@quantform/core 0.6.5 → 0.6.7

package/dist/domain/ohlc-operator.js

@@ -2,19 +2,18 @@
 Object.defineProperty(exports, "__esModule", { value: true });
 exports.ohlcCompleted = exports.mergeOhlc = exports.ohlc = void 0;
 const rxjs_1 = require("rxjs");
-const ohlc_1 = require("./ohlc");
-const timeframe_1 = require("./timeframe");
+const domain_1 = require("../domain");
 function aggregate(candle, timeframe, value, timestamp) {
-    const frame = (0, timeframe_1.tf)(timestamp, timeframe);
+    const frame = (0, domain_1.tf)(timestamp, timeframe);
     if (!candle) {
-        return new ohlc_1.Ohlc(frame, value, value, value, value);
+        return new domain_1.Ohlc(frame, value, value, value, value);
     }
     if (candle.timestamp === frame) {
         candle.apply(value);
         return undefined;
     }
     else {
-        return new ohlc_1.Ohlc(frame, candle.close, value, value, value);
+        return new domain_1.Ohlc(frame, candle.close, value, value, value);
     }
 }
 function ohlc(timeframe, fn, candleToStartWith) {

package/dist/domain/ohlc-operator.spec.d.ts

@@ -0,0 +1,2 @@
+export {};
+//# sourceMappingURL=ohlc-operator.spec.d.ts.map

package/dist/domain/ohlc-operator.spec.d.ts.map

@@ -0,0 +1 @@
+{"version":3,"file":"ohlc-operator.spec.d.ts","sourceRoot":"","sources":["../../src/domain/ohlc-operator.spec.ts"],"names":[],"mappings":""}

