@quantform/core 0.6.5 → 0.6.7

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

@@ -0,0 +1,44 @@
+"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.position.name, () => {
+    test('should pipe a position', done => {
+        new rxjs_1.BehaviorSubject(new domain_1.Position(0, '1', instrument, 'CROSS', (0, shared_1.d)(10), (0, shared_1.d)(2), 3))
+            .pipe((0, domain_1.position)(instrument))
+            .subscribe({
+            next: it => {
+                expect(it.id).toEqual('1');
+                done();
+            }
+        });
+    });
+    test('should skip a pipe', done => {
+        new rxjs_1.BehaviorSubject(instrument).pipe((0, domain_1.position)(instrument)).subscribe({
+            next: () => fail(),
+            complete: done()
+        });
+    });
+});
+describe(domain_1.positions.name, () => {
+    const state = new store_1.State();
+    const balance = new domain_1.Balance(0, instrument.quote);
+    const position1 = new domain_1.Position(0, '1', instrument, 'CROSS', (0, shared_1.d)(10), (0, shared_1.d)(2), 3);
+    const position2 = new domain_1.Position(0, '2', instrument, 'CROSS', (0, shared_1.d)(20), (0, shared_1.d)(2), 3);
+    beforeEach(() => {
+        state.balance.upsert(balance);
+        balance.position['1'] = position1;
+        balance.position['2'] = position2;
+    });
+    test('should pipe an array of positions on subscription start', done => {
+        new rxjs_1.Subject().pipe((0, domain_1.positions)(instrument, state)).subscribe({
+            next: it => {
+                expect(it.length).toEqual(2);
+                done();
+            }
+        });
+    });
+});

package/dist/domain/position.d.ts

@@ -1,6 +1,5 @@
-import { Instrument } from '../domain';
+import { Component, Instrument } from '../domain';
 import { decimal } from '../shared';
-import { Component } from './component';
 export declare type PositionMode = 'CROSS' | 'ISOLATED';
 export declare class Position implements Component {
     timestamp: number;
@@ -10,6 +9,8 @@ export declare class Position implements Component {
     averageExecutionRate: decimal;
     size: decimal;
     leverage: number;
+    static type: number;
+    readonly type: number;
     estimatedUnrealizedPnL?: decimal;
     get margin(): decimal;
     constructor(timestamp: number, id: string, instrument: Instrument, mode: PositionMode, averageExecutionRate: decimal, size: decimal, leverage: number);

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

@@ -1 +1 @@
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+{"version":3,"file":"position.d.ts","sourceRoot":"","sources":["../../src/domain/position.ts"],"names":[],"mappings":"AAAA,OAAO,EAAE,SAAS,EAAE,UAAU,EAAE,MAAM,aAAa,CAAC;AACpD,OAAO,EAAE,OAAO,EAAa,MAAM,aAAa,CAAC;AAEjD,oBAAY,YAAY,GAAG,OAAO,GAAG,UAAU,CAAC;AAEhD,qBAAa,QAAS,YAAW,SAAS;IAW/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;IAhBzB,MAAM,CAAC,IAAI,SAAuB;IAClC,QAAQ,CAAC,IAAI,SAAiB;IAE9B,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

@@ -11,6 +11,7 @@ class Position {
         this.averageExecutionRate = averageExecutionRate;
         this.size = size;
         this.leverage = leverage;
+        this.type = Position.type;
     }
     get margin() {
         return this.instrument.quote.floor(this.size.abs().div(this.leverage));
@@ -21,3 +22,4 @@ class Position {
     }
 }
 exports.Position = Position;
+Position.type = (0, shared_1.hash)(Position.name);

