@quantform/core 0.6.6 → 0.7.0-beta.4

package/src/adapter/adapter-aggregate.ts

@@ -1,171 +0,0 @@
-import { InstrumentSelector, Ohlc, Order } from '../domain';
-import { Logger, timestamp } from '../shared';
-import { Cache } from '../storage';
-import { Store } from '../store';
-import { Adapter } from '.';
-import { AdapterFactory, AdapterTimeProvider, FeedAsyncCallback } from './adapter';
-import { adapterNotFoundError } from './error';
-
-/**
- * Manages instances of all adapters provided in session descriptor.
- * Awakes and disposes adapters, routes and executes commands.
- */
-export class AdapterAggregate {
-  private readonly adapter: Record<string, Adapter> = {};
-
-  constructor(
-    private readonly factories: AdapterFactory[],
-    private readonly timeProvider: AdapterTimeProvider,
-    private readonly store: Store,
-    private readonly cache: Cache
-  ) { }
-
-  /**
-   * Returns adapter by name.
-   * @param adapterName adapter name.
-   * @returns
-   */
-  get(adapterName: string): Adapter {
-    const adapter = this.adapter[adapterName];
-
-    if (!adapter) {
-      throw adapterNotFoundError(adapterName);
-    }
-
-    return adapter;
-  }
-
-  /**
-   * Sets up all adapters.
-   */
-  async awake(): Promise<void> {
-    for (const factory of this.factories) {
-      const adapter = factory(this.timeProvider, this.store, this.cache);
-
-      try {
-        await adapter.awake();
-        await adapter.account();
-      } catch (error) {
-        Logger.error(adapter.name, error);
-      }
-
-      this.adapter[adapter.name] = adapter;
-    }
-  }
-
-  /**
-   * Disposes all adapters.
-   */
-  async dispose(): Promise<void> {
-    for (const adapter of Object.values(this.adapter)) {
-      try {
-        await adapter.dispose();
-      } catch (error) {
-        Logger.error(adapter.name, error);
-      }
-    }
-  }
-
-  /**
-   * Subscribe to collection of instruments.
-   * @param selectors
-   */
-  async subscribe(selectors: InstrumentSelector[]): Promise<void> {
-    const grouped = selectors.reduce((aggregate, it) => {
-      const adapter = it.base.adapterName;
-
-      if (aggregate[adapter]) {
-        aggregate[adapter].push(it);
-      } else {
-        aggregate[adapter] = [it];
-      }
-
-      return aggregate;
-    }, {} as Record<string, InstrumentSelector[]>);
-
-    for (const adapterName in grouped) {
-      try {
-        await this.get(adapterName).subscribe(grouped[adapterName]);
-      } catch (error) {
-        Logger.error(adapterName, error);
-
-        throw error;
-      }
-    }
-  }
-
-  /**
-   * Opens new order.
-   * @param order an order to open.
-   */
-  async open(order: Order): Promise<void> {
-    const { adapterName } = order.instrument.base;
-
-    Logger.debug(
-      adapterName,
-      `opening a new order on ${order.instrument.id} as ${order.id}`
-    );
-
-    try {
-      await this.get(adapterName).open(order);
-    } catch (error) {
-      Logger.error(adapterName, error);
-
-      throw error;
-    }
-  }
-
-  /**
-   * Cancels specific order.
-   */
-  cancel(order: Order): Promise<void> {
-    const { adapterName } = order.instrument.base;
-
-    Logger.debug(adapterName, `canceling a ${order.id} order`);
-
-    try {
-      return this.get(adapterName).cancel(order);
-    } catch (error) {
-      Logger.error(adapterName, error);
-
-      throw error;
-    }
-  }
-
-  /**
-   *
-   * @returns
-   */
-  history(
-    instrument: InstrumentSelector,
-    timeframe: number,
-    length: number
-  ): Promise<Ohlc[]> {
-    try {
-      return this.get(instrument.base.adapterName).history(instrument, timeframe, length);
-    } catch (error) {
-      Logger.error(instrument.base.adapterName, error);
-
-      throw error;
-    }
-  }
-
-  /**
-   * Feeds a storage with historical instrument data.
-   * @returns
-   */
-  feed(
-    instrument: InstrumentSelector,
-    from: timestamp,
-    to: timestamp,
-    callback: FeedAsyncCallback
-  ): Promise<void> {
-    try {
-      return this.get(instrument.base.adapterName).feed(instrument, from, to, callback);
-    } catch (error) {
-      Logger.error(instrument.base.adapterName, error);
-
-      throw error;
-    }
-  }
-}

