this.size));
         const averageExecutionRate = (position.averageExecutionRate =
-            this.instrument.quote.fixed(this.rate));
+            this.instrument.quote.floor(this.rate));
         if (!position) {
-            position = new domain_1.Position(this.id, this.instrument, this.mode, averageExecutionRate, size, this.leverage);
+            position = new domain_1.Position(this.timestamp, this.id, this.instrument, this.mode, averageExecutionRate, size, this.leverage);
             balance.position[this.id] = position;
         }
         else {
@@ -66,12 +82,15 @@ class PositionPatchEvent {
             position.leverage = this.leverage;
         }
         if (orderbook) {
-            const rate = position.size >= 0 ? orderbook.bestBidRate : orderbook.bestAskRate;
-            position.calculateEstimatedUnrealizedPnL(rate);
+            const rate = position.size.greaterThanOrEqualTo(0)
+                ? orderbook.bids.rate
+                : orderbook.asks.rate;
+            if (rate) {
+                position.calculateEstimatedUnrealizedPnL(rate);
+            }
         }
         changes.commit(position);
         changes.commit(balance);
     }
 }
 exports.PositionPatchEvent = PositionPatchEvent;
-//# sourceMappingURL=store-position.event.js.map

package/dist/store/store-state.d.ts

@@ -1,8 +1,8 @@
 import { Asset, AssetSelector, Balance, Component, Instrument, InstrumentSelector, Order, Orderbook, Trade } from '../domain';
 import { Set, timestamp } from '../shared';
 export interface StateChangeTracker {
-    commit(component: Component): any;
-    commitPendingChanges(): any;
+    commit(component: Component): void;
+    commitPendingChanges(): void;
 }
 export declare class InnerSet<T extends {
     id: string;
@@ -25,3 +25,4 @@ export declare class State {
     balance: Set<Balance>;
     order: Set<InnerSet<Order>>;
 }
+//# sourceMappingURL=store-state.d.ts.map

package/dist/store/store-state.d.ts.map

@@ -0,0 +1 @@
+{"version":3,"file":"store-state.d.ts","sourceRoot":"","sources":["../../src/store/store-state.ts"],"names":[],"mappings":"AAAA,OAAO,EACL,KAAK,EACL,aAAa,EACb,OAAO,EACP,SAAS,EACT,UAAU,EACV,kBAAkB,EAClB,KAAK,EACL,SAAS,EACT,KAAK,EACN,MAAM,WAAW,CAAC;AACnB,OAAO,EAAE,GAAG,EAAE,SAAS,EAAE,MAAM,WAAW,CAAC;AAE3C,MAAM,WAAW,kBAAkB;IACjC,MAAM,CAAC,SAAS,EAAE,SAAS,GAAG,IAAI,CAAC;IACnC,oBAAoB,IAAI,IAAI,CAAC;CAC9B;AAED,qBAAa,QAAQ,CAAC,CAAC,SAAS;IAAE,EAAE,EAAE,MAAM,CAAA;CAAE,CAAE,SAAQ,GAAG,CAAC,CAAC,CAAC;aAChC,EAAE,EAAE,MAAM;gBAAV,EAAE,EAAE,MAAM,EAAE,MAAM,CAAC,EAAE,aAAa,CAAC,CAAC,CAAC;CAGlE;AAED,qBAAa,KAAK;IAChB,SAAS,EAAE,SAAS,CAAK;IAEzB,QAAQ,EAAE;QACR,KAAK,EAAE,GAAG,CAAC,KAAK,CAAC,CAAC;QAClB,UAAU,EAAE,GAAG,CAAC,UAAU,CAAC,CAAC;KAC7B,CAGC;IAEF,YAAY,EAAE;QACZ,KAAK,EAAE,GAAG,CAAC,aAAa,CAAC,CAAC;QAC1B,UAAU,EAAE,GAAG,CAAC,kBAAkB,CAAC,CAAC;KACrC,CAGC;IAEF,KAAK,EAAE,GAAG,CAAC,KAAK,CAAC,CAAoB;IACrC,SAAS,EAAE,GAAG,CAAC,SAAS,CAAC,CAAwB;IACjD,OAAO,EAAE,GAAG,CAAC,OAAO,CAAC,CAAsB;IAC3C,KAAK,EAAE,GAAG,CAAC,QAAQ,CAAC,KAAK,CAAC,CAAC,CAA8B;CAC1D"}

