@fullstackcraftllc/floe 0.0.7 → 0.0.9

package/dist/client/brokers/TastyTradeClient.d.ts

@@ -1,4 +1,7 @@
-import { NormalizedOption } from '../../types';
+import { BaseBrokerClient, BaseBrokerClientOptions, AggressorSide, IntradayTrade, FlowSummary, BrokerClientEventType, BrokerEventListener } from './BaseBrokerClient';
+export { AggressorSide, IntradayTrade, FlowSummary };
+export type TastyTradeClientEventType = BrokerClientEventType;
+export type TastyTradeEventListener<T> = BrokerEventListener<T>;
 /**
  * TastyTrade option chain item
  */
@@ -26,38 +29,14 @@ interface TastyTradeOptionChainItem {
     'implied-volatility'?: number;
 }
 /**
- * Aggressor side of a trade
+ * TastyTrade client configuration options
  */
-export type AggressorSide = 'buy' | 'sell' | 'unknown';
-/**
- * Intraday trade information with aggressor classification
- */
-export interface IntradayTrade {
-    /** OCC option symbol */
-    occSymbol: string;
-    /** Trade price */
-    price: number;
-    /** Trade size (number of contracts) */
-    size: number;
-    /** Bid at time of trade */
-    bid: number;
-    /** Ask at time of trade */
-    ask: number;
-    /** Aggressor side determined from price vs NBBO */
-    aggressorSide: AggressorSide;
-    /** Timestamp of the trade */
-    timestamp: number;
-    /** Estimated OI change */
-    estimatedOIChange: number;
+export interface TastyTradeClientOptions extends BaseBrokerClientOptions {
+    /** TastyTrade session token (required) */
+    sessionToken: string;
+    /** Whether to use sandbox environment (default: false) */
+    sandbox?: boolean;
 }
-/**
- * Event types emitted by TastyTradeClient
- */
-type TastyTradeClientEventType = 'tickerUpdate' | 'optionUpdate' | 'optionTrade' | 'connected' | 'disconnected' | 'error';
-/**
- * Event listener callback type
- */
-type TastyTradeEventListener<T> = (data: T) => void;
 /**
  * TastyTradeClient handles real-time streaming connections to the TastyTrade API
  * via DxLink WebSockets.
@@ -86,7 +65,8 @@ type TastyTradeEventListener<T> = (data: T) => void;
  * client.subscribe(['SPY', '.SPXW231215C4500']); // Equity and option
  * ```
  */
-export declare class TastyTradeClient {
+export declare class TastyTradeClient extends BaseBrokerClient {
+    protected readonly brokerName = "TastyTrade";
     /** TastyTrade session token */
     private sessionToken;
     /** DxLink API quote token */
@@ -103,30 +83,10 @@ export declare class TastyTradeClient {
     private feedChannelId;
     /** Feed channel opened */
     private feedChannelOpened;
-    /** Currently subscribed symbols */
-    private subscribedSymbols;
     /** Map from streamer symbol to OCC symbol */
     private streamerToOccMap;
     /** Map from OCC symbol to streamer symbol */
     private occToStreamerMap;
-    /** Cached ticker data */
-    private tickerCache;
-    /** Cached option data */
-    private optionCache;
-    /** Base open interest from REST API */
-    private baseOpenInterest;
-    /** Cumulative estimated OI change from intraday trades */
-    private cumulativeOIChange;
-    /** History of intraday trades */
-    private intradayTrades;
-    /** Event listeners */
-    private eventListeners;
-    /** Reconnection attempt counter */
-    private reconnectAttempts;
-    /** Maximum reconnection attempts */
-    private readonly maxReconnectAttempts;
-    /** Reconnection delay in ms */
-    private readonly baseReconnectDelay;
     /** Keepalive interval handle */
     private keepaliveInterval;
     /** Keepalive timeout in seconds */
@@ -135,8 +95,6 @@ export declare class TastyTradeClient {
     private readonly apiBaseUrl;
     /** Whether to use sandbox environment */
     private readonly sandbox;
-    /** Whether to log verbose debug information */
-    private readonly verbose;
     /**
      * Creates a new TastyTradeClient instance.
