@quantform/core 0.6.6 → 0.7.0-beta.4

This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
Files changed (521) hide show
  1. package/dist/as-readonly.d.ts +3 -0
  2. package/dist/as-readonly.d.ts.map +1 -0
  3. package/dist/as-readonly.js +8 -0
  4. package/dist/{domain → asset}/asset.d.ts +6 -1
  5. package/dist/asset/asset.d.ts.map +1 -0
  6. package/dist/{domain → asset}/asset.js +16 -7
  7. package/dist/asset/asset.spec.d.ts +2 -0
  8. package/dist/asset/asset.spec.d.ts.map +1 -0
  9. package/dist/asset/asset.spec.js +54 -0
  10. package/dist/asset/index.d.ts +2 -0
  11. package/dist/asset/index.d.ts.map +1 -0
  12. package/dist/{adapter/paper → asset}/index.js +1 -2
  13. package/dist/cli/build.js +1 -1
  14. package/dist/cli/dev.d.ts.map +1 -1
  15. package/dist/cli/dev.js +15 -11
  16. package/dist/cli/index.js +8 -8
  17. package/dist/cli/internal/workspace.js +1 -1
  18. package/dist/cli/pull.d.ts.map +1 -1
  19. package/dist/cli/pull.js +50 -20
  20. package/dist/cli/{test.d.ts → replay.d.ts} +1 -1
  21. package/dist/cli/replay.d.ts.map +1 -0
  22. package/dist/cli/{test.js → replay.js} +18 -20
  23. package/dist/cli/run.d.ts.map +1 -1
  24. package/dist/cli/run.js +16 -11
  25. package/dist/component/distinct-until-timesamp-changed.d.ts +5 -0
  26. package/dist/component/distinct-until-timesamp-changed.d.ts.map +1 -0
  27. package/dist/component/distinct-until-timesamp-changed.js +9 -0
  28. package/dist/component/error.d.ts +17 -0
  29. package/dist/component/error.d.ts.map +1 -0
  30. package/dist/component/error.js +33 -0
  31. package/dist/component/index.d.ts +8 -0
  32. package/dist/component/index.d.ts.map +1 -0
  33. package/dist/{store → component}/index.js +7 -9
  34. package/dist/{domain → component}/ohlc-operator.d.ts +1 -1
  35. package/dist/component/ohlc-operator.d.ts.map +1 -0
  36. package/dist/{domain → component}/ohlc-operator.js +4 -5
  37. package/dist/component/ohlc-operator.spec.d.ts +2 -0
  38. package/dist/component/ohlc-operator.spec.d.ts.map +1 -0
  39. package/dist/component/ohlc-operator.spec.js +110 -0
  40. package/dist/component/ohlc.d.ts.map +1 -0
  41. package/dist/component/ohlc.spec.d.ts +2 -0
  42. package/dist/component/ohlc.spec.d.ts.map +1 -0
  43. package/dist/component/ohlc.spec.js +25 -0
  44. package/dist/component/timeframe.d.ts.map +1 -0
  45. package/dist/core.d.ts +3 -0
  46. package/dist/core.d.ts.map +1 -0
  47. package/dist/core.js +15 -0
  48. package/dist/defined.d.ts +3 -0
  49. package/dist/defined.d.ts.map +1 -0
  50. package/dist/defined.js +8 -0
  51. package/dist/exclude.d.ts +3 -0
  52. package/dist/exclude.d.ts.map +1 -0
  53. package/dist/exclude.js +8 -0
  54. package/dist/index.d.ts +25 -27
  55. package/dist/index.d.ts.map +1 -1
  56. package/dist/index.js +25 -66
  57. package/dist/{domain → instrument/commission}/commission.d.ts +1 -1
  58. package/dist/instrument/commission/commission.d.ts.map +1 -0
  59. package/dist/{domain → instrument/commission}/commission.js +2 -2
  60. package/dist/instrument/commission/commission.spec.d.ts +2 -0
  61. package/dist/instrument/commission/commission.spec.d.ts.map +1 -0
  62. package/dist/instrument/commission/commission.spec.js +30 -0
  63. package/dist/instrument/index.d.ts +3 -0
  64. package/dist/instrument/index.d.ts.map +1 -0
  65. package/dist/{adapter → instrument}/index.js +2 -4
  66. package/dist/{domain → instrument}/instrument.d.ts +4 -4
  67. package/dist/instrument/instrument.d.ts.map +1 -0
  68. package/dist/{domain → instrument}/instrument.js +8 -5
  69. package/dist/instrument/instrument.spec.d.ts +2 -0
  70. package/dist/instrument/instrument.spec.d.ts.map +1 -0
  71. package/dist/instrument/instrument.spec.js +51 -0
  72. package/dist/make-test-module.d.ts +13 -0
  73. package/dist/make-test-module.d.ts.map +1 -0
  74. package/dist/make-test-module.js +46 -0
  75. package/dist/module.d.ts +57 -0
  76. package/dist/module.d.ts.map +1 -0
  77. package/dist/module.js +136 -0
  78. package/dist/module.spec.d.ts +2 -0
  79. package/dist/module.spec.d.ts.map +1 -0
  80. package/dist/module.spec.js +86 -0
  81. package/dist/not-found.d.ts +2 -0
  82. package/dist/not-found.d.ts.map +1 -0
  83. package/dist/{domain/component.js → not-found.js} +2 -0
  84. package/dist/replay/index.d.ts +7 -0
  85. package/dist/replay/index.d.ts.map +1 -0
  86. package/dist/replay/index.js +22 -0
  87. package/dist/replay/use-replay-coordinator.d.ts +10 -0
  88. package/dist/replay/use-replay-coordinator.d.ts.map +1 -0
  89. package/dist/replay/use-replay-coordinator.js +119 -0
  90. package/dist/replay/use-replay-options.d.ts +15 -0
  91. package/dist/replay/use-replay-options.d.ts.map +1 -0
  92. package/dist/replay/use-replay-options.js +20 -0
  93. package/dist/replay/use-replay-reader.d.ts +7 -0
  94. package/dist/replay/use-replay-reader.d.ts.map +1 -0
  95. package/dist/replay/use-replay-reader.js +32 -0
  96. package/dist/replay/use-replay-reader.spec.d.ts +2 -0
  97. package/dist/replay/use-replay-reader.spec.d.ts.map +1 -0
  98. package/dist/replay/use-replay-reader.spec.js +58 -0
  99. package/dist/replay/use-replay-storage.d.ts +10 -0
  100. package/dist/replay/use-replay-storage.d.ts.map +1 -0
  101. package/dist/replay/use-replay-storage.js +10 -0
  102. package/dist/replay/use-replay-writer.d.ts +6 -0
  103. package/dist/replay/use-replay-writer.d.ts.map +1 -0
  104. package/dist/replay/use-replay-writer.js +14 -0
  105. package/dist/replay/use-replay-writer.spec.d.ts +2 -0
  106. package/dist/replay/use-replay-writer.spec.d.ts.map +1 -0
  107. package/dist/replay/use-replay-writer.spec.js +53 -0
  108. package/dist/replay/use-replay.d.ts +10 -0
  109. package/dist/replay/use-replay.d.ts.map +1 -0
  110. package/dist/replay/use-replay.js +32 -0
  111. package/dist/replay/use-replay.spec.d.ts +2 -0
  112. package/dist/replay/use-replay.spec.d.ts.map +1 -0
  113. package/dist/replay/use-replay.spec.js +106 -0
  114. package/dist/replay/with-replay.d.ts +4 -0
  115. package/dist/replay/with-replay.d.ts.map +1 -0
  116. package/dist/replay/with-replay.js +8 -0
  117. package/dist/session/index.d.ts +4 -0
  118. package/dist/session/index.d.ts.map +1 -0
  119. package/dist/session/index.js +19 -0
  120. package/dist/session/use-session-object.d.ts +18 -0
  121. package/dist/session/use-session-object.d.ts.map +1 -0
  122. package/dist/session/use-session-object.js +13 -0
  123. package/dist/session/use-session-storage.d.ts +2 -0
