@quantform/core 0.5.23 → 0.6.4

package/src/indicator/ema.ts

@@ -1,27 +0,0 @@
-import { map, Observable, share } from 'rxjs';
-
-import { d, decimal } from '../shared';
-import { sma } from './sma';
-
-export function ema<T>(length: number, fn: (it: T) => decimal) {
-  return function (source: Observable<T>): Observable<[T, decimal]> {
-    const alpha = d(2.0).div(d(length + 1));
-    let value: decimal = null;
-
-    return source.pipe(
-      sma(length, fn),
-      map(([it, sma]) => {
-        if (!value) {
-          value = sma;
-        } else {
-          value = alpha.mul(fn(it)).plus(d(1.0).minus(alpha).mul(value));
-        }
-
-        const tuple: [T, decimal] = [it, value];
-
-        return tuple;
-      }),
-      share()
-    );
-  };
-}

package/src/indicator/envelope.ts

@@ -1,25 +0,0 @@
-import { map, Observable, share } from 'rxjs';
-
-import { decimal } from '../shared';
-import { sma } from './sma';
-
-export function envelope<T>(
-  length: number,
-  percent: number,
-  valueFn: (it: T) => decimal
-) {
-  return function (source: Observable<T>): Observable<{ min: decimal; max: decimal }> {
-    return source.pipe(
-      sma(length, valueFn),
-      map(([, sma]) => {
-        const offset = sma.mul(percent).div(100);
-
-        return {
-          min: sma.minus(offset),
-          max: sma.add(offset)
-        };
-      }),
-      share()
-    );
-  };
-}

package/src/indicator/index.ts

@@ -1,17 +0,0 @@
-export * from './atr';
-export * from './cross';
-export * from './donchian';
-export * from './drawdown';
-export * from './ema';
-export * from './envelope';
-export * from './macd';
-export * from './min-max';
-export * from './ring-buffer';
-export * from './rma';
-export * from './sma';
-export * from './swma';
-export * from './tma';
-export * from './trailing';
-export * from './true-range';
-export * from './window';
-export * from './wma';

package/src/indicator/macd.ts

@@ -1,22 +0,0 @@
-import { map, Observable, share, withLatestFrom } from 'rxjs';
-
-import { decimal } from '../shared';
-import { ema } from './ema';
-
-export function macd<T>(
-  fast: number,
-  slow: number,
-  length: number,
-  fn: (it: T) => decimal
-) {
-  return function (source: Observable<T>): Observable<decimal> {
-    source = source.pipe(share());
-
-    return source.pipe(
-      withLatestFrom(source.pipe(ema(fast, fn)), source.pipe(ema(slow, fn))),
-      ema(length, it => it[1][1].minus(it[2][1])),
-      map(([, macd]) => macd),
-      share()
-    );
-  };
-}

package/src/indicator/min-max.ts

@@ -1,28 +0,0 @@
-import { filter, map, Observable, share } from 'rxjs';
-
-import { d, decimal } from '../shared';
-import { window } from './window';
-
-export function minMax<T>(length: number, fn: (it: T) => decimal) {
-  return function (
-    source: Observable<T>
-  ): Observable<[T, { min: decimal; max: decimal }]> {
-    return source.pipe(
-      window(length, fn),
-      filter(([, buffer]) => buffer.isFull),
-      map(([it, buffer]) => {
-        let min = d.Zero;
-        let max = d.Zero;
-
-        buffer.forEach(it => {
-          min = decimal.min(it, min);
-          max = decimal.max(it, max);
-        });
-        const tuple: [T, { min: decimal; max: decimal }] = [it, { min, max }];
-
-        return tuple;
-      }),
-      share()
-    );
-  };
-}

