@quantform/core 0.5.23 → 0.6.5
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- package/LICENSE.md +21 -0
- package/dist/adapter/adapter-aggregate.d.ts +38 -3
- package/dist/adapter/adapter-aggregate.d.ts.map +1 -0
- package/dist/adapter/adapter-aggregate.js +109 -50
- package/dist/adapter/adapter.d.ts +27 -2
- package/dist/adapter/adapter.d.ts.map +1 -0
- package/dist/adapter/adapter.js +4 -1
- package/dist/adapter/backtester/backtester-adapter.d.ts +3 -2
- package/dist/adapter/backtester/backtester-adapter.d.ts.map +1 -0
- package/dist/adapter/backtester/backtester-adapter.js +26 -13
- package/dist/adapter/backtester/backtester-cursor.d.ts +2 -1
- package/dist/adapter/backtester/backtester-cursor.d.ts.map +1 -0
- package/dist/adapter/backtester/backtester-cursor.js +24 -14
- package/dist/adapter/backtester/backtester-streamer.d.ts +20 -1
- package/dist/adapter/backtester/backtester-streamer.d.ts.map +1 -0
- package/dist/adapter/backtester/backtester-streamer.js +54 -30
- package/dist/adapter/backtester/error.d.ts +3 -0
- package/dist/adapter/backtester/error.d.ts.map +1 -0
- package/dist/adapter/backtester/error.js +11 -0
- package/dist/adapter/backtester/index.d.ts +1 -0
- package/dist/adapter/backtester/index.d.ts.map +1 -0
- package/dist/adapter/backtester/index.js +0 -1
- package/dist/adapter/error.d.ts +2 -0
- package/dist/adapter/error.d.ts.map +1 -0
- package/dist/adapter/error.js +5 -2
- package/dist/adapter/index.d.ts +1 -0
- package/dist/adapter/index.d.ts.map +1 -0
- package/dist/adapter/index.js +0 -1
- package/dist/adapter/paper/engine/paper-engine.d.ts +1 -0
- package/dist/adapter/paper/engine/paper-engine.d.ts.map +1 -0
- package/dist/adapter/paper/engine/paper-engine.js +18 -13
- package/dist/adapter/paper/index.d.ts +1 -0
- package/dist/adapter/paper/index.d.ts.map +1 -0
- package/dist/adapter/paper/index.js +0 -1
- package/dist/adapter/paper/paper-adapter.d.ts +6 -5
- package/dist/adapter/paper/paper-adapter.d.ts.map +1 -0
- package/dist/adapter/paper/paper-adapter.js +44 -21
- package/dist/cli/build.d.ts +1 -0
- package/dist/cli/build.d.ts.map +1 -0
- package/dist/cli/build.js +18 -8
- package/dist/cli/dev.d.ts +1 -0
- package/dist/cli/dev.d.ts.map +1 -0
- package/dist/cli/dev.js +52 -12
- package/dist/cli/error.d.ts +2 -0
- package/dist/cli/error.d.ts.map +1 -0
- package/dist/cli/error.js +7 -0
- package/dist/cli/index.d.ts +1 -0
- package/dist/cli/index.d.ts.map +1 -0
- package/dist/cli/index.js +21 -10
- package/dist/cli/internal/workspace.d.ts +1 -7
- package/dist/cli/internal/workspace.d.ts.map +1 -0
- package/dist/cli/internal/workspace.js +1 -6
- package/dist/cli/pull.d.ts +1 -0
- package/dist/cli/pull.d.ts.map +1 -0
- package/dist/cli/pull.js +68 -38
- package/dist/cli/run.d.ts +2 -1
- package/dist/cli/run.d.ts.map +1 -0
- package/dist/cli/run.js +52 -14
- package/dist/cli/test.d.ts +2 -1
- package/dist/cli/test.d.ts.map +1 -0
- package/dist/cli/test.js +59 -34
- package/dist/domain/asset.d.ts +17 -1
- package/dist/domain/asset.d.ts.map +1 -0
- package/dist/domain/asset.js +16 -4
- package/dist/domain/{balance.operator.d.ts → balance-operator.d.ts} +1 -0
- package/dist/domain/balance-operator.d.ts.map +1 -0
- package/dist/domain/{balance.operator.js → balance-operator.js} +0 -1
- package/dist/domain/balance.d.ts +27 -5
- package/dist/domain/balance.d.ts.map +1 -0
- package/dist/domain/balance.js +31 -7
- package/dist/domain/commission.d.ts +2 -0
- package/dist/domain/commission.d.ts.map +1 -0
- package/dist/domain/commission.js +2 -1
- package/dist/domain/component.d.ts +1 -1
- package/dist/domain/component.d.ts.map +1 -0
- package/dist/domain/component.js +0 -1
- package/dist/domain/error.d.ts +4 -3
- package/dist/domain/error.d.ts.map +1 -0
- package/dist/domain/error.js +3 -4
- package/dist/domain/index.d.ts +10 -8
- package/dist/domain/index.d.ts.map +1 -0
- package/dist/domain/index.js +9 -9
- package/dist/domain/{instrument.operator.d.ts → instrument-operator.d.ts} +1 -0
- package/dist/domain/instrument-operator.d.ts.map +1 -0
- package/dist/domain/{instrument.operator.js → instrument-operator.js} +0 -1
- package/dist/domain/instrument.d.ts +8 -7
- package/dist/domain/instrument.d.ts.map +1 -0
- package/dist/domain/instrument.js +7 -7
- package/dist/domain/ohlc-operator.d.ts +11 -0
- package/dist/domain/ohlc-operator.d.ts.map +1 -0
- package/dist/domain/{candle.operator.js → ohlc-operator.js} +21 -15
- package/dist/domain/{candle.d.ts → ohlc.d.ts} +4 -3
- package/dist/domain/ohlc.d.ts.map +1 -0
- package/dist/domain/{candle.js → ohlc.js} +3 -4
- package/dist/domain/{order.operator.d.ts → order-operator.d.ts} +1 -0
- package/dist/domain/order-operator.d.ts.map +1 -0
- package/dist/domain/order-operator.js +16 -0
- package/dist/domain/order.d.ts +14 -21
- package/dist/domain/order.d.ts.map +1 -0
- package/dist/domain/order.js +16 -32
- package/dist/domain/{orderbook.operator.d.ts → orderbook-operator.d.ts} +1 -0
- package/dist/domain/orderbook-operator.d.ts.map +1 -0
- package/dist/domain/{orderbook.operator.js → orderbook-operator.js} +0 -1
- package/dist/domain/orderbook.d.ts +9 -7
- package/dist/domain/orderbook.d.ts.map +1 -0
- package/dist/domain/orderbook.js +7 -6
- package/dist/domain/{position.operator.d.ts → position-operator.d.ts} +4 -2
- package/dist/domain/position-operator.d.ts.map +1 -0
- package/dist/domain/{position.operator.js → position-operator.js} +10 -3
- package/dist/domain/position.d.ts +4 -5
- package/dist/domain/position.d.ts.map +1 -0
- package/dist/domain/position.js +2 -6
- package/dist/domain/session-builder.d.ts +54 -0
- package/dist/domain/session-builder.d.ts.map +1 -0
- package/dist/domain/session-builder.js +106 -0
- package/dist/domain/session.d.ts +56 -15
- package/dist/domain/session.d.ts.map +1 -0
- package/dist/domain/session.js +103 -39
- package/dist/domain/timeframe.d.ts +1 -0
- package/dist/domain/timeframe.d.ts.map +1 -0
- package/dist/domain/timeframe.js +0 -1
- package/dist/domain/{trade.operator.d.ts → trade-operator.d.ts} +1 -0
- package/dist/domain/trade-operator.d.ts.map +1 -0
- package/dist/domain/{trade.operator.js → trade-operator.js} +0 -1
- package/dist/domain/trade.d.ts +9 -6
- package/dist/domain/trade.d.ts.map +1 -0
- package/dist/domain/trade.js +8 -6
- package/dist/index.d.ts +25 -2
- package/dist/index.d.ts.map +1 -0
- package/dist/index.js +63 -3
- package/dist/shared/collections.d.ts +9 -6
- package/dist/shared/collections.d.ts.map +1 -0
- package/dist/shared/collections.js +21 -13
- package/dist/shared/datetime.d.ts +1 -0
- package/dist/shared/datetime.d.ts.map +1 -0
- package/dist/shared/datetime.js +0 -1
- package/dist/shared/decimals.d.ts +13 -0
- package/dist/shared/decimals.d.ts.map +1 -0
- package/dist/shared/decimals.js +12 -1
- package/dist/shared/environment.d.ts +3 -0
- package/dist/shared/environment.d.ts.map +1 -0
- package/dist/shared/environment.js +15 -0
- package/dist/shared/index.d.ts +2 -1
- package/dist/shared/index.d.ts.map +1 -0
- package/dist/shared/index.js +1 -2
- package/dist/shared/logger.d.ts +6 -7
- package/dist/shared/logger.d.ts.map +1 -0
- package/dist/shared/logger.js +27 -8
- package/dist/shared/pipe.d.ts +1 -0
- package/dist/shared/pipe.d.ts.map +1 -0
- package/dist/shared/pipe.js +0 -1
- package/dist/shared/policy.d.ts +1 -0
- package/dist/shared/policy.d.ts.map +1 -0
- package/dist/shared/policy.js +0 -1
- package/dist/storage/cache.d.ts +1 -0
- package/dist/storage/cache.d.ts.map +1 -0
- package/dist/storage/cache.js +30 -19
- package/dist/storage/feed.d.ts +25 -0
- package/dist/storage/feed.d.ts.map +1 -0
- package/dist/storage/feed.js +56 -19
- package/dist/storage/index.d.ts +1 -0
- package/dist/storage/index.d.ts.map +1 -0
- package/dist/storage/index.js +0 -1
- package/dist/storage/measurement.d.ts +20 -0
- package/dist/storage/measurement.d.ts.map +1 -0
- package/dist/storage/measurement.js +41 -10
- package/dist/storage/storage.d.ts +41 -0
- package/dist/storage/storage.d.ts.map +1 -0
- package/dist/storage/storage.js +69 -33
- package/dist/store/error.d.ts +9 -0
- package/dist/store/error.d.ts.map +1 -0
- package/dist/store/error.js +31 -0
- package/dist/store/index.d.ts +8 -7
- package/dist/store/index.d.ts.map +1 -0
- package/dist/store/index.js +7 -8
- package/dist/store/{store-balance.event.d.ts → store-balance-event.d.ts} +14 -1
- package/dist/store/store-balance-event.d.ts.map +1 -0
- package/dist/store/{store-balance.event.js → store-balance-event.js} +54 -10
- package/dist/store/{store.event.d.ts → store-event.d.ts} +1 -0
- package/dist/store/store-event.d.ts.map +1 -0
- package/dist/store/{store.event.js → store-event.js} +0 -1
- package/dist/store/{store-instrument.event.d.ts → store-instrument-event.d.ts} +5 -4
- package/dist/store/store-instrument-event.d.ts.map +1 -0
- package/dist/store/{store-instrument.event.js → store-instrument-event.js} +13 -5
- package/dist/store/{store-order.event.d.ts → store-order-event.d.ts} +7 -2
- package/dist/store/store-order-event.d.ts.map +1 -0
- package/dist/store/{store-order.event.js → store-order-event.js} +24 -20
- package/dist/store/{store-orderbook.event.d.ts → store-orderbook-event.d.ts} +2 -1
- package/dist/store/store-orderbook-event.d.ts.map +1 -0
- package/dist/store/{store-orderbook.event.js → store-orderbook-event.js} +6 -5
