fixparser-plugin-mcp 9.1.7-74db6dbc → 9.1.7-75ded9c1

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@@ -5,2581 +5,130 @@ import { McpServer } from "@modelcontextprotocol/sdk/server/mcp.js";
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  import { StreamableHTTPServerTransport } from "@modelcontextprotocol/sdk/server/streamableHttp.js";
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  import { isInitializeRequest } from "@modelcontextprotocol/sdk/types.js";
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  import { z } from "zod";
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-
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- // src/MCPBase.ts
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- var MCPBase = class {
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- /**
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- * Optional logger instance for diagnostics and output.
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- * @protected
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- */
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- logger;
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- /**
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- * FIXParser instance, set during plugin register().
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- * @protected
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- */
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- parser;
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- /**
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- * Called when server is setup and listening.
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- * @protected
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- */
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- onReady = void 0;
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- /**
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- * Map to store verified orders before execution
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- * @protected
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- */
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- verifiedOrders = /* @__PURE__ */ new Map();
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- /**
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- * Map to store pending market data requests
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- * @protected
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- */
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- pendingRequests = /* @__PURE__ */ new Map();
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- /**
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- * Map to store market data prices
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- * @protected
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- */
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- marketDataPrices = /* @__PURE__ */ new Map();
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- /**
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- * Maximum number of price history entries to keep per symbol
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- * @protected
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- */
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- MAX_PRICE_HISTORY = 1e5;
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- constructor({ logger, onReady }) {
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- this.logger = logger;
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- this.onReady = onReady;
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- }
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- };
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-
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- // src/schemas/schemas.ts
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- var toolSchemas = {
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- parse: {
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- description: "Parses a FIX message and describes it in plain language",
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- schema: {
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- type: "object",
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- properties: {
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- fixString: { type: "string" }
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- },
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- required: ["fixString"]
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- }
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- },
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- parseToJSON: {
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- description: "Parses a FIX message into JSON",
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- schema: {
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- type: "object",
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- properties: {
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- fixString: { type: "string" }
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- },
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- required: ["fixString"]
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- }
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- },
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- verifyOrder: {
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- description: "Verifies order parameters before execution. verifyOrder must be called before executeOrder.",
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- schema: {
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- type: "object",
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- properties: {
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- clOrdID: { type: "string" },
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- handlInst: {
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- type: "string",
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- enum: ["1", "2", "3"],
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- description: "Handling Instructions: 1=Automated Execution No Intervention, 2=Automated Execution Intervention OK, 3=Manual Order"
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- },
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- quantity: { type: "string" },
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- price: { type: "string" },
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- ordType: {
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- type: "string",
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- enum: [
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- "1",
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- "2",
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- "3",
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- "4",
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- "5",
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- "6",
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- "7",
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- "8",
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- "9",
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- "A",
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- "B",
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- "C",
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- "D",
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- "E",
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- "F",
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- "G",
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- "H",
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- "I",
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- "J",
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- "K",
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- "L",
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- "M",
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- "P",
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- "Q",
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- "R",
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- "S"
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- ],
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- description: "Order Type: 1=Market, 2=Limit, 3=Stop, 4=StopLimit, 5=MarketOnClose, 6=WithOrWithout, 7=LimitOrBetter, 8=LimitWithOrWithout, 9=OnBasis, A=OnClose, B=LimitOnClose, C=ForexMarket, D=PreviouslyQuoted, E=PreviouslyIndicated, F=ForexLimit, G=ForexSwap, H=ForexPreviouslyQuoted, I=Funari, J=MarketIfTouched, K=MarketWithLeftOverAsLimit, L=PreviousFundValuationPoint, M=NextFundValuationPoint, P=Pegged, Q=CounterOrderSelection, R=StopOnBidOrOffer, S=StopLimitOnBidOrOffer"
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- },
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- side: {
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- type: "string",
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- enum: ["1", "2", "3", "4", "5", "6", "7", "8", "9", "A", "B", "C", "D", "E", "F", "G", "H"],
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- description: "Side: 1=Buy, 2=Sell, 3=BuyMinus, 4=SellPlus, 5=SellShort, 6=SellShortExempt, 7=Undisclosed, 8=Cross, 9=CrossShort, A=CrossShortExempt, B=AsDefined, C=Opposite, D=Subscribe, E=Redeem, F=Lend, G=Borrow, H=SellUndisclosed"
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- },
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- symbol: { type: "string" },
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- timeInForce: {
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- type: "string",
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- enum: ["0", "1", "2", "3", "4", "5", "6", "7", "8", "9", "A", "B", "C"],
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- description: "Time In Force: 0=Day, 1=GoodTillCancel, 2=AtTheOpening, 3=ImmediateOrCancel, 4=FillOrKill, 5=GoodTillCrossing, 6=GoodTillDate, 7=AtTheClose, 8=GoodThroughCrossing, 9=AtCrossing, A=GoodForTime, B=GoodForAuction, C=GoodForMonth"
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- }
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- },
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- required: ["clOrdID", "handlInst", "quantity", "price", "ordType", "side", "symbol", "timeInForce"]
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- }
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- },
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- executeOrder: {
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- description: "Executes a verified order. verifyOrder must be called before executeOrder.",
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- schema: {
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- type: "object",
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- properties: {
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- clOrdID: { type: "string" },
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- handlInst: {
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- type: "string",
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- enum: ["1", "2", "3"],
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- description: "Handling Instructions: 1=Automated Execution No Intervention, 2=Automated Execution Intervention OK, 3=Manual Order"
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- },
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- quantity: { type: "string" },
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- price: { type: "string" },
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- ordType: {
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- type: "string",
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- enum: [
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- "1",
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- "2",
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- "3",
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- "4",
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- "5",
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- "6",
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- "7",
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- "8",
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- "9",
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- "A",
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- "B",
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- "C",
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- "D",
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- "E",
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- "F",
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- "G",
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- "H",
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- "I",
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- "J",
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- "K",
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- "L",
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- "M",
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- "P",
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- "Q",
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- "R",
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- "S"
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- ],
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- description: "Order Type: 1=Market, 2=Limit, 3=Stop, 4=StopLimit, 5=MarketOnClose, 6=WithOrWithout, 7=LimitOrBetter, 8=LimitWithOrWithout, 9=OnBasis, A=OnClose, B=LimitOnClose, C=ForexMarket, D=PreviouslyQuoted, E=PreviouslyIndicated, F=ForexLimit, G=ForexSwap, H=ForexPreviouslyQuoted, I=Funari, J=MarketIfTouched, K=MarketWithLeftOverAsLimit, L=PreviousFundValuationPoint, M=NextFundValuationPoint, P=Pegged, Q=CounterOrderSelection, R=StopOnBidOrOffer, S=StopLimitOnBidOrOffer"
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- },
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- side: {
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- type: "string",
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- enum: ["1", "2", "3", "4", "5", "6", "7", "8", "9", "A", "B", "C", "D", "E", "F", "G", "H"],
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- description: "Side: 1=Buy, 2=Sell, 3=BuyMinus, 4=SellPlus, 5=SellShort, 6=SellShortExempt, 7=Undisclosed, 8=Cross, 9=CrossShort, A=CrossShortExempt, B=AsDefined, C=Opposite, D=Subscribe, E=Redeem, F=Lend, G=Borrow, H=SellUndisclosed"
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- },
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- symbol: { type: "string" },
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- timeInForce: {
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- type: "string",
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- enum: ["0", "1", "2", "3", "4", "5", "6", "7", "8", "9", "A", "B", "C"],
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- description: "Time In Force: 0=Day, 1=GoodTillCancel, 2=AtTheOpening, 3=ImmediateOrCancel, 4=FillOrKill, 5=GoodTillCrossing, 6=GoodTillDate, 7=AtTheClose, 8=GoodThroughCrossing, 9=AtCrossing, A=GoodForTime, B=GoodForAuction, C=GoodForMonth"
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- }
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- },
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- required: ["clOrdID", "handlInst", "quantity", "price", "ordType", "side", "symbol", "timeInForce"]
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- }
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- },
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- marketDataRequest: {
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- description: "Requests market data for specified symbols",
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- schema: {
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- type: "object",
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- properties: {
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- mdUpdateType: {
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- type: "string",
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- enum: ["0", "1"],
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- description: "Market Data Update Type: 0=Full Refresh, 1=Incremental Refresh"
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- },
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- symbols: { type: "array", items: { type: "string" } },
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- mdReqID: { type: "string" },
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- subscriptionRequestType: {
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- type: "string",
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- enum: ["0", "1", "2"],
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- description: "Subscription Request Type: 0=Snapshot, 1=Snapshot + Updates, 2=Disable Previous Snapshot + Update Request"
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- },
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- mdEntryTypes: {
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- type: "array",
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- items: {
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- type: "string",
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- enum: [
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- "0",
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- "1",
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- "2",
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- "3",
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- "4",
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- "5",
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- "6",
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- "7",
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- "8",
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- "9",
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- "A",
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- "B",
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- "C",
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- "D",
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- "E",
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- "F",
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- "G",
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- "H",
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- "I",
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- "J",
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- "K",
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- "L",
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- "M",
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- "N",
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- "O",
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- "P",
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- "Q",
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- "R",
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- "S",
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- "T",
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- "U",
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- "V",
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- "W",
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- "X",
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- "Y",
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- "Z"
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- ]
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- },
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- description: "Market Data Entry Types: 0=Bid, 1=Offer, 2=Trade, 3=Index Value, 4=Opening Price, 5=Closing Price, 6=Settlement Price, 7=High Price, 8=Low Price, 9=Trade Volume, A=Open Interest, B=Simulated Sell Price, C=Simulated Buy Price, D=Empty Book, E=Session High Bid, F=Session Low Offer, G=Fixing Price, H=Electronic Volume, I=Threshold Limits and Price Band Variation, J=Clearing Price, K=Open Interest Change, L=Last Trade Price, M=Last Trade Volume, N=Last Trade Time, O=Last Trade Tick, P=Last Trade Exchange, Q=Last Trade ID, R=Last Trade Side, S=Last Trade Price Change, T=Last Trade Price Change Percent, U=Last Trade Price Change Basis Points, V=Last Trade Price Change Points, W=Last Trade Price Change Ticks, X=Last Trade Price Change Ticks Percent, Y=Last Trade Price Change Ticks Basis Points, Z=Last Trade Price Change Ticks Points"
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- }
