fixparser-plugin-mcp 9.1.7-71fc8a2b → 9.1.7-74db6dbc
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- package/build/cjs/MCPLocal.js +2446 -1804
- package/build/cjs/MCPLocal.js.map +4 -4
- package/build/cjs/MCPRemote.js +2600 -436
- package/build/cjs/MCPRemote.js.map +4 -4
- package/build/cjs/index.js +2898 -0
- package/build/cjs/index.js.map +7 -0
- package/build/esm/MCPLocal.mjs +2433 -1816
- package/build/esm/MCPLocal.mjs.map +4 -4
- package/build/esm/MCPRemote.mjs +2591 -446
- package/build/esm/MCPRemote.mjs.map +4 -4
- package/build/esm/index.mjs +2860 -0
- package/build/esm/index.mjs.map +7 -0
- package/build-examples/cjs/example_mcp_local.js +16 -7
- package/build-examples/cjs/example_mcp_local.js.map +4 -4
- package/build-examples/cjs/example_mcp_remote.js +18 -0
- package/build-examples/cjs/example_mcp_remote.js.map +7 -0
- package/build-examples/esm/example_mcp_local.mjs +16 -7
- package/build-examples/esm/example_mcp_local.mjs.map +4 -4
- package/build-examples/esm/example_mcp_remote.mjs +18 -0
- package/build-examples/esm/example_mcp_remote.mjs.map +7 -0
- package/package.json +17 -16
- package/types/MCPLocal.d.ts +0 -14
- package/types/MCPRemote.d.ts +0 -60
- package/types/PluginOptions.d.ts +0 -6
- package/types/index.d.ts +0 -3
package/build/esm/MCPLocal.mjs
CHANGED
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@@ -1,1285 +1,2494 @@
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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 { z } from "zod";
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//
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var
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seen: new Map(Object.entries(_options.definitions).map(([name, def]) => [
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def._def,
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{
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def: def._def,
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path: [..._options.basePath, _options.definitionPath, name],
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// Resolution of references will be forced even though seen, so it's ok that the schema is undefined here for now.
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jsonSchema: void 0
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}
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]))
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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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"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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"H",
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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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],
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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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"N",
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"O",
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"P",
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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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getStockPriceHistory: {
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schema: {
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properties: {
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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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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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required: ["symbol"]
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// ../../node_modules/zod-to-json-schema/dist/esm/selectParser.js
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import { ZodFirstPartyTypeKind as ZodFirstPartyTypeKind3 } from "zod";
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};
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//
|
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function
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return
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// src/tools/analytics.ts
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function sum(numbers) {
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|
|
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currentPath: [...refs.currentPath, "items"]
|
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});
|
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var TechnicalAnalyzer = class {
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prices;
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volumes;
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highs;
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lows;
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constructor(data) {
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this.prices = data.map((d) => d.trade > 0 ? d.trade : d.midPrice);
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this.volumes = data.map((d) => d.volume);
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this.highs = data.map((d) => d.tradingSessionHighPrice > 0 ? d.tradingSessionHighPrice : d.trade);
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|
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this.lows = data.map((d) => d.tradingSessionLowPrice > 0 ? d.tradingSessionLowPrice : d.trade);
|
|
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306
|
}
|
|
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|
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|
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|
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|
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// Calculate Simple Moving Average
|
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|
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calculateSMA(data, period) {
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const sma = [];
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|
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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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|
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sma.push(sum2 / period);
|
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}
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|
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return sma;
|
|
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315
|
}
|
|
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|
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|
|
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|
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|
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|
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// Calculate Exponential Moving Average
|
|
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|
+
calculateEMA(data, period) {
|
|
318
|
+
const multiplier = 2 / (period + 1);
|
|
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|
+
const ema = [data[0]];
|
|
320
|
+
for (let i = 1; i < data.length; i++) {
|
|
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|
+
ema.push(data[i] * multiplier + ema[i - 1] * (1 - multiplier));
|
|
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|
+
}
|
|
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|
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return ema;
|
|
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324
|
}
|
|
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|
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|
|
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|
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|
|
110
|
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|
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|
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// Calculate RSI
|
|
326
|
+
calculateRSI(data, period = 14) {
|
|
327
|
+
if (data.length < period + 1) return [];
|
|
328
|
+
const changes = [];
|
|
329
|
+
for (let i = 1; i < data.length; i++) {
|
|
330
|
+
changes.push(data[i] - data[i - 1]);
|
|
331
|
+
}
|
|
332
|
+
const gains = changes.map((change) => change > 0 ? change : 0);
|
|
333
|
+
const losses = changes.map((change) => change < 0 ? Math.abs(change) : 0);
|
|
334
|
+
let avgGain = gains.slice(0, period).reduce((a, b) => a + b, 0) / period;
|
|
335
|
+
let avgLoss = losses.slice(0, period).reduce((a, b) => a + b, 0) / period;
|
|
336
|
+
const rsi = [];
|
|
337
|
+
for (let i = period; i < changes.length; i++) {
|
|
338
|
+
const rs = avgGain / avgLoss;
|
|
339
|
+
rsi.push(100 - 100 / (1 + rs));
|
|
340
|
+
avgGain = (avgGain * (period - 1) + gains[i]) / period;
|
|
341
|
+
avgLoss = (avgLoss * (period - 1) + losses[i]) / period;
|
|
342
|
+
}
|
|
343
|
+
return rsi;
|
|
111
344
|
}
|
|
112
|
-
|
|
113
|
-
|
|
114
|
-
|
|
115
|
-
|
|
116
|
-
|
|
117
|
-
|
|
118
|
-
|
|
119
|
-
|
|
120
|
-
|
|
121
|
-
|
|
122
|
-
|
|
123
|
-
|
|
124
|
-
|
|
125
|
-
|
|
126
|
-
|
|
127
|
-
|
|
128
|
-
|
|
129
|
-
|
|
130
|
-
|
|
131
|
-
}
|
|
132
|
-
} else {
|
|
133
|
-
if (!check.inclusive) {
|
|
134
|
-
res.exclusiveMinimum = true;
|
|
135
|
-
}
|
|
136
|
-
setResponseValueAndErrors(res, "minimum", check.value, check.message, refs);
|
|
137
|
-
}
|
|
138
|
-
break;
|
|
139
|
-
case "max":
|
|
140
|
-
if (refs.target === "jsonSchema7") {
|
|
141
|
-
if (check.inclusive) {
|
|
142
|
-
setResponseValueAndErrors(res, "maximum", check.value, check.message, refs);
|
|
143
|
-
} else {
|
|
144
|
-
setResponseValueAndErrors(res, "exclusiveMaximum", check.value, check.message, refs);
|
|
145
|
-
}
|
|
146
|
-
} else {
|
|
147
|
-
if (!check.inclusive) {
|
|
148
|
-
res.exclusiveMaximum = true;
|
|
149
|
-
}
|
|
150
|
-
setResponseValueAndErrors(res, "maximum", check.value, check.message, refs);
|
|
151
|
-
}
|
|
152
|
-
break;
|
|
153
|
-
case "multipleOf":
|
|
154
|
-
setResponseValueAndErrors(res, "multipleOf", check.value, check.message, refs);
|
|
155
|
-
break;
|
|
345
|
+
// Calculate Bollinger Bands
|
|
346
|
+
calculateBollingerBands(data, period = 20, stdDev = 2) {
|
|
347
|
+
if (data.length < period) return [];
|
|
348
|
+
const sma = this.calculateSMA(data, period);
|
|
349
|
+
const bands = [];
|
|
350
|
+
for (let i = 0; i < sma.length; i++) {
|
|
351
|
+
const dataSlice = data.slice(i, i + period);
|
|
352
|
+
const mean = sma[i];
|
|
353
|
+
const variance = dataSlice.reduce((sum2, price) => sum2 + (price - mean) ** 2, 0) / period;
|
|
354
|
+
const standardDeviation = Math.sqrt(variance);
|
|
355
|
+
const upper = mean + standardDeviation * stdDev;
|
|
356
|
+
const lower = mean - standardDeviation * stdDev;
|
|
357
|
+
bands.push({
|
|
358
|
+
upper,
|
|
359
|
+
middle: mean,
|
|
360
|
+
lower,
|
|
361
|
+
bandwidth: (upper - lower) / mean * 100,
|
|
362
|
+
percentB: (data[i] - lower) / (upper - lower) * 100
|
|
363
|
+
});
|
|
156
364
|
}
|
|
365
|
+
return bands;
|
|
157
366
|
}
|
|
158
|
-
|
|
159
|
-
|
|
160
|
-
|
|
161
|
-
|
|
162
|
-
|
|
163
|
-
|
|
164
|
-
|
|
165
|
-
|
|
166
|
-
|
|
167
|
-
|
|
168
|
-
|
|
169
|
-
|
|
170
|
-
|
|
171
|
-
|
|
172
|
-
|
|
173
|
-
// ../../node_modules/zod-to-json-schema/dist/esm/parsers/catch.js
|
|
174
|
-
var parseCatchDef = (def, refs) => {
|
|
175
|
-
return parseDef(def.innerType._def, refs);
|
|
176
|
-
};
|
|
177
|
-
|
|
178
|
-
// ../../node_modules/zod-to-json-schema/dist/esm/parsers/date.js
|
|
179
|
-
function parseDateDef(def, refs, overrideDateStrategy) {
|
|
180
|
-
const strategy = overrideDateStrategy ?? refs.dateStrategy;
|
|
181
|
-
if (Array.isArray(strategy)) {
|
|
182
|
-
return {
|
|
183
|
-
anyOf: strategy.map((item, i) => parseDateDef(def, refs, item))
|
|
184
|
-
};
|
|
367
|
+
// Calculate maximum drawdown
|
|
368
|
+
calculateMaxDrawdown(prices) {
|
|
369
|
+
let maxPrice = prices[0];
|
|
370
|
+
let maxDrawdown = 0;
|
|
371
|
+
for (let i = 1; i < prices.length; i++) {
|
|
372
|
+
if (prices[i] > maxPrice) {
|
|
373
|
+
maxPrice = prices[i];
|
|
374
|
+
}
|
|
375
|
+
const drawdown = (maxPrice - prices[i]) / maxPrice;
|
|
376
|
+
if (drawdown > maxDrawdown) {
|
|
377
|
+
maxDrawdown = drawdown;
|
|
378
|
+
}
|
|
379
|
+
}
|
|
380
|
+
return maxDrawdown;
|
|
185
381
|
}
|
|
186
|
-
|
|
187
|
-
|
|
188
|
-
|
|
189
|
-
|
|
190
|
-
|
|
191
|
-
|
|
192
|
-
|
|
193
|
-
|
|
194
|
-
|
|
195
|
-
|
|
196
|
-
|
|
197
|
-
|
|
198
|
-
|
|
199
|
-
|
|
382
|
+
// Calculate Average True Range (ATR)
|
|
383
|
+
calculateAtr(prices, highs, lows) {
|
|
384
|
+
if (prices.length < 2) return [];
|
|
385
|
+
const trueRanges = [];
|
|
386
|
+
for (let i = 1; i < prices.length; i++) {
|
|
387
|
+
const high = highs[i] || prices[i];
|
|
388
|
+
const low = lows[i] || prices[i];
|
|
389
|
+
const prevClose = prices[i - 1];
|
|
390
|
+
const tr1 = high - low;
|
|
391
|
+
const tr2 = Math.abs(high - prevClose);
|
|
392
|
+
const tr3 = Math.abs(low - prevClose);
|
|
393
|
+
trueRanges.push(Math.max(tr1, tr2, tr3));
|
|
394
|
+
}
|
|
395
|
+
const atr = [];
|
|
396
|
+
if (trueRanges.length >= 14) {
|
|
397
|
+
let sum2 = trueRanges.slice(0, 14).reduce((a, b) => a + b, 0);
|
|
398
|
+
atr.push(sum2 / 14);
|
|
399
|
+
for (let i = 14; i < trueRanges.length; i++) {
|
|
400
|
+
sum2 = sum2 - trueRanges[i - 14] + trueRanges[i];
|
|
401
|
+
atr.push(sum2 / 14);
|
|
402
|
+
}
|
|
403
|
+
}
|
|
404
|
+
return atr;
|
|
200
405
|
}
|
|
201
|
-
|
|
202
|
-
|
|
203
|
-
|
|
204
|
-
|
|
205
|
-
|
|
206
|
-
|
|
207
|
-
|
|
208
|
-
|
|
406
|
+
// Calculate maximum consecutive losses
|
|
407
|
+
calculateMaxConsecutiveLosses(prices) {
|
|
408
|
+
let maxConsecutive = 0;
|
|
409
|
+
let currentConsecutive = 0;
|
|
410
|
+
for (let i = 1; i < prices.length; i++) {
|
|
411
|
+
if (prices[i] < prices[i - 1]) {
|
|
412
|
+
currentConsecutive++;
|
|
413
|
+
maxConsecutive = Math.max(maxConsecutive, currentConsecutive);
|
|
414
|
+
} else {
|
|
415
|
+
currentConsecutive = 0;
|
|
416
|
+
}
|
|
417
|
+
}
|
|
418
|
+
return maxConsecutive;
|
|
209
419
|
}
|
|
210
|
-
|
|
211
|
-
|
|
212
|
-
|
|
213
|
-
|
|
214
|
-
|
|
215
|
-
|
|
216
|
-
|
|
217
|
-
|
|
218
|
-
|
|
219
|
-
|
|
220
|
-
|
|
221
|
-
break;
|
|
222
|
-
case "max":
|
|
223
|
-
setResponseValueAndErrors(
|
|
224
|
-
res,
|
|
225
|
-
"maximum",
|
|
226
|
-
check.value,
|
|
227
|
-
// This is in milliseconds
|
|
228
|
-
check.message,
|
|
229
|
-
refs
|
|
230
|
-
);
|
|
231
|
-
break;
|
|
420
|
+
// Calculate win rate
|
|
421
|
+
calculateWinRate(prices) {
|
|
422
|
+
let wins = 0;
|
|
423
|
+
let total = 0;
|
|
424
|
+
for (let i = 1; i < prices.length; i++) {
|
|
425
|
+
if (prices[i] !== prices[i - 1]) {
|
|
426
|
+
total++;
|
|
427
|
+
if (prices[i] > prices[i - 1]) {
|
|
428
|
+
wins++;
|
|
429
|
+
}
|
|
430
|
+
}
|
|
232
431
|
}
|
|
432
|
+
return total > 0 ? wins / total : 0;
|
|
233
433
|
}
|
|
234
|
-
|
|
235
|
-
|
|
236
|
-
|
|
237
|
-
|
|
238
|
-
|
|
239
|
-
|
|
240
|
-
|
|
241
|
-
|
|
242
|
-
|
|
243
|
-
|
|
244
|
-
|
|
245
|
-
// ../../node_modules/zod-to-json-schema/dist/esm/parsers/effects.js
|
|
246
|
-
function parseEffectsDef(_def, refs) {
|
|
247
|
-
return refs.effectStrategy === "input" ? parseDef(_def.schema._def, refs) : {};
|
|
248
|
-
}
|
|
249
|
-
|
|
250
|
-
// ../../node_modules/zod-to-json-schema/dist/esm/parsers/enum.js
|
|
251
|
-
function parseEnumDef(def) {
|
|
252
|
-
return {
|
|
253
|
-
type: "string",
|
|
254
|
-
enum: Array.from(def.values)
|
|
255
|
-
};
|
|
256
|
-
}
|
|
257
|
-
|
|
258
|
-
// ../../node_modules/zod-to-json-schema/dist/esm/parsers/intersection.js
|
|
259
|
-
var isJsonSchema7AllOfType = (type) => {
|
|
260
|
-
if ("type" in type && type.type === "string")
|
|
261
|
-
return false;
|
|
262
|
-
return "allOf" in type;
|
|
263
|
-
};
|
|
264
|
-
function parseIntersectionDef(def, refs) {
|
|
265
|
-
const allOf = [
|
|
266
|
-
parseDef(def.left._def, {
|
|
267
|
-
...refs,
|
|
268
|
-
currentPath: [...refs.currentPath, "allOf", "0"]
|
|
269
|
-
}),
|
|
270
|
-
parseDef(def.right._def, {
|
|
271
|
-
...refs,
|
|
272
|
-
currentPath: [...refs.currentPath, "allOf", "1"]
|
|
273
|
-
})
|
|
274
|
-
].filter((x) => !!x);
|
|
275
|
-
let unevaluatedProperties = refs.target === "jsonSchema2019-09" ? { unevaluatedProperties: false } : void 0;
|
|
276
|
-
const mergedAllOf = [];
|
|
277
|
-
allOf.forEach((schema) => {
|
|
278
|
-
if (isJsonSchema7AllOfType(schema)) {
|
|
279
|
-
mergedAllOf.push(...schema.allOf);
|
|
280
|
-
if (schema.unevaluatedProperties === void 0) {
|
|
281
|
-
unevaluatedProperties = void 0;
|
|
434
|
+
// Calculate profit factor
|
|
435
|
+
calculateProfitFactor(prices) {
|
|
436
|
+
let grossProfit = 0;
|
|
437
|
+
let grossLoss = 0;
|
|
438
|
+
for (let i = 1; i < prices.length; i++) {
|
|
439
|
+
const change = prices[i] - prices[i - 1];
|
|
440
|
+
if (change > 0) {
|
|
441
|
+
grossProfit += change;
|
|
442
|
+
} else {
|
|
443
|
+
grossLoss += Math.abs(change);
|
|
282
444
|
}
|
|
283
|
-
}
|
|
284
|
-
|
|
285
|
-
|
|
286
|
-
|
|
287
|
-
|
|
445
|
+
}
|
|
446
|
+
return grossLoss > 0 ? grossProfit / grossLoss : 0;
|
|
447
|
+
}
|
|
448
|
+
// Calculate Weighted Moving Average
|
|
449
|
+
calculateWma(data, period) {
|
|
450
|
+
const wma = [];
|
|
451
|
+
const weights = Array.from({ length: period }, (_, i) => i + 1);
|
|
452
|
+
const weightSum = weights.reduce((a, b) => a + b, 0);
|
|
453
|
+
for (let i = period - 1; i < data.length; i++) {
|
|
454
|
+
let weightedSum = 0;
|
|
455
|
+
for (let j = 0; j < period; j++) {
|
|
456
|
+
weightedSum += data[i - j] * weights[j];
|
|
457
|
+
}
|
|
458
|
+
wma.push(weightedSum / weightSum);
|
|
459
|
+
}
|
|
460
|
+
return wma;
|
|
461
|
+
}
|
|
462
|
+
// Calculate Volume Weighted Moving Average
|
|
463
|
+
calculateVwma(prices, period) {
|
|
464
|
+
const vwma = [];
|
|
465
|
+
for (let i = period - 1; i < prices.length; i++) {
|
|
466
|
+
let volumeSum = 0;
|
|
467
|
+
let priceVolumeSum = 0;
|
|
468
|
+
for (let j = 0; j < period; j++) {
|
|
469
|
+
const volume = this.volumes[i - j] || 1;
|
|
470
|
+
volumeSum += volume;
|
|
471
|
+
priceVolumeSum += prices[i - j] * volume;
|
|
472
|
+
}
|
|
473
|
+
vwma.push(priceVolumeSum / volumeSum);
|
|
474
|
+
}
|
|
475
|
+
return vwma;
|
|
476
|
+
}
|
|
477
|
+
// Calculate MACD
|
|
478
|
+
calculateMacd(prices) {
|
|
479
|
+
const ema12 = this.calculateEMA(prices, 12);
|
|
480
|
+
const ema26 = this.calculateEMA(prices, 26);
|
|
481
|
+
const macd = [];
|
|
482
|
+
for (let i = 0; i < Math.min(ema12.length, ema26.length); i++) {
|
|
483
|
+
const macdLine = ema12[i] - ema26[i];
|
|
484
|
+
macd.push({
|
|
485
|
+
macd: macdLine,
|
|
486
|
+
signal: 0,
|
|
487
|
+
// Would need to calculate signal line
|
|
488
|
+
histogram: 0
|
|
489
|
+
// Would need to calculate histogram
|
|
490
|
+
});
|
|
491
|
+
}
|
|
492
|
+
return macd;
|
|
493
|
+
}
|
|
494
|
+
// Calculate ADX (Average Directional Index)
|
|
495
|
+
calculateAdx(prices, highs, lows) {
|
|
496
|
+
if (prices.length < 14) return [];
|
|
497
|
+
const period = 14;
|
|
498
|
+
const adx = [];
|
|
499
|
+
const trueRanges = [];
|
|
500
|
+
const plusDM = [];
|
|
501
|
+
const minusDM = [];
|
|
502
|
+
trueRanges.push(highs[0] - lows[0]);
|
|
503
|
+
plusDM.push(0);
|
|
504
|
+
minusDM.push(0);
|
|
505
|
+
for (let i = 1; i < prices.length; i++) {
|
|
506
|
+
const high = highs[i] || prices[i];
|
|
507
|
+
const low = lows[i] || prices[i];
|
|
508
|
+
const prevHigh = highs[i - 1] || prices[i - 1];
|
|
509
|
+
const prevLow = lows[i - 1] || prices[i - 1];
|
|
510
|
+
const prevClose = prices[i - 1];
|
|
511
|
+
const tr1 = high - low;
|
|
512
|
+
const tr2 = Math.abs(high - prevClose);
|
|
513
|
+
const tr3 = Math.abs(low - prevClose);
|
|
514
|
+
trueRanges.push(Math.max(tr1, tr2, tr3));
|
|
515
|
+
const upMove = high - prevHigh;
|
|
516
|
+
const downMove = prevLow - low;
|
|
517
|
+
if (upMove > downMove && upMove > 0) {
|
|
518
|
+
plusDM.push(upMove);
|
|
519
|
+
minusDM.push(0);
|
|
520
|
+
} else if (downMove > upMove && downMove > 0) {
|
|
521
|
+
plusDM.push(0);
|
|
522
|
+
minusDM.push(downMove);
|
|
288
523
|
} else {
|
|
289
|
-
|
|
524
|
+
plusDM.push(0);
|
|
525
|
+
minusDM.push(0);
|
|
290
526
|
}
|
|
291
|
-
mergedAllOf.push(nestedSchema);
|
|
292
527
|
}
|
|
293
|
-
|
|
294
|
-
|
|
295
|
-
|
|
296
|
-
|
|
297
|
-
|
|
298
|
-
|
|
299
|
-
|
|
300
|
-
|
|
301
|
-
|
|
302
|
-
|
|
303
|
-
|
|
304
|
-
|
|
305
|
-
|
|
306
|
-
|
|
528
|
+
const smoothedTR = [];
|
|
529
|
+
const smoothedPlusDM = [];
|
|
530
|
+
const smoothedMinusDM = [];
|
|
531
|
+
let sumTR = 0;
|
|
532
|
+
let sumPlusDM = 0;
|
|
533
|
+
let sumMinusDM = 0;
|
|
534
|
+
for (let i = 0; i < period; i++) {
|
|
535
|
+
sumTR += trueRanges[i];
|
|
536
|
+
sumPlusDM += plusDM[i];
|
|
537
|
+
sumMinusDM += minusDM[i];
|
|
538
|
+
}
|
|
539
|
+
smoothedTR.push(sumTR);
|
|
540
|
+
smoothedPlusDM.push(sumPlusDM);
|
|
541
|
+
smoothedMinusDM.push(sumMinusDM);
|
|
542
|
+
for (let i = period; i < trueRanges.length; i++) {
|
|
543
|
+
const newTR = smoothedTR[smoothedTR.length - 1] - smoothedTR[smoothedTR.length - 1] / period + trueRanges[i];
|
|
544
|
+
const newPlusDM = smoothedPlusDM[smoothedPlusDM.length - 1] - smoothedPlusDM[smoothedPlusDM.length - 1] / period + plusDM[i];
|
|
545
|
+
const newMinusDM = smoothedMinusDM[smoothedMinusDM.length - 1] - smoothedMinusDM[smoothedMinusDM.length - 1] / period + minusDM[i];
|
|
546
|
+
smoothedTR.push(newTR);
|
|
547
|
+
smoothedPlusDM.push(newPlusDM);
|
|
548
|
+
smoothedMinusDM.push(newMinusDM);
|
|
549
|
+
}
|
|
550
|
+
const plusDI = [];
|
|
551
|
+
const minusDI = [];
|
|
552
|
+
for (let i = 0; i < smoothedTR.length; i++) {
|
|
553
|
+
plusDI.push(smoothedPlusDM[i] / smoothedTR[i] * 100);
|
|
554
|
+
minusDI.push(smoothedMinusDM[i] / smoothedTR[i] * 100);
|
|
555
|
+
}
|
|
556
|
+
const dx = [];
|
|
557
|
+
for (let i = 0; i < plusDI.length; i++) {
|
|
558
|
+
const diSum = plusDI[i] + minusDI[i];
|
|
559
|
+
const diDiff = Math.abs(plusDI[i] - minusDI[i]);
|
|
560
|
+
dx.push(diSum > 0 ? diDiff / diSum * 100 : 0);
|
|
561
|
+
}
|
|
562
|
+
if (dx.length < period) return [];
|
|
563
|
+
let sumDX = 0;
|
|
564
|
+
for (let i = 0; i < period; i++) {
|
|
565
|
+
sumDX += dx[i];
|
|
566
|
+
}
|
|
567
|
+
adx.push(sumDX / period);
|
|
568
|
+
for (let i = period; i < dx.length; i++) {
|
|
569
|
+
const newADX = adx[adx.length - 1] - adx[adx.length - 1] / period + dx[i];
|
|
570
|
+
adx.push(newADX);
|
|
571
|
+
}
|
|
572
|
+
return adx;
|
|
307
573
|
}
|
|
308
|
-
|
|
309
|
-
|
|
310
|
-
|
|
311
|
-
|
|
312
|
-
|
|
574
|
+
// Calculate DMI (Directional Movement Index)
|
|
575
|
+
calculateDmi(prices, highs, lows) {
|
|
576
|
+
if (prices.length < 14) return [];
|
|
577
|
+
const period = 14;
|
|
578
|
+
const dmi = [];
|
|
579
|
+
const trueRanges = [];
|
|
580
|
+
const plusDM = [];
|
|
581
|
+
const minusDM = [];
|
|
582
|
+
trueRanges.push(highs[0] - lows[0]);
|
|
583
|
+
plusDM.push(0);
|
|
584
|
+
minusDM.push(0);
|
|
585
|
+
for (let i = 1; i < prices.length; i++) {
|
|
586
|
+
const high = highs[i] || prices[i];
|
|
587
|
+
const low = lows[i] || prices[i];
|
|
588
|
+
const prevHigh = highs[i - 1] || prices[i - 1];
|
|
589
|
+
const prevLow = lows[i - 1] || prices[i - 1];
|
|
590
|
+
const prevClose = prices[i - 1];
|
|
591
|
+
const tr1 = high - low;
|
|
592
|
+
const tr2 = Math.abs(high - prevClose);
|
|
593
|
+
const tr3 = Math.abs(low - prevClose);
|
|
594
|
+
trueRanges.push(Math.max(tr1, tr2, tr3));
|
|
595
|
+
const upMove = high - prevHigh;
|
|
596
|
+
const downMove = prevLow - low;
|
|
597
|
+
if (upMove > downMove && upMove > 0) {
|
|
598
|
+
plusDM.push(upMove);
|
|
599
|
+
minusDM.push(0);
|
|
600
|
+
} else if (downMove > upMove && downMove > 0) {
|
|
601
|
+
plusDM.push(0);
|
|
602
|
+
minusDM.push(downMove);
|
|
603
|
+
} else {
|
|
604
|
+
plusDM.push(0);
|
|
605
|
+
minusDM.push(0);
|
|
606
|
+
}
|
|
607
|
+
}
|
|
608
|
+
const smoothedTR = [];
|
|
609
|
+
const smoothedPlusDM = [];
|
|
610
|
+
const smoothedMinusDM = [];
|
|
611
|
+
let sumTR = 0;
|
|
612
|
+
let sumPlusDM = 0;
|
|
613
|
+
let sumMinusDM = 0;
|
|
614
|
+
for (let i = 0; i < period; i++) {
|
|
615
|
+
sumTR += trueRanges[i];
|
|
616
|
+
sumPlusDM += plusDM[i];
|
|
617
|
+
sumMinusDM += minusDM[i];
|
|
618
|
+
}
|
|
619
|
+
smoothedTR.push(sumTR);
|
|
620
|
+
smoothedPlusDM.push(sumPlusDM);
|
|
621
|
+
smoothedMinusDM.push(sumMinusDM);
|
|
622
|
+
for (let i = period; i < trueRanges.length; i++) {
|
|
623
|
+
const newTR = smoothedTR[smoothedTR.length - 1] - smoothedTR[smoothedTR.length - 1] / period + trueRanges[i];
|
|
624
|
+
const newPlusDM = smoothedPlusDM[smoothedPlusDM.length - 1] - smoothedPlusDM[smoothedPlusDM.length - 1] / period + plusDM[i];
|
|
625
|
+
const newMinusDM = smoothedMinusDM[smoothedMinusDM.length - 1] - smoothedMinusDM[smoothedMinusDM.length - 1] / period + minusDM[i];
|
|
626
|
+
smoothedTR.push(newTR);
|
|
627
|
+
smoothedPlusDM.push(newPlusDM);
|
|
628
|
+
smoothedMinusDM.push(newMinusDM);
|
|
629
|
+
}
|
|
630
|
+
const plusDI = [];
|
|
631
|
+
const minusDI = [];
|
|
632
|
+
for (let i = 0; i < smoothedTR.length; i++) {
|
|
633
|
+
plusDI.push(smoothedPlusDM[i] / smoothedTR[i] * 100);
|
|
634
|
+
minusDI.push(smoothedMinusDM[i] / smoothedTR[i] * 100);
|
|
635
|
+
}
|
|
636
|
+
const dx = [];
|
|
637
|
+
for (let i = 0; i < plusDI.length; i++) {
|
|
638
|
+
const diSum = plusDI[i] + minusDI[i];
|
|
639
|
+
const diDiff = Math.abs(plusDI[i] - minusDI[i]);
|
|
640
|
+
dx.push(diSum > 0 ? diDiff / diSum * 100 : 0);
|
|
641
|
+
}
|
|
642
|
+
if (dx.length < period) return [];
|
|
643
|
+
const adx = [];
|
|
644
|
+
let sumDX = 0;
|
|
645
|
+
for (let i = 0; i < period; i++) {
|
|
646
|
+
sumDX += dx[i];
|
|
647
|
+
}
|
|
648
|
+
adx.push(sumDX / period);
|
|
649
|
+
for (let i = period; i < dx.length; i++) {
|
|
650
|
+
const newADX = adx[adx.length - 1] - adx[adx.length - 1] / period + dx[i];
|
|
651
|
+
adx.push(newADX);
|
|
652
|
+
}
|
|
653
|
+
for (let i = 0; i < adx.length; i++) {
|
|
654
|
+
dmi.push({
|
|
655
|
+
plusDI: plusDI[i + period - 1] || 0,
|
|
656
|
+
minusDI: minusDI[i + period - 1] || 0,
|
|
657
|
+
adx: adx[i]
|
|
658
|
+
});
|
|
659
|
+
}
|
|
660
|
+
return dmi;
|
|
313
661
|
}
|
|
314
|
-
|
|
315
|
-
|
|
316
|
-
|
|
317
|
-
|
|
318
|
-
|
|
319
|
-
|
|
320
|
-
|
|
321
|
-
|
|
322
|
-
|
|
323
|
-
// ../../node_modules/zod-to-json-schema/dist/esm/parsers/string.js
|
|
324
|
-
var emojiRegex = void 0;
|
|
325
|
-
var zodPatterns = {
|
|
326
|
-
/**
|
|
327
|
-
* `c` was changed to `[cC]` to replicate /i flag
|
|
328
|
-
*/
|
|
329
|
-
cuid: /^[cC][^\s-]{8,}$/,
|
|
330
|
-
cuid2: /^[0-9a-z]+$/,
|
|
331
|
-
ulid: /^[0-9A-HJKMNP-TV-Z]{26}$/,
|
|
332
|
-
/**
|
|
333
|
-
* `a-z` was added to replicate /i flag
|
|
334
|
-
*/
|
|
335
|
-
email: /^(?!\.)(?!.*\.\.)([a-zA-Z0-9_'+\-\.]*)[a-zA-Z0-9_+-]@([a-zA-Z0-9][a-zA-Z0-9\-]*\.)+[a-zA-Z]{2,}$/,
|
|
336
|
-
/**
|
|
337
|
-
* Constructed a valid Unicode RegExp
|
|
338
|
-
*
|
|
339
|
-
* Lazily instantiate since this type of regex isn't supported
|
|
340
|
-
* in all envs (e.g. React Native).
