@tradejs/cli 2.0.5 → 2.0.7

package/dist/scripts/binanceBreadthUniversesUpdate.js

@@ -0,0 +1,120 @@
+"use strict";
+var __create = Object.create;
+var __defProp = Object.defineProperty;
+var __getOwnPropDesc = Object.getOwnPropertyDescriptor;
+var __getOwnPropNames = Object.getOwnPropertyNames;
+var __getProtoOf = Object.getPrototypeOf;
+var __hasOwnProp = Object.prototype.hasOwnProperty;
+var __export = (target, all) => {
+  for (var name in all)
+    __defProp(target, name, { get: all[name], enumerable: true });
+};
+var __copyProps = (to, from, except, desc) => {
+  if (from && typeof from === "object" || typeof from === "function") {
+    for (let key of __getOwnPropNames(from))
+      if (!__hasOwnProp.call(to, key) && key !== except)
+        __defProp(to, key, { get: () => from[key], enumerable: !(desc = __getOwnPropDesc(from, key)) || desc.enumerable });
+  }
+  return to;
+};
+var __toESM = (mod, isNodeMode, target) => (target = mod != null ? __create(__getProtoOf(mod)) : {}, __copyProps(
+  // If the importer is in node compatibility mode or this is not an ESM
+  // file that has been converted to a CommonJS file using a Babel-
+  // compatible transform (i.e. "__esModule" has not been set), then set
+  // "default" to the CommonJS "module.exports" for node compatibility.
+  isNodeMode || !mod || !mod.__esModule ? __defProp(target, "default", { value: mod, enumerable: true }) : target,
+  mod
+));
+var __toCommonJS = (mod) => __copyProps(__defProp({}, "__esModule", { value: true }), mod);
+
+// src/scripts/binanceBreadthUniversesUpdate.ts
+var binanceBreadthUniversesUpdate_exports = {};
+__export(binanceBreadthUniversesUpdate_exports, {
+  BINANCE_BREADTH_UNIVERSES_RELATIVE_PATH: () => BINANCE_BREADTH_UNIVERSES_RELATIVE_PATH,
+  main: () => main
+});
+module.exports = __toCommonJS(binanceBreadthUniversesUpdate_exports);
+var import_config = require("dotenv/config");
+var import_args = __toESM(require("args"));
+var import_promises = __toESM(require("fs/promises"));
+var import_node_path = __toESM(require("path"));
+var import_chalk = __toESM(require("chalk"));
+var import_connectors = require("@tradejs/connectors");
+var import_connectors2 = require("@tradejs/node/connectors");
+var import_strategies = require("@tradejs/node/strategies");
+
+// src/lib/binanceMarketData.ts
+var STABLE_QUOTE_SYMBOLS = /* @__PURE__ */ new Set([
+  "USDCUSDT",
+  "FDUSDUSDT",
+  "TUSDUSDT",
+  "BUSDUSDT",
+  "USDPUSDT",
+  "DAIUSDT"
+]);
+var selectBreadthUniverseFromTickers = (tickers, limit) => tickers.filter(
+  (ticker) => ticker.symbol.endsWith("USDT") && ticker.symbol !== "BTCUSDT" && !STABLE_QUOTE_SYMBOLS.has(ticker.symbol) && Number.isFinite(ticker.turnover24h) && ticker.turnover24h > 0
+).sort((a, b) => b.turnover24h - a.turnover24h).slice(0, Math.max(0, limit)).map((ticker) => ticker.symbol);
+
+// src/scripts/binanceBreadthUniversesUpdate.ts
+import_args.default.example(
+  "yarn breadth:universes:update --write",
+  "Refresh the versioned Binance top5/top10/top30/top50/top100 breadth snapshot"
+);
+import_args.default.option(
+  ["w", "write"],
+  "Write the snapshot; without this flag only print the proposed update",
+  false
+);
+import_args.default.option(["u", "user"], "Connector user name", "root");
+var flags = import_args.default.parse(process.argv);
+var BINANCE_BREADTH_UNIVERSES_RELATIVE_PATH = "packages/node/src/config/binanceBreadthUniverses.json";
+var main = async () => {
+  const projectRoot = String(process.env.PROJECT_CWD || process.cwd()).trim() || process.cwd();
+  const connectorCreator = await (0, import_connectors2.getConnectorCreatorByName)(
+    import_connectors.ConnectorNames.Binance,
+    projectRoot
+  );
+  if (!connectorCreator) {
+    throw new Error("Binance connector is not registered");
+  }
+  const connector = await connectorCreator({
+    userName: String(flags.user || "root"),
+    universe: "crypto"
+  });
+  const rankedSymbols = selectBreadthUniverseFromTickers(
+    await connector.getTickers(),
+    100
+  );
+  const snapshot = (0, import_strategies.buildBinanceBreadthUniverseSnapshot)({ rankedSymbols });
+  const serialized = `${JSON.stringify(snapshot, null, 2)}
+`;
+  console.log(
+    import_chalk.default.cyan(
+      `Binance breadth snapshot ${snapshot.fingerprint}: ${Object.entries(
+        snapshot.universes
+      ).map(
+        ([key, definition]) => `${key}=${definition.size}:${definition.fingerprint}`
+      ).join(" ")}`
+    )
+  );
+  if (!flags.write) {
+    console.log(serialized);
+    console.log(
+      import_chalk.default.yellow("Dry run only. Pass --write to update the snapshot file.")
+    );
+    return snapshot;
+  }
+  const outputPath = import_node_path.default.join(
+    projectRoot,
+    BINANCE_BREADTH_UNIVERSES_RELATIVE_PATH
+  );
+  await import_promises.default.writeFile(outputPath, serialized, "utf8");
+  console.log(import_chalk.default.green(`Updated ${outputPath}`));
+  return snapshot;
+};
+// Annotate the CommonJS export names for ESM import in node:
+0 && (module.exports = {
+  BINANCE_BREADTH_UNIVERSES_RELATIVE_PATH,
+  main
+});