package/dist/domain/ohlc-operator.spec.js

@@ -0,0 +1,110 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+const rxjs_1 = require("rxjs");
+const domain_1 = require("../domain");
+const shared_1 = require("../shared");
+describe(domain_1.ohlc.name, () => {
+    test('should aggregate and pipe ohlc updates', done => {
+        const input$ = (0, rxjs_1.from)([
+            { timestamp: 1, rate: (0, shared_1.d)(1) },
+            { timestamp: 2, rate: (0, shared_1.d)(2) },
+            { timestamp: 3, rate: (0, shared_1.d)(3) },
+            { timestamp: 4, rate: shared_1.d.Zero },
+            { timestamp: 5, rate: (0, shared_1.d)(7) },
+            { timestamp: 6, rate: (0, shared_1.d)(8) }
+        ]);
+        const output = [
+            new domain_1.Ohlc(0, (0, shared_1.d)(1), (0, shared_1.d)(1), (0, shared_1.d)(1), (0, shared_1.d)(1)),
+            new domain_1.Ohlc(0, (0, shared_1.d)(1), (0, shared_1.d)(2), (0, shared_1.d)(1), (0, shared_1.d)(2)),
+            new domain_1.Ohlc(0, (0, shared_1.d)(1), (0, shared_1.d)(3), (0, shared_1.d)(1), (0, shared_1.d)(3)),
+            new domain_1.Ohlc(0, (0, shared_1.d)(1), (0, shared_1.d)(3), shared_1.d.Zero, shared_1.d.Zero),
+            new domain_1.Ohlc(5, shared_1.d.Zero, (0, shared_1.d)(7), (0, shared_1.d)(7), (0, shared_1.d)(7)),
+            new domain_1.Ohlc(5, shared_1.d.Zero, (0, shared_1.d)(8), (0, shared_1.d)(7), (0, shared_1.d)(8))
+        ].reverse();
+        input$.pipe((0, domain_1.ohlc)(5, it => it.rate)).subscribe({
+            next: it => {
+                expect(it).toEqual(output.pop());
+                if (output.length === 0) {
+                    done();
+                }
+            }
+        });
+    });
+});
+describe(domain_1.ohlcCompleted.name, () => {
+    test('should aggregate and pipe distinct completed ohlc', done => {
+        const input$ = (0, rxjs_1.from)([
+            { timestamp: 1, rate: (0, shared_1.d)(1) },
+            { timestamp: 2, rate: (0, shared_1.d)(2) },
+            { timestamp: 3, rate: (0, shared_1.d)(3) },
+            { timestamp: 4, rate: shared_1.d.Zero },
+            { timestamp: 5, rate: (0, shared_1.d)(7) },
+            { timestamp: 6, rate: (0, shared_1.d)(8) }
+        ]);
+        input$
+            .pipe((0, domain_1.ohlc)(5, it => it.rate), (0, domain_1.ohlcCompleted)())
+            .subscribe({
+            next: it => {
+                expect(it).toEqual(new domain_1.Ohlc(0, (0, shared_1.d)(1), (0, shared_1.d)(3), shared_1.d.Zero, shared_1.d.Zero));
+                done();
+            }
+        });
+    });
+});
+describe(domain_1.mergeOhlc.name, () => {
+    test('should pipe and merge ohlc from history', done => {
+        const history$ = (0, rxjs_1.from)([
+            new domain_1.Ohlc(1, (0, shared_1.d)(1), (0, shared_1.d)(1.5), (0, shared_1.d)(0.5), (0, shared_1.d)(2)),
+            new domain_1.Ohlc(2, (0, shared_1.d)(2), (0, shared_1.d)(2.5), (0, shared_1.d)(1.5), (0, shared_1.d)(3)),
+            new domain_1.Ohlc(3, (0, shared_1.d)(3), (0, shared_1.d)(3.5), (0, shared_1.d)(2.5), (0, shared_1.d)(4))
+        ]);
+        const input$ = (0, rxjs_1.from)([
+            { timestamp: 3, rate: (0, shared_1.d)(5) },
+            { timestamp: 4, rate: (0, shared_1.d)(3) },
+            { timestamp: 5, rate: (0, shared_1.d)(4) }
+        ]);
+        const output = [
+            new domain_1.Ohlc(1, (0, shared_1.d)(1), (0, shared_1.d)(1.5), (0, shared_1.d)(0.5), (0, shared_1.d)(2)),
+            new domain_1.Ohlc(2, (0, shared_1.d)(2), (0, shared_1.d)(2.5), (0, shared_1.d)(1.5), (0, shared_1.d)(3)),
+            new domain_1.Ohlc(3, (0, shared_1.d)(3), (0, shared_1.d)(5), (0, shared_1.d)(2.5), (0, shared_1.d)(5)),
+            new domain_1.Ohlc(4, (0, shared_1.d)(5), (0, shared_1.d)(3), (0, shared_1.d)(3), (0, shared_1.d)(3)),
+            new domain_1.Ohlc(5, (0, shared_1.d)(3), (0, shared_1.d)(4), (0, shared_1.d)(4), (0, shared_1.d)(4))
+        ].reverse();
+        input$.pipe((0, domain_1.mergeOhlc)(1, it => it.rate, history$)).subscribe({
+            next: it => {
+                expect(it).toEqual(output.pop());
+                if (output.length === 0) {
+                    done();
+                }
+            }
+        });
+    });
+    test('should pipe and not merge ohlc from history', done => {
+        const history$ = (0, rxjs_1.from)([
+            new domain_1.Ohlc(1, (0, shared_1.d)(1), (0, shared_1.d)(1.5), (0, shared_1.d)(0.5), (0, shared_1.d)(2)),
+            new domain_1.Ohlc(2, (0, shared_1.d)(2), (0, shared_1.d)(2.5), (0, shared_1.d)(1.5), (0, shared_1.d)(3)),
+            new domain_1.Ohlc(3, (0, shared_1.d)(3), (0, shared_1.d)(3.5), (0, shared_1.d)(2.5), (0, shared_1.d)(4))
+        ]);
+        const input$ = (0, rxjs_1.from)([
+            { timestamp: 4, rate: (0, shared_1.d)(5) },
+            { timestamp: 5, rate: (0, shared_1.d)(3) },
+            { timestamp: 6, rate: (0, shared_1.d)(4) }
+        ]);
+        const output = [
+            new domain_1.Ohlc(1, (0, shared_1.d)(1), (0, shared_1.d)(1.5), (0, shared_1.d)(0.5), (0, shared_1.d)(2)),
+            new domain_1.Ohlc(2, (0, shared_1.d)(2), (0, shared_1.d)(2.5), (0, shared_1.d)(1.5), (0, shared_1.d)(3)),
+            new domain_1.Ohlc(3, (0, shared_1.d)(3), (0, shared_1.d)(3.5), (0, shared_1.d)(2.5), (0, shared_1.d)(4)),
+            new domain_1.Ohlc(4, (0, shared_1.d)(4), (0, shared_1.d)(5), (0, shared_1.d)(5), (0, shared_1.d)(5)),
+            new domain_1.Ohlc(5, (0, shared_1.d)(5), (0, shared_1.d)(3), (0, shared_1.d)(3), (0, shared_1.d)(3)),
+            new domain_1.Ohlc(6, (0, shared_1.d)(3), (0, shared_1.d)(4), (0, shared_1.d)(4), (0, shared_1.d)(4))
+        ].reverse();
+        input$.pipe((0, domain_1.mergeOhlc)(1, it => it.rate, history$)).subscribe({
+            next: it => {
+                expect(it).toEqual(output.pop());
+                if (output.length === 0) {
+                    done();
+                }
+            }
+        });
+    });
+});

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

@@ -1 +1 @@
-{"version":3,"file":"ohlc.d.ts","sourceRoot":"","sources":["../../src/domain/ohlc.ts"],"names":[],"mappings":"AAAA,OAAO,EAAE,OAAO,EAAE,SAAS,EAAE,MAAM,WAAW,CAAC;AAE/C,qBAAa,IAAI;IAEN,SAAS,EAAE,SAAS;IACpB,IAAI,EAAE,OAAO;IACb,IAAI,EAAE,OAAO;IACb,GAAG,EAAE,OAAO;IACZ,KAAK,EAAE,OAAO;IACd,MAAM,CAAC;gBALP,SAAS,EAAE,SAAS,EACpB,IAAI,EAAE,OAAO,EACb,IAAI,EAAE,OAAO,EACb,GAAG,EAAE,OAAO,EACZ,KAAK,EAAE,OAAO,EACd,MAAM,CAAC,qBAAS;IAGzB,KAAK,CAAC,KAAK,EAAE,OAAO;CAKrB"}
+{"version":3,"file":"ohlc.d.ts","sourceRoot":"","sources":["../../src/domain/ohlc.ts"],"names":[],"mappings":"AAAA,OAAO,EAAE,OAAO,EAAE,SAAS,EAAE,MAAM,aAAa,CAAC;AAEjD,qBAAa,IAAI;IAEN,SAAS,EAAE,SAAS;IACpB,IAAI,EAAE,OAAO;IACb,IAAI,EAAE,OAAO;IACb,GAAG,EAAE,OAAO;IACZ,KAAK,EAAE,OAAO;IACd,MAAM,CAAC;gBALP,SAAS,EAAE,SAAS,EACpB,IAAI,EAAE,OAAO,EACb,IAAI,EAAE,OAAO,EACb,GAAG,EAAE,OAAO,EACZ,KAAK,EAAE,OAAO,EACd,MAAM,CAAC,qBAAS;IAGzB,KAAK,CAAC,KAAK,EAAE,OAAO;CAKrB"}

