@quantform/core 0.6.5 → 0.6.7

package/dist/store/store-position-event.js

@@ -2,7 +2,7 @@
 Object.defineProperty(exports, "__esModule", { value: true });
 exports.PositionPatchEvent = exports.PositionLoadEvent = void 0;
 const domain_1 = require("../domain");
-const error_1 = require("./error");
+const store_1 = require("../store");
 class PositionLoadEvent {
     constructor(position, timestamp) {
         this.position = position;
@@ -10,12 +10,12 @@ class PositionLoadEvent {
     }
     handle(state) {
         if (!state.subscription.instrument.get(this.position.instrument.id)) {
-            throw (0, error_1.instrumentNotSubscribedError)(this.position.instrument);
+            throw new store_1.InstrumentNotSubscribedError(this.position.instrument);
         }
         this.position.timestamp = this.timestamp;
         const balance = state.balance.get(this.position.instrument.quote.id);
         if (!balance) {
-            throw (0, error_1.balanceNotFoundError)(this.position.instrument.quote);
+            throw new store_1.BalanceNotFoundError(this.position.instrument.quote);
         }
         balance.position[this.position.id] = this.position;
         const orderbook = state.orderbook.get(this.position.instrument.id);
@@ -43,11 +43,11 @@ class PositionPatchEvent {
     // eslint-disable-next-line complexity
     handle(state, changes) {
         if (!state.subscription.instrument.get(this.instrument.id)) {
-            throw (0, error_1.instrumentNotSubscribedError)(this.instrument);
+            throw new store_1.InstrumentNotSubscribedError(this.instrument);
         }
         const balance = state.balance.get(this.instrument.quote.id);
         if (!balance) {
-            throw (0, error_1.balanceNotFoundError)(this.instrument.quote);
+            throw new store_1.BalanceNotFoundError(this.instrument.quote);
         }
         const orderbook = state.orderbook.get(this.instrument.id);
         let position = balance.position[this.id];

package/dist/store/store-state.d.ts.map

@@ -1 +1 @@
-{"version":3,"file":"store-state.d.ts","sourceRoot":"","sources":["../../src/store/store-state.ts"],"names":[],"mappings":"AAAA,OAAO,EACL,KAAK,EACL,aAAa,EACb,OAAO,EACP,SAAS,EACT,UAAU,EACV,kBAAkB,EAClB,KAAK,EACL,SAAS,EACT,KAAK,EACN,MAAM,WAAW,CAAC;AACnB,OAAO,EAAE,GAAG,EAAE,SAAS,EAAE,MAAM,WAAW,CAAC;AAE3C,MAAM,WAAW,kBAAkB;IACjC,MAAM,CAAC,SAAS,EAAE,SAAS,GAAG,IAAI,CAAC;IACnC,oBAAoB,IAAI,IAAI,CAAC;CAC9B;AAED,qBAAa,QAAQ,CAAC,CAAC,SAAS;IAAE,EAAE,EAAE,MAAM,CAAA;CAAE,CAAE,SAAQ,GAAG,CAAC,CAAC,CAAC;aAChC,EAAE,EAAE,MAAM;gBAAV,EAAE,EAAE,MAAM,EAAE,MAAM,CAAC,EAAE,aAAa,CAAC,CAAC,CAAC;CAGlE;AAED,qBAAa,KAAK;IAChB,SAAS,EAAE,SAAS,CAAK;IAEzB,QAAQ,EAAE;QACR,KAAK,EAAE,GAAG,CAAC,KAAK,CAAC,CAAC;QAClB,UAAU,EAAE,GAAG,CAAC,UAAU,CAAC,CAAC;KAC7B,CAGC;IAEF,YAAY,EAAE;QACZ,KAAK,EAAE,GAAG,CAAC,aAAa,CAAC,CAAC;QAC1B,UAAU,EAAE,GAAG,CAAC,kBAAkB,CAAC,CAAC;KACrC,CAGC;IAEF,KAAK,EAAE,GAAG,CAAC,KAAK,CAAC,CAAoB;IACrC,SAAS,EAAE,GAAG,CAAC,SAAS,CAAC,CAAwB;IACjD,OAAO,EAAE,GAAG,CAAC,OAAO,CAAC,CAAsB;IAC3C,KAAK,EAAE,GAAG,CAAC,QAAQ,CAAC,KAAK,CAAC,CAAC,CAA8B;CAC1D"}
+{"version":3,"file":"store-state.d.ts","sourceRoot":"","sources":["../../src/store/store-state.ts"],"names":[],"mappings":"AAAA,OAAO,EACL,KAAK,EACL,aAAa,EACb,OAAO,EACP,SAAS,EACT,UAAU,EACV,kBAAkB,EAClB,KAAK,EACL,SAAS,EACT,KAAK,EACN,MAAM,aAAa,CAAC;AACrB,OAAO,EAAE,GAAG,EAAE,SAAS,EAAE,MAAM,aAAa,CAAC;AAE7C,MAAM,WAAW,kBAAkB;IACjC,MAAM,CAAC,SAAS,EAAE,SAAS,GAAG,IAAI,CAAC;IACnC,oBAAoB,IAAI,IAAI,CAAC;CAC9B;AAED,qBAAa,QAAQ,CAAC,CAAC,SAAS;IAAE,EAAE,EAAE,MAAM,CAAA;CAAE,CAAE,SAAQ,GAAG,CAAC,CAAC,CAAC;aAChC,EAAE,EAAE,MAAM;gBAAV,EAAE,EAAE,MAAM,EAAE,MAAM,CAAC,EAAE,aAAa,CAAC,CAAC,CAAC;CAGlE;AAED,qBAAa,KAAK;IAChB,SAAS,EAAE,SAAS,CAAK;IAEzB,QAAQ,EAAE;QACR,KAAK,EAAE,GAAG,CAAC,KAAK,CAAC,CAAC;QAClB,UAAU,EAAE,GAAG,CAAC,UAAU,CAAC,CAAC;KAC7B,CAGC;IAEF,YAAY,EAAE;QACZ,KAAK,EAAE,GAAG,CAAC,aAAa,CAAC,CAAC;QAC1B,UAAU,EAAE,GAAG,CAAC,kBAAkB,CAAC,CAAC;KACrC,CAGC;IAEF,KAAK,EAAE,GAAG,CAAC,KAAK,CAAC,CAAoB;IACrC,SAAS,EAAE,GAAG,CAAC,SAAS,CAAC,CAAwB;IACjD,OAAO,EAAE,GAAG,CAAC,OAAO,CAAC,CAAsB;IAC3C,KAAK,EAAE,GAAG,CAAC,QAAQ,CAAC,KAAK,CAAC,CAAC,CAA8B;CAC1D"}

