@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
|
@@ -1,7 +1,17 @@
|
|
|
1
1
|
"use strict";
|
|
2
|
+
var __awaiter = (this && this.__awaiter) || function (thisArg, _arguments, P, generator) {
|
|
3
|
+
function adopt(value) { return value instanceof P ? value : new P(function (resolve) { resolve(value); }); }
|
|
4
|
+
return new (P || (P = Promise))(function (resolve, reject) {
|
|
5
|
+
function fulfilled(value) { try { step(generator.next(value)); } catch (e) { reject(e); } }
|
|
6
|
+
function rejected(value) { try { step(generator["throw"](value)); } catch (e) { reject(e); } }
|
|
7
|
+
function step(result) { result.done ? resolve(result.value) : adopt(result.value).then(fulfilled, rejected); }
|
|
8
|
+
step((generator = generator.apply(thisArg, _arguments || [])).next());
|
|
9
|
+
});
|
|
10
|
+
};
|
|
2
11
|
Object.defineProperty(exports, "__esModule", { value: true });
|
|
3
12
|
exports.BacktesterStreamer = void 0;
|
|
4
13
|
const backtester_cursor_1 = require("./backtester-cursor");
|
|
14
|
+
const error_1 = require("./error");
|
|
5
15
|
class BacktesterStreamer {
|
|
6
16
|
constructor(store, feed, period, listener) {
|
|
7
17
|
this.store = store;
|
|
@@ -13,7 +23,7 @@ class BacktesterStreamer {
|
|
|
13
23
|
this.stopAcquire = 1;
|
|
14
24
|
this.sequence = 0;
|
|
15
25
|
if (period.from == undefined || period.to == undefined) {
|
|
16
|
-
throw
|
|
26
|
+
throw (0, error_1.missingPeriodParametersError)();
|
|
17
27
|
}
|
|
18
28
|
this.timestamp = period.from;
|
|
19
29
|
}
|
|
@@ -30,10 +40,17 @@ class BacktesterStreamer {
|
|
|
30
40
|
const cursor = new backtester_cursor_1.BacktesterCursor(instrument, this.feed);
|
|
31
41
|
this.cursor[instrument.id] = cursor;
|
|
32
42
|
}
|
|
43
|
+
/**
|
|
44
|
+
* Increments stop counter.
|
|
45
|
+
*/
|
|
33
46
|
stop() {
|
|
34
47
|
this.stopAcquire++;
|
|
35
48
|
}
|
|
49
|
+
/**
|
|
50
|
+
* Decreases stop counter and continues execution if no more stops requested.
|
|
51
|
+
*/
|
|
36
52
|
tryContinue() {
|
|
53
|
+
var _a;
|
|
37
54
|
if (this.stopAcquire == 0) {
|
|
38
55
|
return;
|
|
39
56
|
}
|
|
@@ -42,14 +59,15 @@ class BacktesterStreamer {
|
|
|
42
59
|
return;
|
|
43
60
|
}
|
|
44
61
|
if (this.sequence == 0) {
|
|
45
|
-
if (this.listener.onBacktestStarted) {
|
|
62
|
+
if ((_a = this.listener) === null || _a === void 0 ? void 0 : _a.onBacktestStarted) {
|
|
46
63
|
this.listener.onBacktestStarted(this);
|
|
47
64
|
}
|
|
48
65
|
}
|
|
49
|
-
const next =
|
|
50
|
-
|
|
66
|
+
const next = () => __awaiter(this, void 0, void 0, function* () {
|
|
67
|
+
var _b, _c;
|
|
68
|
+
if (yield this.processNext()) {
|
|
51
69
|
if (this.sequence % this.sequenceUpdateBatch == 0) {
|
|
52
|
-
if (this.listener.onBacktestUpdated) {
|
|
70
|
+
if ((_b = this.listener) === null || _b === void 0 ? void 0 : _b.onBacktestUpdated) {
|
|
53
71
|
this.listener.onBacktestUpdated(this);
|
|
54
72
|
}
|
|
55
73
|
}
|
|
@@ -58,38 +76,44 @@ class BacktesterStreamer {
|
|
|
58
76
|
}
|
|
59
77
|
}
|
|
60
78
|
else {
|
|
61
|
-
if (this.listener.onBacktestCompleted) {
|
|
79
|
+
if ((_c = this.listener) === null || _c === void 0 ? void 0 : _c.onBacktestCompleted) {
|
|
62
80
|
this.listener.onBacktestCompleted(this);
