@quantform/create 0.7.21 → 0.7.24

package/lib/index.js

@@ -1,14 +1,5 @@
 #!/usr/bin/env node
 "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());
-    });
-};
 var __importDefault = (this && this.__importDefault) || function (mod) {
     return (mod && mod.__esModule) ? mod : { "default": mod };
 };
@@ -17,93 +8,73 @@ const child_process_1 = require("child_process");
 const commander_1 = require("commander");
 const edit_json_file_1 = __importDefault(require("edit-json-file"));
 const fs_1 = require("fs");
+const promises_1 = require("fs/promises");
+const path_1 = require("path");
 const process_1 = require("process");
 const util_1 = require("util");
-const path_1 = require("path");
 const shell = (0, util_1.promisify)(child_process_1.exec);
 commander_1.program
     .name('quantform')
     .description('Setup the quantform project by running a single command.')
-    .argument('<dir>', 'directory to initialize', './')
-    .action((dir) => __awaiter(void 0, void 0, void 0, function* () {
-    yield createDirectory(dir);
-    yield addPackageJson();
-    yield addDependencies();
-    yield addTypescript();
-    yield addSWCConfig();
-    yield copyTemplateFiles();
-}))
+    .argument('<dir>', 'directory to initialize')
+    .action(async (dir) => {
+    await createDirectory(dir);
+    await addPackageJson();
+    await addDependencies();
+    await addTypescript();
+    await copyTemplateFiles();
+})
     .parse(process.argv);
-function createDirectory(dir) {
-    return __awaiter(this, void 0, void 0, function* () {
-        if ((0, path_1.basename)(dir) != '' && (0, path_1.basename)(dir) != '.') {
-            (0, fs_1.mkdirSync)(dir);
-            (0, process_1.chdir)(dir);
-        }
-    });
+async function createDirectory(dir) {
+    if ((0, path_1.basename)(dir) != '' && (0, path_1.basename)(dir) != '.') {
+        (0, fs_1.mkdirSync)(dir);
+        (0, process_1.chdir)(dir);
+    }
 }
-function addPackageJson() {
-    return __awaiter(this, void 0, void 0, function* () {
-        yield shell(`npm init --yes`);
-        const config = (0, edit_json_file_1.default)(`./package.json`);
-        config.set('main', 'pipeline.js');
-        config.set('scripts', {
-            live: 'qf live pipeline',
-            start: 'qf paper pipeline',
-            replay: 'qf replay pipeline',
-            pull: 'qf pull pipeline'
-        });
-        config.save();
+async function addPackageJson() {
+    await shell(`npm init --yes`);
+    const config = (0, edit_json_file_1.default)(`./package.json`);
+    config.set('scripts', {
+        live: 'qf live app',
+        start: 'qf paper app',
+        replay: 'qf replay app',
+        pull: 'qf pull app'
     });
+    config.save();
 }
-function addTypescript() {
-    return __awaiter(this, void 0, void 0, function* () {
-        const config = (0, edit_json_file_1.default)(`./tsconfig.json`);
-        config.set('compilerOptions.module', 'commonjs');
-        config.set('compilerOptions.declaration', true);
-        config.set('compilerOptions.removeComments', true);
-        config.set('compilerOptions.emitDecoratorMetadata', true);
-        config.set('compilerOptions.experimentalDecorators', true);
-        config.set('compilerOptions.allowSyntheticDefaultImports', true);
-        config.set('compilerOptions.target', 'es2017');
-        config.set('compilerOptions.outDir', './lib');
-        config.set('compilerOptions.baseUrl', './');
-        config.set('compilerOptions.incremental', true);
-        config.set('include', ['*.ts', 'src/*']);
-        config.set('exclude', ['node_modules', 'test', 'lib', '**/*spec.ts']);
-        config.save();
-    });
+async function addTypescript() {
+    const config = (0, edit_json_file_1.default)(`./tsconfig.json`);
+    config.set('compilerOptions.module', 'commonjs');
+    config.set('compilerOptions.declaration', true);
+    config.set('compilerOptions.removeComments', true);
+    config.set('compilerOptions.emitDecoratorMetadata', true);
+    config.set('compilerOptions.experimentalDecorators', true);
+    config.set('compilerOptions.allowSyntheticDefaultImports', true);
+    config.set('compilerOptions.target', 'es2017');
+    config.set('compilerOptions.rootDir', 'src');
+    config.set('compilerOptions.outDir', './lib');
+    config.set('compilerOptions.baseUrl', './');
+    config.set('compilerOptions.incremental', true);
+    config.set('include', ['src/**/*']);
+    config.set('exclude', ['node_modules', 'test', 'lib', '**/*spec.ts']);
+    config.save();
 }
-function addSWCConfig() {
-    return __awaiter(this, void 0, void 0, function* () {
-        (0, fs_1.writeFileSync)('./.swcrc', '{}');
-        const config = (0, edit_json_file_1.default)(`./.swcrc`);
-        config.set('$schema', 'http://json.schemastore.org/swcrc');
-        config.set('jsc.parser.syntax', 'typescript');
-        config.set('jsc.parser.tsx', false);
-        config.set('module.type', 'commonjs');
-        config.set('module.strict', false);
-        config.set('module.strictMode', true);
-        config.set('module.lazy', false);
-        config.set('module.noInterop', false);
-        config.save();
-    });
+async function addDependencies() {
+    for (const dependency of ['typescript', '@types/node']) {
+        await shell(`npm add -D ${dependency}`);
+    }
+    for (const dependency of [
+        '@quantform/core',
+        '@quantform/sqlite',
+        'rxjs',
+        'zod',
+        'csv-parser',
+        'unzipper'
+    ]) {
+        await shell(`npm add ${dependency}`);
+    }
 }
-function addDependencies() {
-    return __awaiter(this, void 0, void 0, function* () {
-        const devDependencies = ['typescript', '@types/node', '@swc/core', 'zod'];
-        const dependencies = ['@quantform/core@beta', '@quantform/binance@beta', 'rxjs'];
-        for (const dependency of devDependencies) {
-            yield shell(`npm add -D ${dependency}`);
-        }
-        for (const dependency of dependencies) {
-            yield shell(`npm add ${dependency}`);
-        }
-    });
-}
-function copyTemplateFiles() {
-    return __awaiter(this, void 0, void 0, function* () {
-        (0, fs_1.mkdirSync)('./src');
-        (0, fs_1.copyFileSync)(`${__dirname}/../template/pipeline.ts`, './src/pipeline.ts');
-    });
+async function copyTemplateFiles() {
+    (0, fs_1.mkdirSync)('./src');
+    await (0, promises_1.cp)(`${__dirname}/../template`, './src', { recursive: true });
 }

