@quantform/core 0.6.5 → 0.6.7

package/src/domain/balance.ts

@@ -1,24 +1,27 @@
-import { d, decimal } from '../shared';
-import { Asset } from './';
-import { Component } from './component';
-import { insufficientFundsError, invalidArgumentError } from './error';
-import { Position, PositionMode } from './position';
+import { Asset, Component, Position, PositionMode } from '@lib/domain';
+import { d, decimal, hash } from '@lib/shared';
+
+export interface Fundable {
+  id: string;
+  getFundingAmount(balance: Balance): decimal;
+}
 
 /**
  * Represents single asset balance in your wallet.
  */
 export class Balance implements Component {
+  static type = hash(Balance.name);
+  readonly type = Balance.type;
+
   id: string;
 
-  private locker: Record<string, decimal> = {};
-  private available = d.Zero;
-  private unavailable = d.Zero;
+  private transientFunding: Record<string, Fundable> = {};
 
   /**
    * Returns available amount to trade.
    */
   get free(): decimal {
-    return this.asset.floor(this.available).add(this.getEstimatedUnrealizedPnL('CROSS'));
+    return this.available.add(this.getEstimatedUnrealizedPnL('CROSS'));
   }
 
   /**
@@ -33,9 +36,7 @@ export class Balance implements Component {
    * Represents a sum of free, locked and opened positions.
    */
   get total(): decimal {
-    return this.asset
-      .floor(this.available.add(this.unavailable))
-      .add(this.getEstimatedUnrealizedPnL());
+    return this.available.plus(this.unavailable).plus(this.getEstimatedUnrealizedPnL());
   }
 
   /**
@@ -43,61 +44,15 @@ export class Balance implements Component {
    */
   readonly position: Record<string, Position> = {};
 
-  constructor(public timestamp: number, public readonly asset: Asset) {
+  constructor(
+    public timestamp: number,
+    public readonly asset: Asset,
+    public available: decimal = d.Zero,
+    public unavailable: decimal = d.Zero
+  ) {
     this.id = asset.id;
   }
 
-  account(amount: decimal) {
-    if (this.available.add(amount).lessThan(0)) {
-      throw insufficientFundsError(this.id, amount, this.available);
-    }
-
-    this.available = this.available.add(amount);
-  }
-
-  set(free: decimal, locked: decimal) {
-    this.available = free;
-    this.unavailable = locked;
-    this.locker = {};
-  }
-
-  /**
-   * Lock specific amount of asset.
-   * If you place new pending order, you will lock your balance to fund order.
-   */
-  lock(id: string, amount: decimal) {
-    if (this.available.lessThan(amount)) {
-      throw insufficientFundsError(this.id, amount, this.available);
-    }
-
-    if (this.locker[id]) {
-      throw invalidArgumentError(id);
-    }
-
-    this.locker[id] = amount;
-    this.available = this.available.minus(amount);
-    this.unavailable = this.unavailable.plus(amount);
-  }
-
-  tryUnlock(id: string): boolean {
-    if (!this.locker[id]) {
-      return false;
-    }
-
-    const amount = this.locker[id];
-
-    delete this.locker[id];
-
-    if (this.unavailable < amount) {
-      throw insufficientFundsError(this.id, amount, this.unavailable);
-    }
-
-    this.available = this.available.add(amount);
-    this.unavailable = this.unavailable.minus(amount);
-
-    return true;
-  }
-
   /**
    * Returns unrealized profit and loss for all positions backed by this balance.
    */
@@ -120,4 +75,36 @@ export class Balance implements Component {
       d.Zero
     );
   }
+
+  tryAddTransientFunding(fundable: Fundable) {
+    if (fundable.id in this.transientFunding) {
+      return false;
+    }
+
+    this.transientFunding[fundable.id] = fundable;
+
+    const funding = fundable.getFundingAmount(this);
+
+    this.available = this.available.minus(funding);
+    this.unavailable = this.unavailable.plus(funding);
+
+    return true;
+  }
+
+  tryRemoveTransientFunding(fundable: Fundable) {
+    if (!(fundable.id in this.transientFunding)) {
+      return false;
+    }
+
+    const funding = fundable.getFundingAmount(this);
+
+    this.available = this.available.plus(funding);
+    this.unavailable = this.unavailable.minus(funding);
+
+    return true;
+  }
+
+  clearTransientFunding() {
+    this.transientFunding = {};
+  }
 }

package/src/domain/commission.spec.ts

@@ -1,7 +1,7 @@
-import { d } from '../shared';
-import { commissionPercentOf } from './commission';
+import { Commission, commissionPercentOf } from '@lib/domain';
+import { d } from '@lib/shared';
 
