@quantform/core 0.6.5 → 0.6.7

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

@@ -1,15 +1,17 @@
 import { Subject } from 'rxjs';
 
-import { d } from '../shared';
-import { State } from '../store';
-import { Asset } from './asset';
-import { Commission } from './commission';
-import { Component } from './component';
-import { Instrument } from './instrument';
-import { Orderbook } from './orderbook';
-import { orderbook } from './orderbook-operator';
+import {
+  Asset,
+  Commission,
+  Component,
+  Instrument,
+  Orderbook,
+  orderbook
+} from '@lib/domain';
+import { d } from '@lib/shared';
+import { State } from '@lib/store';
 
-describe('orderbook', () => {
+describe(orderbook.name, () => {
   const instrument = new Instrument(
     0,
     new Asset('abc', 'xyz', 4),

package/src/domain/orderbook-operator.ts

@@ -1,15 +1,14 @@
 import { filter, map, Observable, startWith } from 'rxjs';
 
-import { State } from '../store';
-import { Component } from './component';
-import { InstrumentSelector } from './instrument';
-import { Orderbook } from './orderbook';
+import { Component, InstrumentSelector, Orderbook } from '@lib/domain';
+import { State } from '@lib/store';
 
 export function orderbook(selector: InstrumentSelector, state: State) {
   return (source$: Observable<Component>) =>
     source$.pipe(
       startWith(state.orderbook.get(selector.id)),
-      filter(it => it instanceof Orderbook && it.instrument.id == selector.id),
-      map(it => it as Orderbook)
+      filter(it => it !== undefined && it.type === Orderbook.type),
+      map(it => it as Orderbook),
+      filter(it => it.instrument.id === selector.id)
     );
 }

package/src/domain/orderbook.spec.ts

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

package/src/domain/orderbook.ts

@@ -1,6 +1,5 @@
-import { Instrument } from '../domain';
-import { decimal } from '../shared';
-import { Component } from './component';
+import { Component, Instrument } from '@lib/domain';
+import { decimal, hash } from '@lib/shared';
 
 export interface Liquidity {
   rate: decimal;
@@ -17,6 +16,9 @@ export const LiquidityBidComparer = (lhs: { rate: decimal }, rhs: { rate: decima
  * Provides an access to pending buy and sell orders on the specific market.
  */
 export class Orderbook implements Component {
+  static type = hash(Orderbook.name);
+  readonly type = Orderbook.type;
+
   readonly id: string;
 
   constructor(

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

@@ -1,14 +1,17 @@
 import { BehaviorSubject, Subject } from 'rxjs';
 
-import { d } from '../shared';
-import { State } from '../store';
-import { Asset } from './asset';
-import { Balance } from './balance';
-import { Commission } from './commission';
-import { Component } from './component';
-import { Instrument } from './instrument';
-import { Position } from './position';
-import { position, positions } from './position-operator';
+import {
+  Asset,
+  Balance,
+  Commission,
+  Component,
+  Instrument,
+  Position,
+  position,
+  positions
+} from '@lib/domain';
+import { d } from '@lib/shared';
+import { State } from '@lib/store';
 
 const instrument = new Instrument(
   0,
@@ -18,7 +21,7 @@ const instrument = new Instrument(
   Commission.Zero
 );
 
-describe('position', () => {
+describe(position.name, () => {
   test('should pipe a position', done => {
     new BehaviorSubject<Component>(
       new Position(0, '1', instrument, 'CROSS', d(10), d(2), 3)
@@ -40,7 +43,7 @@ describe('position', () => {
   });
 });
 
-describe('positions', () => {
+describe(positions.name, () => {
   const state = new State();
   const balance = new Balance(0, instrument.quote);
   const position1 = new Position(0, '1', instrument, 'CROSS', d(10), d(2), 3);

package/src/domain/position-operator.ts

@@ -1,24 +1,27 @@
 import { filter, map, Observable, share, startWith } from 'rxjs';
 