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

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

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

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

package/dist/domain/position.spec.js

@@ -0,0 +1,28 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+const domain_1 = require("../domain");
+const shared_1 = require("../shared");
+describe(domain_1.Position.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 position', () => {
+        const sut = new domain_1.Position(0, '1', instrument, 'CROSS', (0, shared_1.d)(10), (0, shared_1.d)(2), 3);
+        expect(sut.id).toEqual('1');
+        expect(sut.mode).toEqual('CROSS');
+        expect(sut.averageExecutionRate).toEqual((0, shared_1.d)(10));
+        expect(sut.size).toEqual((0, shared_1.d)(2));
+        expect(sut.leverage).toEqual(3);
+        expect(sut.estimatedUnrealizedPnL).toEqual(undefined);
+        expect(sut.id).toEqual('1');
+    });
+    test('should calculate correct margin', () => {
+        const sut = new domain_1.Position(0, '1', instrument, 'CROSS', (0, shared_1.d)(2511.81), (0, shared_1.d)(10.31), 20);
+        expect(sut.margin).toEqual((0, shared_1.d)(0.5155));
+        expect(sut.estimatedUnrealizedPnL).toEqual(undefined);
+    });
+    test('should calculate correct unrealized pnl', () => {
+        const sut = new domain_1.Position(0, '1', instrument, 'CROSS', (0, shared_1.d)(2511.81), (0, shared_1.d)(10.31), 20);
+        const pnl = sut.calculateEstimatedUnrealizedPnL((0, shared_1.d)(2576.44));
+        expect(pnl).toEqual((0, shared_1.d)(0.2652));
+        expect(sut.estimatedUnrealizedPnL).toEqual((0, shared_1.d)(0.2652));
+    });
+});

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

@@ -1,11 +1,15 @@
 import { AdapterFactory, BacktesterListener, BacktesterStreamer } from '../adapter';
+import { AssetSelector, Session } from '../domain';
 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 function simulate({ period, balance }: {
+    period: {
+        from: Date;
+        to?: Date;
+    };
+    balance: [AssetSelector, decimal][];
+}): SessionFeature;
 export declare class SessionBuilder {
     id: number;
     adapter: AdapterFactory[];

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

@@ -1 +1 @@
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+{"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,cAAc,CAAC;AACtB,OAAO,EAAE,aAAa,EAAE,OAAO,EAAE,MAAM,aAAa,CAAC;AACrD,OAAO,EAAE,OAAO,EAAO,MAAM,aAAa,CAAC;AAC3C,OAAO,EAKL,cAAc,EACf,MAAM,cAAc,CAAC;AAGtB,oBAAY,cAAc,GAAG,CAAC,OAAO,EAAE,cAAc,KAAK,IAAI,CAAC;AAE/D,wBAAgB,QAAQ,CAAC,EACvB,MAAM,EACN,OAAO,EACR,EAAE;IACD,MAAM,EAAE;QAAE,IAAI,EAAE,IAAI,CAAC;QAAC,EAAE,CAAC,EAAE,IAAI,CAAA;KAAE,CAAC;IAClC,OAAO,EAAE,CAAC,aAAa,EAAE,OAAO,CAAC,EAAE,CAAC;CACrC,GAAG,cAAc,CAKjB;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

@@ -1,24 +1,19 @@
 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
-exports.SessionBuilder = exports.period = exports.deposit = void 0;
+exports.SessionBuilder = exports.simulate = void 0;
 const adapter_1 = require("../adapter");
+const domain_1 = require("../domain");
 const shared_1 = require("../shared");
 const storage_1 = require("../storage");
 const store_1 = require("../store");
-const session_1 = require("./session");
-function deposit(selector, amount) {
+function simulate({ period, balance }) {
     return (builder) => {
-        builder.useBalance(selector, amount);
+        var _a, _b;
+        builder.usePeriod(period.from.getTime(), (_b = (_a = period.to) === null || _a === void 0 ? void 0 : _a.getTime()) !== null && _b !== void 0 ? _b : (0, shared_1.now)());
+        balance.forEach(([selector, amount]) => 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;
+exports.simulate = simulate;
 class SessionBuilder {
     constructor() {
         this.id = (0, shared_1.now)();
@@ -77,7 +72,7 @@ class SessionBuilder {
         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);
+        const session = new domain_1.Session(this.id, store, aggregate, measurement);
         return [session, streamer];
     }
     /**
@@ -89,7 +84,7 @@ class SessionBuilder {
         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);
+        return new domain_1.Session(this.id, store, aggregate, measurement);
     }
     /**
      * Starts a new live session.
@@ -100,7 +95,7 @@ class SessionBuilder {
         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);
+        return new domain_1.Session(this.id, store, aggregate, measurement);
     }
 }
 exports.SessionBuilder = SessionBuilder;

package/dist/domain/session.d.ts

@@ -1,5 +1,5 @@
 import { Observable } from 'rxjs';
-import { AdapterAggregate } from '../adapter/adapter-aggregate';
+import { AdapterAggregate } from '../adapter';
 import { AssetSelector, Balance, Instrument, InstrumentSelector, Ohlc, Order, Orderbook, Position, Trade } from '../domain';
 import { decimal } from '../shared';
 import { Measurement } from '../storage';