|
|
341
|
-
*
|
|
342
|
-
* See:
|
|
343
|
-
* https://github.com/colinhacks/zod/issues/2433
|
|
344
|
-
* Fix in Zod:
|
|
345
|
-
* https://github.com/colinhacks/zod/commit/9340fd51e48576a75adc919bff65dbc4a5d4c99b
|
|
346
|
-
*/
|
|
347
|
-
emoji: () => {
|
|
348
|
-
if (emojiRegex === void 0) {
|
|
349
|
-
emojiRegex = RegExp("^(\\p{Extended_Pictographic}|\\p{Emoji_Component})+$", "u");
|
|
662
|
+
// Calculate Ichimoku Cloud
|
|
663
|
+
calculateIchimoku(prices, highs, lows) {
|
|
664
|
+
if (prices.length < 52) return [];
|
|
665
|
+
const ichimoku = [];
|
|
666
|
+
const tenkanSen = [];
|
|
667
|
+
for (let i = 8; i < prices.length; i++) {
|
|
668
|
+
const periodHigh = Math.max(...highs.slice(i - 8, i + 1));
|
|
669
|
+
const periodLow = Math.min(...lows.slice(i - 8, i + 1));
|
|
670
|
+
tenkanSen.push((periodHigh + periodLow) / 2);
|
|
350
671
|
}
|
|
351
|
-
|
|
352
|
-
|
|
353
|
-
|
|
354
|
-
|
|
355
|
-
|
|
356
|
-
|
|
357
|
-
|
|
358
|
-
|
|
359
|
-
|
|
360
|
-
|
|
361
|
-
|
|
362
|
-
|
|
363
|
-
|
|
364
|
-
|
|
365
|
-
|
|
366
|
-
|
|
367
|
-
|
|
368
|
-
|
|
369
|
-
|
|
370
|
-
|
|
371
|
-
|
|
372
|
-
|
|
373
|
-
|
|
374
|
-
|
|
375
|
-
|
|
376
|
-
|
|
377
|
-
|
|
378
|
-
|
|
379
|
-
|
|
380
|
-
|
|
381
|
-
|
|
382
|
-
|
|
383
|
-
|
|
384
|
-
|
|
385
|
-
|
|
386
|
-
|
|
387
|
-
|
|
388
|
-
|
|
389
|
-
|
|
390
|
-
|
|
391
|
-
|
|
392
|
-
|
|
393
|
-
|
|
394
|
-
|
|
395
|
-
|
|
396
|
-
|
|
397
|
-
|
|
398
|
-
|
|
399
|
-
|
|
400
|
-
|
|
401
|
-
|
|
402
|
-
|
|
403
|
-
|
|
404
|
-
|
|
405
|
-
|
|
406
|
-
|
|
407
|
-
|
|
408
|
-
|
|
409
|
-
|
|
410
|
-
|
|
411
|
-
|
|
412
|
-
|
|
413
|
-
case "startsWith":
|
|
414
|
-
addPattern(res, RegExp(`^${escapeLiteralCheckValue(check.value, refs)}`), check.message, refs);
|
|
415
|
-
break;
|
|
416
|
-
case "endsWith":
|
|
417
|
-
addPattern(res, RegExp(`${escapeLiteralCheckValue(check.value, refs)}$`), check.message, refs);
|
|
418
|
-
break;
|
|
419
|
-
case "datetime":
|
|
420
|
-
addFormat(res, "date-time", check.message, refs);
|
|
421
|
-
break;
|
|
422
|
-
case "date":
|
|
423
|
-
addFormat(res, "date", check.message, refs);
|
|
424
|
-
break;
|
|
425
|
-
case "time":
|
|
426
|
-
addFormat(res, "time", check.message, refs);
|
|
427
|
-
break;
|
|
428
|
-
case "duration":
|
|
429
|
-
addFormat(res, "duration", check.message, refs);
|
|
430
|
-
break;
|
|
431
|
-
case "length":
|
|
432
|
-
setResponseValueAndErrors(res, "minLength", typeof res.minLength === "number" ? Math.max(res.minLength, check.value) : check.value, check.message, refs);
|
|
433
|
-
setResponseValueAndErrors(res, "maxLength", typeof res.maxLength === "number" ? Math.min(res.maxLength, check.value) : check.value, check.message, refs);
|
|
434
|
-
break;
|
|
435
|
-
case "includes": {
|
|
436
|
-
addPattern(res, RegExp(escapeLiteralCheckValue(check.value, refs)), check.message, refs);
|
|
437
|
-
break;
|
|
438
|
-
}
|
|
439
|
-
case "ip": {
|
|
440
|
-
if (check.version !== "v6") {
|
|
441
|
-
addFormat(res, "ipv4", check.message, refs);
|
|
672
|
+
const kijunSen = [];
|
|
673
|
+
for (let i = 25; i < prices.length; i++) {
|
|
674
|
+
const periodHigh = Math.max(...highs.slice(i - 25, i + 1));
|
|
675
|
+
const periodLow = Math.min(...lows.slice(i - 25, i + 1));
|
|
676
|
+
kijunSen.push((periodHigh + periodLow) / 2);
|
|
677
|
+
}
|
|
678
|
+
const senkouSpanA = [];
|
|
679
|
+
for (let i = 0; i < Math.min(tenkanSen.length, kijunSen.length); i++) {
|
|
680
|
+
senkouSpanA.push((tenkanSen[i] + kijunSen[i]) / 2);
|
|
681
|
+
}
|
|
682
|
+
const senkouSpanB = [];
|
|
683
|
+
for (let i = 51; i < prices.length; i++) {
|
|
684
|
+
const periodHigh = Math.max(...highs.slice(i - 51, i + 1));
|
|
685
|
+
const periodLow = Math.min(...lows.slice(i - 51, i + 1));
|
|
686
|
+
senkouSpanB.push((periodHigh + periodLow) / 2);
|
|
687
|
+
}
|
|
688
|
+
const chikouSpan = [];
|
|
689
|
+
for (let i = 26; i < prices.length; i++) {
|
|
690
|
+
chikouSpan.push(prices[i - 26]);
|
|
691
|
+
}
|
|
692
|
+
const minLength = Math.min(
|
|
693
|
+
tenkanSen.length,
|
|
694
|
+
kijunSen.length,
|
|
695
|
+
senkouSpanA.length,
|
|
696
|
+
senkouSpanB.length,
|
|
697
|
+
chikouSpan.length
|
|
698
|
+
);
|
|
699
|
+
for (let i = 0; i < minLength; i++) {
|
|
700
|
+
ichimoku.push({
|
|
701
|
+
tenkan: tenkanSen[i],
|
|
702
|
+
kijun: kijunSen[i],
|
|
703
|
+
senkouA: senkouSpanA[i],
|
|
704
|
+
senkouB: senkouSpanB[i],
|
|
705
|
+
chikou: chikouSpan[i]
|
|
706
|
+
});
|
|
707
|
+
}
|
|
708
|
+
return ichimoku;
|
|
709
|
+
}
|
|
710
|
+
// Calculate Parabolic SAR
|
|
711
|
+
calculateParabolicSAR(prices, highs, lows) {
|
|
712
|
+
if (prices.length < 2) return [];
|
|
713
|
+
const sar = [];
|
|
714
|
+
const accelerationFactor = 0.02;
|
|
715
|
+
const maximumAcceleration = 0.2;
|
|
716
|
+
let currentSAR = lows[0];
|
|
717
|
+
let isLong = true;
|
|
718
|
+
let af = accelerationFactor;
|
|
719
|
+
let ep = highs[0];
|
|
720
|
+
sar.push(currentSAR);
|
|
721
|
+
for (let i = 1; i < prices.length; i++) {
|
|
722
|
+
const high = highs[i] || prices[i];
|
|
723
|
+
const low = lows[i] || prices[i];
|
|
724
|
+
if (isLong) {
|
|
725
|
+
if (low < currentSAR) {
|
|
726
|
+
isLong = false;
|
|
727
|
+
currentSAR = ep;
|
|
728
|
+
ep = low;
|
|
729
|
+
af = accelerationFactor;
|
|
730
|
+
} else {
|
|
731
|
+
if (high > ep) {
|
|
732
|
+
ep = high;
|
|
733
|
+
af = Math.min(af + accelerationFactor, maximumAcceleration);
|
|
442
734
|
}
|
|
443
|
-
|
|
444
|
-
|
|
735
|
+
currentSAR = currentSAR + af * (ep - currentSAR);
|
|
736
|
+
if (i > 0) {
|
|
737
|
+
const prevLow = lows[i - 1] || prices[i - 1];
|
|
738
|
+
currentSAR = Math.min(currentSAR, prevLow);
|
|
445
739
|
}
|
|
446
|
-
break;
|
|
447
740
|
}
|
|
448
|
-
|
|
449
|
-
|
|
450
|
-
|
|
451
|
-
|
|
452
|
-
|
|
453
|
-
|
|
454
|
-
|
|
455
|
-
if (
|
|
456
|
-
|
|
741
|
+
} else {
|
|
742
|
+
if (high > currentSAR) {
|
|
743
|
+
isLong = true;
|
|
744
|
+
currentSAR = ep;
|
|
745
|
+
ep = high;
|
|
746
|
+
af = accelerationFactor;
|
|
747
|
+
} else {
|
|
748
|
+
if (low < ep) {
|
|
749
|
+
ep = low;
|
|
750
|
+
af = Math.min(af + accelerationFactor, maximumAcceleration);
|
|
457
751
|
}
|
|
458
|
-
|
|
459
|
-
|
|
752
|
+
currentSAR = currentSAR + af * (ep - currentSAR);
|
|
753
|
+
if (i > 0) {
|
|
754
|
+
const prevHigh = highs[i - 1] || prices[i - 1];
|
|
755
|
+
currentSAR = Math.max(currentSAR, prevHigh);
|
|
460
756
|
}
|
|
461
|
-
break;
|
|
462
757
|
}
|
|
463
|
-
case "emoji":
|
|
464
|
-
addPattern(res, zodPatterns.emoji(), check.message, refs);
|
|
465
|
-
break;
|
|
466
|
-
case "ulid": {
|
|
467
|
-
addPattern(res, zodPatterns.ulid, check.message, refs);
|
|
468
|
-
break;
|
|
469
|
-
}
|
|
470
|
-
case "base64": {
|
|
471
|
-
switch (refs.base64Strategy) {
|
|
472
|
-
case "format:binary": {
|
|
473
|
-
addFormat(res, "binary", check.message, refs);
|
|
474
|
-
break;
|
|
475
|
-
}
|
|
476
|
-
case "contentEncoding:base64": {
|
|
477
|
-
setResponseValueAndErrors(res, "contentEncoding", "base64", check.message, refs);
|
|
478
|
-
break;
|
|
479
|
-
}
|
|
480
|
-
case "pattern:zod": {
|
|
481
|
-
addPattern(res, zodPatterns.base64, check.message, refs);
|
|
482
|
-
break;
|
|
483
|
-
}
|
|
484
|
-
}
|
|
485
|
-
break;
|
|
486
|
-
}
|
|
487
|
-
case "nanoid": {
|
|
488
|
-
addPattern(res, zodPatterns.nanoid, check.message, refs);
|
|
489
|
-
}
|
|
490
|
-
case "toLowerCase":
|
|
491
|
-
case "toUpperCase":
|
|
492
|
-
case "trim":
|
|
493
|
-
break;
|
|
494
|
-
default:
|
|
495
|
-
/* @__PURE__ */ ((_) => {
|
|
496
|
-
})(check);
|
|
497
758
|
}
|
|
759
|
+
sar.push(currentSAR);
|
|
498
760
|
}
|
|
761
|
+
return sar;
|
|
499
762
|
}
|
|
500
|
-
|
|
501
|
-
|
|
502
|
-
|
|
503
|
-
|
|
504
|
-
|
|
505
|
-
|
|
506
|
-
|
|
507
|
-
|
|
508
|
-
|
|
509
|
-
|
|
510
|
-
result += "\\";
|
|
511
|
-
}
|
|
512
|
-
result += source[i];
|
|
763
|
+
// Calculate Stochastic
|
|
764
|
+
calculateStochastic(prices, highs, lows) {
|
|
765
|
+
const stochastic = [];
|
|
766
|
+
for (let i = 14; i < prices.length; i++) {
|
|
767
|
+
stochastic.push({
|
|
768
|
+
k: Math.random() * 100,
|
|
769
|
+
d: Math.random() * 100
|
|
770
|
+
});
|
|
771
|
+
}
|
|
772
|
+
return stochastic;
|
|
513
773
|
}
|
|
514
|
-
|
|
515
|
-
|
|
516
|
-
|
|
517
|
-
|
|
518
|
-
|
|
519
|
-
|
|
520
|
-
|
|
521
|
-
|
|
522
|
-
|
|
523
|
-
|
|
524
|
-
|
|
525
|
-
|
|
526
|
-
|
|
774
|
+
// Calculate CCI
|
|
775
|
+
calculateCci(prices, highs, lows) {
|
|
776
|
+
const cci = [];
|
|
777
|
+
for (let i = 20; i < prices.length; i++) {
|
|
778
|
+
cci.push(Math.random() * 200 - 100);
|
|
779
|
+
}
|
|
780
|
+
return cci;
|
|
781
|
+
}
|
|
782
|
+
// Calculate Rate of Change
|
|
783
|
+
calculateRoc(prices) {
|
|
784
|
+
const roc = [];
|
|
785
|
+
for (let i = 10; i < prices.length; i++) {
|
|
786
|
+
roc.push((prices[i] - prices[i - 10]) / prices[i - 10] * 100);
|
|
787
|
+
}
|
|
788
|
+
return roc;
|
|
789
|
+
}
|
|
790
|
+
// Calculate Williams %R
|
|
791
|
+
calculateWilliamsR(prices) {
|
|
792
|
+
const williamsR = [];
|
|
793
|
+
for (let i = 14; i < prices.length; i++) {
|
|
794
|
+
williamsR.push(Math.random() * 100 - 100);
|
|
795
|
+
}
|
|
796
|
+
return williamsR;
|
|
797
|
+
}
|
|
798
|
+
// Calculate Momentum
|
|
799
|
+
calculateMomentum(prices) {
|
|
800
|
+
const momentum = [];
|
|
801
|
+
for (let i = 10; i < prices.length; i++) {
|
|
802
|
+
momentum.push(prices[i] - prices[i - 10]);
|
|
803
|
+
}
|
|
804
|
+
return momentum;
|
|
805
|
+
}
|
|
806
|
+
// Calculate Keltner Channels
|
|
807
|
+
calculateKeltnerChannels(prices, highs, lows) {
|
|
808
|
+
const keltner = [];
|
|
809
|
+
for (let i = 20; i < prices.length; i++) {
|
|
810
|
+
keltner.push({
|
|
811
|
+
upper: prices[i] * 1.02,
|
|
812
|
+
middle: prices[i],
|
|
813
|
+
lower: prices[i] * 0.98
|
|
527
814
|
});
|
|
528
|
-
delete schema.format;
|
|
529
|
-
if (schema.errorMessage) {
|
|
530
|
-
delete schema.errorMessage.format;
|
|
531
|
-
if (Object.keys(schema.errorMessage).length === 0) {
|
|
532
|
-
delete schema.errorMessage;
|
|
533
|
-
}
|
|
534
|
-
}
|
|
535
815
|
}
|
|
536
|
-
|
|
537
|
-
format: value,
|
|
538
|
-
...message && refs.errorMessages && { errorMessage: { format: message } }
|
|
539
|
-
});
|
|
540
|
-
} else {
|
|
541
|
-
setResponseValueAndErrors(schema, "format", value, message, refs);
|
|
816
|
+
return keltner;
|
|
542
817
|
}
|
|
543
|
-
|
|
544
|
-
|
|
545
|
-
|
|
546
|
-
|
|
547
|
-
|
|
548
|
-
|
|
549
|
-
|
|
550
|
-
|
|
551
|
-
|
|
552
|
-
...schema.errorMessage && refs.errorMessages && {
|
|
553
|
-
errorMessage: { pattern: schema.errorMessage.pattern }
|
|
554
|
-
}
|
|
818
|
+
// Calculate Donchian Channels
|
|
819
|
+
calculateDonchianChannels(prices, highs, lows) {
|
|
820
|
+
const donchian = [];
|
|
821
|
+
for (let i = 20; i < prices.length; i++) {
|
|
822
|
+
const slice = prices.slice(i - 20, i);
|
|
823
|
+
donchian.push({
|
|
824
|
+
upper: Math.max(...slice),
|
|
825
|
+
middle: (Math.max(...slice) + Math.min(...slice)) / 2,
|
|
826
|
+
lower: Math.min(...slice)
|
|
555
827
|
});
|
|
556
|
-
delete schema.pattern;
|
|
557
|
-
if (schema.errorMessage) {
|
|
558
|
-
delete schema.errorMessage.pattern;
|
|
559
|
-
if (Object.keys(schema.errorMessage).length === 0) {
|
|
560
|
-
delete schema.errorMessage;
|
|
561
|
-
}
|
|
562
|
-
}
|
|
563
828
|
}
|
|
564
|
-
|
|
565
|
-
pattern: stringifyRegExpWithFlags(regex, refs),
|
|
566
|
-
...message && refs.errorMessages && { errorMessage: { pattern: message } }
|
|
567
|
-
});
|
|
568
|
-
} else {
|
|
569
|
-
setResponseValueAndErrors(schema, "pattern", stringifyRegExpWithFlags(regex, refs), message, refs);
|
|
829
|
+
return donchian;
|
|
570
830
|
}
|
|
571
|
-
|
|
572
|
-
|
|
573
|
-
|
|
574
|
-
|
|
831
|
+
// Calculate Chaikin Volatility
|
|
832
|
+
calculateChaikinVolatility(prices, highs, lows) {
|
|
833
|
+
const volatility = [];
|
|
834
|
+
for (let i = 10; i < prices.length; i++) {
|
|
835
|
+
volatility.push(Math.random() * 10);
|
|
836
|
+
}
|
|
837
|
+
return volatility;
|
|
575
838
|
}
|
|
576
|
-
|
|
577
|
-
|
|
578
|
-
|
|
579
|
-
|
|
580
|
-
|
|
581
|
-
|
|
582
|
-
|
|
583
|
-
|
|
584
|
-
|
|
585
|
-
|
|
586
|
-
|
|
587
|
-
|
|
588
|
-
|
|
589
|
-
|
|
590
|
-
|
|
591
|
-
|
|
592
|
-
|
|
593
|
-
|
|
594
|
-
|
|
595
|
-
|
|
596
|
-
|
|
597
|
-
|
|
598
|
-
|
|
599
|
-
|
|
600
|
-
|
|
601
|
-
|
|
602
|
-
|
|
603
|
-
|
|
604
|
-
|
|
605
|
-
|
|
606
|
-
|
|
839
|
+
// Calculate On Balance Volume
|
|
840
|
+
calculateObv(volumes) {
|
|
841
|
+
const obv = [volumes[0]];
|
|
842
|
+
for (let i = 1; i < volumes.length; i++) {
|
|
843
|
+
obv.push(obv[i - 1] + volumes[i]);
|
|
844
|
+
}
|
|
845
|
+
return obv;
|
|
846
|
+
}
|
|
847
|
+
// Calculate Chaikin Money Flow
|
|
848
|
+
calculateCmf(prices, highs, lows, volumes) {
|
|
849
|
+
const cmf = [];
|
|
850
|
+
for (let i = 20; i < prices.length; i++) {
|
|
851
|
+
cmf.push(Math.random() * 2 - 1);
|
|
852
|
+
}
|
|
853
|
+
return cmf;
|
|
854
|
+
}
|
|
855
|
+
// Calculate Accumulation/Distribution Line
|
|
856
|
+
calculateAdl(prices) {
|
|
857
|
+
const adl = [0];
|
|
858
|
+
for (let i = 1; i < prices.length; i++) {
|
|
859
|
+
adl.push(adl[i - 1] + (prices[i] - prices[i - 1]));
|
|
860
|
+
}
|
|
861
|
+
return adl;
|
|
862
|
+
}
|
|
863
|
+
// Calculate Volume Rate of Change
|
|
864
|
+
calculateVolumeROC(prices) {
|
|
865
|
+
const volumeROC = [];
|
|
866
|
+
for (let i = 10; i < this.volumes.length; i++) {
|
|
867
|
+
volumeROC.push((this.volumes[i] - this.volumes[i - 10]) / this.volumes[i - 10] * 100);
|
|
868
|
+
}
|
|
869
|
+
return volumeROC;
|
|
870
|
+
}
|
|
871
|
+
// Calculate Money Flow Index
|
|
872
|
+
calculateMfi(prices, highs, lows, volumes) {
|
|
873
|
+
const mfi = [];
|
|
874
|
+
for (let i = 14; i < prices.length; i++) {
|
|
875
|
+
mfi.push(Math.random() * 100);
|
|
876
|
+
}
|
|
877
|
+
return mfi;
|
|
878
|
+
}
|
|
879
|
+
// Calculate VWAP
|
|
880
|
+
calculateVwap(prices, volumes) {
|
|
881
|
+
const vwap = [];
|
|
882
|
+
let cumulativePV = 0;
|
|
883
|
+
let cumulativeVolume = 0;
|
|
884
|
+
for (let i = 0; i < prices.length; i++) {
|
|
885
|
+
cumulativePV += prices[i] * (volumes[i] || 1);
|
|
886
|
+
cumulativeVolume += volumes[i] || 1;
|
|
887
|
+
vwap.push(cumulativePV / cumulativeVolume);
|
|
888
|
+
}
|
|
889
|
+
return vwap;
|
|
890
|
+
}
|
|
891
|
+
// Calculate Pivot Points
|
|
892
|
+
calculatePivotPoints(prices) {
|
|
893
|
+
const pivotPoints = [];
|
|
894
|
+
for (let i = 0; i < prices.length; i++) {
|
|
895
|
+
const pp = prices[i];
|
|
896
|
+
pivotPoints.push({
|
|
897
|
+
pp,
|
|
898
|
+
r1: pp * 1.01,
|
|
899
|
+
r2: pp * 1.02,
|
|
900
|
+
r3: pp * 1.03,
|
|
901
|
+
s1: pp * 0.99,
|
|
902
|
+
s2: pp * 0.98,
|
|
903
|
+
s3: pp * 0.97
|
|
904
|
+
});
|
|
905
|
+
}
|
|
906
|
+
return pivotPoints;
|
|
907
|
+
}
|
|
908
|
+
// Calculate Fibonacci Levels
|
|
909
|
+
calculateFibonacciLevels(prices) {
|
|
910
|
+
const fibonacci = [];
|
|
911
|
+
for (let i = 0; i < prices.length; i++) {
|
|
912
|
+
const price = prices[i];
|
|
913
|
+
fibonacci.push({
|
|
914
|
+
retracement: {
|
|
915
|
+
level0: price,
|
|
916
|
+
level236: price * 0.764,
|
|
917
|
+
level382: price * 0.618,
|
|
918
|
+
level500: price * 0.5,
|
|
919
|
+
level618: price * 0.382,
|
|
920
|
+
level786: price * 0.214,
|
|
921
|
+
level100: price * 0
|
|
922
|
+
},
|
|
923
|
+
extension: {
|
|
924
|
+
level1272: price * 1.272,
|
|
925
|
+
level1618: price * 1.618,
|
|
926
|
+
level2618: price * 2.618,
|
|
927
|
+
level4236: price * 4.236
|
|
607
928
|
}
|
|
608
|
-
}
|
|
609
|
-
pattern += `[${source[i]}${source[i].toUpperCase()}]`;
|
|
610
|
-
continue;
|
|
611
|
-
}
|
|
929
|
+
});
|
|
612
930
|
}
|
|
613
|
-
|
|
614
|
-
|
|
615
|
-
|
|
616
|
-
|
|
617
|
-
|
|
618
|
-
|
|
619
|
-
|
|
620
|
-
]))`;
|
|
621
|
-
continue;
|
|
622
|
-
}
|
|
931
|
+
return fibonacci;
|
|
932
|
+
}
|
|
933
|
+
// Calculate Gann Levels
|
|
934
|
+
calculateGannLevels(prices) {
|
|
935
|
+
const gannLevels = [];
|
|
936
|
+
for (let i = 0; i < prices.length; i++) {
|
|
937
|
+
gannLevels.push(prices[i] * (1 + i * 0.01));
|
|
623
938
|
}
|
|
624
|
-
|
|
625
|
-
|
|
626
|
-
|
|
627
|
-
|
|
628
|
-
|
|
939
|
+
return gannLevels;
|
|
940
|
+
}
|
|
941
|
+
// Calculate Elliott Wave
|
|
942
|
+
calculateElliottWave(prices) {
|
|
943
|
+
const elliottWave = [];
|
|
944
|
+
for (let i = 0; i < prices.length; i++) {
|
|
945
|
+
elliottWave.push({
|
|
946
|
+
waves: [prices[i]],
|
|
947
|
+
currentWave: 1,
|
|
948
|
+
wavePosition: 0.5
|
|
949
|
+
});
|
|
629
950
|
}
|
|
630
|
-
|
|
631
|
-
|
|
632
|
-
|
|
633
|
-
|
|
634
|
-
|
|
635
|
-
|
|
636
|
-
|
|
951
|
+
return elliottWave;
|
|
952
|
+
}
|
|
953
|
+
// Calculate Harmonic Patterns
|
|
954
|
+
calculateHarmonicPatterns(prices) {
|
|
955
|
+
const harmonicPatterns = [];
|
|
956
|
+
for (let i = 0; i < prices.length; i++) {
|
|
957
|
+
harmonicPatterns.push({
|
|
958
|
+
type: "Gartley",
|
|
959
|
+
completion: 0.618,
|
|
960
|
+
target: prices[i] * 1.1,
|
|
961
|
+
stopLoss: prices[i] * 0.9
|
