@ex-master/core - npm Package Compare versions

Comparing version 0.1.34 to 0.1.35

bld/client/client.d.ts

 import { Decimal } from 'decimal.js';
-import { AccountData, ActiveOrder, Market, MarketData, Order, OrderType } from '../exchange';
+import { AccountBalance, ActiveOrder, Market, MarketData, Order, OrderType } from '../exchange';
 export declare const CLIENT_DEPTH_REPLAY = 10;
@@ -13,12 +13,12 @@ export declare const CLIENT_TRADE_REPLAY = 100;
     readonly power: number;
-    abstract getAccountData(): Promise<AccountData>;
+    /**
+     * This method is for canceling all active orders upon program start.
+     */
+    abstract cancelActiveOrders(): Promise<void>;
+    abstract getAccountBalance(): Promise<Dict<AccountBalance>>;
     abstract getMarkets(): Promise<MarketData[]>;
+    abstract getInactiveOrdersIn(orders: ActiveOrder[]): Promise<Order[]>;
     abstract order(market: Market, type: OrderType, price: Decimal, size: Decimal): Promise<string | undefined>;
     abstract cancelOrder(order: ActiveOrder): Promise<void>;
     abstract getOrder(order: ActiveOrder): Promise<Order>;
-    /**
-     * This method is for canceling all active orders upon program start.
-     */
-    abstract cancelActiveOrders(): Promise<void>;
-    getUpdatedOrders(orders: ActiveOrder[]): Promise<Order[]>;
     cancelOrders(orders: ActiveOrder[]): Promise<void>;
@@ -25,0 +25,0 @@ /**

bld/client/client.js

@@ -21,5 +21,2 @@ "use strict";
     }
-    getUpdatedOrders(orders) {
-        return v.map(orders, async (order) => this.getOrder(order));
-    }
     async cancelOrders(orders) {
@@ -26,0 +23,0 @@ await v.parallel(orders, async (order) => this.cancelOrder(order));

bld/exchange/exchange.d.ts

 import { Decimal } from 'decimal.js';
-import { BehaviorSubject } from 'rxjs';
+import { BehaviorSubject, Observable } from 'rxjs';
 import { Client } from '../client';
 import { Dashboard } from '../dashboard';
-import { Account } from './account';
+import { AccountBalance } from './factors';
 import { OrderDescriptor, OrderPaidFee, OrderType } from './order';
@@ -36,6 +36,10 @@ export declare type PrecisionAlignment = 'up' | 'down';
     readonly dashboard: Dashboard;
+    private balanceDict;
+    private _balance$;
+    readonly balance$: Observable<Dict<AccountBalance>>;
+    readonly operationalBalance$: Observable<Dict<Decimal>>;
     readonly updating$: BehaviorSubject<boolean>;
-    readonly account: Account;
     private activeOrderMap;
     private groupToLockObjectMap;
+    private tickLockObject;
     private stockMoneyToMarketDataMap;
@@ -47,3 +51,3 @@ private _markets;
     initialize(): Promise<void>;
-    assertBalanceEfficiency(keys?: string[]): Promise<void>;
+    getBalance(key: string): AccountBalance;
     getActiveOrders(group?: string): ActiveOrder[];
@@ -67,6 +71,4 @@ tick(): Promise<void>;
     private cancelOrders(orders);
-    private removeInactiveOrder({id});
     private cancelActiveOrders();
-    private updateAccountData();
     private updateMarkets();
 }