package/src/indicator/ring-buffer.ts

@@ -1,63 +0,0 @@
-export class RingBuffer<T> {
-  private _elements = new Array<T>(this.capacity);
-  private _first = 0;
-  private _last = 0;
-  private _size = 0;
-
-  get size(): number {
-    return this._size;
-  }
-
-  get isEmpty(): boolean {
-    return this.size == 0;
-  }
-
-  get isFull(): boolean {
-    return this.size == this.capacity;
-  }
-
-  constructor(readonly capacity: number) {}
-
-  peek(): T {
-    return this._elements[this._first];
-  }
-
-  dequeue(): T {
-    const element = this.peek();
-
-    this._size--;
-    this._first = (this._first + 1) % this.capacity;
-
-    return element;
-  }
-
-  enqueue(element: T): T {
-    this._last = (this._first + this.size) % this.capacity;
-    const full = this.isFull;
-    let removed = null;
-
-    if (full) {
-      removed = this._elements[this._last];
-    }
-
-    this._elements[this._last] = element;
-
-    if (full) {
-      this._first = (this._first + 1) % this.capacity;
-    } else {
-      this._size++;
-    }
-
-    return removed;
-  }
-
-  forEach(fn: (value: T, index: number) => void) {
-    for (let i = 0; i < this.size; i++) {
-      fn(this.at(i), i);
-    }
-  }
-
-  at(index: number): T {
-    return this._elements[(this._first + index) % this.capacity];
-  }
-}

package/src/indicator/rma.ts

@@ -1,26 +0,0 @@
-import { map, Observable, share } from 'rxjs';
-
-import { d, decimal } from '../shared';
-import { sma } from '.';
-
-export function rma<T>(length: number, fn: (it: T) => decimal) {
-  return function (source: Observable<T>): Observable<[T, decimal]> {
-    const alpha = d(1.0).div(length);
-    let value: decimal = null;
-
-    return source.pipe(
-      sma(length, fn),
-      map(([it, sma]) => {
-        if (!value) {
-          value = sma;
-        } else {
-          value = alpha.mul(fn(it)).plus(d(1.0).minus(alpha).mul(value));
-        }
-
-        const tuple: [T, decimal] = [it, value];
-        return tuple;
-      }),
-      share()
-    );
-  };
-}

package/src/indicator/sma.spec.ts

@@ -1,21 +0,0 @@
-import { from } from 'rxjs';
-
-import { d, decimal } from '../shared';
-import { sma } from './sma';
-
-describe('sma', () => {
-  test('should return expected value', done => {
-    let value: decimal;
-
-    //12 Dec 2020 00:00
-    from([18136.17, 18092.15, 18082.39, 18065.4, 18046.47])
-      .pipe(sma(5, it => d(it)))
-      .subscribe({
-        next: ([, it]) => (value = it),
-        complete: () => {
-          expect(value.toDecimalPlaces(2)).toEqual(d(18084.52));
-          done();
-        }
-      });
-  });
-});

package/src/indicator/sma.ts

@@ -1,25 +0,0 @@
-import { filter, map, Observable, share, tap } from 'rxjs';
-
-import { d, decimal } from '../shared';
-import { window } from './window';
-
-export function sma<T>(length: number, fn: (it: T) => decimal) {
-  return function (source: Observable<T>): Observable<[T, decimal]> {
-    let accumulated = d.Zero;
-
-    return source.pipe(
-      window(length, fn),
-      tap(
-        ([, , added, removed]) =>
-          (accumulated = accumulated.add(added).minus(removed ?? 0))
-      ),
-      filter(([, buffer]) => buffer.isFull),
-      map(([it, buffer]) => {
-        const tuple: [T, decimal] = [it, accumulated.div(buffer.size)];
-
-        return tuple;
-      }),
-      share()
-    );
-  };
-}

package/src/indicator/swma.ts

@@ -1,28 +0,0 @@
-import { filter, map, Observable, share } from 'rxjs';
-
-import { d, decimal } from '../shared';
-import { window } from './window';
-
-export function swma<T>(fn: (it: T) => decimal) {
-  return function (source: Observable<T>): Observable<[T, decimal]> {
-    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 = d.Zero.plus(x3.mul(1).div(6))
-          .plus(x2.mul(2).div(6))
-          .plus(x1.mul(2).div(6))
-          .plus(x0.mul(1).div(6));
-
-        const tuple: [T, decimal] = [it, value];
-        return tuple;
-      }),
-      share()
-    );
-  };
-}

