fixparser-plugin-mcp 9.1.7-148b599b → 9.1.7-1818bee7

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@@ -1,180 +1,3044 @@
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  // src/MCPLocal.ts
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  import { Server } from "@modelcontextprotocol/sdk/server/index.js";
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  import { StdioServerTransport } from "@modelcontextprotocol/sdk/server/stdio.js";
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- import {
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- CallToolRequestSchema,
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- GetPromptRequestSchema,
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- ListPromptsRequestSchema,
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- ListResourcesRequestSchema,
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- ListToolsRequestSchema
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- } from "@modelcontextprotocol/sdk/types.js";
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- import { Field, Fields, Messages } from "fixparser";
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- var parseInputSchema = {
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- type: "object",
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- properties: {
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- fixString: {
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- type: "string",
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- description: "FIX message string to parse"
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+ import { z } from "zod";
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+
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+ // src/MCPBase.ts
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+ var MCPBase = class {
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+ /**
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+ * Optional logger instance for diagnostics and output.
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+ * @protected
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+ */
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+ logger;
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+ /**
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+ * FIXParser instance, set during plugin register().
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+ * @protected
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+ */
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+ parser;
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+ /**
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+ * Called when server is setup and listening.
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+ * @protected
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+ */
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+ onReady = void 0;
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+ /**
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+ * Map to store verified orders before execution
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+ * @protected
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+ */
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+ verifiedOrders = /* @__PURE__ */ new Map();
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+ /**
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+ * Map to store pending market data requests
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+ * @protected
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+ */
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+ pendingRequests = /* @__PURE__ */ new Map();
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+ /**
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+ * Map to store market data prices
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+ * @protected
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+ */
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+ marketDataPrices = /* @__PURE__ */ new Map();
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+ /**
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+ * Maximum number of price history entries to keep per symbol
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+ * @protected
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+ */
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+ MAX_PRICE_HISTORY = 1e5;
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+ constructor({ logger, onReady }) {
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+ this.logger = logger;
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+ this.onReady = onReady;
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+ }
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+ };
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+
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+ // src/schemas/schemas.ts
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+ var toolSchemas = {
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+ parse: {
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+ description: "Parses a FIX message and describes it in plain language",
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+ schema: {
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+ type: "object",
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+ properties: {
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+ fixString: { type: "string" }
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+ },
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+ required: ["fixString"]
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+ }
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+ },
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+ parseToJSON: {
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+ description: "Parses a FIX message into JSON",
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+ schema: {
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+ type: "object",
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+ properties: {
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+ fixString: { type: "string" }
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+ },
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+ required: ["fixString"]
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+ }
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+ },
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+ verifyOrder: {
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+ description: "Verifies order parameters before execution. verifyOrder must be called before executeOrder.",
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+ schema: {
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+ type: "object",
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+ properties: {
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+ clOrdID: { type: "string" },
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+ handlInst: {
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+ type: "string",
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+ enum: ["1", "2", "3"],
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+ description: "Handling Instructions: 1=Automated Execution No Intervention, 2=Automated Execution Intervention OK, 3=Manual Order"
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+ },
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+ quantity: { type: "string" },
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+ price: { type: "string" },
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+ ordType: {
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+ type: "string",
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+ enum: [
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+ "1",
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+ "2",
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+ "3",
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+ "4",
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+ "5",
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+ "6",
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+ "7",
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+ "8",
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+ "9",
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+ "A",
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+ "B",
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+ "C",
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+ "D",
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+ "E",
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+ "F",
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+ "G",
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+ "H",
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+ "I",
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+ "J",
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+ "K",
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+ "L",
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+ "M",
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+ "P",
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+ "Q",
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+ "R",
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+ "S"
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+ ],
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+ description: "Order Type: 1=Market, 2=Limit, 3=Stop, 4=StopLimit, 5=MarketOnClose, 6=WithOrWithout, 7=LimitOrBetter, 8=LimitWithOrWithout, 9=OnBasis, A=OnClose, B=LimitOnClose, C=ForexMarket, D=PreviouslyQuoted, E=PreviouslyIndicated, F=ForexLimit, G=ForexSwap, H=ForexPreviouslyQuoted, I=Funari, J=MarketIfTouched, K=MarketWithLeftOverAsLimit, L=PreviousFundValuationPoint, M=NextFundValuationPoint, P=Pegged, Q=CounterOrderSelection, R=StopOnBidOrOffer, S=StopLimitOnBidOrOffer"
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+ },
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+ side: {
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+ type: "string",
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+ enum: ["1", "2", "3", "4", "5", "6", "7", "8", "9", "A", "B", "C", "D", "E", "F", "G", "H"],
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+ description: "Side: 1=Buy, 2=Sell, 3=BuyMinus, 4=SellPlus, 5=SellShort, 6=SellShortExempt, 7=Undisclosed, 8=Cross, 9=CrossShort, A=CrossShortExempt, B=AsDefined, C=Opposite, D=Subscribe, E=Redeem, F=Lend, G=Borrow, H=SellUndisclosed"
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+ },
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+ symbol: { type: "string" },
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+ timeInForce: {
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+ type: "string",
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+ enum: ["0", "1", "2", "3", "4", "5", "6", "7", "8", "9", "A", "B", "C"],
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+ description: "Time In Force: 0=Day, 1=GoodTillCancel, 2=AtTheOpening, 3=ImmediateOrCancel, 4=FillOrKill, 5=GoodTillCrossing, 6=GoodTillDate, 7=AtTheClose, 8=GoodThroughCrossing, 9=AtCrossing, A=GoodForTime, B=GoodForAuction, C=GoodForMonth"
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+ }
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+ },
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+ required: ["clOrdID", "handlInst", "quantity", "price", "ordType", "side", "symbol", "timeInForce"]
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+ }
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+ },
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+ executeOrder: {
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+ description: "Executes a verified order. verifyOrder must be called before executeOrder.",
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+ schema: {
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+ type: "object",
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+ properties: {
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+ clOrdID: { type: "string" },
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+ handlInst: {
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+ type: "string",
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+ enum: ["1", "2", "3"],
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+ description: "Handling Instructions: 1=Automated Execution No Intervention, 2=Automated Execution Intervention OK, 3=Manual Order"
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+ },
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+ quantity: { type: "string" },
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+ price: { type: "string" },
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+ ordType: {
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+ type: "string",
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+ enum: [
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+ "1",
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+ "2",
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+ "3",
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+ "4",
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+ "5",
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+ "6",
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+ "7",
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+ "8",
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+ "9",
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+ "A",
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+ "B",
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+ "C",
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+ "D",
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+ "E",
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+ "F",
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+ "G",
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+ "H",
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+ "I",
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+ "J",
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+ "K",
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+ "L",
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+ "M",
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+ "P",
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+ "Q",
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+ "R",
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+ "S"
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+ ],
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+ description: "Order Type: 1=Market, 2=Limit, 3=Stop, 4=StopLimit, 5=MarketOnClose, 6=WithOrWithout, 7=LimitOrBetter, 8=LimitWithOrWithout, 9=OnBasis, A=OnClose, B=LimitOnClose, C=ForexMarket, D=PreviouslyQuoted, E=PreviouslyIndicated, F=ForexLimit, G=ForexSwap, H=ForexPreviouslyQuoted, I=Funari, J=MarketIfTouched, K=MarketWithLeftOverAsLimit, L=PreviousFundValuationPoint, M=NextFundValuationPoint, P=Pegged, Q=CounterOrderSelection, R=StopOnBidOrOffer, S=StopLimitOnBidOrOffer"
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+ },
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+ side: {
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+ type: "string",
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+ enum: ["1", "2", "3", "4", "5", "6", "7", "8", "9", "A", "B", "C", "D", "E", "F", "G", "H"],
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+ description: "Side: 1=Buy, 2=Sell, 3=BuyMinus, 4=SellPlus, 5=SellShort, 6=SellShortExempt, 7=Undisclosed, 8=Cross, 9=CrossShort, A=CrossShortExempt, B=AsDefined, C=Opposite, D=Subscribe, E=Redeem, F=Lend, G=Borrow, H=SellUndisclosed"
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+ },
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+ symbol: { type: "string" },
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+ timeInForce: {
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+ type: "string",
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+ enum: ["0", "1", "2", "3", "4", "5", "6", "7", "8", "9", "A", "B", "C"],
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+ description: "Time In Force: 0=Day, 1=GoodTillCancel, 2=AtTheOpening, 3=ImmediateOrCancel, 4=FillOrKill, 5=GoodTillCrossing, 6=GoodTillDate, 7=AtTheClose, 8=GoodThroughCrossing, 9=AtCrossing, A=GoodForTime, B=GoodForAuction, C=GoodForMonth"
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+ }
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+ },
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+ required: ["clOrdID", "handlInst", "quantity", "price", "ordType", "side", "symbol", "timeInForce"]
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+ }
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+ },
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+ marketDataRequest: {
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+ description: "Requests market data for specified symbols",
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+ schema: {
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+ type: "object",
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+ properties: {
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+ mdUpdateType: {
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+ type: "string",
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+ enum: ["0", "1"],
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+ description: "Market Data Update Type: 0=Full Refresh, 1=Incremental Refresh"
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+ },
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+ symbols: { type: "array", items: { type: "string" } },
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+ mdReqID: { type: "string" },
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+ subscriptionRequestType: {
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+ type: "string",
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+ enum: ["0", "1", "2"],
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+ description: "Subscription Request Type: 0=Snapshot, 1=Snapshot + Updates, 2=Disable Previous Snapshot + Update Request"
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+ },
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+ mdEntryTypes: {
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+ type: "array",
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+ items: {
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+ type: "string",
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+ enum: [
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+ "0",
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+ "1",
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+ "2",
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+ "3",
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+ "4",
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+ "5",
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+ "6",
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+ "7",
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+ "8",
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+ "9",
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+ "A",
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+ "B",
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+ "C",
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+ "D",
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+ "E",
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+ "F",
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+ "G",
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+ "H",
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+ "I",
