@quantform/core 0.6.6 → 0.7.0-beta.4

package/dist/domain/order-operator.js

@@ -1,16 +0,0 @@
-"use strict";
-Object.defineProperty(exports, "__esModule", { value: true });
-exports.orders = exports.order = void 0;
-const rxjs_1 = require("rxjs");
-const order_1 = require("./order");
-function order(selector) {
-    return (source$) => source$.pipe((0, rxjs_1.filter)(it => it instanceof order_1.Order && it.instrument.id == selector.id), (0, rxjs_1.map)(it => it));
-}
-exports.order = order;
-function orders(selector, state) {
-    return (source$) => {
-        var _a, _b;
-        return source$.pipe((0, rxjs_1.filter)(it => it instanceof order_1.Order && it.instrument.id == selector.id), (0, rxjs_1.map)(() => { var _a, _b; return (_b = (_a = state.order.get(selector.id)) === null || _a === void 0 ? void 0 : _a.asReadonlyArray()) !== null && _b !== void 0 ? _b : []; }), (0, rxjs_1.startWith)((_b = (_a = state.order.get(selector.id)) === null || _a === void 0 ? void 0 : _a.asReadonlyArray()) !== null && _b !== void 0 ? _b : []));
-    };
-}
-exports.orders = orders;

package/dist/domain/order.d.ts

@@ -1,24 +0,0 @@
-import { decimal } from '../shared';
-import { Balance } from './balance';
-import { Component } from './component';
-import { Instrument } from './instrument';
-export declare type OrderState = 'NEW' | 'PENDING' | 'FILLED' | 'CANCELING' | 'CANCELED' | 'REJECTED';
-export declare class Order implements Component {
-    timestamp: number;
-    readonly id: string;
-    readonly instrument: Instrument;
-    readonly quantity: decimal;
-    createdAt: number;
-    readonly rate?: decimal | undefined;
-    readonly stopRate?: decimal | undefined;
-    state: OrderState;
-    quantityExecuted: decimal;
-    averageExecutionRate?: decimal;
-    externalId?: string;
-    constructor(timestamp: number, id: string, instrument: Instrument, quantity: decimal, createdAt: number, rate?: decimal | undefined, stopRate?: decimal | undefined);
-    calculateBalanceToLock(base: Balance, quote: Balance): {
-        base?: decimal;
-        quote?: decimal;
-    };
-}
-//# sourceMappingURL=order.d.ts.map

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

@@ -1 +0,0 @@
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package/dist/domain/order.js

@@ -1,49 +0,0 @@
-"use strict";
-Object.defineProperty(exports, "__esModule", { value: true });
-exports.Order = void 0;
-const shared_1 = require("../shared");
-const error_1 = require("./error");
-class Order {
-    constructor(timestamp, id, instrument, quantity, createdAt, rate, stopRate) {
-        this.timestamp = timestamp;
-        this.id = id;
-        this.instrument = instrument;
-        this.quantity = quantity;
-        this.createdAt = createdAt;
-        this.rate = rate;
-        this.stopRate = stopRate;
-        this.state = 'NEW';
-        this.quantityExecuted = shared_1.d.Zero;
-        if (!quantity || Number.isNaN(quantity)) {
-            throw (0, error_1.invalidArgumentError)(quantity);
-        }
-        if (rate && rate.lessThanOrEqualTo(0)) {
-            throw (0, error_1.invalidArgumentError)(rate);
-        }
-    }
-    calculateBalanceToLock(base, quote) {
-        const qty = this.quantity.abs();
-        if (this.quantity.greaterThan(0)) {
-            if (this.rate) {
-                return {
-                    base: shared_1.d.Zero,
-                    quote: quote.asset.ceil(this.rate.mul(qty))
-                };
-            }
-            else {
-                return {
-                    base: shared_1.d.Zero,
-                    quote: quote.free
-                };
-            }
-        }
-        if (this.quantity.lessThan(0)) {
-            return {
-                base: qty,
-                quote: shared_1.d.Zero
-            };
-        }
-        return {};
-    }
-}
-exports.Order = Order;