      *
@@ -145,11 +103,7 @@ export declare class TastyTradeClient {
      * @param options.sandbox - Whether to use sandbox environment (default: false)
      * @param options.verbose - Whether to log verbose debug information (default: false)
      */
-    constructor(options: {
-        sessionToken: string;
-        sandbox?: boolean;
-        verbose?: boolean;
-    });
+    constructor(options: TastyTradeClientOptions);
     /**
      * Creates a TastyTradeClient by logging in with username/password.
      *
@@ -222,40 +176,6 @@ export declare class TastyTradeClient {
      * @param occSymbols - Array of OCC option symbols to fetch data for
      */
     fetchOpenInterest(occSymbols: string[]): Promise<void>;
-    /**
-     * Returns cached option data for a symbol.
-     */
-    getOption(occSymbol: string): NormalizedOption | undefined;
-    /**
-     * Returns all cached options.
-     */
-    getAllOptions(): Map<string, NormalizedOption>;
-    /**
-     * Registers an event listener.
-     */
-    on<T>(event: TastyTradeClientEventType, listener: TastyTradeEventListener<T>): this;
-    /**
-     * Removes an event listener.
-     */
-    off<T>(event: TastyTradeClientEventType, listener: TastyTradeEventListener<T>): this;
-    /**
-     * Returns intraday trades for an option.
-     */
-    getIntradayTrades(occSymbol: string): IntradayTrade[];
-    /**
-     * Returns flow summary for an option.
-     */
-    getFlowSummary(occSymbol: string): {
-        buyVolume: number;
-        sellVolume: number;
-        unknownVolume: number;
-        netOIChange: number;
-        tradeCount: number;
-    };
-    /**
-     * Resets intraday tracking data.
-     */
-    resetIntradayData(occSymbols?: string[]): void;
     /**
      * Gets API quote token from TastyTrade.
      */
@@ -348,18 +268,6 @@ export declare class TastyTradeClient {
      * Updates option from Trade event.
      */
     private updateOptionFromTrade;
-    /**
-     * Determines aggressor side from trade price vs NBBO.
-     */
-    private determineAggressorSide;
-    /**
-     * Calculates estimated OI change from trade.
-     */
-    private calculateOIChangeFromTrade;
-    /**
-     * Calculates live open interest.
-     */
-    private calculateLiveOpenInterest;
     /**
      * Handles DxLink error messages.
      */
@@ -369,24 +277,11 @@ export declare class TastyTradeClient {
      */
     private attemptReconnect;
     /**
-     * Checks if symbol is an OCC option symbol.
+     * Checks if symbol is a TastyTrade option symbol.
      */
-    private isOptionSymbol;
+    private isTastyTradeOptionSymbol;
     /**
      * Sends a message to the WebSocket.
      */
     private sendMessage;
-    /**
-     * Emits an event to all listeners.
-     */
-    private emit;
-    /**
-     * Converts value to number, handling NaN and null.
-     */
-    private toNumber;
-    /**
-     * Sleep utility.
-     */
-    private sleep;
 }
-export {};

package/dist/client/brokers/TastyTradeClient.js

@@ -2,10 +2,7 @@
 Object.defineProperty(exports, "__esModule", { value: true });
 exports.TastyTradeClient = void 0;
 const occ_1 = require("../../utils/occ");
-/**
- * Regex pattern to identify OCC option symbols
- */
-const OCC_OPTION_PATTERN = /^.{1,6}\d{6}[CP]\d{8}$/;
+const BaseBrokerClient_1 = require("./BaseBrokerClient");
 /**
  * Event field configurations for different event types
  */
@@ -45,7 +42,7 @@ const FEED_EVENT_FIELDS = {
  * client.subscribe(['SPY', '.SPXW231215C4500']); // Equity and option
  * ```
  */
-class TastyTradeClient {
+class TastyTradeClient extends BaseBrokerClient_1.BaseBrokerClient {
     /**
      * Creates a new TastyTradeClient instance.