- package/dist/store/{store-position.event.d.ts → store-position-event.d.ts} +3 -2
- package/dist/store/store-position-event.d.ts.map +1 -0
- package/dist/store/{store-position.event.js → store-position-event.js} +13 -6
- package/dist/store/store-state.d.ts +3 -2
- package/dist/store/store-state.d.ts.map +1 -0
- package/dist/store/store-state.js +1 -1
- package/dist/store/{store-trade.event.d.ts → store-trade-event.d.ts} +6 -1
- package/dist/store/store-trade-event.d.ts.map +1 -0
- package/dist/store/{store-trade.event.js → store-trade-event.js} +12 -3
- package/dist/store/store.d.ts +2 -1
- package/dist/store/store.d.ts.map +1 -0
- package/dist/store/store.js +0 -1
- package/jest.config.ts +13 -0
- package/package.json +19 -32
- package/src/adapter/adapter-aggregate.ts +42 -21
- package/src/adapter/adapter.ts +3 -3
- package/src/adapter/backtester/backtester-adapter.ts +2 -4
- package/src/adapter/backtester/backtester-cursor.ts +1 -1
- package/src/adapter/backtester/backtester-streamer.spec.ts +5 -3
- package/src/adapter/backtester/backtester-streamer.ts +16 -8
- package/src/adapter/backtester/error.ts +7 -0
- package/src/adapter/error.ts +4 -0
- package/src/adapter/paper/engine/paper-engine.spec.ts +38 -21
- package/src/adapter/paper/engine/paper-engine.ts +44 -35
- package/src/adapter/paper/paper-adapter.ts +15 -6
- package/src/cli/build.ts +1 -1
- package/src/cli/dev.ts +15 -7
- package/src/cli/error.ts +5 -0
- package/src/cli/internal/workspace.ts +0 -11
- package/src/cli/pull.ts +22 -31
- package/src/cli/run.ts +14 -11
- package/src/cli/test.ts +24 -37
- package/src/domain/asset.ts +1 -8
- package/src/domain/{balance.operator.spec.ts → balance-operator.spec.ts} +4 -3
- package/src/domain/{balance.operator.ts → balance-operator.ts} +0 -0
- package/src/domain/balance.spec.ts +15 -12
- package/src/domain/balance.ts +7 -11
- package/src/domain/commission.ts +3 -1
- package/src/domain/component.ts +0 -1
- package/src/domain/error.ts +3 -3
- package/src/domain/index.ts +9 -8
- package/src/domain/{instrument.operator.spec.ts → instrument-operator.spec.ts} +9 -2
- package/src/domain/{instrument.operator.ts → instrument-operator.ts} +0 -0
- package/src/domain/instrument.spec.ts +8 -1
- package/src/domain/instrument.ts +10 -12
- package/src/domain/ohlc-operator.spec.ts +126 -0
- package/src/domain/{candle.operator.ts → ohlc-operator.ts} +33 -17
- package/src/domain/{candle.spec.ts → ohlc.spec.ts} +6 -6
- package/src/domain/{candle.ts → ohlc.ts} +2 -2
- package/src/domain/{order.operator.spec.ts → order-operator.spec.ts} +9 -6
- package/src/domain/{order.operator.ts → order-operator.ts} +2 -2
- package/src/domain/order.spec.ts +8 -9
- package/src/domain/order.ts +21 -56
- package/src/domain/{orderbook.operator.spec.ts → orderbook-operator.spec.ts} +15 -3
- package/src/domain/{orderbook.operator.ts → orderbook-operator.ts} +0 -0
- package/src/domain/orderbook.spec.ts +11 -2
- package/src/domain/orderbook.ts +9 -13
- package/src/domain/{position.operator.spec.ts → position-operator.spec.ts} +11 -6
- package/src/domain/{position.operator.ts → position-operator.ts} +13 -6
- package/src/domain/position.spec.ts +7 -4
- package/src/domain/position.ts +2 -7
- package/src/domain/session-builder.ts +158 -0
- package/src/domain/session.spec.ts +2 -9
- package/src/domain/session.ts +86 -71
- package/src/domain/{trade.operator.spec.ts → trade-operator.spec.ts} +7 -3
- package/src/domain/{trade.operator.ts → trade-operator.ts} +0 -0
- package/src/domain/trade.spec.ts +6 -2
- package/src/domain/trade.ts +8 -11
- package/src/index.ts +75 -2
- package/src/shared/collections.spec.ts +10 -6
- package/src/shared/collections.ts +29 -16
- package/src/shared/environment.ts +13 -0
- package/src/shared/index.ts +1 -1
- package/src/shared/logger.ts +37 -7
- package/src/shared/pipe.ts +1 -1
- package/src/storage/cache.ts +3 -1
- package/src/storage/feed.ts +2 -0
- package/src/storage/storage.ts +10 -8
- package/src/store/error.ts +36 -0
- package/src/store/index.ts +7 -7
- package/src/store/{store-balance.event.spec.ts → store-balance-event.spec.ts} +3 -3
- package/src/store/{store-balance.event.ts → store-balance-event.ts} +54 -11
- package/src/store/{store.event.ts → store-event.ts} +0 -0
- package/src/store/{store-instrument.event.spec.ts → store-instrument-event.spec.ts} +6 -5
- package/src/store/{store-instrument.event.ts → store-instrument-event.ts} +17 -6
- package/src/store/store-order-event.spec.ts +32 -0
- package/src/store/{store-order.event.ts → store-order-event.ts} +25 -20
- package/src/store/{store-orderbook.event.spec.ts → store-orderbook-event.spec.ts} +11 -9
- package/src/store/{store-orderbook.event.ts → store-orderbook-event.ts} +7 -5
- package/src/store/{store-position.event.ts → store-position-event.ts} +14 -7
- package/src/store/store-state.ts +3 -3
- package/src/store/{store-trade.event.spec.ts → store-trade-event.spec.ts} +7 -5
- package/src/store/{store-trade.event.ts → store-trade-event.ts} +10 -4
- package/src/store/store.spec.ts +13 -11
- package/src/store/store.ts +1 -1
- package/tsconfig.json +12 -5
- package/dist/adapter/adapter-aggregate.js.map +0 -1
- package/dist/adapter/adapter.js.map +0 -1
- package/dist/adapter/backtester/backtester-adapter.js.map +0 -1
- package/dist/adapter/backtester/backtester-adapter.spec.d.ts +0 -1
- package/dist/adapter/backtester/backtester-adapter.spec.js +0 -83
- package/dist/adapter/backtester/backtester-adapter.spec.js.map +0 -1
- package/dist/adapter/backtester/backtester-cursor.js.map +0 -1
- package/dist/adapter/backtester/backtester-cursor.spec.d.ts +0 -1
- package/dist/adapter/backtester/backtester-cursor.spec.js +0 -39
- package/dist/adapter/backtester/backtester-cursor.spec.js.map +0 -1
- package/dist/adapter/backtester/backtester-streamer.js.map +0 -1
- package/dist/adapter/backtester/backtester-streamer.spec.d.ts +0 -1
- package/dist/adapter/backtester/backtester-streamer.spec.js +0 -45
- package/dist/adapter/backtester/backtester-streamer.spec.js.map +0 -1
- package/dist/adapter/backtester/index.js.map +0 -1
- package/dist/adapter/error.js.map +0 -1
- package/dist/adapter/index.js.map +0 -1
- package/dist/adapter/paper/engine/paper-engine.js.map +0 -1
- package/dist/adapter/paper/engine/paper-engine.spec.d.ts +0 -1
- package/dist/adapter/paper/engine/paper-engine.spec.js +0 -54
- package/dist/adapter/paper/engine/paper-engine.spec.js.map +0 -1
- package/dist/adapter/paper/index.js.map +0 -1
- package/dist/adapter/paper/paper-adapter.js.map +0 -1
- package/dist/adapter/paper/paper-adapter.spec.d.ts +0 -1
- package/dist/adapter/paper/paper-adapter.spec.js +0 -70
- package/dist/adapter/paper/paper-adapter.spec.js.map +0 -1
- package/dist/bootstrap.d.ts +0 -11
- package/dist/bootstrap.js +0 -73
- package/dist/bootstrap.js.map +0 -1
- package/dist/cli/build.js.map +0 -1
- package/dist/cli/dev.js.map +0 -1
- package/dist/cli/index.js.map +0 -1
- package/dist/cli/internal/workspace.js.map +0 -1
- package/dist/cli/pull.js.map +0 -1
- package/dist/cli/run.js.map +0 -1
- package/dist/cli/test.js.map +0 -1
- package/dist/domain/asset.js.map +0 -1
- package/dist/domain/asset.spec.d.ts +0 -1
- package/dist/domain/asset.spec.js +0 -55
- package/dist/domain/asset.spec.js.map +0 -1
- package/dist/domain/balance.js.map +0 -1
- package/dist/domain/balance.operator.js.map +0 -1
- package/dist/domain/balance.operator.spec.d.ts +0 -1
- package/dist/domain/balance.operator.spec.js +0 -23
- package/dist/domain/balance.operator.spec.js.map +0 -1
- package/dist/domain/balance.spec.d.ts +0 -1
- package/dist/domain/balance.spec.js +0 -83
- package/dist/domain/balance.spec.js.map +0 -1
- package/dist/domain/candle.js.map +0 -1
- package/dist/domain/candle.operator.d.ts +0 -10
- package/dist/domain/candle.operator.js.map +0 -1
- package/dist/domain/candle.operator.spec.d.ts +0 -1
- package/dist/domain/candle.operator.spec.js +0 -112
- package/dist/domain/candle.operator.spec.js.map +0 -1
- package/dist/domain/candle.spec.d.ts +0 -1
- package/dist/domain/candle.spec.js +0 -26
- package/dist/domain/candle.spec.js.map +0 -1
- package/dist/domain/commission.js.map +0 -1
- package/dist/domain/commission.spec.d.ts +0 -1
- package/dist/domain/commission.spec.js +0 -31
- package/dist/domain/commission.spec.js.map +0 -1
- package/dist/domain/component.js.map +0 -1
- package/dist/domain/error.js.map +0 -1
- package/dist/domain/index.js.map +0 -1
- package/dist/domain/instrument.js.map +0 -1
- package/dist/domain/instrument.operator.js.map +0 -1
- package/dist/domain/instrument.operator.spec.d.ts +0 -1
- package/dist/domain/instrument.operator.spec.js +0 -24
- package/dist/domain/instrument.operator.spec.js.map +0 -1
- package/dist/domain/instrument.spec.d.ts +0 -1
- package/dist/domain/instrument.spec.js +0 -49
- package/dist/domain/instrument.spec.js.map +0 -1
- package/dist/domain/order.js.map +0 -1
- package/dist/domain/order.operator.js +0 -14
- package/dist/domain/order.operator.js.map +0 -1
- package/dist/domain/order.operator.spec.d.ts +0 -1
- package/dist/domain/order.operator.spec.js +0 -65
- package/dist/domain/order.operator.spec.js.map +0 -1
- package/dist/domain/order.spec.d.ts +0 -1
- package/dist/domain/order.spec.js +0 -34
- package/dist/domain/order.spec.js.map +0 -1