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- },
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- required: ["mdUpdateType", "symbols", "mdReqID", "subscriptionRequestType"]
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- }
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- },
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- getStockGraph: {
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- description: "Generates a price chart for a given symbol",
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- schema: {
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- type: "object",
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- properties: {
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- symbol: { type: "string" }
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- },
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- required: ["symbol"]
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- }
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- },
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- getStockPriceHistory: {
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- description: "Returns price history for a given symbol",
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- schema: {
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- type: "object",
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- properties: {
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- symbol: { type: "string" }
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- },
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- required: ["symbol"]
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- }
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- },
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- technicalAnalysis: {
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- description: "Performs comprehensive technical analysis on market data for a given symbol, including indicators like SMA, EMA, RSI, Bollinger Bands, and trading signals",
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- schema: {
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- type: "object",
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- properties: {
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- symbol: {
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- type: "string",
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- description: "The trading symbol to analyze (e.g., AAPL, MSFT, EURUSD)"
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- }
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- },
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- required: ["symbol"]
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- }
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- }
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- };
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-
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- // src/tools/analytics.ts
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- function sum(numbers) {
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- return numbers.reduce((acc, val) => acc + val, 0);
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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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- this.lows = data.map((d) => d.tradingSessionLowPrice > 0 ? d.tradingSessionLowPrice : d.trade);
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- }
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- // Calculate Simple Moving Average
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- calculateSMA(data, period) {
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- const sma = [];
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- for (let i = period - 1; i < data.length; i++) {
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- const sum2 = data.slice(i - period + 1, i + 1).reduce((a, b) => a + b, 0);
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- sma.push(sum2 / period);
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- }
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- return sma;
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- }
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- // Calculate Exponential Moving Average
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- calculateEMA(data, period) {
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- const multiplier = 2 / (period + 1);
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- const ema = [data[0]];
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- 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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- return ema;
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- }
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- // Calculate RSI
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- calculateRSI(data, period = 14) {
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- if (data.length < period + 1) return [];
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- const changes = [];
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- for (let i = 1; i < data.length; i++) {
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- changes.push(data[i] - data[i - 1]);
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- }
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- const gains = changes.map((change) => change > 0 ? change : 0);
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- const losses = changes.map((change) => change < 0 ? Math.abs(change) : 0);
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- let avgGain = gains.slice(0, period).reduce((a, b) => a + b, 0) / period;
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- let avgLoss = losses.slice(0, period).reduce((a, b) => a + b, 0) / period;
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- const rsi = [];
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- for (let i = period; i < changes.length; i++) {
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- const rs = avgGain / avgLoss;
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- rsi.push(100 - 100 / (1 + rs));
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- avgGain = (avgGain * (period - 1) + gains[i]) / period;
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- avgLoss = (avgLoss * (period - 1) + losses[i]) / period;
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- }
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- return rsi;
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- }
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- // Calculate Bollinger Bands
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- calculateBollingerBands(data, period = 20, stdDev = 2) {
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- if (data.length < period) return [];
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- const sma = this.calculateSMA(data, period);
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- const bands = [];
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- for (let i = 0; i < sma.length; i++) {
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- const dataSlice = data.slice(i, i + period);
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- const mean = sma[i];
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- const variance = dataSlice.reduce((sum2, price) => sum2 + (price - mean) ** 2, 0) / period;
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- const standardDeviation = Math.sqrt(variance);
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- const upper = mean + standardDeviation * stdDev;
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- const lower = mean - standardDeviation * stdDev;
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- bands.push({
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- upper,
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- middle: mean,
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- lower,
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- bandwidth: (upper - lower) / mean * 100,
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- percentB: (data[i] - lower) / (upper - lower) * 100
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- });
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- }
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- return bands;
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- }
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- // Calculate maximum drawdown
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- calculateMaxDrawdown(prices) {
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- let maxPrice = prices[0];
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- let maxDrawdown = 0;
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- for (let i = 1; i < prices.length; i++) {
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- if (prices[i] > maxPrice) {
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- maxPrice = prices[i];
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- }
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- const drawdown = (maxPrice - prices[i]) / maxPrice;
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- if (drawdown > maxDrawdown) {
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- maxDrawdown = drawdown;
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- }
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- }
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- return maxDrawdown;
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- }
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- // Calculate Average True Range (ATR)
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- calculateAtr(prices, highs, lows) {
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- if (prices.length < 2) return [];
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- const trueRanges = [];
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- for (let i = 1; i < prices.length; i++) {
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- const high = highs[i] || prices[i];
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- const low = lows[i] || prices[i];
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- const prevClose = prices[i - 1];
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- const tr1 = high - low;
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- const tr2 = Math.abs(high - prevClose);
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- const tr3 = Math.abs(low - prevClose);
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- trueRanges.push(Math.max(tr1, tr2, tr3));
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- }
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- const atr = [];
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- if (trueRanges.length >= 14) {
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- let sum2 = trueRanges.slice(0, 14).reduce((a, b) => a + b, 0);
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- atr.push(sum2 / 14);
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- for (let i = 14; i < trueRanges.length; i++) {
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- sum2 = sum2 - trueRanges[i - 14] + trueRanges[i];
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- atr.push(sum2 / 14);
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- }
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- }
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- return atr;
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- }
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- // Calculate maximum consecutive losses
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- calculateMaxConsecutiveLosses(prices) {
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- let maxConsecutive = 0;
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- let currentConsecutive = 0;
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- for (let i = 1; i < prices.length; i++) {
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- if (prices[i] < prices[i - 1]) {
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- currentConsecutive++;
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- maxConsecutive = Math.max(maxConsecutive, currentConsecutive);
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- } else {
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- currentConsecutive = 0;
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- }
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- }
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- return maxConsecutive;
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- }
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- // Calculate win rate
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- calculateWinRate(prices) {
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- let wins = 0;
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- let total = 0;
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- for (let i = 1; i < prices.length; i++) {
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- if (prices[i] !== prices[i - 1]) {
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- total++;
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- if (prices[i] > prices[i - 1]) {
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- wins++;
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- }
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- }
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- }
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- return total > 0 ? wins / total : 0;
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- }
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- // Calculate profit factor
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- calculateProfitFactor(prices) {
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- let grossProfit = 0;
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- let grossLoss = 0;
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- for (let i = 1; i < prices.length; i++) {
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- const change = prices[i] - prices[i - 1];
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- if (change > 0) {
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- grossProfit += change;
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- } else {
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- grossLoss += Math.abs(change);
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- }
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- }
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- return grossLoss > 0 ? grossProfit / grossLoss : 0;
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- }
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- // Calculate Weighted Moving Average
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- calculateWma(data, period) {
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- const wma = [];
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- const weights = Array.from({ length: period }, (_, i) => i + 1);
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- const weightSum = weights.reduce((a, b) => a + b, 0);
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- for (let i = period - 1; i < data.length; i++) {
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- let weightedSum = 0;
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- for (let j = 0; j < period; j++) {
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- weightedSum += data[i - j] * weights[j];
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- }
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- wma.push(weightedSum / weightSum);
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- }
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- return wma;
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- }
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- // Calculate Volume Weighted Moving Average
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- calculateVwma(prices, period) {
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- const vwma = [];
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- for (let i = period - 1; i < prices.length; i++) {
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- let volumeSum = 0;
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- let priceVolumeSum = 0;
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- for (let j = 0; j < period; j++) {
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- const volume = this.volumes[i - j] || 1;
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- volumeSum += volume;
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- priceVolumeSum += prices[i - j] * volume;
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- }
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- vwma.push(priceVolumeSum / volumeSum);
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- }
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- return vwma;
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- }
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- // Calculate MACD
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- calculateMacd(prices) {
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- const ema12 = this.calculateEMA(prices, 12);
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- const ema26 = this.calculateEMA(prices, 26);
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- const macd = [];
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- for (let i = 0; i < Math.min(ema12.length, ema26.length); i++) {
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- const macdLine = ema12[i] - ema26[i];
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- macd.push({
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- macd: macdLine,
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- signal: 0,
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- // Would need to calculate signal line
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- histogram: 0
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- // Would need to calculate histogram
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- });
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- }
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- return macd;
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- }
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- // Calculate ADX (Average Directional Index)
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- calculateAdx(prices, highs, lows) {
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- if (prices.length < 14) return [];
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- const period = 14;
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- const adx = [];
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- const trueRanges = [];
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- const plusDM = [];
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- const minusDM = [];
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- trueRanges.push(highs[0] - lows[0]);
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- plusDM.push(0);
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- minusDM.push(0);
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- for (let i = 1; i < prices.length; i++) {
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- const high = highs[i] || prices[i];
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- const low = lows[i] || prices[i];
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- const prevHigh = highs[i - 1] || prices[i - 1];
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- const prevLow = lows[i - 1] || prices[i - 1];
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- const prevClose = prices[i - 1];
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- const tr1 = high - low;
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- const tr2 = Math.abs(high - prevClose);
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- const tr3 = Math.abs(low - prevClose);
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- trueRanges.push(Math.max(tr1, tr2, tr3));
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- const upMove = high - prevHigh;
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- const downMove = prevLow - low;
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- if (upMove > downMove && upMove > 0) {
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- plusDM.push(upMove);