|
|
63
81
|
}
|
|
64
82
|
}
|
|
65
|
-
};
|
|
83
|
+
});
|
|
66
84
|
next();
|
|
67
85
|
}
|
|
68
|
-
|
|
69
|
-
|
|
70
|
-
|
|
71
|
-
|
|
72
|
-
|
|
73
|
-
|
|
74
|
-
|
|
75
|
-
|
|
76
|
-
|
|
77
|
-
|
|
78
|
-
|
|
79
|
-
|
|
80
|
-
|
|
86
|
+
processNext() {
|
|
87
|
+
return __awaiter(this, void 0, void 0, function* () {
|
|
88
|
+
const cursor = yield this.current(this.timestamp, this.period.to);
|
|
89
|
+
if (!cursor) {
|
|
90
|
+
return false;
|
|
91
|
+
}
|
|
92
|
+
const event = cursor.peek();
|
|
93
|
+
if (!event) {
|
|
94
|
+
return false;
|
|
95
|
+
}
|
|
96
|
+
this.timestamp = event.timestamp;
|
|
97
|
+
this.sequence++;
|
|
98
|
+
this.store.dispatch(event);
|
|
99
|
+
if (cursor.dequeue().timestamp != event.timestamp) {
|
|
100
|
+
throw (0, error_1.invalidEventSequenceError)();
|
|
101
|
+
}
|
|
102
|
+
return true;
|
|
103
|
+
});
|
|
81
104
|
}
|
|
82
|
-
|
|
83
|
-
|
|
84
|
-
|
|
85
|
-
|
|
105
|
+
current(from, to) {
|
|
106
|
+
return __awaiter(this, void 0, void 0, function* () {
|
|
107
|
+
for (const cursor of Object.values(this.cursor)) {
|
|
108
|
+
if (cursor.size == 0 && !cursor.completed) {
|
|
109
|
+
yield cursor.fetchNextPage(from, to);
|
|
110
|
+
}
|
|
86
111
|
}
|
|
87
|
-
|
|
88
|
-
|
|
89
|
-
|
|
90
|
-
|
|
91
|
-
|
|
112
|
+
return Object.values(this.cursor)
|
|
113
|
+
.filter(it => it !== undefined)
|
|
114
|
+
.sort((lhs, rhs) => { var _a, _b, _c, _d; return ((_b = (_a = lhs === null || lhs === void 0 ? void 0 : lhs.peek()) === null || _a === void 0 ? void 0 : _a.timestamp) !== null && _b !== void 0 ? _b : 0) - ((_d = (_c = rhs === null || rhs === void 0 ? void 0 : rhs.peek()) === null || _c === void 0 ? void 0 : _c.timestamp) !== null && _d !== void 0 ? _d : 0); })
|
|
115
|
+
.find(() => true);
|
|
116
|
+
});
|
|
92
117
|
}
|
|
93
118
|
}
|
|
94
119
|
exports.BacktesterStreamer = BacktesterStreamer;
|
|
95
|
-
//# sourceMappingURL=backtester-streamer.js.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
{"version":3,"file":"error.d.ts","sourceRoot":"","sources":["../../../src/adapter/backtester/error.ts"],"names":[],"mappings":"AAAA,wBAAgB,4BAA4B,UAE3C;AAED,wBAAgB,yBAAyB,UAExC"}
|
|
@@ -0,0 +1,11 @@
|
|
|
1
|
+
"use strict";
|
|
2
|
+
Object.defineProperty(exports, "__esModule", { value: true });
|
|
3
|
+
exports.invalidEventSequenceError = exports.missingPeriodParametersError = void 0;
|
|
4
|
+
function missingPeriodParametersError() {
|
|
5
|
+
return new Error('invalid backtest options, please provide from and to period.');
|
|
6
|
+
}
|
|
7
|
+
exports.missingPeriodParametersError = missingPeriodParametersError;
|
|
8
|
+
function invalidEventSequenceError() {
|
|
9
|
+
return new Error('invalid event to consume');
|
|
10
|
+
}
|
|
11
|
+
exports.invalidEventSequenceError = invalidEventSequenceError;
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
{"version":3,"file":"index.d.ts","sourceRoot":"","sources":["../../../src/adapter/backtester/index.ts"],"names":[],"mappings":"AAAA,cAAc,sBAAsB,CAAC;AACrC,cAAc,uBAAuB,CAAC"}
|
|
@@ -16,4 +16,3 @@ var __exportStar = (this && this.__exportStar) || function(m, exports) {
|
|
|
16
16
|
Object.defineProperty(exports, "__esModule", { value: true });
|
|
17
17
|