-describe('Commission', () => {
+describe(Commission.name, () => {
   test('should construct a Commission', () => {
     const sut = commissionPercentOf({
       maker: d(0.1),

package/src/domain/commission.ts

@@ -1,4 +1,4 @@
-import { d, decimal } from '../shared';
+import { d, decimal } from '@lib/shared';
 
 export class Commission {
   static readonly Zero = commissionPercentOf({ maker: d.Zero, taker: d.Zero });

package/src/domain/component.ts

@@ -1,6 +1,6 @@
-import { timestamp } from '../shared';
+import { timestamp } from '@lib/shared';
 
 export interface Component {
-  id: string;
-  timestamp: timestamp;
+  readonly type: number;
+  readonly timestamp: timestamp;
 }

package/src/domain/error.ts

@@ -1,27 +1,32 @@
-import { decimal } from '../shared';
+import { decimal } from '@lib/shared';
 
-export function insufficientFundsError(
-  assetName: string,
-  requiredAmount: decimal,
-  availableAmount: decimal
-) {
-  return new Error(
-    `insufficient funds of ${assetName} has: ${availableAmount.toString()} requires: ${requiredAmount.toString()}`
-  );
+export class InsufficientFundsError extends Error {
+  constructor(assetName: string, requiredAmount: decimal, availableAmount: decimal) {
+    super(
+      `insufficient funds of ${assetName} has: ${availableAmount.toString()} requires: ${requiredAmount.toString()}`
+    );
+  }
 }
 
-export function invalidArgumentError(value: any) {
-  return new Error(`invalid argument: ${value}`);
+export class InvalidArgumentsError extends Error {
+  constructor(argName: Record<any, unknown>) {
+    super(`invalid arguments: ${argName}`);
+  }
 }
 
-export function invalidAssetSelectorError(selector: string) {
-  return new Error(`invalid asset selector: ${selector}`);
+export class InvalidAssetSelectorError extends Error {
+  constructor(selector: string) {
+    super(`invalid asset selector: ${selector}`);
+  }
 }
-
-export function invalidInstrumentSelectorError(selector: string) {
-  return new Error(`invalid instrument selector: ${selector}`);
+export class InvalidInstrumentSelectorError extends Error {
+  constructor(selector: string) {
+    super(`invalid instrument selector: ${selector}`);
+  }
 }
 
-export function adapterMismatchError() {
-  return new Error('adapters must be the same');
+export class AdapterMismatchError extends Error {
+  constructor() {
+    super('adapters must be the same');
+  }
 }

package/src/domain/index.ts

@@ -1,21 +1,21 @@
-export * from './asset';
-export * from './balance';
-export * from './balance-operator';
-export * from './error';
-export * from './ohlc';
-export * from './ohlc-operator';
-export * from './commission';
-export * from './component';
-export * from './instrument';
-export * from './instrument-operator';
-export * from './order';
-export * from './order-operator';
-export * from './orderbook';
-export * from './orderbook-operator';
-export * from './position';
-export * from './position-operator';
-export * from './session';
-export * from './session-builder';
-export * from './timeframe';
-export * from './trade';
-export * from './trade-operator';
+export * from '@lib/domain/asset';
+export * from '@lib/domain/balance';
+export * from '@lib/domain/balance-operator';
+export * from '@lib/domain/error';
+export * from '@lib/domain/ohlc';
+export * from '@lib/domain/ohlc-operator';
+export * from '@lib/domain/commission';
+export * from '@lib/domain/component';
+export * from '@lib/domain/instrument';
+export * from '@lib/domain/instrument-operator';
+export * from '@lib/domain/order';
+export * from '@lib/domain/order-operator';
+export * from '@lib/domain/orderbook';
+export * from '@lib/domain/orderbook-operator';
+export * from '@lib/domain/position';
+export * from '@lib/domain/position-operator';
+export * from '@lib/domain/session';
+export * from '@lib/domain/session-builder';
+export * from '@lib/domain/timeframe';
+export * from '@lib/domain/trade';
+export * from '@lib/domain/trade-operator';

package/src/domain/instrument-operator.spec.ts

@@ -1,13 +1,16 @@
 import { Subject } from 'rxjs';
 