-import { d, decimal, weightedMean } from '../shared';
-import { State } from '../store';
-import { Component } from './component';
-import { invalidInstrumentSelectorError } from './error';
-import { InstrumentSelector } from './instrument';
-import { Position } from './position';
+import {
+  Component,
+  InstrumentSelector,
+  InvalidInstrumentSelectorError,
+  Position
+} from '@lib/domain';
+import { d, decimal, weightedMean } from '@lib/shared';
+import { State } from '@lib/store';
 
 export function position(selector: InstrumentSelector) {
   return (source: Observable<Component>) =>
     source.pipe(
-      filter(it => it instanceof Position && it.instrument.id == selector.id),
-      map(it => it as Readonly<Position>)
+      filter(it => it.type === Position.type),
+      map(it => it as Readonly<Position>),
+      filter(it => it.instrument.id === selector.id)
     );
 }
 
 export function positions(selector: InstrumentSelector, state: State) {
   const balance = state.balance.get(selector.quote.id);
   if (!balance) {
-    throw invalidInstrumentSelectorError(selector.id);
+    throw new InvalidInstrumentSelectorError(selector.id);
   }
 
   const getter = () =>

package/src/domain/position.spec.ts

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

package/src/domain/position.ts

@@ -1,10 +1,12 @@
-import { Instrument } from '../domain';
-import { decimal, pnl } from '../shared';
-import { Component } from './component';
+import { Component, Instrument } from '@lib/domain';
+import { decimal, hash, pnl } from '@lib/shared';
 
 export type PositionMode = 'CROSS' | 'ISOLATED';
 
 export class Position implements Component {
+  static type = hash(Position.name);
+  readonly type = Position.type;
+
   estimatedUnrealizedPnL?: decimal;
 
   get margin(): decimal {

package/src/domain/session-builder.ts

@@ -6,30 +6,30 @@ import {
   createBacktesterAdapterFactory,
   createPaperAdapterFactory,
   DefaultTimeProvider
-} from '../adapter';
-import { decimal, now } from '../shared';
+} from '@lib/adapter';
+import { AssetSelector, Session } from '@lib/domain';
+import { decimal, now } from '@lib/shared';
 import {
   Cache,
   Feed,
   inMemoryStorageFactory,
   Measurement,
   StorageFactory
-} from '../storage';
-import { Store } from '../store';
-import { AssetSelector } from './asset';
-import { Session } from './session';
+} from '@lib/storage';
+import { Store } from '@lib/store';
 
 export type SessionFeature = (builder: SessionBuilder) => void;
 
-export function deposit(selector: AssetSelector, amount: decimal): SessionFeature {
+export function simulate({
+  period,
+  balance
+}: {
+  period: { from: Date; to?: Date };
+  balance: [AssetSelector, decimal][];
+}): SessionFeature {
   return (builder: SessionBuilder) => {
-    builder.useBalance(selector, amount);
-  };
-}
-
-export function period(from: Date, to?: Date): SessionFeature {
-  return (builder: SessionBuilder) => {
-    builder.usePeriod(from.getTime(), to?.getTime() ?? now());
+    builder.usePeriod(period.from.getTime(), period.to?.getTime() ?? now());
+    balance.forEach(([selector, amount]) => builder.useBalance(selector, amount));
   };
 }
 

package/src/domain/session.spec.ts

@@ -1,8 +1,8 @@
-import { Asset, Commission, SessionBuilder } from '../domain';
-import { d, now } from '../shared';
-import { InstrumentPatchEvent } from '../store';
+import { Asset, Commission, Session, SessionBuilder } from '@lib/domain';
+import { d, now } from '@lib/shared';
+import { InstrumentPatchEvent } from '@lib/store';
 
-describe('Session', () => {
+describe(Session.name, () => {
   test('should trigger once', done => {
     const session = new SessionBuilder().paper();
 

package/src/domain/session.ts

@@ -16,28 +16,31 @@ import {
 } from 'rxjs';
 import { v4 } from 'uuid';
 
