@quantform/core 0.6.7 → 0.7.0-beta.5

package/src/adapter/paper/index.ts

@@ -1,2 +0,0 @@
-export * from '@lib/adapter/paper/paper-adapter';
-export * from '@lib/adapter/paper/engine/paper-engine';

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

@@ -1,118 +0,0 @@
-import {
-  Adapter,
-  AdapterFactory,
-  FeedAsyncCallback,
-  NoPaperEngineProvidedError,
-  PaperEngine
-} from '@lib/adapter';
-import { assetOf, InstrumentSelector, Ohlc, Order } from '@lib/domain';
-import { d, decimal, timestamp } from '@lib/shared';
-import { BalanceLoadEvent, OrderNewEvent, Store } from '@lib/store';
-
-export interface PaperOptions {
-  balance: { [key: string]: decimal };
-}
-
-export function createPaperAdapterFactory(
-  decoratedAdapterFactory: AdapterFactory,
-  options: PaperOptions
-): AdapterFactory {
-  return (timeProvider, store, cache) =>
-    new PaperAdapter(decoratedAdapterFactory(timeProvider, store, cache), store, options);
-}
-
-export class PaperAdapter extends Adapter {
-  readonly name = this.decoratedAdapter.name;
-  private engine?: PaperEngine;
-
-  constructor(
-    readonly decoratedAdapter: Adapter,
-    readonly store: Store,
-    readonly options: PaperOptions
-  ) {
-    super({
-      timestamp: () => this.decoratedAdapter.timestamp()
-    });
-  }
-
-  async awake(): Promise<void> {
-    this.engine = this.createPaperEngine(this);
-
-    await this.decoratedAdapter.awake();
-  }
-
-  dispose(): Promise<void> {
-    return this.decoratedAdapter.dispose();
-  }
-
-  subscribe(instruments: InstrumentSelector[]): Promise<void> {
-    return this.decoratedAdapter.subscribe(instruments);
-  }
-
-  async account(): Promise<void> {
-    let subscribed = Object.values(this.store.snapshot.subscription.asset).filter(
-      it => it.adapterName == this.name
-    );
-
-    for (const balance in this.options.balance) {
-      const asset = assetOf(balance);
-
-      if (asset.adapterName != this.name) {
-        continue;
-      }
-
-      const free = this.options.balance[balance];
-
-      subscribed = subscribed.filter(it => it.id != asset.id);
-
-      this.store.dispatch(new BalanceLoadEvent(asset, free, d.Zero, this.timestamp()));
-    }
-
-    for (const missingAsset of subscribed) {
-      this.store.dispatch(
-        new BalanceLoadEvent(missingAsset, d.Zero, d.Zero, this.timestamp())
-      );
-    }
-  }
-
-  async open(order: Order): Promise<void> {
-    if (!this.engine) {
-      throw new NoPaperEngineProvidedError();
-    }
-
-    const { timestamp } = this.store.snapshot;
-
-    this.store.dispatch(new OrderNewEvent(order, timestamp));
-
-    this.engine.open(order);
-  }
-
-  async cancel(order: Order): Promise<void> {
-    if (!this.engine) {
-      throw new NoPaperEngineProvidedError();
-    }
-
-    this.engine.cancel(order);
-  }
-
-  history(
-    instrument: InstrumentSelector,
-    timeframe: number,
-    length: number
-  ): Promise<Ohlc[]> {
-    return this.decoratedAdapter.history(instrument, timeframe, length);
-  }
-
-  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/cli/test.ts

@@ -1,41 +0,0 @@
-import { join } from 'path';
-
-import build from '@lib/cli/build';
-import { buildDirectory } from '@lib/cli/internal/workspace';
-import { SessionBuilder } from '@lib/domain';
-import { spawn } from '@lib/index';
-import { log, now } from '@lib/shared';
-
-export default async function (name: string, options: any) {
-  if (await build()) {
-    return;
-  }
-
-  await import(join(buildDirectory(), 'index'));
-
-  const builder = new SessionBuilder().useSessionId(
-    options.id ? Number(options.id) : now()
-  );
-
-  const rules = await spawn(name, builder);
-  const logger = log('backtester');
-
-  const startTime = performance.now();
-
-  const [session, backtester] = builder.backtest({
-    onBacktestStarted: () => logger.info(`new session ${session.id} started`),
-    onBacktestCompleted: async () => {
-      await session.dispose();
-
-      const seconds = ((performance.now() - startTime) / 1000).toFixed(3);
-
-      logger.info(`session ${session.id} completed in ${seconds}s`);
-    }
-  });
-
-  await session.awake();
-
-  rules(session).subscribe();
-
-  backtester.tryContinue();
-}