  124. package/dist/session/use-session-storage.d.ts.map +1 -0
  125. package/dist/session/use-session-storage.js +10 -0
  126. package/dist/session/use-session.d.ts +4 -0
  127. package/dist/session/use-session.d.ts.map +1 -0
  128. package/dist/session/use-session.js +7 -0
  129. package/dist/shared/datetime.d.ts +1 -1
  130. package/dist/shared/datetime.d.ts.map +1 -1
  131. package/dist/shared/decimals.d.ts.map +1 -1
  132. package/dist/shared/decimals.js +5 -0
  133. package/dist/shared/decimals.spec.d.ts +2 -0
  134. package/dist/shared/decimals.spec.d.ts.map +1 -0
  135. package/dist/shared/decimals.spec.js +28 -0
  136. package/dist/shared/index.d.ts +3 -7
  137. package/dist/shared/index.d.ts.map +1 -1
  138. package/dist/shared/index.js +3 -7
  139. package/dist/simulator/index.d.ts +2 -0
  140. package/dist/simulator/index.d.ts.map +1 -0
  141. package/dist/{adapter/backtester → simulator}/index.js +1 -2
  142. package/dist/simulator/use-simulator.d.ts +2 -0
  143. package/dist/simulator/use-simulator.d.ts.map +1 -0
  144. package/dist/simulator/use-simulator.js +9 -0
  145. package/dist/simulator/use-simulator.spec.d.ts +2 -0
  146. package/dist/simulator/use-simulator.spec.d.ts.map +1 -0
  147. package/dist/simulator/use-simulator.spec.js +49 -0
  148. package/dist/storage/in-memory/in-memory-storage.d.ts +9 -0
  149. package/dist/storage/in-memory/in-memory-storage.d.ts.map +1 -0
  150. package/dist/storage/in-memory/in-memory-storage.factory.d.ts +6 -0
  151. package/dist/storage/in-memory/in-memory-storage.factory.d.ts.map +1 -0
  152. package/dist/storage/in-memory/in-memory-storage.factory.js +23 -0
  153. package/dist/storage/in-memory/in-memory-storage.js +72 -0
  154. package/dist/storage/in-memory/in-memory-storage.spec.d.ts +2 -0
  155. package/dist/storage/in-memory/in-memory-storage.spec.d.ts.map +1 -0
  156. package/dist/storage/in-memory/in-memory-storage.spec.js +167 -0
  157. package/dist/storage/in-memory/index.d.ts +3 -0
  158. package/dist/storage/in-memory/index.d.ts.map +1 -0
  159. package/dist/storage/in-memory/index.js +18 -0
  160. package/dist/storage/index.d.ts +3 -3
  161. package/dist/storage/index.d.ts.map +1 -1
  162. package/dist/storage/index.js +3 -3
  163. package/dist/storage/storage.d.ts +51 -61
  164. package/dist/storage/storage.d.ts.map +1 -1
  165. package/dist/storage/storage.js +20 -85
  166. package/dist/storage/use-cache.d.ts +4 -0
  167. package/dist/storage/use-cache.d.ts.map +1 -0
  168. package/dist/storage/use-cache.js +34 -0
  169. package/dist/storage/use-cache.spec.d.ts +2 -0
  170. package/dist/storage/use-cache.spec.d.ts.map +1 -0
  171. package/dist/storage/use-cache.spec.js +36 -0
  172. package/dist/storage/use-storage-factory.d.ts +10 -0
  173. package/dist/storage/use-storage-factory.d.ts.map +1 -0
  174. package/dist/storage/use-storage-factory.js +14 -0
  175. package/dist/storage/use-storage.d.ts +3 -0
  176. package/dist/storage/use-storage.d.ts.map +1 -0
  177. package/dist/storage/use-storage.js +11 -0
  178. package/dist/strat.d.ts +7 -0
  179. package/dist/strat.d.ts.map +1 -0
  180. package/dist/strat.js +7 -0
  181. package/dist/use-execution-mode.d.ts +29 -0
  182. package/dist/use-execution-mode.d.ts.map +1 -0
  183. package/dist/use-execution-mode.js +37 -0
  184. package/dist/use-hash.d.ts +5 -0
  185. package/dist/use-hash.d.ts.map +1 -0
  186. package/dist/use-hash.js +7 -0
  187. package/dist/use-hash.spec.d.ts +2 -0
  188. package/dist/use-hash.spec.d.ts.map +1 -0
  189. package/dist/use-hash.spec.js +16 -0
  190. package/dist/use-lock.d.ts +9 -0
  191. package/dist/use-lock.d.ts.map +1 -0
  192. package/dist/use-lock.js +40 -0
  193. package/dist/use-logger.d.ts +10 -0
  194. package/dist/use-logger.d.ts.map +1 -0
  195. package/dist/use-logger.js +37 -0
  196. package/dist/use-memo.d.ts +21 -0
  197. package/dist/use-memo.d.ts.map +1 -0
  198. package/dist/use-memo.js +35 -0
  199. package/dist/use-memo.spec.d.ts +2 -0
  200. package/dist/use-memo.spec.d.ts.map +1 -0
  201. package/dist/use-memo.spec.js +35 -0
  202. package/dist/use-request.d.ts +16 -0
  203. package/dist/use-request.d.ts.map +1 -0
  204. package/dist/use-request.js +27 -0
  205. package/dist/use-socket.d.ts +6 -0
  206. package/dist/use-socket.d.ts.map +1 -0
  207. package/dist/use-socket.js +52 -0
  208. package/dist/use-state.d.ts +4 -0
  209. package/dist/use-state.d.ts.map +1 -0
  210. package/dist/use-state.js +24 -0
  211. package/dist/use-state.spec.d.ts +2 -0
  212. package/dist/use-state.spec.d.ts.map +1 -0
  213. package/dist/use-state.spec.js +36 -0
  214. package/dist/use-timestamp.d.ts +2 -0
  215. package/dist/use-timestamp.d.ts.map +1 -0
  216. package/dist/use-timestamp.js +13 -0
  217. package/dist/use.d.ts +5 -0
  218. package/dist/use.d.ts.map +1 -0
  219. package/dist/use.js +20 -0
  220. package/dist/use.spec.d.ts +2 -0
  221. package/dist/use.spec.d.ts.map +1 -0
  222. package/dist/use.spec.js +47 -0
  223. package/jest.config.ts +23 -2
  224. package/package.json +14 -11
  225. package/src/as-readonly.ts +5 -0
  226. package/src/{domain → asset}/asset.spec.ts +4 -4
  227. package/src/{domain → asset}/asset.ts +17 -6
  228. package/src/asset/index.ts +1 -0
  229. package/src/cli/build.ts +1 -1
  230. package/src/cli/dev.ts +18 -13
  231. package/src/cli/index.ts +7 -7
  232. package/src/cli/internal/workspace.ts +1 -1
  233. package/src/cli/pull.ts +22 -10
  234. package/src/cli/replay.ts +31 -0
  235. package/src/cli/run.ts +17 -13
  236. package/src/component/distinct-until-timesamp-changed.ts +11 -0
  237. package/src/component/error.ts +32 -0
  238. package/src/component/index.ts +7 -0
  239. package/src/{domain → component}/ohlc-operator.spec.ts +5 -6
  240. package/src/{domain → component}/ohlc-operator.ts +2 -3
  241. package/src/{domain → component}/ohlc.spec.ts +2 -2
  242. package/src/{domain → component}/ohlc.ts +2 -2
  243. package/src/core.ts +14 -0
  244. package/src/defined.ts +6 -0
  245. package/src/exclude.ts +9 -0
  246. package/src/index.ts +27 -80
  247. package/src/{domain → instrument/commission}/commission.spec.ts +4 -3
  248. package/src/{domain → instrument/commission}/commission.ts +1 -1
  249. package/src/instrument/index.ts +2 -0
  250. package/src/{domain → instrument}/instrument.spec.ts +11 -6
  251. package/src/{domain → instrument}/instrument.ts +12 -8
  252. package/src/make-test-module.ts +46 -0