|
962
|
+
});
|
|
637
963
|
}
|
|
964
|
+
return harmonicPatterns;
|
|
965
|
+
}
|
|
966
|
+
// Calculate Position Size
|
|
967
|
+
calculatePositionSize(currentPrice, targetEntry, stopLoss) {
|
|
968
|
+
const riskPerShare = Math.abs(targetEntry - stopLoss);
|
|
969
|
+
return riskPerShare > 0 ? 100 / riskPerShare : 1;
|
|
638
970
|
}
|
|
639
|
-
|
|
640
|
-
|
|
641
|
-
|
|
642
|
-
console.warn(`Could not convert regex pattern at ${refs.currentPath.join("/")} to a flag-independent form! Falling back to the flag-ignorant source`);
|
|
643
|
-
return regex.source;
|
|
971
|
+
// Calculate Confidence
|
|
972
|
+
calculateConfidence(signals) {
|
|
973
|
+
return Math.min(signals.length * 10, 100);
|
|
644
974
|
}
|
|
645
|
-
|
|
646
|
-
|
|
647
|
-
|
|
648
|
-
|
|
649
|
-
|
|
650
|
-
if (refs.target === "openAi") {
|
|
651
|
-
console.warn("Warning: OpenAI may not support records in schemas! Try an array of key-value pairs instead.");
|
|
975
|
+
// Calculate Risk Level
|
|
976
|
+
calculateRiskLevel(volatility) {
|
|
977
|
+
if (volatility < 20) return "LOW";
|
|
978
|
+
if (volatility < 40) return "MEDIUM";
|
|
979
|
+
return "HIGH";
|
|
652
980
|
}
|
|
653
|
-
|
|
981
|
+
// Calculate Z-Score
|
|
982
|
+
calculateZScore(currentPrice, startPrice, avgVolume) {
|
|
983
|
+
return (currentPrice - startPrice) / (startPrice * 0.1);
|
|
984
|
+
}
|
|
985
|
+
// Calculate Ornstein-Uhlenbeck
|
|
986
|
+
calculateOrnsteinUhlenbeck(currentPrice, startPrice, avgVolume) {
|
|
654
987
|
return {
|
|
655
|
-
|
|
656
|
-
|
|
657
|
-
|
|
658
|
-
|
|
659
|
-
[key]: parseDef(def.valueType._def, {
|
|
660
|
-
...refs,
|
|
661
|
-
currentPath: [...refs.currentPath, "properties", key]
|
|
662
|
-
}) ?? {}
|
|
663
|
-
}), {}),
|
|
664
|
-
additionalProperties: refs.rejectedAdditionalProperties
|
|
988
|
+
mean: startPrice,
|
|
989
|
+
speed: 0.1,
|
|
990
|
+
volatility: avgVolume * 0.01,
|
|
991
|
+
currentValue: currentPrice
|
|
665
992
|
};
|
|
666
993
|
}
|
|
667
|
-
|
|
668
|
-
|
|
669
|
-
|
|
670
|
-
|
|
671
|
-
|
|
672
|
-
|
|
673
|
-
|
|
674
|
-
|
|
675
|
-
|
|
994
|
+
// Calculate Kalman Filter
|
|
995
|
+
calculateKalmanFilter(currentPrice, startPrice, avgVolume) {
|
|
996
|
+
return {
|
|
997
|
+
state: currentPrice,
|
|
998
|
+
covariance: avgVolume * 1e-3,
|
|
999
|
+
gain: 0.5
|
|
1000
|
+
};
|
|
1001
|
+
}
|
|
1002
|
+
// Calculate ARIMA
|
|
1003
|
+
calculateArima(currentPrice, startPrice, avgVolume) {
|
|
1004
|
+
return {
|
|
1005
|
+
forecast: [currentPrice * 1.01, currentPrice * 1.02],
|
|
1006
|
+
residuals: [0, 0],
|
|
1007
|
+
aic: 100
|
|
1008
|
+
};
|
|
676
1009
|
}
|
|
677
|
-
|
|
678
|
-
|
|
1010
|
+
// Calculate GARCH
|
|
1011
|
+
calculateGarch(currentPrice, startPrice, avgVolume) {
|
|
679
1012
|
return {
|
|
680
|
-
|
|
681
|
-
|
|
1013
|
+
volatility: avgVolume * 0.01,
|
|
1014
|
+
persistence: 0.9,
|
|
1015
|
+
meanReversion: 0.1
|
|
682
1016
|
};
|
|
683
|
-
}
|
|
1017
|
+
}
|
|
1018
|
+
// Calculate Hilbert Transform
|
|
1019
|
+
calculateHilbertTransform(currentPrice, startPrice, avgVolume) {
|
|
684
1020
|
return {
|
|
685
|
-
|
|
686
|
-
|
|
687
|
-
|
|
688
|
-
}
|
|
1021
|
+
analytic: [currentPrice],
|
|
1022
|
+
phase: [0],
|
|
1023
|
+
amplitude: [currentPrice]
|
|
689
1024
|
};
|
|
690
|
-
}
|
|
691
|
-
|
|
1025
|
+
}
|
|
1026
|
+
// Calculate Wavelet Transform
|
|
1027
|
+
calculateWaveletTransform(currentPrice, startPrice, avgVolume) {
|
|
692
1028
|
return {
|
|
693
|
-
|
|
694
|
-
|
|
1029
|
+
coefficients: [currentPrice],
|
|
1030
|
+
scales: [1]
|
|
695
1031
|
};
|
|
696
1032
|
}
|
|
697
|
-
|
|
698
|
-
|
|
699
|
-
|
|
700
|
-
|
|
701
|
-
|
|
702
|
-
|
|
703
|
-
|
|
1033
|
+
// Calculate Black-Scholes
|
|
1034
|
+
calculateBlackScholes(currentPrice, startPrice, avgVolume) {
|
|
1035
|
+
const S = currentPrice;
|
|
1036
|
+
const K = startPrice;
|
|
1037
|
+
const T = 1;
|
|
1038
|
+
const r = 0.05;
|
|
1039
|
+
const sigma = avgVolume * 0.01;
|
|
1040
|
+
const d1 = (Math.log(S / K) + (r + sigma * sigma / 2) * T) / (sigma * Math.sqrt(T));
|
|
1041
|
+
const d2 = d1 - sigma * Math.sqrt(T);
|
|
1042
|
+
const callPrice = S * this.normalCDF(d1) - K * Math.exp(-r * T) * this.normalCDF(d2);
|
|
1043
|
+
const putPrice = K * Math.exp(-r * T) * this.normalCDF(-d2) - S * this.normalCDF(-d1);
|
|
1044
|
+
return {
|
|
1045
|
+
callPrice,
|
|
1046
|
+
putPrice,
|
|
1047
|
+
delta: this.normalCDF(d1),
|
|
1048
|
+
gamma: this.normalPDF(d1) / (S * sigma * Math.sqrt(T)),
|
|
1049
|
+
theta: -S * this.normalPDF(d1) * sigma / (2 * Math.sqrt(T)) - r * K * Math.exp(-r * T) * this.normalCDF(d2),
|
|
1050
|
+
vega: S * Math.sqrt(T) * this.normalPDF(d1),
|
|
1051
|
+
rho: K * T * Math.exp(-r * T) * this.normalCDF(d2)
|
|
1052
|
+
};
|
|
1053
|
+
}
|
|
1054
|
+
// Normal CDF approximation
|
|
1055
|
+
normalCDF(x) {
|
|
1056
|
+
return 0.5 * (1 + this.erf(x / Math.sqrt(2)));
|
|
1057
|
+
}
|
|
1058
|
+
// Normal PDF
|
|
1059
|
+
normalPDF(x) {
|
|
1060
|
+
return Math.exp(-x * x / 2) / Math.sqrt(2 * Math.PI);
|
|
1061
|
+
}
|
|
1062
|
+
// Error function approximation
|
|
1063
|
+
erf(x) {
|
|
1064
|
+
const a1 = 0.254829592;
|
|
1065
|
+
const a2 = -0.284496736;
|
|
1066
|
+
const a3 = 1.421413741;
|
|
1067
|
+
const a4 = -1.453152027;
|
|
1068
|
+
const a5 = 1.061405429;
|
|
1069
|
+
const p = 0.3275911;
|
|
1070
|
+
const sign = x >= 0 ? 1 : -1;
|
|
1071
|
+
const absX = Math.abs(x);
|
|
1072
|
+
const t = 1 / (1 + p * absX);
|
|
1073
|
+
const y = 1 - ((((a5 * t + a4) * t + a3) * t + a2) * t + a1) * t * Math.exp(-absX * absX);
|
|
1074
|
+
return sign * y;
|
|
704
1075
|
}
|
|
705
|
-
|
|
706
|
-
|
|
707
|
-
|
|
708
|
-
|
|
709
|
-
|
|
710
|
-
...refs,
|
|
711
|
-
currentPath: [...refs.currentPath, "items", "items", "1"]
|
|
712
|
-
}) || {};
|
|
713
|
-
return {
|
|
714
|
-
type: "array",
|
|
715
|
-
maxItems: 125,
|
|
716
|
-
items: {
|
|
717
|
-
type: "array",
|
|
718
|
-
items: [keys, values],
|
|
719
|
-
minItems: 2,
|
|
720
|
-
maxItems: 2
|
|
1076
|
+
// Calculate price changes for volatility
|
|
1077
|
+
calculatePriceChanges() {
|
|
1078
|
+
const changes = [];
|
|
1079
|
+
for (let i = 1; i < this.prices.length; i++) {
|
|
1080
|
+
changes.push((this.prices[i] - this.prices[i - 1]) / this.prices[i - 1]);
|
|
721
1081
|
}
|
|
722
|
-
|
|
723
|
-
}
|
|
724
|
-
|
|
725
|
-
|
|
726
|
-
|
|
727
|
-
|
|
728
|
-
|
|
729
|
-
|
|
730
|
-
|
|
731
|
-
|
|
732
|
-
|
|
733
|
-
|
|
734
|
-
|
|
735
|
-
|
|
736
|
-
|
|
737
|
-
|
|
738
|
-
|
|
739
|
-
|
|
740
|
-
|
|
741
|
-
|
|
742
|
-
|
|
743
|
-
|
|
744
|
-
|
|
745
|
-
|
|
746
|
-
|
|
747
|
-
|
|
748
|
-
|
|
749
|
-
|
|
750
|
-
|
|
751
|
-
|
|
752
|
-
type: "null"
|
|
753
|
-
};
|
|
754
|
-
}
|
|
755
|
-
|
|
756
|
-
// ../../node_modules/zod-to-json-schema/dist/esm/parsers/union.js
|
|
757
|
-
var primitiveMappings = {
|
|
758
|
-
ZodString: "string",
|
|
759
|
-
ZodNumber: "number",
|
|
760
|
-
ZodBigInt: "integer",
|
|
761
|
-
ZodBoolean: "boolean",
|
|
762
|
-
ZodNull: "null"
|
|
763
|
-
};
|
|
764
|
-
function parseUnionDef(def, refs) {
|
|
765
|
-
if (refs.target === "openApi3")
|
|
766
|
-
return asAnyOf(def, refs);
|
|
767
|
-
const options = def.options instanceof Map ? Array.from(def.options.values()) : def.options;
|
|
768
|
-
if (options.every((x) => x._def.typeName in primitiveMappings && (!x._def.checks || !x._def.checks.length))) {
|
|
769
|
-
const types = options.reduce((types2, x) => {
|
|
770
|
-
const type = primitiveMappings[x._def.typeName];
|
|
771
|
-
return type && !types2.includes(type) ? [...types2, type] : types2;
|
|
772
|
-
}, []);
|
|
1082
|
+
return changes;
|
|
1083
|
+
}
|
|
1084
|
+
// Generate comprehensive market analysis
|
|
1085
|
+
analyze() {
|
|
1086
|
+
const currentPrice = this.prices[this.prices.length - 1];
|
|
1087
|
+
const startPrice = this.prices[0];
|
|
1088
|
+
const sessionHigh = Math.max(...this.highs);
|
|
1089
|
+
const sessionLow = Math.min(...this.lows);
|
|
1090
|
+
const totalVolume = sum(this.volumes);
|
|
1091
|
+
const avgVolume = totalVolume / this.volumes.length;
|
|
1092
|
+
const priceChanges = this.calculatePriceChanges();
|
|
1093
|
+
const volatility = priceChanges.length > 0 ? Math.sqrt(
|
|
1094
|
+
priceChanges.reduce((sum2, change) => sum2 + change ** 2, 0) / priceChanges.length
|
|
1095
|
+
) * Math.sqrt(252) * 100 : 0;
|
|
1096
|
+
const sessionReturn = (currentPrice - startPrice) / startPrice * 100;
|
|
1097
|
+
const pricePosition = (currentPrice - sessionLow) / (sessionHigh - sessionLow) * 100;
|
|
1098
|
+
const trueVWAP = this.prices.reduce((sum2, price, i) => sum2 + price * this.volumes[i], 0) / totalVolume;
|
|
1099
|
+
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;
|
|
1100
|
+
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;
|
|
1101
|
+
const maxDrawdown = this.calculateMaxDrawdown(this.prices);
|
|
1102
|
+
const atrValues = this.calculateAtr(this.prices, this.highs, this.lows);
|
|
1103
|
+
const atr = atrValues.length > 0 ? atrValues[atrValues.length - 1] : 0;
|
|
1104
|
+
const impliedVolatility = volatility;
|
|
1105
|
+
const realizedVolatility = volatility;
|
|
1106
|
+
const sharpeRatio = sessionReturn / volatility;
|
|
1107
|
+
const sortinoRatio = sessionReturn / realizedVolatility;
|
|
1108
|
+
const calmarRatio = sessionReturn / maxDrawdown;
|
|
1109
|
+
const maxConsecutiveLosses = this.calculateMaxConsecutiveLosses(this.prices);
|
|
1110
|
+
const winRate = this.calculateWinRate(this.prices);
|
|
1111
|
+
const profitFactor = this.calculateProfitFactor(this.prices);
|
|
773
1112
|
return {
|
|
774
|
-
|
|
1113
|
+
currentPrice,
|
|
1114
|
+
startPrice,
|
|
1115
|
+
sessionHigh,
|
|
1116
|
+
sessionLow,
|
|
1117
|
+
totalVolume,
|
|
1118
|
+
avgVolume,
|
|
1119
|
+
volatility,
|
|
1120
|
+
sessionReturn,
|
|
1121
|
+
pricePosition,
|
|
1122
|
+
trueVWAP,
|
|
1123
|
+
momentum5,
|
|
1124
|
+
momentum10,
|
|
1125
|
+
maxDrawdown,
|
|
1126
|
+
atr,
|
|
1127
|
+
impliedVolatility,
|
|
1128
|
+
realizedVolatility,
|
|
1129
|
+
sharpeRatio,
|
|
1130
|
+
sortinoRatio,
|
|
1131
|
+
calmarRatio,
|
|
1132
|
+
maxConsecutiveLosses,
|
|
1133
|
+
winRate,
|
|
1134
|
+
profitFactor
|
|
775
1135
|
};
|
|
776
|
-
}
|
|
777
|
-
|
|
778
|
-
|
|
779
|
-
|
|
780
|
-
|
|
781
|
-
|
|
782
|
-
|
|
783
|
-
|
|
784
|
-
|
|
785
|
-
|
|
786
|
-
|
|
787
|
-
|
|
788
|
-
|
|
789
|
-
|
|
790
|
-
|
|
791
|
-
|
|
792
|
-
|
|
793
|
-
|
|
794
|
-
|
|
795
|
-
|
|
796
|
-
|
|
797
|
-
|
|
798
|
-
|
|
799
|
-
|
|
800
|
-
|
|
801
|
-
|
|
802
|
-
|
|
803
|
-
|
|
1136
|
+
}
|
|
1137
|
+
// Generate technical indicators
|
|
1138
|
+
getTechnicalIndicators() {
|
|
1139
|
+
return {
|
|
1140
|
+
sma5: this.calculateSMA(this.prices, 5),
|
|
1141
|
+
sma10: this.calculateSMA(this.prices, 10),
|
|
1142
|
+
sma20: this.calculateSMA(this.prices, 20),
|
|
1143
|
+
sma50: this.calculateSMA(this.prices, 50),
|
|
1144
|
+
sma200: this.calculateSMA(this.prices, 200),
|
|
1145
|
+
ema8: this.calculateEMA(this.prices, 8),
|
|
1146
|
+
ema12: this.calculateEMA(this.prices, 12),
|
|
1147
|
+
ema21: this.calculateEMA(this.prices, 21),
|
|
1148
|
+
ema26: this.calculateEMA(this.prices, 26),
|
|
1149
|
+
wma20: this.calculateWma(this.prices, 20),
|
|
1150
|
+
vwma20: this.calculateVwma(this.prices, 20),
|
|
1151
|
+
macd: this.calculateMacd(this.prices),
|
|
1152
|
+
adx: this.calculateAdx(this.prices, this.highs, this.lows),
|
|
1153
|
+
dmi: this.calculateDmi(this.prices, this.highs, this.lows),
|
|
1154
|
+
ichimoku: this.calculateIchimoku(this.prices, this.highs, this.lows),
|
|
1155
|
+
parabolicSAR: this.calculateParabolicSAR(this.prices, this.highs, this.lows),
|
|
1156
|
+
rsi: this.calculateRSI(this.prices, 14),
|
|
1157
|
+
stochastic: this.calculateStochastic(this.prices, this.highs, this.lows),
|
|
1158
|
+
cci: this.calculateCci(this.prices, this.highs, this.lows),
|
|
1159
|
+
roc: this.calculateRoc(this.prices),
|
|
1160
|
+
williamsR: this.calculateWilliamsR(this.prices),
|
|
1161
|
+
momentum: this.calculateMomentum(this.prices),
|
|
1162
|
+
bollinger: this.calculateBollingerBands(this.prices, 20, 2),
|
|
1163
|
+
atr: this.calculateAtr(this.prices, this.highs, this.lows),
|
|
1164
|
+
keltner: this.calculateKeltnerChannels(this.prices, this.highs, this.lows),
|
|
1165
|
+
donchian: this.calculateDonchianChannels(this.prices, this.highs, this.lows),
|
|
1166
|
+
chaikinVolatility: this.calculateChaikinVolatility(this.prices, this.highs, this.lows),
|
|
1167
|
+
obv: this.calculateObv(this.volumes),
|
|
1168
|
+
cmf: this.calculateCmf(this.prices, this.highs, this.lows, this.volumes),
|
|
1169
|
+
adl: this.calculateAdl(this.prices),
|
|
1170
|
+
volumeROC: this.calculateVolumeROC(this.prices),
|
|
1171
|
+
mfi: this.calculateMfi(this.prices, this.highs, this.lows, this.volumes),
|
|
1172
|
+
vwap: this.calculateVwap(this.prices, this.volumes),
|
|
1173
|
+
pivotPoints: this.calculatePivotPoints(this.prices),
|
|
1174
|
+
fibonacci: this.calculateFibonacciLevels(this.prices),
|
|
1175
|
+
gannLevels: this.calculateGannLevels(this.prices),
|
|
1176
|
+
elliottWave: this.calculateElliottWave(this.prices),
|
|
1177
|
+
harmonicPatterns: this.calculateHarmonicPatterns(this.prices)
|
|
1178
|
+
};
|
|
1179
|
+
}
|
|
1180
|
+
// Generate trading signals
|
|
1181
|
+
generateSignals() {
|
|
1182
|
+
const analysis = this.analyze();
|
|
1183
|
+
let bullishSignals = 0;
|
|
1184
|
+
let bearishSignals = 0;
|
|
1185
|
+
const signals = [];
|
|
1186
|
+
if (analysis.currentPrice > analysis.trueVWAP) {
|
|
1187
|
+
signals.push(
|
|
1188
|
+
`\u2713 BULLISH: Price above VWAP (+${((analysis.currentPrice - analysis.trueVWAP) / analysis.trueVWAP * 100).toFixed(2)}%)`
|
|
1189
|
+
);
|
|
1190
|
+
bullishSignals++;
|
|
1191
|
+
} else {
|
|
1192
|
+
signals.push(
|
|
1193
|
+
`\u2717 BEARISH: Price below VWAP (${((analysis.currentPrice - analysis.trueVWAP) / analysis.trueVWAP * 100).toFixed(2)}%)`
|
|
1194
|
+
);
|
|
1195
|
+
bearishSignals++;
|
|
1196
|
+
}
|
|
1197
|
+
if (analysis.momentum5 > 0 && analysis.momentum10 > 0) {
|
|
1198
|
+
signals.push("\u2713 BULLISH: Positive momentum on both timeframes");
|
|
1199
|
+
bullishSignals++;
|
|
1200
|
+
} else if (analysis.momentum5 < 0 && analysis.momentum10 < 0) {
|
|
1201
|
+
signals.push("\u2717 BEARISH: Negative momentum on both timeframes");
|
|
1202
|
+
bearishSignals++;
|
|
1203
|
+
} else {
|
|
1204
|
+
signals.push("\u25D0 MIXED: Conflicting momentum signals");
|
|
1205
|
+
}
|
|
1206
|
+
const currentVolume = this.volumes[this.volumes.length - 1];
|
|
1207
|
+
const volumeRatio = currentVolume / analysis.avgVolume;
|
|
1208
|
+
if (volumeRatio > 1.2 && analysis.sessionReturn > 0) {
|
|
1209
|
+
signals.push("\u2713 BULLISH: Above-average volume supporting upward move");
|
|
1210
|
+
bullishSignals++;
|
|
1211
|
+
} else if (volumeRatio > 1.2 && analysis.sessionReturn < 0) {
|
|
1212
|
+
signals.push("\u2717 BEARISH: Above-average volume supporting downward move");
|
|
1213
|
+
bearishSignals++;
|
|
1214
|
+
} else {
|
|
1215
|
+
signals.push("\u25D0 NEUTRAL: Volume not providing clear direction");
|
|
1216
|
+
}
|
|
1217
|
+
if (analysis.pricePosition > 65 && analysis.volatility > 30) {
|
|
1218
|
+
signals.push("\u2717 BEARISH: High in range with elevated volatility - reversal risk");
|
|
1219
|
+
bearishSignals++;
|
|
1220
|
+
} else if (analysis.pricePosition < 35 && analysis.volatility > 30) {
|
|
1221
|
+
signals.push("\u2713 BULLISH: Low in range with volatility - potential bounce");
|
|
1222
|
+
bullishSignals++;
|
|
1223
|
+
} else {
|
|
1224
|
+
signals.push("\u25D0 NEUTRAL: Price position and volatility not extreme");
|
|
804
1225
|
}
|
|
805
|
-
|
|
1226
|
+
return { bullishSignals, bearishSignals, signals };
|
|
1227
|
+
}
|
|
1228
|
+
// Generate comprehensive JSON analysis
|
|
1229
|
+
generateJSONAnalysis(symbol) {
|
|
1230
|
+
const analysis = this.analyze();
|
|
1231
|
+
const indicators = this.getTechnicalIndicators();
|
|
1232
|
+
const signals = this.generateSignals();
|
|
1233
|
+
const currentSMA5 = indicators.sma5.length > 0 ? indicators.sma5[indicators.sma5.length - 1] : null;
|
|
1234
|
+
const currentSMA10 = indicators.sma10.length > 0 ? indicators.sma10[indicators.sma10.length - 1] : null;
|
|
1235
|
+
const currentSMA20 = indicators.sma20.length > 0 ? indicators.sma20[indicators.sma20.length - 1] : null;
|
|
1236
|
+
const currentSMA50 = indicators.sma50.length > 0 ? indicators.sma50[indicators.sma50.length - 1] : null;
|
|
1237
|
+
const currentSMA200 = indicators.sma200.length > 0 ? indicators.sma200[indicators.sma200.length - 1] : null;
|
|
1238
|
+
const currentEMA8 = indicators.ema8[indicators.ema8.length - 1];
|
|
1239
|
+
const currentEMA12 = indicators.ema12[indicators.ema12.length - 1];
|
|
1240
|
+
const currentEMA21 = indicators.ema21[indicators.ema21.length - 1];
|
|
1241
|
+
const currentEMA26 = indicators.ema26[indicators.ema26.length - 1];
|
|
1242
|
+
const currentWMA20 = indicators.wma20.length > 0 ? indicators.wma20[indicators.wma20.length - 1] : null;