- package/dist/domain/orderbook.js.map +0 -1
- package/dist/domain/orderbook.operator.js.map +0 -1
- package/dist/domain/orderbook.operator.spec.d.ts +0 -1
- package/dist/domain/orderbook.operator.spec.js +0 -22
- package/dist/domain/orderbook.operator.spec.js.map +0 -1
- package/dist/domain/orderbook.spec.d.ts +0 -1
- package/dist/domain/orderbook.spec.js +0 -13
- package/dist/domain/orderbook.spec.js.map +0 -1
- package/dist/domain/position.js.map +0 -1
- package/dist/domain/position.operator.js.map +0 -1
- package/dist/domain/position.operator.spec.d.ts +0 -1
- package/dist/domain/position.operator.spec.js +0 -49
- package/dist/domain/position.operator.spec.js.map +0 -1
- package/dist/domain/position.spec.d.ts +0 -1
- package/dist/domain/position.spec.js +0 -31
- package/dist/domain/position.spec.js.map +0 -1
- package/dist/domain/session.js.map +0 -1
- package/dist/domain/session.spec.d.ts +0 -1
- package/dist/domain/session.spec.js +0 -23
- package/dist/domain/session.spec.js.map +0 -1
- package/dist/domain/timeframe.js.map +0 -1
- package/dist/domain/trade.js.map +0 -1
- package/dist/domain/trade.operator.js.map +0 -1
- package/dist/domain/trade.operator.spec.d.ts +0 -1
- package/dist/domain/trade.operator.spec.js +0 -24
- package/dist/domain/trade.operator.spec.js.map +0 -1
- package/dist/domain/trade.spec.d.ts +0 -1
- package/dist/domain/trade.spec.js +0 -13
- package/dist/domain/trade.spec.js.map +0 -1
- package/dist/index.js.map +0 -1
- package/dist/indicator/atr.d.ts +0 -4
- package/dist/indicator/atr.js +0 -16
- package/dist/indicator/atr.js.map +0 -1
- package/dist/indicator/cross.d.ts +0 -4
- package/dist/indicator/cross.js +0 -41
- package/dist/indicator/cross.js.map +0 -1
- package/dist/indicator/cross.spec.d.ts +0 -1
- package/dist/indicator/cross.spec.js +0 -102
- package/dist/indicator/cross.spec.js.map +0 -1
- package/dist/indicator/donchian.d.ts +0 -10
- package/dist/indicator/donchian.js +0 -16
- package/dist/indicator/donchian.js.map +0 -1
- package/dist/indicator/drawdown.d.ts +0 -3
- package/dist/indicator/drawdown.js +0 -28
- package/dist/indicator/drawdown.js.map +0 -1
- package/dist/indicator/ema.d.ts +0 -3
- package/dist/indicator/ema.js +0 -24
- package/dist/indicator/ema.js.map +0 -1
- package/dist/indicator/ema.spec.d.ts +0 -1
- package/dist/indicator/ema.spec.js +0 -24
- package/dist/indicator/ema.spec.js.map +0 -1
- package/dist/indicator/envelope.d.ts +0 -6
- package/dist/indicator/envelope.js +0 -18
- package/dist/indicator/envelope.js.map +0 -1
- package/dist/indicator/index.d.ts +0 -17
- package/dist/indicator/index.js +0 -34
- package/dist/indicator/index.js.map +0 -1
- package/dist/indicator/macd.d.ts +0 -3
- package/dist/indicator/macd.js +0 -13
- package/dist/indicator/macd.js.map +0 -1
- package/dist/indicator/min-max.d.ts +0 -6
- package/dist/indicator/min-max.js +0 -22
- package/dist/indicator/min-max.js.map +0 -1
- package/dist/indicator/ring-buffer.d.ts +0 -16
- package/dist/indicator/ring-buffer.js +0 -56
- package/dist/indicator/ring-buffer.js.map +0 -1
- package/dist/indicator/rma.d.ts +0 -3
- package/dist/indicator/rma.js +0 -24
- package/dist/indicator/rma.js.map +0 -1
- package/dist/indicator/sma.d.ts +0 -3
- package/dist/indicator/sma.js +0 -17
- package/dist/indicator/sma.js.map +0 -1
- package/dist/indicator/sma.spec.d.ts +0 -1
- package/dist/indicator/sma.spec.js +0 -20
- package/dist/indicator/sma.spec.js.map +0 -1
- package/dist/indicator/swma.d.ts +0 -3
- package/dist/indicator/swma.js +0 -24
- package/dist/indicator/swma.js.map +0 -1
- package/dist/indicator/tma.d.ts +0 -3
- package/dist/indicator/tma.js +0 -16
- package/dist/indicator/tma.js.map +0 -1
- package/dist/indicator/tma.spec.d.ts +0 -1
- package/dist/indicator/tma.spec.js +0 -20
- package/dist/indicator/tma.spec.js.map +0 -1
- package/dist/indicator/trailing.d.ts +0 -14
- package/dist/indicator/trailing.js +0 -68
- package/dist/indicator/trailing.js.map +0 -1
- package/dist/indicator/trailing.spec.d.ts +0 -1
- package/dist/indicator/trailing.spec.js +0 -70
- package/dist/indicator/trailing.spec.js.map +0 -1
- package/dist/indicator/true-range.d.ts +0 -4
- package/dist/indicator/true-range.js +0 -20
- package/dist/indicator/true-range.js.map +0 -1
- package/dist/indicator/true-range.spec.d.ts +0 -1
- package/dist/indicator/true-range.spec.js +0 -28
- package/dist/indicator/true-range.spec.js.map +0 -1
- package/dist/indicator/window.d.ts +0 -3
- package/dist/indicator/window.js +0 -22
- package/dist/indicator/window.js.map +0 -1
- package/dist/indicator/wma.d.ts +0 -3
- package/dist/indicator/wma.js +0 -23
- package/dist/indicator/wma.js.map +0 -1
- package/dist/indicator/wma.spec.d.ts +0 -1
- package/dist/indicator/wma.spec.js +0 -20
- package/dist/indicator/wma.spec.js.map +0 -1
- package/dist/shared/collections.js.map +0 -1
- package/dist/shared/collections.spec.d.ts +0 -1
- package/dist/shared/collections.spec.js +0 -28
- package/dist/shared/collections.spec.js.map +0 -1
- package/dist/shared/datetime.js.map +0 -1
- package/dist/shared/decimals.js.map +0 -1
- package/dist/shared/decimals.spec.d.ts +0 -1
- package/dist/shared/decimals.spec.js +0 -29
- package/dist/shared/decimals.spec.js.map +0 -1
- package/dist/shared/index.js.map +0 -1
- package/dist/shared/io.d.ts +0 -1
- package/dist/shared/io.js +0 -8
- package/dist/shared/io.js.map +0 -1
- package/dist/shared/logger.js.map +0 -1
- package/dist/shared/pipe.js.map +0 -1
- package/dist/shared/policy.js.map +0 -1
- package/dist/storage/cache.js.map +0 -1
- package/dist/storage/cache.spec.d.ts +0 -1
- package/dist/storage/cache.spec.js +0 -18
- package/dist/storage/cache.spec.js.map +0 -1
- package/dist/storage/feed.js.map +0 -1
- package/dist/storage/index.js.map +0 -1
- package/dist/storage/measurement.js.map +0 -1
- package/dist/storage/storage.js.map +0 -1
- package/dist/store/index.js.map +0 -1
- package/dist/store/store-balance.event.js.map +0 -1
- package/dist/store/store-balance.event.spec.d.ts +0 -1
- package/dist/store/store-balance.event.spec.js +0 -26
- package/dist/store/store-balance.event.spec.js.map +0 -1
- package/dist/store/store-instrument.event.js.map +0 -1
- package/dist/store/store-instrument.event.spec.d.ts +0 -1
- package/dist/store/store-instrument.event.spec.js +0 -22
- package/dist/store/store-instrument.event.spec.js.map +0 -1
- package/dist/store/store-order.event.js.map +0 -1
- package/dist/store/store-order.event.spec.d.ts +0 -1
- package/dist/store/store-order.event.spec.js +0 -21
- package/dist/store/store-order.event.spec.js.map +0 -1
- package/dist/store/store-orderbook.event.js.map +0 -1
- package/dist/store/store-orderbook.event.spec.d.ts +0 -1
- package/dist/store/store-orderbook.event.spec.js +0 -28
- package/dist/store/store-orderbook.event.spec.js.map +0 -1
- package/dist/store/store-position.event.js.map +0 -1
- package/dist/store/store-state.js.map +0 -1
- package/dist/store/store-trade.event.js.map +0 -1
- package/dist/store/store-trade.event.spec.d.ts +0 -1
- package/dist/store/store-trade.event.spec.js +0 -44
- package/dist/store/store-trade.event.spec.js.map +0 -1
- package/dist/store/store.event.js.map +0 -1
- package/dist/store/store.js.map +0 -1
- package/dist/store/store.spec.d.ts +0 -1
- package/dist/store/store.spec.js +0 -119
- package/dist/store/store.spec.js.map +0 -1
- package/dist/tsconfig.tsbuildinfo +0 -1
- package/jestconfig.json +0 -13
- package/src/adapter/backtester/backtester-adapter.spec.ts +0 -133
- package/src/adapter/paper/paper-adapter.spec.ts +0 -114
- package/src/bootstrap.ts +0 -139
- package/src/domain/candle.operator.spec.ts +0 -126
- package/src/indicator/atr.ts +0 -21
- package/src/indicator/cross.spec.ts +0 -136
- package/src/indicator/cross.ts +0 -59
- package/src/indicator/donchian.ts +0 -38
- package/src/indicator/drawdown.ts +0 -29
- package/src/indicator/ema.spec.ts +0 -39
- package/src/indicator/ema.ts +0 -27
- package/src/indicator/envelope.ts +0 -25
- package/src/indicator/index.ts +0 -17
- package/src/indicator/macd.ts +0 -22
- package/src/indicator/min-max.ts +0 -28
- package/src/indicator/ring-buffer.ts +0 -63
- package/src/indicator/rma.ts +0 -26
- package/src/indicator/sma.spec.ts +0 -21
- package/src/indicator/sma.ts +0 -25
- package/src/indicator/swma.ts +0 -28
- package/src/indicator/tma.spec.ts +0 -21
- package/src/indicator/tma.ts +0 -20
- package/src/indicator/trailing.spec.ts +0 -88
- package/src/indicator/trailing.ts +0 -81
- package/src/indicator/true-range.spec.ts +0 -32
- package/src/indicator/true-range.ts +0 -32
- package/src/indicator/window.ts +0 -28
- package/src/indicator/wma.spec.ts +0 -20
- package/src/indicator/wma.ts +0 -29
- package/src/shared/io.ts +0 -3
- package/src/store/store-order.event.spec.ts +0 -28
|
@@ -1,12 +1,17 @@
|
|
|
1
1
|
import { InstrumentSelector, Order } from '../domain';
|
|
2
2
|
import { decimal, timestamp } from '../shared';
|
|
3
|
-
import {
|
|
3
|
+
import { orderInvalidStateError, orderNotFoundError } from './error';
|
|
4
|
+
import { StoreEvent } from './store-event';
|
|
4
5
|
import { InnerSet, State, StateChangeTracker } from './store-state';
|
|
5
6
|
|
|
7
|
+
/**
|
|
8
|
+
* Patches a store with an existing pending order.
|
|
9
|
+
* No store changing events are propagated.