__exportStar(require("./backtester-adapter"), exports);
|
|
18
18
|
__exportStar(require("./backtester-streamer"), exports);
|
|
19
|
-
//# sourceMappingURL=index.js.map
|
package/dist/adapter/error.d.ts
CHANGED
|
@@ -0,0 +1 @@
|
|
|
1
|
+
{"version":3,"file":"error.d.ts","sourceRoot":"","sources":["../../src/adapter/error.ts"],"names":[],"mappings":"AAAA,wBAAgB,oBAAoB,CAAC,WAAW,EAAE,MAAM,SAIvD;AAED,wBAAgB,0BAA0B,UAEzC;AAED,wBAAgB,oBAAoB,UAEnC"}
|
package/dist/adapter/error.js
CHANGED
|
@@ -1,12 +1,15 @@
|
|
|
1
1
|
"use strict";
|
|
2
2
|
Object.defineProperty(exports, "__esModule", { value: true });
|
|
3
|
-
exports.backtestPageNotEmpty = exports.adapterNotFoundError = void 0;
|
|
3
|
+
exports.backtestPageNotEmpty = exports.noPaperEngineProvidedError = exports.adapterNotFoundError = void 0;
|
|
4
4
|
function adapterNotFoundError(adapterName) {
|
|
5
5
|
return new Error(`Unknown adapter: ${adapterName}. You should provide adapter in session descriptor.`);
|
|
6
6
|
}
|
|
7
7
|
exports.adapterNotFoundError = adapterNotFoundError;
|
|
8
|
+
function noPaperEngineProvidedError() {
|
|
9
|
+
return new Error('No paper engine provided.');
|
|
10
|
+
}
|
|
11
|
+
exports.noPaperEngineProvidedError = noPaperEngineProvidedError;
|
|
8
12
|
function backtestPageNotEmpty() {
|
|
9
13
|
return new Error('Backtest page is not empty');
|
|
10
14
|
}
|
|
11
15
|
exports.backtestPageNotEmpty = backtestPageNotEmpty;
|
|
12
|
-
//# sourceMappingURL=error.js.map
|
package/dist/adapter/index.d.ts
CHANGED
|
@@ -0,0 +1 @@
|
|
|
1
|
+
{"version":3,"file":"index.d.ts","sourceRoot":"","sources":["../../src/adapter/index.ts"],"names":[],"mappings":"AAAA,cAAc,WAAW,CAAC;AAC1B,cAAc,qBAAqB,CAAC;AACpC,cAAc,cAAc,CAAC;AAC7B,cAAc,SAAS,CAAC"}
|
package/dist/adapter/index.js
CHANGED
|
@@ -0,0 +1 @@
|
|
|
1
|
+
{"version":3,"file":"paper-engine.d.ts","sourceRoot":"","sources":["../../../../src/adapter/paper/engine/paper-engine.ts"],"names":[],"mappings":"AAEA,OAAO,EAAE,KAAK,EAAoB,MAAM,iBAAiB,CAAC;AAE1D,OAAO,EAUL,KAAK,EACN,MAAM,gBAAgB,CAAC;AAGxB,qBAAa,WAAW;IACV,OAAO,CAAC,QAAQ,CAAC,KAAK;gBAAL,KAAK,EAAE,KAAK;IAclC,IAAI,CAAC,KAAK,EAAE,KAAK;IAkBjB,MAAM,CAAC,KAAK,EAAE,KAAK;IAW1B,OAAO,CAAC,WAAW;IA2BnB,OAAO,CAAC,OAAO;IAuBf,OAAO,CAAC,aAAa;CAsCtB"}
|
|
@@ -5,6 +5,7 @@ const rxjs_1 = require("rxjs");
|
|
|
5
5
|
const domain_1 = require("../../../domain");
|
|
6
6
|
const shared_1 = require("../../../shared");
|
|
7
7
|
const store_1 = require("../../../store");
|
|
8
|
+
const error_1 = require("../../../store/error");
|
|
8
9
|
class PaperEngine {
|
|
9
10
|
constructor(store) {
|
|
10
11
|
this.store = store;
|
|
@@ -35,14 +36,15 @@ class PaperEngine {
|
|
|
35
36
|
this.store.dispatch(new store_1.BalanceUnlockOrderEvent(order.id, order.instrument, timestamp), new store_1.OrderCanceledEvent(order.id, order.instrument, timestamp));
|
|
36
37
|
}
|
|
37
38
|
onOrderbook(orderbook) {
|
|
38
|
-
this.store.snapshot.order
|
|
39
|
-
|
|
40
|
-
|
|
41
|
-
|
|
39
|
+
const orders = this.store.snapshot.order.get(orderbook.instrument.id);
|
|
40
|
+
if (!orders) {
|
|
41
|
+
return;
|
|
42
|
+
}
|
|
43
|
+
orders.asReadonlyArray().forEach(it => {
|
|
42
44
|
if (it.state != 'PENDING') {
|
|
43
45
|
return;
|
|
44
46
|
}
|
|
45
|
-
if (it.
