@himalaya-quant/ctrader-x 0.0.7

package/src/models/proto/payload-types/payload-types.enum.ts

@@ -0,0 +1,77 @@
+export enum ProtoOAPayloadType {
+    PROTO_OA_APPLICATION_AUTH_REQ = '2100',
+    PROTO_OA_APPLICATION_AUTH_RES = '2101',
+    PROTO_OA_ACCOUNT_AUTH_REQ = '2102',
+    PROTO_OA_ACCOUNT_AUTH_RES = '2103',
+    PROTO_OA_VERSION_REQ = '2104',
+    PROTO_OA_VERSION_RES = '2105',
+    PROTO_OA_NEW_ORDER_REQ = '2106',
+    PROTO_OA_TRAILING_SL_CHANGED_EVENT = '2107',
+    PROTO_OA_CANCEL_ORDER_REQ = '2108',
+    PROTO_OA_AMEND_ORDER_REQ = '2109',
+    PROTO_OA_AMEND_POSITION_SLTP_REQ = '2110',
+    PROTO_OA_CLOSE_POSITION_REQ = '2111',
+    PROTO_OA_ASSET_LIST_REQ = '2112',
+    PROTO_OA_ASSET_LIST_RES = '2113',
+    PROTO_OA_SYMBOLS_LIST_REQ = '2114',
+    PROTO_OA_SYMBOLS_LIST_RES = '2115',
+    PROTO_OA_SYMBOL_BY_ID_REQ = '2116',
+    PROTO_OA_SYMBOL_BY_ID_RES = '2117',
+    PROTO_OA_SYMBOLS_FOR_CONVERSION_REQ = '2118',
+    PROTO_OA_SYMBOLS_FOR_CONVERSION_RES = '2119',
+    PROTO_OA_SYMBOL_CHANGED_EVENT = '2120',
+    PROTO_OA_TRADER_REQ = '2121',
+    PROTO_OA_TRADER_RES = '2122',
+    PROTO_OA_TRADER_UPDATE_EVENT = '2123',
+    PROTO_OA_RECONCILE_REQ = '2124',
+    PROTO_OA_RECONCILE_RES = '2125',
+    PROTO_OA_EXECUTION_EVENT = '2126',
+    PROTO_OA_SUBSCRIBE_SPOTS_REQ = '2127',
+    PROTO_OA_SUBSCRIBE_SPOTS_RES = '2128',
+    PROTO_OA_UNSUBSCRIBE_SPOTS_REQ = '2129',
+    PROTO_OA_UNSUBSCRIBE_SPOTS_RES = '2130',
+    PROTO_OA_SPOT_EVENT = '2131',
+    PROTO_OA_ORDER_ERROR_EVENT = '2132',
+    PROTO_OA_DEAL_LIST_REQ = '2133',
+    PROTO_OA_DEAL_LIST_RES = '2134',
+    PROTO_OA_SUBSCRIBE_LIVE_TRENDBAR_REQ = '2135',
+    PROTO_OA_UNSUBSCRIBE_LIVE_TRENDBAR_REQ = '2136',
+    PROTO_OA_GET_TRENDBARS_REQ = '2137',
+    PROTO_OA_GET_TRENDBARS_RES = '2138',
+    PROTO_OA_EXPECTED_MARGIN_REQ = '2139',
+    PROTO_OA_EXPECTED_MARGIN_RES = '2140',
+    PROTO_OA_MARGIN_CHANGED_EVENT = '2141',
+    PROTO_OA_ERROR_RES = '2142',
+    PROTO_OA_CASH_FLOW_HISTORY_LIST_REQ = '2143',
+    PROTO_OA_CASH_FLOW_HISTORY_LIST_RES = '2144',
+    PROTO_OA_GET_TICKDATA_REQ = '2145',
+    PROTO_OA_GET_TICKDATA_RES = '2146',
+    PROTO_OA_ACCOUNTS_TOKEN_INVALIDATED_EVENT = '2147',
+    PROTO_OA_CLIENT_DISCONNECT_EVENT = '2148',
+    PROTO_OA_GET_ACCOUNTS_BY_ACCESS_TOKEN_REQ = '2149',
+    PROTO_OA_GET_ACCOUNTS_BY_ACCESS_TOKEN_RES = '2150',
+    PROTO_OA_GET_CTID_PROFILE_BY_TOKEN_REQ = '2151',
+    PROTO_OA_GET_CTID_PROFILE_BY_TOKEN_RES = '2152',
+    PROTO_OA_ASSET_CLASS_LIST_REQ = '2153',
+    PROTO_OA_ASSET_CLASS_LIST_RES = '2154',
+    PROTO_OA_DEPTH_EVENT = '2155',
+    PROTO_OA_SUBSCRIBE_DEPTH_QUOTES_REQ = '2156',
+    PROTO_OA_SUBSCRIBE_DEPTH_QUOTES_RES = '2157',
+    PROTO_OA_UNSUBSCRIBE_DEPTH_QUOTES_REQ = '2158',
+    PROTO_OA_UNSUBSCRIBE_DEPTH_QUOTES_RES = '2159',
+    PROTO_OA_SYMBOL_CATEGORY_REQ = '2160',
+    PROTO_OA_SYMBOL_CATEGORY_RES = '2161',
+    PROTO_OA_ACCOUNT_LOGOUT_REQ = '2162',
+    PROTO_OA_ACCOUNT_LOGOUT_RES = '2163',
+    PROTO_OA_ACCOUNT_DISCONNECT_EVENT = '2164',
+    PROTO_OA_SUBSCRIBE_LIVE_TRENDBAR_RES = '2165',
+    PROTO_OA_UNSUBSCRIBE_LIVE_TRENDBAR_RES = '2166',
+    PROTO_OA_MARGIN_CALL_LIST_REQ = '2167',
+    PROTO_OA_MARGIN_CALL_LIST_RES = '2168',
+    PROTO_OA_MARGIN_CALL_UPDATE_REQ = '2169',
+    PROTO_OA_MARGIN_CALL_UPDATE_RES = '2170',
+    PROTO_OA_MARGIN_CALL_UPDATE_EVENT = '2171',
+    PROTO_OA_MARGIN_CALL_TRIGGER_EVENT = '2172',
+    PROTO_OA_REFRESH_TOKEN_REQ = '2173',
+    PROTO_OA_REFRESH_TOKEN_RES = '2174',
+}

