fixparser-plugin-mcp 9.1.7-74db6dbc → 9.1.7-81ea0211
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- package/build/cjs/MCPLocal.js +982 -2510
- package/build/cjs/MCPLocal.js.map +4 -4
- package/build/cjs/MCPRemote.js +437 -2601
- package/build/cjs/MCPRemote.js.map +4 -4
- package/build/esm/MCPLocal.mjs +982 -2500
- package/build/esm/MCPLocal.mjs.map +4 -4
- package/build/esm/MCPRemote.mjs +446 -2591
- package/build/esm/MCPRemote.mjs.map +4 -4
- package/build-examples/cjs/example_mcp_local.js +43 -10
- package/build-examples/cjs/example_mcp_local.js.map +4 -4
- package/build-examples/esm/example_mcp_local.mjs +43 -10
- package/build-examples/esm/example_mcp_local.mjs.map +4 -4
- package/package.json +8 -9
- package/types/MCPLocal.d.ts +16 -0
- package/types/MCPRemote.d.ts +60 -0
- package/types/PluginOptions.d.ts +6 -0
- package/types/index.d.ts +3 -0
- package/build/cjs/index.js +0 -2898
- package/build/cjs/index.js.map +0 -7
- package/build/esm/index.mjs +0 -2860
- package/build/esm/index.mjs.map +0 -7
- package/build-examples/cjs/example_mcp_remote.js +0 -18
- package/build-examples/cjs/example_mcp_remote.js.map +0 -7
- package/build-examples/esm/example_mcp_remote.mjs +0 -18
- package/build-examples/esm/example_mcp_remote.mjs.map +0 -7
package/build/esm/MCPLocal.mjs
CHANGED
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@@ -1,2034 +1,889 @@
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// src/MCPLocal.ts
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import { Server } from "@modelcontextprotocol/sdk/server/index.js";
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import { StdioServerTransport } from "@modelcontextprotocol/sdk/server/stdio.js";
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import { Field, Fields, Messages } from "fixparser";
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import { z } from "zod";
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var fixStringSchema = z.object({
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fixString: z.string()
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});
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var orderSchema = z.object({
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clOrdID: z.string(),
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handlInst: z.enum(["1", "2", "3"]),
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quantity: z.string(),
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price: z.string(),
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ordType: z.enum([
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"1",
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"A",
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]),
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side: z.enum(["1", "2", "3", "4", "5", "6", "7", "8", "9", "A", "B", "C", "D", "E", "F", "G", "H"]),
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symbol: z.string(),
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timeInForce: z.enum(["0", "1", "2", "3", "4", "5", "6", "7", "8", "9", "A", "B", "C"])
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});
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var marketDataRequestSchema = z.object({
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mdUpdateType: z.enum(["0", "1"]),
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symbols: z.array(z.string()),
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mdReqID: z.string(),
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subscriptionRequestType: z.enum(["0", "1", "2"]),
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mdEntryTypes: z.array(
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z.enum([
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"0",
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])
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)
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});
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var MCPLocal = class {
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parser;
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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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server = new Server(
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{
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name: "fixparser",
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version: "1.0.0"
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},
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{
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capabilities: {
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tools: {
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parse: {
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description: "Parses a FIX message and describes it in plain language",
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parameters: {
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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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parameters: {
