@quantform/core 0.6.6 → 0.7.0-beta.4

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

@@ -1,185 +0,0 @@
-"use strict";
-Object.defineProperty(exports, "__esModule", { value: true });
-exports.OrderRejectedEvent = exports.OrderCancelFailedEvent = exports.OrderCanceledEvent = exports.OrderCancelingEvent = exports.OrderFilledEvent = exports.OrderPendingEvent = exports.OrderNewEvent = exports.OrderLoadEvent = void 0;
-const error_1 = require("./error");
-const store_state_1 = require("./store-state");
-/**
- * Patches a store with an existing pending order.
- * No store changing events are propagated.
- */
-class OrderLoadEvent {
-    constructor(order, timestamp) {
-        this.order = order;
-        this.timestamp = timestamp;
-    }
-    handle(state) {
-        this.order.timestamp = this.timestamp;
-        const orderByInstrument = state.order.tryGetOrSet(this.order.instrument.id, () => new store_state_1.InnerSet(this.order.instrument.id));
-        orderByInstrument.upsert(this.order);
-    }
-}
-exports.OrderLoadEvent = OrderLoadEvent;
-class OrderNewEvent {
-    constructor(order, timestamp) {
-        this.order = order;
-        this.timestamp = timestamp;
-    }
-    handle(state, changes) {
-        if (this.order.state != 'NEW') {
-            throw (0, error_1.orderInvalidStateError)(this.order.state, ['NEW']);
-        }
-        this.order.createdAt = this.timestamp;
-        this.order.timestamp = this.timestamp;
-        const orderByInstrument = state.order.tryGetOrSet(this.order.instrument.id, () => new store_state_1.InnerSet(this.order.instrument.id));
-        orderByInstrument.upsert(this.order);
-        changes.commit(this.order);
-    }
-}
-exports.OrderNewEvent = OrderNewEvent;
-class OrderPendingEvent {
-    constructor(id, instrument, timestamp) {
-        this.id = id;
-        this.instrument = instrument;
-        this.timestamp = timestamp;
-    }
-    handle(state, changes) {
-        const order = state.order
-            .tryGetOrSet(this.instrument.id, () => {
-            throw (0, error_1.orderNotFoundError)(this.id);
-        })
-            .tryGetOrSet(this.id, () => {
-            throw (0, error_1.orderNotFoundError)(this.id);
-        });
-        if (order.state != 'NEW') {
-            throw (0, error_1.orderInvalidStateError)(order.state, ['NEW']);
-        }
-        order.state = 'PENDING';
-        order.timestamp = this.timestamp;
-        changes.commit(order);
-    }
-}
-exports.OrderPendingEvent = OrderPendingEvent;
-class OrderFilledEvent {
-    constructor(id, instrument, averageExecutionRate, timestamp) {
-        this.id = id;
-        this.instrument = instrument;
-        this.averageExecutionRate = averageExecutionRate;
-        this.timestamp = timestamp;
-    }
-    handle(state, changes) {
-        const order = state.order
-            .tryGetOrSet(this.instrument.id, () => {
-            throw (0, error_1.orderNotFoundError)(this.id);
-        })
-            .tryGetOrSet(this.id, () => {
-            throw (0, error_1.orderNotFoundError)(this.id);
-        });
-        if (order.state != 'PENDING' && order.state != 'CANCELING') {
-            throw (0, error_1.orderInvalidStateError)(order.state, ['PENDING', 'CANCELING']);
-        }
-        order.state = 'FILLED';
-        order.timestamp = this.timestamp;
-        order.quantityExecuted = order.quantity;