  253. package/src/module.spec.ts +74 -0
  254. package/src/module.ts +156 -0
  255. package/src/not-found.ts +1 -0
  256. package/src/replay/index.ts +6 -0
  257. package/src/replay/use-replay-coordinator.ts +142 -0
  258. package/src/replay/use-replay-options.ts +23 -0
  259. package/src/replay/use-replay-reader.spec.ts +64 -0
  260. package/src/replay/use-replay-reader.ts +23 -0
  261. package/src/replay/use-replay-storage.ts +8 -0
  262. package/src/replay/use-replay-writer.spec.ts +56 -0
  263. package/src/replay/use-replay-writer.ts +17 -0
  264. package/src/replay/use-replay.spec.ts +132 -0
  265. package/src/replay/use-replay.ts +34 -0
  266. package/src/replay/with-replay.ts +10 -0
  267. package/src/session/index.ts +3 -0
  268. package/src/session/use-session-object.ts +26 -0
  269. package/src/session/use-session-storage.ts +9 -0
  270. package/src/session/use-session.ts +5 -0
  271. package/src/shared/decimals.spec.ts +1 -1
  272. package/src/shared/decimals.ts +5 -0
  273. package/src/shared/index.ts +3 -7
  274. package/src/simulator/index.ts +1 -0
  275. package/src/simulator/use-simulator.spec.ts +54 -0
  276. package/src/simulator/use-simulator.ts +7 -0
  277. package/src/storage/in-memory/in-memory-storage.factory.ts +16 -0
  278. package/src/storage/in-memory/in-memory-storage.spec.ts +193 -0
  279. package/src/storage/in-memory/in-memory-storage.ts +80 -0
  280. package/src/storage/in-memory/index.ts +2 -0
  281. package/src/storage/index.ts +3 -3
  282. package/src/storage/storage.ts +63 -119
  283. package/src/storage/use-cache.spec.ts +31 -0
  284. package/src/storage/use-cache.ts +50 -0
  285. package/src/storage/use-storage-factory.ts +17 -0
  286. package/src/storage/use-storage.ts +11 -0
  287. package/src/strat.ts +7 -0
  288. package/src/use-execution-mode.ts +41 -0
  289. package/src/use-hash.spec.ts +16 -0
  290. package/src/use-hash.ts +5 -0
  291. package/src/use-lock.ts +52 -0
  292. package/src/use-logger.ts +47 -0
  293. package/src/use-memo.spec.ts +30 -0
  294. package/src/use-memo.ts +35 -0
  295. package/src/use-request.ts +47 -0
  296. package/src/use-socket.ts +59 -0
  297. package/src/use-state.spec.ts +31 -0
  298. package/src/use-state.ts +30 -0
  299. package/src/use-timestamp.ts +12 -0
  300. package/src/use.spec.ts +46 -0
  301. package/src/use.ts +33 -0
  302. package/tsconfig.json +7 -4
  303. package/dist/adapter/adapter-aggregate.d.ts +0 -57
  304. package/dist/adapter/adapter-aggregate.d.ts.map +0 -1
  305. package/dist/adapter/adapter-aggregate.js +0 -157
  306. package/dist/adapter/adapter.d.ts +0 -54
  307. package/dist/adapter/adapter.d.ts.map +0 -1
  308. package/dist/adapter/adapter.js +0 -20
  309. package/dist/adapter/backtester/backtester-adapter.d.ts +0 -30
  310. package/dist/adapter/backtester/backtester-adapter.d.ts.map +0 -1
  311. package/dist/adapter/backtester/backtester-adapter.js +0 -67
  312. package/dist/adapter/backtester/backtester-cursor.d.ts +0 -16
  313. package/dist/adapter/backtester/backtester-cursor.d.ts.map +0 -1
  314. package/dist/adapter/backtester/backtester-cursor.js +0 -52
  315. package/dist/adapter/backtester/backtester-streamer.d.ts +0 -50
  316. package/dist/adapter/backtester/backtester-streamer.d.ts.map +0 -1
  317. package/dist/adapter/backtester/backtester-streamer.js +0 -119
  318. package/dist/adapter/backtester/error.d.ts +0 -3
  319. package/dist/adapter/backtester/error.d.ts.map +0 -1
  320. package/dist/adapter/backtester/error.js +0 -11
  321. package/dist/adapter/backtester/index.d.ts +0 -3
  322. package/dist/adapter/backtester/index.d.ts.map +0 -1
  323. package/dist/adapter/error.d.ts +0 -4
  324. package/dist/adapter/error.d.ts.map +0 -1
  325. package/dist/adapter/error.js +0 -15
  326. package/dist/adapter/index.d.ts +0 -5
  327. package/dist/adapter/index.d.ts.map +0 -1
  328. package/dist/adapter/paper/engine/paper-engine.d.ts +0 -12
  329. package/dist/adapter/paper/engine/paper-engine.d.ts.map +0 -1
  330. package/dist/adapter/paper/engine/paper-engine.js +0 -109
  331. package/dist/adapter/paper/index.d.ts +0 -3
  332. package/dist/adapter/paper/index.d.ts.map +0 -1
  333. package/dist/adapter/paper/paper-adapter.d.ts +0 -30
  334. package/dist/adapter/paper/paper-adapter.d.ts.map +0 -1
  335. package/dist/adapter/paper/paper-adapter.js +0 -87
  336. package/dist/cli/error.d.ts +0 -2
  337. package/dist/cli/error.d.ts.map +0 -1
  338. package/dist/cli/error.js +0 -7
  339. package/dist/cli/test.d.ts.map +0 -1
  340. package/dist/domain/asset.d.ts.map +0 -1
  341. package/dist/domain/balance-operator.d.ts +0 -7
  342. package/dist/domain/balance-operator.d.ts.map +0 -1
  343. package/dist/domain/balance-operator.js +0 -9
  344. package/dist/domain/balance.d.ts +0 -47
  345. package/dist/domain/balance.d.ts.map +0 -1
  346. package/dist/domain/balance.js +0 -97
  347. package/dist/domain/commission.d.ts.map +0 -1
  348. package/dist/domain/component.d.ts +0 -6
  349. package/dist/domain/component.d.ts.map +0 -1
  350. package/dist/domain/error.d.ts +0 -7
  351. package/dist/domain/error.d.ts.map +0 -1
  352. package/dist/domain/error.js +0 -23
  353. package/dist/domain/index.d.ts +0 -22
  354. package/dist/domain/index.d.ts.map +0 -1
  355. package/dist/domain/index.js +0 -37
  356. package/dist/domain/instrument-operator.d.ts +0 -7
  357. package/dist/domain/instrument-operator.d.ts.map +0 -1
  358. package/dist/domain/instrument-operator.js +0 -13
  359. package/dist/domain/instrument.d.ts.map +0 -1
  360. package/dist/domain/ohlc-operator.d.ts.map +0 -1
  361. package/dist/domain/ohlc.d.ts.map +0 -1
  362. package/dist/domain/order-operator.d.ts +0 -8
  363. package/dist/domain/order-operator.d.ts.map +0 -1
  364. package/dist/domain/order-operator.js +0 -16
  365. package/dist/domain/order.d.ts +0 -24
  366. package/dist/domain/order.d.ts.map +0 -1
  367. package/dist/domain/order.js +0 -49
  368. package/dist/domain/orderbook-operator.d.ts +0 -7
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  380. package/dist/domain/session-builder.d.ts +0 -54
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  386. package/dist/domain/timeframe.d.ts.map +0 -1
  387. package/dist/domain/trade-operator.d.ts +0 -7
  388. package/dist/domain/trade-operator.d.ts.map +0 -1
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  393. package/dist/shared/collections.d.ts +0 -29
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  396. package/dist/shared/logger.d.ts +0 -8