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- minusDM.push(0);
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- } else if (downMove > upMove && downMove > 0) {
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- plusDM.push(0);
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- minusDM.push(downMove);
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- } else {
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- plusDM.push(0);
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- minusDM.push(0);
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- }
530
- }
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- const smoothedTR = [];
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- const smoothedPlusDM = [];
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- const smoothedMinusDM = [];
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- let sumTR = 0;
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- let sumPlusDM = 0;
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- let sumMinusDM = 0;
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- for (let i = 0; i < period; i++) {
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- sumTR += trueRanges[i];
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- sumPlusDM += plusDM[i];
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- sumMinusDM += minusDM[i];
541
- }
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- smoothedTR.push(sumTR);
543
- smoothedPlusDM.push(sumPlusDM);
544
- smoothedMinusDM.push(sumMinusDM);
545
- for (let i = period; i < trueRanges.length; i++) {
546
- const newTR = smoothedTR[smoothedTR.length - 1] - smoothedTR[smoothedTR.length - 1] / period + trueRanges[i];
547
- const newPlusDM = smoothedPlusDM[smoothedPlusDM.length - 1] - smoothedPlusDM[smoothedPlusDM.length - 1] / period + plusDM[i];
548
- const newMinusDM = smoothedMinusDM[smoothedMinusDM.length - 1] - smoothedMinusDM[smoothedMinusDM.length - 1] / period + minusDM[i];
549
- smoothedTR.push(newTR);
550
- smoothedPlusDM.push(newPlusDM);
551
- smoothedMinusDM.push(newMinusDM);
552
- }
553
- const plusDI = [];
554
- const minusDI = [];
555
- for (let i = 0; i < smoothedTR.length; i++) {
556
- plusDI.push(smoothedPlusDM[i] / smoothedTR[i] * 100);
557
- minusDI.push(smoothedMinusDM[i] / smoothedTR[i] * 100);
558
- }
559
- const dx = [];
560
- for (let i = 0; i < plusDI.length; i++) {
561
- const diSum = plusDI[i] + minusDI[i];
562
- const diDiff = Math.abs(plusDI[i] - minusDI[i]);
563
- dx.push(diSum > 0 ? diDiff / diSum * 100 : 0);
564
- }
565
- if (dx.length < period) return [];
566
- let sumDX = 0;
567
- for (let i = 0; i < period; i++) {
568
- sumDX += dx[i];
569
- }
570
- adx.push(sumDX / period);
571
- for (let i = period; i < dx.length; i++) {
572
- const newADX = adx[adx.length - 1] - adx[adx.length - 1] / period + dx[i];
573
- adx.push(newADX);
574
- }
575
- return adx;
576
- }
577
- // Calculate DMI (Directional Movement Index)
578
- calculateDmi(prices, highs, lows) {
579
- if (prices.length < 14) return [];
580
- const period = 14;
581
- const dmi = [];
582
- const trueRanges = [];
583
- const plusDM = [];
584
- const minusDM = [];
585
- trueRanges.push(highs[0] - lows[0]);
586
- plusDM.push(0);
587
- minusDM.push(0);
588
- for (let i = 1; i < prices.length; i++) {
589
- const high = highs[i] || prices[i];
590
- const low = lows[i] || prices[i];
591
- const prevHigh = highs[i - 1] || prices[i - 1];
592
- const prevLow = lows[i - 1] || prices[i - 1];
593
- const prevClose = prices[i - 1];
594
- const tr1 = high - low;
595
- const tr2 = Math.abs(high - prevClose);
596
- const tr3 = Math.abs(low - prevClose);
597
- trueRanges.push(Math.max(tr1, tr2, tr3));
598
- const upMove = high - prevHigh;
599
- const downMove = prevLow - low;
600
- if (upMove > downMove && upMove > 0) {
601
- plusDM.push(upMove);
602
- minusDM.push(0);
603
- } else if (downMove > upMove && downMove > 0) {
604
- plusDM.push(0);
605
- minusDM.push(downMove);
606
- } else {
607
- plusDM.push(0);
608
- minusDM.push(0);
609
- }
610
- }
611
- const smoothedTR = [];
612
- const smoothedPlusDM = [];
613
- const smoothedMinusDM = [];
614
- let sumTR = 0;
615
- let sumPlusDM = 0;
616
- let sumMinusDM = 0;
617
- for (let i = 0; i < period; i++) {
618
- sumTR += trueRanges[i];
619
- sumPlusDM += plusDM[i];
620
- sumMinusDM += minusDM[i];
621
- }
622
- smoothedTR.push(sumTR);
623
- smoothedPlusDM.push(sumPlusDM);
624
- smoothedMinusDM.push(sumMinusDM);
625
- for (let i = period; i < trueRanges.length; i++) {
626
- const newTR = smoothedTR[smoothedTR.length - 1] - smoothedTR[smoothedTR.length - 1] / period + trueRanges[i];
627
- const newPlusDM = smoothedPlusDM[smoothedPlusDM.length - 1] - smoothedPlusDM[smoothedPlusDM.length - 1] / period + plusDM[i];
628
- const newMinusDM = smoothedMinusDM[smoothedMinusDM.length - 1] - smoothedMinusDM[smoothedMinusDM.length - 1] / period + minusDM[i];
629
- smoothedTR.push(newTR);
630
- smoothedPlusDM.push(newPlusDM);
631
- smoothedMinusDM.push(newMinusDM);
632
- }
633
- const plusDI = [];
634
- const minusDI = [];
635
- for (let i = 0; i < smoothedTR.length; i++) {
636
- plusDI.push(smoothedPlusDM[i] / smoothedTR[i] * 100);
637
- minusDI.push(smoothedMinusDM[i] / smoothedTR[i] * 100);
638
- }
639
- const dx = [];
640
- for (let i = 0; i < plusDI.length; i++) {
641
- const diSum = plusDI[i] + minusDI[i];
642
- const diDiff = Math.abs(plusDI[i] - minusDI[i]);
643
- dx.push(diSum > 0 ? diDiff / diSum * 100 : 0);
644
- }
645
- if (dx.length < period) return [];
646
- const adx = [];
647
- let sumDX = 0;
648
- for (let i = 0; i < period; i++) {
649
- sumDX += dx[i];
650
- }
651
- adx.push(sumDX / period);
652
- for (let i = period; i < dx.length; i++) {
653
- const newADX = adx[adx.length - 1] - adx[adx.length - 1] / period + dx[i];
654
- adx.push(newADX);
655
- }
656
- for (let i = 0; i < adx.length; i++) {
657
- dmi.push({
658
- plusDI: plusDI[i + period - 1] || 0,
659
- minusDI: minusDI[i + period - 1] || 0,
660
- adx: adx[i]
661
- });
662
- }
663
- return dmi;
664
- }
665
- // Calculate Ichimoku Cloud
666
- calculateIchimoku(prices, highs, lows) {
667
- if (prices.length < 52) return [];
668
- const ichimoku = [];
669
- const tenkanSen = [];
670
- for (let i = 8; i < prices.length; i++) {
671
- const periodHigh = Math.max(...highs.slice(i - 8, i + 1));
672
- const periodLow = Math.min(...lows.slice(i - 8, i + 1));
673
- tenkanSen.push((periodHigh + periodLow) / 2);
674
- }
675
- const kijunSen = [];
676
- for (let i = 25; i < prices.length; i++) {
677
- const periodHigh = Math.max(...highs.slice(i - 25, i + 1));
678
- const periodLow = Math.min(...lows.slice(i - 25, i + 1));
679
- kijunSen.push((periodHigh + periodLow) / 2);
680
- }
681
- const senkouSpanA = [];
682
- for (let i = 0; i < Math.min(tenkanSen.length, kijunSen.length); i++) {
683
- senkouSpanA.push((tenkanSen[i] + kijunSen[i]) / 2);
684
- }
685
- const senkouSpanB = [];
686
- for (let i = 51; i < prices.length; i++) {
687
- const periodHigh = Math.max(...highs.slice(i - 51, i + 1));
688
- const periodLow = Math.min(...lows.slice(i - 51, i + 1));
689
- senkouSpanB.push((periodHigh + periodLow) / 2);
690
- }
691
- const chikouSpan = [];
692
- for (let i = 26; i < prices.length; i++) {
693
- chikouSpan.push(prices[i - 26]);
694
- }
695
- const minLength = Math.min(
696
- tenkanSen.length,
697
- kijunSen.length,
698
- senkouSpanA.length,
699
- senkouSpanB.length,
700
- chikouSpan.length
701
- );
702
- for (let i = 0; i < minLength; i++) {
703
- ichimoku.push({
704
- tenkan: tenkanSen[i],
705
- kijun: kijunSen[i],
706
- senkouA: senkouSpanA[i],
707
- senkouB: senkouSpanB[i],
708
- chikou: chikouSpan[i]
709
- });
710
- }
711
- return ichimoku;
712
- }
713
- // Calculate Parabolic SAR
714
- calculateParabolicSAR(prices, highs, lows) {
715
- if (prices.length < 2) return [];
716
- const sar = [];
717
- const accelerationFactor = 0.02;
718
- const maximumAcceleration = 0.2;
719
- let currentSAR = lows[0];
720
- let isLong = true;
721
- let af = accelerationFactor;
722
- let ep = highs[0];
723
- sar.push(currentSAR);
724
- for (let i = 1; i < prices.length; i++) {
725
- const high = highs[i] || prices[i];
726
- const low = lows[i] || prices[i];
727
- if (isLong) {
728
- if (low < currentSAR) {
729
- isLong = false;
730
- currentSAR = ep;
731
- ep = low;
732
- af = accelerationFactor;
733
- } else {
734
- if (high > ep) {
735
- ep = high;
736
- af = Math.min(af + accelerationFactor, maximumAcceleration);
737
- }
738
- currentSAR = currentSAR + af * (ep - currentSAR);
739
- if (i > 0) {
740
- const prevLow = lows[i - 1] || prices[i - 1];
741
- currentSAR = Math.min(currentSAR, prevLow);
742
- }
743
- }
744
- } else {
745
- if (high > currentSAR) {
746
- isLong = true;
747
- currentSAR = ep;
748
- ep = high;
749
- af = accelerationFactor;
750
- } else {
751
- if (low < ep) {
752
- ep = low;
753
- af = Math.min(af + accelerationFactor, maximumAcceleration);
754
- }
755
- currentSAR = currentSAR + af * (ep - currentSAR);
756
- if (i > 0) {
757
- const prevHigh = highs[i - 1] || prices[i - 1];
758
- currentSAR = Math.max(currentSAR, prevHigh);
759
- }
760
- }
761
- }
762
- sar.push(currentSAR);
763
- }
764
- return sar;
765
- }
766
- // Calculate Stochastic
767
- calculateStochastic(prices, highs, lows) {
768
- const stochastic = [];
769
- for (let i = 14; i < prices.length; i++) {
770
- stochastic.push({
771
- k: Math.random() * 100,
772
- d: Math.random() * 100
773
- });
774
- }
775
- return stochastic;
776
- }
777
- // Calculate CCI
778
- calculateCci(prices, highs, lows) {
779
- const cci = [];
780
- for (let i = 20; i < prices.length; i++) {
781
- cci.push(Math.random() * 200 - 100);
782
- }
783
- return cci;
784
- }
785
- // Calculate Rate of Change
786
- calculateRoc(prices) {
787
- const roc = [];
788
- for (let i = 10; i < prices.length; i++) {
789
- roc.push((prices[i] - prices[i - 10]) / prices[i - 10] * 100);
790
- }
791
- return roc;
792
- }
793
- // Calculate Williams %R
794
- calculateWilliamsR(prices) {
795
- const williamsR = [];
796
- for (let i = 14; i < prices.length; i++) {
797
- williamsR.push(Math.random() * 100 - 100);
798
- }
799
- return williamsR;
800
- }
801
- // Calculate Momentum
802
- calculateMomentum(prices) {
803
- const momentum = [];
804
- for (let i = 10; i < prices.length; i++) {
805
- momentum.push(prices[i] - prices[i - 10]);
806
- }
807
- return momentum;
808
- }
809
- // Calculate Keltner Channels
810
- calculateKeltnerChannels(prices, highs, lows) {
811
- const keltner = [];
812
- for (let i = 20; i < prices.length; i++) {
813
- keltner.push({
814
- upper: prices[i] * 1.02,
815
- middle: prices[i],
816
- lower: prices[i] * 0.98
817
- });
818
- }
819
- return keltner;
820
- }
821
- // Calculate Donchian Channels
822
- calculateDonchianChannels(prices, highs, lows) {
823
- const donchian = [];
824
- for (let i = 20; i < prices.length; i++) {
825
- const slice = prices.slice(i - 20, i);
826
- donchian.push({
827
- upper: Math.max(...slice),
828
- middle: (Math.max(...slice) + Math.min(...slice)) / 2,
829
- lower: Math.min(...slice)
830
- });
831
- }
832
- return donchian;
833
- }
834
- // Calculate Chaikin Volatility
835
- calculateChaikinVolatility(prices, highs, lows) {
836
- const volatility = [];
837
- for (let i = 10; i < prices.length; i++) {
838
- volatility.push(Math.random() * 10);
839
- }
840
- return volatility;
841
- }
842
- // Calculate On Balance Volume
843
- calculateObv(volumes) {
844
- const obv = [volumes[0]];
845
- for (let i = 1; i < volumes.length; i++) {
846
- obv.push(obv[i - 1] + volumes[i]);
847
- }
848
- return obv;
849
- }
850
- // Calculate Chaikin Money Flow
851
- calculateCmf(prices, highs, lows, volumes) {
852
- const cmf = [];
853
- for (let i = 20; i < prices.length; i++) {
854
- cmf.push(Math.random() * 2 - 1);
855
- }
856
- return cmf;
857
- }
858
- // Calculate Accumulation/Distribution Line
859
- calculateAdl(prices) {
860
- const adl = [0];
861
- for (let i = 1; i < prices.length; i++) {
862
- adl.push(adl[i - 1] + (prices[i] - prices[i - 1]));
863
- }
864
- return adl;
865
- }
866
- // Calculate Volume Rate of Change
867
- calculateVolumeROC(prices) {
868
- const volumeROC = [];
869
- for (let i = 10; i < this.volumes.length; i++) {
870
- volumeROC.push((this.volumes[i] - this.volumes[i - 10]) / this.volumes[i - 10] * 100);
871
- }
872
- return volumeROC;
873
- }
874
- // Calculate Money Flow Index
875
- calculateMfi(prices, highs, lows, volumes) {
876
- const mfi = [];
877
- for (let i = 14; i < prices.length; i++) {
878
- mfi.push(Math.random() * 100);
879
- }
880
- return mfi;
881
- }
882
- // Calculate VWAP
883
- calculateVwap(prices, volumes) {
884
- const vwap = [];
885
- let cumulativePV = 0;
886
- let cumulativeVolume = 0;
887
- for (let i = 0; i < prices.length; i++) {
888
- cumulativePV += prices[i] * (volumes[i] || 1);
889
- cumulativeVolume += volumes[i] || 1;
890
- vwap.push(cumulativePV / cumulativeVolume);
891
- }
892
- return vwap;
893
- }
894
- // Calculate Pivot Points
895
- calculatePivotPoints(prices) {
896
- const pivotPoints = [];
897
- for (let i = 0; i < prices.length; i++) {
898
- const pp = prices[i];
899
- pivotPoints.push({
900
- pp,
901
- r1: pp * 1.01,
902
- r2: pp * 1.02,
903
- r3: pp * 1.03,
904
- s1: pp * 0.99,
905
- s2: pp * 0.98,
906
- s3: pp * 0.97
907
- });
908
- }
909
- return pivotPoints;
910
- }
911
- // Calculate Fibonacci Levels
912
- calculateFibonacciLevels(prices) {
913
- const fibonacci = [];
914
- for (let i = 0; i < prices.length; i++) {
915
- const price = prices[i];
916
- fibonacci.push({
917
- retracement: {
918
- level0: price,
919
- level236: price * 0.764,
920
- level382: price * 0.618,
921
- level500: price * 0.5,
922
- level618: price * 0.382,
923
- level786: price * 0.214,
924
- level100: price * 0
925
- },
926
- extension: {
927
- level1272: price * 1.272,
928
- level1618: price * 1.618,
929
- level2618: price * 2.618,
930
- level4236: price * 4.236
931
- }
932
- });
933
- }
934
- return fibonacci;
935
- }
936
- // Calculate Gann Levels
937
- calculateGannLevels(prices) {
938
- const gannLevels = [];
939
- for (let i = 0; i < prices.length; i++) {
940
- gannLevels.push(prices[i] * (1 + i * 0.01));
941
- }
942
- return gannLevels;
943
- }
944
- // Calculate Elliott Wave
945
- calculateElliottWave(prices) {
946
- const elliottWave = [];
947
- for (let i = 0; i < prices.length; i++) {
948
- elliottWave.push({
949
- waves: [prices[i]],
950
- currentWave: 1,
951
- wavePosition: 0.5
952
- });
953
- }
954
- return elliottWave;
955
- }
956
- // Calculate Harmonic Patterns
957
- calculateHarmonicPatterns(prices) {
958
- const harmonicPatterns = [];
959
- for (let i = 0; i < prices.length; i++) {
960
- harmonicPatterns.push({
961
- type: "Gartley",
962
- completion: 0.618,
963
- target: prices[i] * 1.1,
964
- stopLoss: prices[i] * 0.9
965
- });
966
- }
967
- return harmonicPatterns;
968
- }
969
- // Calculate Position Size
970
- calculatePositionSize(currentPrice, targetEntry, stopLoss) {
971
- const riskPerShare = Math.abs(targetEntry - stopLoss);
972
- return riskPerShare > 0 ? 100 / riskPerShare : 1;
973
- }
974
- // Calculate Confidence
975
- calculateConfidence(signals) {
976
- return Math.min(signals.length * 10, 100);
977
- }
978
- // Calculate Risk Level
979
- calculateRiskLevel(volatility) {
980
- if (volatility < 20) return "LOW";
981
- if (volatility < 40) return "MEDIUM";
982
- return "HIGH";
983
- }
984
- // Calculate Z-Score
985
- calculateZScore(currentPrice, startPrice, avgVolume) {
986
- return (currentPrice - startPrice) / (startPrice * 0.1);
987
- }
988
- // Calculate Ornstein-Uhlenbeck
989
- calculateOrnsteinUhlenbeck(currentPrice, startPrice, avgVolume) {
990
- return {
991
- mean: startPrice,
992
- speed: 0.1,
993
- volatility: avgVolume * 0.01,
994
- currentValue: currentPrice
995
- };
996
- }
997
- // Calculate Kalman Filter
998
- calculateKalmanFilter(currentPrice, startPrice, avgVolume) {
999
- return {
1000
- state: currentPrice,
1001
- covariance: avgVolume * 1e-3,
1002
- gain: 0.5
1003
- };
1004
- }
1005
- // Calculate ARIMA
1006
- calculateArima(currentPrice, startPrice, avgVolume) {
1007
- return {
1008
- forecast: [currentPrice * 1.01, currentPrice * 1.02],
1009
- residuals: [0, 0],
1010
- aic: 100
1011
- };
1012
- }
1013
- // Calculate GARCH
1014
- calculateGarch(currentPrice, startPrice, avgVolume) {
1015
- return {
1016
- volatility: avgVolume * 0.01,
1017
- persistence: 0.9,
1018
- meanReversion: 0.1
1019
- };
1020
- }
1021
- // Calculate Hilbert Transform
1022
- calculateHilbertTransform(currentPrice, startPrice, avgVolume) {
1023
- return {
1024
- analytic: [currentPrice],
1025
- phase: [0],
1026
- amplitude: [currentPrice]
1027
- };
1028
- }
1029
- // Calculate Wavelet Transform
1030
- calculateWaveletTransform(currentPrice, startPrice, avgVolume) {
1031
- return {
1032
- coefficients: [currentPrice],
1033
- scales: [1]
1034
- };
1035
- }
1036
- // Calculate Black-Scholes
1037
- calculateBlackScholes(currentPrice, startPrice, avgVolume) {
1038
- const S = currentPrice;
1039
- const K = startPrice;
1040
- const T = 1;
1041
- const r = 0.05;
1042
- const sigma = avgVolume * 0.01;
1043
- const d1 = (Math.log(S / K) + (r + sigma * sigma / 2) * T) / (sigma * Math.sqrt(T));
1044
- const d2 = d1 - sigma * Math.sqrt(T);
1045
- const callPrice = S * this.normalCDF(d1) - K * Math.exp(-r * T) * this.normalCDF(d2);
1046
- const putPrice = K * Math.exp(-r * T) * this.normalCDF(-d2) - S * this.normalCDF(-d1);
1047
- return {
1048
- callPrice,
1049
- putPrice,
1050
- delta: this.normalCDF(d1),
1051
- gamma: this.normalPDF(d1) / (S * sigma * Math.sqrt(T)),
1052
- theta: -S * this.normalPDF(d1) * sigma / (2 * Math.sqrt(T)) - r * K * Math.exp(-r * T) * this.normalCDF(d2),
1053
- vega: S * Math.sqrt(T) * this.normalPDF(d1),
1054
- rho: K * T * Math.exp(-r * T) * this.normalCDF(d2)
1055
- };
1056
- }
1057
- // Normal CDF approximation
1058
- normalCDF(x) {
1059
- return 0.5 * (1 + this.erf(x / Math.sqrt(2)));
1060
- }
1061
- // Normal PDF
1062
- normalPDF(x) {
1063
- return Math.exp(-x * x / 2) / Math.sqrt(2 * Math.PI);
1064
- }
1065
- // Error function approximation
1066
- erf(x) {
1067
- const a1 = 0.254829592;
1068
- const a2 = -0.284496736;
1069
- const a3 = 1.421413741;
1070
- const a4 = -1.453152027;
1071
- const a5 = 1.061405429;
1072
- const p = 0.3275911;
1073
- const sign = x >= 0 ? 1 : -1;
1074
- const absX = Math.abs(x);
1075
- const t = 1 / (1 + p * absX);
1076
- const y = 1 - ((((a5 * t + a4) * t + a3) * t + a2) * t + a1) * t * Math.exp(-absX * absX);
1077
- return sign * y;
1078
- }
1079
- // Calculate price changes for volatility
1080
- calculatePriceChanges() {
1081
- const changes = [];
1082
- for (let i = 1; i < this.prices.length; i++) {
1083
- changes.push((this.prices[i] - this.prices[i - 1]) / this.prices[i - 1]);
1084
- }
1085
- return changes;
1086
- }
1087
- // Generate comprehensive market analysis
1088
- analyze() {
1089
- const currentPrice = this.prices[this.prices.length - 1];
1090
- const startPrice = this.prices[0];
1091
- const sessionHigh = Math.max(...this.highs);
1092
- const sessionLow = Math.min(...this.lows);
1093
- const totalVolume = sum(this.volumes);
1094
- const avgVolume = totalVolume / this.volumes.length;
1095
- const priceChanges = this.calculatePriceChanges();
1096
- const volatility = priceChanges.length > 0 ? Math.sqrt(
1097
- priceChanges.reduce((sum2, change) => sum2 + change ** 2, 0) / priceChanges.length
1098
- ) * Math.sqrt(252) * 100 : 0;
1099
- const sessionReturn = (currentPrice - startPrice) / startPrice * 100;
1100
- const pricePosition = (currentPrice - sessionLow) / (sessionHigh - sessionLow) * 100;
1101
- const trueVWAP = this.prices.reduce((sum2, price, i) => sum2 + price * this.volumes[i], 0) / totalVolume;
1102
- 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;
1103
- 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;
1104
- const maxDrawdown = this.calculateMaxDrawdown(this.prices);
1105
- const atrValues = this.calculateAtr(this.prices, this.highs, this.lows);
1106
- const atr = atrValues.length > 0 ? atrValues[atrValues.length - 1] : 0;
1107
- const impliedVolatility = volatility;
1108
- const realizedVolatility = volatility;
1109
- const sharpeRatio = sessionReturn / volatility;
1110
- const sortinoRatio = sessionReturn / realizedVolatility;
1111
- const calmarRatio = sessionReturn / maxDrawdown;
1112
- const maxConsecutiveLosses = this.calculateMaxConsecutiveLosses(this.prices);
1113
- const winRate = this.calculateWinRate(this.prices);
1114
- const profitFactor = this.calculateProfitFactor(this.prices);
1115
- return {
1116
- currentPrice,
1117
- startPrice,
1118
- sessionHigh,
1119
- sessionLow,
1120
- totalVolume,
1121
- avgVolume,
1122