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

@@ -1 +1 @@
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+{"version":3,"file":"session.d.ts","sourceRoot":"","sources":["../../src/domain/session.ts"],"names":[],"mappings":"AAAA,OAAO,EAOL,UAAU,EAQX,MAAM,MAAM,CAAC;AAGd,OAAO,EAAE,gBAAgB,EAAE,MAAM,cAAc,CAAC;AAChD,OAAO,EACL,aAAa,EACb,OAAO,EAEP,UAAU,EAGV,kBAAkB,EAElB,IAAI,EACJ,KAAK,EAEL,SAAS,EAGT,QAAQ,EAGR,KAAK,EAEN,MAAM,aAAa,CAAC;AACrB,OAAO,EAAE,OAAO,EAAE,MAAM,aAAa,CAAC;AACtC,OAAO,EAAE,WAAW,EAAE,MAAM,cAAc,CAAC;AAC3C,OAAO,EAAE,KAAK,EAAE,MAAM,YAAY,CAAC;AAEnC,aAAK,QAAQ,CAAC,CAAC,EAAE,CAAC,SAAS,MAAM,CAAC,IAAI,IAAI,CAAC,CAAC,EAAE,CAAC,CAAC,GAAG,OAAO,CAAC,CAAC,CAAC,CAAC;AAE9D,qBAAa,OAAO;IAQhB,QAAQ,CAAC,EAAE,EAAE,MAAM;IACnB,QAAQ,CAAC,KAAK,EAAE,KAAK;IACrB,QAAQ,CAAC,SAAS,EAAE,gBAAgB;IACpC,QAAQ,CAAC,WAAW,EAAE,WAAW,GAAG,SAAS;IAV/C,OAAO,CAAC,WAAW,CAAS;IAE5B,IAAI,SAAS,IAAI,MAAM,CAEtB;gBAGU,EAAE,EAAE,MAAM,EACV,KAAK,EAAE,KAAK,EACZ,SAAS,EAAE,gBAAgB,EAC3B,WAAW,EAAE,WAAW,GAAG,SAAS;IAGzC,KAAK,IAAI,OAAO,CAAC,IAAI,CAAC;IAWtB,OAAO,IAAI,OAAO,CAAC,IAAI,CAAC;IAY9B;;;OAGG;IACH,SAAS,CAAC,UAAU,EAAE,KAAK,CAAC,kBAAkB,CAAC,GAAG,OAAO,CAAC,IAAI,CAAC;IAI/D;;OAEG;IACH,IAAI,CAAC,KAAK,EAAE;QACV,UAAU,EAAE,kBAAkB,CAAC;QAC/B,QAAQ,EAAE,OAAO,CAAC;QAClB,IAAI,CAAC,EAAE,OAAO,CAAC;KAChB,GAAG,UAAU,CAAC,QAAQ,CAAC,KAAK,CAAC,CAAC;IAuB/B;;OAEG;IACH,MAAM,CAAC,KAAK,EAAE,KAAK,GAAG,UAAU,CAAC,QAAQ,CAAC,KAAK,CAAC,CAAC;IAMjD;;;OAGG;IACH,UAAU,CAAC,QAAQ,EAAE,kBAAkB,GAAG,UAAU,CAAC,QAAQ,CAAC,UAAU,CAAC,CAAC;IAM1E;;;OAGG;IACH,WAAW,IAAI,UAAU,CAAC,QAAQ,CAAC,UAAU,EAAE,CAAC,CAAC;IAIjD;;OAEG;IACH,OAAO,CAAC,QAAQ,EAAE,aAAa,GAAG,UAAU,CAAC,QAAQ,CAAC,OAAO,CAAC,CAAC;IAI/D;;OAEG;IACH,KAAK,CAAC,QAAQ,EAAE,kBAAkB,GAAG,UAAU,CAAC,QAAQ,CAAC,KAAK,CAAC,CAAC;IAMhE;;;OAGG;IACH,SAAS,CAAC,QAAQ,EAAE,kBAAkB,GAAG,UAAU,CAAC,QAAQ,CAAC,SAAS,CAAC,CAAC;IAMxE;;OAEG;IACH,QAAQ,CAAC,QAAQ,EAAE,kBAAkB,GAAG,UAAU,CAAC,QAAQ,CAAC,QAAQ,CAAC,CAAC;IAMtE;;OAEG;IACH,SAAS,CAAC,QAAQ,EAAE,kBAAkB,GAAG,UAAU,CAAC,QAAQ,CAAC,QAAQ,EAAE,CAAC,CAAC;IAMzE,KAAK,CAAC,QAAQ,EAAE,kBAAkB,GAAG,UAAU,CAAC,QAAQ,CAAC,KAAK,CAAC,CAAC;IAMhE,MAAM,CAAC,QAAQ,EAAE,kBAAkB,GAAG,UAAU,CAAC,QAAQ,CAAC,KAAK,EAAE,CAAC,CAAC;IAMnE,OAAO,CACL,QAAQ,EAAE,kBAAkB,EAC5B,SAAS,EAAE,MAAM,EACjB,MAAM,EAAE,MAAM,GACb,UAAU,CAAC,QAAQ,CAAC,IAAI,CAAC,CAAC;IAa7B,OAAO,CAAC,CAAC,SAAS;QAAE,SAAS,EAAE,MAAM,CAAA;KAAE,EACrC,IAAI,EAAE;QACJ,IAAI,EAAE,MAAM,CAAC;QACb,SAAS,CAAC,EAAE,MAAM,CAAC;KACpB,EACD,YAAY,CAAC,EAAE,QAAQ,CAAC,CAAC,EAAE,WAAW,CAAC,GACtC,CAAC,UAAU,CAAC,CAAC,CAAC,EAAE,CAAC,KAAK,EAAE,CAAC,KAAK,IAAI,CAAC;CAiCvC"}

