@quantform/core 0.5.23 → 0.6.5

package/dist/domain/{position.operator.d.ts → position-operator.d.ts}

@@ -1,11 +1,13 @@
 import { Observable } from 'rxjs';
 import { decimal } from '../shared';
 import { State } from '../store';
+import { Component } from './component';
 import { InstrumentSelector } from './instrument';
 import { Position } from './position';
-export declare function position(selector: InstrumentSelector): (source: Observable<Position>) => Observable<Readonly<Position>>;
-export declare function positions(selector: InstrumentSelector, state: State): (source: Observable<Position>) => Observable<Position[]>;
+export declare function position(selector: InstrumentSelector): (source: Observable<Component>) => Observable<Readonly<Position>>;
+export declare function positions(selector: InstrumentSelector, state: State): (source: Observable<Component>) => Observable<Readonly<Position>[]>;
 export declare function flatten(): (source: Observable<Position[]>) => Observable<{
     size: decimal;
     rate: decimal;
 }>;
+//# sourceMappingURL=position-operator.d.ts.map

package/dist/domain/position-operator.d.ts.map

@@ -0,0 +1 @@
+{"version":3,"file":"position-operator.d.ts","sourceRoot":"","sources":["../../src/domain/position-operator.ts"],"names":[],"mappings":"AAAA,OAAO,EAAe,UAAU,EAAoB,MAAM,MAAM,CAAC;AAEjE,OAAO,EAAK,OAAO,EAAgB,MAAM,WAAW,CAAC;AACrD,OAAO,EAAE,KAAK,EAAE,MAAM,UAAU,CAAC;AACjC,OAAO,EAAE,SAAS,EAAE,MAAM,aAAa,CAAC;AAExC,OAAO,EAAE,kBAAkB,EAAE,MAAM,cAAc,CAAC;AAClD,OAAO,EAAE,QAAQ,EAAE,MAAM,YAAY,CAAC;AAEtC,wBAAgB,QAAQ,CAAC,QAAQ,EAAE,kBAAkB,YACnC,WAAW,SAAS,CAAC,oCAKtC;AAED,wBAAgB,SAAS,CAAC,QAAQ,EAAE,kBAAkB,EAAE,KAAK,EAAE,KAAK,YAWlD,WAAW,SAAS,CAAC,sCAMtC;AAED,wBAAgB,OAAO,aAEX,WAAW,QAAQ,EAAE,CAAC,KAC7B,WAAW;IAAE,IAAI,EAAE,OAAO,CAAC;IAAC,IAAI,EAAE,OAAO,CAAA;CAAE,CAAC,CA+BhD"}

package/dist/domain/{position.operator.js → position-operator.js}

@@ -3,12 +3,20 @@ Object.defineProperty(exports, "__esModule", { value: true });
 exports.flatten = exports.positions = exports.position = void 0;
 const rxjs_1 = require("rxjs");
 const shared_1 = require("../shared");
+const error_1 = require("./error");
+const position_1 = require("./position");
 function position(selector) {
-    return (source) => source.pipe((0, rxjs_1.filter)(it => it.kind == 'position' && it.instrument.id == selector.id), (0, rxjs_1.map)(it => it));
+    return (source) => source.pipe((0, rxjs_1.filter)(it => it instanceof position_1.Position && it.instrument.id == selector.id), (0, rxjs_1.map)(it => it));
 }
 exports.position = position;
 function positions(selector, state) {
-    const getter = () => Object.values(state.balance.get(selector.quote.id).position).filter(it => it.instrument.id == selector.id);
+    const balance = state.balance.get(selector.quote.id);
+    if (!balance) {
+        throw (0, error_1.invalidInstrumentSelectorError)(selector.id);
+    }
+    const getter = () => Object.values(balance.position)
+        .filter(it => it.instrument.id == selector.id)
+        .map(it => it);
     return (source) => source.pipe(position(selector), (0, rxjs_1.map)(() => getter()), (0, rxjs_1.startWith)(getter()));
 }
 exports.positions = positions;
@@ -35,4 +43,3 @@ function flatten() {
     };
 }
 exports.flatten = flatten;
-//# sourceMappingURL=position.operator.js.map

