@quantform/core 0.6.6 → 0.6.7

package/src/adapter/backtester/error.ts

@@ -1,7 +1,11 @@
-export function missingPeriodParametersError() {
-  return new Error('invalid backtest options, please provide from and to period.');
+export class MissingPeriodParametersError extends Error {
+  constructor() {
+    super('invalid backtest options, please provide from and to period.');
+  }
 }
 
-export function invalidEventSequenceError() {
-  return new Error('invalid event to consume');
+export class InvalidEventSequenceError extends Error {
+  constructor() {
+    super('invalid event to consume');
+  }
 }

package/src/adapter/backtester/index.ts

@@ -1,2 +1,4 @@
-export * from './backtester-adapter';
-export * from './backtester-streamer';
+export * from '@lib/adapter/backtester/backtester-adapter';
+export * from '@lib/adapter/backtester/backtester-streamer';
+export * from '@lib/adapter/backtester/backtester-cursor';
+export * from '@lib/adapter/backtester/error';

package/src/adapter/error.ts

@@ -1,13 +1,19 @@
-export function adapterNotFoundError(adapterName: string) {
-  return new Error(
-    `Unknown adapter: ${adapterName}. You should provide adapter in session descriptor.`
-  );
+export class AdapterNotFoundError extends Error {
+  constructor(adapterName: string) {
+    super(
+      `Unknown adapter: ${adapterName}. You should provide adapter in session descriptor.`
+    );
+  }
 }
 
-export function noPaperEngineProvidedError() {
-  return new Error('No paper engine provided.');
+export class NoPaperEngineProvidedError extends Error {
+  constructor() {
+    super('No paper engine provided.');
+  }
 }
 
-export function backtestPageNotEmpty() {
-  return new Error('Backtest page is not empty');
+export class BacktestPageNotEmpty extends Error {
+  constructor() {
+    super('Backtest page is not empty');
+  }
 }

package/src/adapter/index.ts

@@ -1,4 +1,5 @@
-export * from './adapter';
-export * from './adapter-aggregate';
-export * from './backtester';
-export * from './paper';
+export * from '@lib/adapter/adapter';
+export * from '@lib/adapter/adapter-aggregate';
+export * from '@lib/adapter/backtester';
+export * from '@lib/adapter/paper';
+export * from '@lib/adapter/error';

package/src/adapter/paper/engine/paper-engine.spec.ts

@@ -1,19 +1,13 @@
-import {
-  Asset,
-  Commission,
-  commissionPercentOf,
-  Instrument,
-  Order
-} from '../../../domain';
-import { d, now } from '../../../shared';
+import { PaperEngine } from '@lib/adapter';
+import { Asset, Commission, commissionPercentOf, Instrument, Order } from '@lib/domain';
+import { d, now } from '@lib/shared';
 import {
   BalancePatchEvent,
   InstrumentPatchEvent,
   InstrumentSubscriptionEvent,
   OrderbookPatchEvent,
   Store
-} from '../../../store';
-import { PaperEngine } from './paper-engine';
+} from '@lib/store';
 
 describe('PaperEngine', () => {
   const instrument = new Instrument(
@@ -109,8 +103,8 @@ describe('PaperEngine', () => {
     expect(store.snapshot.order.asReadonlyArray().length).toEqual(1);
     expect(pendingOrder.state).toEqual('FILLED');
     expect(baseBalance.free).toEqual(d(0.4));
-    expect(baseBalance.locked).toEqual(d.Zero);
-    expect(quoteBalance.free).toEqual(d(1060.53));
+    expect(baseBalance.locked).toEqual(d(0.6));
+    expect(quoteBalance.free).toEqual(d(1000));
     expect(quoteBalance.locked).toEqual(d.Zero);
   });
 });

package/src/adapter/paper/engine/paper-engine.ts

@@ -1,11 +1,9 @@
 import { tap } from 'rxjs';
 