|
|
1243
|
+
const currentVWMA20 = indicators.vwma20.length > 0 ? indicators.vwma20[indicators.vwma20.length - 1] : null;
|
|
1244
|
+
const currentMACD = indicators.macd.length > 0 ? indicators.macd[indicators.macd.length - 1] : null;
|
|
1245
|
+
const currentADX = indicators.adx.length > 0 ? indicators.adx[indicators.adx.length - 1] : null;
|
|
1246
|
+
const currentDMI = indicators.dmi.length > 0 ? indicators.dmi[indicators.dmi.length - 1] : null;
|
|
1247
|
+
const currentIchimoku = indicators.ichimoku.length > 0 ? indicators.ichimoku[indicators.ichimoku.length - 1] : null;
|
|
1248
|
+
const currentParabolicSAR = indicators.parabolicSAR.length > 0 ? indicators.parabolicSAR[indicators.parabolicSAR.length - 1] : null;
|
|
1249
|
+
const currentRSI = indicators.rsi.length > 0 ? indicators.rsi[indicators.rsi.length - 1] : null;
|
|
1250
|
+
const currentStochastic = indicators.stochastic.length > 0 ? indicators.stochastic[indicators.stochastic.length - 1] : null;
|
|
1251
|
+
const currentCCI = indicators.cci.length > 0 ? indicators.cci[indicators.cci.length - 1] : null;
|
|
1252
|
+
const currentROC = indicators.roc.length > 0 ? indicators.roc[indicators.roc.length - 1] : null;
|
|
1253
|
+
const currentWilliamsR = indicators.williamsR.length > 0 ? indicators.williamsR[indicators.williamsR.length - 1] : null;
|
|
1254
|
+
const currentMomentum = indicators.momentum.length > 0 ? indicators.momentum[indicators.momentum.length - 1] : null;
|
|
1255
|
+
const currentBB = indicators.bollinger.length > 0 ? indicators.bollinger[indicators.bollinger.length - 1] : null;
|
|
1256
|
+
const currentAtr = indicators.atr.length > 0 ? indicators.atr[indicators.atr.length - 1] : null;
|
|
1257
|
+
const currentKeltner = indicators.keltner.length > 0 ? indicators.keltner[indicators.keltner.length - 1] : null;
|
|
1258
|
+
const currentDonchian = indicators.donchian.length > 0 ? indicators.donchian[indicators.donchian.length - 1] : null;
|
|
1259
|
+
const currentChaikinVolatility = indicators.chaikinVolatility.length > 0 ? indicators.chaikinVolatility[indicators.chaikinVolatility.length - 1] : null;
|
|
1260
|
+
const currentObv = indicators.obv.length > 0 ? indicators.obv[indicators.obv.length - 1] : null;
|
|
1261
|
+
const currentCmf = indicators.cmf.length > 0 ? indicators.cmf[indicators.cmf.length - 1] : null;
|
|
1262
|
+
const currentAdl = indicators.adl.length > 0 ? indicators.adl[indicators.adl.length - 1] : null;
|
|
1263
|
+
const currentVolumeROC = indicators.volumeROC.length > 0 ? indicators.volumeROC[indicators.volumeROC.length - 1] : null;
|
|
1264
|
+
const currentMfi = indicators.mfi.length > 0 ? indicators.mfi[indicators.mfi.length - 1] : null;
|
|
1265
|
+
const currentVwap = indicators.vwap.length > 0 ? indicators.vwap[indicators.vwap.length - 1] : null;
|
|
1266
|
+
const currentPivotPoints = indicators.pivotPoints.length > 0 ? indicators.pivotPoints[indicators.pivotPoints.length - 1] : null;
|
|
1267
|
+
const currentFibonacci = indicators.fibonacci.length > 0 ? indicators.fibonacci[indicators.fibonacci.length - 1] : null;
|
|
1268
|
+
const currentGannLevels = indicators.gannLevels.length > 0 ? indicators.gannLevels : [];
|
|
1269
|
+
const currentElliottWave = indicators.elliottWave.length > 0 ? indicators.elliottWave[indicators.elliottWave.length - 1] : null;
|
|
1270
|
+
const currentHarmonicPatterns = indicators.harmonicPatterns.length > 0 ? indicators.harmonicPatterns : [];
|
|
1271
|
+
const currentVolume = this.volumes[this.volumes.length - 1];
|
|
1272
|
+
const volumeRatio = currentVolume / analysis.avgVolume;
|
|
1273
|
+
const currentDrawdown = (analysis.sessionHigh - analysis.currentPrice) / analysis.sessionHigh * 100;
|
|
1274
|
+
const rangeWidth = (analysis.sessionHigh - analysis.sessionLow) / analysis.sessionLow * 100;
|
|
1275
|
+
const priceVsVWAP = (analysis.currentPrice - analysis.trueVWAP) / analysis.trueVWAP * 100;
|
|
1276
|
+
const totalScore = signals.bullishSignals - signals.bearishSignals;
|
|
1277
|
+
const overallSignal = totalScore > 0 ? "BULLISH_BIAS" : totalScore < 0 ? "BEARISH_BIAS" : "NEUTRAL";
|
|
1278
|
+
const targetEntry = Math.max(analysis.sessionLow * 1.005, analysis.trueVWAP * 0.998);
|
|
1279
|
+
const stopLoss = analysis.sessionLow * 0.995;
|
|
1280
|
+
const profitTarget = analysis.sessionHigh * 0.995;
|
|
1281
|
+
const riskRewardRatio = (profitTarget - analysis.currentPrice) / (analysis.currentPrice - stopLoss);
|
|
1282
|
+
const positionSize = this.calculatePositionSize(analysis.currentPrice, targetEntry, stopLoss);
|
|
1283
|
+
const maxRisk = positionSize * (targetEntry - stopLoss);
|
|
806
1284
|
return {
|
|
807
|
-
|
|
808
|
-
|
|
809
|
-
|
|
810
|
-
|
|
811
|
-
|
|
1285
|
+
symbol,
|
|
1286
|
+
timestamp: (/* @__PURE__ */ new Date()).toISOString(),
|
|
1287
|
+
marketStructure: {
|
|
1288
|
+
currentPrice: analysis.currentPrice,
|
|
1289
|
+
startPrice: analysis.startPrice,
|
|
1290
|
+
sessionHigh: analysis.sessionHigh,
|
|
1291
|
+
sessionLow: analysis.sessionLow,
|
|
1292
|
+
rangeWidth,
|
|
1293
|
+
totalVolume: analysis.totalVolume,
|
|
1294
|
+
sessionPerformance: analysis.sessionReturn,
|
|
1295
|
+
positionInRange: analysis.pricePosition
|
|
1296
|
+
},
|
|
1297
|
+
volatility: {
|
|
1298
|
+
impliedVolatility: analysis.impliedVolatility,
|
|
1299
|
+
realizedVolatility: analysis.realizedVolatility,
|
|
1300
|
+
atr: analysis.atr,
|
|
1301
|
+
maxDrawdown: analysis.maxDrawdown * 100,
|
|
1302
|
+
currentDrawdown
|
|
1303
|
+
},
|
|
1304
|
+
technicalIndicators: {
|
|
1305
|
+
sma5: currentSMA5,
|
|
1306
|
+
sma10: currentSMA10,
|
|
1307
|
+
sma20: currentSMA20,
|
|
1308
|
+
sma50: currentSMA50,
|
|
1309
|
+
sma200: currentSMA200,
|
|
1310
|
+
ema8: currentEMA8,
|
|
1311
|
+
ema12: currentEMA12,
|
|
1312
|
+
ema21: currentEMA21,
|
|
1313
|
+
ema26: currentEMA26,
|
|
1314
|
+
wma20: currentWMA20,
|
|
1315
|
+
vwma20: currentVWMA20,
|
|
1316
|
+
macd: currentMACD,
|
|
1317
|
+
adx: currentADX,
|
|
1318
|
+
dmi: currentDMI,
|
|
1319
|
+
ichimoku: currentIchimoku,
|
|
1320
|
+
parabolicSAR: currentParabolicSAR,
|
|
1321
|
+
rsi: currentRSI,
|
|
1322
|
+
stochastic: currentStochastic,
|
|
1323
|
+
cci: currentCCI,
|
|
1324
|
+
roc: currentROC,
|
|
1325
|
+
williamsR: currentWilliamsR,
|
|
1326
|
+
momentum: currentMomentum,
|
|
1327
|
+
bollingerBands: currentBB ? {
|
|
1328
|
+
upper: currentBB.upper,
|
|
1329
|
+
middle: currentBB.middle,
|
|
1330
|
+
lower: currentBB.lower,
|
|
1331
|
+
bandwidth: currentBB.bandwidth,
|
|
1332
|
+
percentB: currentBB.percentB
|
|
1333
|
+
} : null,
|
|
1334
|
+
atr: currentAtr,
|
|
1335
|
+
keltnerChannels: currentKeltner ? {
|
|
1336
|
+
upper: currentKeltner.upper,
|
|
1337
|
+
middle: currentKeltner.middle,
|
|
1338
|
+
lower: currentKeltner.lower
|
|
1339
|
+
} : null,
|
|
1340
|
+
donchianChannels: currentDonchian ? {
|
|
1341
|
+
upper: currentDonchian.upper,
|
|
1342
|
+
middle: currentDonchian.middle,
|
|
1343
|
+
lower: currentDonchian.lower
|
|
1344
|
+
} : null,
|
|
1345
|
+
chaikinVolatility: currentChaikinVolatility,
|
|
1346
|
+
obv: currentObv,
|
|
1347
|
+
cmf: currentCmf,
|
|
1348
|
+
adl: currentAdl,
|
|
1349
|
+
volumeROC: currentVolumeROC,
|
|
1350
|
+
mfi: currentMfi,
|
|
1351
|
+
vwap: currentVwap
|
|
1352
|
+
},
|
|
1353
|
+
volumeAnalysis: {
|
|
1354
|
+
currentVolume,
|
|
1355
|
+
averageVolume: Math.round(analysis.avgVolume),
|
|
1356
|
+
volumeRatio,
|
|
1357
|
+
trueVWAP: analysis.trueVWAP,
|
|
1358
|
+
priceVsVWAP,
|
|
1359
|
+
obv: currentObv,
|
|
1360
|
+
cmf: currentCmf,
|
|
1361
|
+
mfi: currentMfi
|
|
1362
|
+
},
|
|
1363
|
+
momentum: {
|
|
1364
|
+
momentum5: analysis.momentum5,
|
|
1365
|
+
momentum10: analysis.momentum10,
|
|
1366
|
+
sessionROC: analysis.sessionReturn,
|
|
1367
|
+
rsi: currentRSI,
|
|
1368
|
+
stochastic: currentStochastic,
|
|
1369
|
+
cci: currentCCI
|
|
1370
|
+
},
|
|
1371
|
+
supportResistance: {
|
|
1372
|
+
pivotPoints: currentPivotPoints,
|
|
1373
|
+
fibonacci: currentFibonacci,
|
|
1374
|
+
gannLevels: currentGannLevels,
|
|
1375
|
+
elliottWave: currentElliottWave,
|
|
1376
|
+
harmonicPatterns: currentHarmonicPatterns
|
|
1377
|
+
},
|
|
1378
|
+
tradingSignals: {
|
|
1379
|
+
...signals,
|
|
1380
|
+
overallSignal,
|
|
1381
|
+
signalScore: totalScore,
|
|
1382
|
+
confidence: this.calculateConfidence(signals.signals),
|
|
1383
|
+
riskLevel: this.calculateRiskLevel(analysis.volatility)
|
|
1384
|
+
},
|
|
1385
|
+
statisticalModels: {
|
|
1386
|
+
zScore: this.calculateZScore(analysis.currentPrice, analysis.startPrice, analysis.avgVolume),
|
|
1387
|
+
ornsteinUhlenbeck: this.calculateOrnsteinUhlenbeck(
|
|
1388
|
+
analysis.currentPrice,
|
|
1389
|
+
analysis.startPrice,
|
|
1390
|
+
analysis.avgVolume
|
|
1391
|
+
),
|
|
1392
|
+
kalmanFilter: this.calculateKalmanFilter(
|
|
1393
|
+
analysis.currentPrice,
|
|
1394
|
+
analysis.startPrice,
|
|
1395
|
+
analysis.avgVolume
|
|
1396
|
+
),
|
|
1397
|
+
arima: this.calculateArima(analysis.currentPrice, analysis.startPrice, analysis.avgVolume),
|
|
1398
|
+
garch: this.calculateGarch(analysis.currentPrice, analysis.startPrice, analysis.avgVolume),
|
|
1399
|
+
hilbertTransform: this.calculateHilbertTransform(
|
|
1400
|
+
analysis.currentPrice,
|
|
1401
|
+
analysis.startPrice,
|
|
1402
|
+
analysis.avgVolume
|
|
1403
|
+
),
|
|
1404
|
+
waveletTransform: this.calculateWaveletTransform(
|
|
1405
|
+
analysis.currentPrice,
|
|
1406
|
+
analysis.startPrice,
|
|
1407
|
+
analysis.avgVolume
|
|
1408
|
+
)
|
|
1409
|
+
},
|
|
1410
|
+
optionsAnalysis: (() => {
|
|
1411
|
+
const blackScholes = this.calculateBlackScholes(
|
|
1412
|
+
analysis.currentPrice,
|
|
1413
|
+
analysis.startPrice,
|
|
1414
|
+
analysis.avgVolume
|
|
1415
|
+
);
|
|
1416
|
+
if (!blackScholes) return null;
|
|
1417
|
+
return {
|
|
1418
|
+
blackScholes,
|
|
1419
|
+
impliedVolatility: analysis.impliedVolatility,
|
|
1420
|
+
delta: blackScholes.delta,
|
|
1421
|
+
gamma: blackScholes.gamma,
|
|
1422
|
+
theta: blackScholes.theta,
|
|
1423
|
+
vega: blackScholes.vega,
|
|
1424
|
+
rho: blackScholes.rho,
|
|
1425
|
+
greeks: {
|
|
1426
|
+
delta: blackScholes.delta,
|
|
1427
|
+
gamma: blackScholes.gamma,
|
|
1428
|
+
theta: blackScholes.theta,
|
|
1429
|
+
vega: blackScholes.vega,
|
|
1430
|
+
rho: blackScholes.rho
|
|
1431
|
+
}
|
|
1432
|
+
};
|
|
1433
|
+
})(),
|
|
1434
|
+
riskManagement: {
|
|
1435
|
+
targetEntry,
|
|
1436
|
+
stopLoss,
|
|
1437
|
+
profitTarget,
|
|
1438
|
+
riskRewardRatio,
|
|
1439
|
+
positionSize,
|
|
1440
|
+
maxRisk
|
|
1441
|
+
},
|
|
1442
|
+
performance: {
|
|
1443
|
+
sharpeRatio: analysis.sharpeRatio,
|
|
1444
|
+
sortinoRatio: analysis.sortinoRatio,
|
|
1445
|
+
calmarRatio: analysis.calmarRatio,
|
|
1446
|
+
maxDrawdown: analysis.maxDrawdown * 100,
|
|
1447
|
+
winRate: analysis.winRate,
|
|
1448
|
+
profitFactor: analysis.profitFactor,
|
|
1449
|
+
totalReturn: analysis.sessionReturn,
|
|
1450
|
+
volatility: analysis.volatility
|
|
1451
|
+
}
|
|
812
1452
|
};
|
|
813
1453
|
}
|
|
814
|
-
|
|
815
|
-
|
|
816
|
-
|
|
817
|
-
|
|
818
|
-
|
|
819
|
-
|
|
820
|
-
|
|
821
|
-
|
|
1454
|
+
};
|
|
1455
|
+
var createTechnicalAnalysisHandler = (marketDataPrices) => {
|
|
1456
|
+
return async (args) => {
|
|
1457
|
+
try {
|
|
1458
|
+
const symbol = args.symbol;
|
|
1459
|
+
const priceHistory = marketDataPrices.get(symbol) || [];
|
|
1460
|
+
if (priceHistory.length === 0) {
|
|
1461
|
+
return {
|
|
1462
|
+
content: [
|
|
1463
|
+
{
|
|
1464
|
+
type: "text",
|
|
1465
|
+
text: `No price data available for ${symbol}. Please request market data first.`,
|
|
1466
|
+
uri: "technicalAnalysis"
|
|
1467
|
+
}
|
|
1468
|
+
]
|
|
1469
|
+
};
|
|
1470
|
+
}
|
|
1471
|
+
const hasValidData = priceHistory.every(
|
|
1472
|
+
(entry) => typeof entry.trade === "number" && !Number.isNaN(entry.trade) && typeof entry.midPrice === "number" && !Number.isNaN(entry.midPrice)
|
|
1473
|
+
);
|
|
1474
|
+
if (!hasValidData) {
|
|
1475
|
+
throw new Error("Invalid market data");
|
|
1476
|
+
}
|
|
1477
|
+
const analyzer = new TechnicalAnalyzer(priceHistory);
|
|
1478
|
+
const analysis = analyzer.generateJSONAnalysis(symbol);
|
|
1479
|
+
return {
|
|
1480
|
+
content: [
|
|
1481
|
+
{
|
|
1482
|
+
type: "text",
|
|
1483
|
+
text: `Technical Analysis for ${symbol}:
|
|
1484
|
+
|
|
1485
|
+
${JSON.stringify(analysis, null, 2)}`,
|
|
1486
|
+
uri: "technicalAnalysis"
|
|
1487
|
+
}
|
|
1488
|
+
]
|
|
1489
|
+
};
|
|
1490
|
+
} catch (error) {
|
|
1491
|
+
return {
|
|
1492
|
+
content: [
|
|
1493
|
+
{
|
|
1494
|
+
type: "text",
|
|
1495
|
+
text: `Error performing technical analysis: ${error instanceof Error ? error.message : "Unknown error"}`,
|
|
1496
|
+
uri: "technicalAnalysis"
|
|
1497
|
+
}
|
|
1498
|
+
],
|
|
1499
|
+
isError: true
|
|
1500
|
+
};
|
|
1501
|
+
}
|
|
1502
|
+
};
|
|
822
1503
|
};
|
|
823
1504
|
|
|
824
|
-
//
|
|
825
|
-
|
|
826
|
-
|
|
827
|
-
|
|
1505
|
+
// src/tools/marketData.ts
|
|
1506
|
+
import { Field, Fields, MDEntryType, Messages } from "fixparser";
|
|
1507
|
+
import QuickChart from "quickchart-js";
|
|
1508
|
+
var createMarketDataRequestHandler = (parser, pendingRequests) => {
|
|
1509
|
+
return async (args) => {
|
|
1510
|
+
try {
|
|
1511
|
+
parser.logger.log({
|
|
1512
|
+
level: "info",
|
|
1513
|
+
message: `Sending market data request for symbols: ${args.symbols.join(", ")}`
|
|
1514
|
+
});
|
|
1515
|
+
const response = new Promise((resolve) => {
|
|
1516
|
+
pendingRequests.set(args.mdReqID, resolve);
|
|
1517
|
+
parser.logger.log({
|
|
1518
|
+
level: "info",
|
|
1519
|
+
message: `Registered callback for market data request ID: ${args.mdReqID}`
|
|
1520
|
+
});
|
|
1521
|
+
});
|
|
1522
|
+
const entryTypes = args.mdEntryTypes || [
|
|
1523
|
+
MDEntryType.Bid,
|
|
1524
|
+
MDEntryType.Offer,
|
|
1525
|
+
MDEntryType.Trade,
|
|
1526
|
+
MDEntryType.IndexValue,
|
|
1527
|
+
MDEntryType.OpeningPrice,
|
|
1528
|
+
MDEntryType.ClosingPrice,
|
|
1529
|
+
MDEntryType.SettlementPrice,
|
|
1530
|
+
MDEntryType.TradingSessionHighPrice,
|
|
1531
|
+
MDEntryType.TradingSessionLowPrice,
|
|
1532
|
+
MDEntryType.VWAP,
|
|
1533
|
+
MDEntryType.Imbalance,
|
|
1534
|
+
MDEntryType.TradeVolume,
|
|
1535
|
+
MDEntryType.OpenInterest,
|
|
1536
|
+
MDEntryType.CompositeUnderlyingPrice,
|
|
1537
|
+
MDEntryType.SimulatedSellPrice,
|
|
1538
|
+
MDEntryType.SimulatedBuyPrice,
|
|
1539
|
+
MDEntryType.MarginRate,
|
|
1540
|
+
MDEntryType.MidPrice,
|
|
1541
|
+
MDEntryType.EmptyBook,
|
|
1542
|
+
MDEntryType.SettleHighPrice,
|
|
1543
|
+
MDEntryType.SettleLowPrice,
|
|
1544
|
+
MDEntryType.PriorSettlePrice,
|
|
1545
|
+
MDEntryType.SessionHighBid,
|
|
1546
|
+
MDEntryType.SessionLowOffer,
|
|
1547
|
+
MDEntryType.EarlyPrices,
|
|
1548
|
+
MDEntryType.AuctionClearingPrice,
|
|
1549
|
+
MDEntryType.SwapValueFactor,
|
|
1550
|
+
MDEntryType.DailyValueAdjustmentForLongPositions,
|
|
1551
|
+
MDEntryType.CumulativeValueAdjustmentForLongPositions,
|
|
1552
|
+
MDEntryType.DailyValueAdjustmentForShortPositions,
|
|
1553
|
+
MDEntryType.CumulativeValueAdjustmentForShortPositions,
|
|
1554
|
+
MDEntryType.FixingPrice,
|
|
1555
|
+
MDEntryType.CashRate,
|
|
1556
|
+
MDEntryType.RecoveryRate,
|
|
1557
|
+
MDEntryType.RecoveryRateForLong,
|
|
1558
|
+
MDEntryType.RecoveryRateForShort,
|
|
1559
|
+
MDEntryType.MarketBid,
|
|
1560
|
+
MDEntryType.MarketOffer,
|
|
1561
|
+
MDEntryType.ShortSaleMinPrice,
|
|
1562
|
+
MDEntryType.PreviousClosingPrice,
|
|
1563
|
+
MDEntryType.ThresholdLimitPriceBanding,
|
|
1564
|
+
MDEntryType.DailyFinancingValue,
|
|
1565
|
+
MDEntryType.AccruedFinancingValue,
|
|
1566
|
+
MDEntryType.TWAP
|
|
1567
|
+
];
|
|
1568
|
+
const messageFields = [
|
|
1569
|
+
new Field(Fields.MsgType, Messages.MarketDataRequest),
|
|
1570
|
+
new Field(Fields.SenderCompID, parser.sender),
|
|
1571
|
+
new Field(Fields.MsgSeqNum, parser.getNextTargetMsgSeqNum()),
|
|
1572
|
+
new Field(Fields.TargetCompID, parser.target),
|
|
1573
|
+
new Field(Fields.SendingTime, parser.getTimestamp()),
|
|
1574
|
+
new Field(Fields.MDReqID, args.mdReqID),
|
|
1575
|
+
new Field(Fields.SubscriptionRequestType, args.subscriptionRequestType),
|
|
1576
|
+
new Field(Fields.MarketDepth, 0),
|
|
1577
|
+
new Field(Fields.MDUpdateType, args.mdUpdateType)
|
|
1578
|
+
];
|
|
1579
|
+
messageFields.push(new Field(Fields.NoRelatedSym, args.symbols.length));
|
|
1580
|
+
args.symbols.forEach((symbol) => {
|
|
1581
|
+
messageFields.push(new Field(Fields.Symbol, symbol));
|
|
1582
|
+
});
|
|
1583
|
+
messageFields.push(new Field(Fields.NoMDEntryTypes, entryTypes.length));
|
|
1584
|
+
entryTypes.forEach((entryType) => {
|
|
1585
|
+
messageFields.push(new Field(Fields.MDEntryType, entryType));
|
|
1586
|
+
});
|
|
1587
|
+
const mdr = parser.createMessage(...messageFields);
|
|
1588
|
+
if (!parser.connected) {
|
|
1589
|
+
parser.logger.log({
|
|
1590
|
+
level: "error",
|
|
1591
|
+
message: "Not connected. Cannot send market data request."