package/src/adapter/adapter.ts

@@ -1,83 +0,0 @@
-import { Ohlc, InstrumentSelector, Order } from '../domain';
-import { now, timestamp } from '../shared';
-import { Cache, StorageEvent } from '../storage';
-import { Store } from '../store';
-import { PaperAdapter } from './paper';
-import { PaperEngine } from './paper/engine/paper-engine';
-
-export type AdapterTimeProvider = {
-  timestamp: () => number;
-};
-
-export const DefaultTimeProvider = {
-  timestamp: () => now()
-};
-
-export type FeedAsyncCallback = (timestamp: number, chunk: StorageEvent[]) => void;
-
-export type AdapterFactory = (
-  timeProvider: AdapterTimeProvider,
-  store: Store,
-  cache: Cache
-) => Adapter;
-
-/**
- * Base adapter class, you should derive your own adapter from this class.
- * @abstract
- */
-export abstract class Adapter {
-  abstract name: string;
-
-  timestamp(): timestamp {
-    return this.timeProvider.timestamp();
-  }
-
-  constructor(private readonly timeProvider: AdapterTimeProvider) { }
-
-  /**
-   * Setup an adapter.
-   */
-  abstract awake(): Promise<void>;
-
-  /**
-   * Dispose an adapter.
-   */
-  abstract dispose(): Promise<void>;
-
-  /**
-   * Subscribe to collection of instruments.
-   * @param instruments
-   */
-  abstract subscribe(instruments: InstrumentSelector[]): Promise<void>;
-
-  /**
-   *
-   */
-  abstract account(): Promise<void>;
-
-  /**
-   * Opens new order.
-   * @param order an order to open.
-   */
-  abstract open(order: Order): Promise<void>;
-
-  /**
-   * Cancels specific order.
-   */
-  abstract cancel(order: Order): Promise<void>;
-
-  abstract history(
-    instrument: InstrumentSelector,
-    timeframe: number,
-    length: number
-  ): Promise<Ohlc[]>;
-
-  abstract feed(
-    instrument: InstrumentSelector,
-    from: timestamp,
-    to: timestamp,
-    callback: FeedAsyncCallback
-  ): Promise<void>;
-
-  abstract createPaperEngine(adapter: PaperAdapter): PaperEngine;
-}

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

@@ -1,96 +0,0 @@
-import { InstrumentSelector, Ohlc, Order } from '../../domain';
-import { timestamp } from '../../shared';
-import { InstrumentSubscriptionEvent, Store } from '../../store';
-import { Adapter } from '..';
-import { AdapterFactory, FeedAsyncCallback } from '../adapter';
-import { PaperAdapter, PaperOptions } from '../paper';
-import { PaperEngine } from '../paper/engine/paper-engine';
-import { BacktesterStreamer } from './backtester-streamer';
-
-export interface BacktesterOptions extends PaperOptions {
-  from: timestamp;
-  to: timestamp;
-}
-
-export function createBacktesterAdapterFactory(
-  decoratedAdapterFactory: AdapterFactory,
-  streamer: BacktesterStreamer
-): AdapterFactory {
-  return (timeProvider, store, cache) =>
-    new BacktesterAdapter(
-      decoratedAdapterFactory(timeProvider, store, cache),
-      streamer,
-      store
-    );
-}
-
-export class BacktesterAdapter extends Adapter {
-  readonly name = this.decoratedAdapter.name;
-
-  constructor(
-    readonly decoratedAdapter: Adapter,
-    readonly streamer: BacktesterStreamer,
-    readonly store: Store
-  ) {
-    super(streamer.getTimeProvider());
-  }
-
-  async awake(): Promise<void> {
-    await this.decoratedAdapter.awake();
-  }
-
-  dispose(): Promise<void> {
-    return this.decoratedAdapter.dispose();
-  }
-
-  async subscribe(instruments: InstrumentSelector[]): Promise<void> {
-    instruments.forEach(it => {
-      this.streamer.subscribe(it);
-    });
-
-    this.store.dispatch(
-      ...instruments.map(
-        it => new InstrumentSubscriptionEvent(this.timestamp(), it, true)
-      )
-    );
-  }
-
-  account(): Promise<void> {
-    return this.decoratedAdapter.account();
-  }
-
-  open(order: Order): Promise<void> {
-    return this.decoratedAdapter.open(order);
-  }
-
-  cancel(order: Order): Promise<void> {
-    return this.decoratedAdapter.cancel(order);
-  }
-
-  async history(
-    instrument: InstrumentSelector,
-    timeframe: number,
-    length: number
-  ): Promise<Ohlc[]> {
-    this.streamer.stop();
-
-    const response = await this.decoratedAdapter.history(instrument, timeframe, length);
-
-    this.streamer.tryContinue();
-
-    return response;
-  }
-
-  feed(
-    instrument: InstrumentSelector,
-    from: timestamp,
-    to: timestamp,
-    callback: FeedAsyncCallback
-  ): Promise<void> {
-    return this.decoratedAdapter.feed(instrument, from, to, callback);
-  }
-
-  createPaperEngine(adapter: PaperAdapter): PaperEngine {
-    return this.decoratedAdapter.createPaperEngine(adapter);
-  }
-}