|
|
10
|
+
*/
|
|
6
11
|
export class OrderLoadEvent implements StoreEvent {
|
|
7
12
|
constructor(readonly order: Order, readonly timestamp: timestamp) {}
|
|
8
13
|
|
|
9
|
-
handle(state: State
|
|
14
|
+
handle(state: State): void {
|
|
10
15
|
this.order.timestamp = this.timestamp;
|
|
11
16
|
|
|
12
17
|
const orderByInstrument = state.order.tryGetOrSet(
|
|
@@ -23,7 +28,7 @@ export class OrderNewEvent implements StoreEvent {
|
|
|
23
28
|
|
|
24
29
|
handle(state: State, changes: StateChangeTracker): void {
|
|
25
30
|
if (this.order.state != 'NEW') {
|
|
26
|
-
throw
|
|
31
|
+
throw orderInvalidStateError(this.order.state, ['NEW']);
|
|
27
32
|
}
|
|
28
33
|
|
|
29
34
|
this.order.createdAt = this.timestamp;
|
|
@@ -50,14 +55,14 @@ export class OrderPendingEvent implements StoreEvent {
|
|
|
50
55
|
handle(state: State, changes: StateChangeTracker): void {
|
|
51
56
|
const order = state.order
|
|
52
57
|
.tryGetOrSet(this.instrument.id, () => {
|
|
53
|
-
throw
|
|
58
|
+
throw orderNotFoundError(this.id);
|
|
54
59
|
})
|
|
55
60
|
.tryGetOrSet(this.id, () => {
|
|
56
|
-
throw
|
|
61
|
+
throw orderNotFoundError(this.id);
|
|
57
62
|
});
|
|
58
63
|
|
|
59
64
|
if (order.state != 'NEW') {
|
|
60
|
-
throw
|
|
65
|
+
throw orderInvalidStateError(order.state, ['NEW']);
|
|
61
66
|
}
|
|
62
67
|
|
|
63
68
|
order.state = 'PENDING';
|
|
@@ -78,14 +83,14 @@ export class OrderFilledEvent implements StoreEvent {
|
|
|
78
83
|
handle(state: State, changes: StateChangeTracker): void {
|
|
79
84
|
const order = state.order
|
|
80
85
|
.tryGetOrSet(this.instrument.id, () => {
|
|
81
|
-
throw
|
|
86
|
+
throw orderNotFoundError(this.id);
|
|
82
87
|
})
|
|
83
88
|
.tryGetOrSet(this.id, () => {
|
|
84
|
-
throw
|
|
89
|
+
throw orderNotFoundError(this.id);
|
|
85
90
|
});
|
|
86
91
|
|
|
87
92
|
if (order.state != 'PENDING' && order.state != 'CANCELING') {
|
|
88
|
-
throw
|
|
93
|
+
throw orderInvalidStateError(order.state, ['PENDING', 'CANCELING']);
|
|
89
94
|
}
|
|
90
95
|
|
|
91
96
|
order.state = 'FILLED';
|
|
@@ -107,10 +112,10 @@ export class OrderCancelingEvent implements StoreEvent {
|
|
|
107
112
|
handle(state: State, changes: StateChangeTracker): void {
|
|
108
113
|
const order = state.order
|
|
109
114
|
.tryGetOrSet(this.instrument.id, () => {
|
|
110
|
-
throw
|
|
115
|
+
throw orderNotFoundError(this.id);
|
|
111
116
|
})
|
|
112
117
|
.tryGetOrSet(this.id, () => {
|
|
113
|
-
throw
|
|
118
|
+
throw orderNotFoundError(this.id);
|
|
114
119
|
});
|
|
115
120
|
|
|
116
121
|
if (order.state == 'CANCELING' || order.state == 'CANCELED') {
|
|
@@ -118,7 +123,7 @@ export class OrderCancelingEvent implements StoreEvent {
|
|
|
118
123
|
}
|
|
119
124
|
|
|
120
125
|
if (order.state != 'PENDING') {
|
|
121
|
-
throw
|
|
126
|
+
throw orderInvalidStateError(order.state, ['PENDING']);
|
|
122
127
|
}
|
|
123
128
|
|
|
124
129
|
order.state = 'CANCELING';
|
|
@@ -138,10 +143,10 @@ export class OrderCanceledEvent implements StoreEvent {
|
|
|
138
143
|
handle(state: State, changes: StateChangeTracker): void {
|
|
139
144
|
const order = state.order
|
|
140
145
|
.tryGetOrSet(this.instrument.id, () => {
|
|
141
|
-
throw
|
|
146
|
+
throw orderNotFoundError(this.id);
|
|
142
147
|
})
|
|
143
148
|
.tryGetOrSet(this.id, () => {
|
|
144
|
-
throw
|
|
149
|
+
throw orderNotFoundError(this.id);
|
|
145
150
|
});
|
|
146
151
|
|
|
147
152
|
if (order.state == 'CANCELED') {
|
|
@@ -149,7 +154,7 @@ export class OrderCanceledEvent implements StoreEvent {
|
|
|
149
154
|
}
|
|
150
155
|
|
|
151
156
|
if (order.state != 'CANCELING') {
|
|
152
|
-
throw
|
|
157
|
+
throw orderInvalidStateError(order.state, ['CANCELING']);
|
|
153
158
|
}
|
|
154
159
|
|
|
155
160
|
order.state = 'CANCELED';
|
|
@@ -169,10 +174,10 @@ export class OrderCancelFailedEvent implements StoreEvent {
|
|
|
169
174
|
handle(state: State, changes: StateChangeTracker): void {
|
|
170
175
|
const order = state.order
|
|
171
176
|
.tryGetOrSet(this.instrument.id, () => {
|
|
172
|
-
throw
|
|
177
|
+
throw orderNotFoundError(this.id);
|
|
173
178
|
})
|
|
174
179
|
.tryGetOrSet(this.id, () => {
|
|
175
|
-
throw
|
|
180
|
+
throw orderNotFoundError(this.id);
|
|
176
181
|
});
|
|
177
182
|
|
|
178
183
|
if (order.state != 'CANCELING') {
|
|
@@ -196,14 +201,14 @@ export class OrderRejectedEvent implements StoreEvent {
|
|
|
196
201
|
handle(state: State, changes: StateChangeTracker): void {
|
|
197
202
|
const order = state.order
|
|
198
203
|
.tryGetOrSet(this.instrument.id, () => {
|
|
199
|
-
throw
|
|
204
|
+
throw orderNotFoundError(this.id);
|
|
200
205
|
})
|
|
201
206
|
.tryGetOrSet(this.id, () => {
|
|
202
|
-
throw
|
|
207
|
+
throw orderNotFoundError(this.id);
|
|
203
208
|
});
|
|
204
209
|
|
|
205
210
|
if (order.state != 'NEW') {
|
|
206
|
-
throw
|
|
211
|
+
throw orderInvalidStateError(order.state, ['NEW']);
|
|
207
212
|
}
|
|
208
213
|
|
|
209
214
|
order.state = 'REJECTED';
|
|
@@ -1,15 +1,17 @@
|
|
|
1
|
-
import {
|
|
2
|
-
import { Asset, Instrument, Liquidity } from '../domain';
|
|
1
|
+
import { Asset, Commission, Instrument, Liquidity } from '../domain';
|
|
3
2
|
import { d, now } from '../shared';
|
|
4
3
|
import { OrderbookPatchEvent } from '.';
|
|
5
|
-
|
|
6
|
-
const instrument = new Instrument(
|
|
7
|
-
new Asset('btc', 'binance', 8),
|
|
8
|
-
new Asset('usdt', 'binance', 2),
|
|
9
|
-
'binance:btc-usdt'
|
|
10
|
-
);
|
|
4
|
+
import { Store } from './store';
|
|
11
5
|
|
|
12
6
|
describe('OrderbookPatchEvent', () => {
|
|
7
|
+
const instrument = new Instrument(
|
|
8
|
+
0,
|
|
9
|
+
new Asset('btc', 'binance', 8),
|
|
10
|
+
new Asset('usdt', 'binance', 2),
|
|
11
|
+
'binance:btc-usdt',
|
|
12
|
+
Commission.Zero
|
|
13
|
+
);
|
|
14
|
+
|
|
13
15
|
let store: Store;
|
|
14
16
|
|
|
15
17
|
beforeEach(() => {
|
|
@@ -26,7 +28,7 @@ describe('OrderbookPatchEvent', () => {
|
|
|
26
28
|
|
|
27
29
|
store.dispatch(new OrderbookPatchEvent(instrument, ask, bid, timestamp));
|
|
28
30
|
|
|
29
|
-
const orderbook = store.snapshot.orderbook.get(instrument.id);
|
|
31
|
+
const orderbook = store.snapshot.orderbook.get(instrument.id) ?? fail();
|
|
30
32
|
|
|
31
33
|
expect(orderbook.timestamp).toEqual(timestamp);
|
|
32
34
|
expect(orderbook.instrument.id).toEqual(orderbook.instrument.id);
|
|
@@ -1,6 +1,7 @@
|
|
|
1
1
|
import { InstrumentSelector, Liquidity, Orderbook } from '../domain';
|
|
2
2
|
import { timestamp } from '../shared';
|
|
3
|
-
import {
|
|
3
|
+
import { instrumentNotSupportedError, liquidationError } from './error';
|
|
4
|
+
import { StoreEvent } from './store-event';
|
|
4
5
|
import { State, StateChangeTracker } from './store-state';
|
|
5
6
|
|
|
6
7
|
export class OrderbookPatchEvent implements StoreEvent {
|
|
@@ -12,13 +13,14 @@ export class OrderbookPatchEvent implements StoreEvent {
|
|
|
12
13
|
) {}
|
|
13
14
|
|
|
14
15
|
handle(state: State, changes: StateChangeTracker): void {
|
|
15
|
-
|
|
16
|
-
|
|
16
|
+
const instrument = state.universe.instrument.get(this.instrument.id);
|
|
17
|
+
if (!instrument) {
|
|
18
|
+
throw instrumentNotSupportedError(this.instrument);
|
|
17
19
|
}
|
|
18
20
|
|
|
19
21
|
const orderbook = state.orderbook.tryGetOrSet(
|
|
20
22
|
this.instrument.id,
|
|
21
|
-
() => new Orderbook(
|
|
23
|
+
() => new Orderbook(0, instrument, this.ask, this.bid)
|
|
22
24
|
);
|
|
23
25
|
|
|
24
26
|
state.timestamp = this.timestamp;
|
|