      *
@@ -55,6 +52,8 @@ class TastyTradeClient {
      * @param options.verbose - Whether to log verbose debug information (default: false)
      */
     constructor(options) {
+        super(options);
+        this.brokerName = 'TastyTrade';
         /** DxLink API quote token */
         this.quoteToken = null;
         /** DxLink WebSocket URL */
@@ -69,47 +68,19 @@ class TastyTradeClient {
         this.feedChannelId = 1;
         /** Feed channel opened */
         this.feedChannelOpened = false;
-        /** Currently subscribed symbols */
-        this.subscribedSymbols = new Set();
         /** Map from streamer symbol to OCC symbol */
         this.streamerToOccMap = new Map();
         /** Map from OCC symbol to streamer symbol */
         this.occToStreamerMap = new Map();
-        /** Cached ticker data */
-        this.tickerCache = new Map();
-        /** Cached option data */
-        this.optionCache = new Map();
-        /** Base open interest from REST API */
-        this.baseOpenInterest = new Map();
-        /** Cumulative estimated OI change from intraday trades */
-        this.cumulativeOIChange = new Map();
-        /** History of intraday trades */
-        this.intradayTrades = new Map();
-        /** Event listeners */
-        this.eventListeners = new Map();
-        /** Reconnection attempt counter */
-        this.reconnectAttempts = 0;
-        /** Maximum reconnection attempts */
-        this.maxReconnectAttempts = 5;
-        /** Reconnection delay in ms */
-        this.baseReconnectDelay = 1000;
         /** Keepalive interval handle */
         this.keepaliveInterval = null;
         /** Keepalive timeout in seconds */
         this.keepaliveTimeoutSeconds = 60;
         this.sessionToken = options.sessionToken;
         this.sandbox = options.sandbox ?? false;
-        this.verbose = options.verbose ?? false;
         this.apiBaseUrl = this.sandbox
             ? 'https://api.cert.tastyworks.com'
             : 'https://api.tastyworks.com';
-        // Initialize event listener maps
-        this.eventListeners.set('tickerUpdate', new Set());
-        this.eventListeners.set('optionUpdate', new Set());
-        this.eventListeners.set('optionTrade', new Set());
-        this.eventListeners.set('connected', new Set());
-        this.eventListeners.set('disconnected', new Set());
-        this.eventListeners.set('error', new Set());
     }
     // ==================== Static Factory Methods ====================
     /**
@@ -339,83 +310,6 @@ class TastyTradeClient {
         });
         await Promise.all(fetchPromises);
     }
-    /**
-     * Returns cached option data for a symbol.
-     */
-    getOption(occSymbol) {
-        return this.optionCache.get(occSymbol);
-    }
-    /**
-     * Returns all cached options.
-     */
-    getAllOptions() {
-        return new Map(this.optionCache);
-    }
-    /**
-     * Registers an event listener.
-     */
-    on(event, listener) {
-        const listeners = this.eventListeners.get(event);
-        if (listeners) {
-            listeners.add(listener);
-        }
-        return this;
-    }
-    /**
-     * Removes an event listener.
-     */
-    off(event, listener) {
-        const listeners = this.eventListeners.get(event);
-        if (listeners) {
-            listeners.delete(listener);
-        }
-        return this;
-    }
-    /**
-     * Returns intraday trades for an option.
-     */
-    getIntradayTrades(occSymbol) {
-        return this.intradayTrades.get(occSymbol) ?? [];
-    }
-    /**
-     * Returns flow summary for an option.
-     */
-    getFlowSummary(occSymbol) {
-        const trades = this.intradayTrades.get(occSymbol) ?? [];
-        let buyVolume = 0;
-        let sellVolume = 0;
-        let unknownVolume = 0;
-        for (const trade of trades) {
-            switch (trade.aggressorSide) {
-                case 'buy':
-                    buyVolume += trade.size;
-                    break;
-                case 'sell':
-                    sellVolume += trade.size;
-                    break;
-                case 'unknown':
-                    unknownVolume += trade.size;
-                    break;
-            }
-        }
-        return {
-            buyVolume,
-            sellVolume,
-            unknownVolume,
-            netOIChange: this.cumulativeOIChange.get(occSymbol) ?? 0,
-            tradeCount: trades.length,
-        };
-    }
-    /**
-     * Resets intraday tracking data.
