@quantform/sqlite 0.5.23 → 0.6.4

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 (26) hide show
  1. package/LICENSE.md +21 -0
  2. package/dist/error.d.ts +2 -0
  3. package/dist/error.d.ts.map +1 -0
  4. package/dist/error.js +7 -0
  5. package/dist/index.d.ts +1 -0
  6. package/dist/index.d.ts.map +1 -0
  7. package/dist/index.js +0 -1
  8. package/dist/sqlite-storage.d.ts +4 -3
  9. package/dist/sqlite-storage.d.ts.map +1 -0
  10. package/dist/sqlite-storage.js +58 -29
  11. package/jest.config.ts +12 -0
  12. package/package.json +13 -28
  13. package/src/error.ts +3 -0
  14. package/src/sqlite-feed.spec.ts +5 -2
  15. package/src/sqlite-storage.ts +33 -10
  16. package/tsconfig.json +12 -4
  17. package/dist/index.js.map +0 -1
  18. package/dist/sqlite-feed.spec.d.ts +0 -1
  19. package/dist/sqlite-feed.spec.js +0 -111
  20. package/dist/sqlite-feed.spec.js.map +0 -1
  21. package/dist/sqlite-measurement.spec.d.ts +0 -1
  22. package/dist/sqlite-measurement.spec.js +0 -114
  23. package/dist/sqlite-measurement.spec.js.map +0 -1
  24. package/dist/sqlite-storage.js.map +0 -1
  25. package/dist/tsconfig.tsbuildinfo +0 -1
  26. package/jestconfig.json +0 -13
package/LICENSE.md ADDED
@@ -0,0 +1,21 @@
1
+ MIT License
2
+
3
+ Copyright (c) 2022 Mateusz Majchrzak
4
+
5
+ Permission is hereby granted, free of charge, to any person obtaining a copy
6
+ of this software and associated documentation files (the "Software"), to deal
7
+ in the Software without restriction, including without limitation the rights
8
+ to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
9
+ copies of the Software, and to permit persons to whom the Software is
10
+ furnished to do so, subject to the following conditions:
11
+
12
+ The above copyright notice and this permission notice shall be included in all
13
+ copies or substantial portions of the Software.
14
+
15
+ THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
16
+ IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
17
+ FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
18
+ AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
19
+ LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
20
+ OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
21
+ SOFTWARE.
package/dist/error.d.ts ADDED
@@ -0,0 +1,2 @@
1
+ export declare function noConnectionError(): Error;
2
+ //# sourceMappingURL=error.d.ts.map
package/dist/error.d.ts.map ADDED
@@ -0,0 +1 @@
1
+ {"version":3,"file":"error.d.ts","sourceRoot":"","sources":["../src/error.ts"],"names":[],"mappings":"AAAA,wBAAgB,iBAAiB,UAEhC"}
package/dist/error.js ADDED
@@ -0,0 +1,7 @@
1
+ "use strict";
2
+ Object.defineProperty(exports, "__esModule", { value: true });
3
+ exports.noConnectionError = void 0;
4
+ function noConnectionError() {
5
+ return new Error('Missing database connection connection!');
6
+ }
7
+ exports.noConnectionError = noConnectionError;
package/dist/index.d.ts CHANGED
@@ -1 +1,2 @@
1
1
  export * from './sqlite-storage';
2
+ //# sourceMappingURL=index.d.ts.map
package/dist/index.d.ts.map ADDED
@@ -0,0 +1 @@
1
+ {"version":3,"file":"index.d.ts","sourceRoot":"","sources":["../src/index.ts"],"names":[],"mappings":"AAAA,cAAc,kBAAkB,CAAC"}
package/dist/index.js CHANGED
@@ -15,4 +15,3 @@ var __exportStar = (this && this.__exportStar) || function(m, exports) {
15
15
  };