package/dist/domain/ohlc.spec.d.ts

@@ -0,0 +1,2 @@
+export {};
+//# sourceMappingURL=ohlc.spec.d.ts.map

package/dist/domain/ohlc.spec.d.ts.map

@@ -0,0 +1 @@
+{"version":3,"file":"ohlc.spec.d.ts","sourceRoot":"","sources":["../../src/domain/ohlc.spec.ts"],"names":[],"mappings":""}

package/dist/domain/ohlc.spec.js

@@ -0,0 +1,25 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+const domain_1 = require("../domain");
+const shared_1 = require("../shared");
+describe('Ohlc', () => {
+    test('should construct a ohlc', () => {
+        const timestamp = (0, shared_1.now)();
+        const sut = new domain_1.Ohlc(timestamp, (0, shared_1.d)(2), (0, shared_1.d)(4), (0, shared_1.d)(1), (0, shared_1.d)(3));
+        expect(sut.timestamp).toEqual(timestamp);
+        expect(sut.open).toEqual((0, shared_1.d)(2));
+        expect(sut.high).toEqual((0, shared_1.d)(4));
+        expect(sut.low).toEqual((0, shared_1.d)(1));
+        expect(sut.close).toEqual((0, shared_1.d)(3));
+    });
+    test('should modify a ohlc', () => {
+        const timestamp = (0, shared_1.now)();
+        const sut = new domain_1.Ohlc(timestamp, (0, shared_1.d)(2), (0, shared_1.d)(4), (0, shared_1.d)(1), (0, shared_1.d)(3));
+        sut.apply((0, shared_1.d)(10));
+        expect(sut.timestamp).toEqual(timestamp);
+        expect(sut.open).toEqual((0, shared_1.d)(2));
+        expect(sut.high).toEqual((0, shared_1.d)(10));
+        expect(sut.low).toEqual((0, shared_1.d)(1));
+        expect(sut.close).toEqual((0, shared_1.d)(10));
+    });
+});

package/dist/domain/order-operator.d.ts

@@ -1,8 +1,6 @@
 import { Observable } from 'rxjs';
+import { Component, InstrumentSelector, Order } from '../domain';
 import { State } from '../store';
-import { Component } from './component';
-import { InstrumentSelector } from './instrument';
-import { Order } from './order';
 export declare function order(selector: InstrumentSelector): (source$: Observable<Component>) => Observable<Order>;
 export declare function orders(selector: InstrumentSelector, state: State): (source$: Observable<Component>) => Observable<readonly Order[]>;
 //# sourceMappingURL=order-operator.d.ts.map

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

@@ -1 +1 @@
-{"version":3,"file":"order-operator.d.ts","sourceRoot":"","sources":["../../src/domain/order-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,aAC/B,WAAW,SAAS,CAAC,uBAKvC;AAED,wBAAgB,MAAM,CAAC,QAAQ,EAAE,kBAAkB,EAAE,KAAK,EAAE,KAAK,aAC9C,WAAW,SAAS,CAAC,kCAMvC"}
+{"version":3,"file":"order-operator.d.ts","sourceRoot":"","sources":["../../src/domain/order-operator.ts"],"names":[],"mappings":"AAAA,OAAO,EAAe,UAAU,EAAa,MAAM,MAAM,CAAC;AAE1D,OAAO,EAAE,SAAS,EAAE,kBAAkB,EAAE,KAAK,EAAE,MAAM,aAAa,CAAC;AACnE,OAAO,EAAE,KAAK,EAAE,MAAM,YAAY,CAAC;AAEnC,wBAAgB,KAAK,CAAC,QAAQ,EAAE,kBAAkB,aAC/B,WAAW,SAAS,CAAC,uBAMvC;AAED,wBAAgB,MAAM,CAAC,QAAQ,EAAE,kBAAkB,EAAE,KAAK,EAAE,KAAK,aAC9C,WAAW,SAAS,CAAC,kCAQvC"}