package/dist/scripts/binanceMarketIngest.js

@@ -37,6 +37,7 @@ var import_config = require("dotenv/config");
 var import_args = __toESM(require("args"));
 var import_chalk = __toESM(require("chalk"));
 var import_connectors = require("@tradejs/connectors");
+var import_strategies = require("@tradejs/node/strategies");
 var import_timescale = require("@tradejs/infra/timescale");
 
 // src/lib/binanceMarketData.ts
@@ -46,14 +47,6 @@ var MARKET_FEATURE_INTERVAL_MS = {
   "15m": 9e5,
   "1h": 36e5
 };
-var STABLE_QUOTE_SYMBOLS = /* @__PURE__ */ new Set([
-  "USDCUSDT",
-  "FDUSDUSDT",
-  "TUSDUSDT",
-  "BUSDUSDT",
-  "USDPUSDT",
-  "DAIUSDT"
-]);
 var safeDivide = (num, den) => Number.isFinite(num) && Number.isFinite(den) && den !== 0 ? num / den : null;
 var mean = (values) => values.length ? values.reduce((sum, value) => sum + value, 0) / values.length : null;
 var standardDeviation = (values) => {
@@ -106,23 +99,23 @@ var normalizeMarketFeatureInterval = (value) => {
   return "15m";
 };
 var normalizeBinanceSymbols = (value) => String(value || "").split(",").map((item) => item.trim().toUpperCase()).filter(Boolean);
-var selectBreadthUniverseFromTickers = (tickers, limit) => tickers.filter(
-  (ticker) => ticker.symbol.endsWith("USDT") && ticker.symbol !== "BTCUSDT" && !STABLE_QUOTE_SYMBOLS.has(ticker.symbol) && Number.isFinite(ticker.turnover24h) && ticker.turnover24h > 0
-).sort((a, b) => b.turnover24h - a.turnover24h).slice(0, Math.max(0, limit)).map((ticker) => ticker.symbol);
 var estimateBinanceMarketDataVolume = ({
   symbols,
   days,
   interval,
   includeAggTrades,
   includeBreadth,
-  breadthLimit
+  breadthSizes
 }) => {
   const intervalMs = MARKET_FEATURE_INTERVAL_MS[interval];
   const bucketRowsPerSymbol = Math.ceil(days * 864e5 / intervalMs);
   const aggTradeBucketRows = includeAggTrades ? symbols.length * bucketRowsPerSymbol : 0;
-  const breadthSymbols = includeBreadth ? Math.max(0, breadthLimit) : 0;
+  const normalizedBreadthSizes = breadthSizes.filter(
+    (size) => Number.isFinite(size) && size > 0
+  );
+  const breadthSymbols = includeBreadth ? Math.max(0, ...normalizedBreadthSizes) : 0;
   const breadthCandleRows = breadthSymbols * bucketRowsPerSymbol;
-  const breadthRows = includeBreadth ? bucketRowsPerSymbol : 0;
+  const breadthRows = includeBreadth ? bucketRowsPerSymbol * normalizedBreadthSizes.length : 0;
   return {
     interval,
     days,
@@ -379,11 +372,6 @@ import_args.default.option(
   ["w", "write"],
   "Write rows to Timescale; without this flag only estimate"
 );
-import_args.default.option(
-  ["B", "breadthLimit"],
-  "Top USDT symbols used for breadth universe",