16
16
  Object.defineProperty(exports, "__esModule", { value: true });
17
17
  __exportStar(require("./sqlite-storage"), exports);
18
- //# sourceMappingURL=index.js.map
package/dist/sqlite-storage.d.ts CHANGED
@@ -1,9 +1,9 @@
1
- import { Storage, StorageDocument, StorageFactory, StorageQueryOptions } from '@quantform/core';
1
+ import { SessionFeature, Storage, StorageDocument, StorageQueryOptions } from '@quantform/core';
2
2
  import { Database } from 'better-sqlite3';
3
- export declare function sqlite(directory?: string): StorageFactory;
3
+ export declare function sqlite(directory?: string): SessionFeature;
4
4
  export declare class SQLiteStorage implements Storage {
5
5
  private readonly filename;
6
- protected connection: Database;
6
+ protected connection?: Database;
7
7
  constructor(filename: string);
8
8
  private tryConnect;
9
9
  private tryCreateTable;
@@ -11,3 +11,4 @@ export declare class SQLiteStorage implements Storage {
11
11
  query(library: string, options: StorageQueryOptions): Promise<StorageDocument[]>;
12
12
  save(library: string, documents: StorageDocument[]): Promise<void>;
13
13
  }
14
+ //# sourceMappingURL=sqlite-storage.d.ts.map
package/dist/sqlite-storage.d.ts.map ADDED
@@ -0,0 +1 @@
1
+ {"version":3,"file":"sqlite-storage.d.ts","sourceRoot":"","sources":["../src/sqlite-storage.ts"],"names":[],"mappings":"AAAA,OAAO,EAEL,cAAc,EACd,OAAO,EACP,eAAe,EACf,mBAAmB,EAEpB,MAAM,iBAAiB,CAAC;AACzB,OAAO,EAAE,QAAQ,EAAE,MAAM,gBAAgB,CAAC;AAO1C,wBAAgB,MAAM,CAAC,SAAS,CAAC,EAAE,MAAM,GAAG,cAAc,CAOzD;AAED,qBAAa,aAAc,YAAW,OAAO;IAG/B,OAAO,CAAC,QAAQ,CAAC,QAAQ;IAFrC,SAAS,CAAC,UAAU,CAAC,EAAE,QAAQ,CAAC;gBAEH,QAAQ,EAAE,MAAM;IAE7C,OAAO,CAAC,UAAU;IAYlB,OAAO,CAAC,cAAc;IAehB,KAAK,IAAI,OAAO,CAAC,KAAK,CAAC,MAAM,CAAC,CAAC;IAa/B,KAAK,CAAC,OAAO,EAAE,MAAM,EAAE,OAAO,EAAE,mBAAmB,GAAG,OAAO,CAAC,eAAe,EAAE,CAAC;IAuChF,IAAI,CAAC,OAAO,EAAE,MAAM,EAAE,SAAS,EAAE,eAAe,EAAE,GAAG,OAAO,CAAC,IAAI,CAAC;CAoBzE"}
package/dist/sqlite-storage.js CHANGED
@@ -1,12 +1,24 @@
1
1
  "use strict";
2
+ var __awaiter = (this && this.__awaiter) || function (thisArg, _arguments, P, generator) {
3
+ function adopt(value) { return value instanceof P ? value : new P(function (resolve) { resolve(value); }); }
4
+ return new (P || (P = Promise))(function (resolve, reject) {
5
+ function fulfilled(value) { try { step(generator.next(value)); } catch (e) { reject(e); } }
6
+ function rejected(value) { try { step(generator["throw"](value)); } catch (e) { reject(e); } }
7
+ function step(result) { result.done ? resolve(result.value) : adopt(result.value).then(fulfilled, rejected); }
8
+ step((generator = generator.apply(thisArg, _arguments || [])).next());
9
+ });
10
+ };
2
11
  Object.defineProperty(exports, "__esModule", { value: true });
3
12
  exports.SQLiteStorage = exports.sqlite = void 0;
4
13
  const core_1 = require("@quantform/core");
5
14
  const bettersqlite3 = require("better-sqlite3");
6
15
  const fs_1 = require("fs");
7
16
  const path_1 = require("path");
17
+ const error_1 = require("./error");
8
18
  function sqlite(directory) {
9
- return (type) => new SQLiteStorage((0, path_1.join)(directory !== null && directory !== void 0 ? directory : (0, core_1.workingDirectory)(), `/${type}.sqlite`));
19
+ return (builder) => {
20