package/dist/domain/order-operator.js

@@ -2,15 +2,15 @@
 Object.defineProperty(exports, "__esModule", { value: true });
 exports.orders = exports.order = void 0;
 const rxjs_1 = require("rxjs");
-const order_1 = require("./order");
+const domain_1 = require("../domain");
 function order(selector) {
-    return (source$) => source$.pipe((0, rxjs_1.filter)(it => it instanceof order_1.Order && it.instrument.id == selector.id), (0, rxjs_1.map)(it => it));
+    return (source$) => source$.pipe((0, rxjs_1.filter)(it => it !== undefined && it.type === domain_1.Order.type), (0, rxjs_1.map)(it => it), (0, rxjs_1.filter)(it => it.instrument.id === selector.id));
 }
 exports.order = order;
 function orders(selector, state) {
     return (source$) => {
         var _a, _b;
-        return source$.pipe((0, rxjs_1.filter)(it => it instanceof order_1.Order && it.instrument.id == selector.id), (0, rxjs_1.map)(() => { var _a, _b; return (_b = (_a = state.order.get(selector.id)) === null || _a === void 0 ? void 0 : _a.asReadonlyArray()) !== null && _b !== void 0 ? _b : []; }), (0, rxjs_1.startWith)((_b = (_a = state.order.get(selector.id)) === null || _a === void 0 ? void 0 : _a.asReadonlyArray()) !== null && _b !== void 0 ? _b : []));
+        return source$.pipe((0, rxjs_1.filter)(it => it.type === domain_1.Order.type), (0, rxjs_1.map)(it => it), (0, rxjs_1.filter)(it => it.instrument.id === selector.id), (0, rxjs_1.map)(() => { var _a, _b; return (_b = (_a = state.order.get(selector.id)) === null || _a === void 0 ? void 0 : _a.asReadonlyArray()) !== null && _b !== void 0 ? _b : []; }), (0, rxjs_1.startWith)((_b = (_a = state.order.get(selector.id)) === null || _a === void 0 ? void 0 : _a.asReadonlyArray()) !== null && _b !== void 0 ? _b : []));
     };
 }
 exports.orders = orders;

package/dist/domain/order-operator.spec.d.ts

@@ -0,0 +1,2 @@
+export {};
+//# sourceMappingURL=order-operator.spec.d.ts.map

package/dist/domain/order-operator.spec.d.ts.map

@@ -0,0 +1 @@
+{"version":3,"file":"order-operator.spec.d.ts","sourceRoot":"","sources":["../../src/domain/order-operator.spec.ts"],"names":[],"mappings":""}

package/dist/domain/order-operator.spec.js

@@ -0,0 +1,61 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+const rxjs_1 = require("rxjs");
+const domain_1 = require("../domain");
+const shared_1 = require("../shared");
+const store_1 = require("../store");
+const instrument = new domain_1.Instrument(0, new domain_1.Asset('abc', 'xyz', 4), new domain_1.Asset('def', 'xyz', 4), 'abc-def', domain_1.Commission.Zero);
+describe(domain_1.order.name, () => {
+    test('should pipe an order', done => {
+        new rxjs_1.BehaviorSubject(new domain_1.Order(0, '1', instrument, (0, shared_1.d)(-100), 0))
+            .pipe((0, domain_1.order)(instrument))
+            .subscribe({
+            next: it => {
+                expect(it.instrument).toEqual(instrument);
+                expect(it.quantity).toEqual((0, shared_1.d)(-100));
+                done();
+            }
+        });
+    });
+    test('should skip a pipe', done => {
+        new rxjs_1.BehaviorSubject(instrument).pipe((0, domain_1.order)(instrument)).subscribe({
+            next: () => fail(),
+            complete: done()
+        });
+    });
+});
+describe(domain_1.positions.name, () => {
+    let state;
+    let order1, order2, order3;
+    beforeEach(() => {
+        state = new store_1.State();
+        order1 = new domain_1.Order(0, '1', instrument, (0, shared_1.d)(-100), 0);
+        order2 = new domain_1.Order(0, '2', instrument, (0, shared_1.d)(100), 0, (0, shared_1.d)(10));
+        order3 = new domain_1.Order(0, '3', instrument, (0, shared_1.d)(100), 0);
+        state.order.upsert(new store_1.InnerSet(instrument.id, [order1, order2, order3]));
+    });
+    test('should pipe all orders on subscription start', done => {
+        order1.state = 'NEW';
+        order2.state = 'NEW';
+        order3.state = 'NEW';
+        new rxjs_1.Subject().pipe((0, domain_1.orders)(instrument, state)).subscribe({
+            next: it => {
+                expect(it.length).toEqual(3);
+                done();
+            }
+        });
+    });
+    test('should pipe pending orders on subscription start', done => {
+        order1.state = 'NEW';
+        order2.state = 'PENDING';
+        order3.state = 'PENDING';
+        new rxjs_1.Subject()
+            .pipe((0, domain_1.orders)(instrument, state), (0, rxjs_1.map)(it => it.filter(order => order.state === 'PENDING')))
+            .subscribe({
+            next: it => {
+                expect(it.length).toEqual(2);
+                done();
+            }
+        });
+    });
+});

package/dist/domain/order.d.ts

@@ -1,9 +1,7 @@
+import { Balance, Component, Fundable, Instrument } from '../domain';
 import { decimal } from '../shared';
-import { Balance } from './balance';
-import { Component } from './component';
-import { Instrument } from './instrument';
 export declare type OrderState = 'NEW' | 'PENDING' | 'FILLED' | 'CANCELING' | 'CANCELED' | 'REJECTED';
-export declare class Order implements Component {
+export declare class Order implements Fundable, Component {
     timestamp: number;
     readonly id: string;
     readonly instrument: Instrument;
@@ -11,14 +9,13 @@ export declare class Order implements Component {
     createdAt: number;
     readonly rate?: decimal | undefined;
     readonly stopRate?: decimal | undefined;
+    static type: number;
+    readonly type: number;
     state: OrderState;
     quantityExecuted: decimal;
     averageExecutionRate?: decimal;
     externalId?: string;
     constructor(timestamp: number, id: string, instrument: Instrument, quantity: decimal, createdAt: number, rate?: decimal | undefined, stopRate?: decimal | undefined);
-    calculateBalanceToLock(base: Balance, quote: Balance): {
-        base?: decimal;
-        quote?: decimal;
-    };
+    getFundingAmount(balance: Balance): decimal;
 }
 //# sourceMappingURL=order.d.ts.map