-import { AdapterAggregate } from '../adapter/adapter-aggregate';
+import { AdapterAggregate } from '@lib/adapter';
 import {
   AssetSelector,
   Balance,
+  balance,
   Instrument,
+  instrument,
+  instruments,
   InstrumentSelector,
-  invalidInstrumentSelectorError,
+  InvalidInstrumentSelectorError,
   Ohlc,
   Order,
+  order,
   Orderbook,
+  orderbook,
+  orders,
   Position,
-  Trade
-} from '../domain';
-import { decimal } from '../shared';
-import { Measurement } from '../storage';
-import { Store } from '../store';
-import { balance } from './balance-operator';
-import { instrument, instruments } from './instrument-operator';
-import { order, orders } from './order-operator';
-import { orderbook } from './orderbook-operator';
-import { position, positions } from './position-operator';
-import { trade } from './trade-operator';
+  position,
+  positions,
+  Trade,
+  trade
+} from '@lib/domain';
+import { decimal } from '@lib/shared';
+import { Measurement } from '@lib/storage';
+import { Store } from '@lib/store';
 
 type Optional<T, K extends keyof T> = Omit<T, K> & Partial<T>;
 
@@ -96,7 +99,7 @@ export class Session {
   }): Observable<Readonly<Order>> {
     const instrument = this.store.snapshot.universe.instrument.get(order.instrument.id);
     if (!instrument) {
-      throw invalidInstrumentSelectorError(order.instrument.id);
+      throw new InvalidInstrumentSelectorError(order.instrument.id);
     }
 
     const newOrder = new Order(
@@ -206,7 +209,9 @@ export class Session {
   ): Observable<Readonly<Ohlc>> {
     return this.store.changes$.pipe(
       startWith(this.store.snapshot.universe.instrument.get(selector.id)),
-      filter(it => it instanceof Instrument && it.id == selector.id),
+      filter(it => it !== undefined && it.type === Instrument.type),
+      map(it => it as Instrument),
+      filter(it => it.id === selector.id),
       switchMap(() => from(this.aggregate.history(selector, timeframe, length))),
       take(1),
       shareReplay(),

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

@@ -1,15 +1,10 @@
 import { Subject } from 'rxjs';
 
-import { d } from '../shared';
-import { State } from '../store';
-import { Asset } from './asset';
-import { Commission } from './commission';
-import { Component } from './component';
-import { Instrument } from './instrument';
-import { Trade } from './trade';
-import { trade } from './trade-operator';
+import { Asset, Commission, Component, Instrument, Trade, trade } from '@lib/domain';
+import { d } from '@lib/shared';
+import { State } from '@lib/store';
 
-describe('trade', () => {
+describe(trade.name, () => {
   const instrument = new Instrument(
     0,
     new Asset('abc', 'xyz', 4),

package/src/domain/trade-operator.ts

@@ -1,15 +1,14 @@
 import { filter, map, Observable, startWith } from 'rxjs';
 
-import { State } from '../store';
-import { Component } from './component';
-import { InstrumentSelector } from './instrument';
-import { Trade } from './trade';
+import { Component, InstrumentSelector, Trade } from '@lib/domain';
+import { State } from '@lib/store';
 
 export function trade(selector: InstrumentSelector, state: State) {
   return (source$: Observable<Component>) =>
     source$.pipe(
       startWith(state.trade.get(selector.id)),
-      filter(it => it instanceof Trade && it.instrument.id == selector.id),
-      map(it => it as Trade)
+      filter(it => it !== undefined && it.type === Trade.type),
+      map(it => it as Trade),
+      filter(it => it.instrument.id === selector.id)
     );
 }

package/src/domain/trade.spec.ts

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

package/src/domain/trade.ts

@@ -1,12 +1,14 @@
-import { decimal } from '../shared';
-import { Instrument } from '.';
-import { Component } from './component';
+import { Component, Instrument } from '@lib/domain';
+import { decimal, hash } from '@lib/shared';
 
 /**
  * Simple trade or ticker executed on the market, it's a match of buyer
  * and seller of the same asset.
  */
 export class Trade implements Component {
+  static type = hash(Trade.name);
+  readonly type = Trade.type;
+
   readonly id: string;
 
   constructor(

package/src/index.ts

@@ -1,14 +1,14 @@
 import chalk from 'chalk';
 import { finalize, forkJoin, Observable, of, switchMap } from 'rxjs';
 