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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",
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parameters: {
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type: "object",
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properties: {
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clOrdID: { type: "string" },
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handlInst: { type: "string", enum: ["1", "2", "3"] },
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quantity: { type: "string" },
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price: { type: "string" },
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ordType: {
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type: "string",
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enum: [
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]
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},
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side: {
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enum: [
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"1",
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"3",
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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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]
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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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|
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enum: ["0", "1", "2", "3", "4", "5", "6", "7", "8", "9", "A", "B", "C"]
|
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}
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required: [
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"quantity",
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"price",
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"symbol",
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]
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}
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},
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executeOrder: {
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description: "Executes a verified order",
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parameters: {
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type: "object",
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properties: {
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clOrdID: { type: "string" },
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handlInst: { type: "string", enum: ["1", "2", "3"] },
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quantity: { type: "string" },
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price: { type: "string" },
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ordType: { type: "string" },
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side: { type: "string" },
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symbol: { type: "string" },
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timeInForce: { type: "string" }
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required: [
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"clOrdID",
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"quantity",
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"price",
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]
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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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parameters: {
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|
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type: "object",
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properties: {
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|
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mdUpdateType: { type: "string", enum: ["0", "1"] },
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|
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symbols: { type: "array", items: { type: "string" } },
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|
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mdReqID: { type: "string" },
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|
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subscriptionRequestType: { type: "string", enum: ["0", "1", "2"] },
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|
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mdEntryTypes: { type: "array", items: { type: "string" } }
|
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|
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},
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|
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required: ["mdUpdateType", "symbols", "mdReqID", "subscriptionRequestType", "mdEntryTypes"]
|
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|
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}
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|
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}
