@quantform/sqlite 0.5.15 → 0.5.23

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 (5) hide show
  1. package/dist/sqlite-feed.spec.js +26 -28
  2. package/dist/sqlite-feed.spec.js.map +1 -1
  3. package/dist/tsconfig.tsbuildinfo +1 -1
  4. package/package.json +2 -2
  5. package/src/sqlite-feed.spec.ts +29 -100
package/dist/sqlite-feed.spec.js CHANGED
@@ -14,9 +14,9 @@ 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.Candle(1616175004063, 1234.56789, 1234.56789, 1234.56789, 1234.56789, 1.12345678)
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+ new core_1.TradePatchEvent(instrument, (0, core_1.d)(1234.56789), (0, core_1.d)(1.12345678), 1616175004063)
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  ];
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- await feed.save(instrument, input);
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+ await feed.save(input);
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  const output = await feed.query(instrument, {
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  from: 1616175004062,
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  to: 1616234152109,
@@ -27,11 +27,11 @@ 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.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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+ new core_1.TradePatchEvent(instrument, (0, core_1.d)(1234.56789), (0, core_1.d)(1.12345678), 1616175004063),
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+ new core_1.TradePatchEvent(instrument, (0, core_1.d)(1234.56789), (0, core_1.d)(2.12345678), 1616221874143),
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+ new core_1.TradePatchEvent(instrument, (0, core_1.d)(1234.56789), (0, core_1.d)(3.12345678), 1616234152108)
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  ];
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- await feed.save(instrument, input);
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+ await feed.save(input);
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  const output = await feed.query(instrument, {
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  from: 1616175004062,
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  to: 1616234152109,
@@ -39,19 +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].timestamp).toBe(input[i].timestamp);
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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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+ expect(output[i]).toEqual(input[i]);
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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.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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+ new core_1.TradePatchEvent(instrument, (0, core_1.d)(1234.56789), (0, core_1.d)(1.12345678), 1616175004063),
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+ new core_1.TradePatchEvent(instrument, (0, core_1.d)(1234.56789), (0, core_1.d)(2.12345678), 1616221874143),
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+ new core_1.TradePatchEvent(instrument, (0, core_1.d)(1234.56789), (0, core_1.d)(3.12345678), 1616234152108)
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  ];
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- await feed.save(instrument, input);
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+ await feed.save(input);
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  const output = await feed.query(instrument, {
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  from: 1616175004062,
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  to: 1616234152109,
@@ -63,10 +61,10 @@ describe('sqlite feed tests', () => {
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  });
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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.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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+ await feed.save([
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+ new core_1.TradePatchEvent(instrument, (0, core_1.d)(1234.56789), (0, core_1.d)(1.12345678), 1616175004063),
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+ new core_1.TradePatchEvent(instrument, (0, core_1.d)(1234.56789), (0, core_1.d)(2.12345678), 1616221874143),
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+ new core_1.TradePatchEvent(instrument, (0, core_1.d)(1234.56789), (0, core_1.d)(3.12345678), 1616234152108)
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  ]);
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  const result = await feed.query(instrument, {
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  from: 1616175004062,
@@ -87,22 +85,22 @@ describe('sqlite feed tests', () => {
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  onBacktestCompleted: () => {
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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);
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+ expect(trade.rate).toEqual((0, core_1.d)(8));
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+ expect(trade.quantity).toEqual((0, core_1.d)(8));
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  expect(store.snapshot.timestamp).toEqual(8);
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  done();
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  }
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  });
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  feed
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- .save(instrument, [
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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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+ .save([
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+ new core_1.TradePatchEvent(instrument, (0, core_1.d)(1), (0, core_1.d)(1), 1),
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+ new core_1.TradePatchEvent(instrument, (0, core_1.d)(2), (0, core_1.d)(2), 2),
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+ new core_1.TradePatchEvent(instrument, (0, core_1.d)(3), (0, core_1.d)(3), 3),
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+ new core_1.TradePatchEvent(instrument, (0, core_1.d)(4), (0, core_1.d)(4), 4),
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+ new core_1.TradePatchEvent(instrument, (0, core_1.d)(5), (0, core_1.d)(5), 5),
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+ new core_1.TradePatchEvent(instrument, (0, core_1.d)(6), (0, core_1.d)(6), 6),
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+ new core_1.TradePatchEvent(instrument, (0, core_1.d)(7), (0, core_1.d)(7), 7),
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+ new core_1.TradePatchEvent(instrument, (0, core_1.d)(8), (0, core_1.d)(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
@@ -1 +1 @@
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package/package.json CHANGED
@@ -1,6 +1,6 @@
1
1
  {
2
2
  "name": "@quantform/sqlite",
3
- "version": "0.5.15",
3
+ "version": "0.5.23",
4
4
  "description": "Node.js library for building systematic trading strategies in reactive way.",
5
5
  "author": "Mateusz Majchrzak",
6
6
  "license": "MIT",
@@ -28,7 +28,7 @@
28
28
  "@quantform/core": "*"
29
29
  },
30
30
  "devDependencies": {
31
- "@quantform/core": "0.5.15",
31
+ "@quantform/core": "0.5.23",
32
32
  "@types/better-sqlite3": "^7.5.0",
33
33
  "@types/jest": "^27.4.1",
34
34
  "@types/node": "^17.0.23",
package/src/sqlite-feed.spec.ts CHANGED
@@ -1,10 +1,11 @@
1
1
  import {
2
2
  Asset,
3
3
  BacktesterStreamer,
4
- Candle,
4
+ d,
5
5
  Feed,
6
6
  Instrument,
7
- Store
7
+ Store,
8
+ TradePatchEvent
8
9
  } from '@quantform/core';
9
10
  import { existsSync, unlinkSync } from 'fs';
10
11
 