|
|
47
|
+
if (it.rate) {
|
|
46
48
|
if (it.quantity.greaterThan(0) && it.rate.greaterThan(orderbook.asks.rate)) {
|
|
47
49
|
this.completeOrder(it, orderbook.asks.rate);
|
|
48
50
|
}
|
|
@@ -50,7 +52,7 @@ class PaperEngine {
|
|
|
50
52
|
this.completeOrder(it, orderbook.bids.rate);
|
|
51
53
|
}
|
|
52
54
|
}
|
|
53
|
-
else
|
|
55
|
+
else {
|
|
54
56
|
if (it.quantity.greaterThan(0)) {
|
|
55
57
|
this.completeOrder(it, orderbook.asks.rate);
|
|
56
58
|
}
|
|
@@ -61,14 +63,15 @@ class PaperEngine {
|
|
|
61
63
|
});
|
|
62
64
|
}
|
|
63
65
|
onTrade(trade) {
|
|
64
|
-
this.store.snapshot.order
|
|
65
|
-
|
|
66
|
-
|
|
67
|
-
|
|
66
|
+
const orders = this.store.snapshot.order.get(trade.instrument.id);
|
|
67
|
+
if (!orders) {
|
|
68
|
+
return;
|
|
69
|
+
}
|
|
70
|
+
orders.asReadonlyArray().forEach(it => {
|
|
68
71
|
if (it.state != 'PENDING') {
|
|
69
72
|
return;
|
|
70
73
|
}
|
|
71
|
-
if (it.
|
|
74
|
+
if (it.rate) {
|
|
72
75
|
if (it.quantity.greaterThan(0) && it.rate.greaterThan(trade.rate)) {
|
|
73
76
|
this.completeOrder(it, trade.rate);
|
|
74
77
|
}
|
|
@@ -76,7 +79,7 @@ class PaperEngine {
|
|
|
76
79
|
this.completeOrder(it, trade.rate);
|
|
77
80
|
}
|
|
78
81
|
}
|
|
79
|
-
else
|
|
82
|
+
else {
|
|
80
83
|
this.completeOrder(it, trade.rate);
|
|
81
84
|
}
|
|
82
85
|
});
|
|
@@ -84,6 +87,9 @@ class PaperEngine {
|
|
|
84
87
|
completeOrder(order, averageExecutionRate) {
|
|
85
88
|
const { timestamp } = this.store.snapshot;
|
|
86
89
|
const instrument = this.store.snapshot.universe.instrument.get(order.instrument.id);
|
|
90
|
+
if (!instrument) {
|
|
91
|
+
throw (0, error_1.instrumentNotSupportedError)(order.instrument);
|
|
92
|
+
}
|
|
87
93
|
const transacted = {
|
|
88
94
|
base: shared_1.d.Zero,
|
|
89
95
|
quote: shared_1.d.Zero
|
|
@@ -101,4 +107,3 @@ class PaperEngine {
|
|
|
101
107
|
}
|
|
102
108
|
}
|
|
103
109
|
exports.PaperEngine = PaperEngine;
|
|
104
|
-
//# sourceMappingURL=paper-engine.js.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
{"version":3,"file":"index.d.ts","sourceRoot":"","sources":["../../../src/adapter/paper/index.ts"],"names":[],"mappings":"AAAA,cAAc,iBAAiB,CAAC;AAChC,cAAc,uBAAuB,CAAC"}
|
|
@@ -16,4 +16,3 @@ var __exportStar = (this && this.__exportStar) || function(m, exports) {
|
|
|
16
16
|
Object.defineProperty(exports, "__esModule", { value: true });
|
|
17
17
|
__exportStar(require("./paper-adapter"), exports);
|
|
18
18
|
__exportStar(require("./engine/paper-engine"), exports);
|
|
19
|
-
//# sourceMappingURL=index.js.map
|
|
@@ -1,12 +1,12 @@
|
|
|
1
|
-
import {
|
|
2
|
-
import { timestamp } from '../../shared';
|
|
1
|
+
import { InstrumentSelector, Ohlc, Order } from '../../domain';
|
|
2
|
+
import { decimal, timestamp } from '../../shared';
|
|
3
3
|
import { Store } from '../../store';
|
|
4
4
|
import { Adapter } from '..';
|
|
5
5
|
import { AdapterFactory, FeedAsyncCallback } from '../adapter';
|
|
6
6
|
import { PaperEngine } from './engine/paper-engine';
|
|
7
7
|
export interface PaperOptions {
|
|
8
8
|
balance: {
|
|
9
|
-
[key: string]:
|
|
9
|
+
[key: string]: decimal;
|
|
10
10
|
};
|
|
11
11
|
}
|
|
12
12
|
export declare function createPaperAdapterFactory(decoratedAdapterFactory: AdapterFactory, options: PaperOptions): AdapterFactory;
|
|