+ builder.useStorage((type) => new SQLiteStorage((0, path_1.join)(directory !== null && directory !== void 0 ? directory : (0, core_1.workingDirectory)(), `/${type}.sqlite`)));
21
+ };
10
22
  }
11
23
  exports.sqlite = sqlite;
12
24
  class SQLiteStorage {
@@ -23,6 +35,9 @@ class SQLiteStorage {
23
35
  this.connection = bettersqlite3(this.filename);
24
36
  }
25
37
  tryCreateTable(table) {
38
+ if (!this.connection) {
39
+ throw (0, error_1.noConnectionError)();
40
+ }
26
41
  this.connection.exec(`CREATE TABLE IF NOT EXISTS "${table}" (
27
42
  timestamp INTEGER NOT NULL,
28
43
  kind TEXT NOT NULL,
@@ -30,43 +45,57 @@ class SQLiteStorage {
30
45
  PRIMARY KEY (timestamp, kind)
31
46
  )`);
32
47
  }
33
- async index() {
34
- this.tryConnect();
35
- return this.connection
36
- .prepare("SELECT name FROM sqlite_master WHERE type='table'")
37
- .all()
38
- .map(it => it.name);
48
+ index() {
49
+ return __awaiter(this, void 0, void 0, function* () {
50
+ this.tryConnect();
51
+ if (!this.connection) {
52
+ throw (0, error_1.noConnectionError)();
53
+ }
54
+ return this.connection
55
+ .prepare("SELECT name FROM sqlite_master WHERE type='table'")
56
+ .all()
57
+ .map(it => it.name);
58
+ });
39
59
  }
40
- async query(library, options) {
60
+ query(library, options) {
41
61
  var _a, _b;
42
- this.tryConnect();
43
- if (!this.connection
44
- .prepare(`SELECT name FROM sqlite_master WHERE type='table' AND name='${library}'`)
45
- .all().length) {
46
- return [];
47
- }
48
- const isBackward = options.from == undefined;
49
- let rows = this.connection
50
- .prepare(`SELECT * FROM "${library}"
62
+ return __awaiter(this, void 0, void 0, function* () {
63
+ this.tryConnect();
64
+ if (!this.connection) {
65
+ throw (0, error_1.noConnectionError)();
66
+ }
67
+ if (!this.connection
68
+ .prepare(`SELECT name FROM sqlite_master WHERE type='table' AND name='${library}'`)
69
+ .all().length) {
70
+ return [];
71
+ }
72
+ const isBackward = options.from == undefined;
73
+ let rows = this.connection
74
+ .prepare(`SELECT * FROM "${library}"
51
75
  WHERE timestamp > ? AND timestamp < ? ${options.kind ? `AND kind = '${options.kind}'` : ''}
52
76
  ORDER BY timestamp ${isBackward ? 'DESC' : ''}
53
77
  LIMIT ?`)
54
- .all([(_a = options.from) !== null && _a !== void 0 ? _a : 0, (_b = options.to) !== null && _b !== void 0 ? _b : Number.MAX_VALUE], Math.min(options.count, 50000));
55
- if (isBackward) {
56
- rows = rows.reverse();
57
- }
58
- return rows;
78
+ .all([(_a = options.from) !== null && _a !== void 0 ? _a : 0, (_b = options.to) !== null && _b !== void 0 ? _b : Number.MAX_VALUE], Math.min(options.count, 50000));
79
+ if (isBackward) {
80
+ rows = rows.reverse();
81
+ }
82
+ return rows;
83
+ });
59
84
  }
60
- async save(library, documents) {
61
- this.tryConnect();
62
- this.tryCreateTable(library);
63
- const statement = this.connection.prepare(`
85
+ save(library, documents) {
86
+ return __awaiter(this, void 0, void 0, function* () {
87
+ this.tryConnect();
88
+ if (!this.connection) {
89
+ throw (0, error_1.noConnectionError)();
90
+ }
91
+ this.tryCreateTable(library);
92
+ const statement = this.connection.prepare(`
64
93
  REPLACE INTO "${library}" (timestamp, kind, json)
65
94
  VALUES(?, ?, ?);
66
95
  `);
67
- const insertMany = this.connection.transaction(rows => rows.forEach(it => statement.run(it.timestamp, it.kind, it.json)));
68
- insertMany(documents);