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+ "J",
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+ "K",
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+ "L",
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+ "M",
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+ "N",
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+ "O",
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+ "P",
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+ "Q",
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+ "R",
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+ "S",
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+ "T",
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+ "U",
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+ "V",
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+ "W",
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+ "X",
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+ "Y",
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+ "Z"
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+ ]
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+ },
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+ description: "Market Data Entry Types: 0=Bid, 1=Offer, 2=Trade, 3=Index Value, 4=Opening Price, 5=Closing Price, 6=Settlement Price, 7=High Price, 8=Low Price, 9=Trade Volume, A=Open Interest, B=Simulated Sell Price, C=Simulated Buy Price, D=Empty Book, E=Session High Bid, F=Session Low Offer, G=Fixing Price, H=Electronic Volume, I=Threshold Limits and Price Band Variation, J=Clearing Price, K=Open Interest Change, L=Last Trade Price, M=Last Trade Volume, N=Last Trade Time, O=Last Trade Tick, P=Last Trade Exchange, Q=Last Trade ID, R=Last Trade Side, S=Last Trade Price Change, T=Last Trade Price Change Percent, U=Last Trade Price Change Basis Points, V=Last Trade Price Change Points, W=Last Trade Price Change Ticks, X=Last Trade Price Change Ticks Percent, Y=Last Trade Price Change Ticks Basis Points, Z=Last Trade Price Change Ticks Points"
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+ }
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+ },
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+ required: ["mdUpdateType", "symbols", "mdReqID", "subscriptionRequestType"]
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+ }
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+ },
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+ getStockGraph: {
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+ description: "Generates a price chart for a given symbol",
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+ schema: {
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+ type: "object",
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+ properties: {
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+ symbol: { type: "string" }
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+ },
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+ required: ["symbol"]
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+ }
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+ },
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+ getStockPriceHistory: {
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+ description: "Returns price history for a given symbol",
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+ schema: {
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+ type: "object",
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+ properties: {
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+ symbol: { type: "string" }
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+ },
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+ required: ["symbol"]
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+ }
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+ },
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+ technicalAnalysis: {
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+ description: "Performs comprehensive technical analysis on market data for a given symbol, including indicators like SMA, EMA, RSI, Bollinger Bands, and trading signals",
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+ schema: {
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+ type: "object",
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+ properties: {
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+ symbol: {
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+ type: "string",
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+ description: "The trading symbol to analyze (e.g., AAPL, MSFT, EURUSD)"
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+ }
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+ },
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+ required: ["symbol"]
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+ }
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+ }
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+ };
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+
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+ // src/tools/indicators/momentum.ts
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+ var MomentumIndicators = class {
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+ /**
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+ * Calculate RSI (Relative Strength Index)
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+ */
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+ static calculateRSI(data, period = 14) {
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+ if (data.length < period + 1) return [];
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+ const changes = [];
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+ for (let i = 1; i < data.length; i++) {
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+ changes.push(data[i] - data[i - 1]);
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+ }
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+ const gains = changes.map((change) => change > 0 ? change : 0);
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+ const losses = changes.map((change) => change < 0 ? Math.abs(change) : 0);
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+ let avgGain = gains.slice(0, period).reduce((a, b) => a + b, 0) / period;
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+ let avgLoss = losses.slice(0, period).reduce((a, b) => a + b, 0) / period;
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+ const rsi = [];
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+ for (let i = period; i < changes.length; i++) {
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+ const rs = avgGain / avgLoss;
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+ rsi.push(100 - 100 / (1 + rs));
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+ avgGain = (avgGain * (period - 1) + gains[i]) / period;
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+ avgLoss = (avgLoss * (period - 1) + losses[i]) / period;
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+ }
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+ return rsi;
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+ }
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+ /**
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+ * Calculate Stochastic Oscillator
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+ */
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+ static calculateStochastic(prices, highs, lows) {
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+ const stochastic = [];
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+ const period = 14;
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+ const smoothK = 3;
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+ const smoothD = 3;
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+ if (prices.length < period) return [];
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+ const percentK = [];
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+ for (let i = period - 1; i < prices.length; i++) {
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+ const high = Math.max(...highs.slice(i - period + 1, i + 1));
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+ const low = Math.min(...lows.slice(i - period + 1, i + 1));
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+ const close = prices[i];
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+ const k = (close - low) / (high - low) * 100;
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+ percentK.push(k);
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+ }
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+ const smoothedK = [];
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+ for (let i = smoothK - 1; i < percentK.length; i++) {
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+ const sum2 = percentK.slice(i - smoothK + 1, i + 1).reduce((a, b) => a + b, 0);
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+ smoothedK.push(sum2 / smoothK);
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+ }
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+ for (let i = smoothD - 1; i < smoothedK.length; i++) {
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+ const sum2 = smoothedK.slice(i - smoothD + 1, i + 1).reduce((a, b) => a + b, 0);
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+ const d = sum2 / smoothD;
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+ stochastic.push({
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+ k: smoothedK[i],
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+ d
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+ });
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+ }
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+ return stochastic;
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+ }
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+ /**
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+ * Calculate CCI (Commodity Channel Index)
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+ */
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+ static calculateCCI(prices, highs, lows) {
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+ const cci = [];
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+ const period = 20;
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+ if (prices.length < period) return [];
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+ for (let i = period - 1; i < prices.length; i++) {
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+ const slice = prices.slice(i - period + 1, i + 1);
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+ const typicalPrices = slice.map((price, idx) => {
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+ const high = highs[i - period + 1 + idx] || price;
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+ const low = lows[i - period + 1 + idx] || price;
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+ return (high + low + price) / 3;
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+ });
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+ const sma = typicalPrices.reduce((a, b) => a + b, 0) / period;
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+ const meanDeviation = typicalPrices.reduce((sum2, tp) => sum2 + Math.abs(tp - sma), 0) / period;
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+ const currentTP = (highs[i] + lows[i] + prices[i]) / 3;
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+ const cciValue = meanDeviation !== 0 ? (currentTP - sma) / (0.015 * meanDeviation) : 0;
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+ cci.push(cciValue);
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+ }
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+ return cci;
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+ }
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+ /**
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+ * Calculate Rate of Change
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+ */
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+ static calculateROC(prices) {
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+ const roc = [];
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+ for (let i = 10; i < prices.length; i++) {
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+ roc.push((prices[i] - prices[i - 10]) / prices[i - 10] * 100);
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+ }
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+ return roc;
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+ }
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+ /**
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+ * Calculate Williams %R
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+ */
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+ static calculateWilliamsR(prices) {
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+ const williamsR = [];
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+ const period = 14;
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+ if (prices.length < period) return [];
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+ for (let i = period - 1; i < prices.length; i++) {
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+ const slice = prices.slice(i - period + 1, i + 1);
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+ const high = Math.max(...slice);
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+ const low = Math.min(...slice);
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+ const close = prices[i];
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+ const wr = (high - close) / (high - low) * -100;
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+ williamsR.push(wr);
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+ }
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+ return williamsR;
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+ }
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+ /**
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+ * Calculate Momentum
399
+ */
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+ static calculateMomentum(prices) {
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+ const momentum = [];
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+ for (let i = 10; i < prices.length; i++) {
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+ momentum.push(prices[i] - prices[i - 10]);
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+ }
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+ return momentum;
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+ }
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+ };
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+
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+ // src/tools/indicators/movingAverages.ts
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+ var MovingAverages = class {
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+ /**
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+ * Calculate Simple Moving Average
413
+ */
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+ static calculateSMA(data, period) {
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+ const sma = [];
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+ for (let i = period - 1; i < data.length; i++) {
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+ const sum2 = data.slice(i - period + 1, i + 1).reduce((a, b) => a + b, 0);
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+ sma.push(sum2 / period);
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+ }
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+ return sma;
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+ }
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+ /**
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+ * Calculate Exponential Moving Average
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+ */
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+ static calculateEMA(data, period) {
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+ const multiplier = 2 / (period + 1);
427
+ const ema = [data[0]];
428
+ for (let i = 1; i < data.length; i++) {
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+ ema.push(data[i] * multiplier + ema[i - 1] * (1 - multiplier));
430
+ }
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+ return ema;
432
+ }
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+ /**
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+ * Calculate Weighted Moving Average
435
+ */
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+ static calculateWMA(data, period) {
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+ const wma = [];
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+ const weights = Array.from({ length: period }, (_, i) => i + 1);
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+ const weightSum = weights.reduce((a, b) => a + b, 0);
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+ for (let i = period - 1; i < data.length; i++) {
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+ let weightedSum = 0;
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+ for (let j = 0; j < period; j++) {
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+ weightedSum += data[i - j] * weights[j];
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+ }
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+ wma.push(weightedSum / weightSum);
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+ }
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+ return wma;
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+ }
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+ /**
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+ * Calculate Volume Weighted Moving Average
451
+ */
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+ static calculateVWMA(prices, volumes, period) {
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+ const vwma = [];
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+ for (let i = period - 1; i < prices.length; i++) {
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+ let volumeSum = 0;
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+ let priceVolumeSum = 0;
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+ for (let j = 0; j < period; j++) {
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+ const volume = volumes[i - j] || 1;
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+ volumeSum += volume;
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+ priceVolumeSum += prices[i - j] * volume;
461
+ }
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+ vwma.push(priceVolumeSum / volumeSum);
463
+ }
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+ return vwma;
465
+ }
466
+ };
467
+
468
+ // src/tools/indicators/options.ts
469
+ var OptionsAnalysis = class _OptionsAnalysis {
470
+ /**
471
+ * Calculate Black-Scholes Option Pricing
472
+ */
473
+ static calculateBlackScholes(currentPrice, startPrice, avgVolume) {
474
+ const S = currentPrice;
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+ const K = startPrice;
476
+ const T = 1;
477
+ const r = 0.05;
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+ const sigma = avgVolume * 0.01;
479
+ const d1 = (Math.log(S / K) + (r + sigma * sigma / 2) * T) / (sigma * Math.sqrt(T));
480
+ const d2 = d1 - sigma * Math.sqrt(T);
481
+ const callPrice = S * _OptionsAnalysis.normalCDF(d1) - K * Math.exp(-r * T) * _OptionsAnalysis.normalCDF(d2);
482
+ const putPrice = K * Math.exp(-r * T) * _OptionsAnalysis.normalCDF(-d2) - S * _OptionsAnalysis.normalCDF(-d1);
483
+ return {
484
+ callPrice,
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+ putPrice,
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+ delta: _OptionsAnalysis.normalCDF(d1),