package/dist/store/store-state.js

@@ -11,6 +11,7 @@ class InnerSet extends shared_1.Set {
 exports.InnerSet = InnerSet;
 class State {
     constructor() {
+        this.timestamp = 0;
         this.universe = {
             asset: new shared_1.Set(),
             instrument: new shared_1.Set()
@@ -26,4 +27,3 @@ class State {
     }
 }
 exports.State = State;
-//# sourceMappingURL=store-state.js.map

package/dist/store/store-trade-event.d.ts

@@ -0,0 +1,17 @@
+import { InstrumentSelector } from '../domain';
+import { decimal, timestamp } from '../shared';
+import { StoreEvent } from './store-event';
+import { State, StateChangeTracker } from './store-state';
+/**
+ * Patches a store with specific event @see TradePatchEvent
+ * If there is no specific @see Trade in store, it will create a new one.
+ */
+export declare class TradePatchEvent implements StoreEvent {
+    readonly instrument: InstrumentSelector;
+    readonly rate: decimal;
+    readonly quantity: decimal;
+    readonly timestamp: timestamp;
+    constructor(instrument: InstrumentSelector, rate: decimal, quantity: decimal, timestamp: timestamp);
+    handle(state: State, changes: StateChangeTracker): void;
+}
+//# sourceMappingURL=store-trade-event.d.ts.map

package/dist/store/store-trade-event.d.ts.map

@@ -0,0 +1 @@
+{"version":3,"file":"store-trade-event.d.ts","sourceRoot":"","sources":["../../src/store/store-trade-event.ts"],"names":[],"mappings":"AAAA,OAAO,EAAE,kBAAkB,EAAS,MAAM,WAAW,CAAC;AACtD,OAAO,EAAK,OAAO,EAAE,SAAS,EAAE,MAAM,WAAW,CAAC;AAElD,OAAO,EAAE,UAAU,EAAE,MAAM,eAAe,CAAC;AAC3C,OAAO,EAAE,KAAK,EAAE,kBAAkB,EAAE,MAAM,eAAe,CAAC;AAE1D;;;GAGG;AACH,qBAAa,eAAgB,YAAW,UAAU;IAE9C,QAAQ,CAAC,UAAU,EAAE,kBAAkB;IACvC,QAAQ,CAAC,IAAI,EAAE,OAAO;IACtB,QAAQ,CAAC,QAAQ,EAAE,OAAO;IAC1B,QAAQ,CAAC,SAAS,EAAE,SAAS;gBAHpB,UAAU,EAAE,kBAAkB,EAC9B,IAAI,EAAE,OAAO,EACb,QAAQ,EAAE,OAAO,EACjB,SAAS,EAAE,SAAS;IAG/B,MAAM,CAAC,KAAK,EAAE,KAAK,EAAE,OAAO,EAAE,kBAAkB,GAAG,IAAI;CAuBxD"}

package/dist/store/{store-trade.event.js → store-trade-event.js}

@@ -2,6 +2,12 @@
 Object.defineProperty(exports, "__esModule", { value: true });
 exports.TradePatchEvent = void 0;
 const domain_1 = require("../domain");
+const shared_1 = require("../shared");
+const error_1 = require("./error");
+/**
+ * Patches a store with specific event @see TradePatchEvent
+ * If there is no specific @see Trade in store, it will create a new one.
+ */
 class TradePatchEvent {
     constructor(instrument, rate, quantity, timestamp) {
         this.instrument = instrument;
@@ -11,15 +17,18 @@ class TradePatchEvent {
     }
     handle(state, changes) {
         if (!state.subscription.instrument.get(this.instrument.id)) {
-            throw new Error(`Trying to patch unsubscribed instrument: ${this.instrument.id}`);
+            throw (0, error_1.instrumentNotSubscribedError)(this.instrument);
         }
-        const trade = state.trade.tryGetOrSet(this.instrument.id, () => new domain_1.Trade(state.universe.instrument.get(this.instrument.id)));
+        const instrument = state.universe.instrument.get(this.instrument.id);
+        if (!instrument) {
+            throw (0, error_1.instrumentNotSupportedError)(this.instrument);
+        }
+        const trade = state.trade.tryGetOrSet(this.instrument.id, () => new domain_1.Trade(0, instrument, shared_1.d.Zero, shared_1.d.Zero));
         state.timestamp = this.timestamp;
         trade.timestamp = this.timestamp;
-        trade.rate = trade.instrument.quote.fixed(this.rate);
-        trade.quantity = trade.instrument.base.fixed(this.quantity);
+        trade.rate = trade.instrument.quote.floor(this.rate);
+        trade.quantity = trade.instrument.base.floor(this.quantity);
         changes.commit(trade);
     }
 }
 exports.TradePatchEvent = TradePatchEvent;
-//# sourceMappingURL=store-trade.event.js.map