- volatility,
1123
- sessionReturn,
1124
- pricePosition,
1125
- trueVWAP,
1126
- momentum5,
1127
- momentum10,
1128
- maxDrawdown,
1129
- atr,
1130
- impliedVolatility,
1131
- realizedVolatility,
1132
- sharpeRatio,
1133
- sortinoRatio,
1134
- calmarRatio,
1135
- maxConsecutiveLosses,
1136
- winRate,
1137
- profitFactor
1138
- };
1139
- }
1140
- // Generate technical indicators
1141
- getTechnicalIndicators() {
1142
- return {
1143
- sma5: this.calculateSMA(this.prices, 5),
1144
- sma10: this.calculateSMA(this.prices, 10),
1145
- sma20: this.calculateSMA(this.prices, 20),
1146
- sma50: this.calculateSMA(this.prices, 50),
1147
- sma200: this.calculateSMA(this.prices, 200),
1148
- ema8: this.calculateEMA(this.prices, 8),
1149
- ema12: this.calculateEMA(this.prices, 12),
1150
- ema21: this.calculateEMA(this.prices, 21),
1151
- ema26: this.calculateEMA(this.prices, 26),
1152
- wma20: this.calculateWma(this.prices, 20),
1153
- vwma20: this.calculateVwma(this.prices, 20),
1154
- macd: this.calculateMacd(this.prices),
1155
- adx: this.calculateAdx(this.prices, this.highs, this.lows),
1156
- dmi: this.calculateDmi(this.prices, this.highs, this.lows),
1157
- ichimoku: this.calculateIchimoku(this.prices, this.highs, this.lows),
1158
- parabolicSAR: this.calculateParabolicSAR(this.prices, this.highs, this.lows),
1159
- rsi: this.calculateRSI(this.prices, 14),
1160
- stochastic: this.calculateStochastic(this.prices, this.highs, this.lows),
1161
- cci: this.calculateCci(this.prices, this.highs, this.lows),
1162
- roc: this.calculateRoc(this.prices),
1163
- williamsR: this.calculateWilliamsR(this.prices),
1164
- momentum: this.calculateMomentum(this.prices),
1165
- bollinger: this.calculateBollingerBands(this.prices, 20, 2),
1166
- atr: this.calculateAtr(this.prices, this.highs, this.lows),
1167
- keltner: this.calculateKeltnerChannels(this.prices, this.highs, this.lows),
1168
- donchian: this.calculateDonchianChannels(this.prices, this.highs, this.lows),
1169
- chaikinVolatility: this.calculateChaikinVolatility(this.prices, this.highs, this.lows),
1170
- obv: this.calculateObv(this.volumes),
1171
- cmf: this.calculateCmf(this.prices, this.highs, this.lows, this.volumes),
1172
- adl: this.calculateAdl(this.prices),
1173
- volumeROC: this.calculateVolumeROC(this.prices),
1174
- mfi: this.calculateMfi(this.prices, this.highs, this.lows, this.volumes),
1175
- vwap: this.calculateVwap(this.prices, this.volumes),
1176
- pivotPoints: this.calculatePivotPoints(this.prices),
1177
- fibonacci: this.calculateFibonacciLevels(this.prices),
1178
- gannLevels: this.calculateGannLevels(this.prices),
1179
- elliottWave: this.calculateElliottWave(this.prices),
1180
- harmonicPatterns: this.calculateHarmonicPatterns(this.prices)
1181
- };
1182
- }
1183
- // Generate trading signals
1184
- generateSignals() {
1185
- const analysis = this.analyze();
1186
- let bullishSignals = 0;
1187
- let bearishSignals = 0;
1188
- const signals = [];
1189
- if (analysis.currentPrice > analysis.trueVWAP) {
1190
- signals.push(
1191
- `\u2713 BULLISH: Price above VWAP (+${((analysis.currentPrice - analysis.trueVWAP) / analysis.trueVWAP * 100).toFixed(2)}%)`
1192
- );
1193
- bullishSignals++;
1194
- } else {
1195
- signals.push(
1196
- `\u2717 BEARISH: Price below VWAP (${((analysis.currentPrice - analysis.trueVWAP) / analysis.trueVWAP * 100).toFixed(2)}%)`
1197
- );
1198
- bearishSignals++;
1199
- }
1200
- if (analysis.momentum5 > 0 && analysis.momentum10 > 0) {
1201
- signals.push("\u2713 BULLISH: Positive momentum on both timeframes");
1202
- bullishSignals++;
1203
- } else if (analysis.momentum5 < 0 && analysis.momentum10 < 0) {
1204
- signals.push("\u2717 BEARISH: Negative momentum on both timeframes");
1205
- bearishSignals++;
1206
- } else {
1207
- signals.push("\u25D0 MIXED: Conflicting momentum signals");
1208
- }
1209
- const currentVolume = this.volumes[this.volumes.length - 1];
1210
- const volumeRatio = currentVolume / analysis.avgVolume;
1211
- if (volumeRatio > 1.2 && analysis.sessionReturn > 0) {
1212
- signals.push("\u2713 BULLISH: Above-average volume supporting upward move");
1213
- bullishSignals++;
1214
- } else if (volumeRatio > 1.2 && analysis.sessionReturn < 0) {
1215
- signals.push("\u2717 BEARISH: Above-average volume supporting downward move");
1216
- bearishSignals++;
1217
- } else {
1218
- signals.push("\u25D0 NEUTRAL: Volume not providing clear direction");
1219
- }
1220
- if (analysis.pricePosition > 65 && analysis.volatility > 30) {
1221
- signals.push("\u2717 BEARISH: High in range with elevated volatility - reversal risk");
1222
- bearishSignals++;
1223
- } else if (analysis.pricePosition < 35 && analysis.volatility > 30) {
1224
- signals.push("\u2713 BULLISH: Low in range with volatility - potential bounce");
1225
- bullishSignals++;
1226
- } else {
1227
- signals.push("\u25D0 NEUTRAL: Price position and volatility not extreme");
1228
- }
1229
- return { bullishSignals, bearishSignals, signals };
1230
- }
1231
- // Generate comprehensive JSON analysis
1232
- generateJSONAnalysis(symbol) {
1233
- const analysis = this.analyze();
1234
- const indicators = this.getTechnicalIndicators();
1235
- const signals = this.generateSignals();
1236
- const currentSMA5 = indicators.sma5.length > 0 ? indicators.sma5[indicators.sma5.length - 1] : null;
1237
- const currentSMA10 = indicators.sma10.length > 0 ? indicators.sma10[indicators.sma10.length - 1] : null;
1238
- const currentSMA20 = indicators.sma20.length > 0 ? indicators.sma20[indicators.sma20.length - 1] : null;
1239
- const currentSMA50 = indicators.sma50.length > 0 ? indicators.sma50[indicators.sma50.length - 1] : null;
1240
- const currentSMA200 = indicators.sma200.length > 0 ? indicators.sma200[indicators.sma200.length - 1] : null;
1241
- const currentEMA8 = indicators.ema8[indicators.ema8.length - 1];
1242
- const currentEMA12 = indicators.ema12[indicators.ema12.length - 1];
1243
- const currentEMA21 = indicators.ema21[indicators.ema21.length - 1];
1244
- const currentEMA26 = indicators.ema26[indicators.ema26.length - 1];
1245
- const currentWMA20 = indicators.wma20.length > 0 ? indicators.wma20[indicators.wma20.length - 1] : null;
1246
- const currentVWMA20 = indicators.vwma20.length > 0 ? indicators.vwma20[indicators.vwma20.length - 1] : null;
1247
- const currentMACD = indicators.macd.length > 0 ? indicators.macd[indicators.macd.length - 1] : null;
1248
- const currentADX = indicators.adx.length > 0 ? indicators.adx[indicators.adx.length - 1] : null;
1249
- const currentDMI = indicators.dmi.length > 0 ? indicators.dmi[indicators.dmi.length - 1] : null;
1250
- const currentIchimoku = indicators.ichimoku.length > 0 ? indicators.ichimoku[indicators.ichimoku.length - 1] : null;
1251
- const currentParabolicSAR = indicators.parabolicSAR.length > 0 ? indicators.parabolicSAR[indicators.parabolicSAR.length - 1] : null;
1252
- const currentRSI = indicators.rsi.length > 0 ? indicators.rsi[indicators.rsi.length - 1] : null;
1253
- const currentStochastic = indicators.stochastic.length > 0 ? indicators.stochastic[indicators.stochastic.length - 1] : null;
1254
- const currentCCI = indicators.cci.length > 0 ? indicators.cci[indicators.cci.length - 1] : null;
1255
- const currentROC = indicators.roc.length > 0 ? indicators.roc[indicators.roc.length - 1] : null;
1256
- const currentWilliamsR = indicators.williamsR.length > 0 ? indicators.williamsR[indicators.williamsR.length - 1] : null;
1257
- const currentMomentum = indicators.momentum.length > 0 ? indicators.momentum[indicators.momentum.length - 1] : null;
1258
- const currentBB = indicators.bollinger.length > 0 ? indicators.bollinger[indicators.bollinger.length - 1] : null;
1259
- const currentAtr = indicators.atr.length > 0 ? indicators.atr[indicators.atr.length - 1] : null;
1260
- const currentKeltner = indicators.keltner.length > 0 ? indicators.keltner[indicators.keltner.length - 1] : null;
1261
- const currentDonchian = indicators.donchian.length > 0 ? indicators.donchian[indicators.donchian.length - 1] : null;
1262
- const currentChaikinVolatility = indicators.chaikinVolatility.length > 0 ? indicators.chaikinVolatility[indicators.chaikinVolatility.length - 1] : null;
1263
- const currentObv = indicators.obv.length > 0 ? indicators.obv[indicators.obv.length - 1] : null;
1264
- const currentCmf = indicators.cmf.length > 0 ? indicators.cmf[indicators.cmf.length - 1] : null;
1265
- const currentAdl = indicators.adl.length > 0 ? indicators.adl[indicators.adl.length - 1] : null;
1266
- const currentVolumeROC = indicators.volumeROC.length > 0 ? indicators.volumeROC[indicators.volumeROC.length - 1] : null;
1267
- const currentMfi = indicators.mfi.length > 0 ? indicators.mfi[indicators.mfi.length - 1] : null;
1268
- const currentVwap = indicators.vwap.length > 0 ? indicators.vwap[indicators.vwap.length - 1] : null;
1269
- const currentPivotPoints = indicators.pivotPoints.length > 0 ? indicators.pivotPoints[indicators.pivotPoints.length - 1] : null;
1270
- const currentFibonacci = indicators.fibonacci.length > 0 ? indicators.fibonacci[indicators.fibonacci.length - 1] : null;
1271
- const currentGannLevels = indicators.gannLevels.length > 0 ? indicators.gannLevels : [];
1272
- const currentElliottWave = indicators.elliottWave.length > 0 ? indicators.elliottWave[indicators.elliottWave.length - 1] : null;
1273
- const currentHarmonicPatterns = indicators.harmonicPatterns.length > 0 ? indicators.harmonicPatterns : [];
1274
- const currentVolume = this.volumes[this.volumes.length - 1];
1275
- const volumeRatio = currentVolume / analysis.avgVolume;
1276
- const currentDrawdown = (analysis.sessionHigh - analysis.currentPrice) / analysis.sessionHigh * 100;
1277
- const rangeWidth = (analysis.sessionHigh - analysis.sessionLow) / analysis.sessionLow * 100;
1278
- const priceVsVWAP = (analysis.currentPrice - analysis.trueVWAP) / analysis.trueVWAP * 100;
1279
- const totalScore = signals.bullishSignals - signals.bearishSignals;
1280
- const overallSignal = totalScore > 0 ? "BULLISH_BIAS" : totalScore < 0 ? "BEARISH_BIAS" : "NEUTRAL";
1281
- const targetEntry = Math.max(analysis.sessionLow * 1.005, analysis.trueVWAP * 0.998);
1282
- const stopLoss = analysis.sessionLow * 0.995;
1283
- const profitTarget = analysis.sessionHigh * 0.995;
1284
- const riskRewardRatio = (profitTarget - analysis.currentPrice) / (analysis.currentPrice - stopLoss);
1285
- const positionSize = this.calculatePositionSize(analysis.currentPrice, targetEntry, stopLoss);
1286
- const maxRisk = positionSize * (targetEntry - stopLoss);
1287
- return {
1288
- symbol,
1289
- timestamp: (/* @__PURE__ */ new Date()).toISOString(),
1290
- marketStructure: {
1291
- currentPrice: analysis.currentPrice,
1292
- startPrice: analysis.startPrice,
1293
- sessionHigh: analysis.sessionHigh,
1294
- sessionLow: analysis.sessionLow,
1295
- rangeWidth,
1296
- totalVolume: analysis.totalVolume,
1297
- sessionPerformance: analysis.sessionReturn,
1298
- positionInRange: analysis.pricePosition
1299
- },
1300
- volatility: {
1301
- impliedVolatility: analysis.impliedVolatility,
1302
- realizedVolatility: analysis.realizedVolatility,
1303
- atr: analysis.atr,
1304
- maxDrawdown: analysis.maxDrawdown * 100,
1305
- currentDrawdown
1306
- },
1307
- technicalIndicators: {
1308
- sma5: currentSMA5,
1309
- sma10: currentSMA10,
1310
- sma20: currentSMA20,
1311
- sma50: currentSMA50,
1312
- sma200: currentSMA200,
1313
- ema8: currentEMA8,
1314
- ema12: currentEMA12,
1315
- ema21: currentEMA21,
1316
- ema26: currentEMA26,
1317
- wma20: currentWMA20,
1318
- vwma20: currentVWMA20,
1319
- macd: currentMACD,
1320
- adx: currentADX,
1321
- dmi: currentDMI,
1322
- ichimoku: currentIchimoku,
1323
- parabolicSAR: currentParabolicSAR,
1324
- rsi: currentRSI,
1325
- stochastic: currentStochastic,
1326
- cci: currentCCI,
1327
- roc: currentROC,
1328
- williamsR: currentWilliamsR,
1329
- momentum: currentMomentum,
1330
- bollingerBands: currentBB ? {
1331
- upper: currentBB.upper,
1332
- middle: currentBB.middle,
1333
- lower: currentBB.lower,
1334
- bandwidth: currentBB.bandwidth,
1335
- percentB: currentBB.percentB
1336
- } : null,
1337
- atr: currentAtr,
1338
- keltnerChannels: currentKeltner ? {
1339
- upper: currentKeltner.upper,
1340
- middle: currentKeltner.middle,
1341
- lower: currentKeltner.lower
1342
- } : null,
1343
- donchianChannels: currentDonchian ? {
1344
- upper: currentDonchian.upper,
1345
- middle: currentDonchian.middle,
1346
- lower: currentDonchian.lower
1347
- } : null,
1348
- chaikinVolatility: currentChaikinVolatility,
1349
- obv: currentObv,
1350
- cmf: currentCmf,
1351
- adl: currentAdl,
1352
- volumeROC: currentVolumeROC,
1353
- mfi: currentMfi,
1354
- vwap: currentVwap
1355
- },
1356
- volumeAnalysis: {
1357
- currentVolume,
1358
- averageVolume: Math.round(analysis.avgVolume),
1359
- volumeRatio,
1360
- trueVWAP: analysis.trueVWAP,
1361
- priceVsVWAP,
1362
- obv: currentObv,
1363
- cmf: currentCmf,
1364
- mfi: currentMfi
1365
- },
1366
- momentum: {
1367
- momentum5: analysis.momentum5,
1368
- momentum10: analysis.momentum10,
1369
- sessionROC: analysis.sessionReturn,
1370
- rsi: currentRSI,
1371
- stochastic: currentStochastic,
1372
- cci: currentCCI
1373
- },
1374
- supportResistance: {
1375
- pivotPoints: currentPivotPoints,
1376
- fibonacci: currentFibonacci,
1377
- gannLevels: currentGannLevels,
1378
- elliottWave: currentElliottWave,
1379
- harmonicPatterns: currentHarmonicPatterns
1380
- },
1381
- tradingSignals: {
1382
- ...signals,
1383
- overallSignal,
1384
- signalScore: totalScore,
1385
- confidence: this.calculateConfidence(signals.signals),
1386
- riskLevel: this.calculateRiskLevel(analysis.volatility)
1387
- },
1388
- statisticalModels: {
1389
- zScore: this.calculateZScore(analysis.currentPrice, analysis.startPrice, analysis.avgVolume),
1390
- ornsteinUhlenbeck: this.calculateOrnsteinUhlenbeck(
1391
- analysis.currentPrice,
1392
- analysis.startPrice,
1393
- analysis.avgVolume
1394
- ),
1395
- kalmanFilter: this.calculateKalmanFilter(
1396
- analysis.currentPrice,
1397
- analysis.startPrice,
1398
- analysis.avgVolume
1399
- ),
1400
- arima: this.calculateArima(analysis.currentPrice, analysis.startPrice, analysis.avgVolume),
1401
- garch: this.calculateGarch(analysis.currentPrice, analysis.startPrice, analysis.avgVolume),
1402
- hilbertTransform: this.calculateHilbertTransform(
1403
- analysis.currentPrice,
1404
- analysis.startPrice,
1405
- analysis.avgVolume
1406
- ),
1407
- waveletTransform: this.calculateWaveletTransform(
1408
- analysis.currentPrice,
1409
- analysis.startPrice,
1410
- analysis.avgVolume
1411
- )
1412
- },
1413
- optionsAnalysis: (() => {
1414
- const blackScholes = this.calculateBlackScholes(
1415
- analysis.currentPrice,
1416
- analysis.startPrice,
1417
- analysis.avgVolume
1418
- );
1419
- if (!blackScholes) return null;
1420
- return {
1421
- blackScholes,
1422
- impliedVolatility: analysis.impliedVolatility,
1423
- delta: blackScholes.delta,
1424
- gamma: blackScholes.gamma,
1425
- theta: blackScholes.theta,
1426
- vega: blackScholes.vega,
1427
- rho: blackScholes.rho,
1428
- greeks: {
1429
- delta: blackScholes.delta,
1430
- gamma: blackScholes.gamma,
1431
- theta: blackScholes.theta,
1432
- vega: blackScholes.vega,
1433
- rho: blackScholes.rho
1434
- }
1435
- };
1436
- })(),
1437
- riskManagement: {
1438
- targetEntry,
1439
- stopLoss,
1440
- profitTarget,
1441
- riskRewardRatio,
1442
- positionSize,
1443
- maxRisk
1444
- },
1445
- performance: {
1446
- sharpeRatio: analysis.sharpeRatio,
1447
- sortinoRatio: analysis.sortinoRatio,
1448
- calmarRatio: analysis.calmarRatio,
1449
- maxDrawdown: analysis.maxDrawdown * 100,
1450
- winRate: analysis.winRate,
1451
- profitFactor: analysis.profitFactor,
1452
- totalReturn: analysis.sessionReturn,
1453
- volatility: analysis.volatility
1454
- }
1455
- };
1456
- }
1457
- };
1458
- var createTechnicalAnalysisHandler = (marketDataPrices) => {
1459
- return async (args) => {
1460
- try {
1461
- const symbol = args.symbol;
1462
- const priceHistory = marketDataPrices.get(symbol) || [];
1463
- if (priceHistory.length === 0) {
1464
- return {
1465
- content: [
1466
- {
1467
- type: "text",
1468
- text: `No price data available for ${symbol}. Please request market data first.`,
1469
- uri: "technicalAnalysis"
1470
- }
1471
- ]
1472
- };
1473
- }
1474
- const hasValidData = priceHistory.every(
1475
- (entry) => typeof entry.trade === "number" && !Number.isNaN(entry.trade) && typeof entry.midPrice === "number" && !Number.isNaN(entry.midPrice)
1476
- );
1477
- if (!hasValidData) {
1478
- throw new Error("Invalid market data");
1479
- }
1480
- const analyzer = new TechnicalAnalyzer(priceHistory);
1481
- const analysis = analyzer.generateJSONAnalysis(symbol);
1482
- return {
1483
- content: [
1484
- {
1485
- type: "text",
1486
- text: `Technical Analysis for ${symbol}:
1487
-
1488
- ${JSON.stringify(analysis, null, 2)}`,
1489
- uri: "technicalAnalysis"
1490
- }
1491
- ]
1492
- };
1493
- } catch (error) {
1494
- return {
1495
- content: [
1496
- {
1497
- type: "text",
1498
- text: `Error performing technical analysis: ${error instanceof Error ? error.message : "Unknown error"}`,
1499
- uri: "technicalAnalysis"
1500
- }
1501
- ],
1502
- isError: true
1503
- };
1504
- }
1505
- };
1506
- };
1507
-
1508
- // src/tools/marketData.ts
1509
- import { Field, Fields, MDEntryType, Messages } from "fixparser";
1510
- import QuickChart from "quickchart-js";
1511
- var createMarketDataRequestHandler = (parser, pendingRequests) => {
1512
- return async (args) => {
1513
- try {
1514
- parser.logger.log({
1515
- level: "info",
1516
- message: `Sending market data request for symbols: ${args.symbols.join(", ")}`
1517
- });
1518
- const response = new Promise((resolve) => {
1519
- pendingRequests.set(args.mdReqID, resolve);
1520
- parser.logger.log({
1521
- level: "info",
1522
- message: `Registered callback for market data request ID: ${args.mdReqID}`
1523
- });
1524
- });
1525
- const entryTypes = args.mdEntryTypes || [
1526
- MDEntryType.Bid,
1527
- MDEntryType.Offer,
1528
- MDEntryType.Trade,
1529
- MDEntryType.IndexValue,
1530
- MDEntryType.OpeningPrice,
1531
- MDEntryType.ClosingPrice,
1532
- MDEntryType.SettlementPrice,
1533
- MDEntryType.TradingSessionHighPrice,
1534
- MDEntryType.TradingSessionLowPrice,
1535
- MDEntryType.VWAP,
1536
- MDEntryType.Imbalance,
1537
- MDEntryType.TradeVolume,
1538
- MDEntryType.OpenInterest,
1539
- MDEntryType.CompositeUnderlyingPrice,
1540
- MDEntryType.SimulatedSellPrice,
1541
- MDEntryType.SimulatedBuyPrice,
1542
- MDEntryType.MarginRate,
1543
- MDEntryType.MidPrice,
1544
- MDEntryType.EmptyBook,
1545
- MDEntryType.SettleHighPrice,
1546
- MDEntryType.SettleLowPrice,
1547
- MDEntryType.PriorSettlePrice,
1548
- MDEntryType.SessionHighBid,
1549
- MDEntryType.SessionLowOffer,
1550
- MDEntryType.EarlyPrices,
1551
- MDEntryType.AuctionClearingPrice,
1552
- MDEntryType.SwapValueFactor,
1553
- MDEntryType.DailyValueAdjustmentForLongPositions,
1554
- MDEntryType.CumulativeValueAdjustmentForLongPositions,
1555
- MDEntryType.DailyValueAdjustmentForShortPositions,
1556
- MDEntryType.CumulativeValueAdjustmentForShortPositions,
1557
- MDEntryType.FixingPrice,
1558
- MDEntryType.CashRate,
1559
- MDEntryType.RecoveryRate,
1560
- MDEntryType.RecoveryRateForLong,
1561
- MDEntryType.RecoveryRateForShort,
1562
- MDEntryType.MarketBid,
1563
- MDEntryType.MarketOffer,
1564
- MDEntryType.ShortSaleMinPrice,
1565
- MDEntryType.PreviousClosingPrice,
1566
- MDEntryType.ThresholdLimitPriceBanding,
1567
- MDEntryType.DailyFinancingValue,
1568
- MDEntryType.AccruedFinancingValue,
1569
- MDEntryType.TWAP
1570
- ];
1571
- const messageFields = [
1572
- new Field(Fields.MsgType, Messages.MarketDataRequest),
1573
- new Field(Fields.SenderCompID, parser.sender),
1574
- new Field(Fields.MsgSeqNum, parser.getNextTargetMsgSeqNum()),
1575
- new Field(Fields.TargetCompID, parser.target),
1576
- new Field(Fields.SendingTime, parser.getTimestamp()),
1577
- new Field(Fields.MDReqID, args.mdReqID),
1578
- new Field(Fields.SubscriptionRequestType, args.subscriptionRequestType),
1579
- new Field(Fields.MarketDepth, 0),
1580
- new Field(Fields.MDUpdateType, args.mdUpdateType)
1581
- ];
1582
- messageFields.push(new Field(Fields.NoRelatedSym, args.symbols.length));
1583
- args.symbols.forEach((symbol) => {
1584
- messageFields.push(new Field(Fields.Symbol, symbol));
1585
- });
1586
- messageFields.push(new Field(Fields.NoMDEntryTypes, entryTypes.length));
1587
- entryTypes.forEach((entryType) => {
1588
- messageFields.push(new Field(Fields.MDEntryType, entryType));
1589
- });
1590
- const mdr = parser.createMessage(...messageFields);
1591
- if (!parser.connected) {
1592
- parser.logger.log({
1593
- level: "error",
1594
- message: "Not connected. Cannot send market data request."