-        order.averageExecutionRate = this.averageExecutionRate;
-        changes.commit(order);
-    }
-}
-exports.OrderFilledEvent = OrderFilledEvent;
-class OrderCancelingEvent {
-    constructor(id, instrument, timestamp) {
-        this.id = id;
-        this.instrument = instrument;
-        this.timestamp = timestamp;
-    }
-    handle(state, changes) {
-        const order = state.order
-            .tryGetOrSet(this.instrument.id, () => {
-            throw (0, error_1.orderNotFoundError)(this.id);
-        })
-            .tryGetOrSet(this.id, () => {
-            throw (0, error_1.orderNotFoundError)(this.id);
-        });
-        if (order.state == 'CANCELING' || order.state == 'CANCELED') {
-            return;
-        }
-        if (order.state != 'PENDING') {
-            throw (0, error_1.orderInvalidStateError)(order.state, ['PENDING']);
-        }
-        order.state = 'CANCELING';
-        order.timestamp = this.timestamp;
-        changes.commit(order);
-    }
-}
-exports.OrderCancelingEvent = OrderCancelingEvent;
-class OrderCanceledEvent {
-    constructor(id, instrument, timestamp) {
-        this.id = id;
-        this.instrument = instrument;
-        this.timestamp = timestamp;
-    }
-    handle(state, changes) {
-        const order = state.order
-            .tryGetOrSet(this.instrument.id, () => {
-            throw (0, error_1.orderNotFoundError)(this.id);
-        })
-            .tryGetOrSet(this.id, () => {
-            throw (0, error_1.orderNotFoundError)(this.id);
-        });
-        if (order.state == 'CANCELED') {
-            return;
-        }
-        if (order.state != 'CANCELING') {
-            throw (0, error_1.orderInvalidStateError)(order.state, ['CANCELING']);
-        }
-        order.state = 'CANCELED';
-        order.timestamp = this.timestamp;
-        changes.commit(order);
-    }
-}
-exports.OrderCanceledEvent = OrderCanceledEvent;
-class OrderCancelFailedEvent {
-    constructor(id, instrument, timestamp) {
-        this.id = id;
-        this.instrument = instrument;
-        this.timestamp = timestamp;
-    }
-    handle(state, changes) {
-        const order = state.order
-            .tryGetOrSet(this.instrument.id, () => {
-            throw (0, error_1.orderNotFoundError)(this.id);
-        })
-            .tryGetOrSet(this.id, () => {
-            throw (0, error_1.orderNotFoundError)(this.id);
-        });
-        if (order.state != 'CANCELING') {
-            return;
-        }
-        order.state = 'PENDING';
-        order.timestamp = this.timestamp;
-        changes.commit(order);
-    }
-}
-exports.OrderCancelFailedEvent = OrderCancelFailedEvent;
-class OrderRejectedEvent {
-    constructor(id, instrument, timestamp) {
-        this.id = id;
-        this.instrument = instrument;
-        this.timestamp = timestamp;
-    }
-    handle(state, changes) {
-        const order = state.order
-            .tryGetOrSet(this.instrument.id, () => {
-            throw (0, error_1.orderNotFoundError)(this.id);
-        })
-            .tryGetOrSet(this.id, () => {
-            throw (0, error_1.orderNotFoundError)(this.id);
-        });
-        if (order.state != 'NEW') {
-            throw (0, error_1.orderInvalidStateError)(order.state, ['NEW']);
-        }
-        order.state = 'REJECTED';
-        order.timestamp = this.timestamp;
-        changes.commit(order);
-    }
-}
-exports.OrderRejectedEvent = OrderRejectedEvent;