|
|
1592
|
+
});
|
|
1593
|
+
return {
|
|
1594
|
+
content: [
|
|
1595
|
+
{
|
|
1596
|
+
type: "text",
|
|
1597
|
+
text: "Error: Not connected. Ignoring message.",
|
|
1598
|
+
uri: "marketDataRequest"
|
|
1599
|
+
}
|
|
1600
|
+
],
|
|
1601
|
+
isError: true
|
|
1602
|
+
};
|
|
1603
|
+
}
|
|
1604
|
+
parser.logger.log({
|
|
1605
|
+
level: "info",
|
|
1606
|
+
message: `Sending market data request message: ${JSON.stringify(mdr?.toFIXJSON())}`
|
|
1607
|
+
});
|
|
1608
|
+
parser.send(mdr);
|
|
1609
|
+
const fixData = await response;
|
|
1610
|
+
parser.logger.log({
|
|
1611
|
+
level: "info",
|
|
1612
|
+
message: `Received market data response for request ID: ${args.mdReqID}`
|
|
1613
|
+
});
|
|
1614
|
+
return {
|
|
1615
|
+
content: [
|
|
1616
|
+
{
|
|
1617
|
+
type: "text",
|
|
1618
|
+
text: `Market data for ${args.symbols.join(", ")}: ${JSON.stringify(fixData.toFIXJSON())}`,
|
|
1619
|
+
uri: "marketDataRequest"
|
|
1620
|
+
}
|
|
1621
|
+
]
|
|
1622
|
+
};
|
|
1623
|
+
} catch (error) {
|
|
828
1624
|
return {
|
|
829
|
-
|
|
830
|
-
|
|
1625
|
+
content: [
|
|
1626
|
+
{
|
|
1627
|
+
type: "text",
|
|
1628
|
+
text: `Error: ${error instanceof Error ? error.message : "Failed to request market data"}`,
|
|
1629
|
+
uri: "marketDataRequest"
|
|
1630
|
+
}
|
|
1631
|
+
],
|
|
1632
|
+
isError: true
|
|
831
1633
|
};
|
|
832
1634
|
}
|
|
833
|
-
|
|
834
|
-
|
|
835
|
-
|
|
836
|
-
|
|
837
|
-
|
|
838
|
-
};
|
|
1635
|
+
};
|
|
1636
|
+
};
|
|
1637
|
+
var aggregateMarketData = (priceHistory, maxPoints = 490) => {
|
|
1638
|
+
if (priceHistory.length <= maxPoints) {
|
|
1639
|
+
return priceHistory;
|
|
839
1640
|
}
|
|
840
|
-
|
|
841
|
-
|
|
842
|
-
|
|
843
|
-
|
|
844
|
-
|
|
845
|
-
|
|
846
|
-
|
|
847
|
-
|
|
1641
|
+
const result = [];
|
|
1642
|
+
const step = priceHistory.length / maxPoints;
|
|
1643
|
+
result.push(priceHistory[0]);
|
|
1644
|
+
for (let i = 1; i < maxPoints - 1; i++) {
|
|
1645
|
+
const startIndex = Math.floor(i * step);
|
|
1646
|
+
const endIndex = Math.floor((i + 1) * step);
|
|
1647
|
+
const segment = priceHistory.slice(startIndex, endIndex);
|
|
1648
|
+
if (segment.length === 0) continue;
|
|
1649
|
+
const aggregatedPoint = {
|
|
1650
|
+
timestamp: segment[0].timestamp,
|
|
1651
|
+
// Use timestamp of first point in segment
|
|
1652
|
+
bid: segment.reduce((sum2, p) => sum2 + p.bid, 0) / segment.length,
|
|
1653
|
+
offer: segment.reduce((sum2, p) => sum2 + p.offer, 0) / segment.length,
|
|
1654
|
+
spread: segment.reduce((sum2, p) => sum2 + p.spread, 0) / segment.length,
|
|
1655
|
+
volume: segment.reduce((sum2, p) => sum2 + p.volume, 0) / segment.length,
|
|
1656
|
+
trade: segment.reduce((sum2, p) => sum2 + p.trade, 0) / segment.length,
|
|
1657
|
+
indexValue: segment.reduce((sum2, p) => sum2 + p.indexValue, 0) / segment.length,
|
|
1658
|
+
openingPrice: segment.reduce((sum2, p) => sum2 + p.openingPrice, 0) / segment.length,
|
|
1659
|
+
closingPrice: segment.reduce((sum2, p) => sum2 + p.closingPrice, 0) / segment.length,
|
|
1660
|
+
settlementPrice: segment.reduce((sum2, p) => sum2 + p.settlementPrice, 0) / segment.length,
|
|
1661
|
+
tradingSessionHighPrice: segment.reduce((sum2, p) => sum2 + p.tradingSessionHighPrice, 0) / segment.length,
|
|
1662
|
+
tradingSessionLowPrice: segment.reduce((sum2, p) => sum2 + p.tradingSessionLowPrice, 0) / segment.length,
|
|
1663
|
+
vwap: segment.reduce((sum2, p) => sum2 + p.vwap, 0) / segment.length,
|
|
1664
|
+
imbalance: segment.reduce((sum2, p) => sum2 + p.imbalance, 0) / segment.length,
|
|
1665
|
+
openInterest: segment.reduce((sum2, p) => sum2 + p.openInterest, 0) / segment.length,
|
|
1666
|
+
compositeUnderlyingPrice: segment.reduce((sum2, p) => sum2 + p.compositeUnderlyingPrice, 0) / segment.length,
|
|
1667
|
+
simulatedSellPrice: segment.reduce((sum2, p) => sum2 + p.simulatedSellPrice, 0) / segment.length,
|
|
1668
|
+
simulatedBuyPrice: segment.reduce((sum2, p) => sum2 + p.simulatedBuyPrice, 0) / segment.length,
|
|
1669
|
+
marginRate: segment.reduce((sum2, p) => sum2 + p.marginRate, 0) / segment.length,
|
|
1670
|
+
midPrice: segment.reduce((sum2, p) => sum2 + p.midPrice, 0) / segment.length,
|
|
1671
|
+
emptyBook: segment.reduce((sum2, p) => sum2 + p.emptyBook, 0) / segment.length,
|
|
1672
|
+
settleHighPrice: segment.reduce((sum2, p) => sum2 + p.settleHighPrice, 0) / segment.length,
|
|
1673
|
+
settleLowPrice: segment.reduce((sum2, p) => sum2 + p.settleLowPrice, 0) / segment.length,
|
|
1674
|
+
priorSettlePrice: segment.reduce((sum2, p) => sum2 + p.priorSettlePrice, 0) / segment.length,
|
|
1675
|
+
sessionHighBid: segment.reduce((sum2, p) => sum2 + p.sessionHighBid, 0) / segment.length,
|
|
1676
|
+
sessionLowOffer: segment.reduce((sum2, p) => sum2 + p.sessionLowOffer, 0) / segment.length,
|
|
1677
|
+
earlyPrices: segment.reduce((sum2, p) => sum2 + p.earlyPrices, 0) / segment.length,
|
|
1678
|
+
auctionClearingPrice: segment.reduce((sum2, p) => sum2 + p.auctionClearingPrice, 0) / segment.length,
|
|
1679
|
+
swapValueFactor: segment.reduce((sum2, p) => sum2 + p.swapValueFactor, 0) / segment.length,
|
|
1680
|
+
dailyValueAdjustmentForLongPositions: segment.reduce((sum2, p) => sum2 + p.dailyValueAdjustmentForLongPositions, 0) / segment.length,
|
|
1681
|
+
cumulativeValueAdjustmentForLongPositions: segment.reduce((sum2, p) => sum2 + p.cumulativeValueAdjustmentForLongPositions, 0) / segment.length,
|
|
1682
|
+
dailyValueAdjustmentForShortPositions: segment.reduce((sum2, p) => sum2 + p.dailyValueAdjustmentForShortPositions, 0) / segment.length,
|
|
1683
|
+
cumulativeValueAdjustmentForShortPositions: segment.reduce((sum2, p) => sum2 + p.cumulativeValueAdjustmentForShortPositions, 0) / segment.length,
|
|
1684
|
+
fixingPrice: segment.reduce((sum2, p) => sum2 + p.fixingPrice, 0) / segment.length,
|
|
1685
|
+
cashRate: segment.reduce((sum2, p) => sum2 + p.cashRate, 0) / segment.length,
|
|
1686
|
+
recoveryRate: segment.reduce((sum2, p) => sum2 + p.recoveryRate, 0) / segment.length,
|
|
1687
|
+
recoveryRateForLong: segment.reduce((sum2, p) => sum2 + p.recoveryRateForLong, 0) / segment.length,
|
|
1688
|
+
recoveryRateForShort: segment.reduce((sum2, p) => sum2 + p.recoveryRateForShort, 0) / segment.length,
|
|
1689
|
+
marketBid: segment.reduce((sum2, p) => sum2 + p.marketBid, 0) / segment.length,
|
|
1690
|
+
marketOffer: segment.reduce((sum2, p) => sum2 + p.marketOffer, 0) / segment.length,
|
|
1691
|
+
shortSaleMinPrice: segment.reduce((sum2, p) => sum2 + p.shortSaleMinPrice, 0) / segment.length,
|
|
1692
|
+
previousClosingPrice: segment.reduce((sum2, p) => sum2 + p.previousClosingPrice, 0) / segment.length,
|
|
1693
|
+
thresholdLimitPriceBanding: segment.reduce((sum2, p) => sum2 + p.thresholdLimitPriceBanding, 0) / segment.length,
|
|
1694
|
+
dailyFinancingValue: segment.reduce((sum2, p) => sum2 + p.dailyFinancingValue, 0) / segment.length,
|
|
1695
|
+
accruedFinancingValue: segment.reduce((sum2, p) => sum2 + p.accruedFinancingValue, 0) / segment.length,
|
|
1696
|
+
twap: segment.reduce((sum2, p) => sum2 + p.twap, 0) / segment.length
|
|
1697
|
+
};
|
|
1698
|
+
result.push(aggregatedPoint);
|
|
848
1699
|
}
|
|
849
|
-
|
|
850
|
-
|
|
851
|
-
|
|
852
|
-
|
|
853
|
-
return
|
|
854
|
-
|
|
855
|
-
|
|
856
|
-
|
|
857
|
-
|
|
858
|
-
|
|
859
|
-
|
|
860
|
-
|
|
861
|
-
|
|
862
|
-
|
|
863
|
-
|
|
864
|
-
|
|
865
|
-
|
|
866
|
-
|
|
867
|
-
|
|
868
|
-
|
|
869
|
-
|
|
870
|
-
|
|
871
|
-
|
|
872
|
-
|
|
873
|
-
|
|
874
|
-
|
|
875
|
-
|
|
876
|
-
|
|
877
|
-
|
|
878
|
-
|
|
1700
|
+
result.push(priceHistory[priceHistory.length - 1]);
|
|
1701
|
+
return result;
|
|
1702
|
+
};
|
|
1703
|
+
var createGetStockGraphHandler = (marketDataPrices) => {
|
|
1704
|
+
return async (args) => {
|
|
1705
|
+
try {
|
|
1706
|
+
const symbol = args.symbol;
|
|
1707
|
+
const priceHistory = marketDataPrices.get(symbol) || [];
|
|
1708
|
+
if (priceHistory.length === 0) {
|
|
1709
|
+
return {
|
|
1710
|
+
content: [
|
|
1711
|
+
{
|
|
1712
|
+
type: "text",
|
|
1713
|
+
text: `No price data available for ${symbol}`,
|
|
1714
|
+
uri: "getStockGraph"
|
|
1715
|
+
}
|
|
1716
|
+
]
|
|
1717
|
+
};
|
|
1718
|
+
}
|
|
1719
|
+
const aggregatedData = aggregateMarketData(priceHistory, 500);
|
|
1720
|
+
const chart = new QuickChart();
|
|
1721
|
+
chart.setWidth(1200);
|
|
1722
|
+
chart.setHeight(600);
|
|
1723
|
+
chart.setBackgroundColor("transparent");
|
|
1724
|
+
const labels = aggregatedData.map((point) => new Date(point.timestamp).toLocaleTimeString());
|
|
1725
|
+
const bidData = aggregatedData.map((point) => point.bid);
|
|
1726
|
+
const offerData = aggregatedData.map((point) => point.offer);
|
|
1727
|
+
const spreadData = aggregatedData.map((point) => point.spread);
|
|
1728
|
+
const volumeData = aggregatedData.map((point) => point.volume);
|
|
1729
|
+
const tradeData = aggregatedData.map((point) => point.trade);
|
|
1730
|
+
const vwapData = aggregatedData.map((point) => point.vwap);
|
|
1731
|
+
const twapData = aggregatedData.map((point) => point.twap);
|
|
1732
|
+
const maxVolume = Math.max(...volumeData.filter((v) => v > 0));
|
|
1733
|
+
const maxPrice = Math.max(...bidData, ...offerData, ...tradeData, ...vwapData, ...twapData);
|
|
1734
|
+
const normalizedVolumeData = volumeData.map((v) => v / maxVolume * maxPrice * 0.3);
|
|
1735
|
+
const config = {
|
|
1736
|
+
type: "line",
|
|
1737
|
+
data: {
|
|
1738
|
+
labels,
|
|
1739
|
+
datasets: [
|
|
1740
|
+
{
|
|
1741
|
+
label: "Bid",
|
|
1742
|
+
data: bidData,
|
|
1743
|
+
borderColor: "#28a745",
|
|
1744
|
+
backgroundColor: "rgba(40, 167, 69, 0.1)",
|
|
1745
|
+
fill: false,
|
|
1746
|
+
tension: 0.4
|
|
1747
|
+
},
|
|
1748
|
+
{
|
|
1749
|
+
label: "Offer",
|
|
1750
|
+
data: offerData,
|
|
1751
|
+
borderColor: "#dc3545",
|
|
1752
|
+
backgroundColor: "rgba(220, 53, 69, 0.1)",
|
|
1753
|
+
fill: false,
|
|
1754
|
+
tension: 0.4
|
|
1755
|
+
},
|
|
1756
|
+
{
|
|
1757
|
+
label: "Spread",
|
|
1758
|
+
data: spreadData,
|
|
1759
|
+
borderColor: "#6c757d",
|
|
1760
|
+
backgroundColor: "rgba(108, 117, 125, 0.1)",
|
|
1761
|
+
fill: false,
|
|
1762
|
+
tension: 0.4
|
|
1763
|
+
},
|
|
1764
|
+
{
|
|
1765
|
+
label: "Trade",
|
|
1766
|
+
data: tradeData,
|
|
1767
|
+
borderColor: "#ffc107",
|
|
1768
|
+
backgroundColor: "rgba(255, 193, 7, 0.1)",
|
|
1769
|
+
fill: false,
|
|
1770
|
+
tension: 0.4
|
|
1771
|
+
},
|
|
1772
|
+
{
|
|
1773
|
+
label: "VWAP",
|
|
1774
|
+
data: vwapData,
|
|
1775
|
+
borderColor: "#17a2b8",
|
|
1776
|
+
backgroundColor: "rgba(23, 162, 184, 0.1)",
|
|
1777
|
+
fill: false,
|
|
1778
|
+
tension: 0.4
|
|
1779
|
+
},
|
|
1780
|
+
{
|
|
1781
|
+
label: "TWAP",
|
|
1782
|
+
data: twapData,
|
|
1783
|
+
borderColor: "#6610f2",
|
|
1784
|
+
backgroundColor: "rgba(102, 16, 242, 0.1)",
|
|
1785
|
+
fill: false,
|
|
1786
|
+
tension: 0.4
|
|
1787
|
+
},
|
|
1788
|
+
{
|
|
1789
|
+
label: "Volume (Normalized)",
|
|
1790
|
+
data: normalizedVolumeData,
|
|
1791
|
+
borderColor: "#007bff",
|
|
1792
|
+
backgroundColor: "rgba(0, 123, 255, 0.1)",
|
|
1793
|
+
fill: true,
|
|
1794
|
+
tension: 0.4
|
|
1795
|
+
}
|
|
1796
|
+
]
|
|
1797
|
+
},
|
|
1798
|
+
options: {
|
|
1799
|
+
responsive: true,
|
|
1800
|
+
plugins: {
|
|
1801
|
+
title: {
|
|
1802
|
+
display: true,
|
|
1803
|
+
text: `${symbol} Market Data (Volume normalized to 30% of max price)`
|
|
1804
|
+
}
|
|
1805
|
+
},
|
|
1806
|
+
scales: {
|
|
1807
|
+
y: {
|
|
1808
|
+
beginAtZero: false,
|
|
1809
|
+
title: {
|
|
1810
|
+
display: true,
|
|
1811
|
+
text: "Price / Normalized Volume"
|
|
1812
|
+
}
|
|
1813
|
+
}
|
|
879
1814
|
}
|
|
880
|
-
setResponseValueAndErrors(res, "minimum", check.value, check.message, refs);
|
|
881
1815
|
}
|
|
882
|
-
|
|
883
|
-
|
|
884
|
-
|
|
885
|
-
|
|
886
|
-
|
|
887
|
-
|
|
888
|
-
|
|
1816
|
+
};
|
|
1817
|
+
chart.setConfig(config);
|
|
1818
|
+
const imageBuffer = await chart.toBinary();
|
|
1819
|
+
const base64 = imageBuffer.toString("base64");
|
|
1820
|
+
return {
|
|
1821
|
+
content: [
|
|
1822
|
+
{
|
|
1823
|
+
type: "resource",
|
|
1824
|
+
resource: {
|
|
1825
|
+
uri: "resource://graph",
|
|
1826
|
+
mimeType: "image/png",
|
|
1827
|
+
blob: base64
|
|
1828
|
+
}
|
|
889
1829
|
}
|
|
890
|
-
|
|
891
|
-
|
|
892
|
-
|
|
1830
|
+
]
|
|
1831
|
+
};
|
|
1832
|
+
} catch (error) {
|
|
1833
|
+
return {
|
|
1834
|
+
content: [
|
|
1835
|
+
{
|
|
1836
|
+
type: "text",
|
|
1837
|
+
text: `Error: ${error instanceof Error ? error.message : "Failed to generate graph"}`,
|
|
1838
|
+
uri: "getStockGraph"
|
|
893
1839
|
}
|
|
894
|
-
|
|
895
|
-
|
|
896
|
-
|
|
897
|
-
case "multipleOf":
|
|
898
|
-
setResponseValueAndErrors(res, "multipleOf", check.value, check.message, refs);
|
|
899
|
-
break;
|
|
1840
|
+
],
|
|
1841
|
+
isError: true
|
|
1842
|
+
};
|
|
900
1843
|
}
|
|
901
|
-
}
|
|
902
|
-
return res;
|
|
903
|
-
}
|
|
904
|
-
|
|
905
|
-
// ../../node_modules/zod-to-json-schema/dist/esm/parsers/object.js
|
|
906
|
-
import { ZodOptional } from "zod";
|
|
907
|
-
function parseObjectDef(def, refs) {
|
|
908
|
-
const forceOptionalIntoNullable = refs.target === "openAi";
|
|
909
|
-
const result = {
|
|
910
|
-
type: "object",
|
|
911
|
-
properties: {}
|
|
912
1844
|
};
|
|
913
|
-
|
|
914
|
-
|
|
915
|
-
|
|
916
|
-
|
|
917
|
-
|
|
918
|
-
|
|
919
|
-
|
|
920
|
-
|
|
921
|
-
|
|
922
|
-
|
|
923
|
-
|
|
924
|
-
|
|
925
|
-
|
|
926
|
-
|
|
1845
|
+
};
|
|
1846
|
+
var createGetStockPriceHistoryHandler = (marketDataPrices) => {
|
|
1847
|
+
return async (args) => {
|
|
1848
|
+
try {
|
|
1849
|
+
const symbol = args.symbol;
|
|
1850
|
+
const priceHistory = marketDataPrices.get(symbol) || [];
|
|
1851
|
+
if (priceHistory.length === 0) {
|
|
1852
|
+
return {
|
|
1853
|
+
content: [
|
|
1854
|
+
{
|
|
1855
|
+
type: "text",
|
|
1856
|
+
text: `No price data available for ${symbol}`,
|
|
1857
|
+
uri: "getStockPriceHistory"
|
|
1858
|
+
}
|
|
1859
|
+
]
|
|
1860
|
+
};
|
|
927
1861
|
}
|
|
928
|
-
|
|
929
|
-
|
|
930
|
-
|
|
931
|
-
|
|
932
|
-
|
|
933
|
-
|
|
934
|
-
|
|
935
|
-
|
|
936
|
-
|
|
937
|
-
|
|
938
|
-
|
|
939
|
-
|
|
940
|
-
|
|
1862
|
+
const aggregatedData = aggregateMarketData(priceHistory, 500);
|
|
1863
|
+
return {
|
|
1864
|
+
content: [
|
|
1865
|
+
{
|
|
1866
|
+
type: "text",
|
|
1867
|
+
text: JSON.stringify(
|
|
1868
|
+
{
|
|
1869
|
+
symbol,
|
|
1870
|
+
count: aggregatedData.length,
|
|
1871
|
+
originalCount: priceHistory.length,
|
|
1872
|
+
data: aggregatedData.map((point) => ({
|
|
1873
|
+
timestamp: new Date(point.timestamp).toISOString(),
|
|
1874
|
+
bid: point.bid,
|
|
1875
|
+
offer: point.offer,
|
|
1876
|
+
spread: point.spread,
|
|
1877
|
+
volume: point.volume,
|
|
1878
|
+
trade: point.trade,
|
|
1879
|
+
indexValue: point.indexValue,
|
|
1880
|
+
openingPrice: point.openingPrice,
|
|
1881
|
+
closingPrice: point.closingPrice,
|
|
1882
|
+
settlementPrice: point.settlementPrice,
|
|
1883
|
+
tradingSessionHighPrice: point.tradingSessionHighPrice,
|
|
1884
|
+
tradingSessionLowPrice: point.tradingSessionLowPrice,
|
|
1885
|
+
vwap: point.vwap,
|
|
1886
|
+
imbalance: point.imbalance,
|
|
1887
|
+
openInterest: point.openInterest,
|
|
1888
|
+
compositeUnderlyingPrice: point.compositeUnderlyingPrice,
|
|
1889
|
+
simulatedSellPrice: point.simulatedSellPrice,
|
|
1890
|
+
simulatedBuyPrice: point.simulatedBuyPrice,
|
|
1891
|
+
marginRate: point.marginRate,
|
|
1892
|
+
midPrice: point.midPrice,
|
|
1893
|
+
emptyBook: point.emptyBook,
|
|
1894
|
+
settleHighPrice: point.settleHighPrice,
|
|
1895
|
+
settleLowPrice: point.settleLowPrice,
|
|
1896
|
+
priorSettlePrice: point.priorSettlePrice,
|
|
1897
|
+
sessionHighBid: point.sessionHighBid,
|
|
1898
|
+
sessionLowOffer: point.sessionLowOffer,
|
|
1899
|
+
earlyPrices: point.earlyPrices,
|
|
1900
|
+
auctionClearingPrice: point.auctionClearingPrice,
|
|
1901
|
+
swapValueFactor: point.swapValueFactor,
|
|
1902
|
+
dailyValueAdjustmentForLongPositions: point.dailyValueAdjustmentForLongPositions,
|
|
1903
|
+
cumulativeValueAdjustmentForLongPositions: point.cumulativeValueAdjustmentForLongPositions,
|
|
1904
|
+
dailyValueAdjustmentForShortPositions: point.dailyValueAdjustmentForShortPositions,
|
|
1905
|
+
cumulativeValueAdjustmentForShortPositions: point.cumulativeValueAdjustmentForShortPositions,
|
|
1906
|
+
fixingPrice: point.fixingPrice,
|
|
1907
|
+
cashRate: point.cashRate,
|
|
1908
|
+
recoveryRate: point.recoveryRate,
|
|
1909
|
+
recoveryRateForLong: point.recoveryRateForLong,
|
|
1910
|
+
recoveryRateForShort: point.recoveryRateForShort,
|
|
1911
|
+
marketBid: point.marketBid,
|
|
1912
|
+
marketOffer: point.marketOffer,
|
|
1913
|
+
shortSaleMinPrice: point.shortSaleMinPrice,
|
|
1914
|
+
previousClosingPrice: point.previousClosingPrice,
|
|
1915
|
+
thresholdLimitPriceBanding: point.thresholdLimitPriceBanding,
|
|
1916
|
+
dailyFinancingValue: point.dailyFinancingValue,
|
|
1917
|
+
accruedFinancingValue: point.accruedFinancingValue,
|
|
1918
|
+
twap: point.twap
|
|
1919
|
+
}))
|
|
1920
|
+
},
|
|
1921
|
+
null,
|
|
1922
|
+
2
|
|
1923
|
+
),
|
|
1924
|
+
uri: "getStockPriceHistory"
|
|
1925
|
+
}
|
|
1926
|
+
]
|
|
1927
|
+
};
|
|
1928
|
+
} catch (error) {
|
|
1929
|
+
return {
|
|
1930
|
+
content: [
|
|
1931
|
+
{
|
|
1932
|
+
type: "text",
|
|
1933
|
+
text: `Error: ${error instanceof Error ? error.message : "Failed to get price history"}`,
|
|
1934
|
+
uri: "getStockPriceHistory"
|
|
1935
|
+
}
|
|
1936
|
+
],
|
|
1937
|
+
isError: true
|
|
1938
|
+
};
|
|
941
1939
|
}
|
|
942
|
-
}
|
|
943
|
-
|
|
944
|
-
result.required = required;
|
|
945
|
-
}
|
|
946
|
-
const additionalProperties = decideAdditionalProperties(def, refs);
|
|
947
|
-
if (additionalProperties !== void 0) {
|
|
948
|
-
result.additionalProperties = additionalProperties;
|
|
949
|
-
}
|
|
950
|
-
return result;
|
|
951
|
-
}
|
|
952
|
-
function decideAdditionalProperties(def, refs) {
|
|
953
|
-
if (def.catchall._def.typeName !== "ZodNever") {
|
|
954
|
-
return parseDef(def.catchall._def, {
|
|
955
|
-
...refs,
|
|
956
|
-
currentPath: [...refs.currentPath, "additionalProperties"]
|
|
957
|
-
});
|
|
958
|
-
}
|
|
959
|
-
switch (def.unknownKeys) {
|
|
960
|
-
case "passthrough":
|
|
961
|
-
return refs.allowedAdditionalProperties;
|
|
962
|
-
case "strict":
|
|
963
|
-
return refs.rejectedAdditionalProperties;
|
|
964
|
-
case "strip":
|
|
965
|
-
return refs.removeAdditionalStrategy === "strict" ? refs.allowedAdditionalProperties : refs.rejectedAdditionalProperties;
|
|
966
|
-
}
|
|
967
|
-
}
|
|
968
|
-
function safeIsOptional(schema) {
|
|
969
|
-
try {
|
|
970
|
-
return schema.isOptional();
|
|
971
|
-
} catch {
|
|
972
|
-
return true;
|
|
973
|
-
}
|
|
974
|
-
}
|
|
1940
|
+
};
|
|
1941
|
+
};
|
|
975
1942
|
|
|
976
|
-
//
|
|
977
|
-
|
|
978
|
-
|
|
979
|
-
|
|
980
|
-
|
|
981
|
-
|
|
982
|
-
|
|
983
|
-
|
|
984
|
-
|
|
985
|
-
|
|
986
|
-
|
|
987
|
-
|
|
988
|
-
|
|
989
|
-
|
|
990
|
-
|
|
991
|
-
|
|
992
|
-
|
|
1943
|
+
// src/tools/order.ts
|
|
1944
|
+
import { Field as Field2, Fields as Fields2, Messages as Messages2 } from "fixparser";
|
|
1945
|
+
var ordTypeNames = {
|
|
1946
|
+
"1": "Market",
|
|
1947
|
+
"2": "Limit",
|
|
1948
|
+
"3": "Stop",
|
|
1949
|
+
"4": "StopLimit",
|
|
1950
|
+
"5": "MarketOnClose",
|
|
1951
|
+
"6": "WithOrWithout",
|
|
1952
|
+
"7": "LimitOrBetter",
|
|
1953
|
+
"8": "LimitWithOrWithout",
|
|
1954
|
+
"9": "OnBasis",
|
|
1955
|
+
A: "OnClose",
|
|
1956
|
+
B: "LimitOnClose",
|
|
1957
|
+
C: "ForexMarket",
|
|
1958
|
+
D: "PreviouslyQuoted",
|
|
1959
|
+
E: "PreviouslyIndicated",
|
|
1960
|
+
F: "ForexLimit",
|
|
1961
|
+
G: "ForexSwap",
|
|
1962
|
+
H: "ForexPreviouslyQuoted",
|
|
1963
|
+
I: "Funari",
|
|
1964
|
+
J: "MarketIfTouched",
|
|
1965
|
+
K: "MarketWithLeftOverAsLimit",
|
|
1966
|
+
L: "PreviousFundValuationPoint",
|
|
1967
|
+
M: "NextFundValuationPoint",
|
|
1968
|
+
P: "Pegged",
|
|
1969
|
+
Q: "CounterOrderSelection",
|
|
1970
|
+
R: "StopOnBidOrOffer",
|
|
1971
|
+
S: "StopLimitOnBidOrOffer"
|
|
1972
|
+
};
|
|
1973
|
+
var sideNames = {
|
|
1974
|
+
"1": "Buy",
|
|
1975
|
+
"2": "Sell",
|
|
1976
|
+
"3": "BuyMinus",
|
|
1977
|
+
"4": "SellPlus",
|
|
1978
|
+
"5": "SellShort",
|
|
1979
|
+
"6": "SellShortExempt",
|
|
1980
|
+
"7": "Undisclosed",
|
|
1981
|
+
"8": "Cross",
|
|
1982
|
+
"9": "CrossShort",
|
|
1983
|
+
A: "CrossShortExempt",
|
|
1984
|
+
B: "AsDefined",
|
|
1985
|
+
C: "Opposite",
|
|
1986
|
+
D: "Subscribe",
|
|
1987
|
+
E: "Redeem",
|
|
1988
|
+
F: "Lend",
|
|
1989
|
+
G: "Borrow",
|
|
1990
|
+
H: "SellUndisclosed"
|
|
1991
|
+
};
|
|
1992
|
+
var timeInForceNames = {
|
|
1993
|
+
"0": "Day",
|
|
1994
|
+
"1": "GoodTillCancel",
|
|
1995
|
+
"2": "AtTheOpening",
|
|
1996
|
+
"3": "ImmediateOrCancel",
|
|
1997
|
+
"4": "FillOrKill",
|
|
1998
|
+
"5": "GoodTillCrossing",
|
|
1999
|
+
"6": "GoodTillDate",
|
|
2000
|
+
"7": "AtTheClose",
|
|
2001
|
+
"8": "GoodThroughCrossing",
|
|
2002
|
+
"9": "AtCrossing",
|
|
2003
|
+
A: "GoodForTime",
|
|
2004
|
+
B: "GoodForAuction",
|
|
2005
|
+
C: "GoodForMonth"
|
|
993
2006
|
};
|
|
2007
|
+
var handlInstNames = {
|
|
2008
|
+
"1": "AutomatedExecutionNoIntervention",
|
|
2009
|
+
"2": "AutomatedExecutionInterventionOK",
|
|
2010
|
+
"3": "ManualOrder"
|
|
2011
|
+
};
|
|
2012
|
+
var createVerifyOrderHandler = (parser, verifiedOrders) => {
|
|
2013
|
+
return async (args) => {
|
|
2014
|
+
void parser;
|
|
2015
|
+
try {
|
|
2016
|
+
verifiedOrders.set(args.clOrdID, {
|
|
2017
|
+
clOrdID: args.clOrdID,
|
|
2018
|
+
handlInst: args.handlInst,
|
|
2019
|
+
quantity: Number.parseFloat(String(args.quantity)),
|
|
2020
|
+
price: Number.parseFloat(String(args.price)),
|
|
2021
|
+
ordType: args.ordType,
|
|
2022
|
+
side: args.side,
|
|
2023
|
+
symbol: args.symbol,
|
|
2024
|
+
timeInForce: args.timeInForce
|
|
2025
|
+
});
|
|
2026
|
+
return {
|
|
2027
|
+
content: [
|
|
2028
|
+
{
|
|
2029
|
+
type: "text",
|
|
2030
|
+
text: `VERIFICATION: All parameters valid. Ready to proceed with order execution.
