@quantform/sqlite 0.5.14 → 0.5.15

This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
Files changed (14) hide show
  1. package/dist/sqlite-feed.spec.js +23 -24
  2. package/dist/sqlite-feed.spec.js.map +1 -1
  3. package/dist/sqlite-measurement.spec.js +0 -1
  4. package/dist/sqlite-measurement.spec.js.map +1 -1
  5. package/dist/sqlite-storage.d.ts +1 -5
  6. package/dist/sqlite-storage.js +6 -12
  7. package/dist/sqlite-storage.js.map +1 -1
  8. package/dist/tsconfig.tsbuildinfo +1 -1
  9. package/{jestconfig.unit.json → jestconfig.json} +0 -0
  10. package/package.json +3 -5
  11. package/src/sqlite-feed.spec.ts +95 -28
  12. package/src/sqlite-measurement.spec.ts +0 -2
  13. package/src/sqlite-storage.ts +6 -11
  14. package/jestconfig.integration.json +0 -12
package/dist/sqlite-feed.spec.js CHANGED
@@ -14,7 +14,7 @@ describe('sqlite feed tests', () => {
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  test('should create db file in user directory', async () => {
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  const feed = new core_1.Feed(new sqlite_storage_1.SQLiteStorage(dbName));
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  const input = [
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- new core_1.TradePatchEvent(instrument, 1234.56789, 1.12345678, 1616175004063)
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+ new core_1.Candle(1616175004063, 1234.56789, 1234.56789, 1234.56789, 1234.56789, 1.12345678)
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  ];
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  await feed.save(instrument, input);
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  const output = await feed.query(instrument, {
@@ -27,9 +27,9 @@ describe('sqlite feed tests', () => {
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  test('should insert multiple rows', async () => {
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  const feed = new core_1.Feed(new sqlite_storage_1.SQLiteStorage(dbName));
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  const input = [
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- new core_1.TradePatchEvent(instrument, 1234.56789, 1.12345678, 1616175004063),
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- new core_1.TradePatchEvent(instrument, 1234.56789, 2.12345678, 1616221874143),
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- new core_1.TradePatchEvent(instrument, 1234.56789, 3.12345678, 1616234152108)
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+ new core_1.Candle(1616175004063, 1234.56789, 1234.56789, 1234.56789, 1234.56789, 1.12345678),
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+ new core_1.Candle(1616221874143, 1234.56789, 1234.56789, 1234.56789, 1234.56789, 2.12345678),
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+ new core_1.Candle(1616234152108, 1234.56789, 1234.56789, 1234.56789, 1234.56789, 3.12345678)
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  ];
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  await feed.save(instrument, input);
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  const output = await feed.query(instrument, {
@@ -39,18 +39,17 @@ describe('sqlite feed tests', () => {
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  });
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  expect(output.length).toBe(3);
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  for (let i = 0; i < 3; i++) {
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- expect(output[i]['instrument']).toBe(input[i].instrument);
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  expect(output[i].timestamp).toBe(input[i].timestamp);
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- expect(output[i]['rate']).toBe(input[i].rate);
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- expect(output[i]['quantity']).toBe(input[i].quantity);
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+ expect(output[i].open).toBe(input[i].open);
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+ expect(output[i].volume).toBe(input[i].volume);
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  }
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  });
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  test('should limit result', async () => {
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  const feed = new core_1.Feed(new sqlite_storage_1.SQLiteStorage(dbName));
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  const input = [
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- new core_1.TradePatchEvent(instrument, 1234.56789, 1.12345678, 1616175004063),
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- new core_1.TradePatchEvent(instrument, 1234.56789, 2.12345678, 1616221874143),
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- new core_1.TradePatchEvent(instrument, 1234.56789, 3.12345678, 1616234152108)
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+ new core_1.Candle(1616175004063, 1234.56789, 1234.56789, 1234.56789, 1234.56789, 1.12345678),
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+ new core_1.Candle(1616221874143, 1234.56789, 1234.56789, 1234.56789, 1234.56789, 2.12345678),