package/dist/domain/position.d.ts

@@ -1,19 +1,18 @@
 import { Instrument } from '../domain';
-import { decimal, timestamp } from '../shared';
+import { decimal } from '../shared';
 import { Component } from './component';
 export declare type PositionMode = 'CROSS' | 'ISOLATED';
 export declare class Position implements Component {
+    timestamp: number;
     readonly id: string;
     readonly instrument: Instrument;
     readonly mode: PositionMode;
     averageExecutionRate: decimal;
     size: decimal;
     leverage: number;
-    kind: string;
-    timestamp: timestamp;
     estimatedUnrealizedPnL?: decimal;
     get margin(): decimal;
-    constructor(id: string, instrument: Instrument, mode: PositionMode, averageExecutionRate: decimal, size: decimal, leverage: number);
+    constructor(timestamp: number, id: string, instrument: Instrument, mode: PositionMode, averageExecutionRate: decimal, size: decimal, leverage: number);
     calculateEstimatedUnrealizedPnL(rate: decimal): decimal;
-    toString(): string;
 }
+//# sourceMappingURL=position.d.ts.map

package/dist/domain/position.d.ts.map

@@ -0,0 +1 @@
+{"version":3,"file":"position.d.ts","sourceRoot":"","sources":["../../src/domain/position.ts"],"names":[],"mappings":"AAAA,OAAO,EAAE,UAAU,EAAE,MAAM,WAAW,CAAC;AACvC,OAAO,EAAE,OAAO,EAAO,MAAM,WAAW,CAAC;AACzC,OAAO,EAAE,SAAS,EAAE,MAAM,aAAa,CAAC;AAExC,oBAAY,YAAY,GAAG,OAAO,GAAG,UAAU,CAAC;AAEhD,qBAAa,QAAS,YAAW,SAAS;IAQ/B,SAAS,EAAE,MAAM;IACxB,QAAQ,CAAC,EAAE,EAAE,MAAM;IACnB,QAAQ,CAAC,UAAU,EAAE,UAAU;IAC/B,QAAQ,CAAC,IAAI,EAAE,YAAY;IACpB,oBAAoB,EAAE,OAAO;IAC7B,IAAI,EAAE,OAAO;IACb,QAAQ,EAAE,MAAM;IAbzB,sBAAsB,CAAC,EAAE,OAAO,CAAC;IAEjC,IAAI,MAAM,IAAI,OAAO,CAEpB;gBAGQ,SAAS,EAAE,MAAM,EACf,EAAE,EAAE,MAAM,EACV,UAAU,EAAE,UAAU,EACtB,IAAI,EAAE,YAAY,EACpB,oBAAoB,EAAE,OAAO,EAC7B,IAAI,EAAE,OAAO,EACb,QAAQ,EAAE,MAAM;IAGzB,+BAA+B,CAAC,IAAI,EAAE,OAAO,GAAG,OAAO;CAOxD"}

package/dist/domain/position.js

@@ -3,14 +3,14 @@ Object.defineProperty(exports, "__esModule", { value: true });
 exports.Position = void 0;
 const shared_1 = require("../shared");
 class Position {
-    constructor(id, instrument, mode, averageExecutionRate, size, leverage) {
+    constructor(timestamp, id, instrument, mode, averageExecutionRate, size, leverage) {
+        this.timestamp = timestamp;
         this.id = id;
         this.instrument = instrument;
         this.mode = mode;
         this.averageExecutionRate = averageExecutionRate;
         this.size = size;
         this.leverage = leverage;
-        this.kind = 'position';
     }
     get margin() {
         return this.instrument.quote.floor(this.size.abs().div(this.leverage));
@@ -19,9 +19,5 @@ class Position {
         this.estimatedUnrealizedPnL = this.instrument.quote.floor((0, shared_1.pnl)(this.averageExecutionRate, rate, this.size));
         return this.estimatedUnrealizedPnL;
     }
-    toString() {
-        return this.id;
-    }
 }
 exports.Position = Position;
-//# sourceMappingURL=position.js.map

