@quantform/core 0.5.23 → 0.6.4

package/src/adapter/backtester/backtester-adapter.ts

@@ -53,8 +53,6 @@ export class BacktesterAdapter extends Adapter {
         it => new InstrumentSubscriptionEvent(this.timestamp(), it, true)
       )
     );
-
-    this.streamer.tryContinue();
   }
 
   account(): Promise<void> {

package/src/adapter/backtester/backtester-cursor.ts

@@ -12,9 +12,9 @@ export class BacktesterCursor {
     return this.page.length - this.pageIndex;
   }
 
-  constructor(readonly instrument: InstrumentSelector, private readonly feed: Feed) {}
+  constructor(readonly instrument: InstrumentSelector, private readonly feed: Feed) { }
 
-  peek(): StorageEvent {
+  peek(): StorageEvent | undefined {
     if (!this.page) {
       return undefined;
     }

package/src/adapter/backtester/backtester-streamer.spec.ts

@@ -1,4 +1,4 @@
-import { Asset, Instrument } from '../../domain';
+import { Asset, Commission, Instrument } from '../../domain';
 import { d } from '../../shared';
 import { Feed, InMemoryStorage } from '../../storage';
 import { Store, TradePatchEvent } from '../../store';
@@ -6,9 +6,11 @@ import { BacktesterStreamer } from './backtester-streamer';
 
 describe('BacktesterStreamer', () => {
   const instrument = new Instrument(
+    0,
     new Asset('btc', 'binance', 8),
     new Asset('usdt', 'binance', 2),
-    'binance:btc-usdt'
+    'binance:btc-usdt',
+    Commission.Zero
   );
 
   test('should repeat specific events', done => {
@@ -27,7 +29,7 @@ describe('BacktesterStreamer', () => {
       },
       {
         onBacktestCompleted: () => {
-          const trade = store.snapshot.trade.get(instrument.id);
+          const trade = store.snapshot.trade.get(instrument.id) ?? fail();
 
           expect(trade.timestamp).toEqual(8);
           expect(trade.rate).toEqual(d(8));

package/src/adapter/backtester/backtester-streamer.ts

@@ -4,6 +4,7 @@ import { Feed } from '../../storage';
 import { Store } from '../../store';
 import { AdapterTimeProvider } from '../adapter';
 import { BacktesterCursor } from './backtester-cursor';
+import { invalidEventSequenceError, missingPeriodParametersError } from './error';
 
 /**
  * Listen to backtest session events.
@@ -40,7 +41,7 @@ export class BacktesterStreamer {
     private readonly listener?: BacktesterListener
   ) {
     if (period.from == undefined || period.to == undefined) {
-      throw new Error('invalid backtest options, please provide from and to period.');
+      throw missingPeriodParametersError();
     }
 
     this.timestamp = period.from;
@@ -86,7 +87,7 @@ export class BacktesterStreamer {
     }
 
     if (this.sequence == 0) {
-      if (this.listener.onBacktestStarted) {
+      if (this.listener?.onBacktestStarted) {
         this.listener.onBacktestStarted(this);
       }
     }
@@ -94,7 +95,7 @@ export class BacktesterStreamer {
     const next = async () => {
       if (await this.processNext()) {
         if (this.sequence % this.sequenceUpdateBatch == 0) {
-          if (this.listener.onBacktestUpdated) {
+          if (this.listener?.onBacktestUpdated) {
             this.listener.onBacktestUpdated(this);
           }
         }
@@ -103,7 +104,7 @@ export class BacktesterStreamer {
           setImmediate(next);
         }
       } else {
-        if (this.listener.onBacktestCompleted) {
+        if (this.listener?.onBacktestCompleted) {
           this.listener.onBacktestCompleted(this);
         }
       }
@@ -120,19 +121,26 @@ export class BacktesterStreamer {
 
     const event = cursor.peek();
 
+    if (!event) {
+      return false;
+    }
+
     this.timestamp = event.timestamp;
     this.sequence++;
 
     this.store.dispatch(event);
 
     if (cursor.dequeue().timestamp != event.timestamp) {
-      throw new Error('invalid event to consume');
+      throw invalidEventSequenceError();
     }
 
     return true;
   }
 
-  private async current(from: timestamp, to: timestamp): Promise<BacktesterCursor> {
+  private async current(
+    from: timestamp,
+    to: timestamp
+  ): Promise<BacktesterCursor | undefined> {
     for (const cursor of Object.values(this.cursor)) {
       if (cursor.size == 0 && !cursor.completed) {
         await cursor.fetchNextPage(from, to);
@@ -140,8 +148,8 @@ export class BacktesterStreamer {
     }
 