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

@@ -1 +1 @@
-{"version":3,"file":"order.d.ts","sourceRoot":"","sources":["../../src/domain/order.ts"],"names":[],"mappings":"AAAA,OAAO,EAAK,OAAO,EAAE,MAAM,WAAW,CAAC;AACvC,OAAO,EAAE,OAAO,EAAE,MAAM,WAAW,CAAC;AACpC,OAAO,EAAE,SAAS,EAAE,MAAM,aAAa,CAAC;AAExC,OAAO,EAAE,UAAU,EAAE,MAAM,cAAc,CAAC;AAE1C,oBAAY,UAAU,GAClB,KAAK,GACL,SAAS,GACT,QAAQ,GACR,WAAW,GACX,UAAU,GACV,UAAU,CAAC;AAEf,qBAAa,KAAM,YAAW,SAAS;IAO5B,SAAS,EAAE,MAAM;IACxB,QAAQ,CAAC,EAAE,EAAE,MAAM;IACnB,QAAQ,CAAC,UAAU,EAAE,UAAU;IAC/B,QAAQ,CAAC,QAAQ,EAAE,OAAO;IACnB,SAAS,EAAE,MAAM;IACxB,QAAQ,CAAC,IAAI,CAAC;IACd,QAAQ,CAAC,QAAQ,CAAC;IAZpB,KAAK,EAAE,UAAU,CAAS;IAC1B,gBAAgB,UAAU;IAC1B,oBAAoB,CAAC,EAAE,OAAO,CAAC;IAC/B,UAAU,CAAC,EAAE,MAAM,CAAC;gBAGX,SAAS,EAAE,MAAM,EACf,EAAE,EAAE,MAAM,EACV,UAAU,EAAE,UAAU,EACtB,QAAQ,EAAE,OAAO,EACnB,SAAS,EAAE,MAAM,EACf,IAAI,CAAC,qBAAS,EACd,QAAQ,CAAC,qBAAS;IAW7B,sBAAsB,CACpB,IAAI,EAAE,OAAO,EACb,KAAK,EAAE,OAAO,GACb;QAAE,IAAI,CAAC,EAAE,OAAO,CAAC;QAAC,KAAK,CAAC,EAAE,OAAO,CAAA;KAAE;CA0BvC"}
+{"version":3,"file":"order.d.ts","sourceRoot":"","sources":["../../src/domain/order.ts"],"names":[],"mappings":"AAAA,OAAO,EACL,OAAO,EACP,SAAS,EACT,QAAQ,EACR,UAAU,EAEX,MAAM,aAAa,CAAC;AACrB,OAAO,EAAK,OAAO,EAAQ,MAAM,aAAa,CAAC;AAE/C,oBAAY,UAAU,GAClB,KAAK,GACL,SAAS,GACT,QAAQ,GACR,WAAW,GACX,UAAU,GACV,UAAU,CAAC;AAEf,qBAAa,KAAM,YAAW,QAAQ,EAAE,SAAS;IAUtC,SAAS,EAAE,MAAM;IACxB,QAAQ,CAAC,EAAE,EAAE,MAAM;IACnB,QAAQ,CAAC,UAAU,EAAE,UAAU;IAC/B,QAAQ,CAAC,QAAQ,EAAE,OAAO;IACnB,SAAS,EAAE,MAAM;IACxB,QAAQ,CAAC,IAAI,CAAC;IACd,QAAQ,CAAC,QAAQ,CAAC;IAfpB,MAAM,CAAC,IAAI,SAAoB;IAC/B,QAAQ,CAAC,IAAI,SAAc;IAE3B,KAAK,EAAE,UAAU,CAAS;IAC1B,gBAAgB,UAAU;IAC1B,oBAAoB,CAAC,EAAE,OAAO,CAAC;IAC/B,UAAU,CAAC,EAAE,MAAM,CAAC;gBAGX,SAAS,EAAE,MAAM,EACf,EAAE,EAAE,MAAM,EACV,UAAU,EAAE,UAAU,EACtB,QAAQ,EAAE,OAAO,EACnB,SAAS,EAAE,MAAM,EACf,IAAI,CAAC,qBAAS,EACd,QAAQ,CAAC,qBAAS;IAW7B,gBAAgB,CAAC,OAAO,EAAE,OAAO,GAAG,OAAO;CAoB5C"}