package/dist/domain/session-builder.d.ts

@@ -0,0 +1,54 @@
+import { AdapterFactory, BacktesterListener, BacktesterStreamer } from '../adapter';
+import { decimal } from '../shared';
+import { StorageFactory } from '../storage';
+import { AssetSelector } from './asset';
+import { Session } from './session';
+export declare type SessionFeature = (builder: SessionBuilder) => void;
+export declare function deposit(selector: AssetSelector, amount: decimal): SessionFeature;
+export declare function period(from: Date, to?: Date): SessionFeature;
+export declare class SessionBuilder {
+    id: number;
+    adapter: AdapterFactory[];
+    storage: StorageFactory;
+    balance: Record<string, decimal>;
+    period: {
+        from: number;
+        to: number;
+    };
+    /**
+     * Unique session identifier, used to identify session in the storage.
+     * You can generate new id every time you start the new session or provide
+     * session id explicitly to resume previous session (in code or via CLI).
+     * If you don't provide session id, it will generate new one based on time.
+     */
+    useSessionId(id: number): SessionBuilder;
+    /**
+     * Collection of adapters used to connect to the exchanges.
+     */
+    useAdapter(adapter: AdapterFactory): SessionBuilder;
+    /**
+     * Provides historical data for backtest, it's not required for live and paper
+     * sessions. Stores session variables i.e. indicators, orders, or any other type of time
+     * series data. You can install @quantform/editor to render this data in your browser.
+     */
+    useStorage(storage: StorageFactory): SessionBuilder;
+    useBalance(selector: AssetSelector, amount: decimal): SessionBuilder;
+    usePeriod(from: number, to: number): SessionBuilder;
+    /**
+     * Starts a new backtest session.
+     * @param listener backtest event listener.
+     * @returns new session object.
+     */
+    backtest(listener?: BacktesterListener): [Session, BacktesterStreamer];
+    /**
+     * Starts a new paper session.
+     * @returns new session object.
+     */
+    paper(): Session;
+    /**
+     * Starts a new live session.
+     * @returns new session object.
+     */
+    live(): Session;
+}
+//# sourceMappingURL=session-builder.d.ts.map

package/dist/domain/session-builder.d.ts.map

@@ -0,0 +1 @@
+{"version":3,"file":"session-builder.d.ts","sourceRoot":"","sources":["../../src/domain/session-builder.ts"],"names":[],"mappings":"AAAA,OAAO,EAEL,cAAc,EACd,kBAAkB,EAClB,kBAAkB,EAInB,MAAM,YAAY,CAAC;AACpB,OAAO,EAAE,OAAO,EAAO,MAAM,WAAW,CAAC;AACzC,OAAO,EAKL,cAAc,EACf,MAAM,YAAY,CAAC;AAEpB,OAAO,EAAE,aAAa,EAAE,MAAM,SAAS,CAAC;AACxC,OAAO,EAAE,OAAO,EAAE,MAAM,WAAW,CAAC;AAEpC,oBAAY,cAAc,GAAG,CAAC,OAAO,EAAE,cAAc,KAAK,IAAI,CAAC;AAE/D,wBAAgB,OAAO,CAAC,QAAQ,EAAE,aAAa,EAAE,MAAM,EAAE,OAAO,GAAG,cAAc,CAIhF;AAED,wBAAgB,MAAM,CAAC,IAAI,EAAE,IAAI,EAAE,EAAE,CAAC,EAAE,IAAI,GAAG,cAAc,CAI5D;AAED,qBAAa,cAAc;IAClB,EAAE,EAAE,MAAM,CAAS;IACnB,OAAO,mBAA+B;IACtC,OAAO,EAAE,cAAc,CAA4B;IACnD,OAAO,EAAE,MAAM,CAAC,MAAM,EAAE,OAAO,CAAC,CAAM;IACtC,MAAM;;;MAGX;IAEF;;;;;OAKG;IACH,YAAY,CAAC,EAAE,EAAE,MAAM,GAAG,cAAc;IAMxC;;OAEG;IACH,UAAU,CAAC,OAAO,EAAE,cAAc,GAAG,cAAc;IAMnD;;;;OAIG;IACH,UAAU,CAAC,OAAO,EAAE,cAAc,GAAG,cAAc;IAMnD,UAAU,CAAC,QAAQ,EAAE,aAAa,EAAE,MAAM,EAAE,OAAO,GAAG,cAAc;IAMpE,SAAS,CAAC,IAAI,EAAE,MAAM,EAAE,EAAE,EAAE,MAAM,GAAG,cAAc;IAOnD;;;;OAIG;IACH,QAAQ,CAAC,QAAQ,CAAC,EAAE,kBAAkB,GAAG,CAAC,OAAO,EAAE,kBAAkB,CAAC;IAyBtE;;;OAGG;IACH,KAAK,IAAI,OAAO;IAehB;;;OAGG;IACH,IAAI,IAAI,OAAO;CAchB"}