package/dist/domain/session.js

@@ -13,12 +13,6 @@ exports.Session = void 0;
 const rxjs_1 = require("rxjs");
 const uuid_1 = require("uuid");
 const domain_1 = require("../domain");
-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(id, store, aggregate, measurement) {
         this.id = id;
@@ -63,7 +57,7 @@ class Session {
     open(order) {
         const instrument = this.store.snapshot.universe.instrument.get(order.instrument.id);
         if (!instrument) {
-            throw (0, domain_1.invalidInstrumentSelectorError)(order.instrument.id);
+            throw new 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))));
@@ -80,27 +74,27 @@ class Session {
      */
     instrument(selector) {
         this.subscribe([selector]);
-        return this.store.changes$.pipe((0, instrument_operator_1.instrument)(selector, this.store.snapshot));
+        return this.store.changes$.pipe((0, domain_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$.pipe((0, instrument_operator_1.instruments)(this.store.snapshot));
+        return this.store.changes$.pipe((0, domain_1.instruments)(this.store.snapshot));
     }
     /**
      * Subscribes to balance changes.
      */
     balance(selector) {
-        return this.store.changes$.pipe((0, balance_operator_1.balance)(selector, this.store.snapshot));
+        return this.store.changes$.pipe((0, domain_1.balance)(selector, this.store.snapshot));
     }
     /**
      * Subscribes to trade/ticker changes.
      */
     trade(selector) {
         this.subscribe([selector]);
-        return this.store.changes$.pipe((0, trade_operator_1.trade)(selector, this.store.snapshot));
+        return this.store.changes$.pipe((0, domain_1.trade)(selector, this.store.snapshot));
     }
     /**
      * Subscribes to orderbook changes.
@@ -108,32 +102,32 @@ class Session {
      */
     orderbook(selector) {
         this.subscribe([selector]);
-        return this.store.changes$.pipe((0, orderbook_operator_1.orderbook)(selector, this.store.snapshot));
+        return this.store.changes$.pipe((0, domain_1.orderbook)(selector, this.store.snapshot));
     }
     /**
      * Subscribes to position on leveraged market.
      */
     position(selector) {
         this.subscribe([selector]);
-        return this.store.changes$.pipe((0, position_operator_1.position)(selector));
+        return this.store.changes$.pipe((0, domain_1.position)(selector));
     }
     /**
      * Subscribes to positions on leveraged markets.
      */
     positions(selector) {
         this.subscribe([selector]);
-        return this.store.changes$.pipe((0, position_operator_1.positions)(selector, this.store.snapshot));
+        return this.store.changes$.pipe((0, domain_1.positions)(selector, this.store.snapshot));
     }
     order(selector) {
         this.subscribe([selector]);
-        return this.store.changes$.pipe((0, order_operator_1.order)(selector));
+        return this.store.changes$.pipe((0, domain_1.order)(selector));
     }
     orders(selector) {
         this.subscribe([selector]);
-        return this.store.changes$.pipe((0, order_operator_1.orders)(selector, this.store.snapshot));
+        return this.store.changes$.pipe((0, domain_1.orders)(selector, this.store.snapshot));
     }
     history(selector, timeframe, length) {
-        return this.store.changes$.pipe((0, rxjs_1.startWith)(this.store.snapshot.universe.instrument.get(selector.id)), (0, rxjs_1.filter)(it => it instanceof domain_1.Instrument && it.id == selector.id), (0, rxjs_1.switchMap)(() => (0, rxjs_1.from)(this.aggregate.history(selector, timeframe, length))), (0, rxjs_1.take)(1), (0, rxjs_1.shareReplay)(), (0, rxjs_1.mergeMap)(it => it));
+        return this.store.changes$.pipe((0, rxjs_1.startWith)(this.store.snapshot.universe.instrument.get(selector.id)), (0, rxjs_1.filter)(it => it !== undefined && it.type === domain_1.Instrument.type), (0, rxjs_1.map)(it => it), (0, rxjs_1.filter)(it => 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;