-  30
-);
 import_args.default.option(
   ["M", "batchMinutes"],
   "aggTrades request window size in minutes",
@@ -463,7 +451,7 @@ var main = async () => {
   const interval = normalizeMarketFeatureInterval(flags.interval);
   const hours = flags.hours == null ? null : asFloat(flags.hours, 0);
   const days = hours != null && hours > 0 ? hours / 24 : asFloat(flags.days, 1);
-  const breadthLimit = asInt(flags.breadthLimit, 30);
+  const breadthUniverses = (0, import_strategies.getBinanceBreadthUniverses)();
   const batchMinutes = asInt(flags.batchMinutes, 15);
   const requestDelayMs = asInt(flags.requestDelayMs, 75);
   const includeAll = Boolean(flags.all);
@@ -481,7 +469,7 @@ var main = async () => {
     interval,
     includeAggTrades: modes.includeAggTrades,
     includeBreadth: modes.includeBreadth,
-    breadthLimit
+    breadthSizes: breadthUniverses.map(({ size }) => size)
   });
   printEstimate(estimate);
   if (!flags.write) {
@@ -520,11 +508,7 @@ var main = async () => {
     }
   }
   if (modes.includeBreadth) {
-    const tickers = await connector.getTickers();
-    const breadthSymbols = selectBreadthUniverseFromTickers(
-      tickers,
-      breadthLimit
-    );
+    const breadthSymbols = breadthUniverses.at(-1)?.symbols ?? [];
     const connectorInterval = intervalToConnectorInterval(interval);
     const candlesBySymbol = {};
     for (const symbol of breadthSymbols) {
@@ -541,14 +525,29 @@ var main = async () => {
       process.stdout.write(`${candles.length}
 `);
     }
-    const universe = `binance_top${breadthSymbols.length}_usdt`;
-    const rows = buildMarketBreadthRows({
-      universe,
-      interval,
-      candlesBySymbol
+    const btcCandles = await connector.kline({
+      symbol: "BTCUSDT",
+      interval: connectorInterval,
+      start: fromMs,
+      end: toMs,
+      silent: true
     });
-    await (0, import_timescale.upsertMarketBreadthRows)(rows);
-    breadthRows += rows.length;
+    for (const definition of breadthUniverses) {
+      const symbolSet = new Set(definition.symbols);
+      const universeCandles = Object.fromEntries(
+        Object.entries(candlesBySymbol).filter(
+          ([symbol]) => symbolSet.has(symbol)
+        )
+      );
+      const rows = buildMarketBreadthRows({
+        universe: definition.universe,
+        interval,
+        candlesBySymbol: universeCandles,
+        btcCandles
+      });
+      await (0, import_timescale.upsertMarketBreadthRows)(rows);
+      breadthRows += rows.length;
+    }
   }
   console.log(import_chalk.default.green("Binance market ingest done"));
   console.log(`aggTrades raw rows: ${aggTradesRaw}`);