96
+ const insertMany = this.connection.transaction(rows => rows.forEach((it) => statement.run(it.timestamp, it.kind, it.json)));
97
+ insertMany(documents);
98
+ });
69
99
  }
70
100
  }
71
101
  exports.SQLiteStorage = SQLiteStorage;
72
- //# sourceMappingURL=sqlite-storage.js.map
package/jest.config.ts ADDED
@@ -0,0 +1,12 @@
1
+ import { Config } from 'jest';
2
+
3
+ const config: Config = {
4
+ preset: 'ts-jest',
5
+ testEnvironment: 'node',
6
+ testMatch: ['**/src/**/?(*.)+(spec|test).[jt]s?(x)'],
7
+ transform: {
8
+ '^.+\\.ts?$': 'ts-jest'
9
+ }
10
+ };
11
+
12
+ export default config;
package/package.json CHANGED
@@ -1,10 +1,9 @@
1
1
  {
2
2
  "name": "@quantform/sqlite",
3
- "version": "0.5.23",
4
- "description": "Node.js library for building systematic trading strategies in reactive way.",
5
- "author": "Mateusz Majchrzak",
3
+ "version": "0.6.4",
6
4
  "license": "MIT",
7
- "homepage": "https://quantform.io",
5
+ "author": "Mateusz Majchrzak",
6
+ "description": "Node.js library for building systematic trading strategies in reactive way.",
8
7
  "repository": {
9
8
  "type": "git",
10
9
  "url": "https://github.com/quantform/quantform"
@@ -13,33 +12,19 @@
13
12
  "access": "public"
14
13
  },
15
14
  "main": "dist/index.js",
16
- "types": "dist/index.d.ts",
17
- "scripts": {
18
- "prepare": "npm run build",
19
- "build": "tsc",
20
- "test": "jest -c jestconfig.json --coverage --passWithNoTests"
21
- },
15
+ "typings": "dist/index.d.ts",
22
16
  "dependencies": {
23
- "better-sqlite3": "^7.5.0",
24
- "dotenv": "^16.0.0",
25
- "tslib": "^2.3.1"
26
- },
27
- "peerDependencies": {
28
- "@quantform/core": "*"
17
+ "better-sqlite3": "^7.6.2"
29
18
  },
30
19
  "devDependencies": {
31
- "@quantform/core": "0.5.23",
32
- "@types/better-sqlite3": "^7.5.0",
33
- "@types/jest": "^27.4.1",
34
- "@types/node": "^17.0.23",
35
- "eslint": "^8.11.0",
36
- "jest": "^27.5.1",
37
- "prettier": "^2.6.1",
38
- "ts-jest": "^27.1.4",
39
- "ts-node": "^10.7.0",
40
- "typescript": "^4.6.3"
20
+ "@types/better-sqlite3": "^7.6.0",
21
+ "@quantform/core": "0.6.4"
22
+ },
23
+ "peerDependencies": {
24
+ "@quantform/core": "0.6.4"
41
25
  },
42
- "engines": {
43
- "node": ">= 14.18.1"
26
+ "scripts": {
27
+ "build": "tsc",
28
+ "test": "jest"
44
29
  }
45
30
  }
package/src/error.ts ADDED
@@ -0,0 +1,3 @@
1
+ export function noConnectionError() {
2
+ return new Error('Missing database connection connection!');
3
+ }
package/src/sqlite-feed.spec.ts CHANGED
@@ -1,6 +1,7 @@
1
1
  import {
2
2
  Asset,
3
3
  BacktesterStreamer,
4
+ Commission,
4
5
  d,
5
6
  Feed,
6
7
  Instrument,
@@ -14,9 +15,11 @@ import { SQLiteStorage } from './sqlite-storage';
14
15
  describe('sqlite feed tests', () => {
15
16
  const dbName = 'test.db';
16
17
  const instrument = new Instrument(
18
+ 0,
17
19
  new Asset('btc', 'binance', 8),
18
20
  new Asset('usdt', 'binance', 2),
19
- ''
21
+ '',
22
+ Commission.Zero
20
23
  );
21
24
 
22
25
  afterEach(() => {
@@ -123,7 +126,7 @@ describe('sqlite feed tests', () => {
123
126
  },
124
127
  {
125
128
  onBacktestCompleted: () => {
126
- const trade = store.snapshot.trade.get(instrument.id);
129
+ const trade = store.snapshot.trade.get(instrument.id) ?? fail();
127
130
 
128
131
  expect(trade.timestamp).toEqual(8);
129
132
  expect(trade.rate).toEqual(d(8));
package/src/sqlite-storage.ts CHANGED