@@ -28,17 +29,10 @@ describe('sqlite feed tests', () => {
28
29
  const feed = new Feed(new SQLiteStorage(dbName));
29
30
 
30
31
  const input = [
31
- new Candle(
32
- 1616175004063,
33
- 1234.56789,
34
- 1234.56789,
35
- 1234.56789,
36
- 1234.56789,
37
- 1.12345678
38
- )
32
+ new TradePatchEvent(instrument, d(1234.56789), d(1.12345678), 1616175004063)
39
33
  ];
40
34
 
41
- await feed.save(instrument, input);
35
+ await feed.save(input);
42
36
 
43
37
  const output = await feed.query(instrument, {
44
38
  from: 1616175004062,
@@ -53,33 +47,12 @@ describe('sqlite feed tests', () => {
53
47
  const feed = new Feed(new SQLiteStorage(dbName));
54
48
 
55
49
  const input = [
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
- )
50
+ new TradePatchEvent(instrument, d(1234.56789), d(1.12345678), 1616175004063),
51
+ new TradePatchEvent(instrument, d(1234.56789), d(2.12345678), 1616221874143),
52
+ new TradePatchEvent(instrument, d(1234.56789), d(3.12345678), 1616234152108)
80
53
  ];
81
54
 
82
- await feed.save(instrument, input);
55
+ await feed.save(input);
83
56
 
84
57
  const output = await feed.query(instrument, {
85
58
  from: 1616175004062,
@@ -90,9 +63,7 @@ describe('sqlite feed tests', () => {
90
63
  expect(output.length).toBe(3);
91
64
 
92
65
  for (let i = 0; i < 3; i++) {
93
- expect(output[i].timestamp).toBe(input[i].timestamp);
94
- expect(output[i].open).toBe(input[i].open);
95
- expect(output[i].volume).toBe(input[i].volume);
66
+ expect(output[i]).toEqual(input[i]);
96
67
  }
97
68
  });
98
69
 
@@ -100,33 +71,12 @@ describe('sqlite feed tests', () => {
100
71
  const feed = new Feed(new SQLiteStorage(dbName));
101
72
 
102
73
  const input = [
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
- )
74
+ new TradePatchEvent(instrument, d(1234.56789), d(1.12345678), 1616175004063),
75
+ new TradePatchEvent(instrument, d(1234.56789), d(2.12345678), 1616221874143),
76
+ new TradePatchEvent(instrument, d(1234.56789), d(3.12345678), 1616234152108)
127
77
  ];
128
78
 
129
- await feed.save(instrument, input);
79
+ await feed.save(input);
130
80
 
131
81
  const output = await feed.query(instrument, {
132
82
  from: 1616175004062,
@@ -142,31 +92,10 @@ describe('sqlite feed tests', () => {
142
92
  test('should override duplicated rows', async () => {
143
93
  const feed = new Feed(new SQLiteStorage(dbName));
144
94
 
145
- await feed.save(instrument, [
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
- )
95
+ await feed.save([
96
+ new TradePatchEvent(instrument, d(1234.56789), d(1.12345678), 1616175004063),
97
+ new TradePatchEvent(instrument, d(1234.56789), d(2.12345678), 1616221874143),
98
+ new TradePatchEvent(instrument, d(1234.56789), d(3.12345678), 1616234152108)
170
99
  ]);
171
100
 
172
101
  const result = await feed.query(instrument, {
@@ -197,8 +126,8 @@ describe('sqlite feed tests', () => {
197
126
  const trade = store.snapshot.trade.get(instrument.id);
198
127
 
199
128
  expect(trade.timestamp).toEqual(8);
200
- expect(trade.rate).toEqual(8);
201
- expect(trade.quantity).toEqual(8);
129
+ expect(trade.rate).toEqual(d(8));
130
+ expect(trade.quantity).toEqual(d(8));
202
131
  expect(store.snapshot.timestamp).toEqual(8);
203
132
 
204
133
  done();
@@ -207,15 +136,15 @@ describe('sqlite feed tests', () => {
207
136
  );
208
137
 
209
138
  feed
210
- .save(instrument, [
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)
139
+ .save([
140
+ new TradePatchEvent(instrument, d(1), d(1), 1),
141
+ new TradePatchEvent(instrument, d(2), d(2), 2),
142
+ new TradePatchEvent(instrument, d(3), d(3), 3),
143
+ new TradePatchEvent(instrument, d(4), d(4), 4),
144
+ new TradePatchEvent(instrument, d(5), d(5), 5),
145
+ new TradePatchEvent(instrument, d(6), d(6), 6),
146
+ new TradePatchEvent(instrument, d(7), d(7), 7),
147
+ new TradePatchEvent(instrument, d(8), d(8), 8)
219
148
  ])
220
149
  .then(() => {
221
150
  streamer.subscribe(instrument);