@quantform/core 0.6.7 → 0.7.0-beta.5

package/dist/use-timestamp.d.ts

@@ -0,0 +1,2 @@
+export declare function useTimestamp(): number;
+//# sourceMappingURL=use-timestamp.d.ts.map

package/dist/use-timestamp.d.ts.map

@@ -0,0 +1 @@
+{"version":3,"file":"use-timestamp.d.ts","sourceRoot":"","sources":["../src/use-timestamp.ts"],"names":[],"mappings":"AAGA,wBAAgB,YAAY,WAQ3B"}

package/dist/use-timestamp.js

@@ -0,0 +1,13 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.useTimestamp = void 0;
+const use_replay_coordinator_1 = require("./replay/use-replay-coordinator");
+const use_execution_mode_1 = require("./use-execution-mode");
+function useTimestamp() {
+    const { isReplay } = (0, use_execution_mode_1.useExecutionMode)();
+    if (isReplay) {
+        return (0, use_replay_coordinator_1.useReplayCoordinator)().timestamp();
+    }
+    return Date.now();
+}
+exports.useTimestamp = useTimestamp;

package/dist/use.d.ts

@@ -0,0 +1,5 @@
+import { Observable } from 'rxjs';
+import { dependency } from './use-hash';
+export declare function use<T extends Array<dependency>, U>(fn: (...args: T) => U): (...args: T) => U;
+export declare function use<T extends Array<dependency>, U>(fn: (...args: T) => Observable<U>): (...args: T) => Observable<U>;
+//# sourceMappingURL=use.d.ts.map

package/dist/use.d.ts.map

@@ -0,0 +1 @@
+{"version":3,"file":"use.d.ts","sourceRoot":"","sources":["../src/use.ts"],"names":[],"mappings":"AAAA,OAAO,EAAgB,UAAU,EAAe,MAAM,MAAM,CAAC;AAK7D,OAAO,EAAE,UAAU,EAAE,MAAM,YAAY,CAAC;AAGxC,wBAAgB,GAAG,CAAC,CAAC,SAAS,KAAK,CAAC,UAAU,CAAC,EAAE,CAAC,EAChD,EAAE,EAAE,CAAC,GAAG,IAAI,EAAE,CAAC,KAAK,CAAC,GACpB,CAAC,GAAG,IAAI,EAAE,CAAC,KAAK,CAAC,CAAC;AACrB,wBAAgB,GAAG,CAAC,CAAC,SAAS,KAAK,CAAC,UAAU,CAAC,EAAE,CAAC,EAChD,EAAE,EAAE,CAAC,GAAG,IAAI,EAAE,CAAC,KAAK,UAAU,CAAC,CAAC,CAAC,GAChC,CAAC,GAAG,IAAI,EAAE,CAAC,KAAK,UAAU,CAAC,CAAC,CAAC,CAAC"}

package/dist/use.js

@@ -0,0 +1,20 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.use = void 0;
+const rxjs_1 = require("rxjs");
+const uuid_1 = require("uuid");
+const as_readonly_1 = require("./as-readonly");
+const module_1 = require("./module");
+const use_memo_1 = require("./use-memo");
+function use(fn) {
+    (0, module_1.throwWithContext)();
+    const uniqueId = (0, uuid_1.v4)();
+    return (...args) => (0, use_memo_1.useMemo)(() => {
+        const value = fn(...args);
+        if ((0, rxjs_1.isObservable)(value)) {
+            return value.pipe((0, as_readonly_1.asReadonly)(), (0, rxjs_1.shareReplay)(1));
+        }
+        return value;
+    }, [uniqueId, ...args]);
+}
+exports.use = use;

package/dist/use.spec.d.ts

@@ -0,0 +1,2 @@
+export {};
+//# sourceMappingURL=use.spec.d.ts.map

package/dist/use.spec.d.ts.map

@@ -0,0 +1 @@
+{"version":3,"file":"use.spec.d.ts","sourceRoot":"","sources":["../src/use.spec.ts"],"names":[],"mappings":""}