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "@quantform/create",
-  "version": "0.7.21",
+  "version": "0.7.24",
   "license": "MIT",
   "author": "Mateusz Majchrzak",
   "description": "Node.js library for building systematic trading strategies in reactive way.",
@@ -21,15 +21,20 @@
   },
   "main": "index.js",
   "directories": {
-    "lib": "lib"
+    "lib": "lib",
+    "test": "test"
   },
   "keywords": [],
   "bugs": {
     "url": "https://github.com/quantform/quantform/issues"
   },
   "homepage": "https://github.com/quantform/quantform#readme",
+  "devDependencies": {
+    "typescript": "^5.0.2"
+  },
   "scripts": {
     "build": "tsc && tsc-alias",
-    "test": "jest"
+    "test": "jest",
+    "create": "ts-node src/index.ts"
   }
 }

package/src/index.ts

@@ -3,23 +3,23 @@
 import { exec } from 'child_process';
 import { program } from 'commander';
 import editJsonFile from 'edit-json-file';
-import { copyFileSync, mkdirSync, writeFileSync } from 'fs';
+import { copyFileSync, mkdirSync } from 'fs';
+import { cp } from 'fs/promises';
+import { basename } from 'path';
 import { chdir } from 'process';
 import { promisify } from 'util';
-import { basename } from 'path';
 
 const shell = promisify(exec);
 
 program
   .name('quantform')
   .description('Setup the quantform project by running a single command.')
-  .argument('<dir>', 'directory to initialize', './')
+  .argument('<dir>', 'directory to initialize')
   .action(async dir => {
     await createDirectory(dir);
     await addPackageJson();
     await addDependencies();
     await addTypescript();
-    await addSWCConfig();
     await copyTemplateFiles();
   })
   .parse(process.argv);
@@ -36,12 +36,11 @@ async function addPackageJson() {
 
   const config = editJsonFile(`./package.json`);
 