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+ new core_1.Candle(1616234152108, 1234.56789, 1234.56789, 1234.56789, 1234.56789, 3.12345678)
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  ];
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  await feed.save(instrument, input);
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  const output = await feed.query(instrument, {
@@ -65,9 +64,9 @@ describe('sqlite feed tests', () => {
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  test('should override duplicated rows', async () => {
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  const feed = new core_1.Feed(new sqlite_storage_1.SQLiteStorage(dbName));
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  await feed.save(instrument, [
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- new core_1.TradePatchEvent(instrument, 1234.56789, 1.12345678, 1616175004063),
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- new core_1.TradePatchEvent(instrument, 1234.56789, 1.12345678, 1616175004063),
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- new core_1.TradePatchEvent(instrument, 1234.56789, 1.12345678, 1616175004063)
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+ new core_1.Candle(1616175004063, 1234.56789, 1234.56789, 1234.56789, 1234.56789, 1.12345678),
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+ new core_1.Candle(1616175004063, 1234.56789, 1234.56789, 1234.56789, 1234.56789, 1.12345678),
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+ new core_1.Candle(1616175004063, 1234.56789, 1234.56789, 1234.56789, 1234.56789, 1.12345678)
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  ]);
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  const result = await feed.query(instrument, {
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  from: 1616175004062,
@@ -79,14 +78,14 @@ describe('sqlite feed tests', () => {
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  test('should patch a store with events', done => {
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  const feed = new core_1.Feed(new sqlite_storage_1.SQLiteStorage(dbName));
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  const store = new core_1.Store();
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- store.snapshot.universe.instrument[instrument.toString()] = instrument;
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- store.snapshot.subscription.instrument[instrument.toString()] = instrument;
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+ store.snapshot.universe.instrument.upsert(instrument);
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+ store.snapshot.subscription.instrument.upsert(instrument);
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  const streamer = new core_1.BacktesterStreamer(store, feed, {
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  from: 0,
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  to: 10
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  }, {
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  onBacktestCompleted: () => {
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- const trade = store.snapshot.trade[instrument.toString()];
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+ const trade = store.snapshot.trade.get(instrument.id);
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  expect(trade.timestamp).toEqual(8);
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  expect(trade.rate).toEqual(8);
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  expect(trade.quantity).toEqual(8);
@@ -96,14 +95,14 @@ describe('sqlite feed tests', () => {
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  });
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  feed
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  .save(instrument, [
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- new core_1.CandleEvent(instrument, core_1.Timeframe.M1, 1, 1, 1, 1, 1, 1),
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- new core_1.CandleEvent(instrument, core_1.Timeframe.M1, 2, 2, 2, 2, 2, 2),
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- new core_1.CandleEvent(instrument, core_1.Timeframe.M1, 3, 3, 3, 3, 3, 3),
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- new core_1.CandleEvent(instrument, core_1.Timeframe.M1, 4, 4, 4, 4, 4, 4),
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- new core_1.CandleEvent(instrument, core_1.Timeframe.M1, 5, 5, 5, 5, 5, 5),
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- new core_1.CandleEvent(instrument, core_1.Timeframe.M1, 6, 6, 6, 6, 6, 6),
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- new core_1.CandleEvent(instrument, core_1.Timeframe.M1, 7, 7, 7, 7, 7, 7),
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- new core_1.CandleEvent(instrument, core_1.Timeframe.M1, 8, 8, 8, 8, 8, 8)
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+ new core_1.Candle(1, 1, 1, 1, 1, 1),
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+ new core_1.Candle(2, 2, 2, 2, 2, 2),