package/dist/use.spec.js

@@ -0,0 +1,47 @@
+"use strict";
+var __awaiter = (this && this.__awaiter) || function (thisArg, _arguments, P, generator) {
+    function adopt(value) { return value instanceof P ? value : new P(function (resolve) { resolve(value); }); }
+    return new (P || (P = Promise))(function (resolve, reject) {
+        function fulfilled(value) { try { step(generator.next(value)); } catch (e) { reject(e); } }
+        function rejected(value) { try { step(generator["throw"](value)); } catch (e) { reject(e); } }
+        function step(result) { result.done ? resolve(result.value) : adopt(result.value).then(fulfilled, rejected); }
+        step((generator = generator.apply(thisArg, _arguments || [])).next());
+    });
+};
+Object.defineProperty(exports, "__esModule", { value: true });
+const make_test_module_1 = require("./make-test-module");
+const instrument_1 = require("./instrument");
+const use_1 = require("./use");
+describe(use_1.use.name, () => {
+    let fixtures;
+    beforeEach(() => __awaiter(void 0, void 0, void 0, function* () {
+        fixtures = yield getFixtures();
+    }));
+    test('memorize same values for same arguments', () => {
+        const { act, getValue } = fixtures;
+        act(() => {
+            const value1 = getValue((0, instrument_1.instrumentOf)('binance:btc-usdt'));
+            const value2 = getValue((0, instrument_1.instrumentOf)('binance:btc-usdt'));
+            expect(Object.is(value1, value2)).toBeTruthy();
+        });
+    });
+    test('memorize different values for different arguments', () => {
+        const { act, getValue } = fixtures;
+        act(() => {
+            const value1 = getValue((0, instrument_1.instrumentOf)('binance:btc-usdt'));
+            const value2 = getValue((0, instrument_1.instrumentOf)('binance:btc-busd'));
+            expect(value1).toEqual('binance:btc-usdt');
+            expect(value2).toEqual('binance:btc-busd');
+        });
+    });
+});
+function getFixtures() {
+    return __awaiter(this, void 0, void 0, function* () {
+        const { act } = yield (0, make_test_module_1.makeTestModule)([]);
+        const getValue = (0, use_1.use)((instrument) => instrument.id);
+        return {
+            act,
+            getValue: act(() => (instrument) => getValue(instrument))
+        };
+    });
+}

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "@quantform/core",
-  "version": "0.6.7",
+  "version": "0.7.0-beta.5",
   "license": "MIT",
   "author": "Mateusz Majchrzak",
   "description": "Node.js library for building systematic trading strategies in reactive way.",
@@ -17,21 +17,24 @@
   "main": "dist/index.js",
   "typings": "dist/index.d.ts",
   "dependencies": {
-    "@swc/cli": "^0.1.57",
-    "@swc/core": "^1.3.1",
+    "@swc/cli": "^0.1.62",
+    "@swc/core": "^1.3.44",
+    "@types/ws": "^8.5.4",
     "chalk": "4.1.2",
-    "cli-progress": "^3.11.2",
-    "commander": "^9.4.0",
-    "decimal.js": "^10.4.1",
+    "cli-progress": "^3.12.0",
+    "commander": "^10.0.0",
+    "decimal.js": "^10.4.3",
     "node-watch": "^0.7.3",
-    "ts-retry": "^2.4.5",
-    "uuid": "^9.0.0"
+    "reflect-metadata": "^0.1.13",
+    "tsyringe": "^4.7.0",
+    "undici": "^5.21.0",
+    "ws": "^8.13.0"
   },
   "devDependencies": {
     "@types/cli-progress": "^3.11.0",
     "@types/tsc-watch": "^4.2.0",
-    "@types/uuid": "^8.3.4",
-    "rxjs": "^7.5.6"
+    "@types/uuid": "^9.0.1",
+    "rxjs": "^7.8.0"
   },
   "peerDependencies": {
     "rxjs": "^7.5.6"