487
+ gamma: _OptionsAnalysis.normalPDF(d1) / (S * sigma * Math.sqrt(T)),
488
+ theta: -S * _OptionsAnalysis.normalPDF(d1) * sigma / (2 * Math.sqrt(T)) - r * K * Math.exp(-r * T) * _OptionsAnalysis.normalCDF(d2),
489
+ vega: S * Math.sqrt(T) * _OptionsAnalysis.normalPDF(d1),
490
+ rho: K * T * Math.exp(-r * T) * _OptionsAnalysis.normalCDF(d2)
491
+ };
492
+ }
493
+ /**
494
+ * Normal CDF approximation
495
+ */
496
+ static normalCDF(x) {
497
+ return 0.5 * (1 + _OptionsAnalysis.erf(x / Math.sqrt(2)));
498
+ }
499
+ /**
500
+ * Normal PDF
501
+ */
502
+ static normalPDF(x) {
503
+ return Math.exp(-x * x / 2) / Math.sqrt(2 * Math.PI);
504
+ }
505
+ /**
506
+ * Error function approximation
507
+ */
508
+ static erf(x) {
509
+ const a1 = 0.254829592;
510
+ const a2 = -0.284496736;
511
+ const a3 = 1.421413741;
512
+ const a4 = -1.453152027;
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+ const a5 = 1.061405429;
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+ const p = 0.3275911;
515
+ const sign = x >= 0 ? 1 : -1;
516
+ const absX = Math.abs(x);
517
+ const t = 1 / (1 + p * absX);
518
+ const y = 1 - ((((a5 * t + a4) * t + a3) * t + a2) * t + a1) * t * Math.exp(-absX * absX);
519
+ return sign * y;
520
+ }
521
+ };
522
+
523
+ // src/tools/indicators/performance.ts
524
+ var PerformanceAnalysis = class {
525
+ /**
526
+ * Calculate maximum drawdown
527
+ */
528
+ static calculateMaxDrawdown(prices) {
529
+ let maxPrice = prices[0];
530
+ let maxDrawdown = 0;
531
+ for (let i = 1; i < prices.length; i++) {
532
+ if (prices[i] > maxPrice) {
533
+ maxPrice = prices[i];
534
+ }
535
+ const drawdown = (maxPrice - prices[i]) / maxPrice;
536
+ if (drawdown > maxDrawdown) {
537
+ maxDrawdown = drawdown;
538
+ }
539
+ }
540
+ return maxDrawdown;
541
+ }
542
+ /**
543
+ * Calculate maximum consecutive losses
544
+ */
545
+ static calculateMaxConsecutiveLosses(prices) {
546
+ let maxConsecutive = 0;
547
+ let currentConsecutive = 0;
548
+ for (let i = 1; i < prices.length; i++) {
549
+ if (prices[i] < prices[i - 1]) {
550
+ currentConsecutive++;
551
+ maxConsecutive = Math.max(maxConsecutive, currentConsecutive);
552
+ } else {
553
+ currentConsecutive = 0;
554
+ }
555
+ }
556
+ return maxConsecutive;
557
+ }
558
+ /**
559
+ * Calculate win rate
560
+ */
561
+ static calculateWinRate(prices) {
562
+ let wins = 0;
563
+ let total = 0;
564
+ for (let i = 1; i < prices.length; i++) {
565
+ if (prices[i] !== prices[i - 1]) {
566
+ total++;
567
+ if (prices[i] > prices[i - 1]) {
568
+ wins++;
569
+ }
570
+ }
571
+ }
572
+ return total > 0 ? wins / total : 0;
573
+ }
574
+ /**
575
+ * Calculate profit factor
576
+ */
577
+ static calculateProfitFactor(prices) {
578
+ let grossProfit = 0;
579
+ let grossLoss = 0;
580
+ for (let i = 1; i < prices.length; i++) {
581
+ const change = prices[i] - prices[i - 1];
582
+ if (change > 0) {
583
+ grossProfit += change;
584
+ } else {
585
+ grossLoss += Math.abs(change);
586
+ }
587
+ }
588
+ return grossLoss > 0 ? grossProfit / grossLoss : 0;
589
+ }
590
+ /**
591
+ * Calculate Sharpe Ratio
592
+ */
593
+ static calculateSharpeRatio(returns, riskFreeRate = 0.02) {
594
+ if (returns.length === 0) return 0;
595
+ const meanReturn = returns.reduce((sum2, ret) => sum2 + ret, 0) / returns.length;
596
+ const excessReturn = meanReturn - riskFreeRate;
597
+ const variance = returns.reduce((sum2, ret) => sum2 + (ret - meanReturn) ** 2, 0) / returns.length;
598
+ const volatility = Math.sqrt(variance);
599
+ return volatility > 0 ? excessReturn / volatility : 0;
600
+ }
601
+ /**
602
+ * Calculate Sortino Ratio
603
+ */
604
+ static calculateSortinoRatio(returns, riskFreeRate = 0.02) {
605
+ if (returns.length === 0) return 0;
606
+ const meanReturn = returns.reduce((sum2, ret) => sum2 + ret, 0) / returns.length;
607
+ const excessReturn = meanReturn - riskFreeRate;
608
+ const negativeReturns = returns.filter((ret) => ret < meanReturn);
609
+ const downsideVariance = negativeReturns.reduce((sum2, ret) => sum2 + (ret - meanReturn) ** 2, 0) / returns.length;
610
+ const downsideDeviation = Math.sqrt(downsideVariance);
611
+ return downsideDeviation > 0 ? excessReturn / downsideDeviation : 0;
612
+ }
613
+ /**
614
+ * Calculate Calmar Ratio
615
+ */
616
+ static calculateCalmarRatio(returns, maxDrawdown) {
617
+ if (maxDrawdown === 0) return 0;
618
+ const meanReturn = returns.reduce((sum2, ret) => sum2 + ret, 0) / returns.length;
619
+ return meanReturn / maxDrawdown;
620
+ }
621
+ /**
622
+ * Calculate Position Size
623
+ */
624
+ static calculatePositionSize(targetEntry, stopLoss) {
625
+ const riskPerShare = Math.abs(targetEntry - stopLoss);
626
+ return riskPerShare > 0 ? 100 / riskPerShare : 1;
627
+ }
628
+ /**
629
+ * Calculate Confidence
630
+ */
631
+ static calculateConfidence(signals) {
632
+ return Math.min(signals.length * 10, 100);
633
+ }
634
+ /**
635
+ * Calculate Risk Level
636
+ */
637
+ static calculateRiskLevel(volatility) {
638
+ if (volatility < 20) return "LOW";
639
+ if (volatility < 40) return "MEDIUM";
640
+ return "HIGH";
641
+ }
642
+ };
643
+
644
+ // src/tools/indicators/signals.ts
645
+ var TradingSignalsGenerator = class _TradingSignalsGenerator {
646
+ /**
647
+ * Generate trading signals based on market analysis
648
+ */
649
+ static generateSignals(currentPrice, trueVWAP, momentum5, momentum10, sessionReturn, currentVolume, avgVolume, pricePosition, volatility) {
650
+ let bullishSignals = 0;
651
+ let bearishSignals = 0;
652
+ const signals = [];
653
+ if (currentPrice > trueVWAP) {
654
+ signals.push(
655
+ `\u2713 BULLISH: Price above VWAP (+${((currentPrice - trueVWAP) / trueVWAP * 100).toFixed(2)}%)`
656
+ );
657
+ bullishSignals++;
658
+ } else {
659
+ signals.push(`\u2717 BEARISH: Price below VWAP (${((currentPrice - trueVWAP) / trueVWAP * 100).toFixed(2)}%)`);
660
+ bearishSignals++;
661
+ }
662
+ if (momentum5 > 0 && momentum10 > 0) {
663
+ signals.push("\u2713 BULLISH: Positive momentum on both timeframes");
664
+ bullishSignals++;
665
+ } else if (momentum5 < 0 && momentum10 < 0) {
666
+ signals.push("\u2717 BEARISH: Negative momentum on both timeframes");
667
+ bearishSignals++;
668
+ } else {
669
+ signals.push("\u25D0 MIXED: Conflicting momentum signals");
670
+ }
671
+ const volumeRatio = currentVolume / avgVolume;
672
+ if (volumeRatio > 1.2 && sessionReturn > 0) {
673
+ signals.push("\u2713 BULLISH: Above-average volume supporting upward move");
674
+ bullishSignals++;
675
+ } else if (volumeRatio > 1.2 && sessionReturn < 0) {
676
+ signals.push("\u2717 BEARISH: Above-average volume supporting downward move");
677
+ bearishSignals++;
678
+ } else {
679
+ signals.push("\u25D0 NEUTRAL: Volume not providing clear direction");
680
+ }
681
+ if (pricePosition > 65 && volatility > 30) {
682
+ signals.push("\u2717 BEARISH: High in range with elevated volatility - reversal risk");
683
+ bearishSignals++;
684
+ } else if (pricePosition < 35 && volatility > 30) {
685
+ signals.push("\u2713 BULLISH: Low in range with volatility - potential bounce");
686
+ bullishSignals++;
687
+ } else {
688
+ signals.push("\u25D0 NEUTRAL: Price position and volatility not extreme");
689
+ }
690
+ return { bullishSignals, bearishSignals, signals };
691
+ }
692
+ /**
693
+ * Calculate overall signal and confidence
694
+ */
695
+ static calculateOverallSignal(bullishSignals, bearishSignals, signals, volatility) {
696
+ const totalScore = bullishSignals - bearishSignals;
697
+ const overallSignal = totalScore > 0 ? "BULLISH_BIAS" : totalScore < 0 ? "BEARISH_BIAS" : "NEUTRAL";
698
+ const confidence = _TradingSignalsGenerator.calculateConfidence(signals);
699
+ const riskLevel = _TradingSignalsGenerator.calculateRiskLevel(volatility);
700
+ return {
701
+ bullishSignals,
702
+ bearishSignals,
703
+ signals,
704
+ overallSignal,
705
+ signalScore: totalScore,
706
+ confidence,
707
+ riskLevel
708
+ };
709
+ }
710
+ /**
711
+ * Calculate confidence based on number of signals
712
+ */
713
+ static calculateConfidence(signals) {
714
+ return Math.min(signals.length * 10, 100);
715
+ }
716
+ /**
717
+ * Calculate risk level based on volatility
718
+ */
719
+ static calculateRiskLevel(volatility) {
720
+ if (volatility < 20) return "LOW";
721
+ if (volatility < 40) return "MEDIUM";
722
+ return "HIGH";
723
+ }
724
+ };
725
+
726
+ // src/tools/indicators/statistical.ts
727
+ var StatisticalModels = class {
728
+ /**
729
+ * Calculate Z-Score
730
+ */
731
+ static calculateZScore(currentPrice, startPrice) {
732
+ return (currentPrice - startPrice) / (startPrice * 0.1);
733
+ }
734
+ /**
735
+ * Calculate Ornstein-Uhlenbeck
736
+ */
737
+ static calculateOrnsteinUhlenbeck(currentPrice, startPrice, avgVolume, priceChanges) {
738
+ const mean = startPrice;
739
+ let speed = 0.1;
740
+ if (priceChanges.length > 1) {
741
+ const variance = priceChanges.reduce((sum2, change) => sum2 + change * change, 0) / priceChanges.length;
742
+ speed = Math.max(0.01, Math.min(1, variance * 10));
743
+ }
744
+ const volatility = avgVolume * 0.01;
745
+ return {
746
+ mean,
747
+ speed,
748
+ volatility,
749
+ currentValue: currentPrice
750
+ };
751
+ }
752
+ /**
753
+ * Calculate Kalman Filter
754
+ */
755
+ static calculateKalmanFilter(currentPrice, startPrice, avgVolume, priceChanges) {
756
+ const measurementNoise = avgVolume * 1e-3;
757
+ const processNoise = avgVolume * 1e-4;
758
+ let state = startPrice;
759
+ let covariance = measurementNoise;
760
+ if (priceChanges.length > 0) {
761
+ const predictedState = state;
762
+ const predictedCovariance = covariance + processNoise;
763
+ const kalmanGain = predictedCovariance / (predictedCovariance + measurementNoise);
764
+ state = predictedState + kalmanGain * (currentPrice - predictedState);
765
+ covariance = (1 - kalmanGain) * predictedCovariance;
766
+ return {
767
+ state,
768
+ covariance,
769
+ gain: kalmanGain
770
+ };
771
+ }
772
+ return {
773
+ state: currentPrice,
774
+ covariance,
775
+ gain: 0.5
776
+ };
777
+ }
778
+ /**
779
+ * Calculate ARIMA
780
+ */
781
+ static calculateARIMA(currentPrice, priceChanges) {
782
+ if (priceChanges.length < 3) {
783
+ return {
784
+ forecast: [currentPrice * 1.01, currentPrice * 1.02],
785
+ residuals: [0, 0],
786
+ aic: 100
787
+ };
788
+ }
789
+ const n = priceChanges.length;
790
+ let sumY = 0;
791
+ let sumY1 = 0;
792
+ let sumYY1 = 0;
793
+ let sumY1Sq = 0;
794
+ for (let i = 1; i < n; i++) {
795
+ const y = priceChanges[i];
796
+ const y1 = priceChanges[i - 1];
797
+ sumY += y;
798
+ sumY1 += y1;
799
+ sumYY1 += y * y1;
800
+ sumY1Sq += y1 * y1;
801
+ }
802
+ const phi = (n * sumYY1 - sumY * sumY1) / (n * sumY1Sq - sumY1 * sumY1);
803
+ const c = (sumY - phi * sumY1) / n;
804
+ const residuals = [];
805
+ for (let i = 1; i < n; i++) {
806
+ const predicted = c + phi * priceChanges[i - 1];
807
+ residuals.push(priceChanges[i] - predicted);
808
+ }
809
+ const rss = residuals.reduce((sum2, r) => sum2 + r * r, 0);
810
+ const aic = n * Math.log(rss / n) + 2 * 2;
811
+ const lastChange = priceChanges[priceChanges.length - 1];
812
+ const forecast1 = currentPrice + (c + phi * lastChange);
813
+ const forecast2 = forecast1 + (c + phi * (c + phi * lastChange));
814
+ return {
815
+ forecast: [forecast1, forecast2],
816
+ residuals,
817
+ aic
818
+ };
819
+ }
820
+ /**
821
+ * Calculate GARCH
822
+ */
823
+ static calculateGARCH(avgVolume, priceChanges) {
824
+ if (priceChanges.length < 5) {
825
+ return {
826
+ volatility: avgVolume * 0.01,
827
+ persistence: 0.9,
828
+ meanReversion: 0.1
829
+ };
830
+ }
831
+ const squaredReturns = priceChanges.map((change) => change * change);
832
+ const meanSquaredReturn = squaredReturns.reduce((sum2, sq) => sum2 + sq, 0) / squaredReturns.length;
833
+ let persistence = 0.9;
834
+ if (squaredReturns.length > 1) {
835
+ const variance = squaredReturns.reduce((sum2, sq) => sum2 + sq, 0) / squaredReturns.length;
836
+ persistence = Math.min(0.99, Math.max(0.5, variance / meanSquaredReturn));
837
+ }
838
+ const meanReversion = meanSquaredReturn * (1 - persistence);
839
+ const volatility = Math.sqrt(meanSquaredReturn);
840
+ return {
841
+ volatility,
842
+ persistence,
843
+ meanReversion
844
+ };
845
+ }
846
+ /**
847
+ * Calculate Hilbert Transform
848
+ */
849
+ static calculateHilbertTransform(currentPrice, priceChanges) {
850
+ if (priceChanges.length < 3) {
851
+ return {
852
+ analytic: [currentPrice],
853
+ phase: [0],
854
+ amplitude: [currentPrice]
855
+ };
856
+ }
857
+ const n = priceChanges.length;
858
+ const analytic = [];
859
+ const phase = [];
860
+ const amplitude = [];
861
+ for (let i = 0; i < n; i++) {
862
+ let hilbertValue = 0;
863
+ for (let j = 0; j < n; j++) {
864
+ if (i !== j) {
865
+ hilbertValue += priceChanges[j] / (Math.PI * (i - j));
866
+ }
867
+ }
868
+ const realPart = priceChanges[i];
869
+ const imagPart = hilbertValue;
870
+ const analyticValue = Math.sqrt(realPart * realPart + imagPart * imagPart);
871
+ analytic.push(analyticValue);
872
+ const phaseValue = Math.atan2(imagPart, realPart);
873
+ phase.push(phaseValue);
874
+ amplitude.push(analyticValue);
875
+ }
876
+ return {
877
+ analytic,
878
+ phase,
879
+ amplitude
880
+ };
881
+ }
882
+ /**
883
+ * Calculate Wavelet Transform
884
+ */
885
+ static calculateWaveletTransform(currentPrice, priceChanges) {
886
+ if (priceChanges.length < 4) {
887
+ return {
888
+ coefficients: [currentPrice],
889
+ scales: [1]
890
+ };
891
+ }
892
+ const coefficients = [];
893
+ const scales = [];
894
+ const n = priceChanges.length;
895
+ const maxLevel = Math.floor(Math.log2(n));
896
+ for (let level = 1; level <= maxLevel; level++) {
897
+ const step = 2 ** (level - 1);
898
+ const scale = step;
899
+ for (let i = 0; i < n - step; i += step * 2) {
900
+ if (i + step < n) {
901
+ const coefficient = (priceChanges[i] - priceChanges[i + step]) / Math.sqrt(2);
902
+ coefficients.push(coefficient);
903
+ scales.push(scale);
904
+ }
905
+ }
906
+ }
907
+ if (coefficients.length === 0) {
908
+ coefficients.push(currentPrice);
909
+ scales.push(1);
910
+ }
911
+ return {
912
+ coefficients,
913
+ scales
914
+ };
915
+ }
916
+ };
917
+
918
+ // src/tools/indicators/supportResistance.ts
919
+ var SupportResistanceIndicators = class _SupportResistanceIndicators {
920
+ /**
921
+ * Calculate Pivot Points
922
+ */
923
+ static calculatePivotPoints(prices, highs, lows) {
924
+ const pivotPoints = [];
925
+ for (let i = 0; i < prices.length; i++) {
926
+ const high = highs[i] || prices[i];
927
+ const low = lows[i] || prices[i];
928
+ const close = prices[i];
929
+ const pp = (high + low + close) / 3;
930
+ const r1 = 2 * pp - low;
931
+ const s1 = 2 * pp - high;
932
+ const r2 = pp + (high - low);
933
+ const s2 = pp - (high - low);
934
+ const r3 = high + 2 * (pp - low);
935
+ const s3 = low - 2 * (high - pp);
936
+ pivotPoints.push({
937
+ pp,
938
+ r1,
939
+ r2,
940
+ r3,
941
+ s1,
942
+ s2,
943
+ s3
944
+ });
945
+ }
946
+ return pivotPoints;
947
+ }
948
+ /**
949
+ * Calculate Fibonacci Levels
950
+ */
951
+ static calculateFibonacciLevels(prices) {
952
+ const fibonacci = [];
953
+ for (let i = 0; i < prices.length; i++) {
954
+ const price = prices[i];
955
+ fibonacci.push({
956
+ retracement: {
957
+ level0: price,
958
+ level236: price * 0.764,
959
+ level382: price * 0.618,
960
+ level500: price * 0.5,
961
+ level618: price * 0.382,
962
+ level786: price * 0.214,
963
+ level100: price * 0
964
+ },
965
+ extension: {
966
+ level1272: price * 1.272,
967
+ level1618: price * 1.618,
968
+ level2618: price * 2.618,
969
+ level4236: price * 4.236
970
+ }
971
+ });
972
+ }
973
+ return fibonacci;
974
+ }
975
+ /**
976
+ * Calculate Gann Levels
977
+ */
978
+ static calculateGannLevels(prices) {
979
+ const gannLevels = [];
980
+ for (let i = 0; i < prices.length; i++) {
981
+ gannLevels.push(prices[i] * (1 + i * 0.01));
982
+ }
983
+ return gannLevels;
984
+ }
985
+ /**
986
+ * Calculate Elliott Wave
987
+ */
988
+ static calculateElliottWave(prices) {
989
+ const elliottWave = [];
990
+ if (prices.length < 10) return [];
991
+ for (let i = 0; i < prices.length; i++) {
992
+ const waves = [];
993
+ let currentWave = 1;
994
+ let wavePosition = 0.5;
995
+ if (i >= 4) {
996
+ const recentPrices = prices.slice(i - 4, i + 1);
997
+ const swings = _SupportResistanceIndicators.detectPriceSwings(recentPrices);
998
+ if (swings.length >= 3) {
999
+ waves.push(...swings.slice(0, 3));
1000
+ currentWave = Math.min(swings.length, 5);
1001
+ wavePosition = _SupportResistanceIndicators.calculateWavePosition(recentPrices);
1002
+ }
1003
+ }
1004
+ elliottWave.push({
1005
+ waves: waves.length > 0 ? waves : [prices[i]],
1006
+ currentWave,
1007
+ wavePosition
1008
+ });
1009
+ }
1010
+ return elliottWave;
1011
+ }
1012
+ /**
1013
+ * Helper method to detect price swings
1014
+ */
1015
+ static detectPriceSwings(prices) {
1016
+ const swings = [];
1017
+ for (let i = 1; i < prices.length - 1; i++) {
1018
+ const prev = prices[i - 1];
1019
+ const curr = prices[i];
1020
+ const next = prices[i + 1];
1021
+ if (curr > prev && curr > next) {
1022
+ swings.push(curr);
1023
+ } else if (curr < prev && curr < next) {
1024
+ swings.push(curr);
1025
+ }
1026
+ }
1027
+ return swings;
1028
+ }
1029
+ /**
1030
+ * Helper method to calculate wave position
1031
+ */
1032
+ static calculateWavePosition(prices) {
1033
+ if (prices.length < 2) return 0.5;
1034
+ const current = prices[prices.length - 1];
1035
+ const min = Math.min(...prices);
1036
+ const max = Math.max(...prices);
1037
+ return max !== min ? (current - min) / (max - min) : 0.5;
1038
+ }
1039
+ /**
1040
+ * Calculate Harmonic Patterns
1041
+ */
1042
+ static calculateHarmonicPatterns(prices) {
1043
+ const harmonicPatterns = [];
1044
+ if (prices.length < 5) return [];
1045
+ for (let i = 4; i < prices.length; i++) {
1046
+ const recentPrices = prices.slice(i - 4, i + 1);
1047
+ const pattern = _SupportResistanceIndicators.detectHarmonicPattern(recentPrices);
1048
+ harmonicPatterns.push(pattern);
1049
+ }
1050
+ return harmonicPatterns;
1051
+ }
1052
+ /**
1053
+ * Helper method to detect harmonic patterns
1054
+ */
1055
+ static detectHarmonicPattern(prices) {
1056
+ if (prices.length < 5) {
1057
+ return {
1058
+ type: "Unknown",
1059
+ completion: 0,
1060
+ target: prices[prices.length - 1] * 1.1,
1061
+ stopLoss: prices[prices.length - 1] * 0.9
1062
+ };
1063
+ }
1064
+ const swings = _SupportResistanceIndicators.detectPriceSwings(prices);
1065
+ if (swings.length < 4) {
1066
+ return {
1067
+ type: "Unknown",
1068
+ completion: 0,
1069
+ target: prices[prices.length - 1] * 1.1,
1070
+ stopLoss: prices[prices.length - 1] * 0.9
1071
+ };
1072
+ }
1073
+ const [A, B, C, D] = swings.slice(-4);
1074
+ const X = prices[0];
1075
+ const abRatio = Math.abs((B - A) / (X - A));
1076
+ const bcRatio = Math.abs((C - B) / (A - B));
1077
+ const cdRatio = Math.abs((D - C) / (B - C));
1078
+ const adRatio = Math.abs((D - A) / (X - A));
1079
+ const isGartley = Math.abs(abRatio - 0.618) < 0.1 && bcRatio >= 0.382 && bcRatio <= 0.886 && cdRatio >= 1.13 && cdRatio <= 1.618 && Math.abs(adRatio - 0.786) < 0.1;
1080
+ if (isGartley) {
1081
+ const completion = _SupportResistanceIndicators.calculatePatternCompletion(prices);
1082
+ const target = D + (D - C) * 0.618;
1083
+ const stopLoss = D - (D - C) * 0.382;
1084
+ return {
1085
+ type: "Gartley",
1086
+ completion,
1087
+ target,
1088
+ stopLoss
1089
+ };
1090
+ }
1091
+ const isButterfly = Math.abs(abRatio - 0.786) < 0.1 && bcRatio >= 0.382 && bcRatio <= 0.886 && cdRatio >= 1.618 && cdRatio <= 2.618 && Math.abs(adRatio - 1.27) < 0.1;
1092
+ if (isButterfly) {
1093
+ const completion = _SupportResistanceIndicators.calculatePatternCompletion(prices);
1094
+ const target = D + (D - C) * 1.27;
1095
+ const stopLoss = D - (D - C) * 0.5;
1096
+ return {
1097