package/dist/domain/session-builder.js

@@ -0,0 +1,106 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.SessionBuilder = exports.period = exports.deposit = void 0;
+const adapter_1 = require("../adapter");
+const shared_1 = require("../shared");
+const storage_1 = require("../storage");
+const store_1 = require("../store");
+const session_1 = require("./session");
+function deposit(selector, amount) {
+    return (builder) => {
+        builder.useBalance(selector, amount);
+    };
+}
+exports.deposit = deposit;
+function period(from, to) {
+    return (builder) => {
+        var _a;
+        builder.usePeriod(from.getTime(), (_a = to === null || to === void 0 ? void 0 : to.getTime()) !== null && _a !== void 0 ? _a : (0, shared_1.now)());
+    };
+}
+exports.period = period;
+class SessionBuilder {
+    constructor() {
+        this.id = (0, shared_1.now)();
+        this.adapter = new Array();
+        this.storage = (0, storage_1.inMemoryStorageFactory)();
+        this.balance = {};
+        this.period = {
+            from: 0,
+            to: Number.MAX_VALUE
+        };
+    }
+    /**
+     * Unique session identifier, used to identify session in the storage.
+     * You can generate new id every time you start the new session or provide
+     * session id explicitly to resume previous session (in code or via CLI).
+     * If you don't provide session id, it will generate new one based on time.
+     */
+    useSessionId(id) {
+        this.id = id;
+        return this;
+    }
+    /**
+     * Collection of adapters used to connect to the exchanges.
+     */
+    useAdapter(adapter) {
+        this.adapter.push(adapter);
+        return this;
+    }
+    /**
+     * Provides historical data for backtest, it's not required for live and paper
+     * sessions. Stores session variables i.e. indicators, orders, or any other type of time
+     * series data. You can install @quantform/editor to render this data in your browser.
+     */
+    useStorage(storage) {
+        this.storage = storage;
+        return this;
+    }
+    useBalance(selector, amount) {
+        this.balance[selector.id] = amount;
+        return this;
+    }
+    usePeriod(from, to) {
+        this.period.from = from;
+        this.period.to = to;
+        return this;
+    }
+    /**
+     * Starts a new backtest session.
+     * @param listener backtest event listener.
+     * @returns new session object.
+     */
+    backtest(listener) {
+        const store = new store_1.Store();
+        const feed = new storage_1.Feed(this.storage('feed'));
+        const cache = new storage_1.Cache(this.storage('cache'));
+        const measurement = new storage_1.Measurement(this.storage('measurement'));
+        const streamer = new adapter_1.BacktesterStreamer(store, feed, this.period, listener);
+        const aggregate = new adapter_1.AdapterAggregate(this.adapter.map(it => (0, adapter_1.createBacktesterAdapterFactory)((0, adapter_1.createPaperAdapterFactory)(it, { balance: this.balance }), streamer)), streamer.getTimeProvider(), store, cache);
+        const session = new session_1.Session(this.id, store, aggregate, measurement);
+        return [session, streamer];
+    }
+    /**
+     * Starts a new paper session.
+     * @returns new session object.
+     */
+    paper() {
+        const store = new store_1.Store();
+        const cache = new storage_1.Cache(this.storage('cache'));
+        const measurement = new storage_1.Measurement(this.storage('measurement'));
+        const aggregate = new adapter_1.AdapterAggregate(this.adapter.map(it => (0, adapter_1.createPaperAdapterFactory)(it, { balance: this.balance })), adapter_1.DefaultTimeProvider, store, cache);
+        return new session_1.Session(this.id, store, aggregate, measurement);
+    }
+    /**
+     * Starts a new live session.
+     * @returns new session object.
+     */
+    live() {
+        const store = new store_1.Store();
+        const cache = new storage_1.Cache(this.storage('cache'));
+        const measurement = new storage_1.Measurement(this.storage('measurement'));
+        const aggregate = new adapter_1.AdapterAggregate(this.adapter, adapter_1.DefaultTimeProvider, store, cache);
+        return new session_1.Session(this.id, store, aggregate, measurement);
+    }
+}
+exports.SessionBuilder = SessionBuilder;