|
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250
|
},
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|
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|
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|
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enum: [
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|
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|
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"1",
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|
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"2",
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|
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"3",
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|
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"4",
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|
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"5",
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|
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"6",
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|
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"7",
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|
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"8",
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|
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"9",
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|
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"A",
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|
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"B",
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|
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"C",
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|
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"D",
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|
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"E",
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|
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"F",
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|
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"G",
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|
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"H",
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|
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"I",
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|
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"J",
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|
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"K",
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|
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|
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"L",
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|
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"M",
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|
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"N",
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|
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"O",
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|
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"P",
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|
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"Q",
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|
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"R",
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|
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"S",
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|
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"T",
|
|
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|
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"U",
|
|
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|
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"V",
|
|
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|
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"W",
|
|
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|
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"X",
|
|
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|
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"Y",
|
|
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|
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"Z"
|
|
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|
-
]
|
|
251
|
+
resources: {
|
|
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|
+
greeting: {
|
|
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|
+
description: "A simple greeting resource",
|
|
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|
+
uri: "greeting-resource"
|
|
250
255
|
},
|
|
251
|
-
|
|
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|
-
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|
-
|
|
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|
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|
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|
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|
|
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|
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|
|
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|
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|
|
258
|
-
|
|
259
|
-
schema: {
|
|
260
|
-
type: "object",
|
|
261
|
-
properties: {
|
|
262
|
-
symbol: { type: "string" }
|
|
263
|
-
},
|
|
264
|
-
required: ["symbol"]
|
|
265
|
-
}
|
|
266
|
-
},
|
|
267
|
-
getStockPriceHistory: {
|
|
268
|
-
description: "Returns price history for a given symbol",
|
|
269
|
-
schema: {
|
|
270
|
-
type: "object",
|
|
271
|
-
properties: {
|
|
272
|
-
symbol: { type: "string" }
|
|
273
|
-
},
|
|
274
|
-
required: ["symbol"]
|
|
275
|
-
}
|
|
276
|
-
},
|
|
277
|
-
technicalAnalysis: {
|
|
278
|
-
description: "Performs comprehensive technical analysis on market data for a given symbol, including indicators like SMA, EMA, RSI, Bollinger Bands, and trading signals",
|
|
279
|
-
schema: {
|
|
280
|
-
type: "object",
|
|
281
|
-
properties: {
|
|
282
|
-
symbol: {
|
|
283
|
-
type: "string",
|
|
284
|
-
description: "The trading symbol to analyze (e.g., AAPL, MSFT, EURUSD)"
|
|
285
|
-
}
|
|
286
|
-
},
|
|
287
|
-
required: ["symbol"]
|
|
288
|
-
}
|
|
289
|
-
}
|
|
290
|
-
};
|
|
291
|
-
|
|
292
|
-
// src/tools/analytics.ts
|
|
293
|
-
function sum(numbers) {
|
|
294
|
-
return numbers.reduce((acc, val) => acc + val, 0);
|
|
295
|
-
}
|
|
296
|
-
var TechnicalAnalyzer = class {
|
|
297
|
-
prices;
|
|
298
|
-
volumes;
|
|
299
|
-
highs;
|
|
300
|
-
lows;
|
|
301
|
-
constructor(data) {
|
|
302
|
-
this.prices = data.map((d) => d.trade > 0 ? d.trade : d.midPrice);
|
|
303
|
-
this.volumes = data.map((d) => d.volume);
|
|
304
|
-
this.highs = data.map((d) => d.tradingSessionHighPrice > 0 ? d.tradingSessionHighPrice : d.trade);
|
|
305
|
-
this.lows = data.map((d) => d.tradingSessionLowPrice > 0 ? d.tradingSessionLowPrice : d.trade);
|
|
306
|
-
}
|
|
307
|
-
// Calculate Simple Moving Average
|
|
308
|
-
calculateSMA(data, period) {
|
|
309
|
-
const sma = [];
|
|
310
|
-
for (let i = period - 1; i < data.length; i++) {
|
|
311
|
-
const sum2 = data.slice(i - period + 1, i + 1).reduce((a, b) => a + b, 0);
|
|
312
|
-
sma.push(sum2 / period);
|
|
313
|
-
}
|
|
314
|
-
return sma;
|
|
315
|
-
}
|
|
316
|
-
// Calculate Exponential Moving Average
|
|
317
|
-
calculateEMA(data, period) {
|
|
318
|
-
const multiplier = 2 / (period + 1);
|
|
319
|
-
const ema = [data[0]];
|
|
320
|
-
for (let i = 1; i < data.length; i++) {
|
|
321
|
-
ema.push(data[i] * multiplier + ema[i - 1] * (1 - multiplier));
|
|
322
|
-
}
|
|
323
|
-
return ema;
|
|
324
|
-
}
|
|
325
|
-
// Calculate RSI
|
|
326
|
-
calculateRSI(data, period = 14) {
|
|
327
|
-
if (data.length < period + 1) return [];
|
|
328
|
-
const changes = [];
|
|
329
|
-
for (let i = 1; i < data.length; i++) {
|
|
330
|
-
changes.push(data[i] - data[i - 1]);
|
|
331
|
-
}
|
|
332
|
-
const gains = changes.map((change) => change > 0 ? change : 0);
|
|
333
|
-
const losses = changes.map((change) => change < 0 ? Math.abs(change) : 0);
|
|
334
|
-
let avgGain = gains.slice(0, period).reduce((a, b) => a + b, 0) / period;
|
|
335
|
-
let avgLoss = losses.slice(0, period).reduce((a, b) => a + b, 0) / period;
|
|
336
|
-
const rsi = [];
|
|
337
|
-
for (let i = period; i < changes.length; i++) {
|
|
338
|
-
const rs = avgGain / avgLoss;
|
|
339
|
-
rsi.push(100 - 100 / (1 + rs));
|
|
340
|
-
avgGain = (avgGain * (period - 1) + gains[i]) / period;
|
|
341
|
-
avgLoss = (avgLoss * (period - 1) + losses[i]) / period;
|
|
342
|
-
}
|
|
343
|
-
return rsi;
|
|
344
|
-
}
|
|
345
|
-
// Calculate Bollinger Bands
|
|
346
|
-
calculateBollingerBands(data, period = 20, stdDev = 2) {
|
|
347
|
-
if (data.length < period) return [];
|
|
348
|
-
const sma = this.calculateSMA(data, period);
|
|
349
|
-
const bands = [];
|
|
350
|
-
for (let i = 0; i < sma.length; i++) {
|
|
351
|
-
const dataSlice = data.slice(i, i + period);
|
|
352
|
-
const mean = sma[i];
|
|
353
|
-
const variance = dataSlice.reduce((sum2, price) => sum2 + (price - mean) ** 2, 0) / period;
|
|
354
|
-
const standardDeviation = Math.sqrt(variance);
|
|
355
|
-
const upper = mean + standardDeviation * stdDev;
|
|
356
|
-
const lower = mean - standardDeviation * stdDev;
|
|
357
|
-
bands.push({
|
|
358
|
-
upper,
|
|
359
|
-
middle: mean,
|
|
360
|
-
lower,
|
|
361
|
-
bandwidth: (upper - lower) / mean * 100,
|
|
362
|
-
percentB: (data[i] - lower) / (upper - lower) * 100
|
|
363
|
-
});
|
|
364
|
-
}
|
|
365
|
-
return bands;
|
|
366
|
-
}
|
|
367
|
-
// Calculate maximum drawdown
|
|
368
|
-
calculateMaxDrawdown(prices) {
|
|
369
|
-
let maxPrice = prices[0];
|
|
370
|
-
let maxDrawdown = 0;
|
|
371
|
-
for (let i = 1; i < prices.length; i++) {
|
|
372
|
-
if (prices[i] > maxPrice) {
|
|
373
|
-
maxPrice = prices[i];
|
|
374
|
-
}
|
|
375
|
-
const drawdown = (maxPrice - prices[i]) / maxPrice;
|
|
376
|
-
if (drawdown > maxDrawdown) {
|
|
377
|
-
maxDrawdown = drawdown;
|
|
378
|
-
}
|
|
379
|
-
}
|
|
380
|
-
return maxDrawdown;
|
|
381
|
-
}
|
|
382
|
-
// Calculate Average True Range (ATR)
|
|
383
|
-
calculateAtr(prices, highs, lows) {
|
|
384
|
-
if (prices.length < 2) return [];
|
|
385
|
-