package/src/as-readonly.ts

@@ -0,0 +1,5 @@
+import { map, Observable } from 'rxjs';
+
+export function asReadonly<T>() {
+  return (input: Observable<T>) => input.pipe(map(it => it as Readonly<T>));
+}

package/src/{domain → asset}/asset.spec.ts

@@ -1,4 +1,4 @@
-import { Asset, assetOf, AssetSelector } from '@lib/domain';
+import { Asset, assetOf, AssetSelector } from '@lib/component';
 import { d } from '@lib/shared';
 
 describe(Asset.name, () => {

package/src/{domain → asset}/asset.ts

@@ -1,4 +1,4 @@
-import { InvalidArgumentsError, InvalidAssetSelectorError } from '@lib/domain';
+import { InvalidArgumentsError, InvalidAssetSelectorError } from '@lib/component';
 import { d, decimal } from '@lib/shared';
 
 export const AssetSelectorSeparator = ':';
@@ -24,6 +24,10 @@ export class AssetSelector {
     this.adapterName = adapterName.toLowerCase();
     this.id = `${this.adapterName}${AssetSelectorSeparator}${this.name}`;
   }
+
+  toString() {
+    return this.id;
+  }
 }
 
 /**

package/src/asset/index.ts

@@ -0,0 +1 @@
+export * from '@lib/asset/asset';

package/src/cli/dev.ts

@@ -1,26 +1,31 @@
 import { join } from 'path';
+import { lastValueFrom } from 'rxjs';
 
 import build from '@lib/cli/build';
 import { buildDirectory } from '@lib/cli/internal/workspace';
-import { SessionBuilder } from '@lib/domain';
-import { spawn } from '@lib/index';
-import { now } from '@lib/shared';
+import { core } from '@lib/core';
+import { Module } from '@lib/module';
+import { strat } from '@lib/strat';
+import { paperExecutionMode } from '@lib/use-execution-mode';
 
 export default async function (name: string, options: any) {
   if (await build()) {
     return;
   }
 
-  await import(join(buildDirectory(), 'index'));
+  const script = (await import(join(buildDirectory(), name))).default as ReturnType<
+    typeof strat
+  >;
 
-  const builder = new SessionBuilder().useSessionId(
-    options.id ? Number(options.id) : now()
-  );
+  const module = new Module([
+    ...core(),
+    ...script.dependencies,
+    paperExecutionMode({ recording: false })
+  ]);
 
-  const rules = await spawn(name, builder);
+  const { act } = await module.awake();
 
-  const session = builder.paper();
-  await session.awake();
+  const output = await act(() => lastValueFrom(script.fn()));
 
-  rules(session).subscribe();
+  console.log(output);
 }

package/src/cli/index.ts

@@ -7,8 +7,8 @@ import watch from 'node-watch';
 import build from '@lib/cli/build';
 import dev from '@lib/cli/dev';
 import pull from '@lib/cli/pull';
+import test from '@lib/cli/replay';
 import run from '@lib/cli/run';
-import test from '@lib/cli/test';
 
 program
   .command('build')
@@ -34,7 +34,7 @@ program
   .action(dev);
 
 program
-  .command('test')
+  .command('replay')
   .description('executes strategy in backtesting mode for specified period')
   .argument('<name>', 'strategy to execute')
   .option('-f, --from <from>', 'date from')
@@ -70,7 +70,7 @@ if (process.argv.length < 3) {
       }
 
       child = spawn('node', argv, {
-        stdio: ['inherit', 'inherit', 'inherit', 'ipc']
+        stdio: 'pipe'
       });
     };
 

package/src/cli/pull.ts

@@ -1,13 +1,12 @@
-import { Presets, SingleBar } from 'cli-progress';
 import { join } from 'path';
 
 import build from '@lib/cli/build';
 import { buildDirectory } from '@lib/cli/internal/workspace';
-import { instrumentOf } from '@lib/domain';
-import { SessionBuilder } from '@lib/domain';
-import { spawn } from '@lib/index';
-import { now } from '@lib/shared';
-import { Feed } from '@lib/storage';
+import { core } from '@lib/core';
+import { Module } from '@lib/module';
+import { strat } from '@lib/strat';
+import { paperExecutionMode } from '@lib/use-execution-mode';
+import { token } from '@lib/use-memo';
 
 export default async function (name: string, instrument: string, options: any) {
   if (await build()) {
@@ -15,7 +14,20 @@ export default async function (name: string, instrument: string, options: any) {
   }
   await import(join(buildDirectory(), 'index'));
 