package/dist/store/store-trade-event.d.ts

@@ -1,7 +1,6 @@
 import { InstrumentSelector } from '../domain';
 import { decimal, timestamp } from '../shared';
-import { StoreEvent } from './store-event';
-import { State, StateChangeTracker } from './store-state';
+import { State, StateChangeTracker, StoreEvent } from '../store';
 /**
  * Patches a store with specific event @see TradePatchEvent
  * If there is no specific @see Trade in store, it will create a new one.

package/dist/store/store-trade-event.d.ts.map

@@ -1 +1 @@
-{"version":3,"file":"store-trade-event.d.ts","sourceRoot":"","sources":["../../src/store/store-trade-event.ts"],"names":[],"mappings":"AAAA,OAAO,EAAE,kBAAkB,EAAS,MAAM,WAAW,CAAC;AACtD,OAAO,EAAK,OAAO,EAAE,SAAS,EAAE,MAAM,WAAW,CAAC;AAElD,OAAO,EAAE,UAAU,EAAE,MAAM,eAAe,CAAC;AAC3C,OAAO,EAAE,KAAK,EAAE,kBAAkB,EAAE,MAAM,eAAe,CAAC;AAE1D;;;GAGG;AACH,qBAAa,eAAgB,YAAW,UAAU;IAE9C,QAAQ,CAAC,UAAU,EAAE,kBAAkB;IACvC,QAAQ,CAAC,IAAI,EAAE,OAAO;IACtB,QAAQ,CAAC,QAAQ,EAAE,OAAO;IAC1B,QAAQ,CAAC,SAAS,EAAE,SAAS;gBAHpB,UAAU,EAAE,kBAAkB,EAC9B,IAAI,EAAE,OAAO,EACb,QAAQ,EAAE,OAAO,EACjB,SAAS,EAAE,SAAS;IAG/B,MAAM,CAAC,KAAK,EAAE,KAAK,EAAE,OAAO,EAAE,kBAAkB,GAAG,IAAI;CAuBxD"}
+{"version":3,"file":"store-trade-event.d.ts","sourceRoot":"","sources":["../../src/store/store-trade-event.ts"],"names":[],"mappings":"AAAA,OAAO,EAAE,kBAAkB,EAAS,MAAM,aAAa,CAAC;AACxD,OAAO,EAAK,OAAO,EAAE,SAAS,EAAE,MAAM,aAAa,CAAC;AACpD,OAAO,EAGL,KAAK,EACL,kBAAkB,EAClB,UAAU,EACX,MAAM,YAAY,CAAC;AAEpB;;;GAGG;AACH,qBAAa,eAAgB,YAAW,UAAU;IAE9C,QAAQ,CAAC,UAAU,EAAE,kBAAkB;IACvC,QAAQ,CAAC,IAAI,EAAE,OAAO;IACtB,QAAQ,CAAC,QAAQ,EAAE,OAAO;IAC1B,QAAQ,CAAC,SAAS,EAAE,SAAS;gBAHpB,UAAU,EAAE,kBAAkB,EAC9B,IAAI,EAAE,OAAO,EACb,QAAQ,EAAE,OAAO,EACjB,SAAS,EAAE,SAAS;IAG/B,MAAM,CAAC,KAAK,EAAE,KAAK,EAAE,OAAO,EAAE,kBAAkB,GAAG,IAAI;CAuBxD"}