-  config.set('main', 'pipeline.js');
   config.set('scripts', {
-    live: 'qf live pipeline',
-    start: 'qf paper pipeline',
-    replay: 'qf replay pipeline',
-    pull: 'qf pull pipeline'
+    live: 'qf live app',
+    start: 'qf paper app',
+    replay: 'qf replay app',
+    pull: 'qf pull app'
   });
 
   config.save();
@@ -57,47 +56,35 @@ async function addTypescript() {
   config.set('compilerOptions.experimentalDecorators', true);
   config.set('compilerOptions.allowSyntheticDefaultImports', true);
   config.set('compilerOptions.target', 'es2017');
+  config.set('compilerOptions.rootDir', 'src');
   config.set('compilerOptions.outDir', './lib');
   config.set('compilerOptions.baseUrl', './');
   config.set('compilerOptions.incremental', true);
-  config.set('include', ['*.ts', 'src/*']);
+  config.set('include', ['src/**/*']);
   config.set('exclude', ['node_modules', 'test', 'lib', '**/*spec.ts']);
 
   config.save();
 }
 
-async function addSWCConfig() {
-  writeFileSync('./.swcrc', '{}');
-
-  const config = editJsonFile(`./.swcrc`);
-
-  config.set('$schema', 'http://json.schemastore.org/swcrc');
-  config.set('jsc.parser.syntax', 'typescript');
-  config.set('jsc.parser.tsx', false);
-  config.set('module.type', 'commonjs');
-  config.set('module.strict', false);
-  config.set('module.strictMode', true);
-  config.set('module.lazy', false);
-  config.set('module.noInterop', false);
-
-  config.save();
-}
-
 async function addDependencies() {
-  const devDependencies = ['typescript', '@types/node', '@swc/core', 'zod'];
-
-  const dependencies = ['@quantform/core@beta', '@quantform/binance@beta', 'rxjs'];
-
-  for (const dependency of devDependencies) {
+  for (const dependency of ['typescript', '@types/node']) {
     await shell(`npm add -D ${dependency}`);
   }
 
-  for (const dependency of dependencies) {
+  for (const dependency of [
+    '@quantform/core',
+    '@quantform/sqlite',
+    'rxjs',
+    'zod',
+    'csv-parser',
+    'unzipper'
+  ]) {
     await shell(`npm add ${dependency}`);
   }
 }
 
 async function copyTemplateFiles() {
   mkdirSync('./src');
-  copyFileSync(`${__dirname}/../template/pipeline.ts`, './src/pipeline.ts');
+
+  await cp(`${__dirname}/../template`, './src', { recursive: true });
 }

package/template/app.ts

@@ -0,0 +1,19 @@
+import { combineLatest, tap } from 'rxjs';
+
+import { app, useLogger } from '@quantform/core';
+import { sqlite } from '@quantform/sqlite';
+
+import { useBinance } from './binance/use-binance';
+
+export function strategy() {
+  const { watchAggTrade } = useBinance();
+  const { info } = useLogger('usdc');
+
+  return combineLatest([watchAggTrade('dogeeur'), watchAggTrade('dogeusdt')]).pipe(
+    tap(([dogeeur, dogeusdt]) =>
+      info(`eur/usdt: ${dogeusdt.payload.price.div(dogeeur.payload.price).toFixed(4)}`)
+    )
+  );
+}
+
+export default app().use(sqlite()).start(strategy);

package/template/binance/use-binance.ts

@@ -0,0 +1,7 @@
+import { watchAggTrade } from './watch-agg-trade';
+
+export function useBinance() {
+  return {
+    watchAggTrade
+  };
+}