     return Object.values(this.cursor)
-      .filter(it => it.peek() != undefined)
-      .sort((lhs, rhs) => lhs.peek().timestamp - rhs.peek().timestamp)
+      .filter(it => it !== undefined)
+      .sort((lhs, rhs) => (lhs?.peek()?.timestamp ?? 0) - (rhs?.peek()?.timestamp ?? 0))
       .find(() => true);
   }
 }

package/src/adapter/backtester/error.ts

@@ -0,0 +1,7 @@
+export function missingPeriodParametersError() {
+  return new Error('invalid backtest options, please provide from and to period.');
+}
+
+export function invalidEventSequenceError() {
+  return new Error('invalid event to consume');
+}

package/src/adapter/error.ts

@@ -4,6 +4,10 @@ export function adapterNotFoundError(adapterName: string) {
   );
 }
 
+export function noPaperEngineProvidedError() {
+  return new Error('No paper engine provided.');
+}
+
 export function backtestPageNotEmpty() {
   return new Error('Backtest page is not empty');
 }

package/src/adapter/paper/engine/paper-engine.spec.ts

@@ -1,4 +1,10 @@
-import { Asset, commissionPercentOf, Instrument, Order } from '../../../domain';
+import {
+  Asset,
+  Commission,
+  commissionPercentOf,
+  Instrument,
+  Order
+} from '../../../domain';
 import { d, now } from '../../../shared';
 import {
   BalancePatchEvent,
@@ -11,9 +17,11 @@ import { PaperEngine } from './paper-engine';
 
 describe('PaperEngine', () => {
   const instrument = new Instrument(
+    0,
     new Asset('btc', 'binance', 8),
     new Asset('usdt', 'binance', 2),
-    'binance:btc-usdt'
+    'binance:btc-usdt',
+    Commission.Zero
   );
 
   const commission = commissionPercentOf({
@@ -24,7 +32,7 @@ describe('PaperEngine', () => {
   test('should open a new buy market order', () => {
     const store = new Store();
     const engine = new PaperEngine(store);
-    const order = Order.market(instrument, d(1.0));
+    const order = new Order(0, '1', instrument, d(1.0), 0);
 
     store.dispatch(
       new InstrumentPatchEvent(now(), instrument.base, instrument.quote, commission, ''),
@@ -34,16 +42,19 @@ describe('PaperEngine', () => {
 
     engine.open(order);
 
+    const pendingOrder = store.snapshot.order.get(instrument.id)?.get(order.id) ?? fail();
+    const balance = store.snapshot.balance.get(instrument.quote.id) ?? fail();
+
     expect(store.snapshot.order.asReadonlyArray().length).toEqual(1);
-    expect(store.snapshot.order.get(instrument.id).get(order.id)).toEqual(order);
-    expect(store.snapshot.balance.get(instrument.quote.id).free).toEqual(d.Zero);
-    expect(store.snapshot.balance.get(instrument.quote.id).locked).toEqual(d(1000));
+    expect(pendingOrder).toEqual(order);
+    expect(balance.free).toEqual(d.Zero);
+    expect(balance.locked).toEqual(d(1000));
   });
 
   test('should open a new sell market order', () => {
     const store = new Store();
     const engine = new PaperEngine(store);
-    const order = Order.market(instrument, d(-0.6));
+    const order = new Order(0, '1', instrument, d(-0.6), 0);
 
     store.dispatch(
       new InstrumentPatchEvent(now(), instrument.base, instrument.quote, commission, ''),
@@ -53,16 +64,19 @@ describe('PaperEngine', () => {
 
     engine.open(order);
 
+    const pendingOrder = store.snapshot.order.get(instrument.id)?.get(order.id) ?? fail();
+    const balance = store.snapshot.balance.get(instrument.base.id) ?? fail();
+
     expect(store.snapshot.order.asReadonlyArray().length).toEqual(1);
-    expect(store.snapshot.order.get(instrument.id).get(order.id)).toEqual(order);
-    expect(store.snapshot.balance.get(instrument.base.id).free).toEqual(d(0.4));
-    expect(store.snapshot.balance.get(instrument.base.id).locked).toEqual(d(0.6));
+    expect(pendingOrder).toEqual(order);
+    expect(balance.free).toEqual(d(0.4));
+    expect(balance.locked).toEqual(d(0.6));
   });
 
   test('should open and fill a new sell limit order', () => {
     const store = new Store();
     const engine = new PaperEngine(store);
-    const order = Order.limit(instrument, d(-0.6), d(100));
+    const order = new Order(0, '1', instrument, d(-0.6), 0, d(100));
 
     store.dispatch(
       new InstrumentPatchEvent(now(), instrument.base, instrument.quote, commission, ''),
@@ -73,12 +87,13 @@ describe('PaperEngine', () => {
 
     engine.open(order);
 