-import { State } from '../store';
-import { Asset } from './asset';
-import { Commission } from './commission';
-import { Component } from './component';
-import { Instrument, instrumentOf } from './instrument';
-import { instrument } from './instrument-operator';
+import {
+  Asset,
+  Commission,
+  Component,
+  Instrument,
+  instrument,
+  instrumentOf
+} from '@lib/domain';
+import { State } from '@lib/store';
 
-describe('instrument', () => {
+describe(instrument.name, () => {
   const state = new State();
 
   beforeEach(() => {

package/src/domain/instrument-operator.ts

@@ -1,22 +1,22 @@
 import { distinctUntilChanged, filter, map, Observable, startWith } from 'rxjs';
 
-import { State } from '../store';
-import { Component } from './component';
-import { Instrument, InstrumentSelector } from './instrument';
+import { Component, Instrument, InstrumentSelector } from '@lib/domain';
+import { State } from '@lib/store';
 
 export function instrument(selector: InstrumentSelector, state: State) {
   return (source$: Observable<Component>) =>
     source$.pipe(
       startWith(state.universe.instrument.get(selector.id)),
-      filter(it => it instanceof Instrument && it.id == selector.id),
-      map(it => it as Instrument)
+      filter(it => it !== undefined && it.type === Instrument.type),
+      map(it => it as Instrument),
+      filter(it => it.id == selector.id)
     );
 }
 
 export function instruments(state: State) {
   return (source$: Observable<Component>) =>
     source$.pipe(
-      filter(it => it instanceof Instrument),
+      filter(it => it.type === Instrument.type),
       map(() => state.universe.instrument.asReadonlyArray()),
       startWith(state.universe.instrument.asReadonlyArray()),
       filter(it => it.length > 0),

package/src/domain/instrument.spec.ts

@@ -1,9 +1,14 @@
-import { d } from '../shared';
-import { Asset, assetOf } from './asset';
-import { commissionPercentOf } from './commission';
-import { Instrument, instrumentOf } from './instrument';
+import {
+  Asset,
+  assetOf,
+  commissionPercentOf,
+  Instrument,
+  instrumentOf,
+  InstrumentSelector
+} from '@lib/domain';
+import { d } from '@lib/shared';
 
-describe('Instrument', () => {
+describe(Instrument.name, () => {
   test('should construct a instrument', () => {
     const sut = new Instrument(
       0,
@@ -24,7 +29,7 @@ describe('Instrument', () => {
   });
 });
 
-describe('InstrumentSelector', () => {
+describe(InstrumentSelector.name, () => {
   test('should construct a instrument selector', () => {
     const sut = instrumentOf('xyz:abc-def');
 

package/src/domain/instrument.ts

@@ -1,7 +1,13 @@
-import { Asset, AssetSelector, AssetSelectorSeparator } from './asset';
-import { Commission } from './commission';
-import { Component } from './component';
-import { adapterMismatchError, invalidInstrumentSelectorError } from './error';
+import {
+  AdapterMismatchError,
+  Asset,
+  AssetSelector,
+  AssetSelectorSeparator,
+  Commission,
+  Component,
+  InvalidInstrumentSelectorError
+} from '@lib/domain';
+import { hash } from '@lib/shared';
 
 export const InstrumentSelectorSeparator = '-';
 
@@ -22,6 +28,9 @@ export class InstrumentSelector {
  * Represents trading market which is made up by two trading assets (base and quoted).
  */
 export class Instrument extends InstrumentSelector implements Component {
+  static type = hash(Instrument.name);
+  readonly type = Instrument.type;
+
   readonly cross: Instrument | undefined;
   leverage: number | undefined = undefined;
 