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

@@ -1,23 +0,0 @@
-import { Subject } from 'rxjs';
-
-import { Asset, Balance, balance, Component } from '@lib/domain';
-import { State } from '@lib/store';
-
-describe(balance.name, () => {
-  const timestamp = 0;
-  const asset = new Asset('abc', 'xyz', 4);
-  const state = new State();
-
-  beforeEach(() => {
-    state.balance.upsert(new Balance(timestamp, asset));
-  });
-
-  test('should pipe a balance snapshot when subscribed', done => {
-    new Subject<Component>().pipe(balance(asset, state)).subscribe({
-      next: it => {
-        expect(it.asset).toEqual(asset);
-        done();
-      }
-    });
-  });
-});

package/src/domain/balance-operator.ts

@@ -1,14 +0,0 @@
-import { filter, map, Observable, startWith } from 'rxjs';
-
-import { AssetSelector, Balance, Component } from '@lib/domain';
-import { State } from '@lib/store';
-
-export function balance(selector: AssetSelector, state: State) {
-  return (source$: Observable<Component>) =>
-    source$.pipe(
-      startWith(state.balance.get(selector.id)),
-      filter(it => it !== undefined && it.type === Balance.type),
-      map(it => it as Balance),
-      filter(it => it.asset.id === selector.id)
-    );
-}

package/src/domain/balance.spec.ts

@@ -1,46 +0,0 @@
-import { Asset, Balance, Commission, Instrument, Position } from '@lib/domain';
-import { d } from '@lib/shared';
-
-describe(Balance.name, () => {
-  const asset = new Asset('abc', 'xyz', 4);
-  const instrument = new Instrument(
-    0,
-    new Asset('abc', 'xyz', 4),
-    new Asset('def', 'xyz', 4),
-    'abc-def',
-    Commission.Zero
-  );
-
-  test('should construct empty balance', () => {
-    const sut = new Balance(0, asset);
-
-    expect(sut.asset.id).toEqual('xyz:abc');
-    expect(sut.free).toEqual(d.Zero);
-    expect(sut.locked).toEqual(d.Zero);
-    expect(Object.keys(sut.position).length).toEqual(0);
-  });
-
-  test('should construct balance', () => {
-    const sut = new Balance(1, asset, d(100));
-
-    expect(sut.asset.id).toEqual('xyz:abc');
-    expect(sut.free).toEqual(d(100));
-    expect(sut.locked).toEqual(d(0));
-    expect(sut.total).toEqual(d(100));
-    expect(Object.keys(sut.position).length).toEqual(0);
-  });
-
-  test('should return correct estimated unrealized pnl', () => {
-    const position = new Position(0, '1', instrument, 'CROSS', d(2511.81), d(10.31), 20);
-
-    position.calculateEstimatedUnrealizedPnL(d(2576.44));
-
-    const sut = new Balance(0, asset, d(100));
-
-    sut.position['1'] = position;
-
-    expect(sut.getEstimatedUnrealizedPnL()).toEqual(d(0.2652));
-    expect(sut.free).toEqual(d(100).add(d(0.2652)));
-    expect(sut.total).toEqual(d(100).add(d(0.2652)));
-  });
-});