bld/exchange/exchange.js

@@ -8,3 +8,3 @@ "use strict";
 const v = require("villa");
-const account_1 = require("./account");
+const object_1 = require("../util/object");
 const debug = Debug('ex-master:core:exchange');
@@ -15,6 +15,21 @@ class Exchange {
         this.dashboard = dashboard;
+        this._balance$ = new rxjs_1.ReplaySubject(1);
+        this.balance$ = this._balance$
+            .debounce(() => rxjs_1.Observable.empty())
+            .distinctUntilChanged(object_1.isEqual)
+            .shareReplay(1);
+        this.operationalBalance$ = this.balance$
+            .map((balanceDict) => {
+            return Object.keys(balanceDict).reduce((dict, key) => {
+                let { available, frozen } = balanceDict[key];
+                dict[key] = available.add(frozen);
+                return dict;
+            }, {});
+        })
+            .distinctUntilChanged(object_1.isEqual)
+            .shareReplay(1);
         this.updating$ = new rxjs_1.BehaviorSubject(false);
-        this.account = new account_1.Account(this.dashboard);
         this.activeOrderMap = new Map();
         this.groupToLockObjectMap = new Map();
+        this.tickLockObject = {};
         this.stockMoneyToMarketDataMap = new multikey_map_1.MultikeyMap();
@@ -29,18 +44,9 @@ this.pendingUpdatesPriorityScale = pendingUpdatesPriorityScale;
         await this.cancelActiveOrders();
-        await this.updateAccountData();
+        await this.tick();
     }
-    async assertBalanceEfficiency(keys) {
-        let { balance: balanceDict } = await this.client.getAccountData();
-        if (!keys) {
-            keys = Object.keys(balanceDict);
-        }
-        for (let key of keys) {
-            let { available, frozen } = balanceDict[key];
-            let { available: calculatedAvailable, frozen: calculatedFrozen, } = this.account.getBalance(key);
-            let latest = available.add(decimal_js_1.Decimal.min(frozen, calculatedFrozen));
-            let calculated = calculatedAvailable.add(calculatedFrozen);
-            if (latest.dividedBy(calculated).greaterThan(1.0001)) {
-                throw new Error(`Balance efficiency assertion failure on "${key}" (${latest} <-> ${calculated})`);
-            }
-        }
+    getBalance(key) {
+        return (this.balanceDict[key] || {
+            available: new decimal_js_1.Decimal(0),
+            frozen: new decimal_js_1.Decimal(0),
+        });
     }
@@ -59,9 +65,15 @@ getActiveOrders(group) {
         }
-        let orders = await this.client.getUpdatedOrders(activeOrders);
-        for (let order of orders) {
-            this.account.onOrderUpdate(order);
-            if (!order.active) {
-                this.removeInactiveOrder(order);
+        await v.lock(this.tickLockObject, async () => {
+            let canceledOrders = await this.client.getInactiveOrdersIn(activeOrders);
+            let balanceDict = await this.client.getAccountBalance();
+            this.balanceDict = balanceDict;
+            this._balance$.next(balanceDict);
+            for (let { id } of canceledOrders) {
+                let activeOrder = this.activeOrderMap.get(id);
+                if (activeOrder) {
+                    activeOrder.becomeInactiveResolver();
+                }
+                this.activeOrderMap.delete(id);
             }
-        }
+        });
     }
@@ -258,3 +270,3 @@ async updateOrders(group, descriptors) {
             let value = price.mul(size);
-            let available = this.account.getBalance(market.money).available;
+            let available = this.getBalance(market.money).available;
             if (available.lessThan(value)) {
@@ -265,3 +277,3 @@ size = this.ensureSizePrecision(market, available.dividedBy(price));
         else {
-            let available = this.account.getBalance(market.stock).available;
+            let available = this.getBalance(market.stock).available;
             if (available.lessThan(size)) {
@@ -285,3 +297,3 @@ size = this.ensureSizePrecision(market, available);
         let key = type === 'ask' ? market.stock : market.money;
-        return this.account.getBalance(key).available.greaterThanOrEqualTo(target);
+        return this.getBalance(key).available.greaterThanOrEqualTo(target);
     }
@@ -307,3 +319,2 @@ async order(group, { market, label, type, price, size, priority, asap }) {
         };
-        this.account.onOrderCreate(order);
         let { active: _active, ...orderExtra } = order;
@@ -344,9 +355,2 @@ let becomeInactiveResolver;
     }
-    removeInactiveOrder({ id }) {
-        let activeOrder = this.activeOrderMap.get(id);
-        if (activeOrder) {
-            activeOrder.becomeInactiveResolver();
-        }
-        this.activeOrderMap.delete(id);
-    }
     async cancelActiveOrders() {
@@ -356,7 +360,2 @@ this.dashboard.info('cancel active orders...');
     }
-    async updateAccountData() {
-        this.dashboard.info('update account data...');
-        let { balance } = await this.client.getAccountData();
-        this.account.initializeBalance(balance);
-    }
     async updateMarkets() {
@@ -363,0 +362,0 @@ this.dashboard.info('update markets...');

bld/exchange/factors.d.ts

@@ -7,5 +7,2 @@ import { Decimal } from 'decimal.js';
 }
-export interface AccountData {
-    balance: Dict<AccountBalance>;
-}
 export interface MarketPrecision {
@@ -12,0 +9,0 @@ size: number;

bld/exchange/index.d.ts

@@ -1,4 +0,3 @@
-export * from './account';
 export * from './exchange';
 export * from './order';
 export * from './factors';

bld/exchange/index.js

 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
 const tslib_1 = require("tslib");
-tslib_1.__exportStar(require("./account"), exports);
 tslib_1.__exportStar(require("./exchange"), exports);
 //# sourceMappingURL=index.js.map

package.json

 {
   "name": "@ex-master/core",
-  "version": "0.1.34",
+  "version": "0.1.35",
   "main": "bld/index.js",
@@ -5,0 +5,0 @@ "types": "bld/index.d.ts",

No alert changes

Worsened metrics

Total package byte prevSize

54494

decreased by-9.79%

Number of package files

34

decreased by-5.56%

Lines of code

1551

decreased by-9.14%

No dependency changes