@@ -15,7 +15,7 @@ export declare class PaperAdapter extends Adapter {
|
|
|
15
15
|
readonly store: Store;
|
|
16
16
|
readonly options: PaperOptions;
|
|
17
17
|
readonly name: string;
|
|
18
|
-
private engine
|
|
18
|
+
private engine?;
|
|
19
19
|
constructor(decoratedAdapter: Adapter, store: Store, options: PaperOptions);
|
|
20
20
|
awake(): Promise<void>;
|
|
21
21
|
dispose(): Promise<void>;
|
|
@@ -23,7 +23,8 @@ export declare class PaperAdapter extends Adapter {
|
|
|
23
23
|
account(): Promise<void>;
|
|
24
24
|
open(order: Order): Promise<void>;
|
|
25
25
|
cancel(order: Order): Promise<void>;
|
|
26
|
-
history(instrument: InstrumentSelector, timeframe: number, length: number): Promise<
|
|
26
|
+
history(instrument: InstrumentSelector, timeframe: number, length: number): Promise<Ohlc[]>;
|
|
27
27
|
feed(instrument: InstrumentSelector, from: timestamp, to: timestamp, callback: FeedAsyncCallback): Promise<void>;
|
|
28
28
|
createPaperEngine(adapter: PaperAdapter): PaperEngine;
|
|
29
29
|
}
|
|
30
|
+
//# sourceMappingURL=paper-adapter.d.ts.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
{"version":3,"file":"paper-adapter.d.ts","sourceRoot":"","sources":["../../../src/adapter/paper/paper-adapter.ts"],"names":[],"mappings":"AAAA,OAAO,EAAW,kBAAkB,EAAE,IAAI,EAAE,KAAK,EAAE,MAAM,cAAc,CAAC;AACxE,OAAO,EAAK,OAAO,EAAE,SAAS,EAAE,MAAM,cAAc,CAAC;AACrD,OAAO,EAAqB,KAAK,EAAE,MAAM,aAAa,CAAC;AACvD,OAAO,EAAE,OAAO,EAAE,MAAM,IAAI,CAAC;AAC7B,OAAO,EAAE,cAAc,EAAE,iBAAiB,EAAE,MAAM,YAAY,CAAC;AAE/D,OAAO,EAAE,WAAW,EAAE,MAAM,uBAAuB,CAAC;AAEpD,MAAM,WAAW,YAAY;IAC3B,OAAO,EAAE;QAAE,CAAC,GAAG,EAAE,MAAM,GAAG,OAAO,CAAA;KAAE,CAAC;CACrC;AAED,wBAAgB,yBAAyB,CACvC,uBAAuB,EAAE,cAAc,EACvC,OAAO,EAAE,YAAY,GACpB,cAAc,CAGhB;AAED,qBAAa,YAAa,SAAQ,OAAO;IAKrC,QAAQ,CAAC,gBAAgB,EAAE,OAAO;IAClC,QAAQ,CAAC,KAAK,EAAE,KAAK;IACrB,QAAQ,CAAC,OAAO,EAAE,YAAY;IANhC,QAAQ,CAAC,IAAI,SAA8B;IAC3C,OAAO,CAAC,MAAM,CAAC,CAAc;gBAGlB,gBAAgB,EAAE,OAAO,EACzB,KAAK,EAAE,KAAK,EACZ,OAAO,EAAE,YAAY;IAO1B,KAAK,IAAI,OAAO,CAAC,IAAI,CAAC;IAM5B,OAAO,IAAI,OAAO,CAAC,IAAI,CAAC;IAIxB,SAAS,CAAC,WAAW,EAAE,kBAAkB,EAAE,GAAG,OAAO,CAAC,IAAI,CAAC;IAIrD,OAAO,IAAI,OAAO,CAAC,IAAI,CAAC;IA0BxB,IAAI,CAAC,KAAK,EAAE,KAAK,GAAG,OAAO,CAAC,IAAI,CAAC;IAQjC,MAAM,CAAC,KAAK,EAAE,KAAK,GAAG,OAAO,CAAC,IAAI,CAAC;IAQzC,OAAO,CACL,UAAU,EAAE,kBAAkB,EAC9B,SAAS,EAAE,MAAM,EACjB,MAAM,EAAE,MAAM,GACb,OAAO,CAAC,IAAI,EAAE,CAAC;IAIlB,IAAI,CACF,UAAU,EAAE,kBAAkB,EAC9B,IAAI,EAAE,SAAS,EACf,EAAE,EAAE,SAAS,EACb,QAAQ,EAAE,iBAAiB,GAC1B,OAAO,CAAC,IAAI,CAAC;IAIhB,iBAAiB,CAAC,OAAO,EAAE,YAAY,GAAG,WAAW;CAGtD"}
|
|
@@ -1,10 +1,20 @@
|
|
|
1
1
|
"use strict";
|
|
2
|
+
var __awaiter = (this && this.__awaiter) || function (thisArg, _arguments, P, generator) {
|
|
3
|
+
function adopt(value) { return value instanceof P ? value : new P(function (resolve) { resolve(value); }); }
|
|
4
|
+
return new (P || (P = Promise))(function (resolve, reject) {
|
|
5
|
+
function fulfilled(value) { try { step(generator.next(value)); } catch (e) { reject(e); } }
|
|
6
|
+
function rejected(value) { try { step(generator["throw"](value)); } catch (e) { reject(e); } }
|
|
7
|
+
function step(result) { result.done ? resolve(result.value) : adopt(result.value).then(fulfilled, rejected); }
|
|
8
|
+
step((generator = generator.apply(thisArg, _arguments || [])).next());
|
|
9
|
+
});
|
|
10
|
+
};
|
|
2
11
|
Object.defineProperty(exports, "__esModule", { value: true });