package/src/domain/balance.ts

@@ -1,110 +0,0 @@
-import { Asset, Component, Position, PositionMode } from '@lib/domain';
-import { d, decimal, hash } from '@lib/shared';
-
-export interface Fundable {
-  id: string;
-  getFundingAmount(balance: Balance): decimal;
-}
-
-/**
- * Represents single asset balance in your wallet.
- */
-export class Balance implements Component {
-  static type = hash(Balance.name);
-  readonly type = Balance.type;
-
-  id: string;
-
-  private transientFunding: Record<string, Fundable> = {};
-
-  /**
-   * Returns available amount to trade.
-   */
-  get free(): decimal {
-    return this.available.add(this.getEstimatedUnrealizedPnL('CROSS'));
-  }
-
-  /**
-   * Return locked amount for order.
-   */
-  get locked(): decimal {
-    return this.unavailable;
-  }
-
-  /**
-   * Return total amount of asset in wallet.
-   * Represents a sum of free, locked and opened positions.
-   */
-  get total(): decimal {
-    return this.available.plus(this.unavailable).plus(this.getEstimatedUnrealizedPnL());
-  }
-
-  /**
-   * Collection of opened positions backed by this balance.
-   */
-  readonly position: Record<string, Position> = {};
-
-  constructor(
-    public timestamp: number,
-    public readonly asset: Asset,
-    public available: decimal = d.Zero,
-    public unavailable: decimal = d.Zero
-  ) {
-    this.id = asset.id;
-  }
-
-  /**
-   * Returns unrealized profit and loss for all positions backed by this balance.
-   */
-  getEstimatedUnrealizedPnL(mode?: PositionMode): decimal {
-    return Object.values(this.position).reduce(
-      (aggregate, position) =>
-        aggregate.add(
-          mode && mode != position.mode
-            ? d.Zero
-            : position.estimatedUnrealizedPnL ?? d.Zero
-        ),
-      d.Zero
-    );
-  }
-
-  getEstimatedMargin(mode?: PositionMode): decimal {
-    return Object.values(this.position).reduce(
-      (aggregate, position) =>
-        (aggregate = aggregate.add(mode && mode != position.mode ? 0 : position.margin)),
-      d.Zero
-    );
-  }
-
-  tryAddTransientFunding(fundable: Fundable) {
-    if (fundable.id in this.transientFunding) {
-      return false;
-    }
-
-    this.transientFunding[fundable.id] = fundable;
-
-    const funding = fundable.getFundingAmount(this);
-
-    this.available = this.available.minus(funding);
-    this.unavailable = this.unavailable.plus(funding);
-
-    return true;
-  }
-
-  tryRemoveTransientFunding(fundable: Fundable) {
-    if (!(fundable.id in this.transientFunding)) {
-      return false;
-    }
-
-    const funding = fundable.getFundingAmount(this);
-
-    this.available = this.available.plus(funding);
-    this.unavailable = this.unavailable.minus(funding);
-
-    return true;
-  }
-
-  clearTransientFunding() {
-    this.transientFunding = {};
-  }
-}

package/src/domain/component.ts

@@ -1,6 +0,0 @@
-import { timestamp } from '@lib/shared';
-
-export interface Component {
-  readonly type: number;
-  readonly timestamp: timestamp;
-}

package/src/domain/index.ts

@@ -1,21 +0,0 @@
-export * from '@lib/domain/asset';
-export * from '@lib/domain/balance';
-export * from '@lib/domain/balance-operator';
-export * from '@lib/domain/error';
-export * from '@lib/domain/ohlc';
-export * from '@lib/domain/ohlc-operator';
-export * from '@lib/domain/commission';
-export * from '@lib/domain/component';
-export * from '@lib/domain/instrument';
-export * from '@lib/domain/instrument-operator';
-export * from '@lib/domain/order';
-export * from '@lib/domain/order-operator';
-export * from '@lib/domain/orderbook';
-export * from '@lib/domain/orderbook-operator';
-export * from '@lib/domain/position';
-export * from '@lib/domain/position-operator';
-export * from '@lib/domain/session';
-export * from '@lib/domain/session-builder';
-export * from '@lib/domain/timeframe';
-export * from '@lib/domain/trade';
-export * from '@lib/domain/trade-operator';