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  402. package/dist/shared/policy.d.ts +0 -2
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  426. package/dist/store/store-instrument-event.d.ts.map +0 -1
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  448. package/src/adapter/backtester/backtester-adapter.ts +0 -96
  449. package/src/adapter/backtester/backtester-cursor.spec.ts +0 -44
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  451. package/src/adapter/backtester/backtester-streamer.spec.ts +0 -60
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  453. package/src/adapter/backtester/error.ts +0 -7
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  461. package/src/cli/error.ts +0 -5
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  467. package/src/domain/component.ts +0 -6
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  470. package/src/domain/instrument-operator.spec.ts +0 -35
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  483. package/src/domain/position.ts +0 -31
  484. package/src/domain/session-builder.ts +0 -158
  485. package/src/domain/session.spec.ts +0 -33
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  487. package/src/domain/trade-operator.spec.ts +0 -35
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  491. package/src/shared/collections.spec.ts +0 -34
  492. package/src/shared/collections.ts +0 -154
  493. package/src/shared/logger.ts +0 -39
  494. package/src/shared/pipe.ts +0 -12
  495. package/src/shared/policy.ts +0 -5
  496. package/src/storage/cache.spec.ts +0 -18
  497. package/src/storage/cache.ts +0 -37
  498. package/src/storage/feed.ts +0 -124
  499. package/src/storage/measurement.ts +0 -56
  500. package/src/store/error.ts +0 -36
  501. package/src/store/index.ts +0 -9
  502. package/src/store/store-balance-event.spec.ts +0 -30
  503. package/src/store/store-balance-event.ts +0 -167
  504. package/src/store/store-event.ts +0 -8
  505. package/src/store/store-instrument-event.spec.ts +0 -26
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  507. package/src/store/store-order-event.spec.ts +0 -32
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  509. package/src/store/store-orderbook-event.spec.ts +0 -39
  510. package/src/store/store-orderbook-event.ts +0 -56
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  512. package/src/store/store-state.ts +0 -48
  513. package/src/store/store-trade-event.spec.ts +0 -62
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  517. package/dist/{domain → component}/ohlc.d.ts +0 -0
  518. package/dist/{domain → component}/ohlc.js +0 -0
  519. package/dist/{domain → component}/timeframe.d.ts +0 -0
  520. package/dist/{domain → component}/timeframe.js +1 -1
  521. /package/src/{domain → component}/timeframe.ts +0 -0
@@ -1,157 +0,0 @@
1
- "use strict";
2
- var __awaiter = (this && this.__awaiter) || function (thisArg, _arguments, P, generator) {
3
- function adopt(value) { return value instanceof P ? value : new P(function (resolve) { resolve(value); }); }
4
- return new (P || (P = Promise))(function (resolve, reject) {
5
- function fulfilled(value) { try { step(generator.next(value)); } catch (e) { reject(e); } }
6
- function rejected(value) { try { step(generator["throw"](value)); } catch (e) { reject(e); } }
7
- function step(result) { result.done ? resolve(result.value) : adopt(result.value).then(fulfilled, rejected); }
8
- step((generator = generator.apply(thisArg, _arguments || [])).next());
9
- });
10
- };
11
- Object.defineProperty(exports, "__esModule", { value: true });
12
- exports.AdapterAggregate = void 0;
13
- const shared_1 = require("../shared");
14
- const error_1 = require("./error");
15
- /**
16
- * Manages instances of all adapters provided in session descriptor.
17
- * Awakes and disposes adapters, routes and executes commands.
18
- */
19
- class AdapterAggregate {
20
- constructor(factories, timeProvider, store, cache) {
21
- this.factories = factories;
22
- this.timeProvider = timeProvider;
23
- this.store = store;
24
- this.cache = cache;
25
- this.adapter = {};
26
- }
27
- /**
28
- * Returns adapter by name.
29
- * @param adapterName adapter name.
30
- * @returns
31
- */
32
- get(adapterName) {
33
- const adapter = this.adapter[adapterName];
34
- if (!adapter) {
35
- throw (0, error_1.adapterNotFoundError)(adapterName);
36
- }
37
- return adapter;
38
- }
39
- /**
40
- * Sets up all adapters.
41
- */
42
- awake() {
43
- return __awaiter(this, void 0, void 0, function* () {
44
- for (const factory of this.factories) {
45
- const adapter = factory(this.timeProvider, this.store, this.cache);
46
- try {
47
- yield adapter.awake();
48
- yield adapter.account();
49
- }
50
- catch (error) {
51
- shared_1.Logger.error(adapter.name, error);
52
- }
53
- this.adapter[adapter.name] = adapter;
54
- }
55
- });
56
- }
57
- /**
58
- * Disposes all adapters.
59
- */
60
- dispose() {
61
- return __awaiter(this, void 0, void 0, function* () {
62
- for (const adapter of Object.values(this.adapter)) {
63
- try {
64
- yield adapter.dispose();
65
- }
66
- catch (error) {
67
- shared_1.Logger.error(adapter.name, error);
68
- }
69
- }
70
- });
71
- }
72
- /**
73
- * Subscribe to collection of instruments.
74
- * @param selectors
75
- */
76
- subscribe(selectors) {
77
- return __awaiter(this, void 0, void 0, function* () {
78
- const grouped = selectors.reduce((aggregate, it) => {
79
- const adapter = it.base.adapterName;
80
- if (aggregate[adapter]) {
81
- aggregate[adapter].push(it);
82
- }
83
- else {
84
- aggregate[adapter] = [it];
85
- }
86
- return aggregate;
87
- }, {});
88
- for (const adapterName in grouped) {
89
- try {
90
- yield this.get(adapterName).subscribe(grouped[adapterName]);
91
- }
92
- catch (error) {
93
- shared_1.Logger.error(adapterName, error);
94
- throw error;
95
- }
96
- }
97
- });
98
- }
99
- /**
100
- * Opens new order.
101
- * @param order an order to open.
102
- */
103
- open(order) {
104
- return __awaiter(this, void 0, void 0, function* () {
105
- const { adapterName } = order.instrument.base;
106
- shared_1.Logger.debug(adapterName, `opening a new order on ${order.instrument.id} as ${order.id}`);
107
- try {
108
- yield this.get(adapterName).open(order);
109
- }
110
- catch (error) {
111
- shared_1.Logger.error(adapterName, error);
112
- throw error;
113
- }
114
- });
115
- }
116
- /**
117
- * Cancels specific order.