|
|
3
12
|
exports.PaperAdapter = exports.createPaperAdapterFactory = void 0;
|
|
4
13
|
const domain_1 = require("../../domain");
|
|
5
14
|
const shared_1 = require("../../shared");
|
|
6
15
|
const store_1 = require("../../store");
|
|
7
16
|
const __1 = require("..");
|
|
17
|
+
const error_1 = require("../error");
|
|
8
18
|
function createPaperAdapterFactory(decoratedAdapterFactory, options) {
|
|
9
19
|
return (timeProvider, store, cache) => new PaperAdapter(decoratedAdapterFactory(timeProvider, store, cache), store, options);
|
|
10
20
|
}
|
|
@@ -19,9 +29,11 @@ class PaperAdapter extends __1.Adapter {
|
|
|
19
29
|
this.options = options;
|
|
20
30
|
this.name = this.decoratedAdapter.name;
|
|
21
31
|
}
|
|
22
|
-
|
|
23
|
-
this
|
|
24
|
-
|
|
32
|
+
awake() {
|
|
33
|
+
return __awaiter(this, void 0, void 0, function* () {
|
|
34
|
+
this.engine = this.createPaperEngine(this);
|
|
35
|
+
yield this.decoratedAdapter.awake();
|
|
36
|
+
});
|
|
25
37
|
}
|
|
26
38
|
dispose() {
|
|
27
39
|
return this.decoratedAdapter.dispose();
|
|
@@ -29,26 +41,38 @@ class PaperAdapter extends __1.Adapter {
|
|
|
29
41
|
subscribe(instruments) {
|
|
30
42
|
return this.decoratedAdapter.subscribe(instruments);
|
|
31
43
|
}
|
|
32
|
-
|
|
33
|
-
|
|
34
|
-
|
|
35
|
-
const
|
|
36
|
-
|
|
37
|
-
|
|
44
|
+
account() {
|
|
45
|
+
return __awaiter(this, void 0, void 0, function* () {
|
|
46
|
+
let subscribed = Object.values(this.store.snapshot.subscription.asset).filter(it => it.adapterName == this.name);
|
|
47
|
+
for (const balance in this.options.balance) {
|
|
48
|
+
const asset = (0, domain_1.assetOf)(balance);
|
|
49
|
+
if (asset.adapterName != this.name) {
|
|
50
|
+
continue;
|
|
51
|
+
}
|
|
52
|
+
const free = this.options.balance[balance];
|
|
53
|
+
subscribed = subscribed.filter(it => it.id != asset.id);
|
|
54
|
+
this.store.dispatch(new store_1.BalancePatchEvent(asset, free, shared_1.d.Zero, this.timestamp()));
|
|
55
|
+
}
|
|
56
|
+
for (const missingAsset of subscribed) {
|
|
57
|
+
this.store.dispatch(new store_1.BalancePatchEvent(missingAsset, shared_1.d.Zero, shared_1.d.Zero, this.timestamp()));
|
|
38
58
|
}
|
|
39
|
-
|
|
40
|
-
subscribed = subscribed.filter(it => it.id != asset.id);
|
|
41
|
-
this.store.dispatch(new store_1.BalancePatchEvent(asset, free, shared_1.d.Zero, this.timestamp()));
|
|
42
|
-
}
|
|
43
|
-
for (const missingAsset of subscribed) {
|
|
44
|
-
this.store.dispatch(new store_1.BalancePatchEvent(missingAsset, shared_1.d.Zero, shared_1.d.Zero, this.timestamp()));
|
|
45
|
-
}
|
|
59
|
+
});
|
|
46
60
|
}
|
|
47
|
-
|
|
48
|
-
this
|
|
61
|
+
open(order) {
|
|
62
|
+
return __awaiter(this, void 0, void 0, function* () {
|
|
63
|
+
if (!this.engine) {
|
|
64
|
+
throw (0, error_1.noPaperEngineProvidedError)();
|
|
65
|
+
}
|
|
66
|
+
this.engine.open(order);
|
|
67
|
+
});
|
|
49
68
|
}
|
|
50
|
-
|
|
51
|
-
this
|
|
69
|
+
cancel(order) {
|
|
70
|
+
return __awaiter(this, void 0, void 0, function* () {
|
|
71
|
+
if (!this.engine) {
|
|
72
|
+
throw (0, error_1.noPaperEngineProvidedError)();
|
|
73
|
+
}
|
|
74
|
+
this.engine.cancel(order);
|
|
75
|
+
});
|
|
52
76
|
}
|
|
53
77
|
history(instrument, timeframe, length) {
|
|
54
78
|
return this.decoratedAdapter.history(instrument, timeframe, length);
|
|
