From Zero to Forex Trading Bot Hero with Node.js and Typescript

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trading bot hero @danielepolencic

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once upon a time...

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! money transfer

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have you ever noticed?

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eur/gbp 0.88 gbp/eur 1.1364

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send £1000 to

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£1 ➡ €1.13640

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! €1136.40

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send the money back

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€1 ➡ £0.88

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€1136.40 * 0.88

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£1000.032

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! £1000.032

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surely it's just transferwise

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£1 ➡ €1.13612

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BUY €1136.12 price gbp/eur 1.13612

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€1 ➡ £0.8802

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SELL €1136.12 price eur/gbp 0.8802

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£1000.012

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! £1000.012

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this doesn't make any sense

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£1000

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£1000 £1000

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£1000

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£1000 GBP/EUR 1.2

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£1000 GBP/EUR 1.2 €1150

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£1000 €1200

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£1000 £1200 GBP/EUR 1.2

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£1000 €1200 GBP/EUR 1.2 £1000 €1200

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£1000 £1200 GBP/EUR 1.2

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£0 €1200 GBP/EUR 1.2 £999

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£0 €0 GBP/EUR 1.2 £999 €1199

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£0 €0 GBP/EUR 1.2 £999 €1199

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£1000 €1200 GBP/EUR 1.2 GBP/USD 1.3

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£1000 €1200 GBP/EUR 1.2 GBP/USD 1.3 €1200 €1200

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! liquidity

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! just pennies

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BUY @1.25 SELL @0.8032

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1.25 * 0.8032

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! £1004

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2 transactions per day 20 days per month

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2 * 20 * £4 = £160* * best case scenario

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time to build something

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✨ 3 wishes

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1. ⭐

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! to price changes

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1.13612 * 0.88 = 0.99978 1.13612 * 0.882 = 1.00205

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! to price changes ! to order changes

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created modified partially matched matched in full

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! to price changes ! to order changes ! to balance changes

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deposit withdraw orders matched in full

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!"# 2. ⭐ time travel

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⏪ market triggers debugging &

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3. ! bulletproof testing

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"As part of its normal process, the UTP distributed test data and certain third parties improperly propagated the data." - NASDAQ

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oops

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mvp

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scalable architecture ! MQ mysql

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APPLICATION

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APPLICATION WORKERS

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APPLICATION

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APPLICATION

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! overengineered

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! sync state

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APPLICATION

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APPLICATION ORDER 1GBP/USD ORDER 2EUR/USD ORDER 3GBP/USD

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APPLICATION GET ORDERS ORDER 1GBP/USD ORDER 2EUR/USD ORDER 3GBP/USD

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APPLICATION ORDER 1GBP/USD ORDER 2EUR/USD ORDER 3GBP/USD ORDER 1GBP/USD ORDER 2EUR/USD ORDER 3GBP/USD

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APPLICATION ORDER 1GBP/USD ORDER 2EUR/USD ORDER 3GBP/USD ORDER 1GBP/USD ORDER 2EUR/USD ORDER 3GBP/USD GET PRICE GBP/USD

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APPLICATION ORDER 1GBP/USD ORDER 2EUR/USD ORDER 3GBP/USD ORDER 1GBP/USD ORDER 2EUR/USD ORDER 3GBP/USD GBP/USD 1.3

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APPLICATION ORDER 1GBP/USD ORDER 2EUR/USD ORDER 3GBP/USD ORDER 1GBP/USD ORDER 2EUR/USD ORDER 3GBP/USD COMPLETED

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APPLICATION ORDER 1GBP/USD ORDER 2EUR/USD ORDER 3GBP/USD ORDER 1GBP/USD ORDER 2EUR/USD ORDER 3GBP/USD COMPLETED UPDATE ORDER 2

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APPLICATION ORDER 1GBP/USD ORDER 2EUR/USD ORDER 3GBP/USD ORDER 1GBP/USD ORDER 2EUR/USD ORDER 3GBP/USD COMPLETED NOPE