-     */
-    resetIntradayData(occSymbols) {
-        const symbolsToReset = occSymbols ?? Array.from(this.intradayTrades.keys());
-        for (const symbol of symbolsToReset) {
-            this.intradayTrades.delete(symbol);
-            this.cumulativeOIChange.set(symbol, 0);
-        }
-    }
     // ==================== Private Methods ====================
     /**
      * Gets API quote token from TastyTrade.
@@ -547,7 +441,7 @@ class TastyTradeClient {
         const entries = [];
         for (const symbol of symbols) {
             const streamerSymbol = this.getStreamerSymbol(symbol);
-            const isOption = this.isOptionSymbol(symbol) || streamerSymbol.startsWith('.');
+            const isOption = this.isTastyTradeOptionSymbol(symbol) || streamerSymbol.startsWith('.');
             if (isOption) {
                 // Subscribe to option-relevant events
                 entries.push({ type: 'Quote', symbol: streamerSymbol });
@@ -588,7 +482,7 @@ class TastyTradeClient {
             return symbol;
         }
         // If it's an OCC option symbol, try to convert
-        if (this.isOptionSymbol(symbol)) {
+        if (this.isTastyTradeOptionSymbol(symbol)) {
             try {
                 const parsed = (0, occ_1.parseOCCSymbol)(symbol);
                 // TastyTrade streamer format: .UNDERLYING + YYMMDD + C/P + STRIKE
@@ -853,185 +747,25 @@ class TastyTradeClient {
      * Updates ticker from Quote event.
      */
     updateTickerFromQuote(symbol, bidPrice, askPrice, bidSize, askSize, timestamp) {
-        const existing = this.tickerCache.get(symbol);
-        const ticker = {
-            symbol,
-            spot: bidPrice > 0 && askPrice > 0 ? (bidPrice + askPrice) / 2 : existing?.spot ?? 0,
-            bid: bidPrice,
-            bidSize,
-            ask: askPrice,
-            askSize,
-            last: existing?.last ?? 0,
-            volume: existing?.volume ?? 0,
-            timestamp,
-        };
-        this.tickerCache.set(symbol, ticker);
-        this.emit('tickerUpdate', ticker);
+        this.updateTickerFromQuoteData(symbol, bidPrice, bidSize, askPrice, askSize, timestamp);
     }
     /**
      * Updates ticker from Trade event.
      */
     updateTickerFromTrade(symbol, price, size, dayVolume, timestamp) {
-        const existing = this.tickerCache.get(symbol);
-        const ticker = {
-            symbol,
-            spot: existing?.spot ?? price,
-            bid: existing?.bid ?? 0,
-            bidSize: existing?.bidSize ?? 0,
-            ask: existing?.ask ?? 0,
-            askSize: existing?.askSize ?? 0,
-            last: price,
-            volume: dayVolume > 0 ? dayVolume : (existing?.volume ?? 0) + size,
-            timestamp,
-        };
-        this.tickerCache.set(symbol, ticker);
-        this.emit('tickerUpdate', ticker);
+        this.updateTickerFromTradeData(symbol, price, size, dayVolume > 0 ? dayVolume : null, timestamp);
     }
     /**
      * Updates option from Quote event.