package/src/utils/price.utils.ts

@@ -0,0 +1,42 @@
+export class Price {
+    static getPrice(bid: number, ask: number): number | null {
+        // Converti esplicitamente
+        const bidNum =
+            bid !== undefined && bid !== null ? Number(bid) : undefined;
+        const askNum =
+            ask !== undefined && ask !== null ? Number(ask) : undefined;
+
+        let price: number | null = null;
+
+        // Calcola il prezzo
+        if (
+            bidNum !== undefined &&
+            askNum !== undefined &&
+            bidNum > 0 &&
+            askNum > 0
+        ) {
+            price = (bidNum + askNum) / 2 / 100000;
+        } else if (bidNum !== undefined && bidNum > 0) {
+            price = bidNum / 100000;
+        } else if (askNum !== undefined && askNum > 0) {
+            price = askNum / 100000;
+        }
+
+        // ⚠️ VALIDAZIONE CRITICA: verifica che il prezzo sia sensato
+        if (
+            price !== null &&
+            (!isFinite(price) || price <= 0 || price > 1000000)
+        ) {
+            console.error('🚨 INVALID PRICE DETECTED:', {
+                price,
+                bid: bidNum,
+                ask: askNum,
+                originalBid: bid,
+                originalAsk: ask,
+            });
+            return null;
+        }
+
+        return price;
+    }
+}

package/src/utils/sleep.utils.ts

@@ -0,0 +1,13 @@
+export class Sleep {
+    static async ms(milliseconds: number) {
+        await new Promise<void>((r) =>
+            setTimeout(() => {
+                r();
+            }, milliseconds),
+        );
+    }
+
+    static async s(seconds: number) {
+        await this.ms(seconds * 1000);
+    }
+}