+ type: "Butterfly",
1098
+ completion,
1099
+ target,
1100
+ stopLoss
1101
+ };
1102
+ }
1103
+ return {
1104
+ type: "Unknown",
1105
+ completion: 0,
1106
+ target: prices[prices.length - 1] * 1.1,
1107
+ stopLoss: prices[prices.length - 1] * 0.9
1108
+ };
1109
+ }
1110
+ /**
1111
+ * Helper method to calculate pattern completion
1112
+ */
1113
+ static calculatePatternCompletion(prices) {
1114
+ if (prices.length < 2) return 0;
1115
+ const current = prices[prices.length - 1];
1116
+ const min = Math.min(...prices);
1117
+ const max = Math.max(...prices);
1118
+ return max !== min ? (current - min) / (max - min) : 0;
1119
+ }
1120
+ };
1121
+
1122
+ // src/tools/indicators/trend.ts
1123
+ var TrendIndicators = class {
1124
+ /**
1125
+ * Calculate MACD (Moving Average Convergence Divergence)
1126
+ */
1127
+ static calculateMACD(prices) {
1128
+ const ema12 = MovingAverages.calculateEMA(prices, 12);
1129
+ const ema26 = MovingAverages.calculateEMA(prices, 26);
1130
+ const macd = [];
1131
+ const macdLine = [];
1132
+ for (let i = 0; i < Math.min(ema12.length, ema26.length); i++) {
1133
+ macdLine.push(ema12[i] - ema26[i]);
1134
+ }
1135
+ const signalLine = MovingAverages.calculateEMA(macdLine, 9);
1136
+ for (let i = 0; i < Math.min(macdLine.length, signalLine.length); i++) {
1137
+ macd.push({
1138
+ macd: macdLine[i],
1139
+ signal: signalLine[i],
1140
+ histogram: macdLine[i] - signalLine[i]
1141
+ });
1142
+ }
1143
+ return macd;
1144
+ }
1145
+ /**
1146
+ * Calculate ADX (Average Directional Index)
1147
+ */
1148
+ static calculateADX(prices, highs, lows) {
1149
+ if (prices.length < 14) return [];
1150
+ const period = 14;
1151
+ const adx = [];
1152
+ const trueRanges = [];
1153
+ const plusDM = [];
1154
+ const minusDM = [];
1155
+ trueRanges.push(highs[0] - lows[0]);
1156
+ plusDM.push(0);
1157
+ minusDM.push(0);
1158
+ for (let i = 1; i < prices.length; i++) {
1159
+ const high = highs[i] || prices[i];
1160
+ const low = lows[i] || prices[i];
1161
+ const prevHigh = highs[i - 1] || prices[i - 1];
1162
+ const prevLow = lows[i - 1] || prices[i - 1];
1163
+ const prevClose = prices[i - 1];
1164
+ const tr1 = high - low;
1165
+ const tr2 = Math.abs(high - prevClose);
1166
+ const tr3 = Math.abs(low - prevClose);
1167
+ trueRanges.push(Math.max(tr1, tr2, tr3));
1168
+ const upMove = high - prevHigh;
1169
+ const downMove = prevLow - low;
1170
+ if (upMove > downMove && upMove > 0) {
1171
+ plusDM.push(upMove);
1172
+ minusDM.push(0);
1173
+ } else if (downMove > upMove && downMove > 0) {
1174
+ plusDM.push(0);
1175
+ minusDM.push(downMove);
1176
+ } else {
1177
+ plusDM.push(0);
1178
+ minusDM.push(0);
1179
+ }
1180
+ }
1181
+ const smoothedTR = [];
1182
+ const smoothedPlusDM = [];
1183
+ const smoothedMinusDM = [];
1184
+ let sumTR = 0;
1185
+ let sumPlusDM = 0;
1186
+ let sumMinusDM = 0;
1187
+ for (let i = 0; i < period; i++) {
1188
+ sumTR += trueRanges[i];
1189
+ sumPlusDM += plusDM[i];
1190
+ sumMinusDM += minusDM[i];
1191
+ }
1192
+ smoothedTR.push(sumTR);
1193
+ smoothedPlusDM.push(sumPlusDM);
1194
+ smoothedMinusDM.push(sumMinusDM);
1195
+ for (let i = period; i < trueRanges.length; i++) {
1196
+ const newTR = smoothedTR[smoothedTR.length - 1] - smoothedTR[smoothedTR.length - 1] / period + trueRanges[i];
1197
+ const newPlusDM = smoothedPlusDM[smoothedPlusDM.length - 1] - smoothedPlusDM[smoothedPlusDM.length - 1] / period + plusDM[i];
1198
+ const newMinusDM = smoothedMinusDM[smoothedMinusDM.length - 1] - smoothedMinusDM[smoothedMinusDM.length - 1] / period + minusDM[i];
1199
+ smoothedTR.push(newTR);
1200
+ smoothedPlusDM.push(newPlusDM);
1201
+ smoothedMinusDM.push(newMinusDM);
1202
+ }
1203
+ const plusDI = [];
1204
+ const minusDI = [];
1205
+ for (let i = 0; i < smoothedTR.length; i++) {
1206
+ plusDI.push(smoothedPlusDM[i] / smoothedTR[i] * 100);
1207
+ minusDI.push(smoothedMinusDM[i] / smoothedTR[i] * 100);
1208
+ }
1209
+ const dx = [];
1210
+ for (let i = 0; i < plusDI.length; i++) {
1211
+ const diSum = plusDI[i] + minusDI[i];
1212
+ const diDiff = Math.abs(plusDI[i] - minusDI[i]);
1213
+ dx.push(diSum > 0 ? diDiff / diSum * 100 : 0);
1214
+ }
1215
+ if (dx.length < period) return [];
1216
+ let sumDX = 0;
1217
+ for (let i = 0; i < period; i++) {
1218
+ sumDX += dx[i];
1219
+ }
1220
+ adx.push(sumDX / period);
1221
+ for (let i = period; i < dx.length; i++) {
1222
+ const newADX = adx[adx.length - 1] - adx[adx.length - 1] / period + dx[i];
1223
+ adx.push(newADX);
1224
+ }
1225
+ return adx;
1226
+ }
1227
+ /**
1228
+ * Calculate DMI (Directional Movement Index)
1229
+ */
1230
+ static calculateDMI(prices, highs, lows) {
1231
+ if (prices.length < 14) return [];
1232
+ const period = 14;
1233
+ const dmi = [];
1234
+ const trueRanges = [];
1235
+ const plusDM = [];
1236
+ const minusDM = [];
1237
+ trueRanges.push(highs[0] - lows[0]);
1238
+ plusDM.push(0);
1239
+ minusDM.push(0);
1240
+ for (let i = 1; i < prices.length; i++) {
1241
+ const high = highs[i] || prices[i];
1242
+ const low = lows[i] || prices[i];
1243
+ const prevHigh = highs[i - 1] || prices[i - 1];
1244
+ const prevLow = lows[i - 1] || prices[i - 1];
1245
+ const prevClose = prices[i - 1];
1246
+ const tr1 = high - low;
1247
+ const tr2 = Math.abs(high - prevClose);
1248
+ const tr3 = Math.abs(low - prevClose);
1249
+ trueRanges.push(Math.max(tr1, tr2, tr3));
1250
+ const upMove = high - prevHigh;
1251
+ const downMove = prevLow - low;
1252
+ if (upMove > downMove && upMove > 0) {
1253
+ plusDM.push(upMove);
1254
+ minusDM.push(0);
1255
+ } else if (downMove > upMove && downMove > 0) {
1256
+ plusDM.push(0);
1257
+ minusDM.push(downMove);
1258
+ } else {
1259
+ plusDM.push(0);
1260
+ minusDM.push(0);
1261
+ }
1262
+ }
1263
+ const smoothedTR = [];
1264
+ const smoothedPlusDM = [];
1265
+ const smoothedMinusDM = [];
1266
+ let sumTR = 0;
1267
+ let sumPlusDM = 0;
1268
+ let sumMinusDM = 0;
1269
+ for (let i = 0; i < period; i++) {
1270
+ sumTR += trueRanges[i];
1271
+ sumPlusDM += plusDM[i];
1272
+ sumMinusDM += minusDM[i];
1273
+ }
1274
+ smoothedTR.push(sumTR);
1275
+ smoothedPlusDM.push(sumPlusDM);
1276
+ smoothedMinusDM.push(sumMinusDM);
1277
+ for (let i = period; i < trueRanges.length; i++) {
1278
+ const newTR = smoothedTR[smoothedTR.length - 1] - smoothedTR[smoothedTR.length - 1] / period + trueRanges[i];
1279
+ const newPlusDM = smoothedPlusDM[smoothedPlusDM.length - 1] - smoothedPlusDM[smoothedPlusDM.length - 1] / period + plusDM[i];
1280
+ const newMinusDM = smoothedMinusDM[smoothedMinusDM.length - 1] - smoothedMinusDM[smoothedMinusDM.length - 1] / period + minusDM[i];
1281
+ smoothedTR.push(newTR);
1282
+ smoothedPlusDM.push(newPlusDM);
1283
+ smoothedMinusDM.push(newMinusDM);
1284
+ }
1285
+ const plusDI = [];
1286
+ const minusDI = [];
1287
+ for (let i = 0; i < smoothedTR.length; i++) {
1288
+ plusDI.push(smoothedPlusDM[i] / smoothedTR[i] * 100);
1289
+ minusDI.push(smoothedMinusDM[i] / smoothedTR[i] * 100);
1290
+ }
1291
+ const dx = [];
1292
+ for (let i = 0; i < plusDI.length; i++) {
1293
+ const diSum = plusDI[i] + minusDI[i];
1294
+ const diDiff = Math.abs(plusDI[i] - minusDI[i]);
1295
+ dx.push(diSum > 0 ? diDiff / diSum * 100 : 0);
1296
+ }
1297
+ if (dx.length < period) return [];
1298
+ const adx = [];
1299
+ let sumDX = 0;
1300
+ for (let i = 0; i < period; i++) {
1301
+ sumDX += dx[i];
1302
+ }
1303
+ adx.push(sumDX / period);
1304
+ for (let i = period; i < dx.length; i++) {
1305
+ const newADX = adx[adx.length - 1] - adx[adx.length - 1] / period + dx[i];
1306
+ adx.push(newADX);
1307
+ }
1308
+ for (let i = 0; i < adx.length; i++) {
1309
+ dmi.push({
1310
+ plusDI: plusDI[i + period - 1] || 0,
1311
+ minusDI: minusDI[i + period - 1] || 0,
1312
+ adx: adx[i]
1313
+ });
1314
+ }
1315
+ return dmi;
1316
+ }
1317
+ /**
1318
+ * Calculate Ichimoku Cloud
1319
+ */
1320
+ static calculateIchimoku(prices, highs, lows) {
1321
+ if (prices.length < 52) return [];
1322
+ const ichimoku = [];
1323
+ const tenkanSen = [];
1324
+ for (let i = 8; i < prices.length; i++) {
1325
+ const periodHigh = Math.max(...highs.slice(i - 8, i + 1));
1326
+ const periodLow = Math.min(...lows.slice(i - 8, i + 1));
1327
+ tenkanSen.push((periodHigh + periodLow) / 2);
1328
+ }
1329
+ const kijunSen = [];
1330
+ for (let i = 25; i < prices.length; i++) {
1331
+ const periodHigh = Math.max(...highs.slice(i - 25, i + 1));
1332
+ const periodLow = Math.min(...lows.slice(i - 25, i + 1));
1333
+ kijunSen.push((periodHigh + periodLow) / 2);
1334
+ }
1335
+ const senkouSpanA = [];
1336
+ for (let i = 0; i < Math.min(tenkanSen.length, kijunSen.length); i++) {
1337
+ senkouSpanA.push((tenkanSen[i] + kijunSen[i]) / 2);
1338
+ }
1339
+ const senkouSpanB = [];
1340
+ for (let i = 51; i < prices.length; i++) {
1341
+ const periodHigh = Math.max(...highs.slice(i - 51, i + 1));
1342
+ const periodLow = Math.min(...lows.slice(i - 51, i + 1));
1343
+ senkouSpanB.push((periodHigh + periodLow) / 2);
1344
+ }
1345
+ const chikouSpan = [];
1346
+ for (let i = 26; i < prices.length; i++) {
1347
+ chikouSpan.push(prices[i - 26]);
1348
+ }
1349
+ const minLength = Math.min(
1350
+ tenkanSen.length,
1351
+ kijunSen.length,
1352
+ senkouSpanA.length,
1353
+ senkouSpanB.length,
1354
+ chikouSpan.length
1355
+ );
1356
+ for (let i = 0; i < minLength; i++) {
1357
+ ichimoku.push({
1358
+ tenkan: tenkanSen[i],
1359
+ kijun: kijunSen[i],
1360
+ senkouA: senkouSpanA[i],
1361
+ senkouB: senkouSpanB[i],
1362
+ chikou: chikouSpan[i]
1363
+ });
1364
+ }
1365
+ return ichimoku;
1366
+ }
1367
+ /**
1368
+ * Calculate Parabolic SAR
1369
+ */
1370
+ static calculateParabolicSAR(prices, highs, lows) {
1371
+ if (prices.length < 2) return [];
1372
+ const sar = [];
1373
+ const accelerationFactor = 0.02;
1374
+ const maximumAcceleration = 0.2;
1375
+ let currentSAR = lows[0];
1376
+ let isLong = true;
1377
+ let af = accelerationFactor;
1378
+ let ep = highs[0];
1379
+ sar.push(currentSAR);
1380
+ for (let i = 1; i < prices.length; i++) {
1381
+ const high = highs[i] || prices[i];
1382
+ const low = lows[i] || prices[i];
1383
+ if (isLong) {
1384
+ if (low < currentSAR) {
1385
+ isLong = false;
1386
+ currentSAR = ep;
1387
+ ep = low;
1388
+ af = accelerationFactor;
1389
+ } else {
1390
+ if (high > ep) {
1391
+ ep = high;
1392
+ af = Math.min(af + accelerationFactor, maximumAcceleration);
1393
+ }
1394
+ currentSAR = currentSAR + af * (ep - currentSAR);
1395
+ if (i > 0) {
1396
+ const prevLow = lows[i - 1] || prices[i - 1];
1397
+ currentSAR = Math.min(currentSAR, prevLow);
1398
+ }
1399
+ }
1400
+ } else {
1401
+ if (high > currentSAR) {
1402
+ isLong = true;
1403
+ currentSAR = ep;
1404
+ ep = high;
1405
+ af = accelerationFactor;
1406
+ } else {
1407
+ if (low < ep) {
1408
+ ep = low;
1409
+ af = Math.min(af + accelerationFactor, maximumAcceleration);
1410
+ }
1411
+ currentSAR = currentSAR + af * (ep - currentSAR);
1412
+ if (i > 0) {
1413
+ const prevHigh = highs[i - 1] || prices[i - 1];
1414
+ currentSAR = Math.max(currentSAR, prevHigh);
1415
+ }
1416
+ }
1417
+ }
1418
+ sar.push(currentSAR);
1419
+ }
1420
+ return sar;
1421
+ }
1422
+ };
1423
+
1424
+ // src/tools/indicators/volatility.ts
1425
+ var VolatilityIndicators = class _VolatilityIndicators {
1426
+ /**
1427
+ * Calculate Bollinger Bands
1428
+ */
1429
+ static calculateBollingerBands(data, period = 20, stdDev = 2) {
1430
+ if (data.length < period) return [];
1431
+ const sma = MovingAverages.calculateSMA(data, period);
1432
+ const bands = [];
1433
+ for (let i = 0; i < sma.length; i++) {
1434
+ const dataSlice = data.slice(i, i + period);
1435
+ const mean = sma[i];
1436
+ const variance = dataSlice.reduce((sum2, price) => sum2 + (price - mean) ** 2, 0) / period;
1437
+ const standardDeviation = Math.sqrt(variance);
1438
+ const upper = mean + standardDeviation * stdDev;
1439
+ const lower = mean - standardDeviation * stdDev;
1440
+ bands.push({
1441
+ upper,
1442
+ middle: mean,
1443
+ lower,
1444
+ bandwidth: (upper - lower) / mean * 100,
1445
+ percentB: (data[i] - lower) / (upper - lower) * 100
1446
+ });
1447
+ }
1448
+ return bands;
1449
+ }
1450
+ /**
1451
+ * Calculate Average True Range (ATR)
1452
+ */
1453
+ static calculateATR(prices, highs, lows) {
1454
+ if (prices.length < 2) return [];
1455
+ const trueRanges = [];
1456
+ for (let i = 1; i < prices.length; i++) {
1457
+ const high = highs[i] || prices[i];
1458
+ const low = lows[i] || prices[i];
1459
+ const prevClose = prices[i - 1];
1460
+ const tr1 = high - low;
1461
+ const tr2 = Math.abs(high - prevClose);
1462
+ const tr3 = Math.abs(low - prevClose);
1463
+ trueRanges.push(Math.max(tr1, tr2, tr3));
1464
+ }
1465
+ const atr = [];
1466
+ if (trueRanges.length >= 14) {
1467
+ let sum2 = trueRanges.slice(0, 14).reduce((a, b) => a + b, 0);
1468
+ atr.push(sum2 / 14);
1469
+ for (let i = 14; i < trueRanges.length; i++) {
1470
+ sum2 = sum2 - trueRanges[i - 14] + trueRanges[i];
1471
+ atr.push(sum2 / 14);
1472
+ }
1473
+ }
1474
+ return atr;
1475
+ }
1476
+ /**
1477
+ * Calculate Keltner Channels
1478
+ */
1479
+ static calculateKeltnerChannels(prices, highs, lows) {
1480
+ const keltner = [];
1481
+ const period = 20;
1482
+ const multiplier = 2;
1483
+ if (prices.length < period) return [];
1484
+ const ema = MovingAverages.calculateEMA(prices, period);
1485
+ const atr = _VolatilityIndicators.calculateATR(prices, highs, lows);
1486
+ for (let i = 0; i < Math.min(ema.length, atr.length); i++) {
1487
+ const middle = ema[i];
1488
+ const atrValue = atr[i];
1489
+ keltner.push({
1490
+ upper: middle + multiplier * atrValue,
1491
+ middle,
1492
+ lower: middle - multiplier * atrValue
1493
+ });
1494
+ }
1495
+ return keltner;
1496
+ }
1497
+ /**
1498
+ * Calculate Donchian Channels
1499
+ */
1500
+ static calculateDonchianChannels(prices) {
1501
+ const donchian = [];
1502
+ for (let i = 20; i < prices.length; i++) {
1503
+ const slice = prices.slice(i - 20, i);
1504
+ donchian.push({
1505
+ upper: Math.max(...slice),
1506
+ middle: (Math.max(...slice) + Math.min(...slice)) / 2,
1507
+ lower: Math.min(...slice)
1508
+ });
1509
+ }
1510
+ return donchian;
1511
+ }
1512
+ /**
1513
+ * Calculate Chaikin Volatility
1514
+ */
1515
+ static calculateChaikinVolatility(prices, highs, lows) {
1516
+ const volatility = [];
1517
+ const period = 10;
1518
+ if (prices.length < period * 2) return [];
1519
+ const highLowRange = [];
1520
+ for (let i = 0; i < prices.length; i++) {
1521
+ const high = highs[i] || prices[i];
1522
+ const low = lows[i] || prices[i];
1523
+ highLowRange.push(high - low);
1524
+ }
1525
+ const emaRange = MovingAverages.calculateEMA(highLowRange, period);
1526
+ for (let i = period; i < emaRange.length; i++) {
1527
+ const currentEMA = emaRange[i];
1528
+ const pastEMA = emaRange[i - period];
1529
+ const volatilityValue = pastEMA !== 0 ? (currentEMA - pastEMA) / pastEMA * 100 : 0;
1530
+ volatility.push(volatilityValue);
1531
+ }
1532
+ return volatility;
1533
+ }
1534
+ };
1535
+
1536
+ // src/tools/indicators/volume.ts
1537
+ var VolumeIndicators = class {
1538
+ /**
1539
+ * Calculate On Balance Volume (OBV)
1540
+ */
1541
+ static calculateOBV(prices, volumes) {
1542
+ const obv = [volumes[0]];
1543
+ for (let i = 1; i < prices.length; i++) {
1544
+ if (prices[i] > prices[i - 1]) {
1545
+ obv.push(obv[i - 1] + volumes[i]);
1546
+ } else if (prices[i] < prices[i - 1]) {
1547
+ obv.push(obv[i - 1] - volumes[i]);
1548
+ } else {
1549
+ obv.push(obv[i - 1]);
1550
+ }
1551
+ }
1552
+ return obv;
1553
+ }
1554
+ /**
1555
+ * Calculate Chaikin Money Flow (CMF)
1556
+ */
1557
+ static calculateCMF(prices, highs, lows, volumes) {
1558
+ const cmf = [];
1559
+ const period = 20;
1560
+ if (prices.length < period) return [];
1561
+ for (let i = period - 1; i < prices.length; i++) {
1562
+ let totalMoneyFlowVolume = 0;
1563
+ let totalVolume = 0;
1564
+ for (let j = i - period + 1; j <= i; j++) {
1565
+ const high = highs[j] || prices[j];
1566
+ const low = lows[j] || prices[j];
1567
+ const close = prices[j];
1568
+ const volume = volumes[j] || 1;
1569
+ const moneyFlowMultiplier = (close - low - (high - close)) / (high - low);
1570
+ const moneyFlowVolume = moneyFlowMultiplier * volume;
1571
+ totalMoneyFlowVolume += moneyFlowVolume;
1572
+ totalVolume += volume;
1573
+ }
1574
+ const cmfValue = totalVolume !== 0 ? totalMoneyFlowVolume / totalVolume : 0;
1575
+ cmf.push(cmfValue);
1576
+ }
1577
+ return cmf;
1578
+ }
1579
+ /**
1580
+ * Calculate Accumulation/Distribution Line (ADL)
1581
+ */
1582
+ static calculateADL(prices, highs, lows, volumes) {
1583
+ const adl = [0];
1584
+ for (let i = 1; i < prices.length; i++) {
1585
+ const high = highs[i] || prices[i];
1586
+ const low = lows[i] || prices[i];
1587
+ const close = prices[i];
1588
+ const volume = volumes[i] || 1;
1589
+ const moneyFlowMultiplier = (close - low - (high - close)) / (high - low);
1590
+ const moneyFlowVolume = moneyFlowMultiplier * volume;
1591
+ adl.push(adl[i - 1] + moneyFlowVolume);
1592
+ }
1593
+ return adl;
1594
+ }
1595
+ /**
1596
+ * Calculate Volume Rate of Change
1597
+ */
1598
+ static calculateVolumeROC(volumes) {
1599
+ const volumeROC = [];
1600
+ for (let i = 10; i < volumes.length; i++) {
1601
+ volumeROC.push((volumes[i] - volumes[i - 10]) / volumes[i - 10] * 100);
1602
+ }
1603
+ return volumeROC;
1604
+ }
1605
+ /**
1606
+ * Calculate Money Flow Index (MFI)
1607
+ */
1608
+ static calculateMFI(prices, highs, lows, volumes) {
1609
+ const mfi = [];
1610
+ const period = 14;
1611
+ if (prices.length < period + 1) return [];
1612
+ for (let i = period; i < prices.length; i++) {
1613
+ let positiveMoneyFlow = 0;
1614
+ let negativeMoneyFlow = 0;
1615
+ for (let j = i - period + 1; j <= i; j++) {
1616
+ const high = highs[j] || prices[j];
1617
+ const low = lows[j] || prices[j];
1618
+ const close = prices[j];
1619
+ const volume = volumes[j] || 1;
1620
+ const typicalPrice = (high + low + close) / 3;
1621
+ const moneyFlow = typicalPrice * volume;
1622
+ if (j > i - period + 1) {
1623
+ const prevHigh = highs[j - 1] || prices[j - 1];
1624
+ const prevLow = lows[j - 1] || prices[j - 1];
1625
+ const prevClose = prices[j - 1];
1626
+ const prevTypicalPrice = (prevHigh + prevLow + prevClose) / 3;
1627
+ if (typicalPrice > prevTypicalPrice) {
1628
+ positiveMoneyFlow += moneyFlow;
1629
+ } else if (typicalPrice < prevTypicalPrice) {
1630
+ negativeMoneyFlow += moneyFlow;
1631
+ }
1632
+ }
1633
+ }
1634
+ const moneyRatio = negativeMoneyFlow !== 0 ? positiveMoneyFlow / negativeMoneyFlow : 0;
1635
+ const mfiValue = 100 - 100 / (1 + moneyRatio);
1636
+ mfi.push(mfiValue);
1637
+ }
1638
+ return mfi;
1639
+ }
1640
+ /**
1641
+ * Calculate Volume Weighted Average Price (VWAP)
1642
+ */
1643
+ static calculateVWAP(prices, volumes) {
1644
+ const vwap = [];
1645
+ let cumulativePV = 0;
1646
+ let cumulativeVolume = 0;
1647
+ for (let i = 0; i < prices.length; i++) {
1648
+ cumulativePV += prices[i] * (volumes[i] || 1);
1649
+ cumulativeVolume += volumes[i] || 1;
1650
+ vwap.push(cumulativePV / cumulativeVolume);
1651
+ }
1652
+ return vwap;
1653
+ }
1654
+ };
1655
+
1656
+ // src/tools/analytics.ts
1657
+ function sum(numbers) {
1658
+ return numbers.reduce((acc, val) => acc + val, 0);
1659
+ }
1660
+ var TechnicalAnalyzer = class {
1661
+ prices;
1662
+ volumes;
1663
+ highs;
1664
+ lows;
1665
+ constructor(data) {
1666
+ this.prices = data.map((d) => d.trade > 0 ? d.trade : d.midPrice);
1667
+ this.volumes = data.map((d) => d.volume);
1668
+ this.highs = data.map((d) => d.tradingSessionHighPrice > 0 ? d.tradingSessionHighPrice : d.trade);
1669
+ this.lows = data.map((d) => d.tradingSessionLowPrice > 0 ? d.tradingSessionLowPrice : d.trade);
1670
+ }
1671
+ // Calculate price changes for volatility
1672
+ calculatePriceChanges() {
1673
+ const changes = [];
1674
+ for (let i = 1; i < this.prices.length; i++) {
1675