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mvp

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(state, message) -> state

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const message = { type: 'PRICE_TICK', price: 1.3508 }; const state = { currentPrice: 1.3502 };

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APPLICATION

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redux leveldb docker

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! redux actions & orchestration

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Bad ❌ function update(state, message) { switch(message.type) { case 'PRICE_TICK': /* SIDE EFFECT! */ updateOrderWithPrice(message.price); return { ...state, currentPrice: message.price }; default: return state; } }

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Good function getPrice(dispatch) { dispatch({type: 'PRICE_TICK'}); updateOrderWithPrice(message.price).then(order => { dispatch({type: 'ORDER_UPDATED', order}); }); }

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Good function(state, action) { switch(action.type) { case 'PRICE_TICK': return { ...state, currentPrice: message.price }; case 'ORDER_UPDATED': return { ...state, openOrder: message.order }; } }

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flow and state are separated

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redux saga redux thunk mobx + rxjs

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mvp

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(state, msg) -> [state, cmds]

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function(state, message) { switch(message.type) { case 'PRICE_TICK': return [ {...state, currentPrice: message.price}, updateOrderWithPrice(message.price) ]; } }

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updateOrderWithPrice(message.price) function updateOrderWithPrice(price) { return { commandType: 'UPDATE_ORDER', price }; } console.log(updateOrderWithPrice(1.2)) // { // price: 1.2, // commandType: 'UPDATE_ORDER' // }

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UPDATE(STATE, MESSAGE)

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UPDATE(STATE, MESSAGE) STATE COMMANDS

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UPDATE(STATE, MESSAGE) STATE COMMANDS INTERPRETER

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UPDATE(STATE, MESSAGE) STATE COMMANDS INTERPRETER HTTP CALL CONSOLE.LOG SETTIMEOUT

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interpreter pattern (or free monad)

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AST const fetch = { commandType: 'FETCH', url: '/any_url' }; const log = { commandType: 'LOG', value: 'Hello World!' };

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interpreter function interpreter(commands) { commands.forEach(command => { switch(command.commandType) { case 'FETCH': request(command.url); case 'LOG': console.log(command.value); } }); }

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no side effects

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APPLICATION INTERPRETER STORAGE HTTP

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[ state, updateOrderWithPrice(1.2) ]

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APPLICATION INTERPRETER STORAGE HTTP

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APPLICATION INTERPRETER STORAGE HTTP WEBSOCKETS

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APPLICATION INTERPRETER STORAGE HTTP WEBSOCKETS

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APPLICATION INTERPRETER STORAGE HTTP WEBSOCKETS

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APPLICATION INTERPRETER MOCK STORAGE MOCK HTTP v2

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1. elm 2. redux-loop 3. redux-effects

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state + logic easier testing interpreter

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! monads are hard

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mvp ! .

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actors

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APPLICATION ROUTER STORAGE HTTP

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APPLICATION ROUTER STORAGE HTTP

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APPLICATION ROUTER STORAGE HTTP { commandType: 'UPDATE_ORDER', price: 1.2 }

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APPLICATION ROUTER STORAGE HTTP { commandType: 'UPDATE_ORDER', price: 1.2 }

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APPLICATION ROUTER STORAGE HTTP { commandType: 'UPDATE_ORDER', price: 1.2 }

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APPLICATION ROUTER STORAGE Z Z Z { commandType: 'UPDATE_ORDER', price: 1.2 }

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APPLICATION ROUTER STORAGE HTTP

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APPLICATION ROUTER STORAGE HTTP { commandType: 'RESPONSE', order: {id: 1, price: 1.2} }

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APPLICATION ROUTER STORAGE HTTP { commandType: 'RESPONSE', order: {id: 1, price: 1.2} }

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APPLICATION ROUTER STORAGE HTTP { commandType: 'RESPONSE', order: {id: 1, price: 1.2} }