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

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

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

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

package/dist/domain/session.spec.js

@@ -0,0 +1,17 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+const domain_1 = require("../domain");
+const shared_1 = require("../shared");
+const store_1 = require("../store");
+describe(domain_1.Session.name, () => {
+    test('should trigger once', done => {
+        const session = new domain_1.SessionBuilder().paper();
+        session.instruments().subscribe({
+            next: it => {
+                expect(it.length).toEqual(2);
+            },
+            complete: done()
+        });
+        session.store.dispatch(new store_1.InstrumentPatchEvent((0, shared_1.now)(), new domain_1.Asset('de30', 'cex', 2), new domain_1.Asset('usd', 'cex', 2), new domain_1.Commission(shared_1.d.Zero, shared_1.d.Zero), ''), new store_1.InstrumentPatchEvent((0, shared_1.now)(), new domain_1.Asset('wig20', 'cex', 2), new domain_1.Asset('pln', 'cex', 2), new domain_1.Commission(shared_1.d.Zero, shared_1.d.Zero), ''));
+    });
+});

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

@@ -1,7 +1,5 @@
 import { Observable } from 'rxjs';
+import { Component, InstrumentSelector, Trade } from '../domain';
 import { State } from '../store';
-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

@@ -1 +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"}
+{"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,SAAS,EAAE,kBAAkB,EAAE,KAAK,EAAE,MAAM,aAAa,CAAC;AACnE,OAAO,EAAE,KAAK,EAAE,MAAM,YAAY,CAAC;AAEnC,wBAAgB,KAAK,CAAC,QAAQ,EAAE,kBAAkB,EAAE,KAAK,EAAE,KAAK,aAC7C,WAAW,SAAS,CAAC,uBAOvC"}

package/dist/domain/trade-operator.js

@@ -2,8 +2,8 @@
 Object.defineProperty(exports, "__esModule", { value: true });
 exports.trade = void 0;
 const rxjs_1 = require("rxjs");
-const trade_1 = require("./trade");
+const domain_1 = require("../domain");
 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));
+    return (source$) => source$.pipe((0, rxjs_1.startWith)(state.trade.get(selector.id)), (0, rxjs_1.filter)(it => it !== undefined && it.type === domain_1.Trade.type), (0, rxjs_1.map)(it => it), (0, rxjs_1.filter)(it => it.instrument.id === selector.id));
 }
 exports.trade = trade;