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

@@ -1,13 +0,0 @@
-import { InstrumentSelector, Liquidity } from '../domain';
-import { timestamp } from '../shared';
-import { StoreEvent } from './store-event';
-import { State, StateChangeTracker } from './store-state';
-export declare class OrderbookPatchEvent implements StoreEvent {
-    readonly instrument: InstrumentSelector;
-    readonly ask: Liquidity;
-    readonly bid: Liquidity;
-    readonly timestamp: timestamp;
-    constructor(instrument: InstrumentSelector, ask: Liquidity, bid: Liquidity, timestamp: timestamp);
-    handle(state: State, changes: StateChangeTracker): void;
-}
-//# sourceMappingURL=store-orderbook-event.d.ts.map

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

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

@@ -1,43 +0,0 @@
-"use strict";
-Object.defineProperty(exports, "__esModule", { value: true });
-exports.OrderbookPatchEvent = void 0;
-const domain_1 = require("../domain");
-const error_1 = require("./error");
-class OrderbookPatchEvent {
-    constructor(instrument, ask, bid, timestamp) {
-        this.instrument = instrument;
-        this.ask = ask;
-        this.bid = bid;
-        this.timestamp = timestamp;
-    }
-    handle(state, changes) {
-        const instrument = state.universe.instrument.get(this.instrument.id);
-        if (!instrument) {
-            throw (0, error_1.instrumentNotSupportedError)(this.instrument);
-        }
-        const orderbook = state.orderbook.tryGetOrSet(this.instrument.id, () => new domain_1.Orderbook(0, instrument, this.ask, this.bid));
-        state.timestamp = this.timestamp;
-        orderbook.timestamp = this.timestamp;
-        orderbook.asks = this.ask;
-        orderbook.bids = this.bid;
-        const quote = state.balance.get(orderbook.instrument.quote.id);
-        if (quote) {
-            for (const position of Object.values(quote.position)) {
-                if (position.instrument.id != orderbook.instrument.id) {
-                    continue;
-                }
-                const rate = position.size.greaterThanOrEqualTo(0)
-                    ? orderbook.bids.rate
-                    : orderbook.asks.rate;
-                if (rate) {
-                    position.calculateEstimatedUnrealizedPnL(rate);
-                }
-            }
-            if (quote.total.lessThan(0)) {
-                throw (0, error_1.liquidationError)();
-            }
-        }
-        changes.commit(orderbook);
-    }
-}
-exports.OrderbookPatchEvent = OrderbookPatchEvent;

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

@@ -1,22 +0,0 @@
-import { Instrument, Position, PositionMode } from '../domain';
-import { decimal, timestamp } from '../shared';
-import { StoreEvent } from './store-event';
-import { State, StateChangeTracker } from './store-state';
-export declare class PositionLoadEvent implements StoreEvent {
-    readonly position: Position;
-    readonly timestamp: timestamp;
-    constructor(position: Position, timestamp: timestamp);
-    handle(state: State): void;
-}
-export declare class PositionPatchEvent implements StoreEvent {
-    readonly id: string;
-    readonly instrument: Instrument;
-    readonly rate: decimal;
-    readonly size: decimal;
-    readonly leverage: number;
-    readonly mode: PositionMode;
-    readonly timestamp: timestamp;
-    constructor(id: string, instrument: Instrument, rate: decimal, size: decimal, leverage: number, mode: PositionMode, timestamp: timestamp);
-    handle(state: State, changes: StateChangeTracker): void;
-}
-//# sourceMappingURL=store-position-event.d.ts.map