+ changes.push((this.prices[i] - this.prices[i - 1]) / this.prices[i - 1]);
1676
+ }
1677
+ return changes;
1678
+ }
1679
+ // Generate comprehensive market analysis
1680
+ analyze() {
1681
+ const currentPrice = this.prices[this.prices.length - 1];
1682
+ const startPrice = this.prices[0];
1683
+ const sessionHigh = Math.max(...this.highs);
1684
+ const sessionLow = Math.min(...this.lows);
1685
+ const totalVolume = sum(this.volumes);
1686
+ const avgVolume = totalVolume / this.volumes.length;
1687
+ const priceChanges = this.calculatePriceChanges();
1688
+ const volatility = priceChanges.length > 0 ? Math.sqrt(
1689
+ priceChanges.reduce((sum2, change) => sum2 + change ** 2, 0) / priceChanges.length
1690
+ ) * Math.sqrt(252) * 100 : 0;
1691
+ const sessionReturn = (currentPrice - startPrice) / startPrice * 100;
1692
+ const pricePosition = (currentPrice - sessionLow) / (sessionHigh - sessionLow) * 100;
1693
+ const trueVWAP = this.prices.reduce((sum2, price, i) => sum2 + price * this.volumes[i], 0) / totalVolume;
1694
+ const momentum5 = this.prices.length > 5 ? (currentPrice - this.prices[Math.max(0, this.prices.length - 6)]) / this.prices[Math.max(0, this.prices.length - 6)] * 100 : 0;
1695
+ const momentum10 = this.prices.length > 10 ? (currentPrice - this.prices[Math.max(0, this.prices.length - 11)]) / this.prices[Math.max(0, this.prices.length - 11)] * 100 : 0;
1696
+ const maxDrawdown = PerformanceAnalysis.calculateMaxDrawdown(this.prices);
1697
+ const atrValues = VolatilityIndicators.calculateATR(this.prices, this.highs, this.lows);
1698
+ const atr = atrValues.length > 0 ? atrValues[atrValues.length - 1] : 0;
1699
+ const impliedVolatility = volatility;
1700
+ const realizedVolatility = volatility;
1701
+ const sharpeRatio = sessionReturn / volatility;
1702
+ const sortinoRatio = sessionReturn / realizedVolatility;
1703
+ const calmarRatio = sessionReturn / maxDrawdown;
1704
+ const maxConsecutiveLosses = PerformanceAnalysis.calculateMaxConsecutiveLosses(this.prices);
1705
+ const winRate = PerformanceAnalysis.calculateWinRate(this.prices);
1706
+ const profitFactor = PerformanceAnalysis.calculateProfitFactor(this.prices);
1707
+ return {
1708
+ currentPrice,
1709
+ startPrice,
1710
+ sessionHigh,
1711
+ sessionLow,
1712
+ totalVolume,
1713
+ avgVolume,
1714
+ volatility,
1715
+ sessionReturn,
1716
+ pricePosition,
1717
+ trueVWAP,
1718
+ momentum5,
1719
+ momentum10,
1720
+ maxDrawdown,
1721
+ atr,
1722
+ impliedVolatility,
1723
+ realizedVolatility,
1724
+ sharpeRatio,
1725
+ sortinoRatio,
1726
+ calmarRatio,
1727
+ maxConsecutiveLosses,
1728
+ winRate,
1729
+ profitFactor
1730
+ };
1731
+ }
1732
+ // Generate technical indicators
1733
+ getTechnicalIndicators() {
1734
+ return {
1735
+ sma5: MovingAverages.calculateSMA(this.prices, 5),
1736
+ sma10: MovingAverages.calculateSMA(this.prices, 10),
1737
+ sma20: MovingAverages.calculateSMA(this.prices, 20),
1738
+ sma50: MovingAverages.calculateSMA(this.prices, 50),
1739
+ sma200: MovingAverages.calculateSMA(this.prices, 200),
1740
+ ema8: MovingAverages.calculateEMA(this.prices, 8),
1741
+ ema12: MovingAverages.calculateEMA(this.prices, 12),
1742
+ ema21: MovingAverages.calculateEMA(this.prices, 21),
1743
+ ema26: MovingAverages.calculateEMA(this.prices, 26),
1744
+ wma20: MovingAverages.calculateWMA(this.prices, 20),
1745
+ vwma20: MovingAverages.calculateVWMA(this.prices, this.volumes, 20),
1746
+ macd: TrendIndicators.calculateMACD(this.prices),
1747
+ adx: TrendIndicators.calculateADX(this.prices, this.highs, this.lows),
1748
+ dmi: TrendIndicators.calculateDMI(this.prices, this.highs, this.lows),
1749
+ ichimoku: TrendIndicators.calculateIchimoku(this.prices, this.highs, this.lows),
1750
+ parabolicSAR: TrendIndicators.calculateParabolicSAR(this.prices, this.highs, this.lows),
1751
+ rsi: MomentumIndicators.calculateRSI(this.prices, 14),
1752
+ stochastic: MomentumIndicators.calculateStochastic(this.prices, this.highs, this.lows),
1753
+ cci: MomentumIndicators.calculateCCI(this.prices, this.highs, this.lows),
1754
+ roc: MomentumIndicators.calculateROC(this.prices),
1755
+ williamsR: MomentumIndicators.calculateWilliamsR(this.prices),
1756
+ momentum: MomentumIndicators.calculateMomentum(this.prices),
1757
+ bollinger: VolatilityIndicators.calculateBollingerBands(this.prices, 20, 2),
1758
+ atr: VolatilityIndicators.calculateATR(this.prices, this.highs, this.lows),
1759
+ keltner: VolatilityIndicators.calculateKeltnerChannels(this.prices, this.highs, this.lows),
1760
+ donchian: VolatilityIndicators.calculateDonchianChannels(this.prices),
1761
+ chaikinVolatility: VolatilityIndicators.calculateChaikinVolatility(this.prices, this.highs, this.lows),
1762
+ obv: VolumeIndicators.calculateOBV(this.prices, this.volumes),
1763
+ cmf: VolumeIndicators.calculateCMF(this.prices, this.highs, this.lows, this.volumes),
1764
+ adl: VolumeIndicators.calculateADL(this.prices, this.highs, this.lows, this.volumes),
1765
+ volumeROC: VolumeIndicators.calculateVolumeROC(this.volumes),
1766
+ mfi: VolumeIndicators.calculateMFI(this.prices, this.highs, this.lows, this.volumes),
1767
+ vwap: VolumeIndicators.calculateVWAP(this.prices, this.volumes),
1768
+ pivotPoints: SupportResistanceIndicators.calculatePivotPoints(this.prices, this.highs, this.lows),
1769
+ fibonacci: SupportResistanceIndicators.calculateFibonacciLevels(this.prices),
1770
+ gannLevels: SupportResistanceIndicators.calculateGannLevels(this.prices),
1771
+ elliottWave: SupportResistanceIndicators.calculateElliottWave(this.prices),
1772
+ harmonicPatterns: SupportResistanceIndicators.calculateHarmonicPatterns(this.prices)
1773
+ };
1774
+ }
1775
+ // Generate comprehensive JSON analysis
1776
+ generateJSONAnalysis(symbol) {
1777
+ const analysis = this.analyze();
1778
+ const indicators = this.getTechnicalIndicators();
1779
+ const priceChanges = this.calculatePriceChanges();
1780
+ const currentSMA5 = indicators.sma5.length > 0 ? indicators.sma5[indicators.sma5.length - 1] : null;
1781
+ const currentSMA10 = indicators.sma10.length > 0 ? indicators.sma10[indicators.sma10.length - 1] : null;
1782
+ const currentSMA20 = indicators.sma20.length > 0 ? indicators.sma20[indicators.sma20.length - 1] : null;
1783
+ const currentSMA50 = indicators.sma50.length > 0 ? indicators.sma50[indicators.sma50.length - 1] : null;
1784
+ const currentSMA200 = indicators.sma200.length > 0 ? indicators.sma200[indicators.sma200.length - 1] : null;
1785
+ const currentEMA8 = indicators.ema8[indicators.ema8.length - 1];
1786
+ const currentEMA12 = indicators.ema12[indicators.ema12.length - 1];
1787
+ const currentEMA21 = indicators.ema21[indicators.ema21.length - 1];
1788
+ const currentEMA26 = indicators.ema26[indicators.ema26.length - 1];
1789
+ const currentWMA20 = indicators.wma20.length > 0 ? indicators.wma20[indicators.wma20.length - 1] : null;
1790
+ const currentVWMA20 = indicators.vwma20.length > 0 ? indicators.vwma20[indicators.vwma20.length - 1] : null;
1791
+ const currentMACD = indicators.macd.length > 0 ? indicators.macd[indicators.macd.length - 1] : null;
1792
+ const currentADX = indicators.adx.length > 0 ? indicators.adx[indicators.adx.length - 1] : null;
1793
+ const currentDMI = indicators.dmi.length > 0 ? indicators.dmi[indicators.dmi.length - 1] : null;
1794
+ const currentIchimoku = indicators.ichimoku.length > 0 ? indicators.ichimoku[indicators.ichimoku.length - 1] : null;
1795
+ const currentParabolicSAR = indicators.parabolicSAR.length > 0 ? indicators.parabolicSAR[indicators.parabolicSAR.length - 1] : null;
1796
+ const currentRSI = indicators.rsi.length > 0 ? indicators.rsi[indicators.rsi.length - 1] : null;
1797
+ const currentStochastic = indicators.stochastic.length > 0 ? indicators.stochastic[indicators.stochastic.length - 1] : null;
1798
+ const currentCCI = indicators.cci.length > 0 ? indicators.cci[indicators.cci.length - 1] : null;
1799
+ const currentROC = indicators.roc.length > 0 ? indicators.roc[indicators.roc.length - 1] : null;
1800
+ const currentWilliamsR = indicators.williamsR.length > 0 ? indicators.williamsR[indicators.williamsR.length - 1] : null;
1801
+ const currentMomentum = indicators.momentum.length > 0 ? indicators.momentum[indicators.momentum.length - 1] : null;
1802
+ const currentBB = indicators.bollinger.length > 0 ? indicators.bollinger[indicators.bollinger.length - 1] : null;
1803
+ const currentAtr = indicators.atr.length > 0 ? indicators.atr[indicators.atr.length - 1] : null;
1804
+ const currentKeltner = indicators.keltner.length > 0 ? indicators.keltner[indicators.keltner.length - 1] : null;
1805
+ const currentDonchian = indicators.donchian.length > 0 ? indicators.donchian[indicators.donchian.length - 1] : null;
1806
+ const currentChaikinVolatility = indicators.chaikinVolatility.length > 0 ? indicators.chaikinVolatility[indicators.chaikinVolatility.length - 1] : null;
1807
+ const currentObv = indicators.obv.length > 0 ? indicators.obv[indicators.obv.length - 1] : null;
1808
+ const currentCmf = indicators.cmf.length > 0 ? indicators.cmf[indicators.cmf.length - 1] : null;
1809
+ const currentAdl = indicators.adl.length > 0 ? indicators.adl[indicators.adl.length - 1] : null;
1810
+ const currentVolumeROC = indicators.volumeROC.length > 0 ? indicators.volumeROC[indicators.volumeROC.length - 1] : null;
1811
+ const currentMfi = indicators.mfi.length > 0 ? indicators.mfi[indicators.mfi.length - 1] : null;
1812
+ const currentVwap = indicators.vwap.length > 0 ? indicators.vwap[indicators.vwap.length - 1] : null;
1813
+ const currentPivotPoints = indicators.pivotPoints.length > 0 ? indicators.pivotPoints[indicators.pivotPoints.length - 1] : null;
1814
+ const currentFibonacci = indicators.fibonacci.length > 0 ? indicators.fibonacci[indicators.fibonacci.length - 1] : null;
1815
+ const currentGannLevels = indicators.gannLevels.length > 0 ? indicators.gannLevels : [];
1816
+ const currentElliottWave = indicators.elliottWave.length > 0 ? indicators.elliottWave[indicators.elliottWave.length - 1] : null;
1817
+ const currentHarmonicPatterns = indicators.harmonicPatterns.length > 0 ? indicators.harmonicPatterns : [];
1818
+ const currentVolume = this.volumes[this.volumes.length - 1];
1819
+ const volumeRatio = currentVolume / analysis.avgVolume;
1820
+ const currentDrawdown = (analysis.sessionHigh - analysis.currentPrice) / analysis.sessionHigh * 100;
1821
+ const rangeWidth = (analysis.sessionHigh - analysis.sessionLow) / analysis.sessionLow * 100;
1822
+ const priceVsVWAP = (analysis.currentPrice - analysis.trueVWAP) / analysis.trueVWAP * 100;
1823
+ const signalData = TradingSignalsGenerator.generateSignals(
1824
+ analysis.currentPrice,
1825
+ analysis.trueVWAP,
1826
+ analysis.momentum5,
1827
+ analysis.momentum10,
1828
+ analysis.sessionReturn,
1829
+ currentVolume,
1830
+ analysis.avgVolume,
1831
+ analysis.pricePosition,
1832
+ analysis.volatility
1833
+ );
1834
+ const tradingSignals = TradingSignalsGenerator.calculateOverallSignal(
1835
+ signalData.bullishSignals,
1836
+ signalData.bearishSignals,
1837
+ signalData.signals,
1838
+ analysis.volatility
1839
+ );
1840
+ const targetEntry = Math.max(analysis.sessionLow * 1.005, analysis.trueVWAP * 0.998);
1841
+ const stopLoss = analysis.sessionLow * 0.995;
1842
+ const profitTarget = analysis.sessionHigh * 0.995;
1843
+ const riskRewardRatio = (profitTarget - analysis.currentPrice) / (analysis.currentPrice - stopLoss);
1844
+ const positionSize = PerformanceAnalysis.calculatePositionSize(targetEntry, stopLoss);
1845
+ const maxRisk = positionSize * (targetEntry - stopLoss);
1846
+ return {
1847
+ symbol,
1848
+ timestamp: (/* @__PURE__ */ new Date()).toISOString(),
1849
+ marketStructure: {
1850
+ currentPrice: analysis.currentPrice,
1851
+ startPrice: analysis.startPrice,
1852
+ sessionHigh: analysis.sessionHigh,
1853
+ sessionLow: analysis.sessionLow,
1854
+ rangeWidth,
1855
+ totalVolume: analysis.totalVolume,
1856
+ sessionPerformance: analysis.sessionReturn,
1857
+ positionInRange: analysis.pricePosition
1858
+ },
1859
+ volatility: {
1860
+ impliedVolatility: analysis.impliedVolatility,
1861
+ realizedVolatility: analysis.realizedVolatility,
1862
+ atr: analysis.atr,
1863
+ maxDrawdown: analysis.maxDrawdown * 100,
1864
+ currentDrawdown
1865
+ },
1866
+ technicalIndicators: {
1867
+ sma5: currentSMA5,
1868
+ sma10: currentSMA10,
1869
+ sma20: currentSMA20,
1870
+ sma50: currentSMA50,
1871
+ sma200: currentSMA200,
1872
+ ema8: currentEMA8,
1873
+ ema12: currentEMA12,
1874
+ ema21: currentEMA21,
1875
+ ema26: currentEMA26,
1876
+ wma20: currentWMA20,
1877
+ vwma20: currentVWMA20,
1878
+ macd: currentMACD,
1879
+ adx: currentADX,
1880
+ dmi: currentDMI,
1881
+ ichimoku: currentIchimoku,
1882
+ parabolicSAR: currentParabolicSAR,
1883
+ rsi: currentRSI,
1884
+ stochastic: currentStochastic,
1885
+ cci: currentCCI,
1886
+ roc: currentROC,
1887
+ williamsR: currentWilliamsR,
1888
+ momentum: currentMomentum,
1889
+ bollingerBands: currentBB ? {
1890
+ upper: currentBB.upper,
1891
+ middle: currentBB.middle,
1892
+ lower: currentBB.lower,
1893
+ bandwidth: currentBB.bandwidth,
1894
+ percentB: currentBB.percentB
1895
+ } : null,
1896
+ atr: currentAtr,
1897
+ keltnerChannels: currentKeltner ? {
1898
+ upper: currentKeltner.upper,
1899
+ middle: currentKeltner.middle,
1900
+ lower: currentKeltner.lower
1901
+ } : null,
1902
+ donchianChannels: currentDonchian ? {
1903
+ upper: currentDonchian.upper,
1904
+ middle: currentDonchian.middle,
1905
+ lower: currentDonchian.lower
1906
+ } : null,
1907
+ chaikinVolatility: currentChaikinVolatility,
1908
+ obv: currentObv,
1909
+ cmf: currentCmf,
1910
+ adl: currentAdl,
1911
+ volumeROC: currentVolumeROC,
1912
+ mfi: currentMfi,
1913
+ vwap: currentVwap
1914
+ },
1915
+ volumeAnalysis: {
1916
+ currentVolume,
1917
+ averageVolume: Math.round(analysis.avgVolume),
1918
+ volumeRatio,
1919
+ trueVWAP: analysis.trueVWAP,
1920
+ priceVsVWAP,
1921
+ obv: currentObv,
1922
+ cmf: currentCmf,
1923
+ mfi: currentMfi
1924
+ },
1925
+ momentum: {
1926
+ momentum5: analysis.momentum5,
1927
+ momentum10: analysis.momentum10,
1928
+ sessionROC: analysis.sessionReturn,
1929
+ rsi: currentRSI,
1930
+ stochastic: currentStochastic,
1931
+ cci: currentCCI
1932
+ },
1933
+ supportResistance: {
1934
+ pivotPoints: currentPivotPoints,
1935
+ fibonacci: currentFibonacci,
1936
+ gannLevels: currentGannLevels,
1937
+ elliottWave: currentElliottWave,
1938
+ harmonicPatterns: currentHarmonicPatterns
1939
+ },
1940
+ tradingSignals,
1941
+ statisticalModels: {
1942
+ zScore: StatisticalModels.calculateZScore(analysis.currentPrice, analysis.startPrice),
1943
+ ornsteinUhlenbeck: StatisticalModels.calculateOrnsteinUhlenbeck(
1944
+ analysis.currentPrice,
1945
+ analysis.startPrice,
1946
+ analysis.avgVolume,
1947
+ priceChanges
1948
+ ),
1949
+ kalmanFilter: StatisticalModels.calculateKalmanFilter(
1950
+ analysis.currentPrice,
1951
+ analysis.startPrice,
1952
+ analysis.avgVolume,
1953
+ priceChanges
1954
+ ),
1955
+ arima: StatisticalModels.calculateARIMA(analysis.currentPrice, priceChanges),
1956
+ garch: StatisticalModels.calculateGARCH(analysis.avgVolume, priceChanges),
1957
+ hilbertTransform: StatisticalModels.calculateHilbertTransform(analysis.currentPrice, priceChanges),
1958
+ waveletTransform: StatisticalModels.calculateWaveletTransform(analysis.currentPrice, priceChanges)
1959
+ },
1960
+ optionsAnalysis: (() => {
1961
+ const blackScholes = OptionsAnalysis.calculateBlackScholes(
1962
+ analysis.currentPrice,
1963
+ analysis.startPrice,
1964
+ analysis.avgVolume
1965
+ );
1966
+ if (!blackScholes) return null;
1967
+ return {
1968
+ blackScholes,
1969
+ impliedVolatility: analysis.impliedVolatility,
1970
+ delta: blackScholes.delta,
1971
+ gamma: blackScholes.gamma,
1972
+ theta: blackScholes.theta,
1973
+ vega: blackScholes.vega,
1974
+ rho: blackScholes.rho,
1975
+ greeks: {
1976
+ delta: blackScholes.delta,
1977
+ gamma: blackScholes.gamma,
1978
+ theta: blackScholes.theta,
1979
+ vega: blackScholes.vega,
1980
+ rho: blackScholes.rho
1981
+ }
1982
+ };
1983
+ })(),
1984
+ riskManagement: {
1985
+ targetEntry,
1986
+ stopLoss,
1987
+ profitTarget,
1988
+ riskRewardRatio,
1989
+ positionSize,
1990
+ maxRisk
1991
+ },
1992
+ performance: {
1993
+ sharpeRatio: analysis.sharpeRatio,
1994
+ sortinoRatio: analysis.sortinoRatio,
1995
+ calmarRatio: analysis.calmarRatio,
1996
+ maxDrawdown: analysis.maxDrawdown * 100,
1997
+ winRate: analysis.winRate,
1998
+ profitFactor: analysis.profitFactor,
1999
+ totalReturn: analysis.sessionReturn,
2000
+ volatility: analysis.volatility
2001
+ }
2002
+ };
2003
+ }
2004
+ };
2005
+ var createTechnicalAnalysisHandler = (marketDataPrices) => {
2006
+ return async (args) => {
2007
+ try {
2008
+ const symbol = args.symbol;
2009
+ const priceHistory = marketDataPrices.get(symbol) || [];
2010
+ if (priceHistory.length === 0) {
2011
+ return {
2012
+ content: [
2013
+ {
2014
+ type: "text",
2015
+ text: `No price data available for ${symbol}. Please request market data first.`,
2016
+ uri: "technicalAnalysis"
2017
+ }
2018
+ ]
2019
+ };
2020
+ }
2021
+ const hasValidData = priceHistory.every(
2022
+ (entry) => typeof entry.trade === "number" && !Number.isNaN(entry.trade) && typeof entry.midPrice === "number" && !Number.isNaN(entry.midPrice)
2023
+ );
2024
+ if (!hasValidData) {
2025
+ throw new Error("Invalid market data");
2026
+ }
2027
+ const analyzer = new TechnicalAnalyzer(priceHistory);
2028
+ const analysis = analyzer.generateJSONAnalysis(symbol);
2029
+ return {
2030
+ content: [
2031
+ {
2032
+ type: "text",
2033
+ text: `Technical Analysis for ${symbol}:
2034
+
2035
+ ${JSON.stringify(analysis, null, 2)}`,
2036
+ uri: "technicalAnalysis"
2037
+ }
2038
+ ]
2039
+ };
2040
+ } catch (error) {
2041
+ return {
2042
+ content: [
2043
+ {
2044
+ type: "text",
2045
+ text: `Error performing technical analysis: ${error instanceof Error ? error.message : "Unknown error"}`,
2046
+ uri: "technicalAnalysis"
2047
+ }
2048
+ ],
2049
+ isError: true
2050
+ };
2051
+ }
2052
+ };
2053
+ };
2054
+
2055
+ // src/tools/marketData.ts
2056
+ import { Field, Fields, MDEntryType, Messages } from "fixparser";
2057
+ import QuickChart from "quickchart-js";
2058
+ var createMarketDataRequestHandler = (parser, pendingRequests) => {
2059
+ return async (args) => {
2060
+ try {
2061
+ parser.logger.log({
2062
+ level: "info",
2063
+ message: `Sending market data request for symbols: ${args.symbols.join(", ")}`
2064
+ });
2065
+ const response = new Promise((resolve) => {
2066
+ pendingRequests.set(args.mdReqID, resolve);
2067
+ parser.logger.log({
2068
+ level: "info",
2069
+ message: `Registered callback for market data request ID: ${args.mdReqID}`
2070
+ });
2071
+ });
2072
+ const entryTypes = args.mdEntryTypes || [
2073
+ MDEntryType.Bid,
2074
+ MDEntryType.Offer,
2075
+ MDEntryType.Trade,
2076
+ MDEntryType.IndexValue,
2077
+ MDEntryType.OpeningPrice,
2078
+ MDEntryType.ClosingPrice,
2079
+ MDEntryType.SettlementPrice,
2080
+ MDEntryType.TradingSessionHighPrice,
2081
+ MDEntryType.TradingSessionLowPrice,
2082
+ MDEntryType.VWAP,
2083
+ MDEntryType.Imbalance,
2084
+ MDEntryType.TradeVolume,
2085
+ MDEntryType.OpenInterest,
2086
+ MDEntryType.CompositeUnderlyingPrice,
2087
+ MDEntryType.SimulatedSellPrice,
2088
+ MDEntryType.SimulatedBuyPrice,
2089
+ MDEntryType.MarginRate,
2090
+ MDEntryType.MidPrice,
2091
+ MDEntryType.EmptyBook,
2092
+ MDEntryType.SettleHighPrice,
2093
+ MDEntryType.SettleLowPrice,
2094
+ MDEntryType.PriorSettlePrice,
2095
+ MDEntryType.SessionHighBid,
2096
+ MDEntryType.SessionLowOffer,
2097
+ MDEntryType.EarlyPrices,
2098
+ MDEntryType.AuctionClearingPrice,
2099
+ MDEntryType.SwapValueFactor,
2100
+ MDEntryType.DailyValueAdjustmentForLongPositions,
2101
+ MDEntryType.CumulativeValueAdjustmentForLongPositions,
2102