+    const pendingOrder = store.snapshot.order.get(instrument.id)?.get(order.id) ?? fail();
+    const baseBalance = store.snapshot.balance.get(instrument.base.id) ?? fail();
+
     expect(store.snapshot.order.asReadonlyArray().length).toEqual(1);
-    expect(store.snapshot.order.get(instrument.id).get(order.id).state).toEqual(
-      'PENDING'
-    );
-    expect(store.snapshot.balance.get(instrument.base.id).free).toEqual(d(0.4));
-    expect(store.snapshot.balance.get(instrument.base.id).locked).toEqual(d(0.6));
+    expect(pendingOrder.state).toEqual('PENDING');
+    expect(baseBalance.free).toEqual(d(0.4));
+    expect(baseBalance.locked).toEqual(d(0.6));
 
     store.dispatch(
       new OrderbookPatchEvent(
@@ -89,11 +104,13 @@ describe('PaperEngine', () => {
       )
     );
 
+    const quoteBalance = store.snapshot.balance.get(instrument.quote.id) ?? fail();
+
     expect(store.snapshot.order.asReadonlyArray().length).toEqual(1);
-    expect(store.snapshot.order.get(instrument.id).get(order.id).state).toEqual('FILLED');
-    expect(store.snapshot.balance.get(instrument.base.id).free).toEqual(d(0.4));
-    expect(store.snapshot.balance.get(instrument.base.id).locked).toEqual(d.Zero);
-    expect(store.snapshot.balance.get(instrument.quote.id).free).toEqual(d(1060.53));
-    expect(store.snapshot.balance.get(instrument.quote.id).locked).toEqual(d.Zero);
+    expect(pendingOrder.state).toEqual('FILLED');
+    expect(baseBalance.free).toEqual(d(0.4));
+    expect(baseBalance.locked).toEqual(d.Zero);
+    expect(quoteBalance.free).toEqual(d(1060.53));
+    expect(quoteBalance.locked).toEqual(d.Zero);
   });
 });

package/src/adapter/paper/engine/paper-engine.ts

@@ -14,6 +14,7 @@ import {
   OrderRejectedEvent,
   Store
 } from '../../../store';
+import { instrumentNotSupportedError } from '../../../store/error';
 
 export class PaperEngine {
   constructor(private readonly store: Store) {
@@ -60,55 +61,63 @@ export class PaperEngine {
   }
 
   private onOrderbook(orderbook: Orderbook) {
-    this.store.snapshot.order
-      .get(orderbook.instrument.id)
-      .asReadonlyArray()
-      .forEach(it => {
-        if (it.state != 'PENDING') {
-          return;
-        }
+    const orders = this.store.snapshot.order.get(orderbook.instrument.id);
+    if (!orders) {
+      return;
+    }
 
-        if (it.type == 'LIMIT') {
-          if (it.quantity.greaterThan(0) && it.rate.greaterThan(orderbook.asks.rate)) {
-            this.completeOrder(it, orderbook.asks.rate);
-          } else if (it.quantity.lessThan(0) && it.rate.lessThan(orderbook.bids.rate)) {
-            this.completeOrder(it, orderbook.bids.rate);
-          }
-        } else if (it.type == 'MARKET') {
-          if (it.quantity.greaterThan(0)) {
-            this.completeOrder(it, orderbook.asks.rate);
-          } else if (it.quantity.lessThan(0)) {
-            this.completeOrder(it, orderbook.bids.rate);
-          }
+    orders.asReadonlyArray().forEach(it => {
+      if (it.state != 'PENDING') {
+        return;
+      }
+
+      if (it.rate) {
+        if (it.quantity.greaterThan(0) && it.rate.greaterThan(orderbook.asks.rate)) {
+          this.completeOrder(it, orderbook.asks.rate);
+        } else if (it.quantity.lessThan(0) && it.rate.lessThan(orderbook.bids.rate)) {
+          this.completeOrder(it, orderbook.bids.rate);
+        }
+      } else {
+        if (it.quantity.greaterThan(0)) {
+          this.completeOrder(it, orderbook.asks.rate);
+        } else if (it.quantity.lessThan(0)) {
+          this.completeOrder(it, orderbook.bids.rate);
         }
-      });
+      }
+    });
   }
 
   private onTrade(trade: Trade) {
-    this.store.snapshot.order
-      .get(trade.instrument.id)
-      .asReadonlyArray()
-      .forEach(it => {
-        if (it.state != 'PENDING') {
-          return;
-        }
+    const orders = this.store.snapshot.order.get(trade.instrument.id);
+    if (!orders) {
+      return;
+    }
 