package/src/utils/timeframe.utils.ts

@@ -0,0 +1,50 @@
+export class TimeFrame {
+    private static timeframesToMsConversionMap: Record<string, number> = {};
+
+    /**
+     * converts a time frame to milliseconds
+     * @param timeFrame string in form of (s,m,h,d,w,M,y)
+     * @returns number ms representation of given time frame
+     */
+    static parseTimeFrameToMs(timeFrame: string) {
+        if (this.timeframesToMsConversionMap[timeFrame]) {
+            return this.timeframesToMsConversionMap[timeFrame];
+        }
+
+        ////////////////////////////////////////////////////////
+        // THIS IS NOT INTENDED TO BE USED AS THE HIMALAYA STD
+        // TIMEFRAME FORMAT
+        ////////////////////////////////////////////////////////
+        const amount = +timeFrame.slice(1);
+        const unit = timeFrame.slice(0, 1);
+        ////////////////////////////////////////////////////////
+        let scale: number;
+
+        if (unit === 'Y') {
+            scale = 60 * 60 * 24 * 365;
+        } else if (unit === 'MN') {
+            scale = 60 * 60 * 24 * 30;
+        } else if (unit === 'W') {
+            scale = 60 * 60 * 24 * 7;
+        } else if (unit === 'D') {
+            scale = 60 * 60 * 24;
+        } else if (unit === 'H') {
+            scale = 60 * 60;
+        } else if (unit === 'M') {
+            scale = 60;
+        } else if (unit === 'S') {
+            scale = 1;
+        } else {
+            throw Error('time frame unit ' + unit + ' is not supported');
+        }
+
+        this.timeframesToMsConversionMap[timeFrame] = amount * scale * 1000;
+        return this.timeframesToMsConversionMap[timeFrame];
+    }
+
+    static roundToTimeFrame(timestamp: number, timeframe: string): number {
+        const timeframeInMs = this.parseTimeFrameToMs(timeframe);
+        const floored = Math.floor(timestamp / timeframeInMs) * timeframeInMs;
+        return floored;
+    }
+}

package/src/utils/trendbar.utils.ts

@@ -0,0 +1,59 @@
+import { OHLCV } from '../models/common/ohlcv';
+import { ProtoOATrendbar } from '../models/proto/models/ProtoOATrendbar';
+
+export class TrendBarUtils {
+    static getPriceFromRelative(digits: number, relative: number): number {
+        return (
+            Math.round((relative / 100000.0) * Math.pow(10, digits)) /
+            Math.pow(10, digits)
+        );
+    }
+
+    static mapTrendbarsToOHLCV(
+        trendbars: ProtoOATrendbar[],
+        precision: number,
+    ) {
+        // Initialize the output array, so the looping and re-assign by index will be
+        // faster than mapping over the original array, or pushing in another one
+        const output: OHLCV[] = new Array<OHLCV>(trendbars.length).fill(null!);
+
+        for (let i = 0; i < trendbars.length; i++) {
+            const trendbar = trendbars[i];
+
+            const {
+                low,
+                volume,
+                deltaClose,
+                deltaHigh,
+                deltaOpen,
+                utcTimestampInMinutes,
+            } = trendbar;
+
+            const T = +utcTimestampInMinutes! * 60000;
+            const O = TrendBarUtils.getPriceFromRelative(
+                precision,
+                +low! + +deltaOpen!,
+            );
+            const H = TrendBarUtils.getPriceFromRelative(
+                precision,
+                +low! + +deltaHigh!,
+            );
+            const L = TrendBarUtils.getPriceFromRelative(precision, +low!);
+            // const C = TrendBarUtils.getPriceFromRelative(
+            //     precision,
+            //     +low! + +deltaClose!,
+            // );
+            const C =
+                deltaClose !== undefined
+                    ? TrendBarUtils.getPriceFromRelative(
+                          precision,
+                          +low! + +deltaClose,
+                      )
+                    : TrendBarUtils.getPriceFromRelative(precision, +low!);
+            const V = +volume;
+            output[i] = [T, O, H, L, C, V];
+        }
+
+        return output;
+    }
+}

package/tsconfig.tsbuildinfo

@@ -0,0 +1 @@
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package/vitest.config.ts

@@ -0,0 +1,11 @@
+// vitest.config.ts
+import { defineConfig } from 'vitest/config';
+
+export default defineConfig({
+    test: {
+        globals: true,
+        environment: 'node',
+        testTimeout: 30000, // 30 secondi per i test di integrazione
+        hookTimeout: 30000,
+    },
+});