package/dist/store/store-trade-event.js

@@ -3,7 +3,7 @@ Object.defineProperty(exports, "__esModule", { value: true });
 exports.TradePatchEvent = void 0;
 const domain_1 = require("../domain");
 const shared_1 = require("../shared");
-const error_1 = require("./error");
+const store_1 = require("../store");
 /**
  * Patches a store with specific event @see TradePatchEvent
  * If there is no specific @see Trade in store, it will create a new one.
@@ -17,11 +17,11 @@ class TradePatchEvent {
     }
     handle(state, changes) {
         if (!state.subscription.instrument.get(this.instrument.id)) {
-            throw (0, error_1.instrumentNotSubscribedError)(this.instrument);
+            throw new store_1.InstrumentNotSubscribedError(this.instrument);
         }
         const instrument = state.universe.instrument.get(this.instrument.id);
         if (!instrument) {
-            throw (0, error_1.instrumentNotSupportedError)(this.instrument);
+            throw new store_1.InstrumentNotSupportedError(this.instrument);
         }
         const trade = state.trade.tryGetOrSet(this.instrument.id, () => new domain_1.Trade(0, instrument, shared_1.d.Zero, shared_1.d.Zero));
         state.timestamp = this.timestamp;

package/dist/store/store-trade-event.spec.d.ts

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

package/dist/store/store-trade-event.spec.d.ts.map

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

package/dist/store/store-trade-event.spec.js

@@ -0,0 +1,44 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+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('btc', 'binance', 8), new domain_1.Asset('usdt', 'binance', 2), 'binance:btc-usdt', domain_1.Commission.Zero);
+describe(store_1.TradePatchEvent.name, () => {
+    test('should create a new trade object and patch a store', () => {
+        var _a;
+        const timestamp = (0, shared_1.now)();
+        const store = new store_1.Store();
+        store.snapshot.universe.instrument.upsert(instrument);
+        store.snapshot.subscription.instrument.upsert(instrument);
+        store.dispatch(new store_1.TradePatchEvent(instrument, (0, shared_1.d)(1000), (0, shared_1.d)(0.1), timestamp));
+        const trade = (_a = store.snapshot.trade.get(instrument.id)) !== null && _a !== void 0 ? _a : fail();
+        expect(trade.timestamp).toEqual(timestamp);
+        expect(trade.instrument.id).toEqual(trade.instrument.id);
+        expect(trade.rate).toEqual((0, shared_1.d)(1000));
+        expect(trade.quantity).toEqual((0, shared_1.d)(0.1));
+        expect(store.snapshot.timestamp).toEqual(timestamp);
+    });
+    test('should use the existing instance of trade when patching a store', () => {
+        var _a;
+        const store = new store_1.Store();
+        const timestamp = (0, shared_1.now)();
+        store.snapshot.universe.instrument.upsert(instrument);
+        store.snapshot.subscription.instrument.upsert(instrument);
+        store.dispatch(new store_1.TradePatchEvent(instrument, (0, shared_1.d)(1000), (0, shared_1.d)(0.1), timestamp));
+        const trade = (_a = store.snapshot.trade.get(instrument.id)) !== null && _a !== void 0 ? _a : fail();
+        store.dispatch(new store_1.TradePatchEvent(instrument, (0, shared_1.d)(2000), (0, shared_1.d)(0.2), timestamp));
+        expect(trade.timestamp).toEqual(timestamp);
+        expect(trade.instrument.id).toEqual(instrument.id);
+        expect(trade.rate).toEqual((0, shared_1.d)(2000));
+        expect(trade.quantity).toEqual((0, shared_1.d)(0.2));
+        expect(store.snapshot.timestamp).toEqual(timestamp);
+    });
+    test('should throw exception when patching unsubscribed instrument', () => {
+        const store = new store_1.Store();
+        const fn = () => {
+            store.dispatch(new store_1.TradePatchEvent(instrument, (0, shared_1.d)(1000), (0, shared_1.d)(0.1), (0, shared_1.now)()));
+        };
+        expect(fn).toThrow(Error);
+    });
+});

package/dist/store/store.d.ts

@@ -1,7 +1,6 @@
 import { Observable } from 'rxjs';
 import { Component } from '../domain';
-import { StoreEvent } from './store-event';
-import { State, StateChangeTracker } from './store-state';
+import { State, StateChangeTracker, StoreEvent } from '../store';
 export declare class Store implements StateChangeTracker {
     private readonly pendingChanges;
     private readonly changes;