-import { Order, Orderbook, Trade } from '../../../domain';
-import { d, decimal } from '../../../shared';
+import { Order, Orderbook, Trade } from '@lib/domain';
+import { d, decimal } from '@lib/shared';
 import {
-  BalanceLockOrderEvent,
-  BalanceTransactEvent,
-  BalanceUnlockOrderEvent,
+  InstrumentNotSupportedError,
   OrderCanceledEvent,
   OrderCancelingEvent,
   OrderFilledEvent,
@@ -13,18 +11,17 @@ import {
   OrderPendingEvent,
   OrderRejectedEvent,
   Store
-} from '../../../store';
-import { instrumentNotSupportedError } from '../../../store/error';
+} from '@lib/store';
 
 export class PaperEngine {
   constructor(private readonly store: Store) {
     store.changes$
       .pipe(
         tap(it => {
-          if (it instanceof Orderbook) {
-            this.onOrderbook(it);
-          } else if (it instanceof Trade) {
-            this.onTrade(it);
+          if (it.type === Orderbook.type) {
+            this.onOrderbook(it as Orderbook);
+          } else if (it.type === Trade.type) {
+            this.onTrade(it as Trade);
           }
         })
       )
@@ -35,17 +32,11 @@ export class PaperEngine {
     const { timestamp } = this.store.snapshot;
 
     try {
-      this.store.dispatch(
-        new OrderNewEvent(order, timestamp),
-        new BalanceLockOrderEvent(order.id, order.instrument, timestamp)
-      );
+      this.store.dispatch(new OrderNewEvent(order, timestamp));
 
       this.store.dispatch(new OrderPendingEvent(order.id, order.instrument, timestamp));
     } catch (error) {
-      this.store.dispatch(
-        new BalanceUnlockOrderEvent(order.id, order.instrument, timestamp),
-        new OrderRejectedEvent(order.id, order.instrument, timestamp)
-      );
+      this.store.dispatch(new OrderRejectedEvent(order.id, order.instrument, timestamp));
     }
   }
 
@@ -54,10 +45,7 @@ export class PaperEngine {
 
     this.store.dispatch(new OrderCancelingEvent(order.id, order.instrument, timestamp));
 
-    this.store.dispatch(
-      new BalanceUnlockOrderEvent(order.id, order.instrument, timestamp),
-      new OrderCanceledEvent(order.id, order.instrument, timestamp)
-    );
+    this.store.dispatch(new OrderCanceledEvent(order.id, order.instrument, timestamp));
   }
 
   private onOrderbook(orderbook: Orderbook) {
@@ -115,7 +103,7 @@ export class PaperEngine {
 
     const instrument = this.store.snapshot.universe.instrument.get(order.instrument.id);
     if (!instrument) {
-      throw instrumentNotSupportedError(order.instrument);
+      throw new InstrumentNotSupportedError(order.instrument);
     }
 
     const transacted = {
@@ -142,10 +130,7 @@ export class PaperEngine {
     }
 
     this.store.dispatch(
-      new BalanceUnlockOrderEvent(order.id, order.instrument, timestamp),
-      new OrderFilledEvent(order.id, order.instrument, averageExecutionRate, timestamp),
-      new BalanceTransactEvent(instrument.base, transacted.base, timestamp),
-      new BalanceTransactEvent(instrument.quote, transacted.quote, timestamp)
+      new OrderFilledEvent(order.id, order.instrument, averageExecutionRate, timestamp)
     );
   }
 }

package/src/adapter/paper/index.ts

@@ -1,2 +1,2 @@
-export * from './paper-adapter';
-export * from './engine/paper-engine';
+export * from '@lib/adapter/paper/paper-adapter';
+export * from '@lib/adapter/paper/engine/paper-engine';

package/src/adapter/paper/paper-adapter.ts

@@ -1,10 +1,13 @@
-import { assetOf, InstrumentSelector, Ohlc, Order } from '../../domain';
-import { d, decimal, timestamp } from '../../shared';
-import { BalancePatchEvent, Store } from '../../store';
-import { Adapter } from '..';
-import { AdapterFactory, FeedAsyncCallback } from '../adapter';
-import { noPaperEngineProvidedError } from '../error';
-import { PaperEngine } from './engine/paper-engine';
+import {
+  Adapter,
+  AdapterFactory,
+  FeedAsyncCallback,
+  NoPaperEngineProvidedError,
+  PaperEngine
+} from '@lib/adapter';
+import { assetOf, InstrumentSelector, Ohlc, Order } from '@lib/domain';
+import { d, decimal, timestamp } from '@lib/shared';
+import { BalanceLoadEvent, OrderNewEvent, Store } from '@lib/store';
 
 export interface PaperOptions {
   balance: { [key: string]: decimal };
@@ -62,27 +65,31 @@ export class PaperAdapter extends Adapter {
 
       subscribed = subscribed.filter(it => it.id != asset.id);
 