@@ -1,7 +1,8 @@
1
1
  import {
2
+ SessionBuilder,
3
+ SessionFeature,
2
4
  Storage,
3
5
  StorageDocument,
4
- StorageFactory,
5
6
  StorageQueryOptions,
6
7
  workingDirectory
7
8
  } from '@quantform/core';
@@ -10,15 +11,21 @@ import * as bettersqlite3 from 'better-sqlite3';
10
11
  import { existsSync, mkdirSync } from 'fs';
11
12
  import { dirname, join } from 'path';
12
13
 
13
- export function sqlite(directory?: string): StorageFactory {
14
- return (type: string) =>
15
- new SQLiteStorage(join(directory ?? workingDirectory(), `/${type}.sqlite`));
14
+ import { noConnectionError } from './error';
15
+
16
+ export function sqlite(directory?: string): SessionFeature {
17
+ return (builder: SessionBuilder) => {
18
+ builder.useStorage(
19
+ (type: string) =>
20
+ new SQLiteStorage(join(directory ?? workingDirectory(), `/${type}.sqlite`))
21
+ );
22
+ };
16
23
  }
17
24
 
18
25
  export class SQLiteStorage implements Storage {
19
- protected connection: Database;
26
+ protected connection?: Database;
20
27
 
21
- constructor(private readonly filename: string) {}
28
+ constructor(private readonly filename: string) { }
22
29
 
23
30
  private tryConnect() {
24
31
  if (this.connection) {
@@ -33,6 +40,10 @@ export class SQLiteStorage implements Storage {
33
40
  }
34
41
 
35
42
  private tryCreateTable(table: string) {
43
+ if (!this.connection) {
44
+ throw noConnectionError();
45
+ }
46
+
36
47
  this.connection.exec(
37
48
  `CREATE TABLE IF NOT EXISTS "${table}" (
38
49
  timestamp INTEGER NOT NULL,
@@ -46,6 +57,10 @@ export class SQLiteStorage implements Storage {
46
57
  async index(): Promise<Array<string>> {
47
58
  this.tryConnect();
48
59
 
60
+ if (!this.connection) {
61
+ throw noConnectionError();
62
+ }
63
+
49
64
  return this.connection
50
65
  .prepare("SELECT name FROM sqlite_master WHERE type='table'")
51
66
  .all()
@@ -55,6 +70,10 @@ export class SQLiteStorage implements Storage {
55
70
  async query(library: string, options: StorageQueryOptions): Promise<StorageDocument[]> {
56
71
  this.tryConnect();
57
72
 
73
+ if (!this.connection) {
74
+ throw noConnectionError();
75
+ }
76
+
58
77
  if (
59
78
  !this.connection
60
79
  .prepare(
@@ -70,9 +89,8 @@ export class SQLiteStorage implements Storage {
70
89
  let rows = this.connection
71
90
  .prepare(
72
91
  `SELECT * FROM "${library}"
73
- WHERE timestamp > ? AND timestamp < ? ${
74
- options.kind ? `AND kind = '${options.kind}'` : ''
75
- }
92
+ WHERE timestamp > ? AND timestamp < ? ${options.kind ? `AND kind = '${options.kind}'` : ''
93
+ }
76
94
  ORDER BY timestamp ${isBackward ? 'DESC' : ''}
77
95
  LIMIT ?`
78
96
  )
@@ -90,6 +108,11 @@ export class SQLiteStorage implements Storage {
90
108
 
91
109
  async save(library: string, documents: StorageDocument[]): Promise<void> {
92
110
  this.tryConnect();
111
+
112
+ if (!this.connection) {
113
+ throw noConnectionError();
114
+ }
115
+
93
116
  this.tryCreateTable(library);
94
117
 
95
118
  const statement = this.connection.prepare(`
@@ -98,7 +121,7 @@ export class SQLiteStorage implements Storage {
98
121
  `);
99
122
 
100
123
  const insertMany = this.connection.transaction(rows =>
101
- rows.forEach(it => statement.run(it.timestamp, it.kind, it.json))
124
+ rows.forEach((it: any) => statement.run(it.timestamp, it.kind, it.json))