@@ -45,7 +47,7 @@ export class OrderbookPatchEvent implements StoreEvent {
|
|
|
45
47
|
}
|
|
46
48
|
|
|
47
49
|
if (quote.total.lessThan(0)) {
|
|
48
|
-
throw
|
|
50
|
+
throw liquidationError();
|
|
49
51
|
}
|
|
50
52
|
}
|
|
51
53
|
|
|
@@ -1,25 +1,27 @@
|
|
|
1
1
|
import { Instrument, Position, PositionMode } from '../domain';
|
|
2
2
|
import { decimal, timestamp } from '../shared';
|
|
3
|
-
import {
|
|
3
|
+
import { balanceNotFoundError, instrumentNotSubscribedError } from './error';
|
|
4
|
+
import { StoreEvent } from './store-event';
|
|
4
5
|
import { State, StateChangeTracker } from './store-state';
|
|
5
6
|
|
|
6
7
|
export class PositionLoadEvent implements StoreEvent {
|
|
7
8
|
constructor(readonly position: Position, readonly timestamp: timestamp) {}
|
|
8
9
|
|
|
9
|
-
handle(state: State
|
|
10
|
+
handle(state: State): void {
|
|
10
11
|
if (!state.subscription.instrument.get(this.position.instrument.id)) {
|
|
11
|
-
throw
|
|
12
|
-
`Trying to patch unsubscribed instrument: ${this.position.instrument.id}`
|
|
13
|
-
);
|
|
12
|
+
throw instrumentNotSubscribedError(this.position.instrument);
|
|
14
13
|
}
|
|
15
14
|
|
|
16
15
|
this.position.timestamp = this.timestamp;
|
|
17
16
|
|
|
18
17
|
const balance = state.balance.get(this.position.instrument.quote.id);
|
|
19
|
-
|
|
18
|
+
if (!balance) {
|
|
19
|
+
throw balanceNotFoundError(this.position.instrument.quote);
|
|
20
|
+
}
|
|
20
21
|
|
|
21
22
|
balance.position[this.position.id] = this.position;
|
|
22
23
|
|
|
24
|
+
const orderbook = state.orderbook.get(this.position.instrument.id);
|
|
23
25
|
if (orderbook) {
|
|
24
26
|
const rate = this.position.size.greaterThanOrEqualTo(0)
|
|
25
27
|
? orderbook.bids.rate
|
|
@@ -46,10 +48,14 @@ export class PositionPatchEvent implements StoreEvent {
|
|
|
46
48
|
// eslint-disable-next-line complexity
|
|
47
49
|
handle(state: State, changes: StateChangeTracker): void {
|
|
48
50
|
if (!state.subscription.instrument.get(this.instrument.id)) {
|
|
49
|
-
throw
|
|
51
|
+
throw instrumentNotSubscribedError(this.instrument);
|
|
50
52
|
}
|
|
51
53
|
|
|
52
54
|
const balance = state.balance.get(this.instrument.quote.id);
|
|
55
|
+
if (!balance) {
|
|
56
|
+
throw balanceNotFoundError(this.instrument.quote);
|
|
57
|
+
}
|
|
58
|
+
|
|
53
59
|
const orderbook = state.orderbook.get(this.instrument.id);
|
|
54
60
|
|
|
55
61
|
let position = balance.position[this.id];
|
|
@@ -83,6 +89,7 @@ export class PositionPatchEvent implements StoreEvent {
|
|
|
83
89
|
|
|
84
90
|
if (!position) {
|
|
85
91
|
position = new Position(
|
|
92
|
+
this.timestamp,
|
|
86
93
|
this.id,
|
|
87
94
|
this.instrument,
|
|
88
95
|
this.mode,
|
package/src/store/store-state.ts
CHANGED
|
@@ -12,8 +12,8 @@ import {
|
|
|
12
12
|
import { Set, timestamp } from '../shared';
|
|
13
13
|
|
|
14
14
|
export interface StateChangeTracker {
|
|
15
|
-
commit(component: Component);
|
|
16
|
-
commitPendingChanges();
|
|
15
|
+
commit(component: Component): void;
|
|
16
|
+
commitPendingChanges(): void;
|
|
17
17
|
}
|
|
18
18
|
|
|
19
19
|
export class InnerSet<T extends { id: string }> extends Set<T> {
|
|
@@ -23,7 +23,7 @@ export class InnerSet<T extends { id: string }> extends Set<T> {
|
|
|
23
23
|
}
|
|
24
24
|
|
|
25
25
|
export class State {
|
|
26
|
-
timestamp: timestamp;
|
|
26
|
+
timestamp: timestamp = 0;
|
|
27
27
|
|
|
28
28
|
universe: {
|
|
29
29
|
asset: Set<Asset>;
|
|
@@ -1,12 +1,14 @@
|
|
|
1
|
-
import {
|
|
2
|
-
import { Asset, Instrument } from '../domain';
|
|
1
|
+
import { Asset, Commission, Instrument } from '../domain';
|
|
3
2
|
import { d, now } from '../shared';
|
|
4
3
|
import { TradePatchEvent } from '.';
|
|
4
|
+
import { Store } from './store';
|
|
5
5
|
|
|
6
6
|
const instrument = new Instrument(
|
|
7
|
+
0,
|
|
7
8
|
new Asset('btc', 'binance', 8),
|
|
8
9
|
new Asset('usdt', 'binance', 2),
|
|
9
|
-
'binance:btc-usdt'
|
|
10
|
+
'binance:btc-usdt',
|
|
11
|
+
Commission.Zero
|
|
10
12
|
);
|
|
11
13
|
|
|
12
14
|
describe('TradePatchEvent', () => {
|
|
@@ -19,7 +21,7 @@ describe('TradePatchEvent', () => {
|
|
|
19
21
|
|
|
20
22
|
store.dispatch(new TradePatchEvent(instrument, d(1000), d(0.1), timestamp));
|
|
21
23
|
|
|
22
|
-
const trade = store.snapshot.trade.get(instrument.id);
|
|
24
|
+
const trade = store.snapshot.trade.get(instrument.id) ?? fail();
|
|
23
25
|
|
|
24
26
|
expect(trade.timestamp).toEqual(timestamp);
|
|
25
27
|
expect(trade.instrument.id).toEqual(trade.instrument.id);
|
|
@@ -37,7 +39,7 @@ describe('TradePatchEvent', () => {
|
|
|
37
39
|
|
|
38
40
|
store.dispatch(new TradePatchEvent(instrument, d(1000), d(0.1), timestamp));
|
|
39
41
|
|
|
40
|
-
const trade = store.snapshot.trade.get(instrument.id);
|
|
42
|
+
const trade = store.snapshot.trade.get(instrument.id) ?? fail();
|
|
41
43
|
|
|
42
44
|
store.dispatch(new TradePatchEvent(instrument, d(2000), d(0.2), timestamp));
|
|
43
45
|
|
|
@@ -1,6 +1,7 @@
|
|
|
1
1
|
import { InstrumentSelector, Trade } from '../domain';
|
|
2
|
-
import { decimal, timestamp } from '../shared';
|
|
3
|
-
import {
|
|
2
|
+
import { d, decimal, timestamp } from '../shared';
|
|
3
|
+
import { instrumentNotSubscribedError, instrumentNotSupportedError } from './error';
|
|
4
|
+
import { StoreEvent } from './store-event';
|
|
4
5
|
import { State, StateChangeTracker } from './store-state';
|
|
5
6
|
|
|
6
7
|
/**
|
|
@@ -17,12 +18,17 @@ export class TradePatchEvent implements StoreEvent {
|
|
|
17
18
|
|
|
18
19
|
handle(state: State, changes: StateChangeTracker): void {
|
|
19
20
|
if (!state.subscription.instrument.get(this.instrument.id)) {
|
|
20
|
-
throw
|
|
21
|
+
throw instrumentNotSubscribedError(this.instrument);
|
|
22
|
+
}
|
|
23
|
+
|
|
24
|
+
const instrument = state.universe.instrument.get(this.instrument.id);
|
|
25
|
+
if (!instrument) {
|
|
26
|
+
throw instrumentNotSupportedError(this.instrument);
|
|
21
27
|
}
|
|
22
28
|
|
|
23
29
|
const trade = state.trade.tryGetOrSet(
|
|
24
30
|
this.instrument.id,
|
|
25
|
-
() => new Trade(
|
|
31
|
+
() => new Trade(0, instrument, d.Zero, d.Zero)
|
|
26
32
|
);
|
|
27
33
|
|
|
28
34
|
state.timestamp = this.timestamp;
|
package/src/store/store.spec.ts
CHANGED
|
@@ -1,9 +1,9 @@
|
|
|
1
1
|
import { withLatestFrom } from 'rxjs';
|
|
2
2
|
|
|
3
|
-
import { Asset, balance, Instrument, Order, order } from '../domain';
|
|
3
|
+
import { Asset, balance, Commission, Instrument, Order, order } from '../domain';
|
|
4
4
|
import { d, now } from '../shared';
|
|
5
5
|
import { Store } from './store';
|
|
6
|
-
import { BalanceTransactEvent } from './store-balance
|
|
6
|
+
import { BalanceTransactEvent } from './store-balance-event';
|
|
7
7
|
import {
|
|
8
8
|
OrderCanceledEvent,
|
|
9
9
|
OrderCancelingEvent,
|
|
@@ -11,12 +11,14 @@ import {
|
|
|
11
11
|
OrderLoadEvent,
|
|
12
12
|
OrderNewEvent,
|
|
13
13
|
OrderPendingEvent
|
|
14
|
-
} from './store-order
|
|
14
|
+
} from './store-order-event';
|
|
15
15
|
|
|
16
16
|
const instrument = new Instrument(
|
|
17
|
+
0,
|
|
17
18
|
new Asset('abc', 'xyz', 4),
|
|
18
19
|
new Asset('def', 'xyz', 4),
|
|
19
|
-
'abc-def'
|
|
20
|
+
'abc-def',
|
|
21
|
+
Commission.Zero
|
|
20
22
|
);
|
|
21
23
|
|
|
22
24
|
describe('Store', () => {
|
|
@@ -35,7 +37,7 @@ describe('Store', () => {
|
|
|
35
37
|
}
|
|
36
38
|
});
|
|
37
39
|
|
|
38
|
-
store.dispatch(new OrderLoadEvent(Order
|
|
40
|
+
store.dispatch(new OrderLoadEvent(new Order(0, '1', instrument, d(10), 0), now()));