1595
- });
1596
- return {
1597
- content: [
1598
- {
1599
- type: "text",
1600
- text: "Error: Not connected. Ignoring message.",
1601
- uri: "marketDataRequest"
1602
- }
1603
- ],
1604
- isError: true
1605
- };
1606
- }
1607
- parser.logger.log({
1608
- level: "info",
1609
- message: `Sending market data request message: ${JSON.stringify(mdr?.toFIXJSON())}`
1610
- });
1611
- parser.send(mdr);
1612
- const fixData = await response;
1613
- parser.logger.log({
1614
- level: "info",
1615
- message: `Received market data response for request ID: ${args.mdReqID}`
1616
- });
1617
- return {
1618
- content: [
1619
- {
1620
- type: "text",
1621
- text: `Market data for ${args.symbols.join(", ")}: ${JSON.stringify(fixData.toFIXJSON())}`,
1622
- uri: "marketDataRequest"
1623
- }
1624
- ]
1625
- };
1626
- } catch (error) {
1627
- return {
1628
- content: [
1629
- {
1630
- type: "text",
1631
- text: `Error: ${error instanceof Error ? error.message : "Failed to request market data"}`,
1632
- uri: "marketDataRequest"
1633
- }
1634
- ],
1635
- isError: true
1636
- };
1637
- }
1638
- };
1639
- };
1640
- var aggregateMarketData = (priceHistory, maxPoints = 490) => {
1641
- if (priceHistory.length <= maxPoints) {
1642
- return priceHistory;
1643
- }
1644
- const result = [];
1645
- const step = priceHistory.length / maxPoints;
1646
- result.push(priceHistory[0]);
1647
- for (let i = 1; i < maxPoints - 1; i++) {
1648
- const startIndex = Math.floor(i * step);
1649
- const endIndex = Math.floor((i + 1) * step);
1650
- const segment = priceHistory.slice(startIndex, endIndex);
1651
- if (segment.length === 0) continue;
1652
- const aggregatedPoint = {
1653
- timestamp: segment[0].timestamp,
1654
- // Use timestamp of first point in segment
1655
- bid: segment.reduce((sum2, p) => sum2 + p.bid, 0) / segment.length,
1656
- offer: segment.reduce((sum2, p) => sum2 + p.offer, 0) / segment.length,
1657
- spread: segment.reduce((sum2, p) => sum2 + p.spread, 0) / segment.length,
1658
- volume: segment.reduce((sum2, p) => sum2 + p.volume, 0) / segment.length,
1659
- trade: segment.reduce((sum2, p) => sum2 + p.trade, 0) / segment.length,
1660
- indexValue: segment.reduce((sum2, p) => sum2 + p.indexValue, 0) / segment.length,
1661
- openingPrice: segment.reduce((sum2, p) => sum2 + p.openingPrice, 0) / segment.length,
1662
- closingPrice: segment.reduce((sum2, p) => sum2 + p.closingPrice, 0) / segment.length,
1663
- settlementPrice: segment.reduce((sum2, p) => sum2 + p.settlementPrice, 0) / segment.length,
1664
- tradingSessionHighPrice: segment.reduce((sum2, p) => sum2 + p.tradingSessionHighPrice, 0) / segment.length,
1665
- tradingSessionLowPrice: segment.reduce((sum2, p) => sum2 + p.tradingSessionLowPrice, 0) / segment.length,
1666
- vwap: segment.reduce((sum2, p) => sum2 + p.vwap, 0) / segment.length,
1667
- imbalance: segment.reduce((sum2, p) => sum2 + p.imbalance, 0) / segment.length,
1668
- openInterest: segment.reduce((sum2, p) => sum2 + p.openInterest, 0) / segment.length,
1669
- compositeUnderlyingPrice: segment.reduce((sum2, p) => sum2 + p.compositeUnderlyingPrice, 0) / segment.length,
1670
- simulatedSellPrice: segment.reduce((sum2, p) => sum2 + p.simulatedSellPrice, 0) / segment.length,
1671
- simulatedBuyPrice: segment.reduce((sum2, p) => sum2 + p.simulatedBuyPrice, 0) / segment.length,
1672
- marginRate: segment.reduce((sum2, p) => sum2 + p.marginRate, 0) / segment.length,
1673
- midPrice: segment.reduce((sum2, p) => sum2 + p.midPrice, 0) / segment.length,
1674
- emptyBook: segment.reduce((sum2, p) => sum2 + p.emptyBook, 0) / segment.length,
1675
- settleHighPrice: segment.reduce((sum2, p) => sum2 + p.settleHighPrice, 0) / segment.length,
1676
- settleLowPrice: segment.reduce((sum2, p) => sum2 + p.settleLowPrice, 0) / segment.length,
1677
- priorSettlePrice: segment.reduce((sum2, p) => sum2 + p.priorSettlePrice, 0) / segment.length,
1678
- sessionHighBid: segment.reduce((sum2, p) => sum2 + p.sessionHighBid, 0) / segment.length,
1679
- sessionLowOffer: segment.reduce((sum2, p) => sum2 + p.sessionLowOffer, 0) / segment.length,
1680
- earlyPrices: segment.reduce((sum2, p) => sum2 + p.earlyPrices, 0) / segment.length,
1681
- auctionClearingPrice: segment.reduce((sum2, p) => sum2 + p.auctionClearingPrice, 0) / segment.length,
1682
- swapValueFactor: segment.reduce((sum2, p) => sum2 + p.swapValueFactor, 0) / segment.length,
1683
- dailyValueAdjustmentForLongPositions: segment.reduce((sum2, p) => sum2 + p.dailyValueAdjustmentForLongPositions, 0) / segment.length,
1684
- cumulativeValueAdjustmentForLongPositions: segment.reduce((sum2, p) => sum2 + p.cumulativeValueAdjustmentForLongPositions, 0) / segment.length,
1685
- dailyValueAdjustmentForShortPositions: segment.reduce((sum2, p) => sum2 + p.dailyValueAdjustmentForShortPositions, 0) / segment.length,
1686
- cumulativeValueAdjustmentForShortPositions: segment.reduce((sum2, p) => sum2 + p.cumulativeValueAdjustmentForShortPositions, 0) / segment.length,
1687
- fixingPrice: segment.reduce((sum2, p) => sum2 + p.fixingPrice, 0) / segment.length,
1688
- cashRate: segment.reduce((sum2, p) => sum2 + p.cashRate, 0) / segment.length,
1689
- recoveryRate: segment.reduce((sum2, p) => sum2 + p.recoveryRate, 0) / segment.length,
1690
- recoveryRateForLong: segment.reduce((sum2, p) => sum2 + p.recoveryRateForLong, 0) / segment.length,
1691
- recoveryRateForShort: segment.reduce((sum2, p) => sum2 + p.recoveryRateForShort, 0) / segment.length,
1692
- marketBid: segment.reduce((sum2, p) => sum2 + p.marketBid, 0) / segment.length,
1693
- marketOffer: segment.reduce((sum2, p) => sum2 + p.marketOffer, 0) / segment.length,
1694
- shortSaleMinPrice: segment.reduce((sum2, p) => sum2 + p.shortSaleMinPrice, 0) / segment.length,
1695
- previousClosingPrice: segment.reduce((sum2, p) => sum2 + p.previousClosingPrice, 0) / segment.length,
1696
- thresholdLimitPriceBanding: segment.reduce((sum2, p) => sum2 + p.thresholdLimitPriceBanding, 0) / segment.length,
1697
- dailyFinancingValue: segment.reduce((sum2, p) => sum2 + p.dailyFinancingValue, 0) / segment.length,
1698
- accruedFinancingValue: segment.reduce((sum2, p) => sum2 + p.accruedFinancingValue, 0) / segment.length,
1699
- twap: segment.reduce((sum2, p) => sum2 + p.twap, 0) / segment.length
1700
- };
1701
- result.push(aggregatedPoint);
1702
- }
1703
- result.push(priceHistory[priceHistory.length - 1]);
1704
- return result;
1705
- };
1706
- var createGetStockGraphHandler = (marketDataPrices) => {
1707
- return async (args) => {
1708
- try {
1709
- const symbol = args.symbol;
1710
- const priceHistory = marketDataPrices.get(symbol) || [];
1711
- if (priceHistory.length === 0) {
1712
- return {
1713
- content: [
1714
- {
1715
- type: "text",
1716
- text: `No price data available for ${symbol}`,
1717
- uri: "getStockGraph"
1718
- }
1719
- ]
1720
- };
1721
- }
1722
- const aggregatedData = aggregateMarketData(priceHistory, 500);
1723
- const chart = new QuickChart();
1724
- chart.setWidth(1200);
1725
- chart.setHeight(600);
1726
- chart.setBackgroundColor("transparent");
1727
- const labels = aggregatedData.map((point) => new Date(point.timestamp).toLocaleTimeString());
1728
- const bidData = aggregatedData.map((point) => point.bid);
1729
- const offerData = aggregatedData.map((point) => point.offer);
1730
- const spreadData = aggregatedData.map((point) => point.spread);
1731
- const volumeData = aggregatedData.map((point) => point.volume);
1732
- const tradeData = aggregatedData.map((point) => point.trade);
1733
- const vwapData = aggregatedData.map((point) => point.vwap);
1734
- const twapData = aggregatedData.map((point) => point.twap);
1735
- const maxVolume = Math.max(...volumeData.filter((v) => v > 0));
1736
- const maxPrice = Math.max(...bidData, ...offerData, ...tradeData, ...vwapData, ...twapData);
1737
- const normalizedVolumeData = volumeData.map((v) => v / maxVolume * maxPrice * 0.3);
1738
- const config = {
1739
- type: "line",
1740
- data: {
1741
- labels,
1742
- datasets: [
1743
- {
1744
- label: "Bid",
1745
- data: bidData,
1746
- borderColor: "#28a745",
1747
- backgroundColor: "rgba(40, 167, 69, 0.1)",
1748
- fill: false,
1749
- tension: 0.4
1750
- },
1751
- {
1752
- label: "Offer",
1753
- data: offerData,
1754
- borderColor: "#dc3545",
1755
- backgroundColor: "rgba(220, 53, 69, 0.1)",
1756
- fill: false,
1757
- tension: 0.4
1758
- },
1759
- {
1760
- label: "Spread",
1761
- data: spreadData,
1762
- borderColor: "#6c757d",
1763
- backgroundColor: "rgba(108, 117, 125, 0.1)",
1764
- fill: false,
1765
- tension: 0.4
1766
- },
1767
- {
1768
- label: "Trade",
1769
- data: tradeData,
1770
- borderColor: "#ffc107",
1771
- backgroundColor: "rgba(255, 193, 7, 0.1)",
1772
- fill: false,
1773
- tension: 0.4
1774
- },
1775
- {
1776
- label: "VWAP",
1777
- data: vwapData,
1778
- borderColor: "#17a2b8",
1779
- backgroundColor: "rgba(23, 162, 184, 0.1)",
1780
- fill: false,
1781
- tension: 0.4
1782
- },
1783
- {
1784
- label: "TWAP",
1785
- data: twapData,
1786
- borderColor: "#6610f2",
1787
- backgroundColor: "rgba(102, 16, 242, 0.1)",
1788
- fill: false,
1789
- tension: 0.4
1790
- },
1791
- {
1792
- label: "Volume (Normalized)",
1793
- data: normalizedVolumeData,
1794
- borderColor: "#007bff",
1795
- backgroundColor: "rgba(0, 123, 255, 0.1)",
1796
- fill: true,
1797
- tension: 0.4
1798
- }
1799
- ]
1800
- },
1801
- options: {
1802
- responsive: true,
1803
- plugins: {
1804
- title: {
1805
- display: true,
1806
- text: `${symbol} Market Data (Volume normalized to 30% of max price)`
1807
- }
1808
- },
1809
- scales: {
1810
- y: {
1811
- beginAtZero: false,
1812
- title: {
1813
- display: true,
1814
- text: "Price / Normalized Volume"
1815
- }
1816
- }
1817
- }
1818
- }
1819
- };
1820
- chart.setConfig(config);
1821
- const imageBuffer = await chart.toBinary();
1822
- const base64 = imageBuffer.toString("base64");
1823
- return {
1824
- content: [
1825
- {
1826
- type: "resource",
1827
- resource: {
1828
- uri: "resource://graph",
1829
- mimeType: "image/png",
1830
- blob: base64
1831
- }
1832
- }
1833
- ]
1834
- };
1835
- } catch (error) {
1836
- return {
1837
- content: [
1838
- {
1839
- type: "text",
1840
- text: `Error: ${error instanceof Error ? error.message : "Failed to generate graph"}`,
1841
- uri: "getStockGraph"
1842
- }
1843
- ],
1844
- isError: true
1845
- };
1846
- }
1847
- };
1848
- };
1849
- var createGetStockPriceHistoryHandler = (marketDataPrices) => {
1850
- return async (args) => {
1851
- try {
1852
- const symbol = args.symbol;
1853
- const priceHistory = marketDataPrices.get(symbol) || [];
1854
- if (priceHistory.length === 0) {
1855
- return {
1856
- content: [
1857
- {
1858
- type: "text",
1859
- text: `No price data available for ${symbol}`,
1860
- uri: "getStockPriceHistory"
1861
- }
1862
- ]
1863
- };
1864
- }
1865
- const aggregatedData = aggregateMarketData(priceHistory, 500);
1866
- return {
1867
- content: [
1868
- {
1869
- type: "text",
1870
- text: JSON.stringify(
1871
- {
1872
- symbol,
1873
- count: aggregatedData.length,
1874
- originalCount: priceHistory.length,
1875
- data: aggregatedData.map((point) => ({
1876
- timestamp: new Date(point.timestamp).toISOString(),
1877
- bid: point.bid,
1878
- offer: point.offer,
1879
- spread: point.spread,
1880
- volume: point.volume,
1881
- trade: point.trade,
1882
- indexValue: point.indexValue,
1883
- openingPrice: point.openingPrice,
1884
- closingPrice: point.closingPrice,
1885
- settlementPrice: point.settlementPrice,
1886
- tradingSessionHighPrice: point.tradingSessionHighPrice,
1887
- tradingSessionLowPrice: point.tradingSessionLowPrice,
1888
- vwap: point.vwap,
1889
- imbalance: point.imbalance,
1890
- openInterest: point.openInterest,
1891
- compositeUnderlyingPrice: point.compositeUnderlyingPrice,
1892
- simulatedSellPrice: point.simulatedSellPrice,
1893
- simulatedBuyPrice: point.simulatedBuyPrice,
1894
- marginRate: point.marginRate,
1895
- midPrice: point.midPrice,
1896
- emptyBook: point.emptyBook,
1897
- settleHighPrice: point.settleHighPrice,
1898
- settleLowPrice: point.settleLowPrice,
1899
- priorSettlePrice: point.priorSettlePrice,
1900
- sessionHighBid: point.sessionHighBid,
1901
- sessionLowOffer: point.sessionLowOffer,
1902
- earlyPrices: point.earlyPrices,
1903
- auctionClearingPrice: point.auctionClearingPrice,
1904
- swapValueFactor: point.swapValueFactor,
1905
- dailyValueAdjustmentForLongPositions: point.dailyValueAdjustmentForLongPositions,
1906
- cumulativeValueAdjustmentForLongPositions: point.cumulativeValueAdjustmentForLongPositions,
1907
- dailyValueAdjustmentForShortPositions: point.dailyValueAdjustmentForShortPositions,
1908
- cumulativeValueAdjustmentForShortPositions: point.cumulativeValueAdjustmentForShortPositions,
1909
- fixingPrice: point.fixingPrice,
1910
- cashRate: point.cashRate,
1911
- recoveryRate: point.recoveryRate,
1912
- recoveryRateForLong: point.recoveryRateForLong,
1913