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

@@ -1,7 +0,0 @@
-import { Observable } from 'rxjs';
-import { State } from '../store';
-import { Component } from './component';
-import { InstrumentSelector } from './instrument';
-import { Orderbook } from './orderbook';
-export declare function orderbook(selector: InstrumentSelector, state: State): (source$: Observable<Component>) => Observable<Orderbook>;
-//# sourceMappingURL=orderbook-operator.d.ts.map

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

@@ -1 +0,0 @@
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package/dist/domain/orderbook-operator.js

@@ -1,9 +0,0 @@
-"use strict";
-Object.defineProperty(exports, "__esModule", { value: true });
-exports.orderbook = void 0;
-const rxjs_1 = require("rxjs");
-const orderbook_1 = require("./orderbook");
-function orderbook(selector, state) {
-    return (source$) => source$.pipe((0, rxjs_1.startWith)(state.orderbook.get(selector.id)), (0, rxjs_1.filter)(it => it instanceof orderbook_1.Orderbook && it.instrument.id == selector.id), (0, rxjs_1.map)(it => it));
-}
-exports.orderbook = orderbook;

package/dist/domain/orderbook.d.ts

@@ -1,30 +0,0 @@
-import { Instrument } from '../domain';
-import { decimal } from '../shared';
-import { Component } from './component';
-export interface Liquidity {
-    rate: decimal;
-    quantity: decimal;
-    next: this | undefined;
-}
-export declare const LiquidityAskComparer: (lhs: {
-    rate: decimal;
-}, rhs: {
-    rate: decimal;
-}) => number;
-export declare const LiquidityBidComparer: (lhs: {
-    rate: decimal;
-}, rhs: {
-    rate: decimal;
-}) => number;
-/**
- * Provides an access to pending buy and sell orders on the specific market.
- */
-export declare class Orderbook implements Component {
-    timestamp: number;
-    readonly instrument: Instrument;
-    asks: Liquidity;
-    bids: Liquidity;
-    readonly id: string;
-    constructor(timestamp: number, instrument: Instrument, asks: Liquidity, bids: Liquidity);
-}
-//# sourceMappingURL=orderbook.d.ts.map

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

@@ -1 +0,0 @@
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package/dist/domain/orderbook.js

@@ -1,20 +0,0 @@
-"use strict";
-Object.defineProperty(exports, "__esModule", { value: true });
-exports.Orderbook = exports.LiquidityBidComparer = exports.LiquidityAskComparer = void 0;
-const LiquidityAskComparer = (lhs, rhs) => lhs.rate.comparedTo(rhs.rate);
-exports.LiquidityAskComparer = LiquidityAskComparer;
-const LiquidityBidComparer = (lhs, rhs) => rhs.rate.comparedTo(lhs.rate);
-exports.LiquidityBidComparer = LiquidityBidComparer;
-/**
- * Provides an access to pending buy and sell orders on the specific market.
- */
-class Orderbook {
-    constructor(timestamp, instrument, asks, bids) {
-        this.timestamp = timestamp;
-        this.instrument = instrument;
-        this.asks = asks;
-        this.bids = bids;
-        this.id = instrument.id;
-    }
-}
-exports.Orderbook = Orderbook;

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

@@ -1,13 +0,0 @@
-import { Observable } from 'rxjs';
-import { decimal } from '../shared';
-import { State } from '../store';
-import { Component } from './component';
-import { InstrumentSelector } from './instrument';
-import { Position } from './position';
-export declare function position(selector: InstrumentSelector): (source: Observable<Component>) => Observable<Readonly<Position>>;
-export declare function positions(selector: InstrumentSelector, state: State): (source: Observable<Component>) => Observable<Readonly<Position>[]>;
-export declare function flatten(): (source: Observable<Position[]>) => Observable<{
-    size: decimal;
-    rate: decimal;
-}>;
-//# sourceMappingURL=position-operator.d.ts.map

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

@@ -1 +0,0 @@
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package/dist/domain/position-operator.js