package/dist/domain/order.js

@@ -1,8 +1,8 @@
 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
 exports.Order = void 0;
+const domain_1 = require("../domain");
 const shared_1 = require("../shared");
-const error_1 = require("./error");
 class Order {
     constructor(timestamp, id, instrument, quantity, createdAt, rate, stopRate) {
         this.timestamp = timestamp;
@@ -12,38 +12,30 @@ class Order {
         this.createdAt = createdAt;
         this.rate = rate;
         this.stopRate = stopRate;
+        this.type = Order.type;
         this.state = 'NEW';
         this.quantityExecuted = shared_1.d.Zero;
         if (!quantity || Number.isNaN(quantity)) {
-            throw (0, error_1.invalidArgumentError)(quantity);
+            throw new domain_1.InvalidArgumentsError({ quantity });
         }
         if (rate && rate.lessThanOrEqualTo(0)) {
-            throw (0, error_1.invalidArgumentError)(rate);
+            throw new domain_1.InvalidArgumentsError({ rate });
         }
     }
-    calculateBalanceToLock(base, quote) {
-        const qty = this.quantity.abs();
-        if (this.quantity.greaterThan(0)) {
+    getFundingAmount(balance) {
+        const quantityLeft = this.quantity.abs().minus(this.quantityExecuted);
+        if (this.instrument.quote.id === balance.asset.id &&
+            this.quantity.greaterThan(shared_1.d.Zero)) {
             if (this.rate) {
-                return {
-                    base: shared_1.d.Zero,
-                    quote: quote.asset.ceil(this.rate.mul(qty))
-                };
-            }
-            else {
-                return {
-                    base: shared_1.d.Zero,
-                    quote: quote.free
-                };
+                return quantityLeft.mul(this.rate).abs();
             }
+            return balance.free;
         }
-        if (this.quantity.lessThan(0)) {
-            return {
-                base: qty,
-                quote: shared_1.d.Zero
-            };
+        if (this.instrument.base.id === balance.asset.id && this.quantity.lessThan(shared_1.d.Zero)) {
+            return quantityLeft;
         }
-        return {};
+        return shared_1.d.Zero;
     }
 }
 exports.Order = Order;
+Order.type = (0, shared_1.hash)(Order.name);

package/dist/domain/order.spec.d.ts

@@ -0,0 +1,2 @@
+export {};
+//# sourceMappingURL=order.spec.d.ts.map

package/dist/domain/order.spec.d.ts.map

@@ -0,0 +1 @@
+{"version":3,"file":"order.spec.d.ts","sourceRoot":"","sources":["../../src/domain/order.spec.ts"],"names":[],"mappings":""}

package/dist/domain/order.spec.js

@@ -0,0 +1,27 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+const domain_1 = require("../domain");
+const shared_1 = require("../shared");
+describe(domain_1.Order.name, () => {
+    const instrument = new domain_1.Instrument(0, new domain_1.Asset('abc', 'xyz', 4), new domain_1.Asset('def', 'xyz', 4), 'abc-def', domain_1.Commission.Zero);
+    test('should construct a market buy order', () => {
+        const sut = new domain_1.Order(0, '1', instrument, (0, shared_1.d)(100), 0);
+        expect(sut.quantity).toEqual((0, shared_1.d)(100));
+        expect(sut.rate).toEqual(undefined);
+    });
+    test('should construct a market sell order', () => {
+        const sut = new domain_1.Order(0, '1', instrument, (0, shared_1.d)(-100), 0);
+        expect(sut.quantity).toEqual((0, shared_1.d)(-100));
+        expect(sut.rate).toEqual(undefined);
+    });
+    test('should construct a limit buy order', () => {
+        const sut = new domain_1.Order(0, '1', instrument, (0, shared_1.d)(100), 0, (0, shared_1.d)(2000));
+        expect(sut.quantity).toEqual((0, shared_1.d)(100));
+        expect(sut.rate).toEqual((0, shared_1.d)(2000));
+    });
+    test('should construct a limit sell order', () => {
+        const sut = new domain_1.Order(0, '1', instrument, (0, shared_1.d)(-100), 0, (0, shared_1.d)(2000));
+        expect(sut.quantity).toEqual((0, shared_1.d)(-100));
+        expect(sut.rate).toEqual((0, shared_1.d)(2000));
+    });
+});

package/dist/domain/orderbook-operator.d.ts

@@ -1,7 +1,5 @@
 import { Observable } from 'rxjs';
+import { Component, InstrumentSelector, Orderbook } from '../domain';
 import { State } from '../store';
-import { Component } from './component';
-import { InstrumentSelector } from './instrument';
-import { Orderbook } from './orderbook';
 export declare function orderbook(selector: InstrumentSelector, state: State): (source$: Observable<Component>) => Observable<Orderbook>;
 //# sourceMappingURL=orderbook-operator.d.ts.map

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

@@ -1 +1 @@
-{"version":3,"file":"orderbook-operator.d.ts","sourceRoot":"","sources":["../../src/domain/orderbook-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,SAAS,EAAE,MAAM,aAAa,CAAC;AAExC,wBAAgB,SAAS,CAAC,QAAQ,EAAE,kBAAkB,EAAE,KAAK,EAAE,KAAK,aACjD,WAAW,SAAS,CAAC,2BAMvC"}
+{"version":3,"file":"orderbook-operator.d.ts","sourceRoot":"","sources":["../../src/domain/orderbook-operator.ts"],"names":[],"mappings":"AAAA,OAAO,EAAe,UAAU,EAAa,MAAM,MAAM,CAAC;AAE1D,OAAO,EAAE,SAAS,EAAE,kBAAkB,EAAE,SAAS,EAAE,MAAM,aAAa,CAAC;AACvE,OAAO,EAAE,KAAK,EAAE,MAAM,YAAY,CAAC;AAEnC,wBAAgB,SAAS,CAAC,QAAQ,EAAE,kBAAkB,EAAE,KAAK,EAAE,KAAK,aACjD,WAAW,SAAS,CAAC,2BAOvC"}