|
|
39
41
|
|
|
40
42
|
expect(hasUpdatedOrder).toBe(false);
|
|
41
43
|
});
|
|
@@ -49,7 +51,7 @@ describe('Store', () => {
|
|
|
49
51
|
}
|
|
50
52
|
});
|
|
51
53
|
|
|
52
|
-
store.dispatch(new OrderNewEvent(Order
|
|
54
|
+
store.dispatch(new OrderNewEvent(new Order(0, '1', instrument, d(10), 0), now()));
|
|
53
55
|
|
|
54
56
|
expect(hasUpdatedOrder).toBe(true);
|
|
55
57
|
});
|
|
@@ -63,7 +65,7 @@ describe('Store', () => {
|
|
|
63
65
|
}
|
|
64
66
|
});
|
|
65
67
|
|
|
66
|
-
const buyOrder = Order
|
|
68
|
+
const buyOrder = new Order(0, '1', instrument, d(10), 0);
|
|
67
69
|
|
|
68
70
|
store.dispatch(new OrderNewEvent(buyOrder, now()));
|
|
69
71
|
store.dispatch(new OrderPendingEvent(buyOrder.id, instrument, now()));
|
|
@@ -81,7 +83,7 @@ describe('Store', () => {
|
|
|
81
83
|
}
|
|
82
84
|
});
|
|
83
85
|
|
|
84
|
-
const buyOrder = Order
|
|
86
|
+
const buyOrder = new Order(0, '1', instrument, d(10), 0);
|
|
85
87
|
|
|
86
88
|
store.dispatch(new OrderNewEvent(buyOrder, now()));
|
|
87
89
|
store.dispatch(new OrderPendingEvent(buyOrder.id, instrument, now()));
|
|
@@ -101,7 +103,7 @@ describe('Store', () => {
|
|
|
101
103
|
}
|
|
102
104
|
});
|
|
103
105
|
|
|
104
|
-
const buyOrder = Order
|
|
106
|
+
const buyOrder = new Order(0, '1', instrument, d(10), 0);
|
|
105
107
|
|
|
106
108
|
store.dispatch(new OrderNewEvent(buyOrder, now()));
|
|
107
109
|
store.dispatch(new OrderPendingEvent(buyOrder.id, instrument, now()));
|
|
@@ -130,7 +132,7 @@ describe('Store', () => {
|
|
|
130
132
|
}
|
|
131
133
|
});
|
|
132
134
|
|
|
133
|
-
const buyOrder = Order
|
|
135
|
+
const buyOrder = new Order(0, '1', instrument, d(10), 0);
|
|
134
136
|
|
|
135
137
|
store.dispatch(
|
|
136
138
|
new OrderNewEvent(buyOrder, now()),
|
|
@@ -169,7 +171,7 @@ describe('Store', () => {
|
|
|
169
171
|
}
|
|
170
172
|
});
|
|
171
173
|
|
|
172
|
-
const buyOrder = Order
|
|
174
|
+
const buyOrder = new Order(0, '1', instrument, d(10), 0);
|
|
173
175
|
|
|
174
176
|
store.dispatch(
|
|
175
177
|
new OrderNewEvent(buyOrder, now()),
|
package/src/store/store.ts
CHANGED
|
@@ -1,7 +1,7 @@
|
|
|
1
1
|
import { Observable, Subject } from 'rxjs';
|
|
2
2
|
|
|
3
3
|
import { Component } from '../domain';
|
|
4
|
-
import { StoreEvent } from './store
|
|
4
|
+
import { StoreEvent } from './store-event';
|
|
5
5
|
import { State, StateChangeTracker } from './store-state';
|
|
6
6
|
|
|
7
7
|
export class Store implements StateChangeTracker {
|
package/tsconfig.json
CHANGED
|
@@ -1,8 +1,15 @@
|
|
|
1
1
|
{
|
|
2
|
-
"extends": "
|
|
2
|
+
"extends": "../../tsconfig.lib.json",
|
|
3
3
|
"compilerOptions": {
|
|
4
|
-
"
|
|
5
|
-
"outDir": "./dist"
|
|
4
|
+
"outDir": "dist"
|
|
6
5
|
},
|
|
7
|
-
"include": [
|
|
8
|
-
|
|
6
|
+
"include": [
|
|
7
|
+
"src/**/*",
|
|
8
|
+
],
|
|
9
|
+
"exclude": [
|
|
10
|
+
"jest.config.js",
|
|
11
|
+
"**/*.spec.ts",
|
|
12
|
+
"**/*.test.ts",
|
|
13
|
+
"lib/**/*"
|
|
14
|
+
]
|
|
15
|
+
}
|
|
@@ -1 +0,0 @@
|
|
|
1
|
-
{"version":3,"file":"adapter-aggregate.js","sourceRoot":"","sources":["../../src/adapter/adapter-aggregate.ts"],"names":[],"mappings":";;;AACA,sCAA8C;AAK9C,mCAA+C;AAM/C,MAAa,gBAAgB;IAG3B,YACmB,SAA2B,EAC3B,YAAiC,EACjC,KAAY,EACZ,KAAY;QAHZ,cAAS,GAAT,SAAS,CAAkB;QAC3B,iBAAY,GAAZ,YAAY,CAAqB;QACjC,UAAK,GAAL,KAAK,CAAO;QACZ,UAAK,GAAL,KAAK,CAAO;QANd,YAAO,GAA4B,EAAE,CAAC;IAOpD,CAAC;IAOJ,GAAG,CAAC,WAAmB;QACrB,MAAM,OAAO,GAAG,IAAI,CAAC,OAAO,CAAC,WAAW,CAAC,CAAC;QAE1C,IAAI,CAAC,OAAO,EAAE;YACZ,MAAM,IAAA,4BAAoB,EAAC,WAAW,CAAC,CAAC;SACzC;QAED,OAAO,OAAO,CAAC;IACjB,CAAC;IAKD,KAAK,CAAC,KAAK;QACT,KAAK,MAAM,OAAO,IAAI,IAAI,CAAC,SAAS,EAAE;YACpC,MAAM,OAAO,GAAG,OAAO,CAAC,IAAI,CAAC,YAAY,EAAE,IAAI,CAAC,KAAK,EAAE,IAAI,CAAC,KAAK,CAAC,CAAC;YAEnE,IAAI;gBACF,MAAM,OAAO,CAAC,KAAK,EAAE,CAAC;gBACtB,MAAM,OAAO,CAAC,OAAO,EAAE,CAAC;aACzB;YAAC,OAAO,CAAC,EAAE;gBACV,eAAM,CAAC,KAAK,CAAC,CAAC,CAAC,CAAC;aACjB;YAED,IAAI,CAAC,OAAO,CAAC,OAAO,CAAC,IAAI,CAAC,GAAG,OAAO,CAAC;SACtC;IACH,CAAC;IAKD,KAAK,CAAC,OAAO;QACX,KAAK,MAAM,OAAO,IAAI,MAAM,CAAC,MAAM,CAAC,IAAI,CAAC,OAAO,CAAC,EAAE;YACjD,IAAI;gBACF,MAAM,OAAO,CAAC,OAAO,EAAE,CAAC;aACzB;YAAC,OAAO,CAAC,EAAE;gBACV,eAAM,CAAC,KAAK,CAAC,CAAC,CAAC,CAAC;aACjB;SACF;IACH,CAAC;IAMD,KAAK,CAAC,SAAS,CAAC,SAA+B;QAC7C,MAAM,OAAO,GAAG,SAAS,CAAC,MAAM,CAAC,CAAC,SAAS,EAAE,EAAE,EAAE,EAAE;YACjD,MAAM,OAAO,GAAG,EAAE,CAAC,IAAI,CAAC,WAAW,CAAC;YAEpC,IAAI,SAAS,CAAC,OAAO,CAAC,EAAE;gBACtB,SAAS,CAAC,OAAO,CAAC,CAAC,IAAI,CAAC,EAAE,CAAC,CAAC;aAC7B;iBAAM;gBACL,SAAS,CAAC,OAAO,CAAC,GAAG,CAAC,EAAE,CAAC,CAAC;aAC3B;YAED,OAAO,SAAS,CAAC;QACnB,CAAC,EAAE,EAAE,CAAC,CAAC;QAEP,KAAK,MAAM,WAAW,IAAI,OAAO,EAAE;YACjC,IAAI;gBACF,MAAM,IAAI,CAAC,GAAG,CAAC,WAAW,CAAC,CAAC,SAAS,CAAC,OAAO,CAAC,WAAW,CAAC,CAAC,CAAC;aAC7D;YAAC,OAAO,CAAC,EAAE;gBACV,eAAM,CAAC,KAAK,CAAC,CAAC,CAAC,CAAC;aACjB;SACF;IACH,CAAC;IAMD,KAAK,CAAC,IAAI,CAAC,KAAY;QACrB,IAAI;YACF,MAAM,IAAI,CAAC,GAAG,CAAC,KAAK,CAAC,UAAU,CAAC,IAAI,CAAC,WAAW,CAAC,CAAC,IAAI,CAAC,KAAK,CAAC,CAAC;SAC/D;QAAC,OAAO,CAAC,EAAE;YACV,eAAM,CAAC,KAAK,CAAC,CAAC,CAAC,CAAC;SACjB;IACH,CAAC;IAKD,MAAM,CAAC,KAAY;QACjB,IAAI;YACF,OAAO,IAAI,CAAC,GAAG,CAAC,KAAK,CAAC,UAAU,CAAC,IAAI,CAAC,WAAW,CAAC,CAAC,MAAM,CAAC,KAAK,CAAC,CAAC;SAClE;QAAC,OAAO,CAAC,EAAE;YACV,eAAM,CAAC,KAAK,CAAC,CAAC,CAAC,CAAC;SACjB;IACH,CAAC;IAMD,OAAO,CACL,UAA8B,EAC9B,SAAiB,EACjB,MAAc;QAEd,IAAI;YACF,OAAO,IAAI,CAAC,GAAG,CAAC,UAAU,CAAC,IAAI,CAAC,WAAW,CAAC,CAAC,OAAO,CAAC,UAAU,EAAE,SAAS,EAAE,MAAM,CAAC,CAAC;SACrF;QAAC,OAAO,CAAC,EAAE;YACV,eAAM,CAAC,KAAK,CAAC,CAAC,CAAC,CAAC;SACjB;IACH,CAAC;IAMD,IAAI,CACF,UAA8B,EAC9B,IAAe,EACf,EAAa,EACb,QAA2B;QAE3B,IAAI;YACF,OAAO,IAAI,CAAC,GAAG,CAAC,UAAU,CAAC,IAAI,CAAC,WAAW,CAAC,CAAC,IAAI,CAAC,UAAU,EAAE,IAAI,EAAE,EAAE,EAAE,QAAQ,CAAC,CAAC;SACnF;QAAC,OAAO,CAAC,EAAE;YACV,eAAM,CAAC,KAAK,CAAC,CAAC,CAAC,CAAC;SACjB;IACH,CAAC;CACF;AAzID,4CAyIC"}
|
|
@@ -1 +0,0 @@
|
|
|
1
|
-
{"version":3,"file":"adapter.js","sourceRoot":"","sources":["../../src/adapter/adapter.ts"],"names":[],"mappings":";;;AACA,sCAA2C;AAU9B,QAAA,mBAAmB,GAAG;IACjC,SAAS,EAAE,GAAG,EAAE,CAAC,IAAA,YAAG,GAAE;CACvB,CAAC;AAcF,MAAsB,OAAO;IAO3B,YAA6B,YAAiC;QAAjC,iBAAY,GAAZ,YAAY,CAAqB;IAAG,CAAC;IAJlE,SAAS;QACP,OAAO,IAAI,CAAC,YAAY,CAAC,SAAS,EAAE,CAAC;IACvC,CAAC;CAkDF;AAvDD,0BAuDC"}
|
|
@@ -1 +0,0 @@
|
|
|
1
|
-
{"version":3,"file":"backtester-adapter.js","sourceRoot":"","sources":["../../../src/adapter/backtester/backtester-adapter.ts"],"names":[],"mappings":";;;AAEA,uCAAiE;AACjE,0BAA6B;AAW7B,SAAgB,8BAA8B,CAC5C,uBAAuC,EACvC,QAA4B;IAE5B,OAAO,CAAC,YAAY,EAAE,KAAK,EAAE,KAAK,EAAE,EAAE,CACpC,IAAI,iBAAiB,CACnB,uBAAuB,CAAC,YAAY,EAAE,KAAK,EAAE,KAAK,CAAC,EACnD,QAAQ,EACR,KAAK,CACN,CAAC;AACN,CAAC;AAVD,wEAUC;AAED,MAAa,iBAAkB,SAAQ,WAAO;IAG5C,YACW,gBAAyB,EACzB,QAA4B,EAC5B,KAAY;QAErB,KAAK,CAAC,QAAQ,CAAC,eAAe,EAAE,CAAC,CAAC;QAJzB,qBAAgB,GAAhB,gBAAgB,CAAS;QACzB,aAAQ,GAAR,QAAQ,CAAoB;QAC5B,UAAK,GAAL,KAAK,CAAO;QALd,SAAI,GAAG,IAAI,CAAC,gBAAgB,CAAC,IAAI,CAAC;IAQ3C,CAAC;IAED,KAAK,CAAC,KAAK;QACT,MAAM,IAAI,CAAC,gBAAgB,CAAC,KAAK,EAAE,CAAC;IACtC,CAAC;IAED,OAAO;QACL,OAAO,IAAI,CAAC,gBAAgB,CAAC,OAAO,EAAE,CAAC;IACzC,CAAC;IAED,KAAK,CAAC,SAAS,CAAC,WAAiC;QAC/C,WAAW,CAAC,OAAO,CAAC,EAAE,CAAC,EAAE;YACvB,IAAI,CAAC,QAAQ,CAAC,SAAS,CAAC,EAAE,CAAC,CAAC;QAC9B,CAAC,CAAC,CAAC;QAEH,IAAI,CAAC,KAAK,CAAC,QAAQ,CACjB,GAAG,WAAW,CAAC,GAAG,CAChB,EAAE,CAAC,EAAE,CAAC,IAAI,mCAA2B,CAAC,IAAI,CAAC,SAAS,EAAE,EAAE,EAAE,EAAE,IAAI,CAAC,CAClE,CACF,CAAC;QAEF,IAAI,CAAC,QAAQ,CAAC,WAAW,EAAE,CAAC;IAC9B,CAAC;IAED,OAAO;QACL,OAAO,IAAI,CAAC,gBAAgB,CAAC,OAAO,EAAE,CAAC;IACzC,CAAC;IAED,IAAI,CAAC,KAAY;QACf,OAAO,IAAI,CAAC,gBAAgB,CAAC,IAAI,CAAC,KAAK,CAAC,CAAC;IAC3C,CAAC;IAED,MAAM,CAAC,KAAY;QACjB,OAAO,IAAI,CAAC,gBAAgB,CAAC,MAAM,CAAC,KAAK,CAAC,CAAC;IAC7C,CAAC;IAED,KAAK,CAAC,OAAO,CACX,UAA8B,EAC9B,SAAiB,EACjB,MAAc;QAEd,IAAI,CAAC,QAAQ,CAAC,IAAI,EAAE,CAAC;QAErB,MAAM,QAAQ,GAAG,MAAM,IAAI,CAAC,gBAAgB,CAAC,OAAO,CAAC,UAAU,EAAE,SAAS,EAAE,MAAM,CAAC,CAAC;QAEpF,IAAI,CAAC,QAAQ,CAAC,WAAW,EAAE,CAAC;QAE5B,OAAO,QAAQ,CAAC;IAClB,CAAC;IAED,IAAI,CACF,UAA8B,EAC9B,IAAe,EACf,EAAa,EACb,QAA2B;QAE3B,OAAO,IAAI,CAAC,gBAAgB,CAAC,IAAI,CAAC,UAAU,EAAE,IAAI,EAAE,EAAE,EAAE,QAAQ,CAAC,CAAC;IACpE,CAAC;IAED,iBAAiB,CAAC,OAAqB;QACrC,OAAO,IAAI,CAAC,gBAAgB,CAAC,iBAAiB,CAAC,OAAO,CAAC,CAAC;IAC1D,CAAC;CACF;AAvED,8CAuEC"}