package/dist/domain/session.d.ts

@@ -1,36 +1,77 @@
 import { Observable } from 'rxjs';
-import { AdapterFactory, BacktesterOptions, PaperOptions } from '../adapter';
 import { AdapterAggregate } from '../adapter/adapter-aggregate';
-import { AssetSelector, Balance, Candle, Instrument, InstrumentSelector, Order, Orderbook, Position, Trade } from '../domain';
-import { StorageFactory } from '../storage';
+import { AssetSelector, Balance, Instrument, InstrumentSelector, Ohlc, Order, Orderbook, Position, Trade } from '../domain';
+import { decimal } from '../shared';
+import { Measurement } from '../storage';
 import { Store } from '../store';
-export interface SessionDescriptor {
-    id?: number;
-    adapter: AdapterFactory[];
-    storage?: StorageFactory;
-    simulation?: PaperOptions & BacktesterOptions;
-}
+declare type Optional<T, K extends keyof T> = Omit<T, K> & Partial<T>;
 export declare class Session {
+    readonly id: number;
     readonly store: Store;
     readonly aggregate: AdapterAggregate;
-    readonly descriptor?: SessionDescriptor;
+    readonly measurement: Measurement | undefined;
     private initialized;
-    private subscription;
     get timestamp(): number;
-    constructor(store: Store, aggregate: AdapterAggregate, descriptor?: SessionDescriptor);
-    awake(describe: (session: Session) => Observable<any>): Promise<void>;
+    constructor(id: number, store: Store, aggregate: AdapterAggregate, measurement: Measurement | undefined);
+    awake(): Promise<void>;
     dispose(): Promise<void>;
+    /**
+     * Subscribes to specific instrument. Usually forces adapter to subscribe
+     * for orderbook and ticker streams.
+     */
     subscribe(instrument: Array<InstrumentSelector>): Promise<void>;
-    open(order: Order): Observable<Readonly<Order>>;
+    /**
+     * Opens a new order.
+     */
+    open(order: {
+        instrument: InstrumentSelector;
+        quantity: decimal;
+        rate?: decimal;
+    }): Observable<Readonly<Order>>;
+    /**
+     * Cancels specific order.
+     */
     cancel(order: Order): Observable<Readonly<Order>>;
+    /**
+     * Subscribes to specific instrument changes.
+     * When adapter awake then it will fetch collection of all available instruments.
+     */
     instrument(selector: InstrumentSelector): Observable<Readonly<Instrument>>;
+    /**
+     * Subscribes to instruments changes.
+     * When adapter awake then it will fetch collection of all available instruments.
+     */
     instruments(): Observable<Readonly<Instrument[]>>;
+    /**
+     * Subscribes to balance changes.
+     */
     balance(selector: AssetSelector): Observable<Readonly<Balance>>;
+    /**
+     * Subscribes to trade/ticker changes.
+     */
     trade(selector: InstrumentSelector): Observable<Readonly<Trade>>;
+    /**
+     * Subscribes to orderbook changes.
+     * Right now you can access only best bid and best ask.
+     */
     orderbook(selector: InstrumentSelector): Observable<Readonly<Orderbook>>;
+    /**
+     * Subscribes to position on leveraged market.
+     */
     position(selector: InstrumentSelector): Observable<Readonly<Position>>;
+    /**
+     * Subscribes to positions on leveraged markets.
+     */
     positions(selector: InstrumentSelector): Observable<Readonly<Position[]>>;
     order(selector: InstrumentSelector): Observable<Readonly<Order>>;
     orders(selector: InstrumentSelector): Observable<Readonly<Order[]>>;
-    history(selector: InstrumentSelector, timeframe: number, length: number): Observable<Readonly<Candle>>;
+    history(selector: InstrumentSelector, timeframe: number, length: number): Observable<Readonly<Ohlc>>;
+    measure<T extends {
+        timestamp: number;
+    }>(spec: {
+        kind: string;
+        timestamp?: number;
+    }, defaultValue?: Optional<T, 'timestamp'>): [Observable<T>, (value: T) => void];
 }
+export {};
+//# sourceMappingURL=session.d.ts.map

package/dist/domain/session.d.ts.map

@@ -0,0 +1 @@
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package/dist/domain/session.js