@@ -61,4 +85,3 @@ class PaperAdapter extends __1.Adapter {
|
|
|
61
85
|
}
|
|
62
86
|
}
|
|
63
87
|
exports.PaperAdapter = PaperAdapter;
|
|
64
|
-
//# sourceMappingURL=paper-adapter.js.map
|
package/dist/cli/build.d.ts
CHANGED
|
@@ -0,0 +1 @@
|
|
|
1
|
+
{"version":3,"file":"build.d.ts","sourceRoot":"","sources":["../../src/cli/build.ts"],"names":[],"mappings":"AAIA,4BAAkC,OAAO,CAAC,MAAM,CAAC,CAUhD"}
|
package/dist/cli/build.js
CHANGED
|
@@ -1,16 +1,26 @@
|
|
|
1
1
|
"use strict";
|
|
2
|
+
var __awaiter = (this && this.__awaiter) || function (thisArg, _arguments, P, generator) {
|
|
3
|
+
function adopt(value) { return value instanceof P ? value : new P(function (resolve) { resolve(value); }); }
|
|
4
|
+
return new (P || (P = Promise))(function (resolve, reject) {
|
|
5
|
+
function fulfilled(value) { try { step(generator.next(value)); } catch (e) { reject(e); } }
|
|
6
|
+
function rejected(value) { try { step(generator["throw"](value)); } catch (e) { reject(e); } }
|
|
7
|
+
function step(result) { result.done ? resolve(result.value) : adopt(result.value).then(fulfilled, rejected); }
|
|
8
|
+
step((generator = generator.apply(thisArg, _arguments || [])).next());
|
|
9
|
+
});
|
|
10
|
+
};
|
|
2
11
|
Object.defineProperty(exports, "__esModule", { value: true });
|
|
3
12
|
const child_process_1 = require("child_process");
|
|
4
13
|
const workspace_1 = require("./internal/workspace");
|
|
5
|
-
|
|
6
|
-
return
|
|
7
|
-
|
|
8
|
-
|
|
9
|
-
|
|
14
|
+
function default_1() {
|
|
15
|
+
return __awaiter(this, void 0, void 0, function* () {
|
|
16
|
+
return new Promise((resolve, reject) => {
|
|
17
|
+
const process = (0, child_process_1.spawn)('swc', ['./src', '--out-dir', (0, workspace_1.buildDirectory)()], {
|
|
18
|
+
stdio: 'inherit',
|
|
19
|
+
shell: true
|
|
20
|
+
});
|
|
21
|
+
process.once('exit', resolve);
|
|
22
|
+
process.once('error', reject);
|
|
10
23
|
});
|
|
11
|
-
process.once('exit', resolve);
|
|
12
|
-
process.once('error', reject);
|
|
13
24
|
});
|
|
14
25
|
}
|
|
15
26
|
exports.default = default_1;
|
|
16
|
-
//# sourceMappingURL=build.js.map
|
package/dist/cli/dev.d.ts
CHANGED
|
@@ -0,0 +1 @@
|
|
|
1
|
+
{"version":3,"file":"dev.d.ts","sourceRoot":"","sources":["../../src/cli/dev.ts"],"names":[],"mappings":"AAQA,yBAA+B,IAAI,EAAE,MAAM,EAAE,OAAO,EAAE,GAAG,iBAiBxD"}
|
package/dist/cli/dev.js
CHANGED
|
@@ -1,17 +1,57 @@
|
|
|
1
1
|
"use strict";
|
|
2
|
+
var __createBinding = (this && this.__createBinding) || (Object.create ? (function(o, m, k, k2) {
|
|
3
|
+
if (k2 === undefined) k2 = k;
|
|
4
|
+
var desc = Object.getOwnPropertyDescriptor(m, k);
|
|
5
|
+
if (!desc || ("get" in desc ? !m.__esModule : desc.writable || desc.configurable)) {
|
|
6
|
+
desc = { enumerable: true, get: function() { return m[k]; } };
|
|
7
|
+
}
|
|
8
|
+
Object.defineProperty(o, k2, desc);
|
|
9
|
+
}) : (function(o, m, k, k2) {
|
|
10
|
+
if (k2 === undefined) k2 = k;
|
|
11
|
+
o[k2] = m[k];
|
|
12
|
+
}));
|
|
13
|
+
var __setModuleDefault = (this && this.__setModuleDefault) || (Object.create ? (function(o, v) {
|
|
14
|
+
Object.defineProperty(o, "default", { enumerable: true, value: v });
|
|
15
|
+
}) : function(o, v) {
|
|
16
|
+
o["default"] = v;
|
|
17
|
+
});
|
|
18
|
+
var __importStar = (this && this.__importStar) || function (mod) {
|
|
19
|
+