package/dist/store/store.d.ts.map

@@ -1 +1 @@
-{"version":3,"file":"store.d.ts","sourceRoot":"","sources":["../../src/store/store.ts"],"names":[],"mappings":"AAAA,OAAO,EAAE,UAAU,EAAW,MAAM,MAAM,CAAC;AAE3C,OAAO,EAAE,SAAS,EAAE,MAAM,WAAW,CAAC;AACtC,OAAO,EAAE,UAAU,EAAE,MAAM,eAAe,CAAC;AAC3C,OAAO,EAAE,KAAK,EAAE,kBAAkB,EAAE,MAAM,eAAe,CAAC;AAE1D,qBAAa,KAAM,YAAW,kBAAkB;IAC9C,OAAO,CAAC,QAAQ,CAAC,cAAc,CAA0B;IACzD,OAAO,CAAC,QAAQ,CAAC,OAAO,CAA4B;IAEpD,QAAQ,CAAC,QAAQ,QAAe;IAEhC,IAAI,QAAQ,IAAI,UAAU,CAAC,SAAS,CAAC,CAEpC;IAED,QAAQ,CAAC,GAAG,MAAM,EAAE,UAAU,EAAE;IAQhC,MAAM,CAAC,SAAS,EAAE,SAAS;IAI3B,oBAAoB;IAKpB,OAAO;CAGR"}
+{"version":3,"file":"store.d.ts","sourceRoot":"","sources":["../../src/store/store.ts"],"names":[],"mappings":"AAAA,OAAO,EAAE,UAAU,EAAW,MAAM,MAAM,CAAC;AAE3C,OAAO,EAAE,SAAS,EAAE,MAAM,aAAa,CAAC;AACxC,OAAO,EAAE,KAAK,EAAE,kBAAkB,EAAE,UAAU,EAAE,MAAM,YAAY,CAAC;AAEnE,qBAAa,KAAM,YAAW,kBAAkB;IAC9C,OAAO,CAAC,QAAQ,CAAC,cAAc,CAA0B;IACzD,OAAO,CAAC,QAAQ,CAAC,OAAO,CAA4B;IAEpD,QAAQ,CAAC,QAAQ,QAAe;IAEhC,IAAI,QAAQ,IAAI,UAAU,CAAC,SAAS,CAAC,CAEpC;IAED,QAAQ,CAAC,GAAG,MAAM,EAAE,UAAU,EAAE;IAQhC,MAAM,CAAC,SAAS,EAAE,SAAS;IAQ3B,oBAAoB;IAKpB,OAAO;CAGR"}

package/dist/store/store.js

@@ -2,12 +2,12 @@
 Object.defineProperty(exports, "__esModule", { value: true });
 exports.Store = void 0;
 const rxjs_1 = require("rxjs");
-const store_state_1 = require("./store-state");
+const store_1 = require("../store");
 class Store {
     constructor() {
         this.pendingChanges = new Array();
         this.changes = new rxjs_1.Subject();
-        this.snapshot = new store_state_1.State();
+        this.snapshot = new store_1.State();
     }
     get changes$() {
         return this.changes.asObservable();
@@ -19,6 +19,9 @@ class Store {
         this.commitPendingChanges();
     }
     commit(component) {
+        if (this.pendingChanges.some(it => it === component)) {
+            return;
+        }
         this.pendingChanges.push(component);
     }
     commitPendingChanges() {