package/src/indicator/tma.spec.ts

@@ -1,21 +0,0 @@
-import { from } from 'rxjs';
-
-import { d, decimal } from '../shared';
-import { tma } from './tma';
-
-describe('tma', () => {
-  test('should return expected value', done => {
-    let value: decimal;
-
-    //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 => d(it)))
-      .subscribe({
-        next: ([, it]) => (value = it),
-        complete: () => {
-          expect(value.toDecimalPlaces(2)).toEqual(d(18090.98));
-          done();
-        }
-      });
-  });
-});

package/src/indicator/tma.ts

@@ -1,20 +0,0 @@
-import { map, Observable, share } from 'rxjs';
-
-import { decimal } from '../shared';
-import { swma } from './swma';
-import { wma } from './wma';
-
-export function tma<T>(length: number, fn: (it: T) => decimal) {
-  return function (source: Observable<T>): Observable<[T, decimal]> {
-    return source.pipe(
-      wma(length, fn),
-      swma(([, it]) => it),
-      map(([[it], swma]) => {
-        const tuple: [T, decimal] = [it, swma];
-
-        return tuple;
-      }),
-      share()
-    );
-  };
-}

package/src/indicator/trailing.spec.ts

@@ -1,88 +0,0 @@
-import { from, map } from 'rxjs';
-
-import { d } from '../shared';
-import { trailingDown, trailingUp } from './trailing';
-
-describe('trailingUp', () => {
-  test('should trigger uptrend once', done => {
-    let triggered = false;
-
-    from([1, 2, 3, 2, 3])
-      .pipe(
-        map(it => d(it)),
-        trailingUp(d(3), d(1), it => it)
-      )
-      .subscribe({
-        next: it => {
-          expect(it).toEqual(d(2));
-          triggered = true;
-        },
-        complete: () => {
-          expect(triggered).toEqual(true);
-          done();
-        }
-      });
-  });
-
-  test('should trigger uptrend twice', done => {
-    let triggered = 0;
-
-    from([1, 2, 3, 2, 3, 2, 3])
-      .pipe(
-        map(it => d(it)),
-        trailingUp(d(3), d(1), it => it)
-      )
-      .subscribe({
-        next: it => {
-          expect(d(it)).toEqual(d(2));
-          triggered++;
-        },
-        complete: () => {
-          expect(triggered).toEqual(2);
-          done();
-        }
-      });
-  });
-});
-
-describe('trailingDown', () => {
-  test('should trigger downtrend once', done => {
-    let triggered = false;
-
-    from([3, 2, 1, 2, 1])
-      .pipe(
-        map(it => d(it)),
-        trailingDown(d(3), d(1), it => it)
-      )
-      .subscribe({
-        next: it => {
-          expect(it).toEqual(d(2));
-          triggered = true;
-        },
-        complete: () => {
-          expect(triggered).toEqual(true);
-          done();
-        }
-      });
-  });
-
-  test('should trigger downtrend twice', done => {
-    let triggered = 0;
-
-    from([3, 2, 1, 2, 1, 2, 1])
-      .pipe(
-        map(it => d(it)),
-        trailingDown(d(3), d(1), it => it)
-      )
-      .subscribe({
-        next: it => {
-          expect(it).toEqual(d(2));
-          triggered++;
-        },
-        complete: () => {
-          expect(triggered).toEqual(2);
-          done();
-        }
-      });
-  });
-});