@@ -1,83 +1,125 @@
 "use strict";
+var __awaiter = (this && this.__awaiter) || function (thisArg, _arguments, P, generator) {
+    function adopt(value) { return value instanceof P ? value : new P(function (resolve) { resolve(value); }); }
+    return new (P || (P = Promise))(function (resolve, reject) {
+        function fulfilled(value) { try { step(generator.next(value)); } catch (e) { reject(e); } }
+        function rejected(value) { try { step(generator["throw"](value)); } catch (e) { reject(e); } }
+        function step(result) { result.done ? resolve(result.value) : adopt(result.value).then(fulfilled, rejected); }
+        step((generator = generator.apply(thisArg, _arguments || [])).next());
+    });
+};
 Object.defineProperty(exports, "__esModule", { value: true });
 exports.Session = void 0;
 const rxjs_1 = require("rxjs");
+const uuid_1 = require("uuid");
 const domain_1 = require("../domain");
-const shared_1 = require("../shared");
-const balance_operator_1 = require("./balance.operator");
-const instrument_operator_1 = require("./instrument.operator");
-const order_operator_1 = require("./order.operator");
-const orderbook_operator_1 = require("./orderbook.operator");
-const position_operator_1 = require("./position.operator");
-const trade_operator_1 = require("./trade.operator");
+const balance_operator_1 = require("./balance-operator");
+const instrument_operator_1 = require("./instrument-operator");
+const order_operator_1 = require("./order-operator");
+const orderbook_operator_1 = require("./orderbook-operator");
+const position_operator_1 = require("./position-operator");
+const trade_operator_1 = require("./trade-operator");
 class Session {
-    constructor(store, aggregate, descriptor) {
+    constructor(id, store, aggregate, measurement) {
+        this.id = id;
         this.store = store;
         this.aggregate = aggregate;
-        this.descriptor = descriptor;
+        this.measurement = measurement;
         this.initialized = false;
-        if (descriptor && !descriptor.id) {
-            descriptor.id = (0, shared_1.now)();
-        }
     }
     get timestamp() {
         return this.store.snapshot.timestamp;
     }
-    async awake(describe) {
-        if (this.initialized) {
-            return;
-        }
-        this.initialized = true;
-        await this.aggregate.awake();
-        if (describe) {
-            this.subscription = describe(this)
-                .pipe((0, rxjs_1.finalize)(() => this.dispose()))
-                .subscribe();
-        }
-    }
-    async dispose() {
-        if (!this.initialized) {
-            return;
-        }
-        if (this.subscription) {
-            this.subscription.unsubscribe();
-            this.subscription = undefined;
-        }
-        this.store.dispose();
-        await this.aggregate.dispose();
-        this.initialized = false;
-    }
+    awake() {
+        return __awaiter(this, void 0, void 0, function* () {
+            if (this.initialized) {
+                return;
+            }
+            this.initialized = true;
+            // awake all adapters and synchronize trading accounts with store.
+            yield this.aggregate.awake();
+        });
+    }
+    dispose() {
+        return __awaiter(this, void 0, void 0, function* () {
+            if (!this.initialized) {
+                return;
+            }
+            this.store.dispose();
+            yield this.aggregate.dispose();
+            this.initialized = false;
+        });
+    }
+    /**
+     * Subscribes to specific instrument. Usually forces adapter to subscribe
+     * for orderbook and ticker streams.
+     */
     subscribe(instrument) {
         return this.aggregate.subscribe(instrument);
     }
+    /**
+     * Opens a new order.
+     */
     open(order) {
-        return (0, rxjs_1.from)(this.aggregate.open(order)).pipe((0, rxjs_1.switchMap)(() => this.order(order.instrument).pipe((0, rxjs_1.filter)(it => it.id == order.id))));
+        const instrument = this.store.snapshot.universe.instrument.get(order.instrument.id);
+        if (!instrument) {
+            throw (0, domain_1.invalidInstrumentSelectorError)(order.instrument.id);
+        }
+        const newOrder = new domain_1.Order(this.timestamp, (0, uuid_1.v4)(), instrument, order.quantity, this.timestamp, order.rate);
+        return (0, rxjs_1.of)(newOrder).pipe((0, rxjs_1.switchMap)(() => this.aggregate.open(newOrder)), (0, rxjs_1.switchMap)(() => this.order(order.instrument).pipe((0, rxjs_1.filter)(it => it.id == newOrder.id))));
     }
+    /**
+     * Cancels specific order.
+     */
     cancel(order) {
-        return (0, rxjs_1.defer)(() => (0, rxjs_1.from)(this.aggregate.cancel(order))).pipe((0, rxjs_1.switchMap)(() => this.store.changes$.pipe((0, rxjs_1.filter)(it => it instanceof domain_1.Order && order.id == it.id))), (0, rxjs_1.map)(it => it));
+        return (0, rxjs_1.defer)(() => (0, rxjs_1.from)(this.aggregate.cancel(order))).pipe((0, rxjs_1.switchMap)(() => this.order(order.instrument).pipe((0, rxjs_1.filter)(it => it.id == order.id))));
     }
+    /**
+     * Subscribes to specific instrument changes.
+     * When adapter awake then it will fetch collection of all available instruments.
+     */
     instrument(selector) {
         this.subscribe([selector]);
         return this.store.changes$.pipe((0, instrument_operator_1.instrument)(selector, this.store.snapshot));
     }
+    /**
+     * Subscribes to instruments changes.
+     * When adapter awake then it will fetch collection of all available instruments.
+     */
     instruments() {
         return this.store.changes$.pipe((0, instrument_operator_1.instruments)(this.store.snapshot));
     }
+    /**
+     * Subscribes to balance changes.
+     */
     balance(selector) {
         return this.store.changes$.pipe((0, balance_operator_1.balance)(selector, this.store.snapshot));
     }
+    /**
+     * Subscribes to trade/ticker changes.
+     */
     trade(selector) {
         this.subscribe([selector]);
         return this.store.changes$.pipe((0, trade_operator_1.trade)(selector, this.store.snapshot));
     }
+    /**
+     * Subscribes to orderbook changes.
+     * Right now you can access only best bid and best ask.
+     */
     orderbook(selector) {
         this.subscribe([selector]);
         return this.store.changes$.pipe((0, orderbook_operator_1.orderbook)(selector, this.store.snapshot));
     }
+    /**
+     * Subscribes to position on leveraged market.
+     */
     position(selector) {
         this.subscribe([selector]);
         return this.store.changes$.pipe((0, position_operator_1.position)(selector));
     }
+    /**
+     * Subscribes to positions on leveraged markets.
+     */
     positions(selector) {
         this.subscribe([selector]);
         return this.store.changes$.pipe((0, position_operator_1.positions)(selector, this.store.snapshot));
@@ -93,6 +135,28 @@ class Session {
     history(selector, timeframe, length) {
         return this.store.changes$.pipe((0, rxjs_1.startWith)(this.store.snapshot.universe.instrument.get(selector.id)), (0, rxjs_1.filter)(it => it instanceof domain_1.Instrument && it.id == selector.id), (0, rxjs_1.switchMap)(() => (0, rxjs_1.from)(this.aggregate.history(selector, timeframe, length))), (0, rxjs_1.take)(1), (0, rxjs_1.shareReplay)(), (0, rxjs_1.mergeMap)(it => it));
     }
+    measure(spec, defaultValue) {
+        var _a;
+        if (!this.measurement) {
+            throw new Error();
+        }
+        const changes$ = new rxjs_1.ReplaySubject();
+        const persisted$ = (0, rxjs_1.from)(this.measurement.query(this.id, {
+            to: (_a = spec.timestamp) !== null && _a !== void 0 ? _a : this.timestamp,
+            kind: spec.kind,
+            count: 1
+        })).pipe((0, rxjs_1.map)(it => it.length ? Object.assign({ timestamp: it[0].timestamp }, it[0].payload) : defaultValue), (0, rxjs_1.share)());
+        const setter = (value) => {
+            var _a, _b;
+            const timestamp = (_a = value.timestamp) !== null && _a !== void 0 ? _a : this.timestamp;
+            const measure = { timestamp, kind: spec.kind, payload: value };
+            (_b = this.measurement) === null || _b === void 0 ? void 0 : _b.save(this.id, [measure]);
+            changes$.next(Object.assign(Object.assign({}, value), { timestamp }));
+        };
+        return [
+            (0, rxjs_1.concat)(persisted$, changes$.asObservable()).pipe((0, rxjs_1.filter)(it => it !== undefined)),
+            setter
+        ];
+    }
 }
 exports.Session = Session;
-//# sourceMappingURL=session.js.map