package/dist/store/store.spec.d.ts

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

package/dist/store/store.spec.d.ts.map

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

package/dist/store/store.spec.js

@@ -0,0 +1,122 @@
+"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(store_1.Store.name, () => {
+    let store;
+    beforeEach(() => {
+        store = new store_1.Store();
+        store.snapshot.universe.asset.upsert(instrument.base);
+        store.snapshot.universe.asset.upsert(instrument.quote);
+        store.snapshot.universe.instrument.upsert(instrument);
+    });
+    test('should load an existing order and not pipe a changes', () => {
+        let hasUpdatedOrder = false;
+        store.changes$.pipe((0, domain_1.order)(instrument)).subscribe({
+            next: () => {
+                hasUpdatedOrder = true;
+            }
+        });
+        store.dispatch(new store_1.BalanceLoadEvent(instrument.quote, (0, shared_1.d)(100), shared_1.d.Zero, (0, shared_1.now)()), new store_1.OrderLoadEvent(new domain_1.Order(0, '1', instrument, (0, shared_1.d)(10), 0), (0, shared_1.now)()));
+        expect(hasUpdatedOrder).toBe(false);
+    });
+    test('should create a new order and pipe a changes', () => {
+        let hasUpdatedOrder = false;
+        store.changes$.pipe((0, domain_1.order)(instrument)).subscribe({
+            next: () => {
+                hasUpdatedOrder = true;
+            }
+        });
+        store.dispatch(new store_1.BalanceLoadEvent(instrument.base, (0, shared_1.d)(100), shared_1.d.Zero, (0, shared_1.now)()), new store_1.BalanceLoadEvent(instrument.quote, (0, shared_1.d)(100), shared_1.d.Zero, (0, shared_1.now)()), new store_1.OrderNewEvent(new domain_1.Order(0, '1', instrument, (0, shared_1.d)(10), 0), (0, shared_1.now)()));
+        expect(hasUpdatedOrder).toBe(true);
+    });
+    test('should transition order state from new to pending', () => {
+        const states = ['NEW', 'PENDING'].reverse();
+        store.changes$.pipe((0, domain_1.order)(instrument)).subscribe({
+            next: it => {
+                expect(it.state).toBe(states.pop());
+            }
+        });
+        const buyOrder = new domain_1.Order(0, '1', instrument, (0, shared_1.d)(10), 0);
+        store.dispatch(new store_1.BalanceLoadEvent(instrument.base, (0, shared_1.d)(100), shared_1.d.Zero, (0, shared_1.now)()));
+        store.dispatch(new store_1.BalanceLoadEvent(instrument.quote, (0, shared_1.d)(100), shared_1.d.Zero, (0, shared_1.now)()));
+        store.dispatch(new store_1.OrderNewEvent(buyOrder, (0, shared_1.now)()));
+        store.dispatch(new store_1.OrderPendingEvent(buyOrder.id, instrument, (0, shared_1.now)()));
+        expect(buyOrder.state).toBe('PENDING');
+        expect(states.length).toBe(0);
+    });
+    test('should transition order state from new to filled', () => {
+        const states = ['NEW', 'PENDING', 'FILLED'].reverse();
+        store.changes$.pipe((0, domain_1.order)(instrument)).subscribe({
+            next: it => {
+                expect(it.state).toBe(states.pop());
+            }
+        });
+        const buyOrder = new domain_1.Order(0, '1', instrument, (0, shared_1.d)(10), 0);
+        store.dispatch(new store_1.BalanceLoadEvent(instrument.base, (0, shared_1.d)(100), shared_1.d.Zero, (0, shared_1.now)()));
+        store.dispatch(new store_1.BalanceLoadEvent(instrument.quote, (0, shared_1.d)(100), shared_1.d.Zero, (0, shared_1.now)()));
+        store.dispatch(new store_1.OrderNewEvent(buyOrder, (0, shared_1.now)()));
+        store.dispatch(new store_1.OrderPendingEvent(buyOrder.id, instrument, (0, shared_1.now)()));
+        store.dispatch(new store_1.OrderFilledEvent(buyOrder.id, instrument, (0, shared_1.d)(44), (0, shared_1.now)()));
+        expect(buyOrder.state).toBe('FILLED');
+        expect(buyOrder.averageExecutionRate).toEqual((0, shared_1.d)(44));
+        expect(states.length).toBe(0);
+    });
+    test('should transition order state from new to canceled', () => {
+        const states = ['NEW', 'PENDING', 'CANCELING', 'CANCELED'].reverse();
+        store.changes$.pipe((0, domain_1.order)(instrument)).subscribe({
+            next: it => {
+                expect(it.state).toBe(states.pop());
+            }
+        });
+        const buyOrder = new domain_1.Order(0, '1', instrument, (0, shared_1.d)(10), 0);
+        store.dispatch(new store_1.BalanceLoadEvent(instrument.base, (0, shared_1.d)(100), shared_1.d.Zero, (0, shared_1.now)()));
+        store.dispatch(new store_1.BalanceLoadEvent(instrument.quote, (0, shared_1.d)(100), shared_1.d.Zero, (0, shared_1.now)()));
+        store.dispatch(new store_1.OrderNewEvent(buyOrder, (0, shared_1.now)()));
+        store.dispatch(new store_1.OrderPendingEvent(buyOrder.id, instrument, (0, shared_1.now)()));
+        store.dispatch(new store_1.OrderCancelingEvent(buyOrder.id, instrument, (0, shared_1.now)()));
+        store.dispatch(new store_1.OrderCanceledEvent(buyOrder.id, instrument, (0, shared_1.now)()));
+        expect(buyOrder.state).toBe('CANCELED');
+        expect(states.length).toBe(0);
+    });
+    test('should patch balance with order and pipe changes once', done => {
+        (0, rxjs_1.combineLatest)([
+            store.changes$.pipe((0, domain_1.balance)(instrument.quote, store.snapshot)),
+            store.changes$.pipe((0, domain_1.order)(instrument))
+        ]).subscribe({
+            next: ([balance, order]) => {
+                expect(balance.free).toEqual((0, shared_1.d)(10));
+                expect(order.state).toEqual('PENDING');
+                done();
+            }
+        });
+        const buyOrder = new domain_1.Order(0, '1', instrument, (0, shared_1.d)(10), 0);
+        store.dispatch(new store_1.BalanceLoadEvent(instrument.base, (0, shared_1.d)(10), shared_1.d.Zero, (0, shared_1.now)()), new store_1.BalanceLoadEvent(instrument.quote, (0, shared_1.d)(10), shared_1.d.Zero, (0, shared_1.now)()), new store_1.OrderNewEvent(buyOrder, (0, shared_1.now)()), new store_1.OrderPendingEvent(buyOrder.id, instrument, (0, shared_1.now)()), new store_1.BalancePatchEvent(instrument.quote, (0, shared_1.d)(10), shared_1.d.Zero, (0, shared_1.now)()));
+    });
+    test('should pipe balance and order changes', done => {
+        let counter = 2;
+        store.changes$.pipe((0, domain_1.balance)(instrument.quote, store.snapshot)).subscribe({
+            next: it => {
+                counter--;
+                expect(it.free).toEqual((0, shared_1.d)(10));
+                if (!counter) {
+                    done();
+                }
+            }
+        });
+        store.changes$.pipe((0, domain_1.order)(instrument)).subscribe({
+            next: it => {
+                counter--;
+                expect(it.state).toEqual('PENDING');
+                if (!counter) {
+                    done();
+                }
+            }
+        });
+        const buyOrder = new domain_1.Order(0, '1', instrument, (0, shared_1.d)(10), 0);
+        store.dispatch(new store_1.BalanceLoadEvent(instrument.base, (0, shared_1.d)(10), shared_1.d.Zero, (0, shared_1.now)()), new store_1.BalanceLoadEvent(instrument.quote, (0, shared_1.d)(10), shared_1.d.Zero, (0, shared_1.now)()), new store_1.OrderNewEvent(buyOrder, (0, shared_1.now)()), new store_1.OrderPendingEvent(buyOrder.id, instrument, (0, shared_1.now)()), new store_1.BalancePatchEvent(instrument.quote, (0, shared_1.d)(10), shared_1.d.Zero, (0, shared_1.now)()));
+    });
+});