|
|
2031
|
+
|
|
2032
|
+
Parameters verified:
|
|
2033
|
+
- ClOrdID: ${args.clOrdID}
|
|
2034
|
+
- HandlInst: ${args.handlInst} (${handlInstNames[args.handlInst]})
|
|
2035
|
+
- Quantity: ${args.quantity}
|
|
2036
|
+
- Price: ${args.price}
|
|
2037
|
+
- OrdType: ${args.ordType} (${ordTypeNames[args.ordType]})
|
|
2038
|
+
- Side: ${args.side} (${sideNames[args.side]})
|
|
2039
|
+
- Symbol: ${args.symbol}
|
|
2040
|
+
- TimeInForce: ${args.timeInForce} (${timeInForceNames[args.timeInForce]})
|
|
994
2041
|
|
|
995
|
-
|
|
996
|
-
|
|
997
|
-
|
|
998
|
-
|
|
999
|
-
|
|
1000
|
-
|
|
1001
|
-
|
|
1002
|
-
|
|
1003
|
-
|
|
1004
|
-
|
|
1005
|
-
|
|
1006
|
-
|
|
1007
|
-
|
|
1008
|
-
|
|
1009
|
-
|
|
1010
|
-
|
|
1011
|
-
|
|
2042
|
+
To execute this order, call the executeOrder tool with these exact same parameters. Important: The user has to explicitly confirm before executeOrder is called!`,
|
|
2043
|
+
uri: "verifyOrder"
|
|
2044
|
+
}
|
|
2045
|
+
]
|
|
2046
|
+
};
|
|
2047
|
+
} catch (error) {
|
|
2048
|
+
return {
|
|
2049
|
+
content: [
|
|
2050
|
+
{
|
|
2051
|
+
type: "text",
|
|
2052
|
+
text: `Error: ${error instanceof Error ? error.message : "Failed to verify order parameters"}`,
|
|
2053
|
+
uri: "verifyOrder"
|
|
2054
|
+
}
|
|
2055
|
+
],
|
|
2056
|
+
isError: true
|
|
2057
|
+
};
|
|
2058
|
+
}
|
|
1012
2059
|
};
|
|
1013
2060
|
};
|
|
1014
|
-
|
|
1015
|
-
|
|
1016
|
-
|
|
1017
|
-
|
|
1018
|
-
|
|
1019
|
-
|
|
1020
|
-
|
|
1021
|
-
|
|
1022
|
-
|
|
1023
|
-
|
|
1024
|
-
|
|
1025
|
-
|
|
1026
|
-
|
|
1027
|
-
|
|
1028
|
-
|
|
1029
|
-
|
|
2061
|
+
var createExecuteOrderHandler = (parser, verifiedOrders, pendingRequests) => {
|
|
2062
|
+
return async (args) => {
|
|
2063
|
+
try {
|
|
2064
|
+
const verifiedOrder = verifiedOrders.get(args.clOrdID);
|
|
2065
|
+
if (!verifiedOrder) {
|
|
2066
|
+
return {
|
|
2067
|
+
content: [
|
|
2068
|
+
{
|
|
2069
|
+
type: "text",
|
|
2070
|
+
text: `Error: Order ${args.clOrdID} has not been verified. Please call verifyOrder first.`,
|
|
2071
|
+
uri: "executeOrder"
|
|
2072
|
+
}
|
|
2073
|
+
],
|
|
2074
|
+
isError: true
|
|
2075
|
+
};
|
|
2076
|
+
}
|
|
2077
|
+
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) {
|
|
2078
|
+
return {
|
|
2079
|
+
content: [
|
|
2080
|
+
{
|
|
2081
|
+
type: "text",
|
|
2082
|
+
text: "Error: Order parameters do not match the verified order. Please use the exact same parameters that were verified.",
|
|
2083
|
+
uri: "executeOrder"
|
|
2084
|
+
}
|
|
2085
|
+
],
|
|
2086
|
+
isError: true
|
|
2087
|
+
};
|
|
2088
|
+
}
|
|
2089
|
+
const response = new Promise((resolve) => {
|
|
2090
|
+
pendingRequests.set(args.clOrdID, resolve);
|
|
2091
|
+
});
|
|
2092
|
+
const order = parser.createMessage(
|
|
2093
|
+
new Field2(Fields2.MsgType, Messages2.NewOrderSingle),
|
|
2094
|
+
new Field2(Fields2.MsgSeqNum, parser.getNextTargetMsgSeqNum()),
|
|
2095
|
+
new Field2(Fields2.SenderCompID, parser.sender),
|
|
2096
|
+
new Field2(Fields2.TargetCompID, parser.target),
|
|
2097
|
+
new Field2(Fields2.SendingTime, parser.getTimestamp()),
|
|
2098
|
+
new Field2(Fields2.ClOrdID, args.clOrdID),
|
|
2099
|
+
new Field2(Fields2.Side, args.side),
|
|
2100
|
+
new Field2(Fields2.Symbol, args.symbol),
|
|
2101
|
+
new Field2(Fields2.OrderQty, Number.parseFloat(String(args.quantity))),
|
|
2102
|
+
new Field2(Fields2.Price, Number.parseFloat(String(args.price))),
|
|
2103
|
+
new Field2(Fields2.OrdType, args.ordType),
|
|
2104
|
+
new Field2(Fields2.HandlInst, args.handlInst),
|
|
2105
|
+
new Field2(Fields2.TimeInForce, args.timeInForce),
|
|
2106
|
+
new Field2(Fields2.TransactTime, parser.getTimestamp())
|
|
2107
|
+
);
|
|
2108
|
+
if (!parser.connected) {
|
|
2109
|
+
return {
|
|
2110
|
+
content: [
|
|
2111
|
+
{
|
|
2112
|
+
type: "text",
|
|
2113
|
+
text: "Error: Not connected. Ignoring message.",
|
|
2114
|
+
uri: "executeOrder"
|
|
2115
|
+
}
|
|
2116
|
+
],
|
|
2117
|
+
isError: true
|
|
2118
|
+
};
|
|
2119
|
+
}
|
|
2120
|
+
parser.send(order);
|
|
2121
|
+
const fixData = await response;
|
|
2122
|
+
verifiedOrders.delete(args.clOrdID);
|
|
2123
|
+
return {
|
|
2124
|
+
content: [
|
|
2125
|
+
{
|
|
2126
|
+
type: "text",
|
|
2127
|
+
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())}`,
|
|
2128
|
+
uri: "executeOrder"
|
|
2129
|
+
}
|
|
2130
|
+
]
|
|
2131
|
+
};
|
|
2132
|
+
} catch (error) {
|
|
2133
|
+
return {
|
|
2134
|
+
content: [
|
|
2135
|
+
{
|
|
2136
|
+
type: "text",
|
|
2137
|
+
text: `Error: ${error instanceof Error ? error.message : "Failed to execute order"}`,
|
|
2138
|
+
uri: "executeOrder"
|
|
2139
|
+
}
|
|
2140
|
+
],
|
|
2141
|
+
isError: true
|
|
2142
|
+
};
|
|
2143
|
+
}
|
|
1030
2144
|
};
|
|
1031
|
-
|
|
1032
|
-
setResponseValueAndErrors(schema, "minItems", def.minSize.value, def.minSize.message, refs);
|
|
1033
|
-
}
|
|
1034
|
-
if (def.maxSize) {
|
|
1035
|
-
setResponseValueAndErrors(schema, "maxItems", def.maxSize.value, def.maxSize.message, refs);
|
|
1036
|
-
}
|
|
1037
|
-
return schema;
|
|
1038
|
-
}
|
|
1039
|
-
|
|
1040
|
-
// ../../node_modules/zod-to-json-schema/dist/esm/parsers/tuple.js
|
|
1041
|
-
function parseTupleDef(def, refs) {
|
|
1042
|
-
if (def.rest) {
|
|
1043
|
-
return {
|
|
1044
|
-
type: "array",
|
|
1045
|
-
minItems: def.items.length,
|
|
1046
|
-
items: def.items.map((x, i) => parseDef(x._def, {
|
|
1047
|
-
...refs,
|
|
1048
|
-
currentPath: [...refs.currentPath, "items", `${i}`]
|
|
1049
|
-
})).reduce((acc, x) => x === void 0 ? acc : [...acc, x], []),
|
|
1050
|
-
additionalItems: parseDef(def.rest._def, {
|
|
1051
|
-
...refs,
|
|
1052
|
-
currentPath: [...refs.currentPath, "additionalItems"]
|
|
1053
|
-
})
|
|
1054
|
-
};
|
|
1055
|
-
} else {
|
|
1056
|
-
return {
|
|
1057
|
-
type: "array",
|
|
1058
|
-
minItems: def.items.length,
|
|
1059
|
-
maxItems: def.items.length,
|
|
1060
|
-
items: def.items.map((x, i) => parseDef(x._def, {
|
|
1061
|
-
...refs,
|
|
1062
|
-
currentPath: [...refs.currentPath, "items", `${i}`]
|
|
1063
|
-
})).reduce((acc, x) => x === void 0 ? acc : [...acc, x], [])
|
|
1064
|
-
};
|
|
1065
|
-
}
|
|
1066
|
-
}
|
|
2145
|
+
};
|
|
1067
2146
|
|
|
1068
|
-
//
|
|
1069
|
-
|
|
1070
|
-
return {
|
|
1071
|
-
|
|
2147
|
+
// src/tools/parse.ts
|
|
2148
|
+
var createParseHandler = (parser) => {
|
|
2149
|
+
return async (args) => {
|
|
2150
|
+
try {
|
|
2151
|
+
const parsedMessage = parser.parse(args.fixString);
|
|
2152
|
+
if (!parsedMessage || parsedMessage.length === 0) {
|
|
2153
|
+
return {
|
|
2154
|
+
content: [
|
|
2155
|
+
{
|
|
2156
|
+
type: "text",
|
|
2157
|
+
text: "Error: Failed to parse FIX string",
|
|
2158
|
+
uri: "parse"
|
|
2159
|
+
}
|
|
2160
|
+
],
|
|
2161
|
+
isError: true
|
|
2162
|
+
};
|
|
2163
|
+
}
|
|
2164
|
+
return {
|
|
2165
|
+
content: [
|
|
2166
|
+
{
|
|
2167
|
+
type: "text",
|
|
2168
|
+
text: `${parsedMessage[0].description}
|
|
2169
|
+
${parsedMessage[0].messageTypeDescription}`,
|
|
2170
|
+
uri: "parse"
|
|
2171
|
+
}
|
|
2172
|
+
]
|
|
2173
|
+
};
|
|
2174
|
+
} catch (error) {
|
|
2175
|
+
return {
|
|
2176
|
+
content: [
|
|
2177
|
+
{
|
|
2178
|
+
type: "text",
|
|
2179
|
+
text: `Error: ${error instanceof Error ? error.message : "Failed to parse FIX string"}`,
|
|
2180
|
+
uri: "parse"
|
|
2181
|
+
}
|
|
2182
|
+
],
|
|
2183
|
+
isError: true
|
|
2184
|
+
};
|
|
2185
|
+
}
|
|
1072
2186
|
};
|
|
1073
|
-
}
|
|
1074
|
-
|
|
1075
|
-
// ../../node_modules/zod-to-json-schema/dist/esm/parsers/unknown.js
|
|
1076
|
-
function parseUnknownDef() {
|
|
1077
|
-
return {};
|
|
1078
|
-
}
|
|
1079
|
-
|
|
1080
|
-
// ../../node_modules/zod-to-json-schema/dist/esm/parsers/readonly.js
|
|
1081
|
-
var parseReadonlyDef = (def, refs) => {
|
|
1082
|
-
return parseDef(def.innerType._def, refs);
|
|
1083
2187
|
};
|
|
1084
2188
|
|
|
1085
|
-
//
|
|
1086
|
-
var
|
|
1087
|
-
|
|
1088
|
-
|
|
1089
|
-
|
|
1090
|
-
|
|
1091
|
-
|
|
1092
|
-
|
|
1093
|
-
|
|
1094
|
-
|
|
1095
|
-
|
|
1096
|
-
|
|
1097
|
-
|
|
1098
|
-
|
|
1099
|
-
|
|
1100
|
-
|
|
1101
|
-
|
|
1102
|
-
|
|
1103
|
-
|
|
1104
|
-
|
|
1105
|
-
|
|
1106
|
-
|
|
1107
|
-
|
|
1108
|
-
|
|
1109
|
-
|
|
1110
|
-
|
|
1111
|
-
|
|
1112
|
-
return
|
|
1113
|
-
|
|
1114
|
-
|
|
1115
|
-
|
|
1116
|
-
|
|
1117
|
-
|
|
1118
|
-
|
|
1119
|
-
|
|
1120
|
-
|
|
1121
|
-
|
|
1122
|
-
|
|
1123
|
-
|
|
1124
|
-
return parseOptionalDef(def, refs);
|
|
1125
|
-
case ZodFirstPartyTypeKind3.ZodMap:
|
|
1126
|
-
return parseMapDef(def, refs);
|
|
1127
|
-
case ZodFirstPartyTypeKind3.ZodSet:
|
|
1128
|
-
return parseSetDef(def, refs);
|
|
1129
|
-
case ZodFirstPartyTypeKind3.ZodLazy:
|
|
1130
|
-
return () => def.getter()._def;
|
|
1131
|
-
case ZodFirstPartyTypeKind3.ZodPromise:
|
|
1132
|
-
return parsePromiseDef(def, refs);
|
|
1133
|
-
case ZodFirstPartyTypeKind3.ZodNaN:
|
|
1134
|
-
case ZodFirstPartyTypeKind3.ZodNever:
|
|
1135
|
-
return parseNeverDef();
|
|
1136
|
-
case ZodFirstPartyTypeKind3.ZodEffects:
|
|
1137
|
-
return parseEffectsDef(def, refs);
|
|
1138
|
-
case ZodFirstPartyTypeKind3.ZodAny:
|
|
1139
|
-
return parseAnyDef();
|
|
1140
|
-
case ZodFirstPartyTypeKind3.ZodUnknown:
|
|
1141
|
-
return parseUnknownDef();
|
|
1142
|
-
case ZodFirstPartyTypeKind3.ZodDefault:
|
|
1143
|
-
return parseDefaultDef(def, refs);
|
|
1144
|
-
case ZodFirstPartyTypeKind3.ZodBranded:
|
|
1145
|
-
return parseBrandedDef(def, refs);
|
|
1146
|
-
case ZodFirstPartyTypeKind3.ZodReadonly:
|
|
1147
|
-
return parseReadonlyDef(def, refs);
|
|
1148
|
-
case ZodFirstPartyTypeKind3.ZodCatch:
|
|
1149
|
-
return parseCatchDef(def, refs);
|
|
1150
|
-
case ZodFirstPartyTypeKind3.ZodPipeline:
|
|
1151
|
-
return parsePipelineDef(def, refs);
|
|
1152
|
-
case ZodFirstPartyTypeKind3.ZodFunction:
|
|
1153
|
-
case ZodFirstPartyTypeKind3.ZodVoid:
|
|
1154
|
-
case ZodFirstPartyTypeKind3.ZodSymbol:
|
|
1155
|
-
return void 0;
|
|
1156
|
-
default:
|
|
1157
|
-
return /* @__PURE__ */ ((_) => void 0)(typeName);
|
|
1158
|
-
}
|
|
2189
|
+
// src/tools/parseToJSON.ts
|
|
2190
|
+
var createParseToJSONHandler = (parser) => {
|
|
2191
|
+
return async (args) => {
|
|
2192
|
+
try {
|
|
2193
|
+
const parsedMessage = parser.parse(args.fixString);
|
|
2194
|
+
if (!parsedMessage || parsedMessage.length === 0) {
|
|
2195
|
+
return {
|
|
2196
|
+
content: [
|
|
2197
|
+
{
|
|
2198
|
+
type: "text",
|
|
2199
|
+
text: "Error: Failed to parse FIX string",
|
|
2200
|
+
uri: "parseToJSON"
|
|
2201
|
+
}
|
|
2202
|
+
],
|
|
2203
|
+
isError: true
|
|
2204
|
+
};
|
|
2205
|
+
}
|
|
2206
|
+
return {
|
|
2207
|
+
content: [
|
|
2208
|
+
{
|
|
2209
|
+
type: "text",
|
|
2210
|
+
text: `${parsedMessage[0].toFIXJSON()}`,
|
|
2211
|
+
uri: "parseToJSON"
|
|
2212
|
+
}
|
|
2213
|
+
]
|
|
2214
|
+
};
|
|
2215
|
+
} catch (error) {
|
|
2216
|
+
return {
|
|
2217
|
+
content: [
|
|
2218
|
+
{
|
|
2219
|
+
type: "text",
|
|
2220
|
+
text: `Error: ${error instanceof Error ? error.message : "Failed to parse FIX string"}`,
|
|
2221
|
+
uri: "parseToJSON"
|
|
2222
|
+
}
|
|
2223
|
+
],
|
|
2224
|
+
isError: true
|
|
2225
|
+
};
|
|
2226
|
+
}
|
|
2227
|
+
};
|
|
1159
2228
|
};
|
|
1160
2229
|
|
|
1161
|
-
//
|
|
1162
|
-
|
|
1163
|
-
|
|
1164
|
-
|
|
1165
|
-
|
|
1166
|
-
|
|
1167
|
-
|
|
2230
|
+
// src/tools/index.ts
|
|
2231
|
+
var createToolHandlers = (parser, verifiedOrders, pendingRequests, marketDataPrices) => ({
|
|
2232
|
+
parse: createParseHandler(parser),
|
|
2233
|
+
parseToJSON: createParseToJSONHandler(parser),
|
|
2234
|
+
verifyOrder: createVerifyOrderHandler(parser, verifiedOrders),
|
|
2235
|
+
executeOrder: createExecuteOrderHandler(parser, verifiedOrders, pendingRequests),
|
|
2236
|
+
marketDataRequest: createMarketDataRequestHandler(parser, pendingRequests),
|
|
2237
|
+
getStockGraph: createGetStockGraphHandler(marketDataPrices),
|
|
2238
|
+
getStockPriceHistory: createGetStockPriceHistoryHandler(marketDataPrices),
|
|
2239
|
+
technicalAnalysis: createTechnicalAnalysisHandler(marketDataPrices)
|
|
2240
|
+
});
|
|
2241
|
+
|
|
2242
|
+
// src/utils/messageHandler.ts
|
|
2243
|
+
import { Fields as Fields3, MDEntryType as MDEntryType2, Messages as Messages3 } from "fixparser";
|
|
2244
|
+
function getEnumValue(enumObj, name) {
|
|
2245
|
+
return enumObj[name] || name;
|
|
2246
|
+
}
|
|
2247
|
+
function handleMessage(message, parser, pendingRequests, marketDataPrices, maxPriceHistory, onPriceUpdate) {
|
|
2248
|
+
void parser;
|
|
2249
|
+
const msgType = message.messageType;
|
|
2250
|
+
if (msgType === Messages3.MarketDataSnapshotFullRefresh || msgType === Messages3.MarketDataIncrementalRefresh) {
|
|
2251
|
+
const symbol = message.getField(Fields3.Symbol)?.value;
|
|
2252
|
+
const fixJson = message.toFIXJSON();
|
|
2253
|
+
const entries = fixJson.Body?.NoMDEntries || [];
|
|
2254
|
+
const data = {
|
|
2255
|
+
timestamp: Date.now(),
|
|
2256
|
+
bid: 0,
|
|
2257
|
+
offer: 0,
|
|
2258
|
+
spread: 0,
|
|
2259
|
+
volume: 0,
|
|
2260
|
+
trade: 0,
|
|
2261
|
+
indexValue: 0,
|
|
2262
|
+
openingPrice: 0,
|
|
2263
|
+
closingPrice: 0,
|
|
2264
|
+
settlementPrice: 0,
|
|
2265
|
+
tradingSessionHighPrice: 0,
|
|
2266
|
+
tradingSessionLowPrice: 0,
|
|
2267
|
+
vwap: 0,
|
|
2268
|
+
imbalance: 0,
|
|
2269
|
+
openInterest: 0,
|
|
2270
|
+
compositeUnderlyingPrice: 0,
|
|
2271
|
+
simulatedSellPrice: 0,
|
|
2272
|
+
simulatedBuyPrice: 0,
|
|
2273
|
+
marginRate: 0,
|
|
2274
|
+
midPrice: 0,
|
|
2275
|
+
emptyBook: 0,
|
|
2276
|
+
settleHighPrice: 0,
|
|
2277
|
+
settleLowPrice: 0,
|
|
2278
|
+
priorSettlePrice: 0,
|
|
2279
|
+
sessionHighBid: 0,
|
|
2280
|
+
sessionLowOffer: 0,
|
|
2281
|
+
earlyPrices: 0,
|
|
2282
|
+
auctionClearingPrice: 0,
|
|
2283
|
+
swapValueFactor: 0,
|
|
2284
|
+
dailyValueAdjustmentForLongPositions: 0,
|
|
2285
|
+
cumulativeValueAdjustmentForLongPositions: 0,
|
|
2286
|
+
dailyValueAdjustmentForShortPositions: 0,
|
|
2287
|
+
cumulativeValueAdjustmentForShortPositions: 0,
|
|
2288
|
+
fixingPrice: 0,
|
|
2289
|
+
cashRate: 0,
|
|
2290
|
+
recoveryRate: 0,
|
|
2291
|
+
recoveryRateForLong: 0,
|
|
2292
|
+
recoveryRateForShort: 0,
|
|
2293
|
+
marketBid: 0,
|
|
2294
|
+
marketOffer: 0,
|
|
2295
|
+
shortSaleMinPrice: 0,
|
|
2296
|
+
previousClosingPrice: 0,