@@ -1,45 +0,0 @@
-"use strict";
-Object.defineProperty(exports, "__esModule", { value: true });
-exports.flatten = exports.positions = exports.position = void 0;
-const rxjs_1 = require("rxjs");
-const shared_1 = require("../shared");
-const error_1 = require("./error");
-const position_1 = require("./position");
-function position(selector) {
-    return (source) => source.pipe((0, rxjs_1.filter)(it => it instanceof position_1.Position && it.instrument.id == selector.id), (0, rxjs_1.map)(it => it));
-}
-exports.position = position;
-function positions(selector, state) {
-    const balance = state.balance.get(selector.quote.id);
-    if (!balance) {
-        throw (0, error_1.invalidInstrumentSelectorError)(selector.id);
-    }
-    const getter = () => Object.values(balance.position)
-        .filter(it => it.instrument.id == selector.id)
-        .map(it => it);
-    return (source) => source.pipe(position(selector), (0, rxjs_1.map)(() => getter()), (0, rxjs_1.startWith)(getter()));
-}
-exports.positions = positions;
-function flatten() {
-    return function (source) {
-        return source.pipe((0, rxjs_1.map)(it => {
-            if (it.length > 1) {
-                return {
-                    size: it.reduce((aggregate, position) => aggregate.add(position.size), shared_1.d.Zero),
-                    rate: (0, shared_1.weightedMean)(it.map(x => x.averageExecutionRate), it.map(x => x.size))
-                };
-            }
-            if (it.length == 1) {
-                return {
-                    size: it[0].size,
-                    rate: it[0].averageExecutionRate
-                };
-            }
-            return {
-                size: shared_1.d.Zero,
-                rate: shared_1.d.Zero
-            };
-        }), (0, rxjs_1.share)());
-    };
-}
-exports.flatten = flatten;

package/dist/domain/position.d.ts

@@ -1,18 +0,0 @@
-import { Instrument } from '../domain';
-import { decimal } from '../shared';
-import { Component } from './component';
-export declare type PositionMode = 'CROSS' | 'ISOLATED';
-export declare class Position implements Component {
-    timestamp: number;
-    readonly id: string;
-    readonly instrument: Instrument;
-    readonly mode: PositionMode;
-    averageExecutionRate: decimal;
-    size: decimal;
-    leverage: number;
-    estimatedUnrealizedPnL?: decimal;
-    get margin(): decimal;
-    constructor(timestamp: number, id: string, instrument: Instrument, mode: PositionMode, averageExecutionRate: decimal, size: decimal, leverage: number);
-    calculateEstimatedUnrealizedPnL(rate: decimal): decimal;
-}
-//# sourceMappingURL=position.d.ts.map

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

@@ -1 +0,0 @@
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package/dist/domain/position.js

@@ -1,23 +0,0 @@
-"use strict";
-Object.defineProperty(exports, "__esModule", { value: true });
-exports.Position = void 0;
-const shared_1 = require("../shared");
-class Position {
-    constructor(timestamp, id, instrument, mode, averageExecutionRate, size, leverage) {
-        this.timestamp = timestamp;
-        this.id = id;
-        this.instrument = instrument;
-        this.mode = mode;
-        this.averageExecutionRate = averageExecutionRate;
-        this.size = size;
-        this.leverage = leverage;
-    }
-    get margin() {
-        return this.instrument.quote.floor(this.size.abs().div(this.leverage));
-    }
-    calculateEstimatedUnrealizedPnL(rate) {
-        this.estimatedUnrealizedPnL = this.instrument.quote.floor((0, shared_1.pnl)(this.averageExecutionRate, rate, this.size));
-        return this.estimatedUnrealizedPnL;
-    }
-}
-exports.Position = Position;

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

@@ -1,54 +0,0 @@
-import { AdapterFactory, BacktesterListener, BacktesterStreamer } from '../adapter';
-import { decimal } from '../shared';
-import { StorageFactory } from '../storage';
-import { AssetSelector } from './asset';
-import { Session } from './session';
-export declare type SessionFeature = (builder: SessionBuilder) => void;
-export declare function deposit(selector: AssetSelector, amount: decimal): SessionFeature;
-export declare function period(from: Date, to?: Date): SessionFeature;
-export declare class SessionBuilder {
-    id: number;
-    adapter: AdapterFactory[];
-    storage: StorageFactory;
-    balance: Record<string, decimal>;
-    period: {
-        from: number;
-        to: number;
-    };
-    /**
-     * Unique session identifier, used to identify session in the storage.
-     * You can generate new id every time you start the new session or provide
-     * session id explicitly to resume previous session (in code or via CLI).
-     * If you don't provide session id, it will generate new one based on time.
-     */
-    useSessionId(id: number): SessionBuilder;
-    /**
-     * Collection of adapters used to connect to the exchanges.
-     */
-    useAdapter(adapter: AdapterFactory): SessionBuilder;
-    /**
-     * Provides historical data for backtest, it's not required for live and paper
-     * sessions. Stores session variables i.e. indicators, orders, or any other type of time
-     * series data. You can install @quantform/editor to render this data in your browser.
-     */
-    useStorage(storage: StorageFactory): SessionBuilder;
-    useBalance(selector: AssetSelector, amount: decimal): SessionBuilder;
-    usePeriod(from: number, to: number): SessionBuilder;
-    /**
-     * Starts a new backtest session.
-     * @param listener backtest event listener.
-     * @returns new session object.
-     */
-    backtest(listener?: BacktesterListener): [Session, BacktesterStreamer];
-    /**
-     * Starts a new paper session.
-     * @returns new session object.
-     */
-    paper(): Session;
-    /**
-     * Starts a new live session.
-     * @returns new session object.
-     */
-    live(): Session;
-}
-//# sourceMappingURL=session-builder.d.ts.map