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+ new core_1.Candle(3, 3, 3, 3, 3, 3),
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+ new core_1.Candle(4, 4, 4, 4, 4, 4),
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+ new core_1.Candle(5, 5, 5, 5, 5, 5),
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+ new core_1.Candle(6, 6, 6, 6, 6, 6),
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+ new core_1.Candle(7, 7, 7, 7, 7, 7),
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+ new core_1.Candle(8, 8, 8, 8, 8, 8)
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  ])
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  .then(() => {
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  streamer.subscribe(instrument);
package/dist/sqlite-feed.spec.js.map CHANGED
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package/dist/sqlite-measurement.spec.js CHANGED
@@ -48,7 +48,6 @@ describe('sqlite measurement tests', () => {
48
48
  kind: 'spread',
49
49
  payload: { value: it + 1 }
50
50
  })));
51
- const index = await measurement.index();
52
51
  const after = await measurement.query(session, {
53
52
  from: 5,
54
53
  count: 100
package/dist/sqlite-measurement.spec.js.map CHANGED
@@ -1 +1 @@
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package/dist/sqlite-storage.d.ts CHANGED
@@ -1,5 +1,6 @@
1
1
  import { Storage, StorageDocument, StorageFactory, StorageQueryOptions } from '@quantform/core';
2
2
  import { Database } from 'better-sqlite3';
3
+ export declare function sqlite(directory?: string): StorageFactory;
3
4
  export declare class SQLiteStorage implements Storage {
4
5
  private readonly filename;
5
6
  protected connection: Database;
@@ -10,8 +11,3 @@ export declare class SQLiteStorage implements Storage {
10
11
  query(library: string, options: StorageQueryOptions): Promise<StorageDocument[]>;
11
12
  save(library: string, documents: StorageDocument[]): Promise<void>;
12
13
  }
13
- export declare class SQLiteStorageFactory implements StorageFactory {
14
- private readonly directory?;
15
- constructor(directory?: string);
16
- create(type: string): Storage;
17
- }
package/dist/sqlite-storage.js CHANGED
@@ -1,10 +1,14 @@
1
1
  "use strict";
2
2
  Object.defineProperty(exports, "__esModule", { value: true });
3
- exports.SQLiteStorageFactory = exports.SQLiteStorage = void 0;
3
+ exports.SQLiteStorage = exports.sqlite = void 0;
4
4
  const core_1 = require("@quantform/core");
5
+ const bettersqlite3 = require("better-sqlite3");
5
6
  const fs_1 = require("fs");
6
7
  const path_1 = require("path");
7
- const bettersqlite3 = require('better-sqlite3');
8
+ function sqlite(directory) {
9
+ return (type) => new SQLiteStorage((0, path_1.join)(directory !== null && directory !== void 0 ? directory : (0, core_1.workingDirectory)(), `/${type}.sqlite`));
10
+ }
11
+ exports.sqlite = sqlite;
8
12
  class SQLiteStorage {
9
13
  constructor(filename) {
10
14
  this.filename = filename;
@@ -65,14 +69,4 @@ class SQLiteStorage {
65
69
  }
66
70
  }
67
71
  exports.SQLiteStorage = SQLiteStorage;
68
- class SQLiteStorageFactory {
69
- constructor(directory) {
70
- this.directory = directory;
71
- }
72
- create(type) {
73
- var _a;
74
- return new SQLiteStorage((0, path_1.join)((_a = this.directory) !== null && _a !== void 0 ? _a : (0, core_1.workingDirectory)(), `/${type}.sqlite`));
75
- }
76
- }
77
- exports.SQLiteStorageFactory = SQLiteStorageFactory;
78
72
  //# sourceMappingURL=sqlite-storage.js.map
package/dist/sqlite-storage.js.map CHANGED
@@ -1 +1 @@
1
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1
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package/dist/tsconfig.tsbuildinfo CHANGED
@@ -1 +1 @@
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package/{jestconfig.unit.json → jestconfig.json} RENAMED
File without changes
package/package.json CHANGED
@@ -1,6 +1,6 @@
1
1
  {
2
2
  "name": "@quantform/sqlite",
3
- "version": "0.5.14",
3
+ "version": "0.5.15",
4
4
  "description": "Node.js library for building systematic trading strategies in reactive way.",
5
5
  "author": "Mateusz Majchrzak",
6
6
  "license": "MIT",
@@ -17,9 +17,7 @@
17
17
  "scripts": {
18
18
  "prepare": "npm run build",
19
19
  "build": "tsc",
20
- "test:watch": "jest --watch",
21
- "test:unit": "jest -c jestconfig.unit.json --coverage --passWithNoTests",
22
- "test:integration": "jest -c jestconfig.integration.json --setupFiles dotenv/config"
20
+ "test": "jest -c jestconfig.json --coverage --passWithNoTests"
23
21
  },
24
22
  "dependencies": {
25
23
  "better-sqlite3": "^7.5.0",
@@ -30,7 +28,7 @@
30
28
  "@quantform/core": "*"
31
29
  },
32
30
  "devDependencies": {
33
- "@quantform/core": "0.5.14",
31
+ "@quantform/core": "0.5.15",
34
32
  "@types/better-sqlite3": "^7.5.0",
35
33
  "@types/jest": "^27.4.1",
36
34
  "@types/node": "^17.0.23",
package/src/sqlite-feed.spec.ts CHANGED
@@ -1,12 +1,10 @@
1
1
  import {
2
2
  Asset,
3
3
  BacktesterStreamer,
4
- CandleEvent,
4
+ Candle,
5
5
  Feed,
6
6
  Instrument,
7
- Store,
8
- Timeframe,
9
- TradePatchEvent
7
+ Store
10
8
  } from '@quantform/core';
11
9
  import { existsSync, unlinkSync } from 'fs';
12
10
 