package/dist/store/store.d.ts

@@ -1,6 +1,6 @@
 import { Observable } from 'rxjs';
 import { Component } from '../domain';
-import { StoreEvent } from './store.event';
+import { StoreEvent } from './store-event';
 import { State, StateChangeTracker } from './store-state';
 export declare class Store implements StateChangeTracker {
     private readonly pendingChanges;
@@ -12,3 +12,4 @@ export declare class Store implements StateChangeTracker {
     commitPendingChanges(): void;
     dispose(): void;
 }
+//# sourceMappingURL=store.d.ts.map

package/dist/store/store.d.ts.map

@@ -0,0 +1 @@
+{"version":3,"file":"store.d.ts","sourceRoot":"","sources":["../../src/store/store.ts"],"names":[],"mappings":"AAAA,OAAO,EAAE,UAAU,EAAW,MAAM,MAAM,CAAC;AAE3C,OAAO,EAAE,SAAS,EAAE,MAAM,WAAW,CAAC;AACtC,OAAO,EAAE,UAAU,EAAE,MAAM,eAAe,CAAC;AAC3C,OAAO,EAAE,KAAK,EAAE,kBAAkB,EAAE,MAAM,eAAe,CAAC;AAE1D,qBAAa,KAAM,YAAW,kBAAkB;IAC9C,OAAO,CAAC,QAAQ,CAAC,cAAc,CAA0B;IACzD,OAAO,CAAC,QAAQ,CAAC,OAAO,CAA4B;IAEpD,QAAQ,CAAC,QAAQ,QAAe;IAEhC,IAAI,QAAQ,IAAI,UAAU,CAAC,SAAS,CAAC,CAEpC;IAED,QAAQ,CAAC,GAAG,MAAM,EAAE,UAAU,EAAE;IAQhC,MAAM,CAAC,SAAS,EAAE,SAAS;IAI3B,oBAAoB;IAKpB,OAAO;CAGR"}

package/dist/store/store.js

@@ -30,4 +30,3 @@ class Store {
     }
 }
 exports.Store = Store;
-//# sourceMappingURL=store.js.map

package/dist/strategy.d.ts

@@ -0,0 +1,8 @@
+import { Observable } from 'rxjs';
+import { Session, SessionBuilder, SessionFeature } from './domain';
+export declare type SessionAction = (session: Session) => Observable<any>;
+export declare let rule: (name: string | undefined, describe: SessionAction) => void;
+export declare let beforeAll: (describe: SessionAction) => void;
+export declare function describe(name: string, describe: () => Array<SessionFeature>): void;
+export declare function prepare(name: string, builder: SessionBuilder): Promise<(session: Session) => Observable<any[]>>;
+//# sourceMappingURL=strategy.d.ts.map

package/dist/strategy.d.ts.map

@@ -0,0 +1 @@
+{"version":3,"file":"strategy.d.ts","sourceRoot":"","sources":["../src/strategy.ts"],"names":[],"mappings":"AAAA,OAAO,EAAsB,UAAU,EAAa,MAAM,MAAM,CAAC;AAEjE,OAAO,EAAE,OAAO,EAAE,cAAc,EAAE,cAAc,EAAE,MAAM,UAAU,CAAC;AAKnE,oBAAY,aAAa,GAAG,CAAC,OAAO,EAAE,OAAO,KAAK,UAAU,CAAC,GAAG,CAAC,CAAC;AAElE,eAAO,IAAI,IAAI,EAAE,CAAC,IAAI,EAAE,MAAM,GAAG,SAAS,EAAE,QAAQ,EAAE,aAAa,KAAK,IAAI,CAAC;AAC7E,eAAO,IAAI,SAAS,EAAE,CAAC,QAAQ,EAAE,aAAa,KAAK,IAAI,CAAC;AAExD,wBAAgB,QAAQ,CAAC,IAAI,EAAE,MAAM,EAAE,QAAQ,EAAE,MAAM,KAAK,CAAC,cAAc,CAAC,QAE3E;AAED,wBAAsB,OAAO,CAAC,IAAI,EAAE,MAAM,EAAE,OAAO,EAAE,cAAc,qBAqBhD,OAAO,wBASzB"}