package/dist/domain/orderbook-operator.js

@@ -2,8 +2,8 @@
 Object.defineProperty(exports, "__esModule", { value: true });
 exports.orderbook = void 0;
 const rxjs_1 = require("rxjs");
-const orderbook_1 = require("./orderbook");
+const domain_1 = require("../domain");
 function orderbook(selector, state) {
-    return (source$) => source$.pipe((0, rxjs_1.startWith)(state.orderbook.get(selector.id)), (0, rxjs_1.filter)(it => it instanceof orderbook_1.Orderbook && it.instrument.id == selector.id), (0, rxjs_1.map)(it => it));
+    return (source$) => source$.pipe((0, rxjs_1.startWith)(state.orderbook.get(selector.id)), (0, rxjs_1.filter)(it => it !== undefined && it.type === domain_1.Orderbook.type), (0, rxjs_1.map)(it => it), (0, rxjs_1.filter)(it => it.instrument.id === selector.id));
 }
 exports.orderbook = orderbook;

package/dist/domain/orderbook-operator.spec.d.ts

@@ -0,0 +1,2 @@
+export {};
+//# sourceMappingURL=orderbook-operator.spec.d.ts.map

package/dist/domain/orderbook-operator.spec.d.ts.map

@@ -0,0 +1 @@
+{"version":3,"file":"orderbook-operator.spec.d.ts","sourceRoot":"","sources":["../../src/domain/orderbook-operator.spec.ts"],"names":[],"mappings":""}

package/dist/domain/orderbook-operator.spec.js

@@ -0,0 +1,19 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+const rxjs_1 = require("rxjs");
+const domain_1 = require("../domain");
+const shared_1 = require("../shared");
+const store_1 = require("../store");
+describe(domain_1.orderbook.name, () => {
+    const instrument = new domain_1.Instrument(0, new domain_1.Asset('abc', 'xyz', 4), new domain_1.Asset('def', 'xyz', 4), 'abc-def', domain_1.Commission.Zero);
+    test('should pipe an orderbook on subscription', done => {
+        const state = new store_1.State();
+        state.orderbook.upsert(new domain_1.Orderbook(0, instrument, { rate: (0, shared_1.d)(2), quantity: (0, shared_1.d)(1), next: undefined }, { rate: (0, shared_1.d)(1), quantity: (0, shared_1.d)(1), next: undefined }));
+        new rxjs_1.Subject().pipe((0, domain_1.orderbook)(instrument, state)).subscribe({
+            next: it => {
+                expect(it.id).toEqual(instrument.id);
+                done();
+            }
+        });
+    });
+});

package/dist/domain/orderbook.d.ts

@@ -1,6 +1,5 @@
-import { Instrument } from '../domain';
+import { Component, Instrument } from '../domain';
 import { decimal } from '../shared';
-import { Component } from './component';
 export interface Liquidity {
     rate: decimal;
     quantity: decimal;
@@ -24,6 +23,8 @@ export declare class Orderbook implements Component {
     readonly instrument: Instrument;
     asks: Liquidity;
     bids: Liquidity;
+    static type: number;
+    readonly type: number;
     readonly id: string;
     constructor(timestamp: number, instrument: Instrument, asks: Liquidity, bids: Liquidity);
 }

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

@@ -1 +1 @@
-{"version":3,"file":"orderbook.d.ts","sourceRoot":"","sources":["../../src/domain/orderbook.ts"],"names":[],"mappings":"AAAA,OAAO,EAAE,UAAU,EAAE,MAAM,WAAW,CAAC;AACvC,OAAO,EAAE,OAAO,EAAE,MAAM,WAAW,CAAC;AACpC,OAAO,EAAE,SAAS,EAAE,MAAM,aAAa,CAAC;AAExC,MAAM,WAAW,SAAS;IACxB,IAAI,EAAE,OAAO,CAAC;IACd,QAAQ,EAAE,OAAO,CAAC;IAClB,IAAI,EAAE,IAAI,GAAG,SAAS,CAAC;CACxB;AAED,eAAO,MAAM,oBAAoB,QAAS;IAAE,IAAI,EAAE,OAAO,CAAA;CAAE,OAAO;IAAE,IAAI,EAAE,OAAO,CAAA;CAAE,WACpD,CAAC;AAChC,eAAO,MAAM,oBAAoB,QAAS;IAAE,IAAI,EAAE,OAAO,CAAA;CAAE,OAAO;IAAE,IAAI,EAAE,OAAO,CAAA;CAAE,WACpD,CAAC;AAEhC;;GAEG;AACH,qBAAa,SAAU,YAAW,SAAS;IAIhC,SAAS,EAAE,MAAM;aACR,UAAU,EAAE,UAAU;IAC/B,IAAI,EAAE,SAAS;IACf,IAAI,EAAE,SAAS;IANxB,QAAQ,CAAC,EAAE,EAAE,MAAM,CAAC;gBAGX,SAAS,EAAE,MAAM,EACR,UAAU,EAAE,UAAU,EAC/B,IAAI,EAAE,SAAS,EACf,IAAI,EAAE,SAAS;CAIzB"}
+{"version":3,"file":"orderbook.d.ts","sourceRoot":"","sources":["../../src/domain/orderbook.ts"],"names":[],"mappings":"AAAA,OAAO,EAAE,SAAS,EAAE,UAAU,EAAE,MAAM,aAAa,CAAC;AACpD,OAAO,EAAE,OAAO,EAAQ,MAAM,aAAa,CAAC;AAE5C,MAAM,WAAW,SAAS;IACxB,IAAI,EAAE,OAAO,CAAC;IACd,QAAQ,EAAE,OAAO,CAAC;IAClB,IAAI,EAAE,IAAI,GAAG,SAAS,CAAC;CACxB;AAED,eAAO,MAAM,oBAAoB,QAAS;IAAE,IAAI,EAAE,OAAO,CAAA;CAAE,OAAO;IAAE,IAAI,EAAE,OAAO,CAAA;CAAE,WACpD,CAAC;AAChC,eAAO,MAAM,oBAAoB,QAAS;IAAE,IAAI,EAAE,OAAO,CAAA;CAAE,OAAO;IAAE,IAAI,EAAE,OAAO,CAAA;CAAE,WACpD,CAAC;AAEhC;;GAEG;AACH,qBAAa,SAAU,YAAW,SAAS;IAOhC,SAAS,EAAE,MAAM;aACR,UAAU,EAAE,UAAU;IAC/B,IAAI,EAAE,SAAS;IACf,IAAI,EAAE,SAAS;IATxB,MAAM,CAAC,IAAI,SAAwB;IACnC,QAAQ,CAAC,IAAI,SAAkB;IAE/B,QAAQ,CAAC,EAAE,EAAE,MAAM,CAAC;gBAGX,SAAS,EAAE,MAAM,EACR,UAAU,EAAE,UAAU,EAC/B,IAAI,EAAE,SAAS,EACf,IAAI,EAAE,SAAS;CAIzB"}