if (mod && mod.__esModule) return mod;
|
|
20
|
+
var result = {};
|
|
21
|
+
if (mod != null) for (var k in mod) if (k !== "default" && Object.prototype.hasOwnProperty.call(mod, k)) __createBinding(result, mod, k);
|
|
22
|
+
__setModuleDefault(result, mod);
|
|
23
|
+
return result;
|
|
24
|
+
};
|
|
25
|
+
var __awaiter = (this && this.__awaiter) || function (thisArg, _arguments, P, generator) {
|
|
26
|
+
function adopt(value) { return value instanceof P ? value : new P(function (resolve) { resolve(value); }); }
|
|
27
|
+
return new (P || (P = Promise))(function (resolve, reject) {
|
|
28
|
+
function fulfilled(value) { try { step(generator.next(value)); } catch (e) { reject(e); } }
|
|
29
|
+
function rejected(value) { try { step(generator["throw"](value)); } catch (e) { reject(e); } }
|
|
30
|
+
function step(result) { result.done ? resolve(result.value) : adopt(result.value).then(fulfilled, rejected); }
|
|
31
|
+
step((generator = generator.apply(thisArg, _arguments || [])).next());
|
|
32
|
+
});
|
|
33
|
+
};
|
|
34
|
+
var __importDefault = (this && this.__importDefault) || function (mod) {
|
|
35
|
+
return (mod && mod.__esModule) ? mod : { "default": mod };
|
|
36
|
+
};
|
|
2
37
|
Object.defineProperty(exports, "__esModule", { value: true });
|
|
3
|
-
const
|
|
4
|
-
const
|
|
38
|
+
const path_1 = require("path");
|
|
39
|
+
const __1 = require("..");
|
|
40
|
+
const session_builder_1 = require("../domain/session-builder");
|
|
41
|
+
const shared_1 = require("../shared");
|
|
42
|
+
const build_1 = __importDefault(require("./build"));
|
|
5
43
|
const workspace_1 = require("./internal/workspace");
|
|
6
|
-
|
|
7
|
-
|
|
8
|
-
|
|
9
|
-
|
|
10
|
-
|
|
11
|
-
|
|
12
|
-
|
|
13
|
-
|
|
14
|
-
|
|
44
|
+
function default_1(name, options) {
|
|
45
|
+
return __awaiter(this, void 0, void 0, function* () {
|
|
46
|
+
if (yield (0, build_1.default)()) {
|
|
47
|
+
return;
|
|
48
|
+
}
|
|
49
|
+
yield Promise.resolve().then(() => __importStar(require((0, path_1.join)((0, workspace_1.buildDirectory)(), 'index'))));
|
|
50
|
+
const builder = new session_builder_1.SessionBuilder().useSessionId(options.id ? Number(options.id) : (0, shared_1.now)());
|
|
51
|
+
const rules = yield (0, __1.spawn)(name, builder);
|
|
52
|
+
const session = builder.paper();
|
|
53
|
+
yield session.awake();
|
|
54
|
+
rules(session).subscribe();
|
|
55
|
+
});
|
|
15
56
|
}
|
|
16
57
|
exports.default = default_1;
|
|
17
|
-
//# sourceMappingURL=dev.js.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
{"version":3,"file":"error.d.ts","sourceRoot":"","sources":["../../src/cli/error.ts"],"names":[],"mappings":"AAAA,wBAAgB,+BAA+B,CAAC,aAAa,EAAE,MAAM,SAIpE"}
|
|
@@ -0,0 +1,7 @@
|
|
|
1
|
+
"use strict";
|
|
2
|
+
Object.defineProperty(exports, "__esModule", { value: true });
|
|
3
|
+
exports.missingDescriptorParameterError = void 0;
|
|
4
|
+
function missingDescriptorParameterError(parameterName) {
|
|
5
|
+
return new Error(`please set a "${parameterName}" date in session descriptor or provide the date as parameter.`);
|
|
6
|
+
}
|
|
7
|
+
exports.missingDescriptorParameterError = missingDescriptorParameterError;
|
package/dist/cli/index.d.ts
CHANGED
|
@@ -0,0 +1 @@
|
|
|
1
|
+
{"version":3,"file":"index.d.ts","sourceRoot":"","sources":["../../src/cli/index.ts"],"names":[],"mappings":""}
|