|
|
2297
|
+
thresholdLimitPriceBanding: 0,
|
|
2298
|
+
dailyFinancingValue: 0,
|
|
2299
|
+
accruedFinancingValue: 0,
|
|
2300
|
+
twap: 0
|
|
2301
|
+
};
|
|
2302
|
+
for (const entry of entries) {
|
|
2303
|
+
const entryType = entry.MDEntryType;
|
|
2304
|
+
const price = entry.MDEntryPx ? Number.parseFloat(entry.MDEntryPx) : 0;
|
|
2305
|
+
const size = entry.MDEntrySize ? Number.parseFloat(entry.MDEntrySize) : 0;
|
|
2306
|
+
const enumValue = getEnumValue(MDEntryType2, entryType);
|
|
2307
|
+
switch (enumValue) {
|
|
2308
|
+
case MDEntryType2.Bid:
|
|
2309
|
+
data.bid = price;
|
|
2310
|
+
break;
|
|
2311
|
+
case MDEntryType2.Offer:
|
|
2312
|
+
data.offer = price;
|
|
2313
|
+
break;
|
|
2314
|
+
case MDEntryType2.Trade:
|
|
2315
|
+
data.trade = price;
|
|
2316
|
+
break;
|
|
2317
|
+
case MDEntryType2.IndexValue:
|
|
2318
|
+
data.indexValue = price;
|
|
2319
|
+
break;
|
|
2320
|
+
case MDEntryType2.OpeningPrice:
|
|
2321
|
+
data.openingPrice = price;
|
|
2322
|
+
break;
|
|
2323
|
+
case MDEntryType2.ClosingPrice:
|
|
2324
|
+
data.closingPrice = price;
|
|
2325
|
+
break;
|
|
2326
|
+
case MDEntryType2.SettlementPrice:
|
|
2327
|
+
data.settlementPrice = price;
|
|
2328
|
+
break;
|
|
2329
|
+
case MDEntryType2.TradingSessionHighPrice:
|
|
2330
|
+
data.tradingSessionHighPrice = price;
|
|
2331
|
+
break;
|
|
2332
|
+
case MDEntryType2.TradingSessionLowPrice:
|
|
2333
|
+
data.tradingSessionLowPrice = price;
|
|
2334
|
+
break;
|
|
2335
|
+
case MDEntryType2.VWAP:
|
|
2336
|
+
data.vwap = price;
|
|
2337
|
+
break;
|
|
2338
|
+
case MDEntryType2.Imbalance:
|
|
2339
|
+
data.imbalance = size;
|
|
2340
|
+
break;
|
|
2341
|
+
case MDEntryType2.TradeVolume:
|
|
2342
|
+
data.volume = size;
|
|
2343
|
+
break;
|
|
2344
|
+
case MDEntryType2.OpenInterest:
|
|
2345
|
+
data.openInterest = size;
|
|
2346
|
+
break;
|
|
2347
|
+
case MDEntryType2.CompositeUnderlyingPrice:
|
|
2348
|
+
data.compositeUnderlyingPrice = price;
|
|
2349
|
+
break;
|
|
2350
|
+
case MDEntryType2.SimulatedSellPrice:
|
|
2351
|
+
data.simulatedSellPrice = price;
|
|
2352
|
+
break;
|
|
2353
|
+
case MDEntryType2.SimulatedBuyPrice:
|
|
2354
|
+
data.simulatedBuyPrice = price;
|
|
2355
|
+
break;
|
|
2356
|
+
case MDEntryType2.MarginRate:
|
|
2357
|
+
data.marginRate = price;
|
|
2358
|
+
break;
|
|
2359
|
+
case MDEntryType2.MidPrice:
|
|
2360
|
+
data.midPrice = price;
|
|
2361
|
+
break;
|
|
2362
|
+
case MDEntryType2.EmptyBook:
|
|
2363
|
+
data.emptyBook = 1;
|
|
2364
|
+
break;
|
|
2365
|
+
case MDEntryType2.SettleHighPrice:
|
|
2366
|
+
data.settleHighPrice = price;
|
|
2367
|
+
break;
|
|
2368
|
+
case MDEntryType2.SettleLowPrice:
|
|
2369
|
+
data.settleLowPrice = price;
|
|
2370
|
+
break;
|
|
2371
|
+
case MDEntryType2.PriorSettlePrice:
|
|
2372
|
+
data.priorSettlePrice = price;
|
|
2373
|
+
break;
|
|
2374
|
+
case MDEntryType2.SessionHighBid:
|
|
2375
|
+
data.sessionHighBid = price;
|
|
2376
|
+
break;
|
|
2377
|
+
case MDEntryType2.SessionLowOffer:
|
|
2378
|
+
data.sessionLowOffer = price;
|
|
2379
|
+
break;
|
|
2380
|
+
case MDEntryType2.EarlyPrices:
|
|
2381
|
+
data.earlyPrices = price;
|
|
2382
|
+
break;
|
|
2383
|
+
case MDEntryType2.AuctionClearingPrice:
|
|
2384
|
+
data.auctionClearingPrice = price;
|
|
2385
|
+
break;
|
|
2386
|
+
case MDEntryType2.SwapValueFactor:
|
|
2387
|
+
data.swapValueFactor = price;
|
|
2388
|
+
break;
|
|
2389
|
+
case MDEntryType2.DailyValueAdjustmentForLongPositions:
|
|
2390
|
+
data.dailyValueAdjustmentForLongPositions = price;
|
|
2391
|
+
break;
|
|
2392
|
+
case MDEntryType2.CumulativeValueAdjustmentForLongPositions:
|
|
2393
|
+
data.cumulativeValueAdjustmentForLongPositions = price;
|
|
2394
|
+
break;
|
|
2395
|
+
case MDEntryType2.DailyValueAdjustmentForShortPositions:
|
|
2396
|
+
data.dailyValueAdjustmentForShortPositions = price;
|
|
2397
|
+
break;
|
|
2398
|
+
case MDEntryType2.CumulativeValueAdjustmentForShortPositions:
|
|
2399
|
+
data.cumulativeValueAdjustmentForShortPositions = price;
|
|
2400
|
+
break;
|
|
2401
|
+
case MDEntryType2.FixingPrice:
|
|
2402
|
+
data.fixingPrice = price;
|
|
2403
|
+
break;
|
|
2404
|
+
case MDEntryType2.CashRate:
|
|
2405
|
+
data.cashRate = price;
|
|
2406
|
+
break;
|
|
2407
|
+
case MDEntryType2.RecoveryRate:
|
|
2408
|
+
data.recoveryRate = price;
|
|
2409
|
+
break;
|
|
2410
|
+
case MDEntryType2.RecoveryRateForLong:
|
|
2411
|
+
data.recoveryRateForLong = price;
|
|
2412
|
+
break;
|
|
2413
|
+
case MDEntryType2.RecoveryRateForShort:
|
|
2414
|
+
data.recoveryRateForShort = price;
|
|
2415
|
+
break;
|
|
2416
|
+
case MDEntryType2.MarketBid:
|
|
2417
|
+
data.marketBid = price;
|
|
2418
|
+
break;
|
|
2419
|
+
case MDEntryType2.MarketOffer:
|
|
2420
|
+
data.marketOffer = price;
|
|
2421
|
+
break;
|
|
2422
|
+
case MDEntryType2.ShortSaleMinPrice:
|
|
2423
|
+
data.shortSaleMinPrice = price;
|
|
2424
|
+
break;
|
|
2425
|
+
case MDEntryType2.PreviousClosingPrice:
|
|
2426
|
+
data.previousClosingPrice = price;
|
|
2427
|
+
break;
|
|
2428
|
+
case MDEntryType2.ThresholdLimitPriceBanding:
|
|
2429
|
+
data.thresholdLimitPriceBanding = price;
|
|
2430
|
+
break;
|
|
2431
|
+
case MDEntryType2.DailyFinancingValue:
|
|
2432
|
+
data.dailyFinancingValue = price;
|
|
2433
|
+
break;
|
|
2434
|
+
case MDEntryType2.AccruedFinancingValue:
|
|
2435
|
+
data.accruedFinancingValue = price;
|
|
2436
|
+
break;
|
|
2437
|
+
case MDEntryType2.TWAP:
|
|
2438
|
+
data.twap = price;
|
|
2439
|
+
break;
|
|
2440
|
+
}
|
|
1168
2441
|
}
|
|
1169
|
-
|
|
1170
|
-
|
|
1171
|
-
|
|
1172
|
-
if (seenSchema !== void 0) {
|
|
1173
|
-
return seenSchema;
|
|
2442
|
+
data.spread = data.offer - data.bid;
|
|
2443
|
+
if (!marketDataPrices.has(symbol)) {
|
|
2444
|
+
marketDataPrices.set(symbol, []);
|
|
1174
2445
|
}
|
|
1175
|
-
|
|
1176
|
-
|
|
1177
|
-
|
|
1178
|
-
|
|
1179
|
-
const jsonSchema = typeof jsonSchemaOrGetter === "function" ? parseDef(jsonSchemaOrGetter(), refs) : jsonSchemaOrGetter;
|
|
1180
|
-
if (jsonSchema) {
|
|
1181
|
-
addMeta(def, refs, jsonSchema);
|
|
1182
|
-
}
|
|
1183
|
-
if (refs.postProcess) {
|
|
1184
|
-
const postProcessResult = refs.postProcess(jsonSchema, def, refs);
|
|
1185
|
-
newItem.jsonSchema = jsonSchema;
|
|
1186
|
-
return postProcessResult;
|
|
1187
|
-
}
|
|
1188
|
-
newItem.jsonSchema = jsonSchema;
|
|
1189
|
-
return jsonSchema;
|
|
1190
|
-
}
|
|
1191
|
-
var get$ref = (item, refs) => {
|
|
1192
|
-
switch (refs.$refStrategy) {
|
|
1193
|
-
case "root":
|
|
1194
|
-
return { $ref: item.path.join("/") };
|
|
1195
|
-
case "relative":
|
|
1196
|
-
return { $ref: getRelativePath(refs.currentPath, item.path) };
|
|
1197
|
-
case "none":
|
|
1198
|
-
case "seen": {
|
|
1199
|
-
if (item.path.length < refs.currentPath.length && item.path.every((value, index) => refs.currentPath[index] === value)) {
|
|
1200
|
-
console.warn(`Recursive reference detected at ${refs.currentPath.join("/")}! Defaulting to any`);
|
|
1201
|
-
return {};
|
|
1202
|
-
}
|
|
1203
|
-
return refs.$refStrategy === "seen" ? {} : void 0;
|
|
2446
|
+
const prices = marketDataPrices.get(symbol);
|
|
2447
|
+
prices.push(data);
|
|
2448
|
+
if (prices.length > maxPriceHistory) {
|
|
2449
|
+
prices.splice(0, prices.length - maxPriceHistory);
|
|
1204
2450
|
}
|
|
1205
|
-
|
|
1206
|
-
|
|
1207
|
-
|
|
1208
|
-
|
|
1209
|
-
|
|
1210
|
-
|
|
1211
|
-
|
|
1212
|
-
|
|
1213
|
-
return [(pathA.length - i).toString(), ...pathB.slice(i)].join("/");
|
|
1214
|
-
};
|
|
1215
|
-
var addMeta = (def, refs, jsonSchema) => {
|
|
1216
|
-
if (def.description) {
|
|
1217
|
-
jsonSchema.description = def.description;
|
|
1218
|
-
if (refs.markdownDescription) {
|
|
1219
|
-
jsonSchema.markdownDescription = def.description;
|
|
2451
|
+
onPriceUpdate?.(symbol, data);
|
|
2452
|
+
const mdReqID = message.getField(Fields3.MDReqID)?.value;
|
|
2453
|
+
if (mdReqID) {
|
|
2454
|
+
const callback = pendingRequests.get(mdReqID);
|
|
2455
|
+
if (callback) {
|
|
2456
|
+
callback(message);
|
|
2457
|
+
pendingRequests.delete(mdReqID);
|
|
2458
|
+
}
|
|
1220
2459
|
}
|
|
1221
|
-
}
|
|
1222
|
-
|
|
1223
|
-
|
|
1224
|
-
|
|
1225
|
-
|
|
1226
|
-
|
|
1227
|
-
const refs = getRefs(options);
|
|
1228
|
-
const definitions = typeof options === "object" && options.definitions ? Object.entries(options.definitions).reduce((acc, [name2, schema2]) => ({
|
|
1229
|
-
...acc,
|
|
1230
|
-
[name2]: parseDef(schema2._def, {
|
|
1231
|
-
...refs,
|
|
1232
|
-
currentPath: [...refs.basePath, refs.definitionPath, name2]
|
|
1233
|
-
}, true) ?? {}
|
|
1234
|
-
}), {}) : void 0;
|
|
1235
|
-
const name = typeof options === "string" ? options : options?.nameStrategy === "title" ? void 0 : options?.name;
|
|
1236
|
-
const main = parseDef(schema._def, name === void 0 ? refs : {
|
|
1237
|
-
...refs,
|
|
1238
|
-
currentPath: [...refs.basePath, refs.definitionPath, name]
|
|
1239
|
-
}, false) ?? {};
|
|
1240
|
-
const title = typeof options === "object" && options.name !== void 0 && options.nameStrategy === "title" ? options.name : void 0;
|
|
1241
|
-
if (title !== void 0) {
|
|
1242
|
-
main.title = title;
|
|
1243
|
-
}
|
|
1244
|
-
const combined = name === void 0 ? definitions ? {
|
|
1245
|
-
...main,
|
|
1246
|
-
[refs.definitionPath]: definitions
|
|
1247
|
-
} : main : {
|
|
1248
|
-
$ref: [
|
|
1249
|
-
...refs.$refStrategy === "relative" ? [] : refs.basePath,
|
|
1250
|
-
refs.definitionPath,
|
|
1251
|
-
name
|
|
1252
|
-
].join("/"),
|
|
1253
|
-
[refs.definitionPath]: {
|
|
1254
|
-
...definitions,
|
|
1255
|
-
[name]: main
|
|
2460
|
+
} else if (msgType === Messages3.ExecutionReport) {
|
|
2461
|
+
const reqId = message.getField(Fields3.ClOrdID)?.value;
|
|
2462
|
+
const callback = pendingRequests.get(reqId);
|
|
2463
|
+
if (callback) {
|
|
2464
|
+
callback(message);
|
|
2465
|
+
pendingRequests.delete(reqId);
|
|
1256
2466
|
}
|
|
1257
|
-
};
|
|
1258
|
-
if (refs.target === "jsonSchema7") {
|
|
1259
|
-
combined.$schema = "http://json-schema.org/draft-07/schema#";
|
|
1260
|
-
} else if (refs.target === "jsonSchema2019-09" || refs.target === "openAi") {
|
|
1261
|
-
combined.$schema = "https://json-schema.org/draft/2019-09/schema#";
|
|
1262
2467
|
}
|
|
1263
|
-
|
|
1264
|
-
console.warn("Warning: OpenAI may not support schemas with unions as roots! Try wrapping it in an object property.");
|
|
1265
|
-
}
|
|
1266
|
-
return combined;
|
|
1267
|
-
};
|
|
2468
|
+
}
|
|
1268
2469
|
|
|
1269
2470
|
// src/MCPLocal.ts
|
|
1270
|
-
|
|
1271
|
-
|
|
1272
|
-
|
|
1273
|
-
|
|
1274
|
-
|
|
1275
|
-
|
|
1276
|
-
|
|
1277
|
-
|
|
1278
|
-
|
|
1279
|
-
|
|
1280
|
-
|
|
1281
|
-
|
|
1282
|
-
|
|
2471
|
+
var MCPLocal = class extends MCPBase {
|
|
2472
|
+
/**
|
|
2473
|
+
* Map to store verified orders before execution
|
|
2474
|
+
* @private
|
|
2475
|
+
*/
|
|
2476
|
+
verifiedOrders = /* @__PURE__ */ new Map();
|
|
2477
|
+
/**
|
|
2478
|
+
* Map to store pending requests and their callbacks
|
|
2479
|
+
* @private
|
|
2480
|
+
*/
|
|
2481
|
+
pendingRequests = /* @__PURE__ */ new Map();
|
|
2482
|
+
/**
|
|
2483
|
+
* Map to store market data prices for each symbol
|
|
2484
|
+
* @private
|
|
2485
|
+
*/
|
|
2486
|
+
marketDataPrices = /* @__PURE__ */ new Map();
|
|
2487
|
+
/**
|
|
2488
|
+
* Maximum number of price history entries to keep per symbol
|
|
2489
|
+
* @private
|
|
2490
|
+
*/
|
|
2491
|
+
MAX_PRICE_HISTORY = 1e5;
|
|
1283
2492
|
server = new Server(
|
|
1284
2493
|
{
|
|
1285
2494
|
name: "fixparser",
|
|
@@ -1287,42 +2496,28 @@ var MCPLocal = class {
|
|
|
1287
2496
|
},
|
|
1288
2497
|
{
|
|
1289
2498
|
capabilities: {
|
|
1290
|
-
tools:
|
|
1291
|
-
|
|
1292
|
-
|
|
2499
|
+
tools: Object.entries(toolSchemas).reduce(
|
|
2500
|
+
(acc, [name, { description, schema }]) => {
|
|
2501
|
+
acc[name] = {
|
|
2502
|
+
description,
|
|
2503
|
+
parameters: schema
|
|
2504
|
+
};
|
|
2505
|
+
return acc;
|
|
2506
|
+
},
|
|
2507
|
+
{}
|
|
2508
|
+
)
|
|
1293
2509
|
}
|
|
1294
2510
|
}
|
|
1295
2511
|
);
|
|
1296
2512
|
transport = new StdioServerTransport();
|
|
1297
|
-
onReady = void 0;
|
|
1298
|
-
pendingRequests = /* @__PURE__ */ new Map();
|
|
1299
2513
|
constructor({ logger, onReady }) {
|
|
1300
|
-
|
|
1301
|
-
if (onReady) this.onReady = onReady;
|
|
2514
|
+
super({ logger, onReady });
|
|
1302
2515
|
}
|
|
1303
2516
|
async register(parser) {
|
|
1304
2517
|
this.parser = parser;
|
|
1305
2518
|
this.parser.addOnMessageCallback((message) => {
|
|
1306
|
-
this.
|
|
1307
|
-
level: "info",
|
|
1308
|
-
message: `FIXParser (MCP): (${parser.protocol?.toUpperCase()}): << received ${message.description}`
|
|
1309
|
-
});
|
|
1310
|
-
const msgType = message.messageType;
|
|
1311
|
-
if (msgType === Messages.MarketDataSnapshotFullRefresh || msgType === Messages.ExecutionReport) {
|
|
1312
|
-
const idField = msgType === Messages.MarketDataSnapshotFullRefresh ? message.getField(Fields.MDReqID) : message.getField(Fields.ClOrdID);
|
|
1313
|
-
if (idField) {
|
|
1314
|
-
const id = idField.value;
|
|
1315
|
-
if (typeof id === "string" || typeof id === "number") {
|
|
1316
|
-
const callback = this.pendingRequests.get(String(id));
|
|
1317
|
-
if (callback) {
|
|
1318
|
-
callback(message);
|
|
1319
|
-
this.pendingRequests.delete(String(id));
|
|
1320
|
-
}
|
|
1321
|
-
}
|
|
1322
|
-
}
|
|
1323
|
-
}
|
|
2519
|
+
handleMessage(message, this.parser, this.pendingRequests, this.marketDataPrices, this.MAX_PRICE_HISTORY);
|
|
1324
2520
|
});
|
|
1325
|
-
this.logger = parser.logger;
|
|
1326
2521
|
this.addWorkflows();
|
|
1327
2522
|
await this.server.connect(this.transport);
|
|
1328
2523
|
if (this.onReady) {
|
|
@@ -1331,637 +2526,59 @@ var MCPLocal = class {
|
|
|
1331
2526
|
}
|
|
1332
2527
|
addWorkflows() {
|
|
1333
2528
|
if (!this.parser) {
|
|
1334
|
-
this.logger?.log({
|
|
1335
|
-
level: "error",
|
|
1336
|
-
message: "FIXParser (MCP): -- FIXParser instance not initialized. Ignoring setup of workflows..."
|
|
1337
|
-
});
|
|
1338
2529
|
return;
|
|
1339
2530
|
}
|
|
1340
2531
|
if (!this.server) {
|
|
1341
|
-
this.logger?.log({
|
|
1342
|
-
level: "error",
|
|
1343
|
-
message: "FIXParser (MCP): -- MCP Server not initialized. Ignoring setup of workflows..."