package/dist/domain/orderbook.js

@@ -1,6 +1,7 @@
 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
 exports.Orderbook = exports.LiquidityBidComparer = exports.LiquidityAskComparer = void 0;
+const shared_1 = require("../shared");
 const LiquidityAskComparer = (lhs, rhs) => lhs.rate.comparedTo(rhs.rate);
 exports.LiquidityAskComparer = LiquidityAskComparer;
 const LiquidityBidComparer = (lhs, rhs) => rhs.rate.comparedTo(lhs.rate);
@@ -14,7 +15,9 @@ class Orderbook {
         this.instrument = instrument;
         this.asks = asks;
         this.bids = bids;
+        this.type = Orderbook.type;
         this.id = instrument.id;
     }
 }
 exports.Orderbook = Orderbook;
+Orderbook.type = (0, shared_1.hash)(Orderbook.name);

package/dist/domain/orderbook.spec.d.ts

@@ -0,0 +1,2 @@
+export {};
+//# sourceMappingURL=orderbook.spec.d.ts.map

package/dist/domain/orderbook.spec.d.ts.map

@@ -0,0 +1 @@
+{"version":3,"file":"orderbook.spec.d.ts","sourceRoot":"","sources":["../../src/domain/orderbook.spec.ts"],"names":[],"mappings":""}

package/dist/domain/orderbook.spec.js

@@ -0,0 +1,11 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+const domain_1 = require("../domain");
+const shared_1 = require("../shared");
+describe(domain_1.Orderbook.name, () => {
+    const instrument = new domain_1.Instrument(0, new domain_1.Asset('abc', 'xyz', 4), new domain_1.Asset('def', 'xyz', 4), 'abc-def', domain_1.Commission.Zero);
+    test('should construct an empty orderbook', () => {
+        const sut = new domain_1.Orderbook(0, instrument, { rate: (0, shared_1.d)(2), quantity: (0, shared_1.d)(1), next: undefined }, { rate: (0, shared_1.d)(1), quantity: (0, shared_1.d)(1), next: undefined });
+        expect(sut.id).toEqual(instrument.id);
+    });
+});

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

@@ -1,9 +1,7 @@
 import { Observable } from 'rxjs';
+import { Component, InstrumentSelector, Position } from '../domain';
 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<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<{

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

@@ -1 +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"}
+{"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,EACL,SAAS,EACT,kBAAkB,EAElB,QAAQ,EACT,MAAM,aAAa,CAAC;AACrB,OAAO,EAAK,OAAO,EAAgB,MAAM,aAAa,CAAC;AACvD,OAAO,EAAE,KAAK,EAAE,MAAM,YAAY,CAAC;AAEnC,wBAAgB,QAAQ,CAAC,QAAQ,EAAE,kBAAkB,YACnC,WAAW,SAAS,CAAC,oCAMtC;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

@@ -2,17 +2,16 @@
 Object.defineProperty(exports, "__esModule", { value: true });
 exports.flatten = exports.positions = exports.position = void 0;
 const rxjs_1 = require("rxjs");
+const domain_1 = require("../domain");
 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 instanceof position_1.Position && it.instrument.id == selector.id), (0, rxjs_1.map)(it => it));
+    return (source) => source.pipe((0, rxjs_1.filter)(it => it.type === domain_1.Position.type), (0, rxjs_1.map)(it => it), (0, rxjs_1.filter)(it => it.instrument.id === selector.id));
 }
 exports.position = position;
 function positions(selector, state) {
     const balance = state.balance.get(selector.quote.id);
     if (!balance) {
-        throw (0, error_1.invalidInstrumentSelectorError)(selector.id);
+        throw new domain_1.InvalidInstrumentSelectorError(selector.id);
     }
     const getter = () => Object.values(balance.position)
         .filter(it => it.instrument.id == selector.id)

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

@@ -0,0 +1,2 @@
+export {};
+//# sourceMappingURL=position-operator.spec.d.ts.map

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

@@ -0,0 +1 @@
+{"version":3,"file":"position-operator.spec.d.ts","sourceRoot":"","sources":["../../src/domain/position-operator.spec.ts"],"names":[],"mappings":""}