@@ -35,7 +44,7 @@ export class Instrument extends InstrumentSelector implements Component {
     super(base.name, quote.name, base.adapterName);
 
     if (base.adapterName != quote.adapterName) {
-      throw adapterMismatchError();
+      throw new AdapterMismatchError();
     }
   }
 }
@@ -43,12 +52,12 @@ export class Instrument extends InstrumentSelector implements Component {
 export function instrumentOf(selector: string): InstrumentSelector {
   const [adapterName, asset, ...rest] = selector.split(AssetSelectorSeparator);
   if (!adapterName || !asset || rest.length) {
-    throw invalidInstrumentSelectorError(selector);
+    throw new InvalidInstrumentSelectorError(selector);
   }
 
   const [baseAssetName, quoteAssetName] = asset.split(InstrumentSelectorSeparator);
   if (!baseAssetName || !quoteAssetName) {
-    throw invalidInstrumentSelectorError(selector);
+    throw new InvalidInstrumentSelectorError(selector);
   }
 
   return new InstrumentSelector(baseAssetName, quoteAssetName, adapterName);

package/src/domain/ohlc-operator.spec.ts

@@ -1,10 +1,9 @@
 import { from } from 'rxjs';
 
-import { d } from '../shared';
-import { Ohlc } from './ohlc';
-import { mergeOhlc, ohlc, ohlcCompleted } from './ohlc-operator';
+import { mergeOhlc, Ohlc, ohlc, ohlcCompleted } from '@lib/domain';
+import { d } from '@lib/shared';
 
-describe('ohlc', () => {
+describe(ohlc.name, () => {
   test('should aggregate and pipe ohlc updates', done => {
     const input$ = from([
       { timestamp: 1, rate: d(1) },
@@ -35,7 +34,7 @@ describe('ohlc', () => {
   });
 });
 
-describe('ohlcCompleted', () => {
+describe(ohlcCompleted.name, () => {
   test('should aggregate and pipe distinct completed ohlc', done => {
     const input$ = from([
       { timestamp: 1, rate: d(1) },
@@ -60,7 +59,7 @@ describe('ohlcCompleted', () => {
   });
 });
 
-describe('mergeOhlc', () => {
+describe(mergeOhlc.name, () => {
   test('should pipe and merge ohlc from history', done => {
     const history$ = from([
       new Ohlc(1, d(1), d(1.5), d(0.5), d(2)),

package/src/domain/ohlc-operator.ts

@@ -11,9 +11,8 @@ import {
   switchMap
 } from 'rxjs';
 
-import { decimal } from '../shared';
-import { Ohlc } from './ohlc';
-import { tf } from './timeframe';
+import { Ohlc, tf } from '@lib/domain';
+import { decimal } from '@lib/shared';
 
 function aggregate(
   candle: Ohlc | undefined,

package/src/domain/ohlc.spec.ts

@@ -1,5 +1,5 @@
-import { d, now } from '../shared';
-import { Ohlc } from './ohlc';
+import { Ohlc } from '@lib/domain';
+import { d, now } from '@lib/shared';
 
 describe('Ohlc', () => {
   test('should construct a ohlc', () => {

package/src/domain/ohlc.ts

@@ -1,4 +1,4 @@
-import { decimal, timestamp } from '../shared';
+import { decimal, timestamp } from '@lib/shared';
 
 export class Ohlc {
   constructor(
@@ -8,7 +8,7 @@ export class Ohlc {
     public low: decimal,
     public close: decimal,
     public volume?: decimal
-  ) { }
+  ) {}
 
   apply(value: decimal) {
     this.high = decimal.max(this.high, value);

package/src/domain/order-operator.spec.ts

@@ -1,13 +1,17 @@
 import { BehaviorSubject, map, Subject } from 'rxjs';
 
-import { d } from '../shared';
-import { InnerSet, State } from '../store';
-import { Asset } from './asset';
-import { Commission } from './commission';
-import { Component } from './component';
-import { Instrument } from './instrument';
-import { Order } from './order';
-import { order, orders } from './order-operator';
+import {
+  Asset,
+  Commission,
+  Component,
+  Instrument,
+  Order,
+  order,
+  orders,
+  positions
+} from '@lib/domain';
+import { d } from '@lib/shared';
+import { InnerSet, State } from '@lib/store';
 
 const instrument = new Instrument(
   0,
@@ -17,7 +21,7 @@ const instrument = new Instrument(
   Commission.Zero
 );
 
-describe('order', () => {
+describe(order.name, () => {
   test('should pipe an order', done => {
     new BehaviorSubject<Component>(new Order(0, '1', instrument, d(-100), 0))
       .pipe(order(instrument))
@@ -38,7 +42,7 @@ describe('order', () => {
   });
 });
 