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

@@ -1 +0,0 @@
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package/dist/domain/session-builder.js

@@ -1,106 +0,0 @@
-"use strict";
-Object.defineProperty(exports, "__esModule", { value: true });
-exports.SessionBuilder = exports.period = exports.deposit = void 0;
-const adapter_1 = require("../adapter");
-const shared_1 = require("../shared");
-const storage_1 = require("../storage");
-const store_1 = require("../store");
-const session_1 = require("./session");
-function deposit(selector, amount) {
-    return (builder) => {
-        builder.useBalance(selector, amount);
-    };
-}
-exports.deposit = deposit;
-function period(from, to) {
-    return (builder) => {
-        var _a;
-        builder.usePeriod(from.getTime(), (_a = to === null || to === void 0 ? void 0 : to.getTime()) !== null && _a !== void 0 ? _a : (0, shared_1.now)());
-    };
-}
-exports.period = period;
-class SessionBuilder {
-    constructor() {
-        this.id = (0, shared_1.now)();
-        this.adapter = new Array();
-        this.storage = (0, storage_1.inMemoryStorageFactory)();
-        this.balance = {};
-        this.period = {
-            from: 0,
-            to: Number.MAX_VALUE
-        };
-    }
-    /**
-     * Unique session identifier, used to identify session in the storage.
-     * You can generate new id every time you start the new session or provide
-     * session id explicitly to resume previous session (in code or via CLI).
-     * If you don't provide session id, it will generate new one based on time.
-     */
-    useSessionId(id) {
-        this.id = id;
-        return this;
-    }
-    /**
-     * Collection of adapters used to connect to the exchanges.
-     */
-    useAdapter(adapter) {
-        this.adapter.push(adapter);
-        return this;
-    }
-    /**
-     * Provides historical data for backtest, it's not required for live and paper
-     * sessions. Stores session variables i.e. indicators, orders, or any other type of time
-     * series data. You can install @quantform/editor to render this data in your browser.
-     */
-    useStorage(storage) {
-        this.storage = storage;
-        return this;
-    }
-    useBalance(selector, amount) {
-        this.balance[selector.id] = amount;
-        return this;
-    }
-    usePeriod(from, to) {
-        this.period.from = from;
-        this.period.to = to;
-        return this;
-    }
-    /**
-     * Starts a new backtest session.
-     * @param listener backtest event listener.
-     * @returns new session object.
-     */
-    backtest(listener) {
-        const store = new store_1.Store();
-        const feed = new storage_1.Feed(this.storage('feed'));
-        const cache = new storage_1.Cache(this.storage('cache'));
-        const measurement = new storage_1.Measurement(this.storage('measurement'));
-        const streamer = new adapter_1.BacktesterStreamer(store, feed, this.period, listener);
-        const aggregate = new adapter_1.AdapterAggregate(this.adapter.map(it => (0, adapter_1.createBacktesterAdapterFactory)((0, adapter_1.createPaperAdapterFactory)(it, { balance: this.balance }), streamer)), streamer.getTimeProvider(), store, cache);
-        const session = new session_1.Session(this.id, store, aggregate, measurement);
-        return [session, streamer];
-    }
-    /**
-     * Starts a new paper session.
-     * @returns new session object.
-     */
-    paper() {
-        const store = new store_1.Store();
-        const cache = new storage_1.Cache(this.storage('cache'));
-        const measurement = new storage_1.Measurement(this.storage('measurement'));
-        const aggregate = new adapter_1.AdapterAggregate(this.adapter.map(it => (0, adapter_1.createPaperAdapterFactory)(it, { balance: this.balance })), adapter_1.DefaultTimeProvider, store, cache);
-        return new session_1.Session(this.id, store, aggregate, measurement);
-    }
-    /**
-     * Starts a new live session.
-     * @returns new session object.
-     */
-    live() {
-        const store = new store_1.Store();
-        const cache = new storage_1.Cache(this.storage('cache'));
-        const measurement = new storage_1.Measurement(this.storage('measurement'));
-        const aggregate = new adapter_1.AdapterAggregate(this.adapter, adapter_1.DefaultTimeProvider, store, cache);
-        return new session_1.Session(this.id, store, aggregate, measurement);
-    }
-}
-exports.SessionBuilder = SessionBuilder;