|
|
@@ -1 +0,0 @@
|
|
|
1
|
-
export {};
|
|
@@ -1,83 +0,0 @@
|
|
|
1
|
-
"use strict";
|
|
2
|
-
Object.defineProperty(exports, "__esModule", { value: true });
|
|
3
|
-
const domain_1 = require("../../domain");
|
|
4
|
-
const shared_1 = require("../../shared");
|
|
5
|
-
const storage_1 = require("../../storage");
|
|
6
|
-
const store_1 = require("../../store");
|
|
7
|
-
const adapter_1 = require("../adapter");
|
|
8
|
-
const paper_engine_1 = require("../paper/engine/paper-engine");
|
|
9
|
-
const backtester_adapter_1 = require("./backtester-adapter");
|
|
10
|
-
const backtester_streamer_1 = require("./backtester-streamer");
|
|
11
|
-
const base = new domain_1.Asset('btc', 'binance', 8);
|
|
12
|
-
const quote = new domain_1.Asset('usdt', 'binance', 4);
|
|
13
|
-
class DefaultAdapter extends adapter_1.Adapter {
|
|
14
|
-
constructor(timeProvider, store) {
|
|
15
|
-
super(timeProvider);
|
|
16
|
-
this.store = store;
|
|
17
|
-
this.name = 'default';
|
|
18
|
-
}
|
|
19
|
-
dispose() {
|
|
20
|
-
throw new Error('Method not implemented.');
|
|
21
|
-
}
|
|
22
|
-
subscribe(instruments) {
|
|
23
|
-
throw new Error('Method not implemented.');
|
|
24
|
-
}
|
|
25
|
-
account() {
|
|
26
|
-
throw new Error('Method not implemented.');
|
|
27
|
-
}
|
|
28
|
-
open(order) {
|
|
29
|
-
throw new Error('Method not implemented.');
|
|
30
|
-
}
|
|
31
|
-
cancel(order) {
|
|
32
|
-
throw new Error('Method not implemented.');
|
|
33
|
-
}
|
|
34
|
-
history(instrument, timeframe, length) {
|
|
35
|
-
throw new Error('Method not implemented.');
|
|
36
|
-
}
|
|
37
|
-
feed(instrument, from, to, callback) {
|
|
38
|
-
throw new Error('Method not implemented.');
|
|
39
|
-
}
|
|
40
|
-
timestamp() {
|
|
41
|
-
return 123;
|
|
42
|
-
}
|
|
43
|
-
createPaperEngine(adapter) {
|
|
44
|
-
return new paper_engine_1.PaperEngine(adapter.store);
|
|
45
|
-
}
|
|
46
|
-
async awake() {
|
|
47
|
-
this.store.dispatch(new store_1.InstrumentPatchEvent(this.timestamp(), base, quote, new domain_1.Commission((0, shared_1.d)(0.1), (0, shared_1.d)(0.1)), 'btc-usdt'));
|
|
48
|
-
}
|
|
49
|
-
}
|
|
50
|
-
const instrument = (0, domain_1.instrumentOf)('binance:btc-usdt');
|
|
51
|
-
const store = new store_1.Store();
|
|
52
|
-
const adapter = new DefaultAdapter(adapter_1.DefaultTimeProvider, store);
|
|
53
|
-
const feed = new storage_1.Feed(new storage_1.InMemoryStorage());
|
|
54
|
-
const cache = new storage_1.Cache(new storage_1.InMemoryStorage());
|
|
55
|
-
describe('BacktesterAdapter', () => {
|
|
56
|
-
test('should return proper adapter name and timestamp', () => {
|
|
57
|
-
const sut = new backtester_adapter_1.BacktesterAdapter(adapter, new backtester_streamer_1.BacktesterStreamer(store, feed, {
|
|
58
|
-
from: 1,
|
|
59
|
-
to: 100
|
|
60
|
-
}), store);
|
|
61
|
-
expect(sut.name).toEqual('default');
|
|
62
|
-
expect(sut.timestamp()).toEqual(1);
|
|
63
|
-
});
|
|
64
|
-
test('should stream data from input array', done => {
|
|
65
|
-
const streamer = new backtester_streamer_1.BacktesterStreamer(store, feed, {
|
|
66
|
-
from: 0,
|
|
67
|
-
to: 100
|
|
68
|
-
}, {
|
|
69
|
-
onBacktestCompleted: () => {
|
|
70
|
-
expect(store.snapshot.timestamp).toEqual(1);
|
|
71
|
-
expect(store.snapshot.trade.get(instrument.id).rate).toEqual((0, shared_1.d)(100));
|
|
72
|
-
expect(store.snapshot.trade.get(instrument.id).quantity).toEqual((0, shared_1.d)(10));
|
|
73
|
-
done();
|
|
74
|
-
}
|
|
75
|
-
});
|
|
76
|
-
feed.save([new store_1.TradePatchEvent(instrument, (0, shared_1.d)(100), (0, shared_1.d)(10), 1)]);
|
|
77
|
-
const sut = new backtester_adapter_1.BacktesterAdapter(adapter, streamer, store);
|
|
78
|
-
sut.awake();
|
|
79
|
-
sut.subscribe([instrument]);
|
|
80
|
-
expect(sut.name).toEqual('default');
|
|
81
|
-
});
|
|
82
|
-
});
|
|
83
|
-
//# sourceMappingURL=backtester-adapter.spec.js.map
|
|
@@ -1 +0,0 @@
|
|
|
1
|
-
{"version":3,"file":"backtester-adapter.spec.js","sourceRoot":"","sources":["../../../src/adapter/backtester/backtester-adapter.spec.ts"],"names":[],"mappings":";;AAAA,yCAOsB;AACtB,yCAA4C;AAC5C,2CAA6D;AAC7D,uCAA2E;AAC3E,wCAKoB;AACpB,+DAA2D;AAE3D,6DAAyD;AACzD,+DAA2D;AAE3D,MAAM,IAAI,GAAG,IAAI,cAAK,CAAC,KAAK,EAAE,SAAS,EAAE,CAAC,CAAC,CAAC;AAC5C,MAAM,KAAK,GAAG,IAAI,cAAK,CAAC,MAAM,EAAE,SAAS,EAAE,CAAC,CAAC,CAAC;AAE9C,MAAM,cAAe,SAAQ,iBAAO;IAiClC,YAAY,YAAiC,EAAmB,KAAY;QAC1E,KAAK,CAAC,YAAY,CAAC,CAAC;QAD0C,UAAK,GAAL,KAAK,CAAO;QAF5E,SAAI,GAAG,SAAS,CAAC;IAIjB,CAAC;IAlCD,OAAO;QACL,MAAM,IAAI,KAAK,CAAC,yBAAyB,CAAC,CAAC;IAC7C,CAAC;IACD,SAAS,CAAC,WAAiC;QACzC,MAAM,IAAI,KAAK,CAAC,yBAAyB,CAAC,CAAC;IAC7C,CAAC;IACD,OAAO;QACL,MAAM,IAAI,KAAK,CAAC,yBAAyB,CAAC,CAAC;IAC7C,CAAC;IACD,IAAI,CAAC,KAAY;QACf,MAAM,IAAI,KAAK,CAAC,yBAAyB,CAAC,CAAC;IAC7C,CAAC;IACD,MAAM,CAAC,KAAY;QACjB,MAAM,IAAI,KAAK,CAAC,yBAAyB,CAAC,CAAC;IAC7C,CAAC;IACD,OAAO,CACL,UAA8B,EAC9B,SAAiB,EACjB,MAAc;QAEd,MAAM,IAAI,KAAK,CAAC,yBAAyB,CAAC,CAAC;IAC7C,CAAC;IACD,IAAI,CACF,UAA8B,EAC9B,IAAe,EACf,EAAa,EACb,QAA2B;QAE3B,MAAM,IAAI,KAAK,CAAC,yBAAyB,CAAC,CAAC;IAC7C,CAAC;IAOD,SAAS;QACP,OAAO,GAAG,CAAC;IACb,CAAC;IAED,iBAAiB,CAAC,OAAqB;QACrC,OAAO,IAAI,0BAAW,CAAC,OAAO,CAAC,KAAK,CAAC,CAAC;IACxC,CAAC;IAED,KAAK,CAAC,KAAK;QACT,IAAI,CAAC,KAAK,CAAC,QAAQ,CACjB,IAAI,4BAAoB,CACtB,IAAI,CAAC,SAAS,EAAE,EAChB,IAAI,EACJ,KAAK,EACL,IAAI,mBAAU,CAAC,IAAA,UAAC,EAAC,GAAG,CAAC,EAAE,IAAA,UAAC,EAAC,GAAG,CAAC,CAAC,EAC9B,UAAU,CACX,CACF,CAAC;IACJ,CAAC;CACF;AAED,MAAM,UAAU,GAAG,IAAA,qBAAY,EAAC,kBAAkB,CAAC,CAAC;AACpD,MAAM,KAAK,GAAG,IAAI,aAAK,EAAE,CAAC;AAC1B,MAAM,OAAO,GAAG,IAAI,cAAc,CAAC,6BAAmB,EAAE,KAAK,CAAC,CAAC;AAC/D,MAAM,IAAI,GAAG,IAAI,cAAI,CAAC,IAAI,yBAAe,EAAE,CAAC,CAAC;AAC7C,MAAM,KAAK,GAAG,IAAI,eAAK,CAAC,IAAI,yBAAe,EAAE,CAAC,CAAC;AAE/C,QAAQ,CAAC,mBAAmB,EAAE,GAAG,EAAE;IACjC,IAAI,CAAC,iDAAiD,EAAE,GAAG,EAAE;QAC3D,MAAM,GAAG,GAAG,IAAI,sCAAiB,CAC/B,OAAO,EACP,IAAI,wCAAkB,CAAC,KAAK,EAAE,IAAI,EAAE;YAClC,IAAI,EAAE,CAAC;YACP,EAAE,EAAE,GAAG;SACR,CAAC,EACF,KAAK,CACN,CAAC;QAEF,MAAM,CAAC,GAAG,CAAC,IAAI,CAAC,CAAC,OAAO,CAAC,SAAS,CAAC,CAAC;QACpC,MAAM,CAAC,GAAG,CAAC,SAAS,EAAE,CAAC,CAAC,OAAO,CAAC,CAAC,CAAC,CAAC;IACrC,CAAC,CAAC,CAAC;IAEH,IAAI,CAAC,qCAAqC,EAAE,IAAI,CAAC,EAAE;QACjD,MAAM,QAAQ,GAAG,IAAI,wCAAkB,CACrC,KAAK,EACL,IAAI,EACJ;YACE,IAAI,EAAE,CAAC;YACP,EAAE,EAAE,GAAG;SACR,EACD;YACE,mBAAmB,EAAE,GAAG,EAAE;gBACxB,MAAM,CAAC,KAAK,CAAC,QAAQ,CAAC,SAAS,CAAC,CAAC,OAAO,CAAC,CAAC,CAAC,CAAC;gBAC5C,MAAM,CAAC,KAAK,CAAC,QAAQ,CAAC,KAAK,CAAC,GAAG,CAAC,UAAU,CAAC,EAAE,CAAC,CAAC,IAAI,CAAC,CAAC,OAAO,CAAC,IAAA,UAAC,EAAC,GAAG,CAAC,CAAC,CAAC;gBACrE,MAAM,CAAC,KAAK,CAAC,QAAQ,CAAC,KAAK,CAAC,GAAG,CAAC,UAAU,CAAC,EAAE,CAAC,CAAC,QAAQ,CAAC,CAAC,OAAO,CAAC,IAAA,UAAC,EAAC,EAAE,CAAC,CAAC,CAAC;gBAExE,IAAI,EAAE,CAAC;YACT,CAAC;SACF,CACF,CAAC;QAEF,IAAI,CAAC,IAAI,CAAC,CAAC,IAAI,uBAAe,CAAC,UAAU,EAAE,IAAA,UAAC,EAAC,GAAG,CAAC,EAAE,IAAA,UAAC,EAAC,EAAE,CAAC,EAAE,CAAC,CAAC,CAAC,CAAC,CAAC;QAE/D,MAAM,GAAG,GAAG,IAAI,sCAAiB,CAAC,OAAO,EAAE,QAAQ,EAAE,KAAK,CAAC,CAAC;QAE5D,GAAG,CAAC,KAAK,EAAE,CAAC;QACZ,GAAG,CAAC,SAAS,CAAC,CAAC,UAAU,CAAC,CAAC,CAAC;QAE5B,MAAM,CAAC,GAAG,CAAC,IAAI,CAAC,CAAC,OAAO,CAAC,SAAS,CAAC,CAAC;IACtC,CAAC,CAAC,CAAC;AACL,CAAC,CAAC,CAAC"}