102
125
  );
103
126
 
104
127
  insertMany(documents);
package/tsconfig.json CHANGED
@@ -1,8 +1,16 @@
1
1
  {
2
- "extends": "./../../../tsconfig.json",
2
+ "extends": "../../tsconfig.lib.json",
3
3
  "compilerOptions": {
4
- "baseUrl": "./",
5
- "outDir": "./dist",
4
+ "outDir": "dist",
5
+ "esModuleInterop": false
6
6
  },
7
- "include": ["*.ts", "**/*.ts"]
7
+ "include": [
8
+ "src/**/*",
9
+ ],
10
+ "exclude": [
11
+ "jest.config.ts",
12
+ "**/*.spec.ts",
13
+ "**/*.test.ts",
14
+ "lib/**/*"
15
+ ]
8
16
  }
package/dist/index.js.map DELETED
@@ -1 +0,0 @@
1
- {"version":3,"file":"index.js","sourceRoot":"","sources":["../src/index.ts"],"names":[],"mappings":";;;;;;;;;;;;;;;;AAAA,mDAAiC"}
package/dist/sqlite-feed.spec.d.ts DELETED
@@ -1 +0,0 @@
1
- export {};
package/dist/sqlite-feed.spec.js DELETED
@@ -1,111 +0,0 @@
1
- "use strict";
2
- Object.defineProperty(exports, "__esModule", { value: true });
3
- const core_1 = require("@quantform/core");
4
- const fs_1 = require("fs");
5
- const sqlite_storage_1 = require("./sqlite-storage");
6
- describe('sqlite feed tests', () => {
7
- const dbName = 'test.db';
8
- const instrument = new core_1.Instrument(new core_1.Asset('btc', 'binance', 8), new core_1.Asset('usdt', 'binance', 2), '');
9
- afterEach(() => {
10
- if ((0, fs_1.existsSync)(dbName)) {
11
- (0, fs_1.unlinkSync)(dbName);
12
- }
13
- });
14
- test('should create db file in user directory', async () => {
15
- const feed = new core_1.Feed(new sqlite_storage_1.SQLiteStorage(dbName));
16
- const input = [
17
- new core_1.TradePatchEvent(instrument, (0, core_1.d)(1234.56789), (0, core_1.d)(1.12345678), 1616175004063)
18
- ];
19
- await feed.save(input);
20
- const output = await feed.query(instrument, {
21
- from: 1616175004062,
22
- to: 1616234152109,
23
- count: 100
24
- });
25
- expect(output.length).toBe(1);
26
- });
27
- test('should insert multiple rows', async () => {
28
- const feed = new core_1.Feed(new sqlite_storage_1.SQLiteStorage(dbName));
29
- const input = [
30
- new core_1.TradePatchEvent(instrument, (0, core_1.d)(1234.56789), (0, core_1.d)(1.12345678), 1616175004063),
31
- new core_1.TradePatchEvent(instrument, (0, core_1.d)(1234.56789), (0, core_1.d)(2.12345678), 1616221874143),
32
- new core_1.TradePatchEvent(instrument, (0, core_1.d)(1234.56789), (0, core_1.d)(3.12345678), 1616234152108)
33
- ];
34
- await feed.save(input);
35
- const output = await feed.query(instrument, {
36
- from: 1616175004062,
37
- to: 1616234152109,
38
- count: 100
39
- });
40
- expect(output.length).toBe(3);
41
- for (let i = 0; i < 3; i++) {
42
- expect(output[i]).toEqual(input[i]);
43
- }
44
- });
45
- test('should limit result', async () => {
46
- const feed = new core_1.Feed(new sqlite_storage_1.SQLiteStorage(dbName));
47
- const input = [
48
- new core_1.TradePatchEvent(instrument, (0, core_1.d)(1234.56789), (0, core_1.d)(1.12345678), 1616175004063),
49
- new core_1.TradePatchEvent(instrument, (0, core_1.d)(1234.56789), (0, core_1.d)(2.12345678), 1616221874143),
50
- new core_1.TradePatchEvent(instrument, (0, core_1.d)(1234.56789), (0, core_1.d)(3.12345678), 1616234152108)
51
- ];
52
- await feed.save(input);
53
- const output = await feed.query(instrument, {
54
- from: 1616175004062,
55
- to: 1616234152109,
56
- count: 2
57
- });
58
- expect(output.length).toBe(2);
59