      */
     updateOptionFromQuote(occSymbol, bidPrice, askPrice, bidSize, askSize, timestamp) {
-        const existing = this.optionCache.get(occSymbol);
-        // Parse OCC symbol if we don't have existing data
-        let parsed;
-        try {
-            parsed = (0, occ_1.parseOCCSymbol)(occSymbol);
-        }
-        catch {
-            // Try to use existing data or skip
-            if (!existing)
-                return;
-            parsed = {
-                symbol: existing.underlying,
-                expiration: new Date(existing.expirationTimestamp),
-                optionType: existing.optionType,
-                strike: existing.strike,
-            };
-        }
-        const option = {
-            occSymbol,
-            underlying: parsed.symbol,
-            strike: parsed.strike,
-            expiration: parsed.expiration.toISOString().split('T')[0],
-            expirationTimestamp: parsed.expiration.getTime(),
-            optionType: parsed.optionType,
-            bid: bidPrice,
-            bidSize,
-            ask: askPrice,
-            askSize,
-            mark: bidPrice > 0 && askPrice > 0 ? (bidPrice + askPrice) / 2 : existing?.mark ?? 0,
-            last: existing?.last ?? 0,
-            volume: existing?.volume ?? 0,
-            openInterest: existing?.openInterest ?? 0,
-            liveOpenInterest: this.calculateLiveOpenInterest(occSymbol),
-            impliedVolatility: existing?.impliedVolatility ?? 0,
-            timestamp,
-        };
-        this.optionCache.set(occSymbol, option);
-        this.emit('optionUpdate', option);
+        this.updateOptionFromQuoteData(occSymbol, bidPrice, bidSize, askPrice, askSize, timestamp, occ_1.parseOCCSymbol);
     }
     /**
      * Updates option from Trade event.
      */
     updateOptionFromTrade(occSymbol, price, size, dayVolume, timestamp) {
-        const existing = this.optionCache.get(occSymbol);
-        // Parse OCC symbol
-        let parsed;
-        try {
-            parsed = (0, occ_1.parseOCCSymbol)(occSymbol);
-        }
-        catch {
-            if (!existing)
-                return;
-            parsed = {
-                symbol: existing.underlying,
-                expiration: new Date(existing.expirationTimestamp),
-                optionType: existing.optionType,
-                strike: existing.strike,
-            };
-        }
-        // Determine aggressor side
-        const bid = existing?.bid ?? 0;
-        const ask = existing?.ask ?? 0;
-        const aggressorSide = this.determineAggressorSide(price, bid, ask);
-        // Calculate OI change
-        const estimatedOIChange = this.calculateOIChangeFromTrade(aggressorSide, size, parsed.optionType);
-        const currentChange = this.cumulativeOIChange.get(occSymbol) ?? 0;
-        this.cumulativeOIChange.set(occSymbol, currentChange + estimatedOIChange);
-        if (this.verbose && estimatedOIChange !== 0) {
-            const baseOI = this.baseOpenInterest.get(occSymbol) ?? 0;
-            const newLiveOI = Math.max(0, baseOI + currentChange + estimatedOIChange);
-            console.log(`[TastyTrade:OI] ${occSymbol} trade: price=${price.toFixed(2)}, size=${size}, aggressor=${aggressorSide}, OI change=${estimatedOIChange > 0 ? '+' : ''}${estimatedOIChange}, liveOI=${newLiveOI} (base=${baseOI}, cumulative=${currentChange + estimatedOIChange})`);
-        }
-        // Record trade
-        const trade = {
-            occSymbol,
-            price,
-            size,
-            bid,
-            ask,
-            aggressorSide,
-            timestamp,
-            estimatedOIChange,
-        };
-        if (!this.intradayTrades.has(occSymbol)) {
-            this.intradayTrades.set(occSymbol, []);
-        }
-        this.intradayTrades.get(occSymbol).push(trade);
-        this.emit('optionTrade', trade);
-        const option = {
-            occSymbol,
-            underlying: parsed.symbol,
-            strike: parsed.strike,
-            expiration: parsed.expiration.toISOString().split('T')[0],
-            expirationTimestamp: parsed.expiration.getTime(),
-            optionType: parsed.optionType,
-            bid,
-            bidSize: existing?.bidSize ?? 0,
-            ask,
-            askSize: existing?.askSize ?? 0,
-            mark: bid > 0 && ask > 0 ? (bid + ask) / 2 : price,
-            last: price,
-            volume: dayVolume > 0 ? dayVolume : (existing?.volume ?? 0) + size,
-            openInterest: existing?.openInterest ?? 0,
-            liveOpenInterest: this.calculateLiveOpenInterest(occSymbol),
-            impliedVolatility: existing?.impliedVolatility ?? 0,
-            timestamp,
-        };
-        this.optionCache.set(occSymbol, option);
-        this.emit('optionUpdate', option);
-    }
-    /**
-     * Determines aggressor side from trade price vs NBBO.