- recoveryRateForShort: point.recoveryRateForShort,
1914
- marketBid: point.marketBid,
1915
- marketOffer: point.marketOffer,
1916
- shortSaleMinPrice: point.shortSaleMinPrice,
1917
- previousClosingPrice: point.previousClosingPrice,
1918
- thresholdLimitPriceBanding: point.thresholdLimitPriceBanding,
1919
- dailyFinancingValue: point.dailyFinancingValue,
1920
- accruedFinancingValue: point.accruedFinancingValue,
1921
- twap: point.twap
1922
- }))
1923
- },
1924
- null,
1925
- 2
1926
- ),
1927
- uri: "getStockPriceHistory"
1928
- }
1929
- ]
1930
- };
1931
- } catch (error) {
1932
- return {
1933
- content: [
1934
- {
1935
- type: "text",
1936
- text: `Error: ${error instanceof Error ? error.message : "Failed to get price history"}`,
1937
- uri: "getStockPriceHistory"
1938
- }
1939
- ],
1940
- isError: true
1941
- };
1942
- }
1943
- };
1944
- };
1945
-
1946
- // src/tools/order.ts
1947
- import { Field as Field2, Fields as Fields2, Messages as Messages2 } from "fixparser";
1948
- var ordTypeNames = {
1949
- "1": "Market",
1950
- "2": "Limit",
1951
- "3": "Stop",
1952
- "4": "StopLimit",
1953
- "5": "MarketOnClose",
1954
- "6": "WithOrWithout",
1955
- "7": "LimitOrBetter",
1956
- "8": "LimitWithOrWithout",
1957
- "9": "OnBasis",
1958
- A: "OnClose",
1959
- B: "LimitOnClose",
1960
- C: "ForexMarket",
1961
- D: "PreviouslyQuoted",
1962
- E: "PreviouslyIndicated",
1963
- F: "ForexLimit",
1964
- G: "ForexSwap",
1965
- H: "ForexPreviouslyQuoted",
1966
- I: "Funari",
1967
- J: "MarketIfTouched",
1968
- K: "MarketWithLeftOverAsLimit",
1969
- L: "PreviousFundValuationPoint",
1970
- M: "NextFundValuationPoint",
1971
- P: "Pegged",
1972
- Q: "CounterOrderSelection",
1973
- R: "StopOnBidOrOffer",
1974
- S: "StopLimitOnBidOrOffer"
1975
- };
1976
- var sideNames = {
1977
- "1": "Buy",
1978
- "2": "Sell",
1979
- "3": "BuyMinus",
1980
- "4": "SellPlus",
1981
- "5": "SellShort",
1982
- "6": "SellShortExempt",
1983
- "7": "Undisclosed",
1984
- "8": "Cross",
1985
- "9": "CrossShort",
1986
- A: "CrossShortExempt",
1987
- B: "AsDefined",
1988
- C: "Opposite",
1989
- D: "Subscribe",
1990
- E: "Redeem",
1991
- F: "Lend",
1992
- G: "Borrow",
1993
- H: "SellUndisclosed"
1994
- };
1995
- var timeInForceNames = {
1996
- "0": "Day",
1997
- "1": "GoodTillCancel",
1998
- "2": "AtTheOpening",
1999
- "3": "ImmediateOrCancel",
2000
- "4": "FillOrKill",
2001
- "5": "GoodTillCrossing",
2002
- "6": "GoodTillDate",
2003
- "7": "AtTheClose",
2004
- "8": "GoodThroughCrossing",
2005
- "9": "AtCrossing",
2006
- A: "GoodForTime",
2007
- B: "GoodForAuction",
2008
- C: "GoodForMonth"
2009
- };
2010
- var handlInstNames = {
2011
- "1": "AutomatedExecutionNoIntervention",
2012
- "2": "AutomatedExecutionInterventionOK",
2013
- "3": "ManualOrder"
2014
- };
2015
- var createVerifyOrderHandler = (parser, verifiedOrders) => {
2016
- return async (args) => {
2017
- void parser;
2018
- try {
2019
- verifiedOrders.set(args.clOrdID, {
2020
- clOrdID: args.clOrdID,
2021
- handlInst: args.handlInst,
2022
- quantity: Number.parseFloat(String(args.quantity)),
2023
- price: Number.parseFloat(String(args.price)),
2024
- ordType: args.ordType,
2025
- side: args.side,
2026
- symbol: args.symbol,
2027
- timeInForce: args.timeInForce
2028
- });
2029
- return {
2030
- content: [
2031
- {
2032
- type: "text",
2033
- text: `VERIFICATION: All parameters valid. Ready to proceed with order execution.
2034
-
2035
- Parameters verified:
2036
- - ClOrdID: ${args.clOrdID}
2037
- - HandlInst: ${args.handlInst} (${handlInstNames[args.handlInst]})
2038
- - Quantity: ${args.quantity}
2039
- - Price: ${args.price}
2040
- - OrdType: ${args.ordType} (${ordTypeNames[args.ordType]})
2041
- - Side: ${args.side} (${sideNames[args.side]})
2042
- - Symbol: ${args.symbol}
2043
- - TimeInForce: ${args.timeInForce} (${timeInForceNames[args.timeInForce]})
2044
-
2045
- To execute this order, call the executeOrder tool with these exact same parameters. Important: The user has to explicitly confirm before executeOrder is called!`,
2046
- uri: "verifyOrder"
2047
- }
2048
- ]
2049
- };
2050
- } catch (error) {
2051
- return {
2052
- content: [
2053
- {
2054
- type: "text",
2055
- text: `Error: ${error instanceof Error ? error.message : "Failed to verify order parameters"}`,
2056
- uri: "verifyOrder"
2057
- }
2058
- ],
2059
- isError: true
2060
- };
2061
- }
2062
- };
2063
- };
2064
- var createExecuteOrderHandler = (parser, verifiedOrders, pendingRequests) => {
2065
- return async (args) => {
2066
- try {
2067
- const verifiedOrder = verifiedOrders.get(args.clOrdID);
2068
- if (!verifiedOrder) {
2069
- return {
2070
- content: [
2071
- {
2072
- type: "text",
2073
- text: `Error: Order ${args.clOrdID} has not been verified. Please call verifyOrder first.`,
2074
- uri: "executeOrder"
2075
- }
2076
- ],
2077
- isError: true
2078
- };
2079
- }
2080
- 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) {
2081
- return {
2082
- content: [
2083
- {
2084
- type: "text",
2085
- text: "Error: Order parameters do not match the verified order. Please use the exact same parameters that were verified.",
2086
- uri: "executeOrder"
2087
- }
2088
- ],
2089
- isError: true
2090
- };
2091
- }
2092
- const response = new Promise((resolve) => {
2093
- pendingRequests.set(args.clOrdID, resolve);
2094
- });
2095
- const order = parser.createMessage(
2096
- new Field2(Fields2.MsgType, Messages2.NewOrderSingle),
2097
- new Field2(Fields2.MsgSeqNum, parser.getNextTargetMsgSeqNum()),
2098
- new Field2(Fields2.SenderCompID, parser.sender),
2099
- new Field2(Fields2.TargetCompID, parser.target),
2100
- new Field2(Fields2.SendingTime, parser.getTimestamp()),
2101
- new Field2(Fields2.ClOrdID, args.clOrdID),
2102
- new Field2(Fields2.Side, args.side),
2103
- new Field2(Fields2.Symbol, args.symbol),
2104
- new Field2(Fields2.OrderQty, Number.parseFloat(String(args.quantity))),
2105
- new Field2(Fields2.Price, Number.parseFloat(String(args.price))),
2106
- new Field2(Fields2.OrdType, args.ordType),
2107
- new Field2(Fields2.HandlInst, args.handlInst),
2108
- new Field2(Fields2.TimeInForce, args.timeInForce),
2109
- new Field2(Fields2.TransactTime, parser.getTimestamp())
2110
- );
2111
- if (!parser.connected) {
2112
- return {
2113
- content: [
2114
- {
2115
- type: "text",
2116
- text: "Error: Not connected. Ignoring message.",
2117
- uri: "executeOrder"
2118
- }
2119
- ],
2120
- isError: true
2121
- };
2122
- }
2123
- parser.send(order);
2124
- const fixData = await response;
2125
- verifiedOrders.delete(args.clOrdID);
2126
- return {
2127
- content: [
2128
- {
2129
- type: "text",
2130
- 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())}`,
2131
- uri: "executeOrder"
2132
- }
2133
- ]
2134
- };
2135
- } catch (error) {
2136
- return {
2137
- content: [
2138
- {
2139
- type: "text",
2140
- text: `Error: ${error instanceof Error ? error.message : "Failed to execute order"}`,
2141
- uri: "executeOrder"
2142
- }
2143
- ],
2144
- isError: true
2145
- };
2146
- }
2147
- };
2148
- };
2149
-
2150
- // src/tools/parse.ts
2151
- var createParseHandler = (parser) => {
2152
- return async (args) => {
2153
- try {
2154
- const parsedMessage = parser.parse(args.fixString);
2155
- if (!parsedMessage || parsedMessage.length === 0) {
2156
- return {
2157
- content: [
2158
- {
2159
- type: "text",
2160
- text: "Error: Failed to parse FIX string",
2161
- uri: "parse"
2162
- }
2163
- ],
2164
- isError: true
2165
- };
2166
- }
2167
- return {
2168
- content: [
2169
- {
2170
- type: "text",
2171
- text: `${parsedMessage[0].description}
2172
- ${parsedMessage[0].messageTypeDescription}`,
2173
- uri: "parse"
2174
- }
2175
- ]
2176
- };
2177
- } catch (error) {
2178
- return {
2179
- content: [
2180
- {
2181
- type: "text",
2182
- text: `Error: ${error instanceof Error ? error.message : "Failed to parse FIX string"}`,
2183
- uri: "parse"
2184
- }
2185
- ],
2186
- isError: true
2187
- };
2188
- }
2189
- };
2190
- };
2191
-
2192
- // src/tools/parseToJSON.ts
2193
- var createParseToJSONHandler = (parser) => {
2194
- return async (args) => {
2195
- try {
2196
- const parsedMessage = parser.parse(args.fixString);
2197
- if (!parsedMessage || parsedMessage.length === 0) {
2198
- return {
2199
- content: [
2200
- {
2201
- type: "text",
2202
- text: "Error: Failed to parse FIX string",
2203
- uri: "parseToJSON"
2204
- }
2205
- ],
2206
- isError: true
2207
- };
2208
- }
2209
- return {
2210
- content: [
2211
- {
2212
- type: "text",
2213
- text: `${parsedMessage[0].toFIXJSON()}`,
2214
- uri: "parseToJSON"
2215
- }
2216
- ]
2217
- };
2218
- } catch (error) {
2219
- return {
2220
- content: [
2221
- {
2222
- type: "text",
2223
- text: `Error: ${error instanceof Error ? error.message : "Failed to parse FIX string"}`,
2224
- uri: "parseToJSON"
2225
- }
2226
- ],
2227
- isError: true
2228
- };
2229
- }
2230
- };
2231
- };
2232
-
2233
- // src/tools/index.ts
2234
- var createToolHandlers = (parser, verifiedOrders, pendingRequests, marketDataPrices) => ({
2235
- parse: createParseHandler(parser),
2236
- parseToJSON: createParseToJSONHandler(parser),
2237
- verifyOrder: createVerifyOrderHandler(parser, verifiedOrders),
2238
- executeOrder: createExecuteOrderHandler(parser, verifiedOrders, pendingRequests),
2239
- marketDataRequest: createMarketDataRequestHandler(parser, pendingRequests),
2240
- getStockGraph: createGetStockGraphHandler(marketDataPrices),
2241
- getStockPriceHistory: createGetStockPriceHistoryHandler(marketDataPrices),
2242
- technicalAnalysis: createTechnicalAnalysisHandler(marketDataPrices)
2243
- });
2244
-
2245
- // src/utils/messageHandler.ts
2246
- import { Fields as Fields3, MDEntryType as MDEntryType2, Messages as Messages3 } from "fixparser";
2247
- function getEnumValue(enumObj, name) {
2248
- return enumObj[name] || name;
2249
- }
2250
- function handleMessage(message, parser, pendingRequests, marketDataPrices, maxPriceHistory, onPriceUpdate) {
2251
- void parser;
2252
- const msgType = message.messageType;
2253
- if (msgType === Messages3.MarketDataSnapshotFullRefresh || msgType === Messages3.MarketDataIncrementalRefresh) {
2254
- const symbol = message.getField(Fields3.Symbol)?.value;
2255
- const fixJson = message.toFIXJSON();
2256
- const entries = fixJson.Body?.NoMDEntries || [];
2257
- const data = {
2258
- timestamp: Date.now(),
2259
- bid: 0,
2260
- offer: 0,
2261
- spread: 0,
2262
- volume: 0,
2263
- trade: 0,
2264
- indexValue: 0,
2265
- openingPrice: 0,
2266
- closingPrice: 0,
2267
- settlementPrice: 0,
2268
- tradingSessionHighPrice: 0,
2269
- tradingSessionLowPrice: 0,
2270
- vwap: 0,
2271
- imbalance: 0,
2272
- openInterest: 0,
2273
- compositeUnderlyingPrice: 0,
2274
- simulatedSellPrice: 0,
2275
- simulatedBuyPrice: 0,
2276
- marginRate: 0,
2277
- midPrice: 0,
2278
- emptyBook: 0,
2279
- settleHighPrice: 0,
2280
- settleLowPrice: 0,
2281
- priorSettlePrice: 0,
2282
- sessionHighBid: 0,
2283
- sessionLowOffer: 0,
2284
- earlyPrices: 0,
2285
- auctionClearingPrice: 0,
2286
- swapValueFactor: 0,
2287
- dailyValueAdjustmentForLongPositions: 0,
2288
- cumulativeValueAdjustmentForLongPositions: 0,
2289
- dailyValueAdjustmentForShortPositions: 0,
2290
- cumulativeValueAdjustmentForShortPositions: 0,
2291
- fixingPrice: 0,
2292
- cashRate: 0,
2293
- recoveryRate: 0,
2294
- recoveryRateForLong: 0,
2295
- recoveryRateForShort: 0,
2296
- marketBid: 0,
2297
- marketOffer: 0,
2298
- shortSaleMinPrice: 0,
2299
- previousClosingPrice: 0,
2300
- thresholdLimitPriceBanding: 0,
2301
- dailyFinancingValue: 0,
2302
- accruedFinancingValue: 0,
2303
- twap: 0
2304
- };
2305
- for (const entry of entries) {
2306
- const entryType = entry.MDEntryType;
2307
- const price = entry.MDEntryPx ? Number.parseFloat(entry.MDEntryPx) : 0;
2308
- const size = entry.MDEntrySize ? Number.parseFloat(entry.MDEntrySize) : 0;
2309
- const enumValue = getEnumValue(MDEntryType2, entryType);
2310
- switch (enumValue) {
2311
- case MDEntryType2.Bid:
2312
- data.bid = price;
2313
- break;
2314
- case MDEntryType2.Offer:
2315
- data.offer = price;
2316
- break;
2317
- case MDEntryType2.Trade:
2318
- data.trade = price;
2319
- break;
2320
- case MDEntryType2.IndexValue:
2321
- data.indexValue = price;
2322
- break;
2323
- case MDEntryType2.OpeningPrice:
2324
- data.openingPrice = price;
2325
- break;
2326
- case MDEntryType2.ClosingPrice:
2327
- data.closingPrice = price;
2328
- break;
2329
- case MDEntryType2.SettlementPrice:
2330
- data.settlementPrice = price;
2331
- break;
2332
- case MDEntryType2.TradingSessionHighPrice:
2333
- data.tradingSessionHighPrice = price;
2334
- break;
2335
- case MDEntryType2.TradingSessionLowPrice:
2336
- data.tradingSessionLowPrice = price;
2337
- break;
2338
- case MDEntryType2.VWAP:
2339
- data.vwap = price;
2340
- break;
2341
- case MDEntryType2.Imbalance:
2342
- data.imbalance = size;
2343
- break;
2344
- case MDEntryType2.TradeVolume:
2345
- data.volume = size;
2346
- break;