package/jest.config.ts

@@ -1,13 +1,34 @@
 import { Config } from 'jest';
+import { pathsToModuleNameMapper } from 'ts-jest';
+import { parseJsonConfigFileContent, readConfigFile, sys } from 'typescript';
+
+const tsconfig = parseJsonConfigFileContent(
+  readConfigFile('tsconfig.json', sys.readFile).config,
+  sys,
+  process.cwd()
+);
+
+const compilerOptions = tsconfig.raw.compilerOptions as any;
 
 const config: Config = {
   preset: 'ts-jest',
   testEnvironment: 'node',
   testMatch: ['**/src/**/?(*.)+(spec|test).[jt]s?(x)'],
   transform: {
-    '^.+\\.ts?$': 'ts-jest'
+    '^.+\\.ts?$': [
+      'ts-jest',
+      {
+        isolatedModules: true,
+        tsconfig: { ...compilerOptions, sourceMap: true }
+      }
+    ]
   },
-  testPathIgnorePatterns: ['src/cli/test.ts']
+  testPathIgnorePatterns: ['<rootDir>/dist/', '<rootDir>/src/cli/test.ts'],
+  roots: ['<rootDir>'],
+  modulePaths: [compilerOptions.baseUrl],
+  moduleNameMapper: pathsToModuleNameMapper(compilerOptions.paths, {
+    prefix: '<rootDir>'
+  })
 };
 
 export default config;

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "@quantform/core",
-  "version": "0.6.5",
+  "version": "0.6.7",
   "license": "MIT",
   "author": "Mateusz Majchrzak",
   "description": "Node.js library for building systematic trading strategies in reactive way.",
@@ -37,7 +37,7 @@
     "rxjs": "^7.5.6"
   },
   "scripts": {
-    "build": "tsc",
+    "build": "tsc && tsc-alias",
     "test": "jest"
   }
 }

package/src/adapter/adapter-aggregate.ts

@@ -1,16 +1,21 @@
-import { InstrumentSelector, Ohlc, Order } from '../domain';
-import { Logger, timestamp } from '../shared';
-import { Cache } from '../storage';
-import { Store } from '../store';
-import { Adapter } from '.';
-import { AdapterFactory, AdapterTimeProvider, FeedAsyncCallback } from './adapter';
-import { adapterNotFoundError } from './error';
+import {
+  Adapter,
+  AdapterFactory,
+  AdapterNotFoundError,
+  AdapterTimeProvider,
+  FeedAsyncCallback
+} from '@lib/adapter';
+import { InstrumentSelector, Ohlc, Order } from '@lib/domain';
+import { log, timestamp } from '@lib/shared';
+import { Cache } from '@lib/storage';
+import { Store } from '@lib/store';
 