-      this.store.dispatch(new BalancePatchEvent(asset, free, d.Zero, this.timestamp()));
+      this.store.dispatch(new BalanceLoadEvent(asset, free, d.Zero, this.timestamp()));
     }
 
     for (const missingAsset of subscribed) {
       this.store.dispatch(
-        new BalancePatchEvent(missingAsset, d.Zero, d.Zero, this.timestamp())
+        new BalanceLoadEvent(missingAsset, d.Zero, d.Zero, this.timestamp())
       );
     }
   }
 
   async open(order: Order): Promise<void> {
     if (!this.engine) {
-      throw noPaperEngineProvidedError();
+      throw new NoPaperEngineProvidedError();
     }
 
+    const { timestamp } = this.store.snapshot;
+
+    this.store.dispatch(new OrderNewEvent(order, timestamp));
+
     this.engine.open(order);
   }
 
   async cancel(order: Order): Promise<void> {
     if (!this.engine) {
-      throw noPaperEngineProvidedError();
+      throw new NoPaperEngineProvidedError();
     }
 
     this.engine.cancel(order);

package/src/cli/build.ts

@@ -1,6 +1,6 @@
 import { spawn } from 'child_process';
 
-import { buildDirectory } from './internal/workspace';
+import { buildDirectory } from '@lib/cli/internal/workspace';
 
 export default async function (): Promise<number> {
   return new Promise<number>((resolve, reject) => {

package/src/cli/dev.ts

@@ -1,10 +1,10 @@
 import { join } from 'path';
 
-import { spawn } from '..';
-import { SessionBuilder } from '../domain/session-builder';
-import { now } from '../shared';
-import build from './build';
-import { buildDirectory } from './internal/workspace';
+import build from '@lib/cli/build';
+import { buildDirectory } from '@lib/cli/internal/workspace';
+import { SessionBuilder } from '@lib/domain';
+import { spawn } from '@lib/index';
+import { now } from '@lib/shared';
 
 export default async function (name: string, options: any) {
   if (await build()) {

package/src/cli/index.ts

@@ -4,11 +4,11 @@ import { ChildProcess, spawn } from 'child_process';
 import { program } from 'commander';
 import watch from 'node-watch';
 
-import build from './build';
-import dev from './dev';
-import pull from './pull';
-import run from './run';
-import test from './test';
+import build from '@lib/cli/build';
+import dev from '@lib/cli/dev';
+import pull from '@lib/cli/pull';
+import run from '@lib/cli/run';
+import test from '@lib/cli/test';
 
 program
   .command('build')

package/src/cli/internal/workspace.ts

@@ -1,6 +1,6 @@
 import { join } from 'path';
 
-import { workingDirectory } from './../../shared';
+import { workingDirectory } from '@lib/shared';
 
 export function buildDirectory() {
   return join(process.cwd(), workingDirectory(), 'build');

package/src/cli/pull.ts

@@ -1,13 +1,13 @@
 import { Presets, SingleBar } from 'cli-progress';
 import { join } from 'path';
 
-import { spawn } from '..';
-import { instrumentOf } from '../domain';
-import { SessionBuilder } from '../domain/session-builder';
-import { now } from '../shared';
-import { Feed } from '../storage';
-import build from './build';
-import { buildDirectory } from './internal/workspace';
+import build from '@lib/cli/build';
+import { buildDirectory } from '@lib/cli/internal/workspace';
+import { instrumentOf } from '@lib/domain';
+import { SessionBuilder } from '@lib/domain';
+import { spawn } from '@lib/index';
+import { now } from '@lib/shared';
+import { Feed } from '@lib/storage';
 
 export default async function (name: string, instrument: string, options: any) {
   if (await build()) {

package/src/cli/run.ts

@@ -1,10 +1,10 @@
 import { join } from 'path';
 