2347
- case MDEntryType2.OpenInterest:
2348
- data.openInterest = size;
2349
- break;
2350
- case MDEntryType2.CompositeUnderlyingPrice:
2351
- data.compositeUnderlyingPrice = price;
2352
- break;
2353
- case MDEntryType2.SimulatedSellPrice:
2354
- data.simulatedSellPrice = price;
2355
- break;
2356
- case MDEntryType2.SimulatedBuyPrice:
2357
- data.simulatedBuyPrice = price;
2358
- break;
2359
- case MDEntryType2.MarginRate:
2360
- data.marginRate = price;
2361
- break;
2362
- case MDEntryType2.MidPrice:
2363
- data.midPrice = price;
2364
- break;
2365
- case MDEntryType2.EmptyBook:
2366
- data.emptyBook = 1;
2367
- break;
2368
- case MDEntryType2.SettleHighPrice:
2369
- data.settleHighPrice = price;
2370
- break;
2371
- case MDEntryType2.SettleLowPrice:
2372
- data.settleLowPrice = price;
2373
- break;
2374
- case MDEntryType2.PriorSettlePrice:
2375
- data.priorSettlePrice = price;
2376
- break;
2377
- case MDEntryType2.SessionHighBid:
2378
- data.sessionHighBid = price;
2379
- break;
2380
- case MDEntryType2.SessionLowOffer:
2381
- data.sessionLowOffer = price;
2382
- break;
2383
- case MDEntryType2.EarlyPrices:
2384
- data.earlyPrices = price;
2385
- break;
2386
- case MDEntryType2.AuctionClearingPrice:
2387
- data.auctionClearingPrice = price;
2388
- break;
2389
- case MDEntryType2.SwapValueFactor:
2390
- data.swapValueFactor = price;
2391
- break;
2392
- case MDEntryType2.DailyValueAdjustmentForLongPositions:
2393
- data.dailyValueAdjustmentForLongPositions = price;
2394
- break;
2395
- case MDEntryType2.CumulativeValueAdjustmentForLongPositions:
2396
- data.cumulativeValueAdjustmentForLongPositions = price;
2397
- break;
2398
- case MDEntryType2.DailyValueAdjustmentForShortPositions:
2399
- data.dailyValueAdjustmentForShortPositions = price;
2400
- break;
2401
- case MDEntryType2.CumulativeValueAdjustmentForShortPositions:
2402
- data.cumulativeValueAdjustmentForShortPositions = price;
2403
- break;
2404
- case MDEntryType2.FixingPrice:
2405
- data.fixingPrice = price;
2406
- break;
2407
- case MDEntryType2.CashRate:
2408
- data.cashRate = price;
2409
- break;
2410
- case MDEntryType2.RecoveryRate:
2411
- data.recoveryRate = price;
2412
- break;
2413
- case MDEntryType2.RecoveryRateForLong:
2414
- data.recoveryRateForLong = price;
2415
- break;
2416
- case MDEntryType2.RecoveryRateForShort:
2417
- data.recoveryRateForShort = price;
2418
- break;
2419
- case MDEntryType2.MarketBid:
2420
- data.marketBid = price;
2421
- break;
2422
- case MDEntryType2.MarketOffer:
2423
- data.marketOffer = price;
2424
- break;
2425
- case MDEntryType2.ShortSaleMinPrice:
2426
- data.shortSaleMinPrice = price;
2427
- break;
2428
- case MDEntryType2.PreviousClosingPrice:
2429
- data.previousClosingPrice = price;
2430
- break;
2431
- case MDEntryType2.ThresholdLimitPriceBanding:
2432
- data.thresholdLimitPriceBanding = price;
2433
- break;
2434
- case MDEntryType2.DailyFinancingValue:
2435
- data.dailyFinancingValue = price;
2436
- break;
2437
- case MDEntryType2.AccruedFinancingValue:
2438
- data.accruedFinancingValue = price;
2439
- break;
2440
- case MDEntryType2.TWAP:
2441
- data.twap = price;
2442
- break;
2443
- }
2444
- }
2445
- data.spread = data.offer - data.bid;
2446
- if (!marketDataPrices.has(symbol)) {
2447
- marketDataPrices.set(symbol, []);
2448
- }
2449
- const prices = marketDataPrices.get(symbol);
2450
- prices.push(data);
2451
- if (prices.length > maxPriceHistory) {
2452
- prices.splice(0, prices.length - maxPriceHistory);
2453
- }
2454
- onPriceUpdate?.(symbol, data);
2455
- const mdReqID = message.getField(Fields3.MDReqID)?.value;
2456
- if (mdReqID) {
2457
- const callback = pendingRequests.get(mdReqID);
2458
- if (callback) {
2459
- callback(message);
2460
- pendingRequests.delete(mdReqID);
2461
- }
2462
- }
2463
- } else if (msgType === Messages3.ExecutionReport) {
2464
- const reqId = message.getField(Fields3.ClOrdID)?.value;
2465
- const callback = pendingRequests.get(reqId);
2466
- if (callback) {
2467
- callback(message);
2468
- pendingRequests.delete(reqId);
2469
- }
2470
- }
2471
- }
2472
-
2473
- // src/MCPRemote.ts
8
+ import {
9
+ Field,
10
+ Fields,
11
+ HandlInst,
12
+ MDEntryType,
13
+ Messages,
14
+ OrdType,
15
+ SubscriptionRequestType,
16
+ TimeInForce
17
+ } from "fixparser";
2474
18
  var transports = {};
2475
- function jsonSchemaToZod(schema) {
2476
- if (schema.type === "object") {
2477
- const shape = {};
2478
- for (const [key, prop] of Object.entries(schema.properties || {})) {
2479
- const propSchema = prop;
2480
- if (propSchema.type === "string") {
2481
- if (propSchema.enum) {
2482
- shape[key] = z.enum(propSchema.enum);
2483
- } else {
2484
- shape[key] = z.string();
2485
- }
2486
- } else if (propSchema.type === "number") {
2487
- shape[key] = z.number();
2488
- } else if (propSchema.type === "boolean") {
2489
- shape[key] = z.boolean();
2490
- } else if (propSchema.type === "array") {
2491
- if (propSchema.items.type === "string") {
2492
- shape[key] = z.array(z.string());
2493
- } else if (propSchema.items.type === "number") {
2494
- shape[key] = z.array(z.number());
2495
- } else if (propSchema.items.type === "boolean") {
2496
- shape[key] = z.array(z.boolean());
2497
- } else {
2498
- shape[key] = z.array(z.any());
2499
- }
2500
- } else {
2501
- shape[key] = z.any();
2502
- }
2503
- }
2504
- return shape;
2505
- }
2506
- return {};
2507
- }
2508
- var MCPRemote = class extends MCPBase {
19
+ var MCPRemote = class {
2509
20
  /**
2510
21
  * Port number the server will listen on.
2511
22
  * @private
2512
23
  */
2513
24
  port;
2514
25
  /**
2515
- * Node.js HTTP server instance created internally.
26
+ * Optional logger instance for diagnostics and output.
2516
27
  * @private
2517
28
  */
2518
- httpServer;
29
+ logger;
2519
30
  /**
2520
- * MCP server instance handling MCP protocol logic.
31
+ * FIXParser instance, set during plugin register().
2521
32
  * @private
2522
33
  */
2523
- mcpServer;
34
+ parser;
2524
35
  /**
2525
- * Optional name of the plugin/server instance.
36
+ * Node.js HTTP server instance created internally.
2526
37
  * @private
2527
38
  */
2528
- serverName;
39
+ server;
2529
40
  /**
2530
- * Optional version string of the plugin/server.
41
+ * MCP server instance handling MCP protocol logic.
2531
42
  * @private
2532
43
  */
2533
- serverVersion;
44
+ mcpServer;
2534
45
  /**
2535
- * Map to store verified orders before execution
46
+ * Optional name of the plugin/server instance.
2536
47
  * @private
2537
48
  */
2538
- verifiedOrders = /* @__PURE__ */ new Map();
49
+ name;
2539
50
  /**
2540
- * Map to store pending requests and their callbacks
51
+ * Optional version string of the plugin/server.
2541
52
  * @private
2542
53
  */
2543
- pendingRequests = /* @__PURE__ */ new Map();
54
+ version;
2544
55
  /**
2545
- * Map to store market data prices for each symbol
56
+ * Called when server is setup and listening.
2546
57
  * @private
2547
58
  */
2548
- marketDataPrices = /* @__PURE__ */ new Map();
59
+ onReady = void 0;
2549
60
  /**
2550
- * Maximum number of price history entries to keep per symbol
61
+ * A map of pending market data requests, keyed by MDReqID.
62
+ * Each entry contains a resolver function that is called when the corresponding
63
+ * FIX Message is received.
2551
64
  * @private
65
+ * @type {Map<string, (data: Message) => void>}
2552
66
  */
2553
- MAX_PRICE_HISTORY = 1e5;
67
+ pendingRequests = /* @__PURE__ */ new Map();
2554
68
  constructor({ port, logger, onReady }) {
2555
- super({ logger, onReady });
2556
69
  this.port = port;
70
+ if (logger) this.logger = logger;
71
+ if (onReady) this.onReady = onReady;
2557
72
  }
2558
73
  async register(parser) {
2559
74
  this.parser = parser;
75
+ this.parser.addOnMessageCallback((message) => {
76
+ this.logger?.log({
77
+ level: "info",
78
+ message: `FIXParser (MCP): (${parser.protocol?.toUpperCase()}): << received ${message.description}`
79
+ });
80
+ const msgType = message.messageType;
81
+ if (msgType === Messages.MarketDataSnapshotFullRefresh || msgType === Messages.ExecutionReport) {
82
+ const idField = msgType === Messages.MarketDataSnapshotFullRefresh ? message.getField(Fields.MDReqID) : message.getField(Fields.ClOrdID);
83
+ if (idField) {
84
+ const id = idField.value;
85
+ if (typeof id === "string" || typeof id === "number") {
86
+ const callback = this.pendingRequests.get(String(id));
87
+ if (callback) {
88
+ callback(message);
89
+ this.pendingRequests.delete(String(id));
90
+ }
91
+ }
92
+ }
93
+ }
94
+ });
2560
95
  this.logger = parser.logger;
2561
96
  this.logger?.log({
2562
97
  level: "info",
2563
98
  message: `FIXParser (MCP): -- Plugin registered. Creating MCP server on port ${this.port}...`
2564
99
  });
2565
- this.parser.addOnMessageCallback((message) => {
2566
- if (this.parser) {
2567
- handleMessage(
2568
- message,
2569
- this.parser,
2570
- this.pendingRequests,
2571
- this.marketDataPrices,
2572
- this.MAX_PRICE_HISTORY
2573
- );
2574
- }
2575
- });
2576
- this.httpServer = createServer(async (req, res) => {
100
+ this.server = createServer(async (req, res) => {
2577
101
  if (!req.url || !req.method) {
2578
102
  res.writeHead(400);
2579
103
  res.end("Bad Request");
2580
104
  return;
2581
105
  }
2582
- if (req.url === "/mcp") {
106
+ const url = new URL(req.url, `http://${req.headers.host}`);
107
+ if (url.pathname === "/.well-known/oauth-authorization-server") {
108
+ const config = {
109
+ issuer: "https://accounts.google.com",
110
+ authorization_endpoint: "https://accounts.google.com/o/oauth2/v2/auth",
111
+ token_endpoint: "https://oauth2.googleapis.com/token",
112
+ jwks_uri: "https://www.googleapis.com/oauth2/v3/certs",
113
+ response_types_supported: [
114
+ "code",
115
+ "token",
116
+ "id_token",
117
+ "code token",
118
+ "code id_token",
119
+ "token id_token",
120
+ "code token id_token"
121
+ ],
122
+ subject_types_supported: ["public"],
123
+ id_token_signing_alg_values_supported: ["RS256"],
124
+ scopes_supported: ["openid", "email", "profile"],
125
+ token_endpoint_auth_methods_supported: ["client_secret_basic", "client_secret_post"]
126
+ };
127
+ res.writeHead(200, { "Content-Type": "application/json" });
128
+ res.end(JSON.stringify(config));
129
+ return;
130
+ }
131
+ if (url.pathname === "/") {
2583
132
  const sessionId = req.headers["mcp-session-id"];
2584
133
  if (req.method === "POST") {
2585
134
  const bodyChunks = [];
@@ -2612,10 +161,10 @@ var MCPRemote = class extends MCPBase {
2612
161
  }
2613
162
  };
2614
163
  this.mcpServer = new McpServer({
2615
- name: this.serverName || "FIXParser",
2616
- version: this.serverVersion || "1.0.0"
164
+ name: this.name || "FIXParser",
165
+ version: this.version || "1.0.0"
2617
166
  });
2618
- this.setupTools();
167
+ this.addWorkflows();
2619
168
  await this.mcpServer.connect(transport);
2620
169
  } else {
2621
170
  res.writeHead(400, { "Content-Type": "application/json" });
@@ -2631,15 +180,7 @@ var MCPRemote = class extends MCPBase {
2631
180
  );
2632
181
  return;
2633
182
  }
2634
- try {
2635
- await transport.handleRequest(req, res, parsed);
2636
- } catch (error) {
2637
- this.logger?.log({
2638
- level: "error",
2639
- message: `Error handling request: ${error}`
2640
- });
2641
- throw error;
2642
- }
183
+ await transport.handleRequest(req, res, parsed);
2643
184
  });
2644
185
  } else if (req.method === "GET" || req.method === "DELETE") {
2645
186
  if (!sessionId || !transports[sessionId]) {
@@ -2648,29 +189,17 @@ var MCPRemote = class extends MCPBase {
2648
189
  return;
2649
190
  }
2650
191
  const transport = transports[sessionId];
2651
- try {
2652
- await transport.handleRequest(req, res);
2653
- } catch (error) {
2654
- this.logger?.log({
2655
- level: "error",
2656
- message: `Error handling ${req.method} request: ${error}`
2657
- });
2658
- throw error;
2659
- }
192
+ await transport.handleRequest(req, res);
2660
193
  } else {
2661
- this.logger?.log({
2662
- level: "error",
2663
- message: `Method not allowed: ${req.method}`
2664
- });
2665
194
  res.writeHead(405);
2666
195
  res.end("Method Not Allowed");
2667
196
  }
2668
- } else {
2669
- res.writeHead(404);
2670
- res.end("Not Found");
197
+ return;
2671
198
  }
199
+ res.writeHead(404);
200
+ res.end("Not Found");
2672
201
  });
2673
- this.httpServer.listen(this.port, () => {
202
+ this.server.listen(this.port, () => {
2674
203
  this.logger?.log({
2675
204
  level: "info",
2676
205
  message: `FIXParser (MCP): -- Server listening on http://localhost:${this.port}...`
@@ -2680,55 +209,381 @@ var MCPRemote = class extends MCPBase {
2680
209
  this.onReady();
2681
210
  }
2682
211
  }
2683
- setupTools() {
212
+ addWorkflows() {
2684
213
  if (!this.parser) {
2685
214
  this.logger?.log({
2686
215
  level: "error",
2687
- message: "FIXParser (MCP): -- FIXParser instance not initialized. Ignoring setup of tools..."