-  const builder = new SessionBuilder().useSessionId(
+  const script = (await import(join(buildDirectory(), name))) as ReturnType<typeof strat>;
+
+  const module = new Module([
+    ...core(),
+    ...script.dependencies,
+    paperExecutionMode({ recording: false })
+  ]);
+
+  const { act } = await module.awake();
+
+  const o = await act(() => script.fn());
+  console.log(module.get<any>(token));
+
+  /*const builder = new SessionBuilder().useSessionId(
     options.id ? Number(options.id) : now()
   );
 
@@ -59,5 +71,5 @@ export default async function (name: string, instrument: string, options: any) {
 
   await session.dispose();
 
-  console.timeLog('Pulling completed in');
+  console.timeLog('Pulling completed in');*/
 }

package/src/cli/replay.ts

@@ -0,0 +1,31 @@
+import { join } from 'path';
+import { lastValueFrom } from 'rxjs';
+
+import build from '@lib/cli/build';
+import { buildDirectory } from '@lib/cli/internal/workspace';
+import { core } from '@lib/core';
+import { Dependency, Module } from '@lib/module';
+import { replayOptions } from '@lib/replay';
+import { replayExecutionMode } from '@lib/use-execution-mode';
+
+export default async function (name: string, options: any) {
+  if (await build()) {
+    return;
+  }
+
+  const script = await import(join(buildDirectory(), name));
+  const dependencies = script.module2 as Dependency[];
+
+  const module = new Module([
+    ...core(),
+    ...dependencies,
+    replayOptions({ from: 0, to: Number.MAX_VALUE }),
+    replayExecutionMode()
+  ]);
+
+  const { act } = await module.awake();
+
+  const output = await act(() => lastValueFrom(script.default(options)));
+
+  console.log(output);
+}

package/src/cli/run.ts

@@ -1,25 +1,29 @@
 import { join } from 'path';
+import { lastValueFrom } from 'rxjs';
 
 import build from '@lib/cli/build';
 import { buildDirectory } from '@lib/cli/internal/workspace';
-import { SessionBuilder } from '@lib/domain';
-import { spawn } from '@lib/index';
-import { now } from '@lib/shared';
+import { core } from '@lib/core';
+import { Dependency, Module } from '@lib/module';
+import { liveExecutionMode } from '@lib/use-execution-mode';
 
 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 script = await import(join(buildDirectory(), name));
+  const dependencies = script.module2 as Dependency[];
 
-  const rules = await spawn(name, builder);
+  const module = new Module([
+    ...core(),
+    ...dependencies,
+    liveExecutionMode({ recording: true })
+  ]);
 
-  const session = builder.live();
-  await session.awake();
+  const { act } = await module.awake();
 
-  rules(session).subscribe();
+  const output = await act(() => lastValueFrom(script.default(options)));
+
+  console.log(output);
 }

package/src/component/distinct-until-timesamp-changed.ts

@@ -0,0 +1,11 @@
+import { filter, Observable, tap } from 'rxjs';
+
+export function distinctUntilTimestampChanged<T extends { timestamp: number }>() {
+  let prevTimestamp: number | undefined;
+
+  return (stream: Observable<T>) =>
+    stream.pipe(
+      filter(it => prevTimestamp === undefined || it.timestamp > prevTimestamp),
+      tap(it => (prevTimestamp = it.timestamp))
+    );
+}

package/src/{domain → component}/error.ts

@@ -9,7 +9,7 @@ export class InsufficientFundsError extends Error {
 }
 
 export class InvalidArgumentsError extends Error {
-  constructor(argName: Record<any, unknown>) {
+  constructor(argName: Record<string, unknown>) {
     super(`invalid arguments: ${argName}`);
   }
 }