-     */
-    determineAggressorSide(tradePrice, bid, ask) {
-        if (bid <= 0 || ask <= 0)
-            return 'unknown';
-        const spread = ask - bid;
-        const tolerance = spread > 0 ? spread * 0.001 : 0.001;
-        if (tradePrice >= ask - tolerance) {
-            return 'buy';
-        }
-        else if (tradePrice <= bid + tolerance) {
-            return 'sell';
-        }
-        return 'unknown';
-    }
-    /**
-     * Calculates estimated OI change from trade.
-     */
-    calculateOIChangeFromTrade(aggressorSide, size, _optionType) {
-        if (aggressorSide === 'unknown')
-            return 0;
-        return aggressorSide === 'buy' ? size : -size;
-    }
-    /**
-     * Calculates live open interest.
-     */
-    calculateLiveOpenInterest(occSymbol) {
-        const baseOI = this.baseOpenInterest.get(occSymbol) ?? 0;
-        const cumulativeChange = this.cumulativeOIChange.get(occSymbol) ?? 0;
-        return Math.max(0, baseOI + cumulativeChange);
+        this.updateOptionFromTradeData(occSymbol, price, size, dayVolume > 0 ? dayVolume : null, timestamp, occ_1.parseOCCSymbol);
     }
     /**
      * Handles DxLink error messages.
@@ -1048,10 +782,8 @@ class TastyTradeClient {
             return;
         }
         this.reconnectAttempts++;
-        const delay = this.baseReconnectDelay * Math.pow(2, this.reconnectAttempts - 1);
-        if (this.verbose) {
-            console.log(`[TastyTrade:DxLink] Reconnection attempt ${this.reconnectAttempts}/${this.maxReconnectAttempts} in ${delay}ms`);
-        }
+        const delay = this.getReconnectDelay();
+        this.log(`Reconnection attempt ${this.reconnectAttempts}/${this.maxReconnectAttempts} in ${delay}ms`);
         await this.sleep(delay);
         try {
             await this.connect();
@@ -1061,10 +793,10 @@ class TastyTradeClient {
         }
     }
     /**
-     * Checks if symbol is an OCC option symbol.
+     * Checks if symbol is a TastyTrade option symbol.
      */
-    isOptionSymbol(symbol) {
-        return OCC_OPTION_PATTERN.test(symbol);
+    isTastyTradeOptionSymbol(symbol) {
+        return BaseBrokerClient_1.OCC_OPTION_PATTERN.test(symbol);
     }
     /**
      * Sends a message to the WebSocket.
@@ -1074,38 +806,5 @@ class TastyTradeClient {
             this.ws.send(JSON.stringify(message));
         }
     }
-    /**
-     * Emits an event to all listeners.
-     */
-    emit(event, data) {
-        const listeners = this.eventListeners.get(event);
-        if (listeners) {
-            listeners.forEach(listener => {
-                try {
-                    listener(data);
-                }
-                catch (error) {
-                    console.error('Event listener error:', error);
-                }
-            });
-        }
-    }
-    /**
-     * Converts value to number, handling NaN and null.
-     */
-    toNumber(value) {
-        if (value === null || value === undefined)
-            return 0;
-        if (typeof value === 'number')
-            return isNaN(value) ? 0 : value;
-        const num = parseFloat(value);
-        return isNaN(num) ? 0 : num;
-    }
-    /**
-     * Sleep utility.
-     */
-    sleep(ms) {
-        return new Promise(resolve => setTimeout(resolve, ms));
-    }
 }
 exports.TastyTradeClient = TastyTradeClient;