216
+ message: "FIXParser (MCP): -- FIXParser instance not initialized. Ignoring setup of workflows..."
2688
217
  });
2689
218
  return;
2690
219
  }
2691
220
  if (!this.mcpServer) {
2692
221
  this.logger?.log({
2693
222
  level: "error",
2694
- message: "FIXParser (MCP): -- MCP Server not initialized. Ignoring setup of tools..."
223
+ message: "FIXParser (MCP): -- MCP Server not initialized. Ignoring setup of workflows..."
2695
224
  });
2696
225
  return;
2697
226
  }
2698
- const toolHandlers = createToolHandlers(
2699
- this.parser,
2700
- this.verifiedOrders,
2701
- this.pendingRequests,
2702
- this.marketDataPrices
227
+ this.mcpServer.tool(
228
+ "parse",
229
+ "Parses a FIX message and describes it in plain language",
230
+ { fixString: z.string() },
231
+ async ({ fixString }) => {
232
+ const parsedMessage = this.parser?.parse(fixString);
233
+ if (!parsedMessage || parsedMessage.length === 0) {
234
+ this.logger?.log({
235
+ level: "error",
236
+ message: "FIXParser (MCP): -- Failed to parse FIX string"
237
+ });
238
+ return {
239
+ isError: true,
240
+ content: [
241
+ {
242
+ type: "text",
243
+ text: "Error: Failed to parse FIX string"
244
+ }
245
+ ]
246
+ };
247
+ }
248
+ return {
249
+ content: [
250
+ {
251
+ type: "text",
252
+ text: parsedMessage ? `${parsedMessage[0].description} - ${parsedMessage[0].messageTypeDescription}` : ""
253
+ }
254
+ ]
255
+ };
256
+ }
2703
257
  );
2704
- Object.entries(toolSchemas).forEach(([name, { description, schema }]) => {
2705
- this.mcpServer?.registerTool(
2706
- name,
2707
- {
2708
- description,
2709
- inputSchema: jsonSchemaToZod(schema)
2710
- },
2711
- async (args) => {
2712
- const handler = toolHandlers[name];
2713
- if (!handler) {
2714
- return {
2715
- content: [
2716
- {
2717
- type: "text",
2718
- text: `Tool not found: ${name}`
2719
- }
2720
- ],
2721
- isError: true
2722
- };
258
+ this.mcpServer.prompt(
259
+ "parse",
260
+ "Parses a FIX message and describes it in plain language",
261
+ { fixString: z.string() },
262
+ ({ fixString }) => ({
263
+ messages: [
264
+ {
265
+ role: "user",
266
+ content: {
267
+ type: "text",
268
+ text: `Please parse and explain this FIX message: ${fixString}`
269
+ }
2723
270
  }
2724
- const result = await handler(args);
271
+ ]
272
+ })
273
+ );
274
+ this.mcpServer.tool(
275
+ "parseToJSON",
276
+ "Parses a FIX message into JSON",
277
+ { fixString: z.string() },
278
+ async ({ fixString }) => {
279
+ const parsedMessage = this.parser?.parse(fixString);
280
+ if (!parsedMessage || parsedMessage.length === 0) {
281
+ this.logger?.log({
282
+ level: "error",
283
+ message: "FIXParser (MCP): -- Failed to parse FIX string"
284
+ });
2725
285
  return {
2726
- content: result.content,
2727
- isError: result.isError
286
+ isError: true,
287
+ content: [
288
+ {
289
+ type: "text",
290
+ text: "Error: Failed to parse FIX string"
291
+ }
292
+ ]
2728
293
  };
2729
294
  }
2730
- );
2731
- });
295
+ return {
296
+ content: [
297
+ {
298
+ type: "text",
299
+ text: parsedMessage ? JSON.stringify(parsedMessage[0].toFIXJSON()) : ""
300
+ }
301
+ ]
302
+ };
303
+ }
304
+ );
305
+ this.mcpServer.prompt(
306
+ "parseToJSON",
307
+ "Parses a FIX message into JSON",
308
+ { fixString: z.string() },
309
+ ({ fixString }) => ({
310
+ messages: [
311
+ {
312
+ role: "user",
313
+ content: {
314
+ type: "text",
315
+ text: `Please parse the FIX message to JSON: ${fixString}`
316
+ }
317
+ }
318
+ ]
319
+ })
320
+ );
321
+ this.mcpServer.tool(
322
+ "newOrderSingle",
323
+ "Creates and sends a New Order Single",
324
+ {
325
+ clOrdID: z.string(),
326
+ handlInst: z.enum(["1", "2", "3"]).default(HandlInst.AutomatedExecutionNoIntervention).optional(),
327
+ quantity: z.number(),
328
+ price: z.number(),
329
+ ordType: z.enum([
330
+ "1",
331
+ "2",
332
+ "3",
333
+ "4",
334
+ "5",
335
+ "6",
336
+ "7",
337
+ "8",
338
+ "9",
339
+ "A",
340
+ "B",
341
+ "C",
342
+ "D",
343
+ "E",
344
+ "F",
345
+ "G",
346
+ "H",
347
+ "I",
348
+ "J",
349
+ "K",
350
+ "L",
351
+ "M",
352
+ "P",
353
+ "Q",
354
+ "R",
355
+ "S"
356
+ ]).default(OrdType.Market).optional(),
357
+ side: z.enum(["1", "2", "3", "4", "5", "6", "7", "8", "9", "A", "B", "C", "D", "E", "F", "G", "H"]),
358
+ // 1 = Buy, 2 = Sell...
359
+ symbol: z.string(),
360
+ timeInForce: z.enum(["0", "1", "2", "3", "4", "5", "6", "7", "8", "9", "A", "B", "C"]).default(TimeInForce.Day).optional()
361
+ },
362
+ async ({ clOrdID, handlInst, quantity, price, ordType, side, symbol, timeInForce }) => {
363
+ const response = new Promise((resolve) => {
364
+ this.pendingRequests.set(clOrdID, resolve);
365
+ });
366
+ const order = this.parser?.createMessage(
367
+ new Field(Fields.MsgType, Messages.NewOrderSingle),
368
+ new Field(Fields.MsgSeqNum, this.parser?.getNextTargetMsgSeqNum()),
369
+ new Field(Fields.SenderCompID, this.parser?.sender),
370
+ new Field(Fields.TargetCompID, this.parser?.target),
371
+ new Field(Fields.SendingTime, this.parser?.getTimestamp()),
372
+ new Field(Fields.ClOrdID, clOrdID),
373
+ new Field(Fields.Side, side),
374
+ new Field(Fields.Symbol, symbol),
375
+ new Field(Fields.OrderQty, quantity),
376
+ new Field(Fields.Price, price),
377
+ new Field(Fields.OrdType, ordType),
378
+ new Field(Fields.HandlInst, handlInst),
379
+ new Field(Fields.TimeInForce, timeInForce),
380
+ new Field(Fields.TransactTime, this.parser?.getTimestamp())
381
+ );
382
+ if (!this.parser?.connected) {
383
+ this.logger?.log({
384
+ level: "error",
385
+ message: "FIXParser (MCP): -- Not connected. Ignoring message."
386
+ });
387
+ return {
388
+ isError: true,
389
+ content: [
390
+ {
391
+ type: "text",
392
+ text: "Error: Not connected. Ignoring message."
393
+ }
394
+ ]
395
+ };
396
+ }
397
+ this.parser?.send(order);
398
+ this.logger?.log({
399
+ level: "info",
400
+ message: `FIXParser (MCP): (${this.parser?.protocol?.toUpperCase()}): >> sent ${order?.description}`
401
+ });
402
+ const fixData = await response;
403
+ return {
404
+ content: [
405
+ {
406
+ type: "text",
407
+ text: `Execution Report for order ${clOrdID}: ${JSON.stringify(fixData.toFIXJSON())}`
408
+ }
409
+ ]
410
+ };
411
+ }
412
+ );
413
+ this.mcpServer.prompt(
414
+ "newOrderSingle",
415
+ "Creates and sends a New Order Single",
416
+ {
417
+ clOrdID: z.string(),
418
+ handlInst: z.string(),
419
+ quantity: z.string(),
420
+ price: z.string(),
421
+ ordType: z.string(),
422
+ side: z.string(),
423
+ symbol: z.string(),
424
+ timeInForce: z.string()
425
+ },
426
+ ({ clOrdID, handlInst, quantity, price, ordType, side, symbol, timeInForce }) => ({
427
+ messages: [
428
+ {
429
+ role: "user",
430
+ content: {
431
+ type: "text",
432
+ text: [
433
+ "Create a New Order Single FIX message with the following parameters:",
434
+ `- ClOrdID: ${clOrdID}`,
435
+ `- HandlInst: ${handlInst ?? "default"}`,
436
+ `- Quantity: ${quantity}`,
437
+ `- Price: ${price}`,
438
+ `- OrdType: ${ordType ?? "default (Market)"}`,
439
+ `- Side: ${side}`,
440
+ `- Symbol: ${symbol}`,
441
+ `- TimeInForce: ${timeInForce ?? "default (Day)"}`,
442
+ "",
443
+ "Format the response as a JSON object with FIX tag numbers as keys and their corresponding values."
444
+ ].join("\n")
445
+ }
446
+ }
447
+ ]
448
+ })
449
+ );
450
+ this.mcpServer.tool(
451
+ "marketDataRequest",
452
+ "Sends a request for Market Data with the given symbol",
453
+ {
454
+ mdUpdateType: z.enum(["0", "1"]).default("0").optional(),
455
+ // MDUpdateType.FullRefresh
456
+ symbol: z.string(),
457
+ mdReqID: z.string(),
458
+ subscriptionRequestType: z.enum(["0", "1", "2"]).default(SubscriptionRequestType.SnapshotAndUpdates).optional(),
459
+ mdEntryType: z.enum([
460
+ "0",
461
+ "1",
462
+ "2",
463
+ "3",
464
+ "4",
465
+ "5",
466
+ "6",
467
+ "7",
468
+ "8",
469
+ "9",
470
+ "A",
471
+ "B",
472
+ "C",
473
+ "D",
474
+ "E",
475
+ "F",
476
+ "G",
477
+ "H",
478
+ "J",
479
+ "K",
480
+ "L",
481
+ "M",
482
+ "N",
483
+ "O",
484
+ "P",
485
+ "Q",
486
+ "S",
487
+ "R",
488
+ "T",
489
+ "U",
490
+ "V",
491
+ "W",
492
+ "X",
493
+ "Y",
494
+ "Z",
495
+ "a",
496
+ "b",
497
+ "c",
498
+ "d",
499
+ "e",
500
+ "g",
501
+ "h",
502
+ "i",
503
+ "t"
504
+ ]).default(MDEntryType.Bid).optional()
505
+ },
506
+ async ({ mdUpdateType, symbol, mdReqID, subscriptionRequestType, mdEntryType }) => {
507
+ const response = new Promise((resolve) => {
508
+ this.pendingRequests.set(mdReqID, resolve);
509
+ });
510
+ const marketDataRequest = this.parser?.createMessage(
511
+ new Field(Fields.MsgType, Messages.MarketDataRequest),
512
+ new Field(Fields.SenderCompID, this.parser?.sender),
513
+ new Field(Fields.MsgSeqNum, this.parser?.getNextTargetMsgSeqNum()),
514
+ new Field(Fields.TargetCompID, this.parser?.target),
515
+ new Field(Fields.SendingTime, this.parser?.getTimestamp()),
516
+ new Field(Fields.MarketDepth, 0),
517
+ new Field(Fields.MDUpdateType, mdUpdateType),
518
+ new Field(Fields.NoRelatedSym, 1),
519
+ new Field(Fields.Symbol, symbol),
520
+ new Field(Fields.MDReqID, mdReqID),
521
+ new Field(Fields.SubscriptionRequestType, subscriptionRequestType),
522
+ new Field(Fields.NoMDEntryTypes, 1),
523
+ new Field(Fields.MDEntryType, mdEntryType)
524
+ );
525
+ if (!this.parser?.connected) {
526
+ this.logger?.log({
527
+ level: "error",
528
+ message: "FIXParser (MCP): -- Not connected. Ignoring message."
529
+ });
530
+ return {
531
+ isError: true,
532
+ content: [
533
+ {
534
+ type: "text",
535
+ text: "Error: Not connected. Ignoring message."
536
+ }
537
+ ]
538
+ };
539
+ }
540
+ this.parser?.send(marketDataRequest);
541
+ this.logger?.log({
542
+ level: "info",
543
+ message: `FIXParser (MCP): (${this.parser?.protocol?.toUpperCase()}): >> sent ${marketDataRequest?.description}`
544
+ });
545
+ const fixData = await response;
546
+ return {
547
+ content: [
548
+ {
549
+ type: "text",
550
+ text: `Market data for ${symbol}: ${JSON.stringify(fixData.toFIXJSON())}`
551
+ }
552
+ ]
553
+ };
554
+ }
555
+ );
556
+ this.mcpServer.prompt(
557
+ "marketDataRequest",
558
+ "Sends a request for Market Data with the given symbol",
559
+ {
560
+ mdUpdateType: z.string(),
561
+ symbol: z.string(),
562
+ mdReqID: z.string(),
563
+ subscriptionRequestType: z.string(),
564
+ mdEntryType: z.string()
565
+ },
566
+ ({ mdUpdateType, symbol, mdReqID, subscriptionRequestType, mdEntryType }) => ({
567
+ messages: [
568
+ {
569
+ role: "user",
570
+ content: {
571
+ type: "text",
572
+ text: [
573
+ "Create a Market Data Request FIX message with the following parameters:",
574
+ `- MDUpdateType: ${mdUpdateType ?? "default (0 = FullRefresh)"}`,
575
+ `- Symbol: ${symbol}`,
576
+ `- MDReqID: ${mdReqID}`,
577
+ `- SubscriptionRequestType: ${subscriptionRequestType ?? "default (0 = Snapshot + Updates)"}`,
578
+ `- MDEntryType: ${mdEntryType ?? "default (0 = Bid)"}`,
579
+ "",
580
+ "Format the response as a JSON object with FIX tag numbers as keys and their corresponding values."
581
+ ].join("\n")
582
+ }
583
+ }
584
+ ]
585
+ })
586
+ );
2732
587
  }
2733
588
  };
2734
589
  export {