@yuants/agent - npm Package Compare versions

Comparing version 0.0.5 to 0.1.0

dist/agent.d.ts

@@ -149,2 +149,4 @@ import { AccountPerformanceUnit } from '@yuants/kernel';
     as_counterparty?: boolean;
+    /** Position Limit (Maximum Position) */
+    position_limit?: number;
 }
@@ -151,0 +153,0 @@

dist/AgentScene.js

@@ -1,2 +0,2 @@
-import { AccountPerformanceMetricsUnit, AccountPerformanceUnit, AccountSimulatorUnit, BasicUnit, CounterpartyOrderMappingUnit, DataLoadingTaskUnit, HistoryOrderUnit, HistoryPeriodLoadingUnit, Kernel, KernelFramesMetricsUnit, OrderMatchingUnit, PeriodDataCheckingUnit, PeriodDataUnit, PeriodMetricsUnit, PortfolioSimulatorUnit, ProductDataUnit, ProductLoadingUnit, QuoteDataUnit, QuoteMetricsUnit, RealtimePeriodLoadingUnit, SeriesDataUnit, StopLossOrderMapperUnit, createEmptyAccountInfo, } from '@yuants/kernel';
+import { AccountPerformanceMetricsUnit, AccountPerformanceUnit, AccountSimulatorUnit, BasicUnit, CounterpartyOrderMappingUnit, DataLoadingTaskUnit, HistoryOrderUnit, HistoryPeriodLoadingUnit, Kernel, KernelFramesMetricsUnit, OrderMatchingUnit, PeriodDataCheckingUnit, PeriodDataUnit, PeriodMetricsUnit, PortfolioSimulatorUnit, PositionLimitOrderMappingUnit, ProductDataUnit, ProductLoadingUnit, QuoteDataUnit, QuoteMetricsUnit, RealtimePeriodLoadingUnit, SeriesDataUnit, StopLossOrderMapperUnit, createEmptyAccountInfo, } from '@yuants/kernel';
 import { Subject } from 'rxjs';
@@ -91,2 +91,6 @@ import { v4 } from 'uuid';
         },
+        position_limit: {
+            type: 'number',
+            title: '仓位限制',
+        },
     },
@@ -165,2 +169,13 @@ };
     });
+    let positionLimitAccountInfoUnit;
+    let positionLimitAccountPerformanceUnit;
+    let positionLimitOrderMatchingUnit;
+    let positionLimitHistoryOrderUnit;
+    if (agentConf.position_limit) {
+        positionLimitHistoryOrderUnit = new HistoryOrderUnit(kernel, quoteDataUnit, productDataUnit);
+        positionLimitOrderMatchingUnit = new OrderMatchingUnit(kernel, productDataUnit, periodDataUnit, positionLimitHistoryOrderUnit);
+        positionLimitAccountInfoUnit = new AccountSimulatorUnit(kernel, productDataUnit, quoteDataUnit, positionLimitHistoryOrderUnit, createEmptyAccountInfo(`${resolved_account_id}-PL`, resolved_currency, agentConf.leverage, agentConf.initial_balance));
+        const positionLimitUnit = new PositionLimitOrderMappingUnit(kernel, agentConf.position_limit, originOrderMatchingUnit, positionLimitOrderMatchingUnit, positionLimitAccountInfoUnit);
+        positionLimitAccountPerformanceUnit = new AccountPerformanceUnit(kernel, positionLimitAccountInfoUnit);
+    }
     let counterpartyAccountInfoUnit;
@@ -172,3 +187,3 @@ let counterpartyAccountPerformanceUnit;
         const counterpartyOrderMatchingUnit = new OrderMatchingUnit(kernel, productDataUnit, periodDataUnit, counterpartyHistoryOrderUnit);
-        const counterpartyUnit = new CounterpartyOrderMappingUnit(kernel, originOrderMatchingUnit, counterpartyOrderMatchingUnit);
+        const counterpartyUnit = new CounterpartyOrderMappingUnit(kernel, positionLimitOrderMatchingUnit || originOrderMatchingUnit, counterpartyOrderMatchingUnit);
         const counterpartyAccountInfo = createEmptyAccountInfo(`${resolved_account_id}-CP`, resolved_currency, agentConf.leverage, agentConf.initial_balance);
@@ -255,5 +270,8 @@ counterpartyAccountInfoUnit = new AccountSimulatorUnit(kernel, productDataUnit, quoteDataUnit, counterpartyHistoryOrderUnit, counterpartyAccountInfo);
     await agentUnit.execute();
+    // these lines of code implies that there is a certain priority of units,
+    // maybe we should make it more explicit.
     const accountInfoUnit = portfolioAccountInfoUnit ||
         stopLossAccountInfoUnit ||
         counterpartyAccountInfoUnit ||
+        positionLimitAccountInfoUnit ||
         originAccountInfoUnit;
@@ -263,2 +281,3 @@ const accountPerformanceUnit = portfolioAccountPerformanceUnit ||
         counterpartyAccountPerformanceUnit ||
+        positionLimitAccountPerformanceUnit ||
         originAccountPerformanceUnit;
@@ -268,2 +287,3 @@ const historyOrderUnit = portfolioHistoryOrderUnit ||
         counterpartyHistoryOrderUnit ||
+        positionLimitHistoryOrderUnit ||
         originHistoryOrderUnit;
@@ -270,0 +290,0 @@ return {