-        if (it.type == 'LIMIT') {
-          if (it.quantity.greaterThan(0) && it.rate.greaterThan(trade.rate)) {
-            this.completeOrder(it, trade.rate);
-          } else if (it.quantity.lessThan(0) && it.rate.lessThan(trade.rate)) {
-            this.completeOrder(it, trade.rate);
-          }
-        } else if (it.type == 'MARKET') {
+    orders.asReadonlyArray().forEach(it => {
+      if (it.state != 'PENDING') {
+        return;
+      }
+
+      if (it.rate) {
+        if (it.quantity.greaterThan(0) && it.rate.greaterThan(trade.rate)) {
+          this.completeOrder(it, trade.rate);
+        } else if (it.quantity.lessThan(0) && it.rate.lessThan(trade.rate)) {
           this.completeOrder(it, trade.rate);
         }
-      });
+      } else {
+        this.completeOrder(it, trade.rate);
+      }
+    });
   }
 
   private completeOrder(order: Order, averageExecutionRate: decimal) {
     const { timestamp } = this.store.snapshot;
 
     const instrument = this.store.snapshot.universe.instrument.get(order.instrument.id);
+    if (!instrument) {
+      throw instrumentNotSupportedError(order.instrument);
+    }
+
     const transacted = {
       base: d.Zero,
       quote: d.Zero

package/src/adapter/paper/paper-adapter.ts

@@ -1,12 +1,13 @@
 import { assetOf, Candle, InstrumentSelector, Order } from '../../domain';
-import { d, timestamp } from '../../shared';
+import { d, decimal, timestamp } from '../../shared';
 import { BalancePatchEvent, Store } from '../../store';
 import { Adapter } from '..';
 import { AdapterFactory, FeedAsyncCallback } from '../adapter';
+import { noPaperEngineProvidedError } from '../error';
 import { PaperEngine } from './engine/paper-engine';
 
 export interface PaperOptions {
-  balance: { [key: string]: number };
+  balance: { [key: string]: decimal };
 }
 
 export function createPaperAdapterFactory(
@@ -19,7 +20,7 @@ export function createPaperAdapterFactory(
 
 export class PaperAdapter extends Adapter {
   readonly name = this.decoratedAdapter.name;
-  private engine: PaperEngine;
+  private engine?: PaperEngine;
 
   constructor(
     readonly decoratedAdapter: Adapter,
@@ -57,7 +58,7 @@ export class PaperAdapter extends Adapter {
         continue;
       }
 
-      const free = d(this.options.balance[balance]);
+      const free = this.options.balance[balance];
 
       subscribed = subscribed.filter(it => it.id != asset.id);
 
@@ -72,10 +73,18 @@ export class PaperAdapter extends Adapter {
   }
 
   async open(order: Order): Promise<void> {
+    if (!this.engine) {
+      throw noPaperEngineProvidedError();
+    }
+
     this.engine.open(order);
   }
 
   async cancel(order: Order): Promise<void> {
+    if (!this.engine) {
+      throw noPaperEngineProvidedError();
+    }
+
     this.engine.cancel(order);
   }
 

package/src/cli/build.ts

@@ -6,7 +6,7 @@ export default async function (): Promise<number> {
   return new Promise<number>((resolve, reject) => {
     const process = spawn('swc', ['./src', '--out-dir', buildDirectory()], {
       stdio: 'inherit',
-      shell: false
+      shell: true
     });
 
     process.once('exit', resolve);

package/src/cli/dev.ts

@@ -1,18 +1,26 @@
-import { Bootstrap } from '../bootstrap';
+import { join } from 'path';
+
+import { SessionBuilder } from '../domain/session-builder';
+import { now } from '../shared';
+import { prepare } from '../strategy';
 import build from './build';
-import { getModule } from './internal/workspace';
+import { buildDirectory } from './internal/workspace';
 
 export default async function (name: string, options: any) {
   if (await build()) {
     return;
   }
 
-  const id = options.id ? Number(options.id) : undefined;
+  await import(join(buildDirectory(), 'index'));
+
+  const builder = new SessionBuilder().useSessionId(
+    options.id ? Number(options.id) : now()
+  );
 
-  const module = await getModule(name);
+  const rules = await prepare(name, builder);
 