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

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

@@ -1,96 +0,0 @@
-"use strict";
-Object.defineProperty(exports, "__esModule", { value: true });
-exports.PositionPatchEvent = exports.PositionLoadEvent = void 0;
-const domain_1 = require("../domain");
-const error_1 = require("./error");
-class PositionLoadEvent {
-    constructor(position, timestamp) {
-        this.position = position;
-        this.timestamp = timestamp;
-    }
-    handle(state) {
-        if (!state.subscription.instrument.get(this.position.instrument.id)) {
-            throw (0, error_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);
-        }
-        balance.position[this.position.id] = this.position;
-        const orderbook = state.orderbook.get(this.position.instrument.id);
-        if (orderbook) {
-            const rate = this.position.size.greaterThanOrEqualTo(0)
-                ? orderbook.bids.rate
-                : orderbook.asks.rate;
-            if (rate) {
-                this.position.calculateEstimatedUnrealizedPnL(rate);
-            }
-        }
-    }
-}
-exports.PositionLoadEvent = PositionLoadEvent;
-class PositionPatchEvent {
-    constructor(id, instrument, rate, size, leverage, mode, timestamp) {
-        this.id = id;
-        this.instrument = instrument;
-        this.rate = rate;
-        this.size = size;
-        this.leverage = leverage;
-        this.mode = mode;
-        this.timestamp = timestamp;
-    }
-    // eslint-disable-next-line complexity
-    handle(state, changes) {
-        if (!state.subscription.instrument.get(this.instrument.id)) {
-            throw (0, error_1.instrumentNotSubscribedError)(this.instrument);
-        }
-        const balance = state.balance.get(this.instrument.quote.id);
-        if (!balance) {
-            throw (0, error_1.balanceNotFoundError)(this.instrument.quote);
-        }
-        const orderbook = state.orderbook.get(this.instrument.id);
-        let position = balance.position[this.id];
-        if (this.size.equals(0)) {
-            if (position) {
-                position.averageExecutionRate = this.instrument.quote.floor(this.rate);
-                position.size = this.instrument.base.floor(this.size);
-                position.leverage = this.leverage;
-                delete balance.position[this.id];
-                if (orderbook) {
-                    const rate = position.size.greaterThanOrEqualTo(0)
-                        ? orderbook.bids.rate
-                        : orderbook.asks.rate;
-                    if (rate) {
-                        position.calculateEstimatedUnrealizedPnL(rate);
-                    }
-                }
-                changes.commit(position);
-                changes.commit(balance);
-            }
-        }
-        const size = (position.size = this.instrument.base.floor(this.size));
-        const averageExecutionRate = (position.averageExecutionRate =
-            this.instrument.quote.floor(this.rate));
-        if (!position) {
-            position = new domain_1.Position(this.timestamp, this.id, this.instrument, this.mode, averageExecutionRate, size, this.leverage);
-            balance.position[this.id] = position;
-        }
-        else {
-            position.averageExecutionRate = averageExecutionRate;
-            position.size = size;
-            position.leverage = this.leverage;
-        }
-        if (orderbook) {
-            const rate = position.size.greaterThanOrEqualTo(0)
-                ? orderbook.bids.rate
-                : orderbook.asks.rate;
-            if (rate) {
-                position.calculateEstimatedUnrealizedPnL(rate);
-            }
-        }
-        changes.commit(position);
-        changes.commit(balance);
-    }
-}
-exports.PositionPatchEvent = PositionPatchEvent;

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

@@ -1,28 +0,0 @@
-import { Asset, AssetSelector, Balance, Component, Instrument, InstrumentSelector, Order, Orderbook, Trade } from '../domain';
-import { Set, timestamp } from '../shared';
-export interface StateChangeTracker {
-    commit(component: Component): void;
-    commitPendingChanges(): void;
-}
-export declare class InnerSet<T extends {
-    id: string;
-}> extends Set<T> {
-    readonly id: string;
-    constructor(id: string, values?: ReadonlyArray<T>);
-}
-export declare class State {
-    timestamp: timestamp;
-    universe: {
-        asset: Set<Asset>;
-        instrument: Set<Instrument>;
-    };
-    subscription: {
-        asset: Set<AssetSelector>;
-        instrument: Set<InstrumentSelector>;
-    };
-    trade: Set<Trade>;
-    orderbook: Set<Orderbook>;
-    balance: Set<Balance>;
-    order: Set<InnerSet<Order>>;
-}
-//# sourceMappingURL=store-state.d.ts.map

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

@@ -1 +0,0 @@
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package/dist/store/store-state.js

@@ -1,29 +0,0 @@
-"use strict";
-Object.defineProperty(exports, "__esModule", { value: true });
-exports.State = exports.InnerSet = void 0;
-const shared_1 = require("../shared");
-class InnerSet extends shared_1.Set {
-    constructor(id, values) {
-        super(values);
-        this.id = id;
-    }
-}
-exports.InnerSet = InnerSet;
-class State {
-    constructor() {
-        this.timestamp = 0;
-        this.universe = {
-            asset: new shared_1.Set(),
-            instrument: new shared_1.Set()
-        };
-        this.subscription = {
-            asset: new shared_1.Set(),
-            instrument: new shared_1.Set()
-        };
-        this.trade = new shared_1.Set();
-        this.orderbook = new shared_1.Set();
-        this.balance = new shared_1.Set();
-        this.order = new shared_1.Set();
-    }
-}
-exports.State = State;