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

@@ -1,44 +0,0 @@
-import { instrumentOf } from '../../domain';
-import { d } from '../../shared';
-import { Feed, InMemoryStorage } from '../../storage';
-import { TradePatchEvent } from '../../store';
-import { BacktesterCursor } from './backtester-cursor';
-
-describe('BacktesterCursor', () => {
-  test('should repeat specific events', async () => {
-    const instrument = instrumentOf('binance:btc-usdt');
-    const feed = new Feed(new InMemoryStorage());
-    const cursor = new BacktesterCursor(instrument, feed);
-
-    feed.save([
-      new TradePatchEvent(instrument, d(1), d(1), 1),
-      new TradePatchEvent(instrument, d(2), d(2), 2),
-      new TradePatchEvent(instrument, d(3), d(3), 3),
-      new TradePatchEvent(instrument, d(4), d(4), 4),
-      new TradePatchEvent(instrument, d(5), d(5), 5),
-      new TradePatchEvent(instrument, d(6), d(6), 6),
-      new TradePatchEvent(instrument, d(7), d(7), 7),
-      new TradePatchEvent(instrument, d(8), d(8), 8)
-    ]);
-
-    await cursor.fetchNextPage(0, 4);
-
-    expect(cursor.dequeue()).toEqual(new TradePatchEvent(instrument, d(1), d(1), 1));
-    expect(cursor.dequeue()).toEqual(new TradePatchEvent(instrument, d(2), d(2), 2));
-    expect(cursor.dequeue()).toEqual(new TradePatchEvent(instrument, d(3), d(3), 3));
-    expect(cursor.peek()).toEqual(undefined);
-
-    await cursor.fetchNextPage(3, 7);
-
-    expect(cursor.dequeue()).toEqual(new TradePatchEvent(instrument, d(4), d(4), 4));
-    expect(cursor.dequeue()).toEqual(new TradePatchEvent(instrument, d(5), d(5), 5));
-    expect(cursor.dequeue()).toEqual(new TradePatchEvent(instrument, d(6), d(6), 6));
-    expect(cursor.peek()).toEqual(undefined);
-
-    await cursor.fetchNextPage(6, 10);
-
-    expect(cursor.dequeue()).toEqual(new TradePatchEvent(instrument, d(7), d(7), 7));
-    expect(cursor.dequeue()).toEqual(new TradePatchEvent(instrument, d(8), d(8), 8));
-    expect(cursor.peek()).toEqual(undefined);
-  });
-});