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

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

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

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

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

@@ -0,0 +1,21 @@
+"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.trade.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);
+    const state = new store_1.State();
+    beforeEach(() => {
+        state.trade.upsert(new domain_1.Trade(0, instrument, shared_1.d.Zero, shared_1.d.Zero));
+    });
+    test('should pipe an orderbook on subscription', done => {
+        new rxjs_1.Subject().pipe((0, domain_1.trade)(instrument, state)).subscribe({
+            next: it => {
+                expect(it.id).toEqual(instrument.id);
+                done();
+            }
+        });
+    });
+});

package/dist/domain/trade.d.ts

@@ -1,6 +1,5 @@
+import { Component, Instrument } from '../domain';
 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.
@@ -10,6 +9,8 @@ export declare class Trade implements Component {
     readonly instrument: Instrument;
     rate: decimal;
     quantity: decimal;
+    static type: number;
+    readonly type: number;
     readonly id: string;
     constructor(timestamp: number, instrument: Instrument, rate: decimal, quantity: decimal);
 }

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

@@ -1 +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"}
+{"version":3,"file":"trade.d.ts","sourceRoot":"","sources":["../../src/domain/trade.ts"],"names":[],"mappings":"AAAA,OAAO,EAAE,SAAS,EAAE,UAAU,EAAE,MAAM,aAAa,CAAC;AACpD,OAAO,EAAE,OAAO,EAAQ,MAAM,aAAa,CAAC;AAE5C;;;GAGG;AACH,qBAAa,KAAM,YAAW,SAAS;IAO5B,SAAS,EAAE,MAAM;aACR,UAAU,EAAE,UAAU;IAC/B,IAAI,EAAE,OAAO;IACb,QAAQ,EAAE,OAAO;IAT1B,MAAM,CAAC,IAAI,SAAoB;IAC/B,QAAQ,CAAC,IAAI,SAAc;IAE3B,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

@@ -1,6 +1,7 @@
 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
 exports.Trade = void 0;
+const shared_1 = require("../shared");
 /**
  * Simple trade or ticker executed on the market, it's a match of buyer
  * and seller of the same asset.
@@ -11,7 +12,9 @@ class Trade {
         this.instrument = instrument;
         this.rate = rate;
         this.quantity = quantity;
+        this.type = Trade.type;
         this.id = instrument.id;
     }
 }
 exports.Trade = Trade;
+Trade.type = (0, shared_1.hash)(Trade.name);

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

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

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

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

package/dist/domain/trade.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.Trade.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 trade', () => {
+        const sut = new domain_1.Trade(0, instrument, shared_1.d.Zero, shared_1.d.Zero);
+        expect(sut.id).toEqual(instrument.id);
+    });
+});

package/dist/index.d.ts

@@ -13,13 +13,13 @@ export declare let rule: (name: string | undefined, describe: SessionHook) => vo
 /**
  *
  */
-export declare let beforeAll: (describe: SessionHook) => void;
+export declare let awake: (describe: SessionHook) => void;
 /**
  *
  * @param name
  * @param describe
  */
-export declare function describe(name: string, describe: () => Array<SessionFeature>): void;
+export declare function strategy(name: string, describe: () => Array<SessionFeature>): void;
 /**
  *
  * @param name