package/dist/strategy.js

@@ -0,0 +1,44 @@
+"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.prepare = exports.describe = exports.beforeAll = exports.rule = void 0;
+const rxjs_1 = require("rxjs");
+const shared_1 = require("./shared");
+const registry = {};
+function describe(name, describe) {
+    registry[name] = describe;
+}
+exports.describe = describe;
+function prepare(name, builder) {
+    return __awaiter(this, void 0, void 0, function* () {
+        const describe = registry[name];
+        const rules = new Array();
+        const beforeAlls = new Array();
+        exports.beforeAll = (describe) => {
+            beforeAlls.push(describe);
+        };
+        exports.rule = (ruleName, describe) => {
+            if (ruleName) {
+                shared_1.Logger.info(name, ruleName);
+            }
+            rules.push(describe);
+        };
+        for (const plugin of describe()) {
+            plugin(builder);
+        }
+        return (session) => {
+            const toBeforeAll = beforeAlls.map(it => it(session));
+            const toRules = rules.map(it => it(session));
+            return (0, rxjs_1.forkJoin)(toBeforeAll).pipe((0, rxjs_1.switchMap)(() => (0, rxjs_1.forkJoin)(toRules)), (0, rxjs_1.finalize)(() => session.dispose()));
+        };
+    });
+}
+exports.prepare = prepare;

package/jest.config.ts

@@ -0,0 +1,13 @@
+import { Config } from 'jest';
+
+const config: Config = {
+  preset: 'ts-jest',
+  testEnvironment: 'node',
+  testMatch: ['**/src/**/?(*.)+(spec|test).[jt]s?(x)'],
+  transform: {
+    '^.+\\.ts?$': 'ts-jest'
+  },
+  testPathIgnorePatterns: ['src/cli/test.ts']
+};
+
+export default config;

package/package.json

@@ -1,8 +1,8 @@
 {
   "name": "@quantform/core",
-  "version": "0.5.15",
-  "author": "Mateusz Majchrzak",
+  "version": "0.6.4",
   "license": "MIT",
+  "author": "Mateusz Majchrzak",
   "description": "Node.js library for building systematic trading strategies in reactive way.",
   "repository": {
     "type": "git",
@@ -15,40 +15,29 @@
     "qf": "./dist/cli/index.js"
   },
   "main": "dist/index.js",
-  "types": "dist/index.d.ts",
-  "scripts": {
-    "prepare": "npm run build",
-    "build": "tsc",
-    "test": "jest -c jestconfig.json --coverage --passWithNoTests"
-  },
+  "typings": "dist/index.d.ts",
   "dependencies": {
     "@swc/cli": "^0.1.57",
-    "@swc/core": "^1.2.170",
-    "cli-progress": "^3.10.0",
-    "commander": "^9.1.0",
-    "dotenv": "^16.0.0",
+    "@swc/core": "^1.3.1",
+    "chalk": "4.1.2",
+    "cli-progress": "^3.11.2",
+    "commander": "^9.4.0",
+    "decimal.js": "^10.4.1",
     "node-watch": "^0.7.3",
-    "reflect-metadata": "^0.1.13",
-    "ts-retry": "^2.4.0",
-    "typescript-collections": "^1.3.3",
-    "uuid": "^8.3.2"
-  },
-  "peerDependencies": {
-    "rxjs": "*"
+    "ts-retry": "^2.4.5",
+    "uuid": "^9.0.0"
   },
   "devDependencies": {
-    "@types/jest": "^27.4.1",
-    "@types/node": "^17.0.23",
+    "@types/cli-progress": "^3.11.0",
     "@types/tsc-watch": "^4.2.0",
-    "jest": "^27.5.1",
-    "prettier": "^2.6.1",
-    "ts-jest": "^27.1.4",
-    "ts-loader": "^9.2.8",
-    "ts-node": "^10.7.0",
-    "tsconfig-paths": "^3.14.1",
-    "typescript": "^4.6.3"
+    "@types/uuid": "^8.3.4",
+    "rxjs": "^7.5.6"
+  },
+  "peerDependencies": {
+    "rxjs": "^7.5.6"
   },
-  "engines": {
-    "node": ">= 14.18.1"
+  "scripts": {
+    "build": "tsc",
+    "test": "jest"
   }
 }