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ROUTER STORAGE HTTP Z Z Z { commandType: 'RESPONSE', order: {id: 1, price: 1.2} }

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ROUTER STORAGE HTTP APPLICATION

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APPLICATION ROUTER STORAGE HTTP

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fully decoupled effects and business logic 200 LoC

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testing

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1. data driven

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unit testing it('should update the order', () => { const order = {id: 1, price: 1.12, active: true}; const currentTickPrice = 1.11; expect(updateOrder(order, currentTickPrice)).toEqual(UPDATE); });

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it('should update the order'); it('should do nothing'); it('should cancel the order');

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it('should update the order'); it('should do nothing'); it('should cancel the order'); it('should NOT update the order'); it('should NOT do nothing'); it('should NOT cancel the order');

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it('should update the order', () => { const order = {id: 1, price: 1.12, active: true}; const currentTickPrice = 1.11; expect(updateOrder(order, currentTickPrice)).toEqual(UPDATE); }); it('should do nothing', () => { const order = {id: 1, price: 1.12, active: true}; const currentTickPrice = 1.12; expect(updateOrder(order, currentTickPrice)).toEqual(DO_NOTHING); }); it('should cancel the order', () => { const order = {id: 1, price: 1.12, active: true}; const currentTickPrice = 1.22; expect(updateOrder(order, currentTickPrice)).toEqual(CANCEL); }); it('should NOT update the order', () => { const order = {id: 1, price: 1.12, active: true}; const currentTickPrice = 1.11; expect(updateOrder(order, currentTickPrice)).toEqual(UPDATE); }); it('should NOT do nothing', () => { const order = {id: 1, price: 1.12, active: true}; const currentTickPrice = 1.12; expect(updateOrder(order, currentTickPrice)).toEqual(DO_NOTHING); }); it('should NOT cancel the order', () => { const order = {id: 1, price: 1.12, active: true}; const currentTickPrice = 1.22; expect(updateOrder(order, currentTickPrice)).toEqual(CANCEL); });

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duplication duplication

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unit testing it('should update the order', () => { const order = {id: 1, price: 1.12, active: true}; // CHANGE ME const currentTickPrice = 1.11; // CHANGE ME expect(updateOrder(order, currentTickPrice)).toEqual(UPDATE); });

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unit testing test(updateOrder, () => { given({id: 1, price: 1.11, active: true}, 1.12).expect(UPDATE); given({id: 1, price: 1.12, active: true}, 1.12).expect(DO_NOTHING); given({id: 1, price: 1.12, active: true}, 1.22).expect(CANCEL); given({id: 1, price: 1.11, active: false}, 1.12).expect(DO_NOTHING); given({id: 1, price: 1.12, active: false}, 1.12).expect(DO_NOTHING); given({id: 1, price: 1.12, active: false}, 1.22).expect(DO_NOTHING); });

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2. typescript

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orders interace IOrder = { id: number price: number }; const order: IOrder = { id: 1, price: 1.12 };

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orders with state interace IOrder = { id: number price: number active: boolean }; const order: IOrder = { // ERROR! `active` is missing id: 1, price: 1.12 };

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3. integration

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very hard to setup harder to maintain time consuming

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but…

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(state, msg) -> [state, cmd] + snapshot testing

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show me the !

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!✖ initial investment

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957 transactions, 3 motnhs later…

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lessons learned

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! js is awesome

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proper type system transpilers functional, CQRS, etc.

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! trading is coding

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not only python/r/c++ no MBA/Phd no special HW or SW

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! build once, run everywhere

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bitcoin stock forex

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hungry for more? · The Elm Architectureҁ0.18҂effect moduleϮϯ · Effect Manager ΄ͭͥΕ · How to structure Elm with multiple models? · Tribeca · Blackbird · Extensible Effects in Node.js, Part 1

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thanks @danielepolencic