package/dist/domain/session.d.ts

@@ -1,77 +0,0 @@
-import { Observable } from 'rxjs';
-import { AdapterAggregate } from '../adapter/adapter-aggregate';
-import { AssetSelector, Balance, Instrument, InstrumentSelector, Ohlc, Order, Orderbook, Position, Trade } from '../domain';
-import { decimal } from '../shared';
-import { Measurement } from '../storage';
-import { Store } from '../store';
-declare type Optional<T, K extends keyof T> = Omit<T, K> & Partial<T>;
-export declare class Session {
-    readonly id: number;
-    readonly store: Store;
-    readonly aggregate: AdapterAggregate;
-    readonly measurement: Measurement | undefined;
-    private initialized;
-    get timestamp(): number;
-    constructor(id: number, store: Store, aggregate: AdapterAggregate, measurement: Measurement | undefined);
-    awake(): Promise<void>;
-    dispose(): Promise<void>;
-    /**
-     * Subscribes to specific instrument. Usually forces adapter to subscribe
-     * for orderbook and ticker streams.
-     */
-    subscribe(instrument: Array<InstrumentSelector>): Promise<void>;
-    /**
-     * Opens a new order.
-     */
-    open(order: {
-        instrument: InstrumentSelector;
-        quantity: decimal;
-        rate?: decimal;
-    }): Observable<Readonly<Order>>;
-    /**
-     * Cancels specific order.
-     */
-    cancel(order: Order): Observable<Readonly<Order>>;
-    /**
-     * Subscribes to specific instrument changes.
-     * When adapter awake then it will fetch collection of all available instruments.
-     */
-    instrument(selector: InstrumentSelector): Observable<Readonly<Instrument>>;
-    /**
-     * Subscribes to instruments changes.
-     * When adapter awake then it will fetch collection of all available instruments.
-     */
-    instruments(): Observable<Readonly<Instrument[]>>;
-    /**
-     * Subscribes to balance changes.
-     */
-    balance(selector: AssetSelector): Observable<Readonly<Balance>>;
-    /**
-     * Subscribes to trade/ticker changes.
-     */
-    trade(selector: InstrumentSelector): Observable<Readonly<Trade>>;
-    /**
-     * Subscribes to orderbook changes.
-     * Right now you can access only best bid and best ask.
-     */
-    orderbook(selector: InstrumentSelector): Observable<Readonly<Orderbook>>;
-    /**
-     * Subscribes to position on leveraged market.
-     */
-    position(selector: InstrumentSelector): Observable<Readonly<Position>>;
-    /**
-     * Subscribes to positions on leveraged markets.
-     */
-    positions(selector: InstrumentSelector): Observable<Readonly<Position[]>>;
-    order(selector: InstrumentSelector): Observable<Readonly<Order>>;
-    orders(selector: InstrumentSelector): Observable<Readonly<Order[]>>;
-    history(selector: InstrumentSelector, timeframe: number, length: number): Observable<Readonly<Ohlc>>;
-    measure<T extends {
-        timestamp: number;
-    }>(spec: {
-        kind: string;
-        timestamp?: number;
-    }, defaultValue?: Optional<T, 'timestamp'>): [Observable<T>, (value: T) => void];
-}
-export {};
-//# sourceMappingURL=session.d.ts.map

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

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