dist/AgentUnit.js

@@ -45,3 +45,6 @@ import { AccountSimulatorUnit, BasicUnit, DataLoadingTaskUnit, OrderMatchingUnit, PeriodDataUnit, ProductDataUnit, ProductLoadingUnit, SeriesDataUnit, } from '@yuants/kernel';
 function makeScriptRunner(script) {
-    const globalContext = {
+    const globalContext = Object.assign(Object.assign({ 
+        // Issue: block access to globalThis and its properties for security
+        globalThis: {} }, Object.fromEntries(Object.keys(globalThis).map((key) => [key, undefined]))), { 
+        // Supply some global variables
         PositionVariant,
@@ -67,4 +70,3 @@ OrderDirection,
         useSeries,
-        useState,
-    };
+        useState });
     const x = Object.entries(globalContext);
@@ -71,0 +73,0 @@ const module = new Function(...x.map((x) => x[0]), `return ${script}`)(...x.map((x) => x[1]));

dist/hooks/useOHLC.js

@@ -46,3 +46,3 @@ import { useAgent, useEffect, useMemo, useSeries } from '.';
         if (period) {
-            time[idx] = period.timestamp_in_us;
+            time[idx] = period.timestamp_in_us / 1000;
             open[idx] = period.open;
@@ -49,0 +49,0 @@ high[idx] = period.high;

lib/AgentScene.d.ts

@@ -45,2 +45,4 @@ import { AccountPerformanceUnit, AccountSimulatorUnit, HistoryOrderUnit, Kernel, PeriodDataUnit, ProductDataUnit, QuoteDataUnit } from '@yuants/kernel';
     as_counterparty?: boolean;
+    /** Position Limit (Maximum Position) */
+    position_limit?: number;
 }
@@ -47,0 +49,0 @@ /**