package/dist/domain/timeframe.d.ts

@@ -12,3 +12,4 @@ export declare class Timeframe {
     static W1: number;
 }
 export declare function tf(timestamp: number, timeframe: number): number;
+//# sourceMappingURL=timeframe.d.ts.map

package/dist/domain/timeframe.d.ts.map

@@ -0,0 +1 @@
+{"version":3,"file":"timeframe.d.ts","sourceRoot":"","sources":["../../src/domain/timeframe.ts"],"names":[],"mappings":"AAAA,qBAAa,SAAS;IACpB,MAAM,CAAC,EAAE,SAAQ;IACjB,MAAM,CAAC,EAAE,SAAqB;IAC9B,MAAM,CAAC,EAAE,SAAoB;IAC7B,MAAM,CAAC,GAAG,SAAoB;IAC9B,MAAM,CAAC,GAAG,SAAqB;IAC/B,MAAM,CAAC,EAAE,SAAqB;IAC9B,MAAM,CAAC,EAAE,SAAoB;IAC7B,MAAM,CAAC,EAAE,SAAoB;IAC7B,MAAM,CAAC,GAAG,SAAoB;IAC9B,MAAM,CAAC,EAAE,SAAqB;IAC9B,MAAM,CAAC,EAAE,SAAoB;CAC9B;AAED,wBAAgB,EAAE,CAAC,SAAS,EAAE,MAAM,EAAE,SAAS,EAAE,MAAM,GAAG,MAAM,CAE/D"}

package/dist/domain/timeframe.js

@@ -19,4 +19,3 @@ function tf(timestamp, timeframe) {
     return timestamp - (timestamp % timeframe);
 }
 exports.tf = tf;
-//# sourceMappingURL=timeframe.js.map