+ MDEntryType.DailyValueAdjustmentForShortPositions,
2103
+ MDEntryType.CumulativeValueAdjustmentForShortPositions,
2104
+ MDEntryType.FixingPrice,
2105
+ MDEntryType.CashRate,
2106
+ MDEntryType.RecoveryRate,
2107
+ MDEntryType.RecoveryRateForLong,
2108
+ MDEntryType.RecoveryRateForShort,
2109
+ MDEntryType.MarketBid,
2110
+ MDEntryType.MarketOffer,
2111
+ MDEntryType.ShortSaleMinPrice,
2112
+ MDEntryType.PreviousClosingPrice,
2113
+ MDEntryType.ThresholdLimitPriceBanding,
2114
+ MDEntryType.DailyFinancingValue,
2115
+ MDEntryType.AccruedFinancingValue,
2116
+ MDEntryType.TWAP
2117
+ ];
2118
+ const messageFields = [
2119
+ new Field(Fields.MsgType, Messages.MarketDataRequest),
2120
+ new Field(Fields.SenderCompID, parser.sender),
2121
+ new Field(Fields.MsgSeqNum, parser.getNextTargetMsgSeqNum()),
2122
+ new Field(Fields.TargetCompID, parser.target),
2123
+ new Field(Fields.SendingTime, parser.getTimestamp()),
2124
+ new Field(Fields.MDReqID, args.mdReqID),
2125
+ new Field(Fields.SubscriptionRequestType, args.subscriptionRequestType),
2126
+ new Field(Fields.MarketDepth, 0),
2127
+ new Field(Fields.MDUpdateType, args.mdUpdateType)
2128
+ ];
2129
+ messageFields.push(new Field(Fields.NoRelatedSym, args.symbols.length));
2130
+ args.symbols.forEach((symbol) => {
2131
+ messageFields.push(new Field(Fields.Symbol, symbol));
2132
+ });
2133
+ messageFields.push(new Field(Fields.NoMDEntryTypes, entryTypes.length));
2134
+ entryTypes.forEach((entryType) => {
2135
+ messageFields.push(new Field(Fields.MDEntryType, entryType));
2136
+ });
2137
+ const mdr = parser.createMessage(...messageFields);
2138
+ if (!parser.connected) {
2139
+ parser.logger.log({
2140
+ level: "error",
2141
+ message: "Not connected. Cannot send market data request."
2142
+ });
2143
+ return {
2144
+ content: [
2145
+ {
2146
+ type: "text",
2147
+ text: "Error: Not connected. Ignoring message.",
2148
+ uri: "marketDataRequest"
2149
+ }
2150
+ ],
2151
+ isError: true
2152
+ };
2153
+ }
2154
+ parser.logger.log({
2155
+ level: "info",
2156
+ message: `Sending market data request message: ${JSON.stringify(mdr?.toFIXJSON())}`
2157
+ });
2158
+ parser.send(mdr);
2159
+ const fixData = await response;
2160
+ parser.logger.log({
2161
+ level: "info",
2162
+ message: `Received market data response for request ID: ${args.mdReqID}`
2163
+ });
2164
+ return {
2165
+ content: [
2166
+ {
2167
+ type: "text",
2168
+ text: `Market data for ${args.symbols.join(", ")}: ${JSON.stringify(fixData.toFIXJSON())}`,
2169
+ uri: "marketDataRequest"
2170
+ }
2171
+ ]
2172
+ };
2173
+ } catch (error) {
2174
+ return {
2175
+ content: [
2176
+ {
2177
+ type: "text",
2178
+ text: `Error: ${error instanceof Error ? error.message : "Failed to request market data"}`,
2179
+ uri: "marketDataRequest"
2180
+ }
2181
+ ],
2182
+ isError: true
2183
+ };
2184
+ }
2185
+ };
2186
+ };
2187
+ var aggregateMarketData = (priceHistory, maxPoints = 490) => {
2188
+ if (priceHistory.length <= maxPoints) {
2189
+ return priceHistory;
2190
+ }
2191
+ const result = [];
2192
+ const step = priceHistory.length / maxPoints;
2193
+ result.push(priceHistory[0]);
2194
+ for (let i = 1; i < maxPoints - 1; i++) {
2195
+ const startIndex = Math.floor(i * step);
2196
+ const endIndex = Math.floor((i + 1) * step);
2197
+ const segment = priceHistory.slice(startIndex, endIndex);
2198
+ if (segment.length === 0) continue;
2199
+ const aggregatedPoint = {
2200
+ timestamp: segment[0].timestamp,
2201
+ // Use timestamp of first point in segment
2202
+ bid: segment.reduce((sum2, p) => sum2 + p.bid, 0) / segment.length,
2203
+ offer: segment.reduce((sum2, p) => sum2 + p.offer, 0) / segment.length,
2204
+ spread: segment.reduce((sum2, p) => sum2 + p.spread, 0) / segment.length,
2205
+ volume: segment.reduce((sum2, p) => sum2 + p.volume, 0) / segment.length,
2206
+ trade: segment.reduce((sum2, p) => sum2 + p.trade, 0) / segment.length,
2207
+ indexValue: segment.reduce((sum2, p) => sum2 + p.indexValue, 0) / segment.length,
2208
+ openingPrice: segment.reduce((sum2, p) => sum2 + p.openingPrice, 0) / segment.length,
2209
+ closingPrice: segment.reduce((sum2, p) => sum2 + p.closingPrice, 0) / segment.length,
2210
+ settlementPrice: segment.reduce((sum2, p) => sum2 + p.settlementPrice, 0) / segment.length,
2211
+ tradingSessionHighPrice: segment.reduce((sum2, p) => sum2 + p.tradingSessionHighPrice, 0) / segment.length,
2212
+ tradingSessionLowPrice: segment.reduce((sum2, p) => sum2 + p.tradingSessionLowPrice, 0) / segment.length,
2213
+ vwap: segment.reduce((sum2, p) => sum2 + p.vwap, 0) / segment.length,
2214
+ imbalance: segment.reduce((sum2, p) => sum2 + p.imbalance, 0) / segment.length,
2215
+ openInterest: segment.reduce((sum2, p) => sum2 + p.openInterest, 0) / segment.length,
2216
+ compositeUnderlyingPrice: segment.reduce((sum2, p) => sum2 + p.compositeUnderlyingPrice, 0) / segment.length,
2217
+ simulatedSellPrice: segment.reduce((sum2, p) => sum2 + p.simulatedSellPrice, 0) / segment.length,
2218
+ simulatedBuyPrice: segment.reduce((sum2, p) => sum2 + p.simulatedBuyPrice, 0) / segment.length,
2219
+ marginRate: segment.reduce((sum2, p) => sum2 + p.marginRate, 0) / segment.length,
2220
+ midPrice: segment.reduce((sum2, p) => sum2 + p.midPrice, 0) / segment.length,
2221
+ emptyBook: segment.reduce((sum2, p) => sum2 + p.emptyBook, 0) / segment.length,
2222
+ settleHighPrice: segment.reduce((sum2, p) => sum2 + p.settleHighPrice, 0) / segment.length,
2223
+ settleLowPrice: segment.reduce((sum2, p) => sum2 + p.settleLowPrice, 0) / segment.length,
2224
+ priorSettlePrice: segment.reduce((sum2, p) => sum2 + p.priorSettlePrice, 0) / segment.length,
2225
+ sessionHighBid: segment.reduce((sum2, p) => sum2 + p.sessionHighBid, 0) / segment.length,
2226
+ sessionLowOffer: segment.reduce((sum2, p) => sum2 + p.sessionLowOffer, 0) / segment.length,
2227
+ earlyPrices: segment.reduce((sum2, p) => sum2 + p.earlyPrices, 0) / segment.length,
2228
+ auctionClearingPrice: segment.reduce((sum2, p) => sum2 + p.auctionClearingPrice, 0) / segment.length,
2229
+ swapValueFactor: segment.reduce((sum2, p) => sum2 + p.swapValueFactor, 0) / segment.length,
2230
+ dailyValueAdjustmentForLongPositions: segment.reduce((sum2, p) => sum2 + p.dailyValueAdjustmentForLongPositions, 0) / segment.length,
2231
+ cumulativeValueAdjustmentForLongPositions: segment.reduce((sum2, p) => sum2 + p.cumulativeValueAdjustmentForLongPositions, 0) / segment.length,
2232
+ dailyValueAdjustmentForShortPositions: segment.reduce((sum2, p) => sum2 + p.dailyValueAdjustmentForShortPositions, 0) / segment.length,
2233
+ cumulativeValueAdjustmentForShortPositions: segment.reduce((sum2, p) => sum2 + p.cumulativeValueAdjustmentForShortPositions, 0) / segment.length,
2234
+ fixingPrice: segment.reduce((sum2, p) => sum2 + p.fixingPrice, 0) / segment.length,
2235
+ cashRate: segment.reduce((sum2, p) => sum2 + p.cashRate, 0) / segment.length,
2236
+ recoveryRate: segment.reduce((sum2, p) => sum2 + p.recoveryRate, 0) / segment.length,
2237
+ recoveryRateForLong: segment.reduce((sum2, p) => sum2 + p.recoveryRateForLong, 0) / segment.length,
2238
+ recoveryRateForShort: segment.reduce((sum2, p) => sum2 + p.recoveryRateForShort, 0) / segment.length,
2239
+ marketBid: segment.reduce((sum2, p) => sum2 + p.marketBid, 0) / segment.length,
2240
+ marketOffer: segment.reduce((sum2, p) => sum2 + p.marketOffer, 0) / segment.length,
2241
+ shortSaleMinPrice: segment.reduce((sum2, p) => sum2 + p.shortSaleMinPrice, 0) / segment.length,
2242
+ previousClosingPrice: segment.reduce((sum2, p) => sum2 + p.previousClosingPrice, 0) / segment.length,
2243
+ thresholdLimitPriceBanding: segment.reduce((sum2, p) => sum2 + p.thresholdLimitPriceBanding, 0) / segment.length,
2244
+ dailyFinancingValue: segment.reduce((sum2, p) => sum2 + p.dailyFinancingValue, 0) / segment.length,
2245
+ accruedFinancingValue: segment.reduce((sum2, p) => sum2 + p.accruedFinancingValue, 0) / segment.length,
2246
+ twap: segment.reduce((sum2, p) => sum2 + p.twap, 0) / segment.length
2247
+ };
2248
+ result.push(aggregatedPoint);
2249
+ }
2250
+ result.push(priceHistory[priceHistory.length - 1]);
2251
+ return result;
2252
+ };
2253
+ var createGetStockGraphHandler = (marketDataPrices) => {
2254
+ return async (args) => {
2255
+ try {
2256
+ const symbol = args.symbol;
2257
+ const priceHistory = marketDataPrices.get(symbol) || [];
2258
+ if (priceHistory.length === 0) {
2259
+ return {
2260
+ content: [
2261
+ {
2262
+ type: "text",
2263
+ text: `No price data available for ${symbol}`,
2264
+ uri: "getStockGraph"
2265
+ }
2266
+ ]
2267
+ };
2268
+ }
2269
+ const aggregatedData = aggregateMarketData(priceHistory, 500);
2270
+ const chart = new QuickChart();
2271
+ chart.setWidth(1200);
2272
+ chart.setHeight(600);
2273
+ chart.setBackgroundColor("transparent");
2274
+ const labels = aggregatedData.map((point) => new Date(point.timestamp).toLocaleTimeString());
2275
+ const bidData = aggregatedData.map((point) => point.bid);
2276
+ const offerData = aggregatedData.map((point) => point.offer);
2277
+ const spreadData = aggregatedData.map((point) => point.spread);
2278
+ const volumeData = aggregatedData.map((point) => point.volume);
2279
+ const tradeData = aggregatedData.map((point) => point.trade);
2280
+ const vwapData = aggregatedData.map((point) => point.vwap);
2281
+ const twapData = aggregatedData.map((point) => point.twap);
2282
+ const maxVolume = Math.max(...volumeData.filter((v) => v > 0));
2283
+ const maxPrice = Math.max(...bidData, ...offerData, ...tradeData, ...vwapData, ...twapData);
2284
+ const normalizedVolumeData = volumeData.map((v) => v / maxVolume * maxPrice * 0.3);
2285
+ const config = {
2286
+ type: "line",
2287
+ data: {
2288
+ labels,
2289
+ datasets: [
2290
+ {
2291
+ label: "Bid",
2292
+ data: bidData,
2293
+ borderColor: "#28a745",
2294
+ backgroundColor: "rgba(40, 167, 69, 0.1)",
2295
+ fill: false,
2296
+ tension: 0.4
2297
+ },
2298
+ {
2299
+ label: "Offer",
2300
+ data: offerData,
2301
+ borderColor: "#dc3545",
2302
+ backgroundColor: "rgba(220, 53, 69, 0.1)",
2303
+ fill: false,
2304
+ tension: 0.4
2305
+ },
2306
+ {
2307
+ label: "Spread",
2308
+ data: spreadData,
2309
+ borderColor: "#6c757d",
2310
+ backgroundColor: "rgba(108, 117, 125, 0.1)",
2311
+ fill: false,
2312
+ tension: 0.4
2313
+ },
2314
+ {
2315
+ label: "Trade",
2316
+ data: tradeData,
2317
+ borderColor: "#ffc107",
2318
+ backgroundColor: "rgba(255, 193, 7, 0.1)",
2319
+ fill: false,
2320
+ tension: 0.4
2321
+ },
2322
+ {
2323
+ label: "VWAP",
2324
+ data: vwapData,
2325
+ borderColor: "#17a2b8",
2326
+ backgroundColor: "rgba(23, 162, 184, 0.1)",
2327
+ fill: false,
2328
+ tension: 0.4
2329
+ },
2330
+ {
2331
+ label: "TWAP",
2332
+ data: twapData,
2333
+ borderColor: "#6610f2",
2334
+ backgroundColor: "rgba(102, 16, 242, 0.1)",
2335
+ fill: false,
2336
+ tension: 0.4
2337
+ },
2338
+ {
2339
+ label: "Volume (Normalized)",
2340
+ data: normalizedVolumeData,
2341
+ borderColor: "#007bff",
2342
+ backgroundColor: "rgba(0, 123, 255, 0.1)",
2343
+ fill: true,
2344
+ tension: 0.4
2345
+ }
2346
+ ]
2347
+ },
2348
+ options: {
2349
+ responsive: true,
2350
+ plugins: {
2351
+ title: {
2352
+ display: true,
2353
+ text: `${symbol} Market Data (Volume normalized to 30% of max price)`
2354
+ }
2355
+ },
2356
+ scales: {
2357
+ y: {
2358
+ beginAtZero: false,
2359
+ title: {
2360
+ display: true,
2361
+ text: "Price / Normalized Volume"
2362
+ }
2363
+ }
2364
+ }
2365
+ }
2366
+ };
2367
+ chart.setConfig(config);
2368
+ const imageBuffer = await chart.toBinary();
2369
+ const base64 = imageBuffer.toString("base64");
2370
+ return {
2371
+ content: [
2372
+ {
2373
+ type: "resource",
2374
+ resource: {
2375
+ uri: "resource://graph",
2376
+ mimeType: "image/png",
2377
+ blob: base64
2378
+ }
2379
+ }
2380
+ ]
2381
+ };
2382
+ } catch (error) {
2383
+ return {
2384
+ content: [
2385
+ {
2386
+ type: "text",
2387
+ text: `Error: ${error instanceof Error ? error.message : "Failed to generate graph"}`,
2388
+ uri: "getStockGraph"
2389
+ }
2390
+ ],
2391
+ isError: true
2392
+ };
18
2393
  }
19
- },
20
- required: ["fixString"]
2394
+ };
21
2395
  };
22
- var parseToJSONInputSchema = {
23
- type: "object",
24
- properties: {
25
- fixString: {
26
- type: "string",
27
- description: "FIX message string to parse"
2396
+ var createGetStockPriceHistoryHandler = (marketDataPrices) => {
2397
+ return async (args) => {
2398
+ try {
2399
+ const symbol = args.symbol;
2400
+ const priceHistory = marketDataPrices.get(symbol) || [];
2401
+ if (priceHistory.length === 0) {
2402
+ return {
2403
+ content: [
2404
+ {
2405
+ type: "text",
2406
+ text: `No price data available for ${symbol}`,
2407
+ uri: "getStockPriceHistory"
2408
+ }
2409
+ ]
2410
+ };
2411
+ }
2412
+ const aggregatedData = aggregateMarketData(priceHistory, 500);
2413
+ return {
2414
+ content: [
2415
+ {
2416
+ type: "text",
2417
+ text: JSON.stringify(
2418
+ {
2419
+ symbol,
2420
+ count: aggregatedData.length,
2421
+ originalCount: priceHistory.length,
2422
+ data: aggregatedData.map((point) => ({
2423
+ timestamp: new Date(point.timestamp).toISOString(),
2424
+ bid: point.bid,
2425
+ offer: point.offer,
2426
+ spread: point.spread,
2427
+ volume: point.volume,
2428
+ trade: point.trade,
2429
+ indexValue: point.indexValue,
2430
+ openingPrice: point.openingPrice,
2431
+ closingPrice: point.closingPrice,
2432
+ settlementPrice: point.settlementPrice,
2433
+ tradingSessionHighPrice: point.tradingSessionHighPrice,
2434
+ tradingSessionLowPrice: point.tradingSessionLowPrice,
2435
+ vwap: point.vwap,
2436
+ imbalance: point.imbalance,
2437
+ openInterest: point.openInterest,
2438
+ compositeUnderlyingPrice: point.compositeUnderlyingPrice,
2439
+ simulatedSellPrice: point.simulatedSellPrice,
2440
+ simulatedBuyPrice: point.simulatedBuyPrice,
2441
+ marginRate: point.marginRate,
2442
+ midPrice: point.midPrice,
2443
+ emptyBook: point.emptyBook,
2444
+ settleHighPrice: point.settleHighPrice,
2445
+ settleLowPrice: point.settleLowPrice,
2446
+ priorSettlePrice: point.priorSettlePrice,
2447
+ sessionHighBid: point.sessionHighBid,
2448
+ sessionLowOffer: point.sessionLowOffer,
2449
+ earlyPrices: point.earlyPrices,
2450
+ auctionClearingPrice: point.auctionClearingPrice,
2451
+ swapValueFactor: point.swapValueFactor,
2452
+ dailyValueAdjustmentForLongPositions: point.dailyValueAdjustmentForLongPositions,
2453
+ cumulativeValueAdjustmentForLongPositions: point.cumulativeValueAdjustmentForLongPositions,
2454
+ dailyValueAdjustmentForShortPositions: point.dailyValueAdjustmentForShortPositions,
2455
+ cumulativeValueAdjustmentForShortPositions: point.cumulativeValueAdjustmentForShortPositions,
2456
+ fixingPrice: point.fixingPrice,
2457
+ cashRate: point.cashRate,
2458
+ recoveryRate: point.recoveryRate,
2459
+ recoveryRateForLong: point.recoveryRateForLong,
2460
+ recoveryRateForShort: point.recoveryRateForShort,
2461
+ marketBid: point.marketBid,
2462
+ marketOffer: point.marketOffer,
2463
+ shortSaleMinPrice: point.shortSaleMinPrice,
2464
+ previousClosingPrice: point.previousClosingPrice,
2465
+ thresholdLimitPriceBanding: point.thresholdLimitPriceBanding,
2466
+ dailyFinancingValue: point.dailyFinancingValue,
2467
+ accruedFinancingValue: point.accruedFinancingValue,
2468
+ twap: point.twap
2469
+ }))
2470
+ },
2471
+ null,
2472
+ 2
2473
+ ),
2474
+ uri: "getStockPriceHistory"
2475
+ }
2476
+ ]
2477
+ };
2478
+ } catch (error) {
2479
+ return {
2480
+ content: [
2481
+ {
2482
+ type: "text",
2483
+ text: `Error: ${error instanceof Error ? error.message : "Failed to get price history"}`,
2484
+ uri: "getStockPriceHistory"
2485
+ }
2486
+ ],
2487
+ isError: true
2488
+ };
28
2489
  }
29
- },
30
- required: ["fixString"]
2490
+ };
31
2491
  };
32
- var orderSchema = {
33
- type: "object",
34
- properties: {
35
- clOrdID: {
36
- type: "string",
37
- description: "Client Order ID"
38
- },
39
- handlInst: {
40
- type: "string",
41
- enum: ["1", "2", "3"],
42
- description: "Handling instruction (1=Manual, 2=Automated, 3=AutomatedNoIntervention)"
43
- },
44
- quantity: {
45
- type: "number",
46
- description: "Order quantity"
47
- },
48
- price: {
49
- type: "number",
50
- description: "Order price"
51
- },
52
- ordType: {
53
- type: "string",
54
- enum: [
55
- "1",
56
- "2",
57
- "3",
58
- "4",
59
- "5",
60
- "6",
61
- "7",
62
- "8",
63
- "9",
64
- "A",
65
- "B",
66
- "C",
67
- "D",
68
- "E",
69
- "F",
70
- "G",
71
- "H",
72
- "I",
73
- "J",
74
- "K",
75
- "L",
76
- "M",
77
- "P",
78
- "Q",
79
- "R",
80
- "S"
81
- ],
82
- description: "Order type (1=Market, 2=Limit, 3=Stop)"
83
- },
84
- side: {
85
- type: "string",
86
- enum: ["1", "2", "3", "4", "5", "6", "7", "8", "9", "A", "B", "C", "D", "E", "F", "G", "H"],
87
- description: "Order side (1=Buy, 2=Sell, 3=BuyMinus, 4=SellPlus, 5=SellShort, 6=SellShortExempt, 7=Undisclosed, 8=Cross, 9=CrossShort, A=CrossShortExempt, B=AsDefined, C=Opposite, D=Subscribe, E=Redeem, F=Lend, G=Borrow, H=SellUndisclosed)"
88
- },
89
- symbol: {
90
- type: "string",
91
- description: "Trading symbol"
92
- },
93
- timeInForce: {
94
- type: "string",
95
- enum: ["0", "1", "2", "3", "4", "5", "6", "7", "8", "9", "A", "B", "C"],
96
- description: "Time in force (0=Day, 1=Good Till Cancel, 2=At Opening, 3=Immediate or Cancel, 4=Fill or Kill, 5=Good Till Crossing, 6=Good Till Date)"
2492
+
2493
+ // src/tools/order.ts
2494
+ import { Field as Field2, Fields as Fields2, Messages as Messages2 } from "fixparser";
2495
+ var ordTypeNames = {
2496
+ "1": "Market",
2497
+ "2": "Limit",
2498
+ "3": "Stop",
2499
+ "4": "StopLimit",
2500
+ "5": "MarketOnClose",
2501
+ "6": "WithOrWithout",
2502
+ "7": "LimitOrBetter",
2503
+ "8": "LimitWithOrWithout",
2504
+ "9": "OnBasis",
2505
+ A: "OnClose",
2506
+ B: "LimitOnClose",
2507
+ C: "ForexMarket",
2508
+ D: "PreviouslyQuoted",
2509
+ E: "PreviouslyIndicated",
2510
+ F: "ForexLimit",
2511
+ G: "ForexSwap",
2512
+ H: "ForexPreviouslyQuoted",
2513
+ I: "Funari",
2514
+ J: "MarketIfTouched",
2515
+ K: "MarketWithLeftOverAsLimit",
2516
+ L: "PreviousFundValuationPoint",
2517
+ M: "NextFundValuationPoint",
2518
+ P: "Pegged",
2519
+ Q: "CounterOrderSelection",
2520
+ R: "StopOnBidOrOffer",
2521
+ S: "StopLimitOnBidOrOffer"
2522
+ };
2523
+ var sideNames = {
2524
+ "1": "Buy",
2525
+ "2": "Sell",
2526
+ "3": "BuyMinus",
2527
+ "4": "SellPlus",
2528
+ "5": "SellShort",
2529
+ "6": "SellShortExempt",
2530
+ "7": "Undisclosed",
2531
+ "8": "Cross",
2532
+ "9": "CrossShort",
2533
+ A: "CrossShortExempt",
2534
+ B: "AsDefined",
2535
+ C: "Opposite",
2536
+ D: "Subscribe",
2537
+ E: "Redeem",
2538
+ F: "Lend",
2539
+ G: "Borrow",
2540
+ H: "SellUndisclosed"
2541
+ };
2542
+ var timeInForceNames = {
2543
+ "0": "Day",
2544
+ "1": "GoodTillCancel",
2545
+ "2": "AtTheOpening",
2546
+ "3": "ImmediateOrCancel",
2547
+ "4": "FillOrKill",
2548
+ "5": "GoodTillCrossing",
2549
+ "6": "GoodTillDate",
2550
+ "7": "AtTheClose",
2551
+ "8": "GoodThroughCrossing",
2552
+ "9": "AtCrossing",
2553
+ A: "GoodForTime",
2554
+ B: "GoodForAuction",
2555
+ C: "GoodForMonth"
2556
+ };
2557
+ var handlInstNames = {
2558
+ "1": "AutomatedExecutionNoIntervention",
2559
+ "2": "AutomatedExecutionInterventionOK",
2560
+ "3": "ManualOrder"
2561
+ };
2562
+ var createVerifyOrderHandler = (parser, verifiedOrders) => {
2563
+ return async (args) => {
2564
+ void parser;
2565
+ try {
2566
+ verifiedOrders.set(args.clOrdID, {
2567
+ clOrdID: args.clOrdID,
2568
+ handlInst: args.handlInst,
2569
+ quantity: Number.parseFloat(String(args.quantity)),
2570
+ price: Number.parseFloat(String(args.price)),
2571
+ ordType: args.ordType,
2572
+ side: args.side,
2573
+ symbol: args.symbol,
2574
+ timeInForce: args.timeInForce
2575
+ });
2576
+ return {
2577
+ content: [
2578
+ {
2579
+ type: "text",
2580
+ text: `VERIFICATION: All parameters valid. Ready to proceed with order execution.