@@ -30,7 +28,14 @@ describe('sqlite feed tests', () => {
30
28
  const feed = new Feed(new SQLiteStorage(dbName));
31
29
 
32
30
  const input = [
33
- new TradePatchEvent(instrument, 1234.56789, 1.12345678, 1616175004063)
31
+ new Candle(
32
+ 1616175004063,
33
+ 1234.56789,
34
+ 1234.56789,
35
+ 1234.56789,
36
+ 1234.56789,
37
+ 1.12345678
38
+ )
34
39
  ];
35
40
 
36
41
  await feed.save(instrument, input);
@@ -48,9 +53,30 @@ describe('sqlite feed tests', () => {
48
53
  const feed = new Feed(new SQLiteStorage(dbName));
49
54
 
50
55
  const input = [
51
- new TradePatchEvent(instrument, 1234.56789, 1.12345678, 1616175004063),
52
- new TradePatchEvent(instrument, 1234.56789, 2.12345678, 1616221874143),
53
- new TradePatchEvent(instrument, 1234.56789, 3.12345678, 1616234152108)
56
+ new Candle(
57
+ 1616175004063,
58
+ 1234.56789,
59
+ 1234.56789,
60
+ 1234.56789,
61
+ 1234.56789,
62
+ 1.12345678
63
+ ),
64
+ new Candle(
65
+ 1616221874143,
66
+ 1234.56789,
67
+ 1234.56789,
68
+ 1234.56789,
69
+ 1234.56789,
70
+ 2.12345678
71
+ ),
72
+ new Candle(
73
+ 1616234152108,
74
+ 1234.56789,
75
+ 1234.56789,
76
+ 1234.56789,
77
+ 1234.56789,
78
+ 3.12345678
79
+ )
54
80
  ];
55
81
 
56
82
  await feed.save(instrument, input);
@@ -64,10 +90,9 @@ describe('sqlite feed tests', () => {
64
90
  expect(output.length).toBe(3);
65
91
 