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

@@ -1,17 +0,0 @@
-import { InstrumentSelector } from '../domain';
-import { decimal, timestamp } from '../shared';
-import { StoreEvent } from './store-event';
-import { State, StateChangeTracker } from './store-state';
-/**
- * Patches a store with specific event @see TradePatchEvent
- * If there is no specific @see Trade in store, it will create a new one.
- */
-export declare class TradePatchEvent implements StoreEvent {
-    readonly instrument: InstrumentSelector;
-    readonly rate: decimal;
-    readonly quantity: decimal;
-    readonly timestamp: timestamp;
-    constructor(instrument: InstrumentSelector, rate: decimal, quantity: decimal, timestamp: timestamp);
-    handle(state: State, changes: StateChangeTracker): void;
-}
-//# sourceMappingURL=store-trade-event.d.ts.map

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

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

@@ -1,34 +0,0 @@
-"use strict";
-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");
-/**
- * Patches a store with specific event @see TradePatchEvent
- * If there is no specific @see Trade in store, it will create a new one.
- */
-class TradePatchEvent {
-    constructor(instrument, rate, quantity, timestamp) {
-        this.instrument = instrument;
-        this.rate = rate;
-        this.quantity = quantity;
-        this.timestamp = timestamp;
-    }
-    handle(state, changes) {
-        if (!state.subscription.instrument.get(this.instrument.id)) {
-            throw (0, error_1.instrumentNotSubscribedError)(this.instrument);
-        }
-        const instrument = state.universe.instrument.get(this.instrument.id);
-        if (!instrument) {
-            throw (0, error_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;
-        trade.timestamp = this.timestamp;
-        trade.rate = trade.instrument.quote.floor(this.rate);
-        trade.quantity = trade.instrument.base.floor(this.quantity);
-        changes.commit(trade);
-    }
-}
-exports.TradePatchEvent = TradePatchEvent;

package/dist/store/store.d.ts

@@ -1,15 +0,0 @@
-import { Observable } from 'rxjs';
-import { Component } from '../domain';
-import { StoreEvent } from './store-event';
-import { State, StateChangeTracker } from './store-state';
-export declare class Store implements StateChangeTracker {
-    private readonly pendingChanges;
-    private readonly changes;
-    readonly snapshot: State;
-    get changes$(): Observable<Component>;
-    dispatch(...events: StoreEvent[]): void;
-    commit(component: Component): void;
-    commitPendingChanges(): void;
-    dispose(): void;
-}
-//# sourceMappingURL=store.d.ts.map

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

@@ -1 +0,0 @@
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package/dist/store/store.js

@@ -1,32 +0,0 @@
-"use strict";
-Object.defineProperty(exports, "__esModule", { value: true });
-exports.Store = void 0;
-const rxjs_1 = require("rxjs");
-const store_state_1 = require("./store-state");
-class Store {
-    constructor() {
-        this.pendingChanges = new Array();
-        this.changes = new rxjs_1.Subject();
-        this.snapshot = new store_state_1.State();
-    }
-    get changes$() {
-        return this.changes.asObservable();
-    }
-    dispatch(...events) {
-        for (const event of events) {
-            event.handle(this.snapshot, this);
-        }
-        this.commitPendingChanges();
-    }
-    commit(component) {
-        this.pendingChanges.push(component);
-    }
-    commitPendingChanges() {
-        this.pendingChanges.forEach(it => this.changes.next(it));
-        this.pendingChanges.splice(0, this.pendingChanges.length);
-    }
-    dispose() {
-        this.changes.complete();
-    }
-}
-exports.Store = Store;