package/template/binance/watch-agg-trade.live.ts

@@ -0,0 +1,26 @@
+import { map } from 'rxjs';
+import { z } from 'zod';
+
+import { d, useSocket } from '@quantform/core';
+
+const schema = z.object({
+  stream: z.string(),
+  data: z.object({
+    p: z.string(),
+    q: z.string()
+  })
+});
+
+export function watchAggTradeLive(symbol: string) {
+  const { watch } = useSocket(
+    `wss://fstream.binance.com/stream?streams=${symbol.toLowerCase()}@aggTrade`
+  );
+
+  return watch().pipe(
+    map(({ timestamp, payload }) => {
+      const { data } = schema.parse(payload);
+
+      return { timestamp, payload: { price: d(data.p), size: d(data.q) } };
+    })
+  );
+}

package/template/binance/watch-agg-trade.replay.ts

@@ -0,0 +1,50 @@
+import csv from 'csv-parser';
+import { map } from 'rxjs';
+import { Readable } from 'stream';
+import unzipper from 'unzipper';
+import { z } from 'zod';
+
+import { add, convert, d, uri, us, useReplayStorage } from '@quantform/core';
+
+const schema = z.object({
+  1: z.string(),
+  2: z.string()
+});
+
+const DAY_NS = convert(us(24 * 60 * 60 * 1000 * 1000 * 1000), 'us', 'ns');
+
+export function watchAggTradeReplay(symbol: string) {
+  const { watch } = useReplayStorage(uri(`binance://aggTrade`, { symbol }), {
+    sync: async (query, storage) => {
+      let timestamp = query.where.timestamp.min;
+
+      while (timestamp <= query.where.timestamp.max) {
+        const date = new Date(Number(convert(timestamp, 'ns', 'ms')))
+          .toISOString()
+          .slice(0, 10);
+
+        const response = await fetch(
+          `https://data.binance.vision/data/spot/daily/aggTrades/${symbol.toUpperCase()}/${symbol.toUpperCase()}-aggTrades-${date}.zip`
+        );
+
+        for await (const row of Readable.fromWeb(response.body as any)
+          .pipe(unzipper.ParseOne(/\.csv$/))
+          .pipe(csv({ headers: false }))) {
+          await storage.save([
+            { timestamp: convert(us(BigInt(row[5])), 'us', 'ns'), payload: row }
+          ]);
+        }
+
+        timestamp = add(timestamp, DAY_NS);
+      }
+    }
+  });
+
+  return watch().pipe(
+    map(({ timestamp, payload }) => {
+      const { 1: price, 2: quantity } = schema.parse(payload);
+
+      return { timestamp, payload: { price: d(price), size: d(quantity) } };
+    })
+  );
+}

package/template/binance/watch-agg-trade.ts

@@ -0,0 +1,8 @@
+import { useReplay } from '@quantform/core';
+
+import { watchAggTradeLive } from './watch-agg-trade.live';
+import { watchAggTradeReplay } from './watch-agg-trade.replay';
+
+export function watchAggTrade(symbol: string) {
+  return useReplay(watchAggTradeReplay, watchAggTradeLive)(symbol);
+}

package/template/pipeline.ts

@@ -1,26 +0,0 @@
-import { tap } from 'rxjs';
-
-import { binance, useBinance } from '@quantform/binance';
-import { behavior, Commission, instrumentOf, strategy, useLogger } from '@quantform/core';
-
-export default strategy(() => {
-  behavior(() => {
-    // watch binance spot orderbook
-    const { whenOrderbookTicker } = useBinance();
-    const { info } = useLogger('binance');
-
-    // subscribe for btc-usdt binance spot market and print ticker values
-    return whenOrderbookTicker(instrumentOf(`binance:btc-usdt`)).pipe(
-      tap(({ bids, asks }) => info(`current top bid: ${bids.rate}, ask: ${asks.rate}`))
-    );
-  });
-
-  return [
-    ...binance({
-      simulator: {
-        balance: {},
-        commission: Commission.Zero
-      }
-    })
-  ];
-});