-import { spawn } from '..';
-import { SessionBuilder } from '../domain/session-builder';
-import { now } from '../shared';
-import build from './build';
-import { buildDirectory } from './internal/workspace';
+import build from '@lib/cli/build';
+import { buildDirectory } from '@lib/cli/internal/workspace';
+import { SessionBuilder } from '@lib/domain';
+import { spawn } from '@lib/index';
+import { now } from '@lib/shared';
 
 export default async function (name: string, options: any) {
   if (await build()) {

package/src/cli/test.ts

@@ -1,10 +1,10 @@
 import { join } from 'path';
 
-import { SessionBuilder } from '../domain/session-builder';
-import { Logger, now } from '../shared';
-import { spawn } from '..';
-import build from './build';
-import { buildDirectory } from './internal/workspace';
+import build from '@lib/cli/build';
+import { buildDirectory } from '@lib/cli/internal/workspace';
+import { SessionBuilder } from '@lib/domain';
+import { spawn } from '@lib/index';
+import { log, now } from '@lib/shared';
 
 export default async function (name: string, options: any) {
   if (await build()) {
@@ -18,17 +18,18 @@ export default async function (name: string, options: any) {
   );
 
   const rules = await spawn(name, builder);
+  const logger = log('backtester');
 
   const startTime = performance.now();
 
   const [session, backtester] = builder.backtest({
-    onBacktestStarted: () => Logger.info('backtest', `new session ${session.id} started`),
+    onBacktestStarted: () => logger.info(`new session ${session.id} started`),
     onBacktestCompleted: async () => {
       await session.dispose();
 
       const seconds = ((performance.now() - startTime) / 1000).toFixed(3);
 
-      Logger.info('backtest', `session ${session.id} completed in ${seconds}s`);
+      logger.info(`session ${session.id} completed in ${seconds}s`);
     }
   });
 

package/src/domain/asset.spec.ts

@@ -1,7 +1,7 @@
-import { d } from '../shared';
-import { Asset, assetOf } from './asset';
+import { Asset, assetOf, AssetSelector } from '@lib/domain';
+import { d } from '@lib/shared';
 
-describe('Asset', () => {
+describe(Asset.name, () => {
   test('should construct a new asset', () => {
     const sut = new Asset('abc', 'xyz', 4);
 
@@ -27,7 +27,7 @@ describe('Asset', () => {
   });
 });
 
-describe('AssetSelector', () => {
+describe(AssetSelector.name, () => {
   test('should construct a new asset selector from unified string', () => {
     const sut = assetOf('xyz:abc');
 

package/src/domain/asset.ts

@@ -1,5 +1,5 @@
-import { d, decimal } from './../shared/decimals';
-import { invalidArgumentError, invalidAssetSelectorError } from './error';
+import { InvalidArgumentsError, InvalidAssetSelectorError } from '@lib/domain';
+import { d, decimal } from '@lib/shared';
 
 export const AssetSelectorSeparator = ':';
 
@@ -13,11 +13,11 @@ export class AssetSelector {
 
   constructor(name: string, adapterName: string) {
     if (!name?.length) {
-      throw invalidArgumentError(name);
+      throw new InvalidArgumentsError({ name });
     }
 
     if (!adapterName?.length) {
-      throw invalidArgumentError(adapterName);
+      throw new InvalidArgumentsError({ adapterName });
     }
 
     this.name = name.toLowerCase();
@@ -33,7 +33,7 @@ export function assetOf(selector: string): AssetSelector {
   const [adapterName, name, ...rest] = selector.split(AssetSelectorSeparator);
 
   if (!adapterName || !name || rest.length) {
-    throw invalidAssetSelectorError(selector);
+    throw new InvalidAssetSelectorError(selector);
   }
 
   return new AssetSelector(name, adapterName);
@@ -50,12 +50,19 @@ export class Asset extends AssetSelector {
     super(name, adapterName);
 
     if (scale && (scale < 0 || Number.isNaN(scale))) {
-      throw invalidArgumentError(scale);
+      throw new InvalidArgumentsError({ scale });
     }
 
     this.tickSize = d(1.0).div(Math.pow(10, this.scale));
   }
 
+  /**
+   * Formats a number to string with fixed number of decimal places.
+   */
+  fixed(number: decimal): string {
+    return number.toFixed(this.scale);
+  }
+
   /**
    * Rounds down a number to the asset precision.
    */