- expect(output[0].timestamp).toBe(input[0].timestamp);
60
- expect(output[1].timestamp).toBe(input[1].timestamp);
61
- });
62
- test('should override duplicated rows', async () => {
63
- const feed = new core_1.Feed(new sqlite_storage_1.SQLiteStorage(dbName));
64
- await feed.save([
65
- new core_1.TradePatchEvent(instrument, (0, core_1.d)(1234.56789), (0, core_1.d)(1.12345678), 1616175004063),
66
- new core_1.TradePatchEvent(instrument, (0, core_1.d)(1234.56789), (0, core_1.d)(2.12345678), 1616221874143),
67
- new core_1.TradePatchEvent(instrument, (0, core_1.d)(1234.56789), (0, core_1.d)(3.12345678), 1616234152108)
68
- ]);
69
- const result = await feed.query(instrument, {
70
- from: 1616175004062,
71
- to: 1616175004064,
72
- count: 100
73
- });
74
- expect(result.length).toBe(1);
75
- });
76
- test('should patch a store with events', done => {
77
- const feed = new core_1.Feed(new sqlite_storage_1.SQLiteStorage(dbName));
78
- const store = new core_1.Store();
79
- store.snapshot.universe.instrument.upsert(instrument);
80
- store.snapshot.subscription.instrument.upsert(instrument);
81
- const streamer = new core_1.BacktesterStreamer(store, feed, {
82
- from: 0,
83
- to: 10
84
- }, {
85
- onBacktestCompleted: () => {
86
- const trade = store.snapshot.trade.get(instrument.id);
87
- expect(trade.timestamp).toEqual(8);
88
- expect(trade.rate).toEqual((0, core_1.d)(8));
89
- expect(trade.quantity).toEqual((0, core_1.d)(8));
90
- expect(store.snapshot.timestamp).toEqual(8);
91
- done();
92
- }
93
- });
94
- feed
95
- .save([
96
- new core_1.TradePatchEvent(instrument, (0, core_1.d)(1), (0, core_1.d)(1), 1),
97
- new core_1.TradePatchEvent(instrument, (0, core_1.d)(2), (0, core_1.d)(2), 2),
98
- new core_1.TradePatchEvent(instrument, (0, core_1.d)(3), (0, core_1.d)(3), 3),
99
- new core_1.TradePatchEvent(instrument, (0, core_1.d)(4), (0, core_1.d)(4), 4),
100
- new core_1.TradePatchEvent(instrument, (0, core_1.d)(5), (0, core_1.d)(5), 5),
101
- new core_1.TradePatchEvent(instrument, (0, core_1.d)(6), (0, core_1.d)(6), 6),
102
- new core_1.TradePatchEvent(instrument, (0, core_1.d)(7), (0, core_1.d)(7), 7),
103
- new core_1.TradePatchEvent(instrument, (0, core_1.d)(8), (0, core_1.d)(8), 8)
104
- ])
105
- .then(() => {
106
- streamer.subscribe(instrument);
107
- streamer.tryContinue();
108
- });
109
- });
110
- });
111
- //# sourceMappingURL=sqlite-feed.spec.js.map
package/dist/sqlite-feed.spec.js.map DELETED
@@ -1 +0,0 @@
1
- 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package/dist/sqlite-measurement.spec.d.ts DELETED
@@ -1 +0,0 @@
1
- export {};
package/dist/sqlite-measurement.spec.js DELETED
@@ -1,114 +0,0 @@
1
- "use strict";
2
- Object.defineProperty(exports, "__esModule", { value: true });
3
- const core_1 = require("@quantform/core");
4
- const fs_1 = require("fs");
5
- const sqlite_storage_1 = require("./sqlite-storage");
6
- describe('sqlite measurement tests', () => {
7
- const dbName = 'measurement.db';
8
- beforeEach(() => {
9
- if ((0, fs_1.existsSync)(dbName)) {
10
- (0, fs_1.unlinkSync)(dbName);
11
- }
12
- });
13
- afterAll(() => {
14
- if ((0, fs_1.existsSync)(dbName)) {
15
- (0, fs_1.unlinkSync)(dbName);
16
- }
17
- });
18
- test('should return empty array for unknown session', async () => {
19
- const measurement = new core_1.Measurement(new sqlite_storage_1.SQLiteStorage(dbName));