 /**
  * Manages instances of all adapters provided in session descriptor.
  * Awakes and disposes adapters, routes and executes commands.
  */
 export class AdapterAggregate {
+  private readonly logger = log(AdapterAggregate.name);
   private readonly adapter: Record<string, Adapter> = {};
 
   constructor(
@@ -18,7 +23,7 @@ export class AdapterAggregate {
     private readonly timeProvider: AdapterTimeProvider,
     private readonly store: Store,
     private readonly cache: Cache
-  ) { }
+  ) {}
 
   /**
    * Returns adapter by name.
@@ -29,7 +34,7 @@ export class AdapterAggregate {
     const adapter = this.adapter[adapterName];
 
     if (!adapter) {
-      throw adapterNotFoundError(adapterName);
+      throw new AdapterNotFoundError(adapterName);
     }
 
     return adapter;
@@ -46,7 +51,7 @@ export class AdapterAggregate {
         await adapter.awake();
         await adapter.account();
       } catch (error) {
-        Logger.error(adapter.name, error);
+        this.logger.error(`unable to awake for ${adapter.name}`, error);
       }
 
       this.adapter[adapter.name] = adapter;
@@ -61,7 +66,7 @@ export class AdapterAggregate {
       try {
         await adapter.dispose();
       } catch (error) {
-        Logger.error(adapter.name, error);
+        this.logger.error(`unable to dispose for ${adapter.name}`, error);
       }
     }
   }
@@ -87,7 +92,11 @@ export class AdapterAggregate {
       try {
         await this.get(adapterName).subscribe(grouped[adapterName]);
       } catch (error) {
-        Logger.error(adapterName, error);
+        this.logger.error(
+          `unable to subscribe for ${adapterName}`,
+          grouped[adapterName],
+          error
+        );
 
         throw error;
       }
@@ -101,15 +110,12 @@ export class AdapterAggregate {
   async open(order: Order): Promise<void> {
     const { adapterName } = order.instrument.base;
 
-    Logger.debug(
-      adapterName,
-      `opening a new order on ${order.instrument.id} as ${order.id}`
-    );
+    this.logger.debug(`opening a new order on ${order.instrument.id} as ${order.id}`);
 
     try {
       await this.get(adapterName).open(order);
     } catch (error) {
-      Logger.error(adapterName, error);
+      this.logger.error(`unable to open a new order for ${adapterName}`, order, error);
 
       throw error;
     }
@@ -121,12 +127,12 @@ export class AdapterAggregate {
   cancel(order: Order): Promise<void> {
     const { adapterName } = order.instrument.base;
 
-    Logger.debug(adapterName, `canceling a ${order.id} order`);
+    this.logger.debug(`canceling a ${order.id} order`);
 
     try {
       return this.get(adapterName).cancel(order);
     } catch (error) {
-      Logger.error(adapterName, error);
+      this.logger.error(`unable to cancel a order for ${adapterName}`, order, error);
 
       throw error;
     }
@@ -144,7 +150,11 @@ export class AdapterAggregate {
     try {
       return this.get(instrument.base.adapterName).history(instrument, timeframe, length);
     } catch (error) {
-      Logger.error(instrument.base.adapterName, error);
+      this.logger.error(
+        `unable to get history ${instrument.base.adapterName}`,
+        { instrument, timeframe, length },
+        error
+      );
 
       throw error;
     }
@@ -163,7 +173,11 @@ export class AdapterAggregate {
     try {
       return this.get(instrument.base.adapterName).feed(instrument, from, to, callback);
     } catch (error) {
-      Logger.error(instrument.base.adapterName, error);
+      this.logger.error(
+        `unable to get feed ${instrument.base.adapterName}`,
+        { instrument, from, to },
+        error
+      );
 
       throw error;
     }

package/src/adapter/adapter.ts

@@ -1,9 +1,8 @@
-import { Ohlc, InstrumentSelector, Order } from '../domain';
-import { now, timestamp } from '../shared';
-import { Cache, StorageEvent } from '../storage';
-import { Store } from '../store';
-import { PaperAdapter } from './paper';
-import { PaperEngine } from './paper/engine/paper-engine';
+import { PaperAdapter, PaperEngine } from '@lib/adapter';
+import { InstrumentSelector, Ohlc, Order } from '@lib/domain';
+import { now, timestamp } from '@lib/shared';
+import { Cache, StorageEvent } from '@lib/storage';
+import { Store } from '@lib/store';
 
 export type AdapterTimeProvider = {
   timestamp: () => number;
@@ -32,7 +31,7 @@ export abstract class Adapter {
     return this.timeProvider.timestamp();
   }
 
-  constructor(private readonly timeProvider: AdapterTimeProvider) { }
+  constructor(private readonly timeProvider: AdapterTimeProvider) {}
 
   /**
    * Setup an adapter.