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

@@ -1,12 +1,9 @@
 import { Subject } from 'rxjs';
 
-import { State } from '../store';
-import { Asset } from './asset';
-import { Balance } from './balance';
-import { balance } from './balance-operator';
-import { Component } from './component';
+import { Asset, Balance, balance, Component } from '@lib/domain';
+import { State } from '@lib/store';
 
-describe('balance', () => {
+describe(balance.name, () => {
   const timestamp = 0;
   const asset = new Asset('abc', 'xyz', 4);
   const state = new State();

package/src/domain/balance-operator.ts

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

package/src/domain/balance.spec.ts

@@ -1,11 +1,7 @@
-import { d } from '../shared';
-import { Asset } from './asset';
-import { Balance } from './balance';
-import { Commission } from './commission';
-import { Instrument } from './instrument';
-import { Position } from './position';
+import { Asset, Balance, Commission, Instrument, Position } from '@lib/domain';
+import { d } from '@lib/shared';
 
-describe('Balance', () => {
+describe(Balance.name, () => {
   const asset = new Asset('abc', 'xyz', 4);
   const instrument = new Instrument(
     0,
@@ -25,78 +21,13 @@ describe('Balance', () => {
   });
 
   test('should construct balance', () => {
-    const sut = new Balance(1, asset);
-
-    sut.set(d(100), d(50));
+    const sut = new Balance(1, asset, d(100));
 
     expect(sut.asset.id).toEqual('xyz:abc');
     expect(sut.free).toEqual(d(100));
-    expect(sut.locked).toEqual(d(50));
-    expect(sut.total).toEqual(d(150));
-    expect(Object.keys(sut.position).length).toEqual(0);
-  });
-
-  test('should account positive amount', () => {
-    const sut = new Balance(0, asset);
-
-    sut.set(d(100), d.Zero);
-    sut.account(d(10));
-
-    expect(sut.free).toEqual(d(110));
-    expect(sut.locked).toEqual(d.Zero);
-    expect(sut.total).toEqual(d(110));
-  });
-
-  test('should account negative amount', () => {
-    const sut = new Balance(0, asset);
-
-    sut.set(d(100), d.Zero);
-    sut.account(d(-10));
-
-    expect(sut.free).toEqual(d(90));
-    expect(sut.locked).toEqual(d.Zero);
-    expect(sut.total).toEqual(d(90));
-  });
-
-  test('should throw for insufficient balance account amount', () => {
-    const sut = new Balance(0, asset);
-
-    sut.set(d(100), d.Zero);
-    const fn = () => sut.account(d(-120));
-
-    expect(fn).toThrowError();
-  });
-
-  test('should lock specific amount of available balance', () => {
-    const sut = new Balance(0, asset);
-
-    sut.set(d(100), d.Zero);
-    sut.lock('key', d(10));
-
-    expect(sut.free).toEqual(d(90));
-    expect(sut.locked).toEqual(d(10));
-    expect(sut.total).toEqual(d(100));
-  });
-
-  test('should throw for lock insufficient amount of available balance', () => {
-    const sut = new Balance(0, asset);
-
-    sut.set(d(30), d(50));
-    const fn = () => sut.lock('key', d(100));
-
-    expect(fn).toThrowError();
-  });
-
-  test('should lock and unlock specific amount of available balance', () => {
-    const sut = new Balance(0, asset);
-
-    sut.set(d(100), d.Zero);
-    sut.lock('key', d(40));
-    sut.tryUnlock('key');
-
-    expect(sut.free).toEqual(d(100));
-    expect(sut.locked).toEqual(d.Zero);
+    expect(sut.locked).toEqual(d(0));
     expect(sut.total).toEqual(d(100));
+    expect(Object.keys(sut.position).length).toEqual(0);
   });
 
   test('should return correct estimated unrealized pnl', () => {
@@ -104,9 +35,8 @@ describe('Balance', () => {
 
     position.calculateEstimatedUnrealizedPnL(d(2576.44));
 
-    const sut = new Balance(0, asset);
+    const sut = new Balance(0, asset, d(100));
 
-    sut.set(d(100), d.Zero);
     sut.position['1'] = position;
 
     expect(sut.getEstimatedUnrealizedPnL()).toEqual(d(0.2652));