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

@@ -1,47 +0,0 @@
-import { InstrumentSelector } from '../../domain';
-import { timestamp } from '../../shared';
-import { Feed, StorageEvent } from '../../storage';
-import { backtestPageNotEmpty } from '../error';
-
-export class BacktesterCursor {
-  private page = new Array<StorageEvent>();
-  private pageIndex = 0;
-  completed = false;
-
-  get size(): number {
-    return this.page.length - this.pageIndex;
-  }
-
-  constructor(readonly instrument: InstrumentSelector, private readonly feed: Feed) {}
-
-  peek(): StorageEvent | undefined {
-    if (!this.page) {
-      return undefined;
-    }
-
-    return this.page[this.pageIndex];
-  }
-
-  dequeue(): StorageEvent {
-    return this.page[this.pageIndex++];
-  }
-
-  async fetchNextPage(from: timestamp, to: number): Promise<void> {
-    if (this.completed) {
-      return;
-    }
-
-    if (this.size > 0) {
-      throw backtestPageNotEmpty();
-    }
-
-    this.pageIndex = 0;
-    this.page = await this.feed.query(this.instrument, {
-      from,
-      to,
-      count: 10000
-    });
-
-    this.completed = this.page.length == 0;
-  }
-}

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

@@ -1,60 +0,0 @@
-import { Asset, Commission, Instrument } from '../../domain';
-import { d } from '../../shared';
-import { Feed, InMemoryStorage } from '../../storage';
-import { Store, TradePatchEvent } from '../../store';
-import { BacktesterStreamer } from './backtester-streamer';
-
-describe('BacktesterStreamer', () => {
-  const instrument = new Instrument(
-    0,
-    new Asset('btc', 'binance', 8),
-    new Asset('usdt', 'binance', 2),
-    'binance:btc-usdt',
-    Commission.Zero
-  );
-
-  test('should repeat specific events', done => {
-    const feed = new Feed(new InMemoryStorage());
-    const store = new Store();
-
-    store.snapshot.universe.instrument.upsert(instrument);
-    store.snapshot.subscription.instrument.upsert(instrument);
-
-    const streamer = new BacktesterStreamer(
-      store,
-      feed,
-      {
-        from: 0,
-        to: 10
-      },
-      {
-        onBacktestCompleted: () => {
-          const trade = store.snapshot.trade.get(instrument.id) ?? fail();
-
-          expect(trade.timestamp).toEqual(8);
-          expect(trade.rate).toEqual(d(8));
-          expect(trade.quantity).toEqual(d(8));
-          expect(store.snapshot.timestamp).toEqual(8);
-
-          done();
-        }
-      }
-    );
-
-    feed
-      .save([
-        new TradePatchEvent(instrument, d(1), d(1), 1),
-        new TradePatchEvent(instrument, d(2), d(2), 2),
-        new TradePatchEvent(instrument, d(3), d(3), 3),
-        new TradePatchEvent(instrument, d(4), d(4), 4),
-        new TradePatchEvent(instrument, d(5), d(5), 5),
-        new TradePatchEvent(instrument, d(6), d(6), 6),
-        new TradePatchEvent(instrument, d(7), d(7), 7),
-        new TradePatchEvent(instrument, d(8), d(8), 8)
-      ])
-      .then(() => {
-        streamer.subscribe(instrument);
-        streamer.tryContinue();
-      });
-  });
-});