package/src/adapter/backtester/backtester-adapter.ts

@@ -1,11 +1,15 @@
-import { InstrumentSelector, Ohlc, Order } from '../../domain';
-import { timestamp } from '../../shared';
-import { InstrumentSubscriptionEvent, Store } from '../../store';
-import { Adapter } from '..';
-import { AdapterFactory, FeedAsyncCallback } from '../adapter';
-import { PaperAdapter, PaperOptions } from '../paper';
-import { PaperEngine } from '../paper/engine/paper-engine';
-import { BacktesterStreamer } from './backtester-streamer';
+import {
+  Adapter,
+  AdapterFactory,
+  BacktesterStreamer,
+  FeedAsyncCallback,
+  PaperAdapter,
+  PaperEngine,
+  PaperOptions
+} from '@lib/adapter';
+import { InstrumentSelector, Ohlc, Order } from '@lib/domain';
+import { timestamp } from '@lib/shared';
+import { InstrumentSubscriptionEvent, Store } from '@lib/store';
 
 export interface BacktesterOptions extends PaperOptions {
   from: timestamp;

package/src/adapter/backtester/backtester-cursor.spec.ts

@@ -1,10 +1,10 @@
-import { instrumentOf } from '../../domain';
-import { d } from '../../shared';
-import { Feed, InMemoryStorage } from '../../storage';
-import { TradePatchEvent } from '../../store';
-import { BacktesterCursor } from './backtester-cursor';
+import { BacktesterCursor } from '@lib/adapter';
+import { instrumentOf } from '@lib/domain';
+import { d } from '@lib/shared';
+import { Feed, InMemoryStorage } from '@lib/storage';
+import { TradePatchEvent } from '@lib/store';
 
-describe('BacktesterCursor', () => {
+describe(BacktesterCursor.name, () => {
   test('should repeat specific events', async () => {
     const instrument = instrumentOf('binance:btc-usdt');
     const feed = new Feed(new InMemoryStorage());

package/src/adapter/backtester/backtester-cursor.ts

@@ -1,7 +1,7 @@
-import { InstrumentSelector } from '../../domain';
-import { timestamp } from '../../shared';
-import { Feed, StorageEvent } from '../../storage';
-import { backtestPageNotEmpty } from '../error';
+import { BacktestPageNotEmpty } from '@lib/adapter';
+import { InstrumentSelector } from '@lib/domain';
+import { timestamp } from '@lib/shared';
+import { Feed, StorageEvent } from '@lib/storage';
 
 export class BacktesterCursor {
   private page = new Array<StorageEvent>();
@@ -32,7 +32,7 @@ export class BacktesterCursor {
     }
 
     if (this.size > 0) {
-      throw backtestPageNotEmpty();
+      throw new BacktestPageNotEmpty();
     }
 
     this.pageIndex = 0;

package/src/adapter/backtester/backtester-streamer.spec.ts

@@ -1,10 +1,10 @@
-import { Asset, Commission, Instrument } from '../../domain';
-import { d } from '../../shared';
-import { Feed, InMemoryStorage } from '../../storage';
-import { Store, TradePatchEvent } from '../../store';
-import { BacktesterStreamer } from './backtester-streamer';
+import { BacktesterStreamer } from '@lib/adapter';
+import { Asset, Commission, Instrument } from '@lib/domain';
+import { d } from '@lib/shared';
+import { Feed, InMemoryStorage } from '@lib/storage';
+import { Store, TradePatchEvent } from '@lib/store';
 
-describe('BacktesterStreamer', () => {
+describe(BacktesterStreamer.name, () => {
   const instrument = new Instrument(
     0,
     new Asset('btc', 'binance', 8),

package/src/adapter/backtester/backtester-streamer.ts

@@ -1,10 +1,13 @@
-import { InstrumentSelector } from '../../domain';
-import { timestamp } from '../../shared';
-import { Feed } from '../../storage';
-import { Store } from '../../store';
-import { AdapterTimeProvider } from '../adapter';
-import { BacktesterCursor } from './backtester-cursor';
-import { invalidEventSequenceError, missingPeriodParametersError } from './error';
+import {
+  AdapterTimeProvider,
+  BacktesterCursor,
+  InvalidEventSequenceError,
+  MissingPeriodParametersError
+} from '@lib/adapter';
+import { InstrumentSelector } from '@lib/domain';
+import { timestamp } from '@lib/shared';
+import { Feed } from '@lib/storage';
+import { Store } from '@lib/store';
 
 /**
  * Listen to backtest session events.
@@ -41,7 +44,7 @@ export class BacktesterStreamer {
     private readonly listener?: BacktesterListener
   ) {
     if (period.from == undefined || period.to == undefined) {
-      throw missingPeriodParametersError();
+      throw new MissingPeriodParametersError();
     }
 
     this.timestamp = period.from;
@@ -131,7 +134,7 @@ export class BacktesterStreamer {
     this.store.dispatch(event);
 
     if (cursor.dequeue().timestamp != event.timestamp) {
-      throw invalidEventSequenceError();
+      throw new InvalidEventSequenceError();
     }
 
     return true;