66
92
  for (let i = 0; i < 3; i++) {
67
- expect(output[i]['instrument']).toBe(input[i].instrument);
68
93
  expect(output[i].timestamp).toBe(input[i].timestamp);
69
- expect(output[i]['rate']).toBe(input[i].rate);
70
- expect(output[i]['quantity']).toBe(input[i].quantity);
94
+ expect(output[i].open).toBe(input[i].open);
95
+ expect(output[i].volume).toBe(input[i].volume);
71
96
  }
72
97
  });
73
98
 
@@ -75,9 +100,30 @@ describe('sqlite feed tests', () => {
75
100
  const feed = new Feed(new SQLiteStorage(dbName));
76
101
 
77
102
  const input = [
78
- new TradePatchEvent(instrument, 1234.56789, 1.12345678, 1616175004063),
79
- new TradePatchEvent(instrument, 1234.56789, 2.12345678, 1616221874143),
80
- new TradePatchEvent(instrument, 1234.56789, 3.12345678, 1616234152108)
103
+ new Candle(
104
+ 1616175004063,
105
+ 1234.56789,
106
+ 1234.56789,
107
+ 1234.56789,
108
+ 1234.56789,
109
+ 1.12345678
110
+ ),
111
+ new Candle(
112
+ 1616221874143,
113
+ 1234.56789,
114
+ 1234.56789,
115
+ 1234.56789,
116
+ 1234.56789,
117
+ 2.12345678
118
+ ),
119
+ new Candle(
120
+ 1616234152108,
121
+ 1234.56789,
122
+ 1234.56789,
123
+ 1234.56789,
124
+ 1234.56789,
125
+ 3.12345678
126
+ )
81
127
  ];
82
128
 
83
129
  await feed.save(instrument, input);
@@ -97,9 +143,30 @@ describe('sqlite feed tests', () => {
97
143
  const feed = new Feed(new SQLiteStorage(dbName));
98
144
 
99
145
  await feed.save(instrument, [
100
- new TradePatchEvent(instrument, 1234.56789, 1.12345678, 1616175004063),
101
- new TradePatchEvent(instrument, 1234.56789, 1.12345678, 1616175004063),
102
- new TradePatchEvent(instrument, 1234.56789, 1.12345678, 1616175004063)
146
+ new Candle(
147
+ 1616175004063,
148
+ 1234.56789,
149
+ 1234.56789,
150
+ 1234.56789,
151
+ 1234.56789,
152
+ 1.12345678
153
+ ),
154
+ new Candle(
155
+ 1616175004063,
156
+ 1234.56789,
157
+ 1234.56789,
158
+ 1234.56789,
159
+ 1234.56789,
160
+ 1.12345678
161
+ ),
162
+ new Candle(
163
+ 1616175004063,
164
+ 1234.56789,
165
+ 1234.56789,
166
+ 1234.56789,
167
+ 1234.56789,
168
+ 1.12345678
169
+ )
103
170
  ]);
104
171
 
105
172
  const result = await feed.query(instrument, {
@@ -115,8 +182,8 @@ describe('sqlite feed tests', () => {
115
182
  const feed = new Feed(new SQLiteStorage(dbName));
116
183
  const store = new Store();
117
184
 
118
- store.snapshot.universe.instrument[instrument.toString()] = instrument;
119
- store.snapshot.subscription.instrument[instrument.toString()] = instrument;
185
+ store.snapshot.universe.instrument.upsert(instrument);
186
+ store.snapshot.subscription.instrument.upsert(instrument);
120
187
 
121
188
  const streamer = new BacktesterStreamer(
122
189
  store,
@@ -127,7 +194,7 @@ describe('sqlite feed tests', () => {
127
194
  },
128
195
  {
129
196
  onBacktestCompleted: () => {
130
- const trade = store.snapshot.trade[instrument.toString()];
197
+ const trade = store.snapshot.trade.get(instrument.id);
131
198
 