package/dist/index.d.ts.map

@@ -1 +1 @@
-{"version":3,"file":"index.d.ts","sourceRoot":"","sources":["../src/index.ts"],"names":[],"mappings":"AACA,OAAO,EAAsB,UAAU,EAAiB,MAAM,MAAM,CAAC;AAErE,OAAO,EAAE,OAAO,EAAE,cAAc,EAAE,cAAc,EAAE,MAAM,UAAU,CAAC;AACnE,cAAc,WAAW,CAAC;AAC1B,cAAc,UAAU,CAAC;AACzB,cAAc,UAAU,CAAC;AACzB,cAAc,WAAW,CAAC;AAC1B,cAAc,SAAS,CAAC;AAMxB,oBAAY,WAAW,GAAG,CAAC,OAAO,EAAE,OAAO,KAAK,UAAU,CAAC,GAAG,CAAC,CAAC;AAEhE;;GAEG;AACH,eAAO,IAAI,IAAI,EAAE,CAAC,IAAI,EAAE,MAAM,GAAG,SAAS,EAAE,QAAQ,EAAE,WAAW,KAAK,IAAI,CAAC;AAE3E;;GAEG;AACH,eAAO,IAAI,SAAS,EAAE,CAAC,QAAQ,EAAE,WAAW,KAAK,IAAI,CAAC;AAEtD;;;;GAIG;AACH,wBAAgB,QAAQ,CAAC,IAAI,EAAE,MAAM,EAAE,QAAQ,EAAE,MAAM,KAAK,CAAC,cAAc,CAAC,QAE3E;AAED;;;;;GAKG;AACH,wBAAsB,KAAK,CAAC,IAAI,EAAE,MAAM,EAAE,OAAO,EAAE,cAAc,qBAyB9C,OAAO,wBAazB"}
+{"version":3,"file":"index.d.ts","sourceRoot":"","sources":["../src/index.ts"],"names":[],"mappings":"AACA,OAAO,EAAsB,UAAU,EAAiB,MAAM,MAAM,CAAC;AAErE,OAAO,EAAE,OAAO,EAAE,cAAc,EAAE,cAAc,EAAE,MAAM,aAAa,CAAC;AACtE,cAAc,cAAc,CAAC;AAC7B,cAAc,aAAa,CAAC;AAC5B,cAAc,aAAa,CAAC;AAC5B,cAAc,cAAc,CAAC;AAC7B,cAAc,YAAY,CAAC;AAM3B,oBAAY,WAAW,GAAG,CAAC,OAAO,EAAE,OAAO,KAAK,UAAU,CAAC,GAAG,CAAC,CAAC;AAEhE;;GAEG;AACH,eAAO,IAAI,IAAI,EAAE,CAAC,IAAI,EAAE,MAAM,GAAG,SAAS,EAAE,QAAQ,EAAE,WAAW,KAAK,IAAI,CAAC;AAE3E;;GAEG;AACH,eAAO,IAAI,KAAK,EAAE,CAAC,QAAQ,EAAE,WAAW,KAAK,IAAI,CAAC;AAElD;;;;GAIG;AACH,wBAAgB,QAAQ,CAAC,IAAI,EAAE,MAAM,EAAE,QAAQ,EAAE,MAAM,KAAK,CAAC,cAAc,CAAC,QAE3E;AAED;;;;;GAKG;AACH,wBAAsB,KAAK,CAAC,IAAI,EAAE,MAAM,EAAE,OAAO,EAAE,cAAc,qBA0B9C,OAAO,wBAazB"}

package/dist/index.js

@@ -26,7 +26,7 @@ var __importDefault = (this && this.__importDefault) || function (mod) {
     return (mod && mod.__esModule) ? mod : { "default": mod };
 };
 Object.defineProperty(exports, "__esModule", { value: true });
-exports.spawn = exports.describe = exports.beforeAll = exports.rule = void 0;
+exports.spawn = exports.strategy = exports.awake = exports.rule = void 0;
 const chalk_1 = __importDefault(require("chalk"));
 const rxjs_1 = require("rxjs");
 __exportStar(require("./adapter"), exports);
@@ -41,10 +41,10 @@ const registry = {};
  * @param name
  * @param describe
  */
-function describe(name, describe) {
+function strategy(name, describe) {
     registry[name] = describe;
 }
-exports.describe = describe;
+exports.strategy = strategy;
 /**
  *
  * @param name
@@ -57,14 +57,15 @@ function spawn(name, builder) {
         if (!describe) {
             throw new Error(`missing strategy: ${name}`);
         }
+        const logger = (0, shared_1.log)(name);
         const ruleHooks = new Array();
-        const beforeAllHooks = new Array();
-        exports.beforeAll = (describe) => {
-            beforeAllHooks.push(describe);
+        const awakeHooks = new Array();
+        exports.awake = (describe) => {
+            awakeHooks.push(describe);
         };
         exports.rule = (ruleName, describe) => {
             if (ruleName) {
-                shared_1.Logger.info(name, `${chalk_1.default.italic(ruleName)} rule found`);
+                logger.info(`${chalk_1.default.italic(ruleName)} rule found`);
             }
             ruleHooks.push(describe);
         };
@@ -72,7 +73,7 @@ function spawn(name, builder) {
             feature(builder);
         }
         return (session) => {
-            const beforeAll$ = beforeAllHooks.map(it => it(session));
+            const beforeAll$ = awakeHooks.map(it => it(session));
             const rule$ = ruleHooks.map(it => it(session));
             if (!beforeAll$.length) {
                 beforeAll$.push((0, rxjs_1.of)(true));

