@quantform/create 0.7.26 → 0.7.28

package/lib/index.js

@@ -37,7 +37,7 @@ async function addPackageJson() {
     config.set('scripts', {
         live: 'qf live app',
         start: 'qf paper app',
-        replay: 'qf replay app',
+        replay: 'qf replay app -f 2026-04-02 -t 2026-04-03',
         pull: 'qf pull app'
     });
     config.save();

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "@quantform/create",
-  "version": "0.7.26",
+  "version": "0.7.28",
   "license": "MIT",
   "author": "Mateusz Majchrzak",
   "description": "Node.js library for building systematic trading strategies in reactive way.",

package/src/index.ts

@@ -39,7 +39,7 @@ async function addPackageJson() {
   config.set('scripts', {
     live: 'qf live app',
     start: 'qf paper app',
-    replay: 'qf replay app',
+    replay: 'qf replay app -f 2026-04-02 -t 2026-04-03',
     pull: 'qf pull app'
   });
 

package/template/app.ts

@@ -5,15 +5,21 @@ import { sqlite } from '@quantform/sqlite';
 
 import { useBinance } from './binance/use-binance';
 
-export function strategy() {
-  const { watchAggTrade } = useBinance();
-  const { info } = useLogger('usdc');
+export function triangularArbitrageInefficiency() {
+  const { watchTrade } = useBinance();
+  const { info } = useLogger('arbitrage');
 
-  return combineLatest([watchAggTrade('dogeeur'), watchAggTrade('dogeusdt')]).pipe(
-    tap(([dogeeur, dogeusdt]) =>
-      info(`eur/usdt: ${dogeusdt.payload.price.div(dogeeur.payload.price).toFixed(4)}`)
-    )
+  return combineLatest([
+    watchTrade('btcusdc'),
+    watchTrade('ethusdc'),
+    watchTrade('ethbtc')
+  ]).pipe(
+    tap(([btcusdc, ethusdc, ethbtc]) => {
+      const spread = ethusdc.div(btcusdc).sub(ethbtc).abs();
+
+      info(`spread: ${spread.toFixed(6)}`);
+    })
   );
 }
 
-export default app().use(sqlite()).start(strategy);
+export default app().use(sqlite()).start(triangularArbitrageInefficiency);

package/template/binance/use-binance.ts

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

package/template/binance/{watch-agg-trade.live.ts → watch-trade.live.ts}

@@ -1,4 +1,4 @@
-import { map } from 'rxjs';
+import { map, retry } from 'rxjs';
 import { z } from 'zod';
 
 import { d, useSocket } from '@quantform/core';
@@ -11,12 +11,13 @@ const schema = z.object({
   })
 });
 
-export function watchAggTradeLive(symbol: string) {
+export function watchTradeLive(symbol: string) {
   const { watch } = useSocket(
-    `wss://fstream.binance.com/stream?streams=${symbol.toLowerCase()}@aggTrade`
+    `wss://fstream.binance.com/stream?streams=${symbol.toLowerCase()}@trade`
   );
 
   return watch().pipe(
+    retry(),
     map(({ timestamp, payload }) => {
       const { data } = schema.parse(payload);
 

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

@@ -0,0 +1,48 @@
+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(86_400_000_000n), 'us', 'ns');
+
+export function watchTradeReplay(symbol: string) {
+  const { watch } = useReplayStorage(uri(`binance://trade`, { symbol }), {
+    sync: async (query, storage) => {
+      const { min, max } = query.where.timestamp;
+
+      for (let time = min; time <= max; time = add(time, DAY_NS)) {
+        const date = new Date(Number(convert(time, 'ns', 'ms')));
+
+        for await (const payload of queryTradeHistory(date, symbol)) {
+          const timestamp = convert(us(BigInt(payload[4])), 'us', 'ns');
+
+          await storage.save([{ timestamp, payload }]);
+        }
+      }
+    }
+  });
+
+  return watch().pipe(
+    map(({ timestamp, payload }) => {
+      const { 1: price, 2: quantity } = schema.parse(payload);
+
+      return { timestamp, payload: { price: d(price), size: d(quantity) } };
+    })
+  );
+}
+
+async function* queryTradeHistory(date: Date, symbol: string) {
+  const yyyyMMdd = date.toISOString().slice(0, 10);
+
+  const response = await fetch(
+    `https://data.binance.vision/data/spot/daily/trades/${symbol.toUpperCase()}/${symbol.toUpperCase()}-trades-${yyyyMMdd}.zip`
+  );
+
+  yield* Readable.fromWeb(response.body as any)
+    .pipe(unzipper.ParseOne(/\.csv$/))
+    .pipe(csv({ headers: false }));
+}

package/template/binance/watch-trade.ts

@@ -0,0 +1,13 @@
+import { map } from 'rxjs';
+
+import { useReplay } from '@quantform/core';
+
+import { watchTradeLive } from './watch-trade.live';
+import { watchTradeReplay } from './watch-trade.replay';
+
+export function watchTrade(symbol: string) {
+  return useReplay(
+    watchTradeReplay,
+    watchTradeLive
+  )(symbol).pipe(map(it => it.payload.price));
+}

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

@@ -1,50 +0,0 @@
-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

@@ -1,8 +0,0 @@
-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);
-}