132
199
  expect(trade.timestamp).toEqual(8);
133
200
  expect(trade.rate).toEqual(8);
@@ -141,14 +208,14 @@ describe('sqlite feed tests', () => {
141
208
 
142
209
  feed
143
210
  .save(instrument, [
144
- new CandleEvent(instrument, Timeframe.M1, 1, 1, 1, 1, 1, 1),
145
- new CandleEvent(instrument, Timeframe.M1, 2, 2, 2, 2, 2, 2),
146
- new CandleEvent(instrument, Timeframe.M1, 3, 3, 3, 3, 3, 3),
147
- new CandleEvent(instrument, Timeframe.M1, 4, 4, 4, 4, 4, 4),
148
- new CandleEvent(instrument, Timeframe.M1, 5, 5, 5, 5, 5, 5),
149
- new CandleEvent(instrument, Timeframe.M1, 6, 6, 6, 6, 6, 6),
150
- new CandleEvent(instrument, Timeframe.M1, 7, 7, 7, 7, 7, 7),
151
- new CandleEvent(instrument, Timeframe.M1, 8, 8, 8, 8, 8, 8)
211
+ new Candle(1, 1, 1, 1, 1, 1),
212
+ new Candle(2, 2, 2, 2, 2, 2),
213
+ new Candle(3, 3, 3, 3, 3, 3),
214
+ new Candle(4, 4, 4, 4, 4, 4),
215
+ new Candle(5, 5, 5, 5, 5, 5),
216
+ new Candle(6, 6, 6, 6, 6, 6),
217
+ new Candle(7, 7, 7, 7, 7, 7),
218
+ new Candle(8, 8, 8, 8, 8, 8)
152
219
  ])
153
220
  .then(() => {
154
221
  streamer.subscribe(instrument);
package/src/sqlite-measurement.spec.ts CHANGED
@@ -71,8 +71,6 @@ describe('sqlite measurement tests', () => {
71
71
  }))
72
72
  );
73
73
 
74
- const index = await measurement.index();
75
-
76
74
  const after = await measurement.query(session, {
77
75
  from: 5,
78
76
  count: 100
package/src/sqlite-storage.ts CHANGED
@@ -6,9 +6,14 @@ import {
6
6
  workingDirectory
7
7
  } from '@quantform/core';
8
8
  import { Database } from 'better-sqlite3';
9
+ import * as bettersqlite3 from 'better-sqlite3';
9
10
  import { existsSync, mkdirSync } from 'fs';
10
11
  import { dirname, join } from 'path';
11
- const bettersqlite3 = require('better-sqlite3');
12
+
13
+ export function sqlite(directory?: string): StorageFactory {
14
+ return (type: string) =>
15
+ new SQLiteStorage(join(directory ?? workingDirectory(), `/${type}.sqlite`));
16
+ }
12
17
 
13
18
  export class SQLiteStorage implements Storage {
14
19
  protected connection: Database;
@@ -99,13 +104,3 @@ export class SQLiteStorage implements Storage {
99
104
  insertMany(documents);
100
105
  }
101
106
  }
102
-
103
- export class SQLiteStorageFactory implements StorageFactory {
104
- constructor(private readonly directory?: string) {}
105
-
106
- create(type: string): Storage {
107
- return new SQLiteStorage(
108
- join(this.directory ?? workingDirectory(), `/${type}.sqlite`)
109
- );
110
- }
111
- }
package/jestconfig.integration.json DELETED
@@ -1,12 +0,0 @@
1
- {
2
- "moduleFileExtensions": ["js", "json", "ts"],
3
- "verbose": true,
4
- "rootDir": "src/tests",
5
- "testRegex": ".spec.ts$",
6
- "transform": {
7
- "^.+\\.(t|j)s$": "ts-jest"
8
- },
9
- "coverageDirectory": "../coverage",
10
- "testEnvironment": "node",
11
- "testTimeout": 300000
12
- }