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

@@ -1,155 +0,0 @@
-import { InstrumentSelector } from '../../domain';
-import { timestamp } from '../../shared';
-import { Feed } from '../../storage';
-import { Store } from '../../store';
-import { AdapterTimeProvider } from '../adapter';
-import { BacktesterCursor } from './backtester-cursor';
-import { invalidEventSequenceError, missingPeriodParametersError } from './error';
-
-/**
- * Listen to backtest session events.
- */
-export interface BacktesterListener {
-  /**
-   * Called once when backtest started.
-   */
-  onBacktestStarted?(streamer: BacktesterStreamer): void;
-
-  /**
-   * Called every time when backtest progress updated.
-   */
-  onBacktestUpdated?(streamer: BacktesterStreamer): void;
-
-  /**
-   * Called once when backtest completed.
-   */
-  onBacktestCompleted?(streamer: BacktesterStreamer): void;
-}
-
-export class BacktesterStreamer {
-  private sequenceUpdateBatch = 10000;
-  private cursor: Record<string, BacktesterCursor> = {};
-  private stopAcquire = 1;
-
-  timestamp: timestamp;
-  sequence = 0;
-
-  constructor(
-    private readonly store: Store,
-    private readonly feed: Feed,
-    private readonly period: { from: number; to: number },
-    private readonly listener?: BacktesterListener
-  ) {
-    if (period.from == undefined || period.to == undefined) {
-      throw missingPeriodParametersError();
-    }
-
-    this.timestamp = period.from;
-  }
-
-  getTimeProvider(): AdapterTimeProvider {
-    const provider = {
-      timestamp: () => this.timestamp
-    };
-
-    return provider;
-  }
-
-  subscribe(instrument: InstrumentSelector) {
-    if (instrument.id in this.cursor) {
-      return;
-    }
-
-    const cursor = new BacktesterCursor(instrument, this.feed);
-
-    this.cursor[instrument.id] = cursor;
-  }
-
-  /**
-   * Increments stop counter.
-   */
-  stop() {
-    this.stopAcquire++;
-  }
-
-  /**
-   * Decreases stop counter and continues execution if no more stops requested.
-   */
-  tryContinue() {
-    if (this.stopAcquire == 0) {
-      return;
-    }
-
-    this.stopAcquire = Math.max(0, this.stopAcquire - 1);
-
-    if (this.stopAcquire != 0) {
-      return;
-    }
-
-    if (this.sequence == 0) {
-      if (this.listener?.onBacktestStarted) {
-        this.listener.onBacktestStarted(this);
-      }
-    }
-
-    const next = async () => {
-      if (await this.processNext()) {
-        if (this.sequence % this.sequenceUpdateBatch == 0) {
-          if (this.listener?.onBacktestUpdated) {
-            this.listener.onBacktestUpdated(this);
-          }
-        }
-
-        if (this.stopAcquire === 0) {
-          setImmediate(next);
-        }
-      } else {
-        if (this.listener?.onBacktestCompleted) {
-          this.listener.onBacktestCompleted(this);
-        }
-      }
-    };
-
-    next();
-  }
-
-  private async processNext(): Promise<boolean> {
-    const cursor = await this.current(this.timestamp, this.period.to);
-    if (!cursor) {
-      return false;
-    }
-
-    const event = cursor.peek();
-
-    if (!event) {
-      return false;
-    }
-
-    this.timestamp = event.timestamp;
-    this.sequence++;
-
-    this.store.dispatch(event);
-
-    if (cursor.dequeue().timestamp != event.timestamp) {
-      throw invalidEventSequenceError();
-    }
-
-    return true;
-  }
-
-  private async current(
-    from: timestamp,
-    to: timestamp
-  ): Promise<BacktesterCursor | undefined> {
-    for (const cursor of Object.values(this.cursor)) {
-      if (cursor.size == 0 && !cursor.completed) {
-        await cursor.fetchNextPage(from, to);
-      }
-    }
-
-    return Object.values(this.cursor)
-      .filter(it => it !== undefined)
-      .sort((lhs, rhs) => (lhs?.peek()?.timestamp ?? 0) - (rhs?.peek()?.timestamp ?? 0))
-      .find(() => true);
-  }
-}

package/src/adapter/backtester/error.ts

@@ -1,7 +0,0 @@
-export function missingPeriodParametersError() {
-  return new Error('invalid backtest options, please provide from and to period.');
-}
-
-export function invalidEventSequenceError() {
-  return new Error('invalid event to consume');
-}

package/src/adapter/backtester/index.ts

@@ -1,2 +0,0 @@
-export * from './backtester-adapter';
-export * from './backtester-streamer';

package/src/adapter/error.ts

@@ -1,13 +0,0 @@
-export function adapterNotFoundError(adapterName: string) {
-  return new Error(
-    `Unknown adapter: ${adapterName}. You should provide adapter in session descriptor.`
-  );
-}
-
-export function noPaperEngineProvidedError() {
-  return new Error('No paper engine provided.');
-}
-
-export function backtestPageNotEmpty() {
-  return new Error('Backtest page is not empty');
-}

package/src/adapter/index.ts

@@ -1,4 +0,0 @@
-export * from './adapter';
-export * from './adapter-aggregate';
-export * from './backtester';
-export * from './paper';