package/dist/domain/{trade.operator.d.ts → trade-operator.d.ts}

@@ -4,3 +4,4 @@ import { Component } from './component';
 import { InstrumentSelector } from './instrument';
 import { Trade } from './trade';
 export declare function trade(selector: InstrumentSelector, state: State): (source$: Observable<Component>) => Observable<Trade>;
+//# sourceMappingURL=trade-operator.d.ts.map

package/dist/domain/trade-operator.d.ts.map

@@ -0,0 +1 @@
+{"version":3,"file":"trade-operator.d.ts","sourceRoot":"","sources":["../../src/domain/trade-operator.ts"],"names":[],"mappings":"AAAA,OAAO,EAAe,UAAU,EAAa,MAAM,MAAM,CAAC;AAE1D,OAAO,EAAE,KAAK,EAAE,MAAM,UAAU,CAAC;AACjC,OAAO,EAAE,SAAS,EAAE,MAAM,aAAa,CAAC;AACxC,OAAO,EAAE,kBAAkB,EAAE,MAAM,cAAc,CAAC;AAClD,OAAO,EAAE,KAAK,EAAE,MAAM,SAAS,CAAC;AAEhC,wBAAgB,KAAK,CAAC,QAAQ,EAAE,kBAAkB,EAAE,KAAK,EAAE,KAAK,aAC7C,WAAW,SAAS,CAAC,uBAMvC"}

package/dist/domain/{trade.operator.js → trade-operator.js}

@@ -7,4 +7,3 @@ function trade(selector, state) {
     return (source$) => source$.pipe((0, rxjs_1.startWith)(state.trade.get(selector.id)), (0, rxjs_1.filter)(it => it instanceof trade_1.Trade && it.instrument.id == selector.id), (0, rxjs_1.map)(it => it));
 }
 exports.trade = trade;
-//# sourceMappingURL=trade.operator.js.map

package/dist/domain/trade.d.ts

@@ -1,13 +1,16 @@
-import { decimal, timestamp } from '../shared';
+import { decimal } from '../shared';
 import { Instrument } from '.';
 import { Component } from './component';
+/**
+ * Simple trade or ticker executed on the market, it's a match of buyer
+ * and seller of the same asset.
+ */
 export declare class Trade implements Component {
+    timestamp: number;
     readonly instrument: Instrument;
-    id: string;
-    kind: string;
-    timestamp: timestamp;
     rate: decimal;
     quantity: decimal;
-    constructor(instrument: Instrument);
-    toString(): string;
+    readonly id: string;
+    constructor(timestamp: number, instrument: Instrument, rate: decimal, quantity: decimal);
 }
+//# sourceMappingURL=trade.d.ts.map

package/dist/domain/trade.d.ts.map

@@ -0,0 +1 @@
+{"version":3,"file":"trade.d.ts","sourceRoot":"","sources":["../../src/domain/trade.ts"],"names":[],"mappings":"AAAA,OAAO,EAAE,OAAO,EAAE,MAAM,WAAW,CAAC;AACpC,OAAO,EAAE,UAAU,EAAE,MAAM,GAAG,CAAC;AAC/B,OAAO,EAAE,SAAS,EAAE,MAAM,aAAa,CAAC;AAExC;;;GAGG;AACH,qBAAa,KAAM,YAAW,SAAS;IAI5B,SAAS,EAAE,MAAM;aACR,UAAU,EAAE,UAAU;IAC/B,IAAI,EAAE,OAAO;IACb,QAAQ,EAAE,OAAO;IAN1B,QAAQ,CAAC,EAAE,EAAE,MAAM,CAAC;gBAGX,SAAS,EAAE,MAAM,EACR,UAAU,EAAE,UAAU,EAC/B,IAAI,EAAE,OAAO,EACb,QAAQ,EAAE,OAAO;CAI3B"}

package/dist/domain/trade.js

@@ -1,15 +1,17 @@
 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
 exports.Trade = void 0;
+/**
+ * Simple trade or ticker executed on the market, it's a match of buyer
+ * and seller of the same asset.
+ */
 class Trade {
-    constructor(instrument) {
+    constructor(timestamp, instrument, rate, quantity) {
+        this.timestamp = timestamp;
         this.instrument = instrument;
-        this.kind = 'trade';
+        this.rate = rate;
+        this.quantity = quantity;
         this.id = instrument.id;
     }
-    toString() {
-        return this.instrument.toString();
-    }
 }
 exports.Trade = Trade;
-//# sourceMappingURL=trade.js.map