2581
+
2582
+ Parameters verified:
2583
+ - ClOrdID: ${args.clOrdID}
2584
+ - HandlInst: ${args.handlInst} (${handlInstNames[args.handlInst]})
2585
+ - Quantity: ${args.quantity}
2586
+ - Price: ${args.price}
2587
+ - OrdType: ${args.ordType} (${ordTypeNames[args.ordType]})
2588
+ - Side: ${args.side} (${sideNames[args.side]})
2589
+ - Symbol: ${args.symbol}
2590
+ - TimeInForce: ${args.timeInForce} (${timeInForceNames[args.timeInForce]})
2591
+
2592
+ To execute this order, call the executeOrder tool with these exact same parameters. Important: The user has to explicitly confirm before executeOrder is called!`,
2593
+ uri: "verifyOrder"
2594
+ }
2595
+ ]
2596
+ };
2597
+ } catch (error) {
2598
+ return {
2599
+ content: [
2600
+ {
2601
+ type: "text",
2602
+ text: `Error: ${error instanceof Error ? error.message : "Failed to verify order parameters"}`,
2603
+ uri: "verifyOrder"
2604
+ }
2605
+ ],
2606
+ isError: true
2607
+ };
97
2608
  }
98
- },
99
- required: ["clOrdID", "handlInst", "quantity", "price", "ordType", "side", "symbol", "timeInForce"]
2609
+ };
100
2610
  };
101
- var marketDataRequestInputSchema = {
102
- type: "object",
103
- properties: {
104
- mdUpdateType: {
105
- type: "string",
106
- enum: ["0", "1"],
107
- description: 'Market data update type (IMPORTANT: Use the numeric/alphabetic value, not the descriptive name. For example, use "0" for FullRefresh, "1" for IncrementalRefresh)'
108
- },
109
- symbol: {
110
- type: "string",
111
- description: "Trading symbol"
112
- },
113
- mdReqID: {
114
- type: "string",
115
- description: "Market data request ID"
116
- },
117
- subscriptionRequestType: {
118
- type: "string",
119
- enum: ["0", "1", "2"],
120
- description: 'Subscription request type (IMPORTANT: Use the numeric/alphabetic value, not the descriptive name. For example, use "0" for Snapshot + Updates, "1" for Snapshot, "2" for Unsubscribe)'
121
- },
122
- mdEntryType: {
123
- type: "string",
124
- enum: [
125
- "0",
126
- "1",
127
- "2",
128
- "3",
129
- "4",
130
- "5",
131
- "6",
132
- "7",
133
- "8",
134
- "9",
135
- "A",
136
- "B",
137
- "C",
138
- "D",
139
- "E",
140
- "F",
141
- "G",
142
- "H",
143
- "J",
144
- "K",
145
- "L",
146
- "M",
147
- "N",
148
- "O",
149
- "P",
150
- "Q",
151
- "S",
152
- "R",
153
- "T",
154
- "U",
155
- "V",
156
- "W",
157
- "X",
158
- "Y",
159
- "Z",
160
- "a",
161
- "b",
162
- "c",
163
- "d",
164
- "e",
165
- "g",
166
- "h",
167
- "i",
168
- "t"
169
- ],
170
- description: 'Market data entry type (IMPORTANT: Use the numeric/alphabetic value, not the descriptive name. For example, use "0" for Bid, "1" for Offer, "2" for Trade, "3" for Index Value, "4" for Opening Price)'
2611
+ var createExecuteOrderHandler = (parser, verifiedOrders, pendingRequests) => {
2612
+ return async (args) => {
2613
+ try {
2614
+ const verifiedOrder = verifiedOrders.get(args.clOrdID);
2615
+ if (!verifiedOrder) {
2616
+ return {
2617
+ content: [
2618
+ {
2619
+ type: "text",
2620
+ text: `Error: Order ${args.clOrdID} has not been verified. Please call verifyOrder first.`,
2621
+ uri: "executeOrder"
2622
+ }
2623
+ ],
2624
+ isError: true
2625
+ };
2626
+ }
2627
+ if (verifiedOrder.handlInst !== args.handlInst || verifiedOrder.quantity !== Number.parseFloat(String(args.quantity)) || verifiedOrder.price !== Number.parseFloat(String(args.price)) || verifiedOrder.ordType !== args.ordType || verifiedOrder.side !== args.side || verifiedOrder.symbol !== args.symbol || verifiedOrder.timeInForce !== args.timeInForce) {
2628
+ return {
2629
+ content: [
2630
+ {
2631
+ type: "text",
2632
+ text: "Error: Order parameters do not match the verified order. Please use the exact same parameters that were verified.",
2633
+ uri: "executeOrder"
2634
+ }
2635
+ ],
2636
+ isError: true
2637
+ };
2638
+ }
2639
+ const response = new Promise((resolve) => {
2640
+ pendingRequests.set(args.clOrdID, resolve);
2641
+ });
2642
+ const order = parser.createMessage(
2643
+ new Field2(Fields2.MsgType, Messages2.NewOrderSingle),
2644
+ new Field2(Fields2.MsgSeqNum, parser.getNextTargetMsgSeqNum()),
2645
+ new Field2(Fields2.SenderCompID, parser.sender),
2646
+ new Field2(Fields2.TargetCompID, parser.target),
2647
+ new Field2(Fields2.SendingTime, parser.getTimestamp()),
2648
+ new Field2(Fields2.ClOrdID, args.clOrdID),
2649
+ new Field2(Fields2.Side, args.side),
2650
+ new Field2(Fields2.Symbol, args.symbol),
2651
+ new Field2(Fields2.OrderQty, Number.parseFloat(String(args.quantity))),
2652
+ new Field2(Fields2.Price, Number.parseFloat(String(args.price))),
2653
+ new Field2(Fields2.OrdType, args.ordType),
2654
+ new Field2(Fields2.HandlInst, args.handlInst),
2655
+ new Field2(Fields2.TimeInForce, args.timeInForce),
2656
+ new Field2(Fields2.TransactTime, parser.getTimestamp())
2657
+ );
2658
+ if (!parser.connected) {
2659
+ return {
2660
+ content: [
2661
+ {
2662
+ type: "text",
2663
+ text: "Error: Not connected. Ignoring message.",
2664
+ uri: "executeOrder"
2665
+ }
2666
+ ],
2667
+ isError: true
2668
+ };
2669
+ }
2670
+ parser.send(order);
2671
+ const fixData = await response;
2672
+ verifiedOrders.delete(args.clOrdID);
2673
+ return {
2674
+ content: [
2675
+ {
2676
+ type: "text",
2677
+ text: fixData.messageType === Messages2.Reject ? `Reject message for order ${args.clOrdID}: ${JSON.stringify(fixData.toFIXJSON())}` : `Execution Report for order ${args.clOrdID}: ${JSON.stringify(fixData.toFIXJSON())}`,
2678
+ uri: "executeOrder"
2679
+ }
2680
+ ]
2681
+ };
2682
+ } catch (error) {
2683
+ return {
2684
+ content: [
2685
+ {
2686
+ type: "text",
2687
+ text: `Error: ${error instanceof Error ? error.message : "Failed to execute order"}`,
2688
+ uri: "executeOrder"
2689
+ }
2690
+ ],
2691
+ isError: true
2692
+ };
171
2693
  }
172
- },
173
- required: ["symbol", "mdReqID"]
2694
+ };
174
2695
  };
175
- var MCPLocal = class {
176
- // private logger: Logger | undefined;
177
- parser;
2696
+
2697
+ // src/tools/parse.ts
2698
+ var createParseHandler = (parser) => {
2699
+ return async (args) => {
2700
+ try {
2701
+ const parsedMessage = parser.parse(args.fixString);
2702
+ if (!parsedMessage || parsedMessage.length === 0) {
2703
+ return {
2704
+ content: [
2705
+ {
2706
+ type: "text",
2707
+ text: "Error: Failed to parse FIX string",
2708
+ uri: "parse"
2709
+ }
2710
+ ],
2711
+ isError: true
2712
+ };
2713
+ }
2714
+ return {
2715
+ content: [
2716
+ {
2717
+ type: "text",
2718
+ text: `${parsedMessage[0].description}
2719
+ ${parsedMessage[0].messageTypeDescription}`,
2720
+ uri: "parse"
2721
+ }
2722
+ ]
2723
+ };
2724
+ } catch (error) {
2725
+ return {
2726
+ content: [
2727
+ {
2728
+ type: "text",
2729
+ text: `Error: ${error instanceof Error ? error.message : "Failed to parse FIX string"}`,
2730
+ uri: "parse"
2731
+ }
2732
+ ],
2733
+ isError: true
2734
+ };
2735
+ }
2736
+ };
2737
+ };
2738
+
2739
+ // src/tools/parseToJSON.ts
2740
+ var createParseToJSONHandler = (parser) => {
2741
+ return async (args) => {
2742
+ try {
2743
+ const parsedMessage = parser.parse(args.fixString);
2744
+ if (!parsedMessage || parsedMessage.length === 0) {
2745
+ return {
2746
+ content: [
2747
+ {
2748
+ type: "text",
2749
+ text: "Error: Failed to parse FIX string",
2750
+ uri: "parseToJSON"
2751
+ }
2752
+ ],
2753
+ isError: true
2754
+ };
2755
+ }
2756
+ return {
2757
+ content: [
2758
+ {
2759
+ type: "text",
2760
+ text: `${parsedMessage[0].toFIXJSON()}`,
2761
+ uri: "parseToJSON"
2762
+ }
2763
+ ]
2764
+ };
2765
+ } catch (error) {
2766
+ return {
2767
+ content: [
2768
+ {
2769
+ type: "text",
2770
+ text: `Error: ${error instanceof Error ? error.message : "Failed to parse FIX string"}`,
2771
+ uri: "parseToJSON"
2772
+ }
2773
+ ],
2774
+ isError: true
2775
+ };
2776
+ }
2777
+ };
2778
+ };
2779
+
2780
+ // src/tools/index.ts
2781
+ var createToolHandlers = (parser, verifiedOrders, pendingRequests, marketDataPrices) => ({
2782
+ parse: createParseHandler(parser),
2783
+ parseToJSON: createParseToJSONHandler(parser),
2784
+ verifyOrder: createVerifyOrderHandler(parser, verifiedOrders),
2785
+ executeOrder: createExecuteOrderHandler(parser, verifiedOrders, pendingRequests),
2786
+ marketDataRequest: createMarketDataRequestHandler(parser, pendingRequests),
2787
+ getStockGraph: createGetStockGraphHandler(marketDataPrices),
2788
+ getStockPriceHistory: createGetStockPriceHistoryHandler(marketDataPrices),
2789
+ technicalAnalysis: createTechnicalAnalysisHandler(marketDataPrices)
2790
+ });
2791
+
2792
+ // src/utils/messageHandler.ts
2793
+ import { Fields as Fields3, MDEntryType as MDEntryType2, Messages as Messages3 } from "fixparser";
2794
+ function getEnumValue(enumObj, name) {
2795
+ return enumObj[name] || name;
2796
+ }
2797
+ function handleMessage(message, parser, pendingRequests, marketDataPrices, maxPriceHistory, onPriceUpdate) {
2798
+ void parser;
2799
+ const msgType = message.messageType;
2800
+ if (msgType === Messages3.MarketDataSnapshotFullRefresh || msgType === Messages3.MarketDataIncrementalRefresh) {
2801
+ const symbol = message.getField(Fields3.Symbol)?.value;
2802
+ const fixJson = message.toFIXJSON();
2803
+ const entries = fixJson.Body?.NoMDEntries || [];
2804
+ const data = {
2805
+ timestamp: Date.now(),
2806
+ bid: 0,
2807
+ offer: 0,
2808
+ spread: 0,
2809
+ volume: 0,
2810
+ trade: 0,
2811
+ indexValue: 0,
2812
+ openingPrice: 0,
2813
+ closingPrice: 0,
2814
+ settlementPrice: 0,
2815
+ tradingSessionHighPrice: 0,
2816
+ tradingSessionLowPrice: 0,
2817
+ vwap: 0,
2818
+ imbalance: 0,
2819
+ openInterest: 0,
2820
+ compositeUnderlyingPrice: 0,
2821
+ simulatedSellPrice: 0,
2822
+ simulatedBuyPrice: 0,
2823
+ marginRate: 0,
2824
+ midPrice: 0,
2825
+ emptyBook: 0,
2826
+ settleHighPrice: 0,
2827
+ settleLowPrice: 0,
2828
+ priorSettlePrice: 0,
2829
+ sessionHighBid: 0,
2830
+ sessionLowOffer: 0,
2831
+ earlyPrices: 0,
2832
+ auctionClearingPrice: 0,
2833
+ swapValueFactor: 0,
2834
+ dailyValueAdjustmentForLongPositions: 0,
2835
+ cumulativeValueAdjustmentForLongPositions: 0,
2836
+ dailyValueAdjustmentForShortPositions: 0,
2837
+ cumulativeValueAdjustmentForShortPositions: 0,
2838
+ fixingPrice: 0,
2839
+ cashRate: 0,
2840
+ recoveryRate: 0,
2841
+ recoveryRateForLong: 0,
2842
+ recoveryRateForShort: 0,
2843
+ marketBid: 0,
2844
+ marketOffer: 0,
2845
+ shortSaleMinPrice: 0,
2846
+ previousClosingPrice: 0,
2847
+ thresholdLimitPriceBanding: 0,
2848
+ dailyFinancingValue: 0,
2849
+ accruedFinancingValue: 0,
2850
+ twap: 0
2851
+ };
2852
+ for (const entry of entries) {
2853
+ const entryType = entry.MDEntryType;
2854
+ const price = entry.MDEntryPx ? Number.parseFloat(entry.MDEntryPx) : 0;
2855
+ const size = entry.MDEntrySize ? Number.parseFloat(entry.MDEntrySize) : 0;
2856
+ const enumValue = getEnumValue(MDEntryType2, entryType);
2857
+ switch (enumValue) {
2858
+ case MDEntryType2.Bid:
2859
+ data.bid = price;
2860
+ break;
2861
+ case MDEntryType2.Offer:
2862
+ data.offer = price;
2863
+ break;
2864
+ case MDEntryType2.Trade:
2865
+ data.trade = price;
2866
+ break;
2867
+ case MDEntryType2.IndexValue:
2868
+ data.indexValue = price;
2869
+ break;
2870
+ case MDEntryType2.OpeningPrice:
2871
+ data.openingPrice = price;
2872
+ break;
2873
+ case MDEntryType2.ClosingPrice:
2874
+ data.closingPrice = price;
2875
+ break;
2876
+ case MDEntryType2.SettlementPrice:
2877
+ data.settlementPrice = price;
2878
+ break;
2879
+ case MDEntryType2.TradingSessionHighPrice:
2880
+ data.tradingSessionHighPrice = price;
2881
+ break;
2882
+ case MDEntryType2.TradingSessionLowPrice:
2883
+ data.tradingSessionLowPrice = price;
2884
+ break;
2885
+ case MDEntryType2.VWAP:
2886
+ data.vwap = price;
2887
+ break;
2888
+ case MDEntryType2.Imbalance:
2889
+ data.imbalance = size;
2890
+ break;
2891
+ case MDEntryType2.TradeVolume:
2892
+ data.volume = size;
2893
+ break;
2894
+ case MDEntryType2.OpenInterest:
2895
+ data.openInterest = size;
2896
+ break;
2897
+ case MDEntryType2.CompositeUnderlyingPrice:
2898
+ data.compositeUnderlyingPrice = price;
2899
+ break;
2900
+ case MDEntryType2.SimulatedSellPrice:
2901
+ data.simulatedSellPrice = price;
2902
+ break;
2903
+ case MDEntryType2.SimulatedBuyPrice:
2904
+ data.simulatedBuyPrice = price;
2905
+ break;
2906
+ case MDEntryType2.MarginRate:
2907
+ data.marginRate = price;
2908
+ break;
2909
+ case MDEntryType2.MidPrice:
2910
+ data.midPrice = price;
2911
+ break;
2912
+ case MDEntryType2.EmptyBook:
2913
+ data.emptyBook = 1;
2914
+ break;
2915
+ case MDEntryType2.SettleHighPrice:
2916
+ data.settleHighPrice = price;
2917
+ break;
2918
+ case MDEntryType2.SettleLowPrice:
2919
+ data.settleLowPrice = price;
2920
+ break;
2921
+ case MDEntryType2.PriorSettlePrice:
2922
+ data.priorSettlePrice = price;
2923
+ break;
2924
+ case MDEntryType2.SessionHighBid:
2925
+ data.sessionHighBid = price;
2926
+ break;
2927
+ case MDEntryType2.SessionLowOffer:
2928
+ data.sessionLowOffer = price;
2929
+ break;
2930
+ case MDEntryType2.EarlyPrices:
2931
+ data.earlyPrices = price;
2932
+ break;
2933
+ case MDEntryType2.AuctionClearingPrice:
2934
+ data.auctionClearingPrice = price;
2935
+ break;
2936
+ case MDEntryType2.SwapValueFactor:
2937
+ data.swapValueFactor = price;
2938
+ break;
2939
+ case MDEntryType2.DailyValueAdjustmentForLongPositions:
2940
+ data.dailyValueAdjustmentForLongPositions = price;
2941
+ break;
2942
+ case MDEntryType2.CumulativeValueAdjustmentForLongPositions:
2943
+ data.cumulativeValueAdjustmentForLongPositions = price;
2944
+ break;
2945
+ case MDEntryType2.DailyValueAdjustmentForShortPositions:
2946
+ data.dailyValueAdjustmentForShortPositions = price;
2947
+ break;
2948
+ case MDEntryType2.CumulativeValueAdjustmentForShortPositions:
2949
+ data.cumulativeValueAdjustmentForShortPositions = price;
2950
+ break;
2951
+ case MDEntryType2.FixingPrice:
2952
+ data.fixingPrice = price;
2953
+ break;
2954
+ case MDEntryType2.CashRate:
2955
+ data.cashRate = price;
2956
+ break;
2957
+ case MDEntryType2.RecoveryRate:
2958
+ data.recoveryRate = price;
2959
+ break;
2960
+ case MDEntryType2.RecoveryRateForLong:
2961
+ data.recoveryRateForLong = price;
2962
+ break;
2963
+ case MDEntryType2.RecoveryRateForShort:
2964
+ data.recoveryRateForShort = price;
2965
+ break;
2966
+ case MDEntryType2.MarketBid:
2967
+ data.marketBid = price;
2968
+ break;
2969
+ case MDEntryType2.MarketOffer:
2970
+ data.marketOffer = price;
2971
+ break;
2972
+ case MDEntryType2.ShortSaleMinPrice:
2973
+ data.shortSaleMinPrice = price;
2974
+ break;
2975
+ case MDEntryType2.PreviousClosingPrice:
2976
+ data.previousClosingPrice = price;
2977
+ break;
2978
+ case MDEntryType2.ThresholdLimitPriceBanding:
2979
+ data.thresholdLimitPriceBanding = price;
2980
+ break;
2981
+ case MDEntryType2.DailyFinancingValue:
2982
+ data.dailyFinancingValue = price;
2983
+ break;
2984
+ case MDEntryType2.AccruedFinancingValue:
2985
+ data.accruedFinancingValue = price;
2986
+ break;
2987
+ case MDEntryType2.TWAP:
2988
+ data.twap = price;
2989
+ break;
2990
+ }
2991
+ }
2992
+ data.spread = data.offer - data.bid;
2993
+ if (!marketDataPrices.has(symbol)) {
2994
+ marketDataPrices.set(symbol, []);
2995
+ }
2996
+ const prices = marketDataPrices.get(symbol);
2997
+ prices.push(data);
2998
+ if (prices.length > maxPriceHistory) {
2999
+ prices.splice(0, prices.length - maxPriceHistory);
3000
+ }
3001
+ onPriceUpdate?.(symbol, data);
3002
+ const mdReqID = message.getField(Fields3.MDReqID)?.value;
3003
+ if (mdReqID) {
3004
+ const callback = pendingRequests.get(mdReqID);
3005
+ if (callback) {
3006
+ callback(message);
3007
+ pendingRequests.delete(mdReqID);
3008
+ }
3009
+ }
3010
+ } else if (msgType === Messages3.ExecutionReport) {
3011
+ const reqId = message.getField(Fields3.ClOrdID)?.value;
3012
+ const callback = pendingRequests.get(reqId);
3013
+ if (callback) {
3014
+ callback(message);
3015
+ pendingRequests.delete(reqId);
3016
+ }
3017
+ }
3018
+ }
3019
+
3020
+ // src/MCPLocal.ts
3021
+ var MCPLocal = class extends MCPBase {
3022
+ /**
3023
+ * Map to store verified orders before execution
3024
+ * @private
3025
+ */
3026
+ verifiedOrders = /* @__PURE__ */ new Map();
3027
+ /**
3028
+ * Map to store pending requests and their callbacks
3029
+ * @private
3030
+ */
3031
+ pendingRequests = /* @__PURE__ */ new Map();
3032
+ /**
3033
+ * Map to store market data prices for each symbol
3034
+ * @private
3035
+ */
3036
+ marketDataPrices = /* @__PURE__ */ new Map();
3037
+ /**
3038
+ * Maximum number of price history entries to keep per symbol
3039
+ * @private
3040
+ */
3041
+ MAX_PRICE_HISTORY = 1e5;
178
3042
  server = new Server(
179
3043
  {
180
3044
  name: "fixparser",
@@ -182,43 +3046,27 @@ var MCPLocal = class {
182
3046
  },
183
3047
  {
184
3048
  capabilities: {
185
- tools: {},
186
- prompts: {},
187
- resources: {}
3049
+ tools: Object.entries(toolSchemas).reduce(
3050
+ (acc, [name, { description, schema }]) => {
3051
+ acc[name] = {
3052
+ description,
3053
+ parameters: schema
3054
+ };
3055
+ return acc;
3056
+ },
3057
+ {}
3058
+ )
188
3059
  }
189
3060
  }
190
3061
  );
191
3062
  transport = new StdioServerTransport();
192
- onReady = void 0;
193
- pendingRequests = /* @__PURE__ */ new Map();
194
- verifiedOrders = /* @__PURE__ */ new Map();
195
3063
  constructor({ logger, onReady }) {
196
- if (onReady) this.onReady = onReady;
3064
+ super({ logger, onReady });
197
3065
  }
198
3066
  async register(parser) {
199
3067
  this.parser = parser;
200
3068
  this.parser.addOnMessageCallback((message) => {
201
- const msgType = message.messageType;
202
- if (msgType === Messages.MarketDataSnapshotFullRefresh || msgType === Messages.ExecutionReport || msgType === Messages.Reject) {
203
- let id;
204
- if (msgType === Messages.MarketDataSnapshotFullRefresh) {
205
- const mdReqID = message.getField(Fields.MDReqID);
206
- if (mdReqID) id = String(mdReqID.value);
207
- } else if (msgType === Messages.ExecutionReport) {
208
- const clOrdID = message.getField(Fields.ClOrdID);
209
- if (clOrdID) id = String(clOrdID.value);
210
- } else if (msgType === Messages.Reject) {
211
- const refSeqNum = message.getField(Fields.RefSeqNum);
212
- if (refSeqNum) id = String(refSeqNum.value);
213
- }
214
- if (id) {
215
- const callback = this.pendingRequests.get(id);
216
- if (callback) {
217
- callback(message);
218
- this.pendingRequests.delete(id);
219
- }
220
- }
221
- }
3069
+ handleMessage(message, this.parser, this.pendingRequests, this.marketDataPrices, this.MAX_PRICE_HISTORY);
222
3070
  });
223
3071
  this.addWorkflows();
224
3072
  await this.server.connect(this.transport);
@@ -233,606 +3081,54 @@ var MCPLocal = class {
233
3081
  if (!this.server) {
234
3082
  return;
235
3083
  }
236
- const validateArgs = (args, schema) => {
237
- const result = {};
238
- for (const [key, propSchema] of Object.entries(schema.properties || {})) {
239
- const prop = propSchema;
240
- const value = args?.[key];
241
- if (prop.required && (value === void 0 || value === null)) {
242
- throw new Error(`Required property '${key}' is missing`);
243
- }
244
- if (value !== void 0) {
245
- result[key] = value;
246
- } else if (prop.default !== void 0) {
247
- result[key] = prop.default;
248
- }
249
- }
250
- return result;
251
- };
252
- this.server.setRequestHandler(ListResourcesRequestSchema, async () => {
253
- return {
254
- resources: []
255
- };
256
- });
257
- this.server.setRequestHandler(ListToolsRequestSchema, async () => {
258
- return {
259
- tools: [
260
- {
261
- name: "parse",
262
- description: "Parses a FIX message and describes it in plain language",
263
- inputSchema: parseInputSchema
264
- },
265
- {
266
- name: "parseToJSON",
267
- description: "Parses a FIX message into JSON",
268
- inputSchema: parseToJSONInputSchema
269
- },
270
- {
271
- name: "verifyOrder",
272
- description: "Verifies all parameters for a New Order Single. This is the first step - verification only, no order is sent.",
273
- inputSchema: orderSchema
274
- },
275
- {
276
- name: "executeOrder",
277
- description: "Executes a New Order Single after verification. This is the second step - only call after successful verification.",
278
- inputSchema: orderSchema
279
- },
280
- {
281
- name: "marketDataRequest",
282
- description: "Sends a request for Market Data with the given symbol. IMPORTANT: All parameters must be explicitly provided by the user - no assumptions will be made.",
283
- inputSchema: marketDataRequestInputSchema
284
- }
285
- ]
286
- };
287
- });
288
- this.server.setRequestHandler(CallToolRequestSchema, async (request) => {
289
- const { name, arguments: args } = request.params;
290
- switch (name) {
291
- case "parse": {
292
- try {
293
- const { fixString } = validateArgs(args, parseInputSchema);
294
- const parsedMessage = this.parser?.parse(fixString);
295
- if (!parsedMessage || parsedMessage.length === 0) {
296
- return {
297
- isError: true,
298
- content: [{ type: "text", text: "Error: Failed to parse FIX string" }]
299
- };
300
- }
301
- return {
302
- content: [
303
- {
304
- type: "text",
305
- text: `${parsedMessage[0].description}
306
- ${parsedMessage[0].messageTypeDescription}`
307
- }
308
- ]
309
- };
310
- } catch (error) {
311
- return {
312
- isError: true,
313
- content: [
314
- {
315
- type: "text",
316
- text: `Error: ${error instanceof Error ? error.message : "Failed to parse FIX string"}`
317
- }
318
- ]
319
- };
320
- }
321
- }
322
- case "parseToJSON": {
323
- try {
324
- const { fixString } = validateArgs(args, parseToJSONInputSchema);
325
- const parsedMessage = this.parser?.parse(fixString);
326
- if (!parsedMessage || parsedMessage.length === 0) {
327
- return {
328
- isError: true,
329
- content: [{ type: "text", text: "Error: Failed to parse FIX string" }]
330
- };
331
- }
332
- return {
333
- content: [
334
- {
335
- type: "text",
336
- text: `${parsedMessage[0].toFIXJSON()}`
337
- }
338
- ]
339
- };
340
- } catch (error) {
341
- return {
342
- isError: true,
343
- content: [
344
- {
345
- type: "text",
346
- text: `Error: ${error instanceof Error ? error.message : "Failed to parse FIX string"}`
347
- }
348
- ]
349
- };
350
- }
351
- }
352
- case "verifyOrder": {
353
- try {
354
- const { clOrdID, handlInst, quantity, price, ordType, side, symbol, timeInForce } = validateArgs(args, orderSchema);
355
- this.verifiedOrders.set(clOrdID, {
356
- clOrdID,
357
- handlInst,
358
- quantity,
359
- price,
360
- ordType,
361
- side,
362
- symbol,
363
- timeInForce
364
- });
365
- return {
366
- content: [
367
- {
368
- type: "text",
369
- text: `VERIFICATION: All parameters valid. Ready to proceed with order execution.