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

@@ -1,38 +0,0 @@
-import { Subject } from 'rxjs';
-
-import {
-  Asset,
-  Commission,
-  Component,
-  Instrument,
-  instrument,
-  instrumentOf
-} from '@lib/domain';
-import { State } from '@lib/store';
-
-describe(instrument.name, () => {
-  const state = new State();
-
-  beforeEach(() => {
-    state.universe.instrument.upsert(
-      new Instrument(
-        0,
-        new Asset('abc', 'xyz', 4),
-        new Asset('def', 'xyz', 4),
-        'abc-def',
-        Commission.Zero
-      )
-    );
-  });
-
-  test('should pipe an instrument on subscription', done => {
-    new Subject<Component>()
-      .pipe(instrument(instrumentOf('xyz:abc-def'), state))
-      .subscribe({
-        next: it => {
-          expect(it.id).toEqual('xyz:abc-def');
-          done();
-        }
-      });
-  });
-});

package/src/domain/instrument-operator.ts

@@ -1,25 +0,0 @@
-import { distinctUntilChanged, filter, map, Observable, startWith } from 'rxjs';
-
-import { Component, Instrument, InstrumentSelector } from '@lib/domain';
-import { State } from '@lib/store';
-
-export function instrument(selector: InstrumentSelector, state: State) {
-  return (source$: Observable<Component>) =>
-    source$.pipe(
-      startWith(state.universe.instrument.get(selector.id)),
-      filter(it => it !== undefined && it.type === Instrument.type),
-      map(it => it as Instrument),
-      filter(it => it.id == selector.id)
-    );
-}
-
-export function instruments(state: State) {
-  return (source$: Observable<Component>) =>
-    source$.pipe(
-      filter(it => it.type === Instrument.type),
-      map(() => state.universe.instrument.asReadonlyArray()),
-      startWith(state.universe.instrument.asReadonlyArray()),
-      filter(it => it.length > 0),
-      distinctUntilChanged((lhs, rhs) => lhs.length == rhs.length)
-    );
-}

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

@@ -1,89 +0,0 @@
-import { BehaviorSubject, map, Subject } from 'rxjs';
-
-import {
-  Asset,
-  Commission,
-  Component,
-  Instrument,
-  Order,
-  order,
-  orders,
-  positions
-} from '@lib/domain';
-import { d } from '@lib/shared';
-import { InnerSet, State } from '@lib/store';
-
-const instrument = new Instrument(
-  0,
-  new Asset('abc', 'xyz', 4),
-  new Asset('def', 'xyz', 4),
-  'abc-def',
-  Commission.Zero
-);
-
-describe(order.name, () => {
-  test('should pipe an order', done => {
-    new BehaviorSubject<Component>(new Order(0, '1', instrument, d(-100), 0))
-      .pipe(order(instrument))
-      .subscribe({
-        next: it => {
-          expect(it.instrument).toEqual(instrument);
-          expect(it.quantity).toEqual(d(-100));
-          done();
-        }
-      });
-  });
-
-  test('should skip a pipe', done => {
-    new BehaviorSubject<Component>(instrument).pipe(order(instrument)).subscribe({
-      next: () => fail(),
-      complete: done()
-    });
-  });
-});
-
-describe(positions.name, () => {
-  let state: State;
-  let order1: Order, order2: Order, order3: Order;
-
-  beforeEach(() => {
-    state = new State();
-
-    order1 = new Order(0, '1', instrument, d(-100), 0);
-    order2 = new Order(0, '2', instrument, d(100), 0, d(10));
-    order3 = new Order(0, '3', instrument, d(100), 0);
-
-    state.order.upsert(new InnerSet<Order>(instrument.id, [order1, order2, order3]));
-  });
-
-  test('should pipe all orders on subscription start', done => {
-    order1.state = 'NEW';
-    order2.state = 'NEW';
-    order3.state = 'NEW';
-
-    new Subject<Component>().pipe(orders(instrument, state)).subscribe({
-      next: it => {
-        expect(it.length).toEqual(3);
-        done();
-      }
-    });
-  });
-
-  test('should pipe pending orders on subscription start', done => {
-    order1.state = 'NEW';
-    order2.state = 'PENDING';
-    order3.state = 'PENDING';
-
-    new Subject<Component>()
-      .pipe(
-        orders(instrument, state),
-        map(it => it.filter(order => order.state === 'PENDING'))
-      )
-      .subscribe({
-        next: it => {
-          expect(it.length).toEqual(2);
-          done();
-        }
-      });
-  });
-});