-import { Session, SessionBuilder, SessionFeature } from './domain';
-export * from './adapter';
-export * from './domain';
-export * from './shared';
-export * from './storage';
-export * from './store';
+import { Session, SessionBuilder, SessionFeature } from '@lib/domain';
+export * from '@lib/adapter';
+export * from '@lib/domain';
+export * from '@lib/shared';
+export * from '@lib/storage';
+export * from '@lib/store';
 
-import { Logger } from './shared';
+import { log } from '@lib/shared';
 
 const registry: Record<string, () => Array<SessionFeature>> = {};
 
@@ -22,14 +22,14 @@ export let rule: (name: string | undefined, describe: SessionHook) => void;
 /**
  *
  */
-export let beforeAll: (describe: SessionHook) => void;
+export let awake: (describe: SessionHook) => void;
 
 /**
  *
  * @param name
  * @param describe
  */
-export function describe(name: string, describe: () => Array<SessionFeature>) {
+export function strategy(name: string, describe: () => Array<SessionFeature>) {
   registry[name] = describe;
 }
 
@@ -45,16 +45,17 @@ export async function spawn(name: string, builder: SessionBuilder) {
     throw new Error(`missing strategy: ${name}`);
   }
 
+  const logger = log(name);
   const ruleHooks = new Array<SessionHook>();
-  const beforeAllHooks = new Array<SessionHook>();
+  const awakeHooks = new Array<SessionHook>();
 
-  beforeAll = (describe: SessionHook) => {
-    beforeAllHooks.push(describe);
+  awake = (describe: SessionHook) => {
+    awakeHooks.push(describe);
   };
 
   rule = (ruleName: string | undefined, describe: SessionHook) => {
     if (ruleName) {
-      Logger.info(name, `${chalk.italic(ruleName)} rule found`);
+      logger.info(`${chalk.italic(ruleName)} rule found`);
     }
 
     ruleHooks.push(describe);
@@ -65,7 +66,7 @@ export async function spawn(name: string, builder: SessionBuilder) {
   }
 
   return (session: Session) => {
-    const beforeAll$ = beforeAllHooks.map(it => it(session));
+    const beforeAll$ = awakeHooks.map(it => it(session));
     const rule$ = ruleHooks.map(it => it(session));
 
     if (!beforeAll$.length) {

package/src/shared/collections.spec.ts

@@ -1,5 +1,5 @@
-import { Liquidity, LiquidityAskComparer } from '../domain';
-import { d, PriorityList } from '.';
+import { Liquidity, LiquidityAskComparer } from '@lib/domain';
+import { d, PriorityList } from '@lib/shared';
 
 describe('PriorityList', () => {
   test('should patch a best bid and ask', () => {

package/src/shared/decimals.spec.ts

@@ -1,4 +1,4 @@
-import { d } from './decimals';
+import { d } from '@lib/shared';
 
 describe('decimals', () => {
   test('get precision tests', () => {

package/src/shared/hash.ts

@@ -0,0 +1,10 @@
+export function hash(str: string): number {
+  let hash = 7373;
+  let i = str.length;
+
+  while (i) {
+    hash = (hash * 77) ^ str.charCodeAt(--i);
+  }
+
+  return hash >>> 0;
+}

package/src/shared/index.ts

@@ -1,7 +1,7 @@
-export * from './datetime';
-export * from './decimals';
-export * from './environment';
-export * from './logger';
-export * from './policy';
-export * from './collections';
-export * from './pipe';
+export * from '@lib/shared/datetime';
+export * from '@lib/shared/decimals';
+export * from '@lib/shared/environment';
+export * from '@lib/shared/logger';
+export * from '@lib/shared/policy';
+export * from '@lib/shared/collections';
+export * from '@lib/shared/hash';

package/src/shared/logger.ts

@@ -1,6 +1,6 @@
 import chalk from 'chalk';
 