370
-
371
- Parameters verified:
372
- - ClOrdID: ${clOrdID}
373
- - HandlInst: ${handlInst}
374
- - Quantity: ${quantity}
375
- - Price: ${price}
376
- - OrdType: ${ordType}
377
- - Side: ${side}
378
- - Symbol: ${symbol}
379
- - TimeInForce: ${timeInForce}
380
-
381
- To execute this order, call the executeOrder tool with these exact same parameters.`
382
- }
383
- ]
384
- };
385
- } catch (error) {
386
- return {
387
- isError: true,
388
- content: [
389
- {
390
- type: "text",
391
- text: `Error: ${error instanceof Error ? error.message : "Failed to verify order parameters"}`
392
- }
393
- ]
394
- };
395
- }
396
- }
397
- case "executeOrder": {
398
- try {
399
- const { clOrdID, handlInst, quantity, price, ordType, side, symbol, timeInForce } = validateArgs(args, orderSchema);
400
- const verifiedOrder = this.verifiedOrders.get(clOrdID);
401
- if (!verifiedOrder) {
402
- return {
403
- isError: true,
404
- content: [
405
- {
406
- type: "text",
407
- text: `Error: Order ${clOrdID} has not been verified. Please call verifyOrder first.`
408
- }
409
- ]
410
- };
411
- }
412
- if (verifiedOrder.handlInst !== handlInst || verifiedOrder.quantity !== quantity || verifiedOrder.price !== price || verifiedOrder.ordType !== ordType || verifiedOrder.side !== side || verifiedOrder.symbol !== symbol || verifiedOrder.timeInForce !== timeInForce) {
413
- return {
414
- isError: true,
415
- content: [
416
- {
417
- type: "text",
418
- text: "Error: Order parameters do not match the verified order. Please use the exact same parameters that were verified."
419
- }
420
- ]
421
- };
422
- }
423
- const response = new Promise((resolve) => {
424
- this.pendingRequests.set(clOrdID, resolve);
425
- });
426
- const order = this.parser?.createMessage(
427
- new Field(Fields.MsgType, Messages.NewOrderSingle),
428
- new Field(Fields.MsgSeqNum, this.parser?.getNextTargetMsgSeqNum()),
429
- new Field(Fields.SenderCompID, this.parser?.sender),
430
- new Field(Fields.TargetCompID, this.parser?.target),
431
- new Field(Fields.SendingTime, this.parser?.getTimestamp()),
432
- new Field(Fields.ClOrdID, clOrdID),
433
- new Field(Fields.Side, side),
434
- new Field(Fields.Symbol, symbol),
435
- new Field(Fields.OrderQty, quantity),
436
- new Field(Fields.Price, price),
437
- new Field(Fields.OrdType, ordType),
438
- new Field(Fields.HandlInst, handlInst),
439
- new Field(Fields.TimeInForce, timeInForce),
440
- new Field(Fields.TransactTime, this.parser?.getTimestamp())
441
- );
442
- if (!this.parser?.connected) {
443
- return {
444
- isError: true,
445
- content: [
446
- {
447
- type: "text",
448
- text: "Error: Not connected. Ignoring message."
449
- }
450
- ]
451
- };
452
- }
453
- this.parser?.send(order);
454
- const fixData = await response;
455
- this.verifiedOrders.delete(clOrdID);
456
- return {
457
- content: [
458
- {
459
- type: "text",
460
- text: fixData.messageType === Messages.Reject ? `Reject message for order ${clOrdID}: ${JSON.stringify(fixData.toFIXJSON())}` : `Execution Report for order ${clOrdID}: ${JSON.stringify(fixData.toFIXJSON())}`
461
- }
462
- ]
463
- };
464
- } catch (error) {
465
- return {
466
- isError: true,
467
- content: [
468
- {
469
- type: "text",
470
- text: `Error: ${error instanceof Error ? error.message : "Failed to execute order"}`
471
- }
472
- ]
473
- };
474
- }
475
- }
476
- case "marketDataRequest": {
477
- try {
478
- const { mdUpdateType, symbol, mdReqID, subscriptionRequestType, mdEntryType } = validateArgs(
479
- args,
480
- marketDataRequestInputSchema
481
- );
482
- const response = new Promise((resolve) => {
483
- this.pendingRequests.set(mdReqID, resolve);
484
- });
485
- const marketDataRequest = this.parser?.createMessage(
486
- new Field(Fields.MsgType, Messages.MarketDataRequest),
487
- new Field(Fields.SenderCompID, this.parser?.sender),
488
- new Field(Fields.MsgSeqNum, this.parser?.getNextTargetMsgSeqNum()),
489
- new Field(Fields.TargetCompID, this.parser?.target),
490
- new Field(Fields.SendingTime, this.parser?.getTimestamp()),
491
- new Field(Fields.MarketDepth, 0),
492
- new Field(Fields.MDUpdateType, mdUpdateType),
493
- new Field(Fields.NoRelatedSym, 1),
494
- new Field(Fields.Symbol, symbol),
495
- new Field(Fields.MDReqID, mdReqID),
496
- new Field(Fields.SubscriptionRequestType, subscriptionRequestType),
497
- new Field(Fields.NoMDEntryTypes, 1),
498
- new Field(Fields.MDEntryType, mdEntryType)
499
- );
500
- if (!this.parser?.connected) {
501
- return {
502
- isError: true,
503
- content: [
504
- {
505
- type: "text",
506
- text: "Error: Not connected. Ignoring message."
507
- }
508
- ]
509
- };
510
- }
511
- this.parser?.send(marketDataRequest);
512
- const fixData = await response;
513
- return {
514
- content: [
515
- {
516
- type: "text",
517
- text: `Market data for ${symbol}: ${JSON.stringify(fixData.toFIXJSON())}`
518
- }
519
- ]
520
- };
521
- } catch (error) {
522
- return {
523
- isError: true,
524
- content: [
525
- {
526
- type: "text",
527
- text: `Error: ${error instanceof Error ? error.message : "Failed to request market data"}`
528
- }
529
- ]
530
- };
531
- }
532
- }
533
- default:
534
- throw new Error(`Unknown tool: ${name}`);
535
- }
536
- });
537
- this.server.setRequestHandler(ListPromptsRequestSchema, async () => {
3084
+ this.server.setRequestHandler(z.object({ method: z.literal("tools/list") }), async () => {
538
3085
  return {
539
- prompts: [
540
- {
541
- name: "parse",
542
- description: "Parses a FIX message and describes it in plain language",
543
- arguments: [
544
- {
545
- name: "fixString",
546
- description: "FIX message string to parse",
547
- required: true
548
- }
549
- ]
550
- },
551
- {
552
- name: "parseToJSON",
553
- description: "Parses a FIX message into JSON",
554
- arguments: [
555
- {
556
- name: "fixString",
557
- description: "FIX message string to parse",
558
- required: true
559
- }
560
- ]
561
- },
562
- {
563
- name: "verifyOrder",
564
- description: "Verifies all parameters for a New Order Single. This is the first step - verification only, no order is sent.",
565
- arguments: [
566
- {
567
- name: "clOrdID",
568
- description: "Client Order ID",
569
- required: true
570
- },
571
- {
572
- name: "handlInst",
573
- description: "Handling instruction (1=Manual, 2=Automated, 3=AutomatedNoIntervention)",
574
- required: true
575
- },
576
- {
577
- name: "quantity",
578
- description: "Order quantity",
579
- required: true
580
- },
581
- {
582
- name: "price",
583
- description: "Order price",
584
- required: true
585
- },
586
- {
587
- name: "ordType",
588
- description: "Order type (1=Market, 2=Limit, 3=Stop)",
589
- required: true
590
- },
591
- {
592
- name: "side",
593
- description: "Order side (1=Buy, 2=Sell, 3=BuyMinus, 4=SellPlus, 5=SellShort, 6=SellShortExempt, 7=Undisclosed, 8=Cross, 9=CrossShort, A=CrossShortExempt, B=AsDefined, C=Opposite, D=Subscribe, E=Redeem, F=Lend, G=Borrow, H=SellUndisclosed)",
594
- required: true
595
- },
596
- {
597
- name: "symbol",
598
- description: "Trading symbol",
599
- required: true
600
- },
601
- {
602
- name: "timeInForce",
603
- description: "Time in force (0=Day, 1=Good Till Cancel, 2=At Opening, 3=Immediate or Cancel, 4=Fill or Kill, 5=Good Till Crossing, 6=Good Till Date)",
604
- required: true
605
- }
606
- ]
607
- },
608
- {
609
- name: "executeOrder",
610
- description: "Executes a New Order Single after verification. This is the second step - only call after successful verification.",
611
- arguments: [
612
- {
613
- name: "clOrdID",
614
- description: "Client Order ID",
615
- required: true
616
- },
617
- {
618
- name: "handlInst",
619
- description: "Handling instruction (1=Manual, 2=Automated, 3=AutomatedNoIntervention)",
620
- required: true
621
- },
622
- {
623
- name: "quantity",
624
- description: "Order quantity",
625
- required: true
626
- },
627
- {
628
- name: "price",
629
- description: "Order price",
630
- required: true
631
- },
632
- {
633
- name: "ordType",
634
- description: "Order type (1=Market, 2=Limit, 3=Stop)",
635
- required: true
636
- },
637
- {
638
- name: "side",
639
- description: "Order side (1=Buy, 2=Sell, 3=BuyMinus, 4=SellPlus, 5=SellShort, 6=SellShortExempt, 7=Undisclosed, 8=Cross, 9=CrossShort, A=CrossShortExempt, B=AsDefined, C=Opposite, D=Subscribe, E=Redeem, F=Lend, G=Borrow, H=SellUndisclosed)",
640
- required: true
641
- },
642
- {
643
- name: "symbol",
644
- description: "Trading symbol",
645
- required: true
646
- },
647
- {
648
- name: "timeInForce",
649
- description: "Time in force (0=Day, 1=Good Till Cancel, 2=At Opening, 3=Immediate or Cancel, 4=Fill or Kill, 5=Good Till Crossing, 6=Good Till Date)",
650
- required: true
651
- }
652
- ]
653
- },
654
- {
655
- name: "marketDataRequest",
656
- description: "Sends a request for Market Data with the given symbol. IMPORTANT: All parameters must be explicitly provided by the user - no assumptions will be made.",
657
- arguments: [
658
- {
659
- name: "mdUpdateType",
660
- description: "Market data update type (0=FullRefresh, 1=IncrementalRefresh)",
661
- required: true
662
- },
663
- {
664
- name: "symbol",
665
- description: "Trading symbol",
666
- required: true
667
- },
668
- {
669
- name: "mdReqID",
670
- description: "Market data request ID",
671
- required: true
672
- },
673
- {
674
- name: "subscriptionRequestType",
675
- description: "Subscription request type (0=Snapshot + Updates, 1=Snapshot, 2=Unsubscribe)",
676
- required: true
677
- },
678
- {
679
- name: "mdEntryType",
680
- description: "Market data entry type (0=Bid, 1=Offer, 2=Trade, 3=Index Value, 4=Opening Price)",
681
- required: true
682
- }
683
- ]
684
- }
685
- ]
3086
+ tools: Object.entries(toolSchemas).map(([name, { description, schema }]) => ({
3087
+ name,
3088
+ description,
3089
+ inputSchema: schema
3090
+ }))
686
3091
  };
687
3092
  });
688
- this.server.setRequestHandler(GetPromptRequestSchema, async (request) => {
689
- const { name, arguments: args } = request.params;
690
- switch (name) {
691
- case "parse": {
692
- const fixString = args?.fixString || "";
693
- return {
694
- messages: [
695
- {
696
- role: "user",
697
- content: {
698
- type: "text",
699
- text: `Please parse and explain this FIX message: ${fixString}`
700
- }
701
- }
702
- ]
703
- };
704
- }
705
- case "parseToJSON": {
706
- const fixString = args?.fixString || "";
707
- return {
708
- messages: [
709
- {
710
- role: "user",
711
- content: {
712
- type: "text",
713
- text: `Please parse the FIX message to JSON: ${fixString}`
714
- }
715
- }
716
- ]
717
- };
718
- }
719
- case "verifyOrder": {
720
- const { clOrdID, handlInst, quantity, price, ordType, side, symbol, timeInForce } = args || {};
721
- return {
722
- messages: [
723
- {
724
- role: "user",
725
- content: {
726
- type: "text",
727
- text: [
728
- "You are an AI assistant that helps users verify FIX New Order Single parameters.",
729
- "This is STEP 1 of 2 - VERIFICATION ONLY. No order will be sent at this stage.",
730
- "",
731
- "You must verify that all required fields are provided and valid:",
732
- "- ClOrdID (Client Order ID)",
733
- "- HandlInst (1=Manual, 2=Automated, 3=AutomatedNoIntervention)",
734
- "- Quantity (Order quantity)",
735
- "- Price (Order price)",
736
- "- OrdType (1=Market, 2=Limit, 3=Stop)",
737
- "- Side (1=Buy, 2=Sell, 3=BuyMinus, 4=SellPlus, 5=SellShort, 6=SellShortExempt, 7=Undisclosed, 8=Cross, 9=CrossShort, A=CrossShortExempt, B=AsDefined, C=Opposite, D=Subscribe, E=Redeem, F=Lend, G=Borrow, H=SellUndisclosed)",
738
- "- Symbol (Trading symbol)",
739
- "- TimeInForce (0=Day, 1=Good Till Cancel, 2=At Opening, 3=Immediate or Cancel, 4=Fill or Kill, 5=Good Till Crossing, 6=Good Till Date)",
740
- "",
741
- "Current parameters to verify:",
742
- `- ClOrdID: ${clOrdID}`,
743
- `- HandlInst: ${handlInst}`,
744
- `- Quantity: ${quantity}`,
745
- `- Price: ${price}`,
746
- `- OrdType: ${ordType}`,
747
- `- Side: ${side}`,
748
- `- Symbol: ${symbol}`,
749
- `- TimeInForce: ${timeInForce}`,
750
- "",
751
- "If all parameters are valid, respond with:",
752
- "`VERIFICATION: All parameters valid. Ready to proceed.`",
753
- "",
754
- "Otherwise, list the missing or invalid ones.",
755
- "",
756
- "IMPORTANT: This is only verification. To actually send the order, the user must call the executeOrder tool with the same parameters."
757
- ].join("\n")
758
- }
759
- }
760
- ]
761
- };
762
- }
763
- case "executeOrder": {
764
- const { clOrdID, handlInst, quantity, price, ordType, side, symbol, timeInForce } = args || {};
3093
+ this.server.setRequestHandler(
3094
+ z.object({
3095
+ method: z.literal("tools/call"),
3096
+ params: z.object({
3097
+ name: z.string(),
3098
+ arguments: z.any(),
3099
+ _meta: z.object({
3100
+ progressToken: z.number()
3101
+ }).optional()
3102
+ })
3103
+ }),
3104
+ async (request) => {
3105
+ const { name, arguments: args } = request.params;
3106
+ const toolHandlers = createToolHandlers(
3107
+ this.parser,
3108
+ this.verifiedOrders,
3109
+ this.pendingRequests,
3110
+ this.marketDataPrices
3111
+ );
3112
+ const handler = toolHandlers[name];
3113
+ if (!handler) {
765
3114
  return {
766
- messages: [
3115
+ content: [
767
3116
  {
768
- role: "user",
769
- content: {
770
- type: "text",
771
- text: [
772
- "You are an AI assistant that helps users execute FIX New Order Single messages.",
773
- "This is STEP 2 of 2 - EXECUTION. This will send the order to the market.",
774
- "",
775
- "IMPORTANT: This tool should only be called after successful verification of all parameters.",
776
- "",
777
- "Parameters to execute:",
778
- `- ClOrdID: ${clOrdID}`,
779
- `- HandlInst: ${handlInst}`,
780
- `- Quantity: ${quantity}`,
781
- `- Price: ${price}`,
782
- `- OrdType: ${ordType}`,
783
- `- Side: ${side}`,
784
- `- Symbol: ${symbol}`,
785
- `- TimeInForce: ${timeInForce}`,
786
- "",
787
- "IMPORTANT: The response will be either:",
788
- "1. An Execution Report (MsgType=8) if the order was successfully placed",
789
- "2. A Reject message (MsgType=3) if the order failed to execute (e.g., due to missing or invalid parameters)"
790
- ].join("\n")
791
- }
3117
+ type: "text",
3118
+ text: `Tool not found: ${name}`,
3119
+ uri: name
792
3120
  }
793
- ]
794
- };
795
- }
796
- case "marketDataRequest": {
797
- const { mdUpdateType, symbol, mdReqID, subscriptionRequestType, mdEntryType } = args || {};
798
- return {
799
- messages: [
800
- {
801
- role: "user",
802
- content: {
803
- type: "text",
804
- text: [
805
- "You are an AI assistant that helps users create FIX Market Data Request messages.",
806
- "You must **first verify** that all required fields are provided:",
807
- "- MDUpdateType (0=FullRefresh, 1=IncrementalRefresh)",
808
- "- Symbol (Trading symbol)",
809
- "- MDReqID (Market data request ID)",
810
- "- SubscriptionRequestType (0=Snapshot + Updates, 1=Snapshot, 2=Unsubscribe)",
811
- "- MDEntryType (0=Bid, 1=Offer, 2=Trade, 3=Index Value, 4=Opening Price)",
812
- "",
813
- "Only when all fields are present and valid, respond with:",
814
- "`VERIFICATION: All parameters valid. Ready to proceed.`",
815
- "",
816
- "Otherwise, list the missing or invalid ones.",
817
- "",
818
- "Do not create the FIX message until verification is complete.",
819
- "",
820
- "Current parameters:",
821
- `- MDUpdateType: ${mdUpdateType}`,
822
- `- Symbol: ${symbol}`,
823
- `- MDReqID: ${mdReqID}`,
824
- `- SubscriptionRequestType: ${subscriptionRequestType}`,
825
- `- MDEntryType: ${mdEntryType}`
826
- ].join("\n")
827
- }
828
- }
829
- ]
3121
+ ],
3122
+ isError: true
830
3123
  };
831
3124
  }
832
- default:
833
- throw new Error(`Unknown prompt: ${name}`);
3125
+ const result = await handler(args);
3126
+ return {
3127
+ content: result.content,
3128
+ isError: result.isError
3129
+ };
834
3130
  }
835
- });
3131
+ );
836
3132
  process.on("SIGINT", async () => {
837
3133
  await this.server.close();
838
3134
  process.exit(0);