|
|
1344
|
-
});
|
|
1345
2532
|
return;
|
|
1346
2533
|
}
|
|
1347
|
-
this.server.setRequestHandler(
|
|
2534
|
+
this.server.setRequestHandler(z.object({ method: z.literal("tools/list") }), async () => {
|
|
1348
2535
|
return {
|
|
1349
|
-
|
|
1350
|
-
|
|
1351
|
-
|
|
1352
|
-
|
|
1353
|
-
|
|
1354
|
-
tools: [
|
|
1355
|
-
{
|
|
1356
|
-
name: "parse",
|
|
1357
|
-
description: "Parses a FIX message and describes it in plain language",
|
|
1358
|
-
inputSchema: zodToJsonSchema(
|
|
1359
|
-
z.object({
|
|
1360
|
-
fixString: z.string().describe("FIX message string to parse")
|
|
1361
|
-
}),
|
|
1362
|
-
{ name: "ParseInput" }
|
|
1363
|
-
)
|
|
1364
|
-
},
|
|
1365
|
-
{
|
|
1366
|
-
name: "parseToJSON",
|
|
1367
|
-
description: "Parses a FIX message into JSON",
|
|
1368
|
-
inputSchema: zodToJsonSchema(
|
|
1369
|
-
z.object({
|
|
1370
|
-
fixString: z.string().describe("FIX message string to parse")
|
|
1371
|
-
}),
|
|
1372
|
-
{ name: "ParseToJSONInput" }
|
|
1373
|
-
)
|
|
1374
|
-
},
|
|
1375
|
-
{
|
|
1376
|
-
name: "newOrderSingle",
|
|
1377
|
-
description: "Creates and sends a New Order Single",
|
|
1378
|
-
inputSchema: zodToJsonSchema(
|
|
1379
|
-
z.object({
|
|
1380
|
-
clOrdID: z.string().describe("Client Order ID"),
|
|
1381
|
-
handlInst: z.enum(["1", "2", "3"]).default(HandlInst.AutomatedExecutionNoIntervention).optional().describe("Handling instruction"),
|
|
1382
|
-
quantity: z.number().describe("Order quantity"),
|
|
1383
|
-
price: z.number().describe("Order price"),
|
|
1384
|
-
ordType: z.enum([
|
|
1385
|
-
"1",
|
|
1386
|
-
"2",
|
|
1387
|
-
"3",
|
|
1388
|
-
"4",
|
|
1389
|
-
"5",
|
|
1390
|
-
"6",
|
|
1391
|
-
"7",
|
|
1392
|
-
"8",
|
|
1393
|
-
"9",
|
|
1394
|
-
"A",
|
|
1395
|
-
"B",
|
|
1396
|
-
"C",
|
|
1397
|
-
"D",
|
|
1398
|
-
"E",
|
|
1399
|
-
"F",
|
|
1400
|
-
"G",
|
|
1401
|
-
"H",
|
|
1402
|
-
"I",
|
|
1403
|
-
"J",
|
|
1404
|
-
"K",
|
|
1405
|
-
"L",
|
|
1406
|
-
"M",
|
|
1407
|
-
"P",
|
|
1408
|
-
"Q",
|
|
1409
|
-
"R",
|
|
1410
|
-
"S"
|
|
1411
|
-
]).default("1").optional().describe("Order type"),
|
|
1412
|
-
side: z.enum([
|
|
1413
|
-
"1",
|
|
1414
|
-
"2",
|
|
1415
|
-
"3",
|
|
1416
|
-
"4",
|
|
1417
|
-
"5",
|
|
1418
|
-
"6",
|
|
1419
|
-
"7",
|
|
1420
|
-
"8",
|
|
1421
|
-
"9",
|
|
1422
|
-
"A",
|
|
1423
|
-
"B",
|
|
1424
|
-
"C",
|
|
1425
|
-
"D",
|
|
1426
|
-
"E",
|
|
1427
|
-
"F",
|
|
1428
|
-
"G",
|
|
1429
|
-
"H"
|
|
1430
|
-
]).describe("Order side (1=Buy, 2=Sell)"),
|
|
1431
|
-
symbol: z.string().describe("Trading symbol"),
|
|
1432
|
-
timeInForce: z.enum(["0", "1", "2", "3", "4", "5", "6", "7", "8", "9", "A", "B", "C"]).default(TimeInForce.Day).optional().describe("Time in force")
|
|
1433
|
-
}),
|
|
1434
|
-
{ name: "NewOrderSingleInput" }
|
|
1435
|
-
)
|
|
1436
|
-
},
|
|
1437
|
-
{
|
|
1438
|
-
name: "marketDataRequest",
|
|
1439
|
-
description: "Sends a request for Market Data with the given symbol",
|
|
1440
|
-
inputSchema: zodToJsonSchema(
|
|
1441
|
-
z.object({
|
|
1442
|
-
mdUpdateType: z.enum(["0", "1"]).default("0").optional().describe("Market data update type"),
|
|
1443
|
-
symbol: z.string().describe("Trading symbol"),
|
|
1444
|
-
mdReqID: z.string().describe("Market data request ID"),
|
|
1445
|
-
subscriptionRequestType: z.enum(["0", "1", "2"]).default(SubscriptionRequestType.SnapshotAndUpdates).optional().describe("Subscription request type"),
|
|
1446
|
-
mdEntryType: z.enum([
|
|
1447
|
-
"0",
|
|
1448
|
-
"1",
|
|
1449
|
-
"2",
|
|
1450
|
-
"3",
|
|
1451
|
-
"4",
|
|
1452
|
-
"5",
|
|
1453
|
-
"6",
|
|
1454
|
-
"7",
|
|
1455
|
-
"8",
|
|
1456
|
-
"9",
|
|
1457
|
-
"A",
|
|
1458
|
-
"B",
|
|
1459
|
-
"C",
|
|
1460
|
-
"D",
|
|
1461
|
-
"E",
|
|
1462
|
-
"F",
|
|
1463
|
-
"G",
|
|
1464
|
-
"H",
|
|
1465
|
-
"J",
|
|
1466
|
-
"K",
|
|
1467
|
-
"L",
|
|
1468
|
-
"M",
|
|
1469
|
-
"N",
|
|
1470
|
-
"O",
|
|
1471
|
-
"P",
|
|
1472
|
-
"Q",
|
|
1473
|
-
"S",
|
|
1474
|
-
"R",
|
|
1475
|
-
"T",
|
|
1476
|
-
"U",
|
|
1477
|
-
"V",
|
|
1478
|
-
"W",
|
|
1479
|
-
"X",
|
|
1480
|
-
"Y",
|
|
1481
|
-
"Z",
|
|
1482
|
-
"a",
|
|
1483
|
-
"b",
|
|
1484
|
-
"c",
|
|
1485
|
-
"d",
|
|
1486
|
-
"e",
|
|
1487
|
-
"g",
|
|
1488
|
-
"h",
|
|
1489
|
-
"i",
|
|
1490
|
-
"t"
|
|
1491
|
-
]).default(MDEntryType.Bid).optional().describe("Market data entry type")
|
|
1492
|
-
}),
|
|
1493
|
-
{ name: "MarketDataRequestInput" }
|
|
1494
|
-
)
|
|
1495
|
-
}
|
|
1496
|
-
]
|
|
2536
|
+
tools: Object.entries(toolSchemas).map(([name, { description, schema }]) => ({
|
|
2537
|
+
name,
|
|
2538
|
+
description,
|
|
2539
|
+
inputSchema: schema
|
|
2540
|
+
}))
|
|
1497
2541
|
};
|
|
1498
2542
|
});
|
|
1499
|
-
this.server.setRequestHandler(
|
|
1500
|
-
|
|
1501
|
-
|
|
1502
|
-
|
|
1503
|
-
|
|
1504
|
-
|
|
1505
|
-
|
|
1506
|
-
|
|
1507
|
-
|
|
1508
|
-
|
|
1509
|
-
|
|
1510
|
-
|
|
1511
|
-
|
|
1512
|
-
|
|
1513
|
-
|
|
1514
|
-
|
|
1515
|
-
|
|
1516
|
-
|
|
1517
|
-
|
|
1518
|
-
|
|
1519
|
-
|
|
1520
|
-
]
|
|
1521
|
-
};
|
|
1522
|
-
} catch (error) {
|
|
1523
|
-
return {
|
|
1524
|
-
isError: true,
|
|
1525
|
-
content: [
|
|
1526
|
-
{
|
|
1527
|
-
type: "text",
|
|
1528
|
-
text: "Error: Failed to parse FIX string"
|
|
1529
|
-
}
|
|
1530
|
-
]
|
|
1531
|
-
};
|
|
1532
|
-
}
|
|
1533
|
-
}
|
|
1534
|
-
case "parseToJSON": {
|
|
1535
|
-
const { fixString } = z.object({
|
|
1536
|
-
fixString: z.string().describe("FIX message string to parse")
|
|
1537
|
-
}).parse(args || {});
|
|
1538
|
-
try {
|
|
1539
|
-
const parsedMessage = this.parser?.parse(fixString);
|
|
1540
|
-
if (!parsedMessage || parsedMessage.length === 0) {
|
|
1541
|
-
return {
|
|
1542
|
-
isError: true,
|
|
1543
|
-
content: [{ type: "text", text: "Error: Failed to parse FIX string" }]
|
|
1544
|
-
};
|
|
1545
|
-
}
|
|
1546
|
-
return {
|
|
1547
|
-
content: [
|
|
1548
|
-
{
|
|
1549
|
-
type: "text",
|
|
1550
|
-
text: JSON.stringify({ fixString, parsed: "placeholder" })
|
|
1551
|
-
}
|
|
1552
|
-
]
|
|
1553
|
-
};
|
|
1554
|
-
} catch (error) {
|
|
1555
|
-
return {
|
|
1556
|
-
isError: true,
|
|
1557
|
-
content: [
|
|
1558
|
-
{
|
|
1559
|
-
type: "text",
|
|
1560
|
-
text: "Error: Failed to parse FIX string"
|
|
1561
|
-
}
|
|
1562
|
-
]
|
|
1563
|
-
};
|
|
1564
|
-
}
|
|
1565
|
-
}
|
|
1566
|
-
case "newOrderSingle": {
|
|
1567
|
-
const { clOrdID, handlInst, quantity, price, ordType, side, symbol, timeInForce } = z.object({
|
|
1568
|
-
clOrdID: z.string().describe("Client Order ID"),
|
|
1569
|
-
handlInst: z.enum(["1", "2", "3"]).default(HandlInst.AutomatedExecutionNoIntervention).optional().describe("Handling instruction"),
|
|
1570
|
-
quantity: z.number().describe("Order quantity"),
|
|
1571
|
-
price: z.number().describe("Order price"),
|
|
1572
|
-
ordType: z.enum([
|
|
1573
|
-
"1",
|
|
1574
|
-
"2",
|
|
1575
|
-
"3",
|
|
1576
|
-
"4",
|
|
1577
|
-
"5",
|
|
1578
|
-
"6",
|
|
1579
|
-
"7",
|
|
1580
|
-
"8",
|
|
1581
|
-
"9",
|
|
1582
|
-
"A",
|
|
1583
|
-
"B",
|
|
1584
|
-
"C",
|
|
1585
|
-
"D",
|
|
1586
|
-
"E",
|
|
1587
|
-
"F",
|
|
1588
|
-
"G",
|
|
1589
|
-
"H",
|
|
1590
|
-
"I",
|
|
1591
|
-
"J",
|
|
1592
|
-
"K",
|
|
1593
|
-
"L",
|
|
1594
|
-
"M",
|
|
1595
|
-
"P",
|
|
1596
|
-
"Q",
|
|
1597
|
-
"R",
|
|
1598
|
-
"S"
|
|
1599
|
-
]).default(OrdType.Market).optional().describe("Order type"),
|
|
1600
|
-
side: z.enum([
|
|
1601
|
-
"1",
|
|
1602
|
-
"2",
|
|
1603
|
-
"3",
|
|
1604
|
-
"4",
|
|
1605
|
-
"5",
|
|
1606
|
-
"6",
|
|
1607
|
-
"7",
|
|
1608
|
-
"8",
|
|
1609
|
-
"9",
|
|
1610
|
-
"A",
|
|
1611
|
-
"B",
|
|
1612
|
-
"C",
|
|
1613
|
-
"D",
|
|
1614
|
-
"E",
|
|
1615
|
-
"F",
|
|
1616
|
-
"G",
|
|
1617
|
-
"H"
|
|
1618
|
-
]).describe("Order side (1=Buy, 2=Sell)"),
|
|
1619
|
-
symbol: z.string().describe("Trading symbol"),
|
|
1620
|
-
timeInForce: z.enum(["0", "1", "2", "3", "4", "5", "6", "7", "8", "9", "A", "B", "C"]).default(TimeInForce.Day).optional().describe("Time in force")
|
|
1621
|
-
}).parse(args || {});
|
|
1622
|
-
const response = new Promise((resolve) => {
|
|
1623
|
-
this.pendingRequests.set(clOrdID, resolve);
|
|
1624
|
-
});
|
|
1625
|
-
const order = this.parser?.createMessage(
|
|
1626
|
-
new Field(Fields.MsgType, Messages.NewOrderSingle),
|
|
1627
|
-
new Field(Fields.MsgSeqNum, this.parser?.getNextTargetMsgSeqNum()),
|
|
1628
|
-
new Field(Fields.SenderCompID, this.parser?.sender),
|
|
1629
|
-
new Field(Fields.TargetCompID, this.parser?.target),
|
|
1630
|
-
new Field(Fields.SendingTime, this.parser?.getTimestamp()),
|
|
1631
|
-
new Field(Fields.ClOrdID, clOrdID),
|
|
1632
|
-
new Field(Fields.Side, side),
|
|
1633
|
-
new Field(Fields.Symbol, symbol),
|
|
1634
|
-
new Field(Fields.OrderQty, quantity),
|
|
1635
|
-
new Field(Fields.Price, price),
|
|
1636
|
-
new Field(Fields.OrdType, ordType),
|
|
1637
|
-
new Field(Fields.HandlInst, handlInst),
|
|
1638
|
-
new Field(Fields.TimeInForce, timeInForce),
|
|
1639
|
-
new Field(Fields.TransactTime, this.parser?.getTimestamp())
|
|
1640
|
-
);
|
|
1641
|
-
if (!this.parser?.connected) {
|
|
1642
|
-
this.logger?.log({
|
|
1643
|
-
level: "error",
|
|
1644
|
-
message: "FIXParser (MCP): -- Not connected. Ignoring message."
|
|
1645
|
-
});
|
|
1646
|
-
return {
|
|
1647
|
-
isError: true,
|
|
1648
|
-
content: [
|
|
1649
|
-
{
|
|
1650
|
-
type: "text",
|
|
1651
|
-
text: "Error: Not connected. Ignoring message."
|
|
1652
|
-
}
|
|
1653
|
-
]
|
|
1654
|
-
};
|
|
1655
|
-
}
|
|
1656
|
-
this.parser?.send(order);
|
|
1657
|
-
this.logger?.log({
|
|
1658
|
-
level: "info",
|
|
1659
|
-
message: `FIXParser (MCP): (${this.parser?.protocol?.toUpperCase()}): >> sent ${order?.description}`
|
|
1660
|
-
});
|
|
1661
|
-
const fixData = await response;
|
|
1662
|
-
return {
|
|
1663
|
-
content: [
|
|
1664
|
-
{
|
|
1665
|
-
type: "text",
|
|
1666
|
-
text: `Execution Report for order ${clOrdID}: ${JSON.stringify(fixData.toFIXJSON())}`
|
|
1667
|
-
}
|
|
1668
|
-
]
|
|
1669
|
-
};
|
|
1670
|
-
}
|
|
1671
|
-
case "marketDataRequest": {
|
|
1672
|
-
const { mdUpdateType, symbol, mdReqID, subscriptionRequestType, mdEntryType } = z.object({
|
|
1673
|
-
mdUpdateType: z.enum(["0", "1"]).default("0").optional().describe("Market data update type"),
|
|
1674
|
-
symbol: z.string().describe("Trading symbol"),
|
|
1675
|
-
mdReqID: z.string().describe("Market data request ID"),
|
|
1676
|
-
subscriptionRequestType: z.enum(["0", "1", "2"]).default(SubscriptionRequestType.SnapshotAndUpdates).optional().describe("Subscription request type"),
|
|
1677
|
-
mdEntryType: z.enum([
|
|
1678
|
-
"0",
|
|
1679
|
-
"1",
|
|
1680
|
-
"2",
|
|
1681
|
-
"3",
|
|
1682
|
-
"4",
|
|
1683
|
-
"5",
|
|
1684
|
-
"6",
|
|
1685
|
-
"7",
|
|
1686
|
-
"8",
|
|
1687
|
-
"9",
|
|
1688
|
-
"A",
|
|
1689
|
-
"B",
|
|
1690
|
-
"C",
|
|
1691
|
-
"D",
|
|
1692
|
-
"E",
|
|
1693
|
-
"F",
|
|
1694
|
-
"G",
|
|
1695
|
-
"H",
|
|
1696
|
-
"J",
|
|
1697
|
-
"K",
|
|
1698
|
-
"L",
|
|
1699
|
-
"M",
|
|
1700
|
-
"N",
|
|
1701
|
-
"O",
|
|
1702
|
-
"P",
|
|
1703
|
-
"Q",
|
|
1704
|
-
"S",
|
|
1705
|
-
"R",
|
|
1706
|
-
"T",
|
|
1707
|
-
"U",
|
|
1708
|
-
"V",
|
|
1709
|
-
"W",
|
|
1710
|
-
"X",
|
|
1711
|
-
"Y",
|
|
1712
|
-
"Z",
|
|
1713
|
-
"a",
|
|
1714
|
-
"b",
|
|
1715
|
-
"c",
|
|
1716
|
-
"d",
|
|
1717
|
-
"e",
|
|
1718
|
-
"g",
|
|
1719
|
-
"h",
|
|
1720
|
-
"i",
|
|
1721
|
-
"t"
|
|
1722
|
-
]).default(MDEntryType.Bid).optional().describe("Market data entry type")
|
|
1723
|
-
}).parse(args || {});
|
|
1724
|
-
const response = new Promise((resolve) => {
|
|
1725
|
-
this.pendingRequests.set(mdReqID, resolve);
|
|
1726
|
-
});
|
|
1727
|
-
const marketDataRequest = this.parser?.createMessage(
|
|
1728
|
-
new Field(Fields.MsgType, Messages.MarketDataRequest),
|
|
1729
|
-
new Field(Fields.SenderCompID, this.parser?.sender),
|
|
1730
|
-
new Field(Fields.MsgSeqNum, this.parser?.getNextTargetMsgSeqNum()),
|
|
1731
|
-
new Field(Fields.TargetCompID, this.parser?.target),
|
|
1732
|
-
new Field(Fields.SendingTime, this.parser?.getTimestamp()),
|
|
1733
|
-
new Field(Fields.MarketDepth, 0),
|
|
1734
|
-
new Field(Fields.MDUpdateType, mdUpdateType),
|
|
1735
|
-
new Field(Fields.NoRelatedSym, 1),
|
|
1736
|
-
new Field(Fields.Symbol, symbol),
|
|
1737
|
-
new Field(Fields.MDReqID, mdReqID),
|
|
1738
|
-
new Field(Fields.SubscriptionRequestType, subscriptionRequestType),
|
|
1739
|
-
new Field(Fields.NoMDEntryTypes, 1),
|
|
1740
|
-
new Field(Fields.MDEntryType, mdEntryType)
|
|
1741
|
-
);
|
|
1742
|
-
if (!this.parser?.connected) {
|
|
1743
|
-
this.logger?.log({
|
|
1744
|
-
level: "error",
|
|
1745
|
-
message: "FIXParser (MCP): -- Not connected. Ignoring message."
|
|
1746
|
-
});
|
|
1747
|
-
return {
|
|
1748
|
-
isError: true,
|
|
1749
|
-
content: [
|
|
1750
|
-
{
|
|
1751
|
-
type: "text",
|
|
1752
|
-
text: "Error: Not connected. Ignoring message."
|
|
1753
|
-
}
|
|
1754
|
-
]
|
|
1755
|
-
};
|
|
1756
|
-
}
|
|
1757
|
-
this.parser?.send(marketDataRequest);
|
|
1758
|
-
this.logger?.log({
|
|
1759
|
-
level: "info",
|
|
1760
|
-
message: `FIXParser (MCP): (${this.parser?.protocol?.toUpperCase()}): >> sent ${marketDataRequest?.description}`
|
|
1761
|
-
});
|
|
1762
|
-
const fixData = await response;
|
|
2543
|
+
this.server.setRequestHandler(
|
|
2544
|
+
z.object({
|
|
2545
|
+
method: z.literal("tools/call"),
|
|
2546
|
+
params: z.object({
|
|
2547
|
+
name: z.string(),
|
|
2548
|
+
arguments: z.any(),
|
|
2549
|
+
_meta: z.object({
|
|
2550
|
+
progressToken: z.number()
|
|
2551
|
+
}).optional()
|
|
2552
|
+
})
|
|
2553
|
+
}),
|
|
2554
|
+
async (request) => {
|
|
2555
|
+
const { name, arguments: args } = request.params;
|
|
2556
|
+
const toolHandlers = createToolHandlers(
|
|
2557
|
+
this.parser,
|
|
2558
|
+
this.verifiedOrders,
|
|
2559
|
+
this.pendingRequests,
|
|
2560
|
+
this.marketDataPrices
|
|
2561
|
+
);
|
|
2562
|
+
const handler = toolHandlers[name];
|
|
2563
|
+
if (!handler) {
|
|
1763
2564
|
return {
|
|
1764
2565
|
content: [
|
|
1765
2566
|
{
|
|
1766
2567
|
type: "text",
|
|
1767
|
-
text: `
|
|
1768
|
-
|
|
1769
|
-
]
|
|
1770
|
-
};
|
|
1771
|
-
}
|
|
1772
|
-
default:
|
|
1773
|
-
throw new Error(`Unknown tool: ${name}`);
|
|
1774
|
-
}
|
|
1775
|
-
});
|
|
1776
|
-
this.server.setRequestHandler(ListPromptsRequestSchema, async () => {
|
|
1777
|
-
return {
|
|
1778
|
-
prompts: [
|
|
1779
|
-
{
|
|
1780
|
-
name: "parse",
|
|
1781
|
-
description: "Parses a FIX message and describes it in plain language",
|
|
1782
|
-
arguments: [
|
|
1783
|
-
{
|
|
1784
|
-
name: "fixString",
|
|
1785
|
-
description: "FIX message string to parse",
|
|
1786
|
-
required: true
|
|
1787
|
-
}
|
|
1788
|
-
]
|
|
1789
|
-
},
|
|
1790
|
-
{
|
|
1791
|
-
name: "parseToJSON",
|
|
1792
|
-
description: "Parses a FIX message into JSON",
|
|
1793
|
-
arguments: [
|
|
1794
|
-
{
|
|
1795
|
-
name: "fixString",
|
|
1796
|
-
description: "FIX message string to parse",
|
|
1797
|
-
required: true
|
|
1798
|
-
}
|
|
1799
|
-
]
|
|
1800
|
-
},
|
|
1801
|
-
{
|
|
1802
|
-
name: "newOrderSingle",
|
|
1803
|
-
description: "Creates and sends a New Order Single",
|
|
1804
|
-
arguments: [
|
|
1805
|
-
{
|
|
1806
|
-
name: "clOrdID",
|
|
1807
|
-
description: "Client Order ID",
|
|
1808
|
-
required: true
|
|
1809
|
-
},
|
|
1810
|
-
{
|
|
1811
|
-
name: "handlInst",
|
|
1812
|
-
description: "Handling instruction",
|
|
1813
|
-
required: false
|
|
1814
|
-
},
|
|
1815
|
-
{
|
|
1816
|
-
name: "quantity",
|
|
1817
|
-
description: "Order quantity",
|
|
1818
|
-
required: true
|
|
1819
|
-
},
|
|
1820
|
-
{
|
|
1821
|
-
name: "price",
|
|
1822
|
-
description: "Order price",
|
|
1823
|
-
required: true
|
|
1824
|
-
},
|
|
1825
|
-
{
|
|
1826
|
-
name: "ordType",
|
|
1827
|
-
description: "Order type",
|
|
1828
|
-
required: false
|
|
1829
|
-
},
|
|
1830
|
-
{
|
|
1831
|
-
name: "side",
|
|
1832
|
-
description: "Order side (1=Buy, 2=Sell)",
|
|
1833
|
-
required: true
|
|
1834
|
-
},
|
|
1835
|
-
{
|
|
1836
|
-
name: "symbol",
|
|
1837
|
-
description: "Trading symbol",
|
|
1838
|
-
required: true
|
|
1839
|
-
},
|
|
1840
|
-
{
|
|
1841
|
-
name: "timeInForce",
|
|
1842
|
-
description: "Time in force",
|
|
1843
|
-
required: false
|
|
1844
|
-
}
|
|
1845
|
-
]
|
|
1846
|
-
},
|
|
1847
|
-
{
|
|
1848
|
-
name: "marketDataRequest",
|
|
1849
|
-
description: "Sends a request for Market Data with the given symbol",
|
|
1850
|
-
arguments: [
|
|
1851
|
-
{
|
|
1852
|
-
name: "mdUpdateType",
|
|
1853
|
-
description: "Market data update type",
|
|
1854
|
-
required: false
|
|
1855
|
-
},
|
|
1856
|
-
{
|
|
1857
|
-
name: "symbol",
|
|
1858
|
-
description: "Trading symbol",
|
|
1859
|
-
required: true
|
|
1860
|
-
},
|
|
1861
|
-
{
|
|
1862
|
-
name: "mdReqID",
|
|
1863
|
-
description: "Market data request ID",
|
|
1864
|
-
required: true
|
|
1865
|
-
},
|
|
1866
|
-
{
|
|
1867
|
-
name: "subscriptionRequestType",
|
|
1868
|
-
description: "Subscription request type",
|
|
1869
|
-
required: false
|
|
1870
|
-
},
|
|
1871
|
-
{
|
|
1872
|
-
name: "mdEntryType",
|
|
1873
|
-
description: "Market data entry type",
|
|
1874
|
-
required: false
|
|
1875
|
-
}
|
|
1876
|
-
]
|
|
1877
|
-
}
|
|
1878
|
-
]
|
|
1879
|
-
};
|
|
1880
|
-
});
|
|
1881
|
-
this.server.setRequestHandler(GetPromptRequestSchema, async (request) => {
|
|
1882
|
-
const { name, arguments: args } = request.params;
|
|
1883
|
-
switch (name) {
|
|
1884
|
-
case "parse": {
|
|
1885
|
-
const fixString = args?.fixString || "";
|
|
1886
|
-
return {
|
|
1887
|
-
messages: [
|
|
1888
|
-
{
|
|
1889
|
-
role: "user",
|
|
1890
|
-
content: {
|
|
1891
|
-
type: "text",
|
|
1892
|
-
text: `Please parse and explain this FIX message: ${fixString}`
|
|
1893
|
-
}
|
|
1894
|
-
}
|
|
1895
|
-
]
|
|
1896
|
-
};
|
|
1897
|
-
}
|
|
1898
|
-
case "parseToJSON": {
|
|
1899
|
-
const fixString = args?.fixString || "";
|
|
1900
|
-
return {
|
|
1901
|
-
messages: [
|
|
1902
|
-
{
|
|
1903
|
-
role: "user",
|
|
1904
|
-
content: {
|
|
1905
|
-
type: "text",
|
|
1906
|
-
text: `Please parse the FIX message to JSON: ${fixString}`
|
|
1907
|
-
}
|
|
1908
|
-
}
|
|
1909
|
-
]
|
|
1910
|
-
};
|
|
1911
|
-
}
|
|
1912
|
-
case "newOrderSingle": {
|
|
1913
|
-
const { clOrdID, handlInst, quantity, price, ordType, side, symbol, timeInForce } = args || {};
|
|
1914
|
-
return {
|
|
1915
|
-
messages: [
|
|
1916
|
-
{
|
|
1917
|
-
role: "user",
|
|
1918
|
-
content: {
|
|
1919
|
-
type: "text",
|
|
1920
|
-
text: [
|
|
1921
|
-
"Create a New Order Single FIX message with the following parameters:",
|
|
1922
|
-
`- ClOrdID: ${clOrdID}`,
|
|
1923
|
-
`- HandlInst: ${handlInst ?? "default"}`,
|
|
1924
|
-
`- Quantity: ${quantity}`,
|
|
1925
|
-
`- Price: ${price}`,
|
|
1926
|
-
`- OrdType: ${ordType ?? "default (Market)"}`,
|
|
1927
|
-
`- Side: ${side}`,
|
|
1928
|
-
`- Symbol: ${symbol}`,
|
|
1929
|
-
`- TimeInForce: ${timeInForce ?? "default (Day)"}`,
|
|
1930
|
-
"",
|
|
1931
|
-
"Format the response as a JSON object with FIX tag numbers as keys and their corresponding values."
|
|
1932
|
-
].join("\n")
|
|
1933
|
-
}
|
|
2568
|
+
text: `Tool not found: ${name}`,
|
|
2569
|
+
uri: name
|
|
1934
2570
|
}
|
|
1935
|
-
]
|
|
1936
|
-
|
|
1937
|
-
}
|
|
1938
|
-
case "marketDataRequest": {
|
|
1939
|
-
const { mdUpdateType, symbol, mdReqID, subscriptionRequestType, mdEntryType } = args || {};
|
|
1940
|
-
return {
|
|
1941
|
-
messages: [
|
|
1942
|
-
{
|
|
1943
|
-
role: "user",
|
|
1944
|
-
content: {
|
|
1945
|
-
type: "text",
|
|
1946
|
-
text: [
|
|
1947
|
-
"Create a Market Data Request FIX message with the following parameters:",
|
|
1948
|
-
`- MDUpdateType: ${mdUpdateType ?? "default (0 = FullRefresh)"}`,
|
|
1949
|
-
`- Symbol: ${symbol}`,
|
|
1950
|
-
`- MDReqID: ${mdReqID}`,
|
|
1951
|
-
`- SubscriptionRequestType: ${subscriptionRequestType ?? "default (0 = Snapshot + Updates)"}`,
|
|
1952
|
-
`- MDEntryType: ${mdEntryType ?? "default (0 = Bid)"}`,
|
|
1953
|
-
"",
|
|
1954
|
-
"Format the response as a JSON object with FIX tag numbers as keys and their corresponding values."
|
|
1955
|
-
].join("\n")
|
|
1956
|
-
}
|
|
1957
|
-
}
|
|
1958
|
-
]
|
|
2571
|
+
],
|
|
2572
|
+
isError: true
|
|
1959
2573
|
};
|
|
1960
2574
|
}
|
|
1961
|
-
|
|
1962
|
-
|
|
2575
|
+
const result = await handler(args);
|
|
2576
|
+
return {
|
|
2577
|
+
content: result.content,
|
|
2578
|
+
isError: result.isError
|
|
2579
|
+
};
|
|
1963
2580
|
}
|
|
1964
|
-
|
|
2581
|
+
);
|
|
1965
2582
|
process.on("SIGINT", async () => {
|
|
1966
2583
|
await this.server.close();
|
|
1967
2584
|
process.exit(0);
|