package/src/component/index.ts

@@ -0,0 +1,7 @@
+export * from '@lib/asset';
+export * from '@lib/component/error';
+export * from '@lib/component/ohlc';
+export * from '@lib/component/ohlc-operator';
+export * from '@lib/instrument';
+export * from '@lib/component/timeframe';
+export * from '@lib/component/distinct-until-timesamp-changed';

package/src/{domain → component}/ohlc-operator.spec.ts

@@ -1,6 +1,6 @@
 import { from } from 'rxjs';
 
-import { mergeOhlc, Ohlc, ohlc, ohlcCompleted } from '@lib/domain';
+import { mergeOhlc, Ohlc, ohlc, ohlcCompleted } from '@lib/component';
 import { d } from '@lib/shared';
 
 describe(ohlc.name, () => {

package/src/{domain → component}/ohlc-operator.ts

@@ -11,7 +11,7 @@ import {
   switchMap
 } from 'rxjs';
 
-import { Ohlc, tf } from '@lib/domain';
+import { Ohlc, tf } from '@lib/component';
 import { decimal } from '@lib/shared';
 
 function aggregate(

package/src/{domain → component}/ohlc.spec.ts

@@ -1,4 +1,4 @@
-import { Ohlc } from '@lib/domain';
+import { Ohlc } from '@lib/component';
 import { d, now } from '@lib/shared';
 
 describe('Ohlc', () => {

package/src/core.ts

@@ -0,0 +1,14 @@
+import { Dependency } from '@lib/module';
+import { memo } from '@lib/use-memo';
+
+import { InMemoryStorageFactory } from './storage';
+import { storage } from './storage/use-storage-factory';
+import { paperExecutionMode } from './use-execution-mode';
+
+export function core(): Dependency[] {
+  return [
+    memo(),
+    paperExecutionMode({ recording: false }),
+    storage(new InMemoryStorageFactory())
+  ];
+}

package/src/defined.ts

@@ -0,0 +1,6 @@
+import { filter, Observable } from 'rxjs';
+
+export function defined<T>() {
+  return (observable: Observable<T | undefined | null>) =>
+    observable.pipe(filter(it => it !== undefined && it !== null));
+}

package/src/exclude.ts

@@ -0,0 +1,9 @@
+import { filter, map, Observable } from 'rxjs';
+
+export function exclude<T, S extends symbol>(s: S) {
+  return (observable: Observable<T | S>) =>
+    observable.pipe(
+      filter(it => it !== s),
+      map(it => it as Exclude<T, typeof s>)
+    );
+}