lib/AgentScene.js

@@ -94,2 +94,6 @@ "use strict";
         },
+        position_limit: {
+            type: 'number',
+            title: '仓位限制',
+        },
     },
@@ -168,2 +172,13 @@ };
     });
+    let positionLimitAccountInfoUnit;
+    let positionLimitAccountPerformanceUnit;
+    let positionLimitOrderMatchingUnit;
+    let positionLimitHistoryOrderUnit;
+    if (agentConf.position_limit) {
+        positionLimitHistoryOrderUnit = new kernel_1.HistoryOrderUnit(kernel, quoteDataUnit, productDataUnit);
+        positionLimitOrderMatchingUnit = new kernel_1.OrderMatchingUnit(kernel, productDataUnit, periodDataUnit, positionLimitHistoryOrderUnit);
+        positionLimitAccountInfoUnit = new kernel_1.AccountSimulatorUnit(kernel, productDataUnit, quoteDataUnit, positionLimitHistoryOrderUnit, (0, kernel_1.createEmptyAccountInfo)(`${resolved_account_id}-PL`, resolved_currency, agentConf.leverage, agentConf.initial_balance));
+        const positionLimitUnit = new kernel_1.PositionLimitOrderMappingUnit(kernel, agentConf.position_limit, originOrderMatchingUnit, positionLimitOrderMatchingUnit, positionLimitAccountInfoUnit);
+        positionLimitAccountPerformanceUnit = new kernel_1.AccountPerformanceUnit(kernel, positionLimitAccountInfoUnit);
+    }
     let counterpartyAccountInfoUnit;
@@ -175,3 +190,3 @@ let counterpartyAccountPerformanceUnit;
         const counterpartyOrderMatchingUnit = new kernel_1.OrderMatchingUnit(kernel, productDataUnit, periodDataUnit, counterpartyHistoryOrderUnit);
-        const counterpartyUnit = new kernel_1.CounterpartyOrderMappingUnit(kernel, originOrderMatchingUnit, counterpartyOrderMatchingUnit);
+        const counterpartyUnit = new kernel_1.CounterpartyOrderMappingUnit(kernel, positionLimitOrderMatchingUnit || originOrderMatchingUnit, counterpartyOrderMatchingUnit);
         const counterpartyAccountInfo = (0, kernel_1.createEmptyAccountInfo)(`${resolved_account_id}-CP`, resolved_currency, agentConf.leverage, agentConf.initial_balance);
@@ -258,5 +273,8 @@ counterpartyAccountInfoUnit = new kernel_1.AccountSimulatorUnit(kernel, productDataUnit, quoteDataUnit, counterpartyHistoryOrderUnit, counterpartyAccountInfo);
     await agentUnit.execute();
+    // these lines of code implies that there is a certain priority of units,
+    // maybe we should make it more explicit.
     const accountInfoUnit = portfolioAccountInfoUnit ||
         stopLossAccountInfoUnit ||
         counterpartyAccountInfoUnit ||
+        positionLimitAccountInfoUnit ||
         originAccountInfoUnit;
@@ -266,2 +284,3 @@ const accountPerformanceUnit = portfolioAccountPerformanceUnit ||
         counterpartyAccountPerformanceUnit ||
+        positionLimitAccountPerformanceUnit ||
         originAccountPerformanceUnit;
@@ -271,2 +290,3 @@ const historyOrderUnit = portfolioHistoryOrderUnit ||
         counterpartyHistoryOrderUnit ||
+        positionLimitHistoryOrderUnit ||
         originHistoryOrderUnit;
@@ -273,0 +293,0 @@ return {

lib/AgentUnit.js

@@ -49,3 +49,6 @@ "use strict";
 function makeScriptRunner(script) {
-    const globalContext = {
+    const globalContext = Object.assign(Object.assign({ 
+        // Issue: block access to globalThis and its properties for security
+        globalThis: {} }, Object.fromEntries(Object.keys(globalThis).map((key) => [key, undefined]))), { 
+        // Supply some global variables
         PositionVariant: protocol_1.PositionVariant,
@@ -71,4 +74,3 @@ OrderDirection: protocol_1.OrderDirection,
         useSeries: hooks_1.useSeries,
-        useState: hooks_1.useState,
-    };
+        useState: hooks_1.useState });
     const x = Object.entries(globalContext);
@@ -75,0 +77,0 @@ const module = new Function(...x.map((x) => x[0]), `return ${script}`)(...x.map((x) => x[1]));

lib/hooks/useOHLC.js

@@ -49,3 +49,3 @@ "use strict";
         if (period) {
-            time[idx] = period.timestamp_in_us;
+            time[idx] = period.timestamp_in_us / 1000;
             open[idx] = period.open;
@@ -52,0 +52,0 @@ high[idx] = period.high;

package.json

 {
 	"name": "@yuants/agent",
-	"version": "0.0.5",
+	"version": "0.1.0",
 	"main": "lib/index.js",
@@ -28,3 +28,3 @@ "module": "dist/index.js",
 	"dependencies": {
-		"@yuants/kernel": "0.0.5",
+		"@yuants/kernel": "0.1.0",
 		"@yuants/protocol": "0.1.3",
@@ -31,0 +31,0 @@ "@yuants/utils": "0.0.2",