-describe('positions', () => {
+describe(positions.name, () => {
   let state: State;
   let order1: Order, order2: Order, order3: Order;
 

package/src/domain/order-operator.ts

@@ -1,22 +1,23 @@
 import { filter, map, Observable, startWith } from 'rxjs';
 
-import { State } from '../store';
-import { Component } from './component';
-import { InstrumentSelector } from './instrument';
-import { Order } from './order';
+import { Component, InstrumentSelector, Order } from '@lib/domain';
+import { State } from '@lib/store';
 
 export function order(selector: InstrumentSelector) {
   return (source$: Observable<Component>) =>
     source$.pipe(
-      filter(it => it instanceof Order && it.instrument.id == selector.id),
-      map(it => it as Order)
+      filter(it => it !== undefined && it.type === Order.type),
+      map(it => it as Order),
+      filter(it => it.instrument.id === selector.id)
     );
 }
 
 export function orders(selector: InstrumentSelector, state: State) {
   return (source$: Observable<Component>) =>
     source$.pipe(
-      filter(it => it instanceof Order && it.instrument.id == selector.id),
+      filter(it => it.type === Order.type),
+      map(it => it as Order),
+      filter(it => it.instrument.id === selector.id),
       map(() => state.order.get(selector.id)?.asReadonlyArray() ?? []),
       startWith(state.order.get(selector.id)?.asReadonlyArray() ?? [])
     );

package/src/domain/order.spec.ts

@@ -1,10 +1,7 @@
-import { d } from '../shared';
-import { Asset } from './asset';
-import { Commission } from './commission';
-import { Instrument } from './instrument';
-import { Order } from './order';
+import { Asset, Commission, Instrument, Order } from '@lib/domain';
+import { d } from '@lib/shared';
 
-describe('Order', () => {
+describe(Order.name, () => {
   const instrument = new Instrument(
     0,
     new Asset('abc', 'xyz', 4),

package/src/domain/order.ts

@@ -1,8 +1,11 @@
-import { d, decimal } from '../shared';
-import { Balance } from './balance';
-import { Component } from './component';
-import { invalidArgumentError } from './error';
-import { Instrument } from './instrument';
+import {
+  Balance,
+  Component,
+  Fundable,
+  Instrument,
+  InvalidArgumentsError
+} from '@lib/domain';
+import { d, decimal, hash } from '@lib/shared';
 
 export type OrderState =
   | 'NEW'
@@ -12,7 +15,10 @@ export type OrderState =
   | 'CANCELED'
   | 'REJECTED';
 
-export class Order implements Component {
+export class Order implements Fundable, Component {
+  static type = hash(Order.name);
+  readonly type = Order.type;
+
   state: OrderState = 'NEW';
   quantityExecuted = d.Zero;
   averageExecutionRate?: decimal;
@@ -28,41 +34,32 @@ export class Order implements Component {
     readonly stopRate?: decimal
   ) {
     if (!quantity || Number.isNaN(quantity)) {
-      throw invalidArgumentError(quantity);
+      throw new InvalidArgumentsError({ quantity });
     }
 
     if (rate && rate.lessThanOrEqualTo(0)) {
-      throw invalidArgumentError(rate);
+      throw new InvalidArgumentsError({ rate });
     }
   }
 
-  calculateBalanceToLock(
-    base: Balance,
-    quote: Balance
-  ): { base?: decimal; quote?: decimal } {
-    const qty = this.quantity.abs();
+  getFundingAmount(balance: Balance): decimal {
+    const quantityLeft = this.quantity.abs().minus(this.quantityExecuted);
 
-    if (this.quantity.greaterThan(0)) {
+    if (
+      this.instrument.quote.id === balance.asset.id &&
+      this.quantity.greaterThan(d.Zero)
+    ) {
       if (this.rate) {
-        return {
-          base: d.Zero,
-          quote: quote.asset.ceil(this.rate.mul(qty))
-        };
-      } else {
-        return {
-          base: d.Zero,
-          quote: quote.free
-        };
+        return quantityLeft.mul(this.rate).abs();
       }
+
+      return balance.free;
     }
 
-    if (this.quantity.lessThan(0)) {
-      return {
-        base: qty,
-        quote: d.Zero
-      };
+    if (this.instrument.base.id === balance.asset.id && this.quantity.lessThan(d.Zero)) {
+      return quantityLeft;
     }
 
-    return {};
+    return d.Zero;
   }
 }