118
- */
119
- cancel(order) {
120
- const { adapterName } = order.instrument.base;
121
- shared_1.Logger.debug(adapterName, `canceling a ${order.id} order`);
122
- try {
123
- return this.get(adapterName).cancel(order);
124
- }
125
- catch (error) {
126
- shared_1.Logger.error(adapterName, error);
127
- throw error;
128
- }
129
- }
130
- /**
131
- *
132
- * @returns
133
- */
134
- history(instrument, timeframe, length) {
135
- try {
136
- return this.get(instrument.base.adapterName).history(instrument, timeframe, length);
137
- }
138
- catch (error) {
139
- shared_1.Logger.error(instrument.base.adapterName, error);
140
- throw error;
141
- }
142
- }
143
- /**
144
- * Feeds a storage with historical instrument data.
145
- * @returns
146
- */
147
- feed(instrument, from, to, callback) {
148
- try {
149
- return this.get(instrument.base.adapterName).feed(instrument, from, to, callback);
150
- }
151
- catch (error) {
152
- shared_1.Logger.error(instrument.base.adapterName, error);
153
- throw error;
154
- }
155
- }
156
- }
157
- exports.AdapterAggregate = AdapterAggregate;
@@ -1,54 +0,0 @@
1
- import { Ohlc, InstrumentSelector, Order } from '../domain';
2
- import { timestamp } from '../shared';
3
- import { Cache, StorageEvent } from '../storage';
4
- import { Store } from '../store';
5
- import { PaperAdapter } from './paper';
6
- import { PaperEngine } from './paper/engine/paper-engine';
7
- export declare type AdapterTimeProvider = {
8
- timestamp: () => number;
9
- };
10
- export declare const DefaultTimeProvider: {
11
- timestamp: () => number;
12
- };
13
- export declare type FeedAsyncCallback = (timestamp: number, chunk: StorageEvent[]) => void;
14
- export declare type AdapterFactory = (timeProvider: AdapterTimeProvider, store: Store, cache: Cache) => Adapter;
15
- /**
16
- * Base adapter class, you should derive your own adapter from this class.
17
- * @abstract
18
- */
19
- export declare abstract class Adapter {
20
- private readonly timeProvider;
21
- abstract name: string;
22
- timestamp(): timestamp;
23
- constructor(timeProvider: AdapterTimeProvider);
24
- /**
25
- * Setup an adapter.
26
- */
27
- abstract awake(): Promise<void>;
28
- /**
29
- * Dispose an adapter.
30
- */
31
- abstract dispose(): Promise<void>;
32
- /**
33
- * Subscribe to collection of instruments.
34
- * @param instruments
35
- */
36
- abstract subscribe(instruments: InstrumentSelector[]): Promise<void>;
37
- /**
38
- *
39
- */
40
- abstract account(): Promise<void>;
41
- /**
42
- * Opens new order.
43
- * @param order an order to open.
44
- */
45
- abstract open(order: Order): Promise<void>;
46
- /**
47
- * Cancels specific order.
48
- */
49
- abstract cancel(order: Order): Promise<void>;
50
- abstract history(instrument: InstrumentSelector, timeframe: number, length: number): Promise<Ohlc[]>;
51
- abstract feed(instrument: InstrumentSelector, from: timestamp, to: timestamp, callback: FeedAsyncCallback): Promise<void>;
52
- abstract createPaperEngine(adapter: PaperAdapter): PaperEngine;
53
- }
54
- //# sourceMappingURL=adapter.d.ts.map
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1
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@@ -1,20 +0,0 @@
1
- "use strict";
2
- Object.defineProperty(exports, "__esModule", { value: true });
3
- exports.Adapter = exports.DefaultTimeProvider = void 0;
4
- const shared_1 = require("../shared");
5
- exports.DefaultTimeProvider = {
6
- timestamp: () => (0, shared_1.now)()
7
- };
8
- /**
9
- * Base adapter class, you should derive your own adapter from this class.
10
- * @abstract
11
- */
12
- class Adapter {
13
- constructor(timeProvider) {
14
- this.timeProvider = timeProvider;
15
- }
16
- timestamp() {
17
- return this.timeProvider.timestamp();
18
- }
19
- }
20
- exports.Adapter = Adapter;
@@ -1,30 +0,0 @@
1
- import { InstrumentSelector, Ohlc, Order } from '../../domain';
2
- import { timestamp } from '../../shared';
3
- import { Store } from '../../store';
4
- import { Adapter } from '..';
5
- import { AdapterFactory, FeedAsyncCallback } from '../adapter';
6
- import { PaperAdapter, PaperOptions } from '../paper';
7
- import { PaperEngine } from '../paper/engine/paper-engine';
8
- import { BacktesterStreamer } from './backtester-streamer';
9
- export interface BacktesterOptions extends PaperOptions {
10
- from: timestamp;
11
- to: timestamp;
12
- }
13
- export declare function createBacktesterAdapterFactory(decoratedAdapterFactory: AdapterFactory, streamer: BacktesterStreamer): AdapterFactory;
14
- export declare class BacktesterAdapter extends Adapter {
15
- readonly decoratedAdapter: Adapter;
16
- readonly streamer: BacktesterStreamer;
17
- readonly store: Store;
18
- readonly name: string;
19
- constructor(decoratedAdapter: Adapter, streamer: BacktesterStreamer, store: Store);
20
- awake(): Promise<void>;
21
- dispose(): Promise<void>;
22
- subscribe(instruments: InstrumentSelector[]): Promise<void>;
23
- account(): Promise<void>;
24
- open(order: Order): Promise<void>;
25
- cancel(order: Order): Promise<void>;
26
- history(instrument: InstrumentSelector, timeframe: number, length: number): Promise<Ohlc[]>;
27
- feed(instrument: InstrumentSelector, from: timestamp, to: timestamp, callback: FeedAsyncCallback): Promise<void>;
28
- createPaperEngine(adapter: PaperAdapter): PaperEngine;
29
- }
30
- //# sourceMappingURL=backtester-adapter.d.ts.map
@@ -1 +0,0 @@
1