package/src/indicator/trailing.ts

@@ -1,81 +0,0 @@
-import { filter, Observable } from 'rxjs';
-
-import { d, decimal } from '../shared';
-
-export class Trailing {
-  private triggered = false;
-  private max: decimal = null;
-  private min: decimal = null;
-
-  constructor(readonly trigger: decimal, readonly buffer: decimal) {}
-
-  up(value: decimal): boolean {
-    if (value.greaterThanOrEqualTo(this.trigger)) {
-      this.triggered = true;
-    }
-
-    if (this.triggered) {
-      if (!this.max) {
-        this.max = value;
-      } else {
-        this.max = decimal.max(this.max, value);
-      }
-    }
-
-    if (this.triggered && value.lessThanOrEqualTo(this.max.minus(this.buffer))) {
-      this.triggered = false;
-      this.max = null;
-
-      return true;
-    }
-
-    return false;
-  }
-
-  down(value: decimal): boolean {
-    if (value.lessThanOrEqualTo(this.trigger)) {
-      this.triggered = true;
-    }
-
-    if (this.triggered) {
-      if (!this.min) {
-        this.min = value;
-      } else {
-        this.min = decimal.min(this.min, value);
-      }
-    }
-
-    if (this.triggered && value.greaterThanOrEqualTo(this.min.plus(this.buffer))) {
-      this.triggered = false;
-      this.min = null;
-
-      return true;
-    }
-
-    return false;
-  }
-}
-
-export function trailingUp<T>(
-  trigger: decimal,
-  buffer: decimal,
-  value: (it: T) => decimal
-) {
-  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: decimal,
-  buffer: decimal,
-  value: (it: T) => decimal
-) {
-  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/true-range.spec.ts

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

package/src/indicator/true-range.ts

@@ -1,32 +0,0 @@
-import { map, Observable, share } from 'rxjs';
-
-import { Candle } from '../domain';
-import { decimal } from '../shared';
-
-export function trueRange<T>(fn: (it: T) => Candle) {
-  return function (source: Observable<T>): Observable<[T, decimal]> {
-    let previous;
-
-    return source.pipe(
-      map(it => {
-        const current = fn(it);
-
-        const value =
-          previous == null
-            ? current.high.minus(current.low)
-            : decimal.max(
-                decimal.max(
-                  current.high.minus(current.low),
-                  decimal.abs(current.high.minus(previous.close))
-                ),
-                decimal.abs(current.low.minus(previous.close))
-              );
-
-        const tuple: [T, decimal] = [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 = undefined;
-
-        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

@@ -1,20 +0,0 @@
-import { from } from 'rxjs';
-
-import { d, decimal } from '../shared';
-import { wma } from './wma';
-
-describe('wma', () => {
-  test('should return expected value', done => {
-    let value: decimal;
-    //12 Dec 2020 00:00
-    from([d(18136.17), d(18092.15), d(18082.39), d(18065.4), d(18046.47)])
-      .pipe(wma(5, it => it))
-      .subscribe({
-        next: ([, it]) => (value = it),
-        complete: () => {
-          expect(value.toDecimalPlaces(2)).toEqual(d(18070.77));
-          done();
-        }
-      });
-  });
-});

package/src/indicator/wma.ts

@@ -1,29 +0,0 @@
-import { filter, map, Observable, share } from 'rxjs';
-
-import { d, decimal } from '../shared';
-import { window } from './window';
-
-export function wma<T>(length: number, fn: (it: T) => decimal) {
-  return function (source: Observable<T>): Observable<[T, decimal]> {
-    return source.pipe(
-      window(length, fn),
-      filter(([, buffer]) => buffer.isFull),
-      map(([it, buffer]) => {
-        let norm = d(0.0);
-        let sum = d(0.0);
-
-        for (let i = 0; i < buffer.capacity; i++) {
-          const weight = (buffer.capacity - i) * buffer.capacity;
-
-          norm = norm.add(weight);
-          sum = sum.add(buffer.at(buffer.capacity - (i + 1)).mul(weight));
-        }
-
-        const tuple: [T, decimal] = [it, sum.div(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 { d, 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, d(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);
-  });
-});