package/src/domain/order-operator.ts

@@ -1,24 +0,0 @@
-import { filter, map, Observable, startWith } from 'rxjs';
-
-import { Component, InstrumentSelector, Order } from '@lib/domain';
-import { State } from '@lib/store';
-
-export function order(selector: InstrumentSelector) {
-  return (source$: Observable<Component>) =>
-    source$.pipe(
-      filter(it => it !== undefined && it.type === Order.type),
-      map(it => it as Order),
-      filter(it => it.instrument.id === selector.id)
-    );
-}
-
-export function orders(selector: InstrumentSelector, state: State) {
-  return (source$: Observable<Component>) =>
-    source$.pipe(
-      filter(it => it.type === Order.type),
-      map(it => it as Order),
-      filter(it => it.instrument.id === selector.id),
-      map(() => state.order.get(selector.id)?.asReadonlyArray() ?? []),
-      startWith(state.order.get(selector.id)?.asReadonlyArray() ?? [])
-    );
-}

package/src/domain/order.spec.ts

@@ -1,40 +0,0 @@
-import { Asset, Commission, Instrument, Order } from '@lib/domain';
-import { d } from '@lib/shared';
-
-describe(Order.name, () => {
-  const instrument = new Instrument(
-    0,
-    new Asset('abc', 'xyz', 4),
-    new Asset('def', 'xyz', 4),
-    'abc-def',
-    Commission.Zero
-  );
-
-  test('should construct a market buy order', () => {
-    const sut = new Order(0, '1', instrument, d(100), 0);
-
-    expect(sut.quantity).toEqual(d(100));
-    expect(sut.rate).toEqual(undefined);
-  });
-
-  test('should construct a market sell order', () => {
-    const sut = new Order(0, '1', instrument, d(-100), 0);
-
-    expect(sut.quantity).toEqual(d(-100));
-    expect(sut.rate).toEqual(undefined);
-  });
-
-  test('should construct a limit buy order', () => {
-    const sut = new Order(0, '1', instrument, d(100), 0, d(2000));
-
-    expect(sut.quantity).toEqual(d(100));
-    expect(sut.rate).toEqual(d(2000));
-  });
-
-  test('should construct a limit sell order', () => {
-    const sut = new Order(0, '1', instrument, d(-100), 0, d(2000));
-
-    expect(sut.quantity).toEqual(d(-100));
-    expect(sut.rate).toEqual(d(2000));
-  });
-});

package/src/domain/order.ts

@@ -1,65 +0,0 @@
-import {
-  Balance,
-  Component,
-  Fundable,
-  Instrument,
-  InvalidArgumentsError
-} from '@lib/domain';
-import { d, decimal, hash } from '@lib/shared';
-
-export type OrderState =
-  | 'NEW'
-  | 'PENDING'
-  | 'FILLED'
-  | 'CANCELING'
-  | 'CANCELED'
-  | 'REJECTED';
-
-export class Order implements Fundable, Component {
-  static type = hash(Order.name);
-  readonly type = Order.type;
-
-  state: OrderState = 'NEW';
-  quantityExecuted = d.Zero;
-  averageExecutionRate?: decimal;
-  externalId?: string;
-
-  constructor(
-    public timestamp: number,
-    readonly id: string,
-    readonly instrument: Instrument,
-    readonly quantity: decimal,
-    public createdAt: number,
-    readonly rate?: decimal,
-    readonly stopRate?: decimal
-  ) {
-    if (!quantity || Number.isNaN(quantity)) {
-      throw new InvalidArgumentsError({ quantity });
-    }
-
-    if (rate && rate.lessThanOrEqualTo(0)) {
-      throw new InvalidArgumentsError({ rate });
-    }
-  }
-
-  getFundingAmount(balance: Balance): decimal {
-    const quantityLeft = this.quantity.abs().minus(this.quantityExecuted);
-
-    if (
-      this.instrument.quote.id === balance.asset.id &&
-      this.quantity.greaterThan(d.Zero)
-    ) {
-      if (this.rate) {
-        return quantityLeft.mul(this.rate).abs();
-      }
-
-      return balance.free;
-    }
-
-    if (this.instrument.base.id === balance.asset.id && this.quantity.lessThan(d.Zero)) {
-      return quantityLeft;
-    }
-
-    return d.Zero;
-  }
-}