-import { now } from './datetime';
+import { now } from '@lib/shared';
 
 const colorize = (content: string) => {
   let hash = 0x811c9dc5;
@@ -16,24 +16,31 @@ const colorize = (content: string) => {
 const time = () => chalk.gray(new Date(now()).toISOString());
 
 export class Logger {
-  public static info = (context: string, message: string) =>
-    console.info(`${this.prefix(context)}: ${message}`);
+  constructor(private readonly context: string) {}
 
-  public static debug = (context: string, message: string) =>
-    console.debug(`${this.prefix(context)}: ${message}`);
+  public info = (message: any, ...params: unknown[]) =>
+    params?.length
+      ? console.info(`${this.prefix()}: ${message}`, params)
+      : console.info(`${this.prefix()}: ${message}`);
 
-  public static warn = (context: string, message: string) =>
-    console.warn(`${this.prefix(context)}: ${message}`);
+  public debug = (message: any, ...params: unknown[]) =>
+    params?.length
+      ? console.debug(`${this.prefix()}: ${message}`, params)
+      : console.debug(`${this.prefix()}: ${message}`);
 
-  public static error = (context: string, error: unknown) => {
-    let message = 'Unknown Error';
+  public warn = (message: any, ...params: unknown[]) =>
+    params?.length
+      ? console.warn(`${this.prefix()}: ${message}`, params)
+      : console.warn(`${this.prefix()}: ${message}`);
 
-    if (error instanceof Error) {
-      message = error.message;
-    }
+  public error = (message: any, ...params: unknown[]) =>
+    params?.length
+      ? console.error(`${this.prefix()}: ${message}`, params)
+      : console.error(`${this.prefix()}: ${message}`);
 
-    console.error(`${this.prefix(context)}: ${message}`);
-  };
+  public prefix = () => `${time()} ${colorize(this.context)}`;
+}
 
-  public static prefix = (context: string) => `${time()} ${colorize(context)}`;
+export function log(context: string): Logger {
+  return new Logger(context);
 }

package/src/storage/cache.spec.ts

@@ -1,7 +1,6 @@
-import { Cache } from './cache';
-import { InMemoryStorage } from './storage';
+import { Cache, InMemoryStorage } from '@lib/storage';
 
-describe('Cache', () => {
+describe(Cache.name, () => {
   test('should return cached value', async () => {
     const cache = new Cache(new InMemoryStorage());
 

package/src/storage/cache.ts

@@ -1,5 +1,5 @@
-import { now } from '../shared';
-import { Storage } from './storage';
+import { now } from '@lib/shared';
+import { Storage } from '@lib/storage';
 
 export class Cache {
   constructor(private readonly storage: Storage) {}

package/src/storage/feed.ts

@@ -1,7 +1,7 @@
-import { InstrumentSelector } from '../domain';
-import { d } from '../shared';
-import { OrderbookPatchEvent, TradePatchEvent } from '../store';
-import { Storage, StorageDocument, StorageQueryOptions } from './storage';
+import { InstrumentSelector } from '@lib/domain';
+import { d } from '@lib/shared';
+import { Storage, StorageDocument, StorageQueryOptions } from '@lib/storage';
+import { OrderbookPatchEvent, TradePatchEvent } from '@lib/store';
 
 export type StorageEvent = TradePatchEvent | OrderbookPatchEvent;
 

package/src/storage/index.ts

@@ -1,4 +1,4 @@
-export * from './feed';
-export * from './measurement';
-export * from './storage';
-export * from './cache';
+export * from '@lib/storage/feed';
+export * from '@lib/storage/measurement';
+export * from '@lib/storage/storage';
+export * from '@lib/storage/cache';

package/src/storage/measurement.ts

@@ -1,5 +1,5 @@
-import { timestamp } from '../shared';
-import { Storage, StorageQueryOptions } from './storage';
+import { timestamp } from '@lib/shared';
+import { Storage, StorageQueryOptions } from '@lib/storage';
 
 export interface Measure {
   timestamp: timestamp;