package/dist/shared/collections.spec.d.ts

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

package/dist/shared/collections.spec.d.ts.map

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

package/dist/shared/collections.spec.js

@@ -0,0 +1,29 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+const domain_1 = require("../domain");
+const shared_1 = require("../shared");
+describe('PriorityList', () => {
+    test('should patch a best bid and ask', () => {
+        var _a;
+        const input = [
+            { rate: (0, shared_1.d)(2), quantity: (0, shared_1.d)(2) },
+            { rate: (0, shared_1.d)(2), quantity: (0, shared_1.d)(3) },
+            { rate: (0, shared_1.d)(5), quantity: (0, shared_1.d)(1) },
+            { rate: (0, shared_1.d)(5), quantity: (0, shared_1.d)(2) },
+            { rate: (0, shared_1.d)(3), quantity: (0, shared_1.d)(1) },
+            { rate: (0, shared_1.d)(1), quantity: (0, shared_1.d)(8) },
+            { rate: (0, shared_1.d)(1), quantity: (0, shared_1.d)(0) },
+            { rate: (0, shared_1.d)(3), quantity: (0, shared_1.d)(0) },
+            { rate: (0, shared_1.d)(5), quantity: (0, shared_1.d)(0) }
+        ];
+        const sut = new shared_1.PriorityList(domain_1.LiquidityAskComparer, it => it.rate.toString());
+        input.forEach(it => (it.quantity.greaterThan(0) ? sut.enqueue(it) : sut.dequeue(it)));
+        const volume = sut.reduce((it, agg) => agg.add(it.quantity.mul(it.rate)), shared_1.d.Zero);
+        const head = (_a = sut.head) !== null && _a !== void 0 ? _a : fail();
+        expect(head.rate).toEqual((0, shared_1.d)(2));
+        expect(head.quantity).toEqual((0, shared_1.d)(3));
+        expect(volume).toEqual((0, shared_1.d)(6));
+        expect(sut.getByKey((0, shared_1.d)(2).toString()).quantity).toEqual((0, shared_1.d)(3));
+        expect(sut.getByKey((0, shared_1.d)(3).toString())).toEqual(undefined);
+    });
+});

package/dist/shared/decimals.spec.d.ts

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

package/dist/shared/decimals.spec.d.ts.map

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

package/dist/shared/decimals.spec.js

@@ -0,0 +1,28 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+const shared_1 = require("../shared");
+describe('decimals', () => {
+    test('get precision tests', () => {
+        expect((0, shared_1.d)(0.01).decimalPlaces()).toEqual(2);
+        expect((0, shared_1.d)(0.0054).decimalPlaces()).toEqual(4);
+        expect((0, shared_1.d)(0.9).decimalPlaces()).toEqual(1);
+        expect((0, shared_1.d)(0.0).decimalPlaces()).toEqual(0);
+        expect((0, shared_1.d)(2).decimalPlaces()).toEqual(0);
+    });
+    test('floor tests', () => {
+        expect((0, shared_1.d)(0.01).toFloor(2)).toEqual((0, shared_1.d)(0.01));
+        expect((0, shared_1.d)(0.000000019).toFloor(8)).toEqual((0, shared_1.d)(0.00000001));
+        expect((0, shared_1.d)(0.011).toFloor(2)).toEqual((0, shared_1.d)(0.01));
+        expect((0, shared_1.d)(0.019).toFloor(2)).toEqual((0, shared_1.d)(0.01));
+        expect((0, shared_1.d)(0.019).toFloor(0)).toEqual(shared_1.d.Zero);
+        expect((0, shared_1.d)(0.01).toFloor(2)).toEqual((0, shared_1.d)(0.01));
+        expect((0, shared_1.d)(0.00000058).toFloor(8)).toEqual((0, shared_1.d)(0.00000058));
+    });
+    test('ceil tests', () => {
+        expect((0, shared_1.d)(0.01).toCeil(2)).toEqual((0, shared_1.d)(0.01));
+        expect((0, shared_1.d)(0.000000019).toCeil(8)).toEqual((0, shared_1.d)(0.00000002));
+        expect((0, shared_1.d)(0.011).toCeil(2)).toEqual((0, shared_1.d)(0.02));
+        expect((0, shared_1.d)(0.019).toCeil(2)).toEqual((0, shared_1.d)(0.02));
+        expect((0, shared_1.d)(0.019).toCeil(0)).toEqual((0, shared_1.d)(1));
+    });
+});