temp/agent.api.md

@@ -124,2 +124,3 @@ ## API Report File for "@yuants/agent"
     period_self_check_interval_in_second?: number;
+    position_limit?: number;
     publish_account?: boolean;
@@ -126,0 +127,0 @@ resume_on_source_margin_below?: number;

temp/package-deps.json

 {
-    "libraries/agent/CHANGELOG.json": "4fa81d82d1a8c8d8fad0a7f9928d206b0a1425f9",
-    "libraries/agent/CHANGELOG.md": "afbacc6c666e7ebc9bd486806817b62278fafa63",
+    "libraries/agent/CHANGELOG.json": "2307591448776fd15cbb79192763990a2789462f",
+    "libraries/agent/CHANGELOG.md": "670a9a9e6c10d877a574196bd27bcb3ad07e591c",
     "libraries/agent/api-extractor.json": "62f4fd324425b9a235f0c117975967aab09ced0c",
@@ -8,6 +8,6 @@ "libraries/agent/config/jest.config.json": "4bb17bde3ee911163a3edb36a6eb71491d80b1bd",
     "libraries/agent/config/typescript.json": "854907e8a821f2050f6533368db160c649c25348",
-    "libraries/agent/etc/agent.api.md": "34068167ed162f897ae58ceb60712575a3194185",
-    "libraries/agent/package.json": "3008baaef42a16b25fc57fa8eb3f6e5db7e604f5",
-    "libraries/agent/src/AgentScene.ts": "75908242143da35f53910c8f03a32fbb7304f368",
-    "libraries/agent/src/AgentUnit.ts": "932607bb208e8969c8d82e0cb76de3ed5c9fe263",
+    "libraries/agent/etc/agent.api.md": "164d4430a184b7c17268ac17a4e11972009fbc33",
+    "libraries/agent/package.json": "c3f26c8dc1aa31fb947c9b8477e10abe05e16902",
+    "libraries/agent/src/AgentScene.ts": "c1f9934c9f1593753ccd7440a926c9a538818364",
+    "libraries/agent/src/AgentUnit.ts": "6a09e4ad90ab4aafe971340c3264882c28ceae0a",
     "libraries/agent/src/hooks/basic-set.ts": "0945eaf15151d3979da058e639126471420e84f5",
@@ -19,3 +19,3 @@ "libraries/agent/src/hooks/index.ts": "f5e72a407ba4e6786afd89ba870454778bc5da05",
     "libraries/agent/src/hooks/useExchange.ts": "5365234c06a6e90ee2bd41fc5bb23fa3a2c49e10",
-    "libraries/agent/src/hooks/useOHLC.ts": "17b66be1dc192c4d3a260a312dbe55886908178b",
+    "libraries/agent/src/hooks/useOHLC.ts": "4c72eb71f1954f74b923b568bbcceca6d30dd7b5",
     "libraries/agent/src/hooks/useProduct.ts": "9e377bf3b1dfec4b67a87de80b0bb2dc79f8a424",
@@ -27,3 +27,3 @@ "libraries/agent/src/hooks/useSinglePosition.ts": "d1b6554376900228531961b0b7de057342bac157",
     "libraries/agent/.rush/temp/shrinkwrap-deps.json": "a4ff9d1da2ea0b0129d874a92a1f7a87bb50d6a0",
-    "libraries/kernel/temp/package-deps.json": "06dfabfc06a82ce89cd7263fe1bb9e2145dff40c",
+    "libraries/kernel/temp/package-deps.json": "ef30e166c0a3987c8a7162366aafb824897eee7d",
     "libraries/protocol/temp/package-deps.json": "8c2d0730ddd9331f456c98591ab7437f85eca236",
@@ -30,0 +30,0 @@ "libraries/utils/temp/package-deps.json": "d16348fe4fc484901d6fb1e9f01b13502c94ed46",

No alert changes

Improved metrics

Total package byte prevSize

327813

increased by3.27%

Lines of code

4775

increased by1.64%

Dependency changes

• + Added@yuants/kernel@0.1.0(transitive)

• + Addedcall-bind-apply-helpers@1.0.2(transitive)

• - Removed@yuants/kernel@0.0.5(transitive)

• - Removedcall-bind-apply-helpers@1.0.1(transitive)

• Updated@yuants/kernel@0.1.0