- {"version":3,"file":"backtester-adapter.d.ts","sourceRoot":"","sources":["../../../src/adapter/backtester/backtester-adapter.ts"],"names":[],"mappings":"AAAA,OAAO,EAAE,kBAAkB,EAAE,IAAI,EAAE,KAAK,EAAE,MAAM,cAAc,CAAC;AAC/D,OAAO,EAAE,SAAS,EAAE,MAAM,cAAc,CAAC;AACzC,OAAO,EAA+B,KAAK,EAAE,MAAM,aAAa,CAAC;AACjE,OAAO,EAAE,OAAO,EAAE,MAAM,IAAI,CAAC;AAC7B,OAAO,EAAE,cAAc,EAAE,iBAAiB,EAAE,MAAM,YAAY,CAAC;AAC/D,OAAO,EAAE,YAAY,EAAE,YAAY,EAAE,MAAM,UAAU,CAAC;AACtD,OAAO,EAAE,WAAW,EAAE,MAAM,8BAA8B,CAAC;AAC3D,OAAO,EAAE,kBAAkB,EAAE,MAAM,uBAAuB,CAAC;AAE3D,MAAM,WAAW,iBAAkB,SAAQ,YAAY;IACrD,IAAI,EAAE,SAAS,CAAC;IAChB,EAAE,EAAE,SAAS,CAAC;CACf;AAED,wBAAgB,8BAA8B,CAC5C,uBAAuB,EAAE,cAAc,EACvC,QAAQ,EAAE,kBAAkB,GAC3B,cAAc,CAOhB;AAED,qBAAa,iBAAkB,SAAQ,OAAO;IAI1C,QAAQ,CAAC,gBAAgB,EAAE,OAAO;IAClC,QAAQ,CAAC,QAAQ,EAAE,kBAAkB;IACrC,QAAQ,CAAC,KAAK,EAAE,KAAK;IALvB,QAAQ,CAAC,IAAI,SAA8B;gBAGhC,gBAAgB,EAAE,OAAO,EACzB,QAAQ,EAAE,kBAAkB,EAC5B,KAAK,EAAE,KAAK;IAKjB,KAAK,IAAI,OAAO,CAAC,IAAI,CAAC;IAI5B,OAAO,IAAI,OAAO,CAAC,IAAI,CAAC;IAIlB,SAAS,CAAC,WAAW,EAAE,kBAAkB,EAAE,GAAG,OAAO,CAAC,IAAI,CAAC;IAYjE,OAAO,IAAI,OAAO,CAAC,IAAI,CAAC;IAIxB,IAAI,CAAC,KAAK,EAAE,KAAK,GAAG,OAAO,CAAC,IAAI,CAAC;IAIjC,MAAM,CAAC,KAAK,EAAE,KAAK,GAAG,OAAO,CAAC,IAAI,CAAC;IAI7B,OAAO,CACX,UAAU,EAAE,kBAAkB,EAC9B,SAAS,EAAE,MAAM,EACjB,MAAM,EAAE,MAAM,GACb,OAAO,CAAC,IAAI,EAAE,CAAC;IAUlB,IAAI,CACF,UAAU,EAAE,kBAAkB,EAC9B,IAAI,EAAE,SAAS,EACf,EAAE,EAAE,SAAS,EACb,QAAQ,EAAE,iBAAiB,GAC1B,OAAO,CAAC,IAAI,CAAC;IAIhB,iBAAiB,CAAC,OAAO,EAAE,YAAY,GAAG,WAAW;CAGtD"}
@@ -1,67 +0,0 @@
1
- "use strict";
2
- var __awaiter = (this && this.__awaiter) || function (thisArg, _arguments, P, generator) {
3
- function adopt(value) { return value instanceof P ? value : new P(function (resolve) { resolve(value); }); }
4
- return new (P || (P = Promise))(function (resolve, reject) {
5
- function fulfilled(value) { try { step(generator.next(value)); } catch (e) { reject(e); } }
6
- function rejected(value) { try { step(generator["throw"](value)); } catch (e) { reject(e); } }
7
- function step(result) { result.done ? resolve(result.value) : adopt(result.value).then(fulfilled, rejected); }
8
- step((generator = generator.apply(thisArg, _arguments || [])).next());
9
- });
10
- };
11
- Object.defineProperty(exports, "__esModule", { value: true });
12
- exports.BacktesterAdapter = exports.createBacktesterAdapterFactory = void 0;
13
- const store_1 = require("../../store");
14
- const __1 = require("..");
15
- function createBacktesterAdapterFactory(decoratedAdapterFactory, streamer) {
16
- return (timeProvider, store, cache) => new BacktesterAdapter(decoratedAdapterFactory(timeProvider, store, cache), streamer, store);
17
- }
18
- exports.createBacktesterAdapterFactory = createBacktesterAdapterFactory;
19
- class BacktesterAdapter extends __1.Adapter {
20
- constructor(decoratedAdapter, streamer, store) {
21
- super(streamer.getTimeProvider());
22
- this.decoratedAdapter = decoratedAdapter;
23
- this.streamer = streamer;
24
- this.store = store;
25
- this.name = this.decoratedAdapter.name;
26
- }
27
- awake() {
28
- return __awaiter(this, void 0, void 0, function* () {
29
- yield this.decoratedAdapter.awake();
30
- });
31
- }
32
- dispose() {
33
- return this.decoratedAdapter.dispose();
34
- }
35
- subscribe(instruments) {
36
- return __awaiter(this, void 0, void 0, function* () {
37
- instruments.forEach(it => {
38
- this.streamer.subscribe(it);
39
- });
40
- this.store.dispatch(...instruments.map(it => new store_1.InstrumentSubscriptionEvent(this.timestamp(), it, true)));
41
- });
42
- }
43
- account() {
44
- return this.decoratedAdapter.account();
45
- }
46
- open(order) {
47
- return this.decoratedAdapter.open(order);
48
- }
49
- cancel(order) {
50
- return this.decoratedAdapter.cancel(order);
51
- }
52
- history(instrument, timeframe, length) {
53
- return __awaiter(this, void 0, void 0, function* () {
54
- this.streamer.stop();
55
- const response = yield this.decoratedAdapter.history(instrument, timeframe, length);
56
- this.streamer.tryContinue();
57
- return response;
58
- });
59
- }
60
- feed(instrument, from, to, callback) {
61
- return this.decoratedAdapter.feed(instrument, from, to, callback);
62
- }
63
- createPaperEngine(adapter) {
64
- return this.decoratedAdapter.createPaperEngine(adapter);
65
- }
66
- }
67
- exports.BacktesterAdapter = BacktesterAdapter;
@@ -1,16 +0,0 @@
1
- import { InstrumentSelector } from '../../domain';
2
- import { timestamp } from '../../shared';
3
- import { Feed, StorageEvent } from '../../storage';
4
- export declare class BacktesterCursor {
5
- readonly instrument: InstrumentSelector;
6
- private readonly feed;
7
- private page;
8
- private pageIndex;
9
- completed: boolean;
10
- get size(): number;
11
- constructor(instrument: InstrumentSelector, feed: Feed);
12
- peek(): StorageEvent | undefined;
13
- dequeue(): StorageEvent;
14
- fetchNextPage(from: timestamp, to: number): Promise<void>;
15
- }
16
- //# sourceMappingURL=backtester-cursor.d.ts.map
@@ -1 +0,0 @@
1
- {"version":3,"file":"backtester-cursor.d.ts","sourceRoot":"","sources":["../../../src/adapter/backtester/backtester-cursor.ts"],"names":[],"mappings":"AAAA,OAAO,EAAE,kBAAkB,EAAE,MAAM,cAAc,CAAC;AAClD,OAAO,EAAE,SAAS,EAAE,MAAM,cAAc,CAAC;AACzC,OAAO,EAAE,IAAI,EAAE,YAAY,EAAE,MAAM,eAAe,CAAC;AAGnD,qBAAa,gBAAgB;IASf,QAAQ,CAAC,UAAU,EAAE,kBAAkB;IAAE,OAAO,CAAC,QAAQ,CAAC,IAAI;IAR1E,OAAO,CAAC,IAAI,CAA6B;IACzC,OAAO,CAAC,SAAS,CAAK;IACtB,SAAS,UAAS;IAElB,IAAI,IAAI,IAAI,MAAM,CAEjB;gBAEoB,UAAU,EAAE,kBAAkB,EAAmB,IAAI,EAAE,IAAI;IAEhF,IAAI,IAAI,YAAY,GAAG,SAAS;IAQhC,OAAO,IAAI,YAAY;IAIjB,aAAa,CAAC,IAAI,EAAE,SAAS,EAAE,EAAE,EAAE,MAAM,GAAG,OAAO,CAAC,IAAI,CAAC;CAkBhE"}
@@ -1,52 +0,0 @@
1
- "use strict";
2
- var __awaiter = (this && this.__awaiter) || function (thisArg, _arguments, P, generator) {
3
- function adopt(value) { return value instanceof P ? value : new P(function (resolve) { resolve(value); }); }
4
- return new (P || (P = Promise))(function (resolve, reject) {
5
- function fulfilled(value) { try { step(generator.next(value)); } catch (e) { reject(e); } }
6
- function rejected(value) { try { step(generator["throw"](value)); } catch (e) { reject(e); } }
7