20
- const measure = await measurement.query(0, {
21
- from: 0,
22
- count: 100
23
- });
24
- expect(measure).toEqual([]);
25
- });
26
- test('should list written sessions', async () => {
27
- const measurement = new core_1.Measurement(new sqlite_storage_1.SQLiteStorage(dbName));
28
- await measurement.save(1, [...Array(10).keys()].map(it => ({
29
- timestamp: it + 1,
30
- kind: 'spread',
31
- payload: { value: it + 1 }
32
- })));
33
- await measurement.save(2, [...Array(10).keys()].map(it => ({
34
- timestamp: it + 1,
35
- kind: 'spread',
36
- payload: { value: it + 1 }
37
- })));
38
- const index = await measurement.index();
39
- expect(index.length).toBe(2);
40
- expect(index[0]).toBe(1);
41
- expect(index[1]).toBe(2);
42
- });
43
- test('should read and write measurement', async () => {
44
- const measurement = new core_1.Measurement(new sqlite_storage_1.SQLiteStorage(dbName));
45
- const session = 1;
46
- await measurement.save(session, [...Array(10).keys()].map(it => ({
47
- timestamp: it + 1,
48
- kind: 'spread',
49
- payload: { value: it + 1 }
50
- })));
51
- const after = await measurement.query(session, {
52
- from: 5,
53
- count: 100
54
- });
55
- expect(after.length).toBe(5);
56
- expect(after[0].timestamp).toBe(6);
57
- expect(after[0].kind).toBe('spread');
58
- expect(after[0].payload.value).toBe(6);
59
- expect(after[1].timestamp).toBe(7);
60
- expect(after[1].kind).toBe('spread');
61
- expect(after[1].payload.value).toBe(7);
62
- expect(after[2].timestamp).toBe(8);
63
- expect(after[2].kind).toBe('spread');
64
- expect(after[2].payload.value).toBe(8);
65
- const before = await measurement.query(session, {
66
- to: 6,
67
- count: 100
68
- });
69
- expect(before.length).toBe(5);
70
- expect(before[0].timestamp).toBe(1);
71
- expect(before[0].kind).toBe('spread');
72
- expect(before[0].payload.value).toBe(1);
73
- expect(before[1].timestamp).toBe(2);
74
- expect(before[1].kind).toBe('spread');
75
- expect(before[1].payload.value).toBe(2);
76
- expect(before[2].timestamp).toBe(3);
77
- expect(before[2].kind).toBe('spread');
78
- expect(before[2].payload.value).toBe(3);
79
- });
80
- test('should read and write specific measurement (state)', async () => {
81
- const measurement = new core_1.Measurement(new sqlite_storage_1.SQLiteStorage(dbName));
82
- const session = 1;
83
- await measurement.save(session, [
84
- {
85
- timestamp: 1,
86
- kind: 'order-completed',
87
- payload: { rate: 100 }
88
- },
89
- {
90
- timestamp: 5,
91
- kind: 'order-completed',
92
- payload: { rate: 105 }
93
- }
94
- ]);
95
- let measure = await measurement.query(session, {
96
- to: 2,
97
- count: 1,
98
- kind: 'order-completed'
99
- });
100
- expect(measure.length).toBe(1);
101
- expect(measure[0].timestamp).toBe(1);
102
- expect(measure[0].kind).toBe('order-completed');
103
- expect(measure[0].payload.rate).toBe(100);
104
- measure = await measurement.query(session, {
105
- to: 6,
106
- count: 1
107
- });
108
- expect(measure.length).toBe(1);
109
- expect(measure[0].timestamp).toBe(5);
110
- expect(measure[0].kind).toBe('order-completed');
111
- expect(measure[0].payload.rate).toBe(105);
112
- });
113
- });
114
- //# sourceMappingURL=sqlite-measurement.spec.js.map
package/dist/sqlite-measurement.spec.js.map DELETED
@@ -1 +0,0 @@
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