package/src/index.ts

@@ -1,81 +1,27 @@
-import chalk from 'chalk';
-import { finalize, forkJoin, Observable, of, switchMap } from 'rxjs';
-
-import { Session, SessionBuilder, SessionFeature } from '@lib/domain';
-export * from '@lib/adapter';
-export * from '@lib/domain';
+export * from '@lib/component';
 export * from '@lib/shared';
 export * from '@lib/storage';
-export * from '@lib/store';
-
-import { log } from '@lib/shared';
-
-const registry: Record<string, () => Array<SessionFeature>> = {};
-
-export type SessionHook = (session: Session) => Observable<any>;
-
-/**
- * Describes a single strategy logic
- */
-export let rule: (name: string | undefined, describe: SessionHook) => void;
-
-/**
- *
- */
-export let awake: (describe: SessionHook) => void;
-
-/**
- *
- * @param name
- * @param describe
- */
-export function strategy(name: string, describe: () => Array<SessionFeature>) {
-  registry[name] = describe;
-}
-
-/**
- *
- * @param name
- * @param builder
- * @returns
- */
-export async function spawn(name: string, builder: SessionBuilder) {
-  const describe = registry[name];
-  if (!describe) {
-    throw new Error(`missing strategy: ${name}`);
-  }
-
-  const logger = log(name);
-  const ruleHooks = new Array<SessionHook>();
-  const awakeHooks = new Array<SessionHook>();
-
-  awake = (describe: SessionHook) => {
-    awakeHooks.push(describe);
-  };
-
-  rule = (ruleName: string | undefined, describe: SessionHook) => {
-    if (ruleName) {
-      logger.info(`${chalk.italic(ruleName)} rule found`);
-    }
-
-    ruleHooks.push(describe);
-  };
-
-  for (const feature of describe()) {
-    feature(builder);
-  }
-
-  return (session: Session) => {
-    const beforeAll$ = awakeHooks.map(it => it(session));
-    const rule$ = ruleHooks.map(it => it(session));
-
-    if (!beforeAll$.length) {
-      beforeAll$.push(of(true));
-    }
-
-    return forkJoin(beforeAll$).pipe(
-      switchMap(() => forkJoin(rule$)),
-      finalize(() => session.dispose())
-    );
-  };
-}
+export * from '@lib/module';
+export * from '@lib/use-memo';
+export * from '@lib/use-timestamp';
+export * from '@lib/simulator';
+export * from '@lib/make-test-module';
+export * from '@lib/core';
+export * from '@lib/use-state';
+export * from '@lib/replay/use-replay-coordinator';
+export * from '@lib/use-execution-mode';
+export * from '@lib/storage/use-storage';
+export * from '@lib/storage/use-cache';
+export * from '@lib/use-logger';
+export * from '@lib/replay';
+export * from '@lib/replay/use-replay-coordinator';
+export * from '@lib/use-socket';
+export * from '@lib/use-request';
+export * from '@lib/defined';
+export * from '@lib/as-readonly';
+export * from '@lib/use';
+export * from '@lib/session';
+export * from '@lib/exclude';
+export * from '@lib/use-lock';
+export * from '@lib/strat';
+export * from '@lib/not-found';

package/src/{domain → instrument/commission}/commission.spec.ts

@@ -1,6 +1,7 @@
-import { Commission, commissionPercentOf } from '@lib/domain';
 import { d } from '@lib/shared';
 
+import { Commission, commissionPercentOf } from './commission';
+
 describe(Commission.name, () => {
   test('should construct a Commission', () => {
     const sut = commissionPercentOf({

package/src/instrument/index.ts

@@ -0,0 +1,2 @@
+export * from '@lib/instrument/instrument';
+export * from '@lib/instrument/commission/commission';

package/src/{domain → instrument}/instrument.spec.ts

@@ -5,7 +5,7 @@ import {
   Instrument,
   instrumentOf,
   InstrumentSelector
-} from '@lib/domain';
+} from '@lib/component';
 import { d } from '@lib/shared';
 
 describe(Instrument.name, () => {

package/src/{domain → instrument}/instrument.ts

@@ -1,13 +1,7 @@
-import {
-  AdapterMismatchError,
-  Asset,
-  AssetSelector,
-  AssetSelectorSeparator,
-  Commission,
-  Component,
-  InvalidInstrumentSelectorError
-} from '@lib/domain';
-import { hash } from '@lib/shared';
+import { Asset, AssetSelector, AssetSelectorSeparator } from '@lib/asset';
+import { AdapterMismatchError, InvalidInstrumentSelectorError } from '@lib/component';
+
+import { Commission } from './commission/commission';
 
 export const InstrumentSelectorSeparator = '-';
 
@@ -22,15 +16,16 @@ export class InstrumentSelector {
 
     this.id = `${this.base.id}${InstrumentSelectorSeparator}${this.quote.name}`;
   }
+
+  toString() {
+    return this.id;
+  }
 }
 
 /**
  * Represents trading market which is made up by two trading assets (base and quoted).
  */
-export class Instrument extends InstrumentSelector implements Component {
-  static type = hash(Instrument.name);
-  readonly type = Instrument.type;
-
+export class Instrument extends InstrumentSelector {
   readonly cross: Instrument | undefined;
   leverage: number | undefined = undefined;