- function step(result) { result.done ? resolve(result.value) : adopt(result.value).then(fulfilled, rejected); }
8
- step((generator = generator.apply(thisArg, _arguments || [])).next());
9
- });
10
- };
11
- Object.defineProperty(exports, "__esModule", { value: true });
12
- exports.BacktesterCursor = void 0;
13
- const error_1 = require("../error");
14
- class BacktesterCursor {
15
- constructor(instrument, feed) {
16
- this.instrument = instrument;
17
- this.feed = feed;
18
- this.page = new Array();
19
- this.pageIndex = 0;
20
- this.completed = false;
21
- }
22
- get size() {
23
- return this.page.length - this.pageIndex;
24
- }
25
- peek() {
26
- if (!this.page) {
27
- return undefined;
28
- }
29
- return this.page[this.pageIndex];
30
- }
31
- dequeue() {
32
- return this.page[this.pageIndex++];
33
- }
34
- fetchNextPage(from, to) {
35
- return __awaiter(this, void 0, void 0, function* () {
36
- if (this.completed) {
37
- return;
38
- }
39
- if (this.size > 0) {
40
- throw (0, error_1.backtestPageNotEmpty)();
41
- }
42
- this.pageIndex = 0;
43
- this.page = yield this.feed.query(this.instrument, {
44
- from,
45
- to,
46
- count: 10000
47
- });
48
- this.completed = this.page.length == 0;
49
- });
50
- }
51
- }
52
- exports.BacktesterCursor = BacktesterCursor;
@@ -1,50 +0,0 @@
1
- import { InstrumentSelector } from '../../domain';
2
- import { timestamp } from '../../shared';
3
- import { Feed } from '../../storage';
4
- import { Store } from '../../store';
5
- import { AdapterTimeProvider } from '../adapter';
6
- /**
7
- * Listen to backtest session events.
8
- */
9
- export interface BacktesterListener {
10
- /**
11
- * Called once when backtest started.
12
- */
13
- onBacktestStarted?(streamer: BacktesterStreamer): void;
14
- /**
15
- * Called every time when backtest progress updated.
16
- */
17
- onBacktestUpdated?(streamer: BacktesterStreamer): void;
18
- /**
19
- * Called once when backtest completed.
20
- */
21
- onBacktestCompleted?(streamer: BacktesterStreamer): void;
22
- }
23
- export declare class BacktesterStreamer {
24
- private readonly store;
25
- private readonly feed;
26
- private readonly period;
27
- private readonly listener?;
28
- private sequenceUpdateBatch;
29
- private cursor;
30
- private stopAcquire;
31
- timestamp: timestamp;
32
- sequence: number;
33
- constructor(store: Store, feed: Feed, period: {
34
- from: number;
35
- to: number;
36
- }, listener?: BacktesterListener | undefined);
37
- getTimeProvider(): AdapterTimeProvider;
38
- subscribe(instrument: InstrumentSelector): void;
39
- /**
40
- * Increments stop counter.
41
- */
42
- stop(): void;
43
- /**
44
- * Decreases stop counter and continues execution if no more stops requested.
45
- */
46
- tryContinue(): void;
47
- private processNext;
48
- private current;
49
- }
50
- //# sourceMappingURL=backtester-streamer.d.ts.map
@@ -1 +0,0 @@
1
- {"version":3,"file":"backtester-streamer.d.ts","sourceRoot":"","sources":["../../../src/adapter/backtester/backtester-streamer.ts"],"names":[],"mappings":"AAAA,OAAO,EAAE,kBAAkB,EAAE,MAAM,cAAc,CAAC;AAClD,OAAO,EAAE,SAAS,EAAE,MAAM,cAAc,CAAC;AACzC,OAAO,EAAE,IAAI,EAAE,MAAM,eAAe,CAAC;AACrC,OAAO,EAAE,KAAK,EAAE,MAAM,aAAa,CAAC;AACpC,OAAO,EAAE,mBAAmB,EAAE,MAAM,YAAY,CAAC;AAIjD;;GAEG;AACH,MAAM,WAAW,kBAAkB;IACjC;;OAEG;IACH,iBAAiB,CAAC,CAAC,QAAQ,EAAE,kBAAkB,GAAG,IAAI,CAAC;IAEvD;;OAEG;IACH,iBAAiB,CAAC,CAAC,QAAQ,EAAE,kBAAkB,GAAG,IAAI,CAAC;IAEvD;;OAEG;IACH,mBAAmB,CAAC,CAAC,QAAQ,EAAE,kBAAkB,GAAG,IAAI,CAAC;CAC1D;AAED,qBAAa,kBAAkB;IAS3B,OAAO,CAAC,QAAQ,CAAC,KAAK;IACtB,OAAO,CAAC,QAAQ,CAAC,IAAI;IACrB,OAAO,CAAC,QAAQ,CAAC,MAAM;IACvB,OAAO,CAAC,QAAQ,CAAC,QAAQ,CAAC;IAX5B,OAAO,CAAC,mBAAmB,CAAS;IACpC,OAAO,CAAC,MAAM,CAAwC;IACtD,OAAO,CAAC,WAAW,CAAK;IAExB,SAAS,EAAE,SAAS,CAAC;IACrB,QAAQ,SAAK;gBAGM,KAAK,EAAE,KAAK,EACZ,IAAI,EAAE,IAAI,EACV,MAAM,EAAE;QAAE,IAAI,EAAE,MAAM,CAAC;QAAC,EAAE,EAAE,MAAM,CAAA;KAAE,EACpC,QAAQ,CAAC,gCAAoB;IAShD,eAAe,IAAI,mBAAmB;IAQtC,SAAS,CAAC,UAAU,EAAE,kBAAkB;IAUxC;;OAEG;IACH,IAAI;IAIJ;;OAEG;IACH,WAAW;YAsCG,WAAW;YAwBX,OAAO;CAetB"}
@@ -1,119 +0,0 @@
1
- "use strict";
2
- var __awaiter = (this && this.__awaiter) || function (thisArg, _arguments, P, generator) {
3
- function adopt(value) { return value instanceof P ? value : new P(function (resolve) { resolve(value); }); }
4
- return new (P || (P = Promise))(function (resolve, reject) {
5
- function fulfilled(value) { try { step(generator.next(value)); } catch (e) { reject(e); } }
6
- function rejected(value) { try { step(generator["throw"](value)); } catch (e) { reject(e); } }
7
- function step(result) { result.done ? resolve(result.value) : adopt(result.value).then(fulfilled, rejected); }
8
- step((generator = generator.apply(thisArg, _arguments || [])).next());
9
- });
10
- };
11
- Object.defineProperty(exports, "__esModule", { value: true });
12
- exports.BacktesterStreamer = void 0;
13
- const backtester_cursor_1 = require("./backtester-cursor");
14
- const error_1 = require("./error");
15
- class BacktesterStreamer {
16
- constructor(store, feed, period, listener) {
17
- this.store = store;
18
- this.feed = feed;
19
- this.period = period;
20
- this.listener = listener;
21
- this.sequenceUpdateBatch = 10000;
22
- this.cursor = {};
23
- this.stopAcquire = 1;
24
- this.sequence = 0;
25
- if (period.from == undefined || period.to == undefined) {
26
- throw (0, error_1.missingPeriodParametersError)();
27
- }
28
- this.timestamp = period.from;
29
- }
30
- getTimeProvider() {
31
- const provider = {
32
- timestamp: () => this.timestamp
33
- };
34
- return provider;
35
- }
36
- subscribe(instrument) {
37
- if (instrument.id in this.cursor) {
38
- return;
39
- }
40
- const cursor = new backtester_cursor_1.BacktesterCursor(instrument, this.feed);
41
- this.cursor[instrument.id] = cursor;
42
- }
43
- /**
44
- * Increments stop counter.