-  const bootstrap = new Bootstrap(module.descriptor);
-  const session = bootstrap.useSessionId(id).paper();
+  const session = builder.paper();
+  await session.awake();
 
-  await session.awake(module.default);
+  rules(session).subscribe();
 }

package/src/cli/error.ts

@@ -0,0 +1,5 @@
+export function missingDescriptorParameterError(parameterName: string) {
+  return new Error(
+    `please set a "${parameterName}" date in session descriptor or provide the date as parameter.`
+  );
+}

package/src/cli/internal/workspace.ts

@@ -1,18 +1,7 @@
 import { join } from 'path';
-import { Observable } from 'rxjs';
 
-import { Session, SessionDescriptor } from './../../domain';
 import { workingDirectory } from './../../shared';
 
-export type StrategyModule = {
-  descriptor: SessionDescriptor;
-  default: (session: Session) => Observable<any>;
-};
-
 export function buildDirectory() {
   return join(process.cwd(), workingDirectory(), 'build');
 }
-
-export async function getModule(name: string): Promise<StrategyModule> {
-  return await import(join(buildDirectory(), name));
-}

package/src/cli/pull.ts

@@ -1,51 +1,42 @@
 import { Presets, SingleBar } from 'cli-progress';
+import { join } from 'path';
 
-import { Bootstrap } from '../bootstrap';
 import { instrumentOf } from '../domain';
+import { SessionBuilder } from '../domain/session-builder';
+import { now } from '../shared';
 import { Feed } from '../storage';
+import { prepare } from '../strategy';
 import build from './build';
-import { getModule } from './internal/workspace';
+import { buildDirectory } from './internal/workspace';
 
 export default async function (name: string, instrument: string, options: any) {
   if (await build()) {
     return;
   }
+  await import(join(buildDirectory(), 'index'));
 
-  const id = options.id ? Number(options.id) : undefined;
-
-  const module = await getModule(name);
-
-  const bootstrap = new Bootstrap(module.descriptor);
-  const session = bootstrap.useSessionId(id).paper();
-
-  if (!module.descriptor.storage) {
-    throw new Error('Please provide a "storage" property in session descriptor.');
-  }
-
-  const from = options.from
-    ? Date.parse(options.from)
-    : module.descriptor.simulation.from;
-
-  if (!from) {
-    throw new Error(
-      'Please set a "from" date in session descriptor or provide the date as parameter.'
-    );
-  }
+  const builder = new SessionBuilder().useSessionId(
+    options.id ? Number(options.id) : now()
+  );
 
-  const to = options.to ? Date.parse(options.to) : module.descriptor.simulation.to;
+  await prepare(name, builder);
 
-  if (!to) {
-    throw new Error(
-      'Please set a "to" date in session descriptor or provide the date as parameter.'
-    );
-  }
+  const session = builder.paper();
 
   console.time('Pulling completed in');
 
-  await session.awake(undefined);
+  await session.awake();
+
+  const bar = new SingleBar(
+    {
+      format: `Pulling ${instrument} [{bar}] {percentage}% | ETA: {eta}s | {value}/{total}`
+    },
+    Presets.rect
+  );
 
-  const bar = new SingleBar({}, Presets.shades_classic);
-  const feed = new Feed(module.descriptor.storage('feed'));
+  const feed = new Feed(builder.storage('feed'));
+  const from = options.from ? Date.parse(options.from) : builder.period.from;
+  const to = options.to ? Date.parse(options.to) : builder.period.to;
 
   bar.start(100, 0);
 

package/src/cli/run.ts

@@ -1,22 +1,25 @@
-import * as dotenv from 'dotenv';
+import { join } from 'path';
 
-import { Bootstrap } from '../bootstrap';
+import { SessionBuilder } from '../domain/session-builder';
+import { now } from '../shared';
+import { prepare } from '../strategy';
 import build from './build';
-import { getModule } from './internal/workspace';
+import { buildDirectory } from './internal/workspace';
 
-export default async function (name, options: any) {
+export default async function (name: string, options: any) {
   if (await build()) {
     return;
   }
+  await import(join(buildDirectory(), 'index'));
 
-  dotenv.config();
+  const builder = new SessionBuilder().useSessionId(
+    options.id ? Number(options.id) : now()
+  );
 
-  const id = options.id ? Number(options.id) : undefined;
+  const rules = await prepare(name, builder);
 
-  const module = await getModule(name);
+  const session = builder.live();
+  await session.awake();
 
-  const bootstrap = new Bootstrap(module.descriptor);
-  const session = bootstrap.useSessionId(id).live();
-
-  await session.awake(module.default);
+  rules(session).subscribe();
 }