|
|
@@ -1 +0,0 @@
|
|
|
1
|
-
{"version":3,"file":"backtester-cursor.js","sourceRoot":"","sources":["../../../src/adapter/backtester/backtester-cursor.ts"],"names":[],"mappings":";;;AAGA,oCAAgD;AAEhD,MAAa,gBAAgB;IAS3B,YAAqB,UAA8B,EAAmB,IAAU;QAA3D,eAAU,GAAV,UAAU,CAAoB;QAAmB,SAAI,GAAJ,IAAI,CAAM;QARxE,SAAI,GAAG,IAAI,KAAK,EAAgB,CAAC;QACjC,cAAS,GAAG,CAAC,CAAC;QACtB,cAAS,GAAG,KAAK,CAAC;IAMiE,CAAC;IAJpF,IAAI,IAAI;QACN,OAAO,IAAI,CAAC,IAAI,CAAC,MAAM,GAAG,IAAI,CAAC,SAAS,CAAC;IAC3C,CAAC;IAID,IAAI;QACF,IAAI,CAAC,IAAI,CAAC,IAAI,EAAE;YACd,OAAO,SAAS,CAAC;SAClB;QAED,OAAO,IAAI,CAAC,IAAI,CAAC,IAAI,CAAC,SAAS,CAAC,CAAC;IACnC,CAAC;IAED,OAAO;QACL,OAAO,IAAI,CAAC,IAAI,CAAC,IAAI,CAAC,SAAS,EAAE,CAAC,CAAC;IACrC,CAAC;IAED,KAAK,CAAC,aAAa,CAAC,IAAe,EAAE,EAAU;QAC7C,IAAI,IAAI,CAAC,SAAS,EAAE;YAClB,OAAO;SACR;QAED,IAAI,IAAI,CAAC,IAAI,GAAG,CAAC,EAAE;YACjB,MAAM,IAAA,4BAAoB,GAAE,CAAC;SAC9B;QAED,IAAI,CAAC,SAAS,GAAG,CAAC,CAAC;QACnB,IAAI,CAAC,IAAI,GAAG,MAAM,IAAI,CAAC,IAAI,CAAC,KAAK,CAAC,IAAI,CAAC,UAAU,EAAE;YACjD,IAAI;YACJ,EAAE;YACF,KAAK,EAAE,KAAK;SACb,CAAC,CAAC;QAEH,IAAI,CAAC,SAAS,GAAG,IAAI,CAAC,IAAI,CAAC,MAAM,IAAI,CAAC,CAAC;IACzC,CAAC;CACF;AAzCD,4CAyCC"}
|
|
@@ -1 +0,0 @@
|
|
|
1
|
-
export {};
|
|
@@ -1,39 +0,0 @@
|
|
|
1
|
-
"use strict";
|
|
2
|
-
Object.defineProperty(exports, "__esModule", { value: true });
|
|
3
|
-
const domain_1 = require("../../domain");
|
|
4
|
-
const shared_1 = require("../../shared");
|
|
5
|
-
const storage_1 = require("../../storage");
|
|
6
|
-
const store_1 = require("../../store");
|
|
7
|
-
const backtester_cursor_1 = require("./backtester-cursor");
|
|
8
|
-
describe('BacktesterCursor', () => {
|
|
9
|
-
test('should repeat specific events', async () => {
|
|
10
|
-
const instrument = (0, domain_1.instrumentOf)('binance:btc-usdt');
|
|
11
|
-
const feed = new storage_1.Feed(new storage_1.InMemoryStorage());
|
|
12
|
-
const cursor = new backtester_cursor_1.BacktesterCursor(instrument, feed);
|
|
13
|
-
feed.save([
|
|
14
|
-
new store_1.TradePatchEvent(instrument, (0, shared_1.d)(1), (0, shared_1.d)(1), 1),
|
|
15
|
-
new store_1.TradePatchEvent(instrument, (0, shared_1.d)(2), (0, shared_1.d)(2), 2),
|
|
16
|
-
new store_1.TradePatchEvent(instrument, (0, shared_1.d)(3), (0, shared_1.d)(3), 3),
|
|
17
|
-
new store_1.TradePatchEvent(instrument, (0, shared_1.d)(4), (0, shared_1.d)(4), 4),
|
|
18
|
-
new store_1.TradePatchEvent(instrument, (0, shared_1.d)(5), (0, shared_1.d)(5), 5),
|
|
19
|
-
new store_1.TradePatchEvent(instrument, (0, shared_1.d)(6), (0, shared_1.d)(6), 6),
|
|
20
|
-
new store_1.TradePatchEvent(instrument, (0, shared_1.d)(7), (0, shared_1.d)(7), 7),
|
|
21
|
-
new store_1.TradePatchEvent(instrument, (0, shared_1.d)(8), (0, shared_1.d)(8), 8)
|
|
22
|
-
]);
|
|
23
|
-
await cursor.fetchNextPage(0, 4);
|
|
24
|
-
expect(cursor.dequeue()).toEqual(new store_1.TradePatchEvent(instrument, (0, shared_1.d)(1), (0, shared_1.d)(1), 1));
|
|
25
|
-
expect(cursor.dequeue()).toEqual(new store_1.TradePatchEvent(instrument, (0, shared_1.d)(2), (0, shared_1.d)(2), 2));
|
|
26
|
-
expect(cursor.dequeue()).toEqual(new store_1.TradePatchEvent(instrument, (0, shared_1.d)(3), (0, shared_1.d)(3), 3));
|
|
27
|
-
expect(cursor.peek()).toEqual(undefined);
|
|
28
|
-
await cursor.fetchNextPage(3, 7);
|
|
29
|
-
expect(cursor.dequeue()).toEqual(new store_1.TradePatchEvent(instrument, (0, shared_1.d)(4), (0, shared_1.d)(4), 4));
|
|
30
|
-
expect(cursor.dequeue()).toEqual(new store_1.TradePatchEvent(instrument, (0, shared_1.d)(5), (0, shared_1.d)(5), 5));
|
|
31
|
-
expect(cursor.dequeue()).toEqual(new store_1.TradePatchEvent(instrument, (0, shared_1.d)(6), (0, shared_1.d)(6), 6));
|
|
32
|
-
expect(cursor.peek()).toEqual(undefined);
|
|
33
|
-
await cursor.fetchNextPage(6, 10);
|
|
34
|
-
expect(cursor.dequeue()).toEqual(new store_1.TradePatchEvent(instrument, (0, shared_1.d)(7), (0, shared_1.d)(7), 7));
|
|
35
|
-
expect(cursor.dequeue()).toEqual(new store_1.TradePatchEvent(instrument, (0, shared_1.d)(8), (0, shared_1.d)(8), 8));
|
|
36
|
-
expect(cursor.peek()).toEqual(undefined);
|
|
37
|
-
});
|
|
38
|
-
});
|
|
39
|
-
//# sourceMappingURL=backtester-cursor.spec.js.map
|
|
@@ -1 +0,0 @@
|
|
|
1
|
-
{"version":3,"file":"backtester-cursor.spec.js","sourceRoot":"","sources":["../../../src/adapter/backtester/backtester-cursor.spec.ts"],"names":[],"mappings":";;AAAA,yCAA4C;AAC5C,yCAAiC;AACjC,2CAAsD;AACtD,uCAA8C;AAC9C,2DAAuD;AAEvD,QAAQ,CAAC,kBAAkB,EAAE,GAAG,EAAE;IAChC,IAAI,CAAC,+BAA+B,EAAE,KAAK,IAAI,EAAE;QAC/C,MAAM,UAAU,GAAG,IAAA,qBAAY,EAAC,kBAAkB,CAAC,CAAC;QACpD,MAAM,IAAI,GAAG,IAAI,cAAI,CAAC,IAAI,yBAAe,EAAE,CAAC,CAAC;QAC7C,MAAM,MAAM,GAAG,IAAI,oCAAgB,CAAC,UAAU,EAAE,IAAI,CAAC,CAAC;QAEtD,IAAI,CAAC,IAAI,CAAC;YACR,IAAI,uBAAe,CAAC,UAAU,EAAE,IAAA,UAAC,EAAC,CAAC,CAAC,EAAE,IAAA,UAAC,EAAC,CAAC,CAAC,EAAE,CAAC,CAAC;YAC9C,IAAI,uBAAe,CAAC,UAAU,EAAE,IAAA,UAAC,EAAC,CAAC,CAAC,EAAE,IAAA,UAAC,EAAC,CAAC,CAAC,EAAE,CAAC,CAAC;YAC9C,IAAI,uBAAe,CAAC,UAAU,EAAE,IAAA,UAAC,EAAC,CAAC,CAAC,EAAE,IAAA,UAAC,EAAC,CAAC,CAAC,EAAE,CAAC,CAAC;YAC9C,IAAI,uBAAe,CAAC,UAAU,EAAE,IAAA,UAAC,EAAC,CAAC,CAAC,EAAE,IAAA,UAAC,EAAC,CAAC,CAAC,EAAE,CAAC,CAAC;YAC9C,IAAI,uBAAe,CAAC,UAAU,EAAE,IAAA,UAAC,EAAC,CAAC,CAAC,EAAE,IAAA,UAAC,EAAC,CAAC,CAAC,EAAE,CAAC,CAAC;YAC9C,IAAI,uBAAe,CAAC,UAAU,EAAE,IAAA,UAAC,EAAC,CAAC,CAAC,EAAE,IAAA,UAAC,EAAC,CAAC,CAAC,EAAE,CAAC,CAAC;YAC9C,IAAI,uBAAe,CAAC,UAAU,EAAE,IAAA,UAAC,EAAC,CAAC,CAAC,EAAE,IAAA,UAAC,EAAC,CAAC,CAAC,EAAE,CAAC,CAAC;YAC9C,IAAI,uBAAe,CAAC,UAAU,EAAE,IAAA,UAAC,EAAC,CAAC,CAAC,EAAE,IAAA,UAAC,EAAC,CAAC,CAAC,EAAE,CAAC,CAAC;SAC/C,CAAC,CAAC;QAEH,MAAM,MAAM,CAAC,aAAa,CAAC,CAAC,EAAE,CAAC,CAAC,CAAC;QAEjC,MAAM,CAAC,MAAM,CAAC,OAAO,EAAE,CAAC,CAAC,OAAO,CAAC,IAAI,uBAAe,CAAC,UAAU,EAAE,IAAA,UAAC,EAAC,CAAC,CAAC,EAAE,IAAA,UAAC,EAAC,CAAC,CAAC,EAAE,CAAC,CAAC,CAAC,CAAC;QACjF,MAAM,CAAC,MAAM,CAAC,OAAO,EAAE,CAAC,CAAC,OAAO,CAAC,IAAI,uBAAe,CAAC,UAAU,EAAE,IAAA,UAAC,EAAC,CAAC,CAAC,EAAE,IAAA,UAAC,EAAC,CAAC,CAAC,EAAE,CAAC,CAAC,CAAC,CAAC;QACjF,MAAM,CAAC,MAAM,CAAC,OAAO,EAAE,CAAC,CAAC,OAAO,CAAC,IAAI,uBAAe,CAAC,UAAU,EAAE,IAAA,UAAC,EAAC,CAAC,CAAC,EAAE,IAAA,UAAC,EAAC,CAAC,CAAC,EAAE,CAAC,CAAC,CAAC,CAAC;QACjF,MAAM,CAAC,MAAM,CAAC,IAAI,EAAE,CAAC,CAAC,OAAO,CAAC,SAAS,CAAC,CAAC;QAEzC,MAAM,MAAM,CAAC,aAAa,CAAC,CAAC,EAAE,CAAC,CAAC,CAAC;QAEjC,MAAM,CAAC,MAAM,CAAC,OAAO,EAAE,CAAC,CAAC,OAAO,CAAC,IAAI,uBAAe,CAAC,UAAU,EAAE,IAAA,UAAC,EAAC,CAAC,CAAC,EAAE,IAAA,UAAC,EAAC,CAAC,CAAC,EAAE,CAAC,CAAC,CAAC,CAAC;QACjF,MAAM,CAAC,MAAM,CAAC,OAAO,EAAE,CAAC,CAAC,OAAO,CAAC,IAAI,uBAAe,CAAC,UAAU,EAAE,IAAA,UAAC,EAAC,CAAC,CAAC,EAAE,IAAA,UAAC,EAAC,CAAC,CAAC,EAAE,CAAC,CAAC,CAAC,CAAC;QACjF,MAAM,CAAC,MAAM,CAAC,OAAO,EAAE,CAAC,CAAC,OAAO,CAAC,IAAI,uBAAe,CAAC,UAAU,EAAE,IAAA,UAAC,EAAC,CAAC,CAAC,EAAE,IAAA,UAAC,EAAC,CAAC,CAAC,EAAE,CAAC,CAAC,CAAC,CAAC;QACjF,MAAM,CAAC,MAAM,CAAC,IAAI,EAAE,CAAC,CAAC,OAAO,CAAC,SAAS,CAAC,CAAC;QAEzC,MAAM,MAAM,CAAC,aAAa,CAAC,CAAC,EAAE,EAAE,CAAC,CAAC;QAElC,MAAM,CAAC,MAAM,CAAC,OAAO,EAAE,CAAC,CAAC,OAAO,CAAC,IAAI,uBAAe,CAAC,UAAU,EAAE,IAAA,UAAC,EAAC,CAAC,CAAC,EAAE,IAAA,UAAC,EAAC,CAAC,CAAC,EAAE,CAAC,CAAC,CAAC,CAAC;QACjF,MAAM,CAAC,MAAM,CAAC,OAAO,EAAE,CAAC,CAAC,OAAO,CAAC,IAAI,uBAAe,CAAC,UAAU,EAAE,IAAA,UAAC,EAAC,CAAC,CAAC,EAAE,IAAA,UAAC,EAAC,CAAC,CAAC,EAAE,CAAC,CAAC,CAAC,CAAC;QACjF,MAAM,CAAC,MAAM,CAAC,IAAI,EAAE,CAAC,CAAC,OAAO,CAAC,SAAS,CAAC,CAAC;IAC3C,CAAC,CAAC,CAAC;AACL,CAAC,CAAC,CAAC"}
|