45
- */
46
- stop() {
47
- this.stopAcquire++;
48
- }
49
- /**
50
- * Decreases stop counter and continues execution if no more stops requested.
51
- */
52
- tryContinue() {
53
- var _a;
54
- if (this.stopAcquire == 0) {
55
- return;
56
- }
57
- this.stopAcquire = Math.max(0, this.stopAcquire - 1);
58
- if (this.stopAcquire != 0) {
59
- return;
60
- }
61
- if (this.sequence == 0) {
62
- if ((_a = this.listener) === null || _a === void 0 ? void 0 : _a.onBacktestStarted) {
63
- this.listener.onBacktestStarted(this);
64
- }
65
- }
66
- const next = () => __awaiter(this, void 0, void 0, function* () {
67
- var _b, _c;
68
- if (yield this.processNext()) {
69
- if (this.sequence % this.sequenceUpdateBatch == 0) {
70
- if ((_b = this.listener) === null || _b === void 0 ? void 0 : _b.onBacktestUpdated) {
71
- this.listener.onBacktestUpdated(this);
72
- }
73
- }
74
- if (this.stopAcquire === 0) {
75
- setImmediate(next);
76
- }
77
- }
78
- else {
79
- if ((_c = this.listener) === null || _c === void 0 ? void 0 : _c.onBacktestCompleted) {
80
- this.listener.onBacktestCompleted(this);
81
- }
82
- }
83
- });
84
- next();
85
- }
86
- processNext() {
87
- return __awaiter(this, void 0, void 0, function* () {
88
- const cursor = yield this.current(this.timestamp, this.period.to);
89
- if (!cursor) {
90
- return false;
91
- }
92
- const event = cursor.peek();
93
- if (!event) {
94
- return false;
95
- }
96
- this.timestamp = event.timestamp;
97
- this.sequence++;
98
- this.store.dispatch(event);
99
- if (cursor.dequeue().timestamp != event.timestamp) {
100
- throw (0, error_1.invalidEventSequenceError)();
101
- }
102
- return true;
103
- });
104
- }
105
- current(from, to) {
106
- return __awaiter(this, void 0, void 0, function* () {
107
- for (const cursor of Object.values(this.cursor)) {
108
- if (cursor.size == 0 && !cursor.completed) {
109
- yield cursor.fetchNextPage(from, to);
110
- }
111
- }
112
- return Object.values(this.cursor)
113
- .filter(it => it !== undefined)
114
- .sort((lhs, rhs) => { var _a, _b, _c, _d; return ((_b = (_a = lhs === null || lhs === void 0 ? void 0 : lhs.peek()) === null || _a === void 0 ? void 0 : _a.timestamp) !== null && _b !== void 0 ? _b : 0) - ((_d = (_c = rhs === null || rhs === void 0 ? void 0 : rhs.peek()) === null || _c === void 0 ? void 0 : _c.timestamp) !== null && _d !== void 0 ? _d : 0); })
115
- .find(() => true);
116
- });
117
- }
118
- }
119
- exports.BacktesterStreamer = BacktesterStreamer;
@@ -1,3 +0,0 @@
1
- export declare function missingPeriodParametersError(): Error;
2
- export declare function invalidEventSequenceError(): Error;
3
- //# sourceMappingURL=error.d.ts.map
@@ -1 +0,0 @@
1
- {"version":3,"file":"error.d.ts","sourceRoot":"","sources":["../../../src/adapter/backtester/error.ts"],"names":[],"mappings":"AAAA,wBAAgB,4BAA4B,UAE3C;AAED,wBAAgB,yBAAyB,UAExC"}
@@ -1,11 +0,0 @@
1
- "use strict";
2
- Object.defineProperty(exports, "__esModule", { value: true });
3
- exports.invalidEventSequenceError = exports.missingPeriodParametersError = void 0;
4
- function missingPeriodParametersError() {
5
- return new Error('invalid backtest options, please provide from and to period.');
6
- }
7
- exports.missingPeriodParametersError = missingPeriodParametersError;
8
- function invalidEventSequenceError() {
9
- return new Error('invalid event to consume');
10
- }
11
- exports.invalidEventSequenceError = invalidEventSequenceError;
@@ -1,3 +0,0 @@
1
- export * from './backtester-adapter';
2
- export * from './backtester-streamer';
3
- //# sourceMappingURL=index.d.ts.map
@@ -1 +0,0 @@
1
- {"version":3,"file":"index.d.ts","sourceRoot":"","sources":["../../../src/adapter/backtester/index.ts"],"names":[],"mappings":"AAAA,cAAc,sBAAsB,CAAC;AACrC,cAAc,uBAAuB,CAAC"}
@@ -1,4 +0,0 @@
1
- export declare function adapterNotFoundError(adapterName: string): Error;
2
- export declare function noPaperEngineProvidedError(): Error;
3
- export declare function backtestPageNotEmpty(): Error;
4
- //# sourceMappingURL=error.d.ts.map
@@ -1 +0,0 @@
1
- {"version":3,"file":"error.d.ts","sourceRoot":"","sources":["../../src/adapter/error.ts"],"names":[],"mappings":"AAAA,wBAAgB,oBAAoB,CAAC,WAAW,EAAE,MAAM,SAIvD;AAED,wBAAgB,0BAA0B,UAEzC;AAED,wBAAgB,oBAAoB,UAEnC"}
@@ -1,15 +0,0 @@
1
- "use strict";
2
- Object.defineProperty(exports, "__esModule", { value: true });
3
- exports.backtestPageNotEmpty = exports.noPaperEngineProvidedError = exports.adapterNotFoundError = void 0;
4
- function adapterNotFoundError(adapterName) {
5
- return new Error(`Unknown adapter: ${adapterName}. You should provide adapter in session descriptor.`);
6
- }
7
- exports.adapterNotFoundError = adapterNotFoundError;
8
- function noPaperEngineProvidedError() {
9
- return new Error('No paper engine provided.');
10
- }
11
- exports.noPaperEngineProvidedError = noPaperEngineProvidedError;
12
- function backtestPageNotEmpty() {
13
- return new Error('Backtest page is not empty');
14
- }
15
- exports.backtestPageNotEmpty = backtestPageNotEmpty;
@@ -1,5 +0,0 @@
1
- export * from './adapter';
2
- export * from './adapter-aggregate';
3
- export * from './backtester';
4
- export * from './paper';
5
- //# sourceMappingURL=index.d.ts.map
@@ -1 +0,0 @@
1
- {"version":3,"file":"index.d.ts","sourceRoot":"","sources":["../../src/adapter/index.ts"],"names":[],"mappings":"AAAA,cAAc,WAAW,CAAC;AAC1B,cAAc,qBAAqB,CAAC;AACpC,cAAc,cAAc,CAAC;AAC7B,cAAc,SAAS,CAAC"}