const trueRanges = [];
|
|
386
|
-
for (let i = 1; i < prices.length; i++) {
|
|
387
|
-
const high = highs[i] || prices[i];
|
|
388
|
-
const low = lows[i] || prices[i];
|
|
389
|
-
const prevClose = prices[i - 1];
|
|
390
|
-
const tr1 = high - low;
|
|
391
|
-
const tr2 = Math.abs(high - prevClose);
|
|
392
|
-
const tr3 = Math.abs(low - prevClose);
|
|
393
|
-
trueRanges.push(Math.max(tr1, tr2, tr3));
|
|
394
|
-
}
|
|
395
|
-
const atr = [];
|
|
396
|
-
if (trueRanges.length >= 14) {
|
|
397
|
-
let sum2 = trueRanges.slice(0, 14).reduce((a, b) => a + b, 0);
|
|
398
|
-
atr.push(sum2 / 14);
|
|
399
|
-
for (let i = 14; i < trueRanges.length; i++) {
|
|
400
|
-
sum2 = sum2 - trueRanges[i - 14] + trueRanges[i];
|
|
401
|
-
atr.push(sum2 / 14);
|
|
402
|
-
}
|
|
403
|
-
}
|
|
404
|
-
return atr;
|
|
405
|
-
}
|
|
406
|
-
// Calculate maximum consecutive losses
|
|
407
|
-
calculateMaxConsecutiveLosses(prices) {
|
|
408
|
-
let maxConsecutive = 0;
|
|
409
|
-
let currentConsecutive = 0;
|
|
410
|
-
for (let i = 1; i < prices.length; i++) {
|
|
411
|
-
if (prices[i] < prices[i - 1]) {
|
|
412
|
-
currentConsecutive++;
|
|
413
|
-
maxConsecutive = Math.max(maxConsecutive, currentConsecutive);
|
|
414
|
-
} else {
|
|
415
|
-
currentConsecutive = 0;
|
|
416
|
-
}
|
|
417
|
-
}
|
|
418
|
-
return maxConsecutive;
|
|
419
|
-
}
|
|
420
|
-
// Calculate win rate
|
|
421
|
-
calculateWinRate(prices) {
|
|
422
|
-
let wins = 0;
|
|
423
|
-
let total = 0;
|
|
424
|
-
for (let i = 1; i < prices.length; i++) {
|
|
425
|
-
if (prices[i] !== prices[i - 1]) {
|
|
426
|
-
total++;
|
|
427
|
-
if (prices[i] > prices[i - 1]) {
|
|
428
|
-
wins++;
|
|
256
|
+
stockGraph: {
|
|
257
|
+
description: "Generates a price chart for a given symbol",
|
|
258
|
+
uri: "stockGraph/{symbol}"
|
|
259
|
+
},
|
|
260
|
+
stockPriceHistory: {
|
|
261
|
+
description: "Returns price history for a given symbol",
|
|
262
|
+
uri: "stockPriceHistory/{symbol}"
|
|
263
|
+
}
|
|
429
264
|
}
|
|
430
265
|
}
|
|
431
266
|
}
|
|
432
|
-
|
|
433
|
-
|
|
434
|
-
|
|
435
|
-
|
|
436
|
-
|
|
437
|
-
|
|
438
|
-
|
|
439
|
-
|
|
440
|
-
|
|
441
|
-
|
|
442
|
-
|
|
443
|
-
grossLoss += Math.abs(change);
|
|
444
|
-
}
|
|
445
|
-
}
|
|
446
|
-
return grossLoss > 0 ? grossProfit / grossLoss : 0;
|
|
447
|
-
}
|
|
448
|
-
// Calculate Weighted Moving Average
|
|
449
|
-
calculateWma(data, period) {
|
|
450
|
-
const wma = [];
|
|
451
|
-
const weights = Array.from({ length: period }, (_, i) => i + 1);
|
|
452
|
-
const weightSum = weights.reduce((a, b) => a + b, 0);
|
|
453
|
-
for (let i = period - 1; i < data.length; i++) {
|
|
454
|
-
let weightedSum = 0;
|
|
455
|
-
for (let j = 0; j < period; j++) {
|
|
456
|
-
weightedSum += data[i - j] * weights[j];
|
|
457
|
-
}
|
|
458
|
-
wma.push(weightedSum / weightSum);
|
|
459
|
-
}
|
|
460
|
-
return wma;
|
|
461
|
-
}
|
|
462
|
-
// Calculate Volume Weighted Moving Average
|
|
463
|
-
calculateVwma(prices, period) {
|
|
464
|
-
const vwma = [];
|
|
465
|
-
for (let i = period - 1; i < prices.length; i++) {
|
|
466
|
-
let volumeSum = 0;
|
|
467
|
-
let priceVolumeSum = 0;
|
|
468
|
-
for (let j = 0; j < period; j++) {
|
|
469
|
-
const volume = this.volumes[i - j] || 1;
|
|
470
|
-
volumeSum += volume;
|
|
471
|
-
priceVolumeSum += prices[i - j] * volume;
|
|
472
|
-
}
|
|
473
|
-
vwma.push(priceVolumeSum / volumeSum);
|
|
474
|
-
}
|
|
475
|
-
return vwma;
|
|
476
|
-
}
|
|
477
|
-
// Calculate MACD
|
|
478
|
-
calculateMacd(prices) {
|
|
479
|
-
const ema12 = this.calculateEMA(prices, 12);
|
|
480
|
-
const ema26 = this.calculateEMA(prices, 26);
|
|
481
|
-
const macd = [];
|
|
482
|
-
for (let i = 0; i < Math.min(ema12.length, ema26.length); i++) {
|
|
483
|
-
const macdLine = ema12[i] - ema26[i];
|
|
484
|
-
macd.push({
|
|
485
|
-
macd: macdLine,
|
|
486
|
-
signal: 0,
|
|
487
|
-
// Would need to calculate signal line
|
|
488
|
-
histogram: 0
|
|
489
|
-
// Would need to calculate histogram
|
|
490
|
-
});
|
|
491
|
-
}
|
|
492
|
-
return macd;
|
|
493
|
-
}
|
|
494
|
-
// Calculate ADX (Average Directional Index)
|
|
495
|
-
calculateAdx(prices, highs, lows) {
|
|
496
|
-
if (prices.length < 14) return [];
|
|
497
|
-
const period = 14;
|
|
498
|
-
const adx = [];
|
|
499
|
-
const trueRanges = [];
|
|
500
|
-
const plusDM = [];
|
|
501
|
-
const minusDM = [];
|
|
502
|
-
trueRanges.push(highs[0] - lows[0]);
|
|
503
|
-
plusDM.push(0);
|
|
504
|
-
minusDM.push(0);
|
|
505
|
-
for (let i = 1; i < prices.length; i++) {
|
|
506
|
-
const high = highs[i] || prices[i];
|
|
507
|
-
const low = lows[i] || prices[i];
|
|
508
|
-
const prevHigh = highs[i - 1] || prices[i - 1];
|
|
509
|
-
const prevLow = lows[i - 1] || prices[i - 1];
|
|
510
|
-
const prevClose = prices[i - 1];
|
|
511
|
-
const tr1 = high - low;
|
|
512
|
-
const tr2 = Math.abs(high - prevClose);
|
|
513
|
-
const tr3 = Math.abs(low - prevClose);
|
|
514
|
-
trueRanges.push(Math.max(tr1, tr2, tr3));
|
|
515
|
-
const upMove = high - prevHigh;
|
|
516
|
-
const downMove = prevLow - low;
|
|
517
|
-
if (upMove > downMove && upMove > 0) {
|
|
518
|
-
plusDM.push(upMove);
|
|
519
|
-
minusDM.push(0);
|
|
520
|
-
} else if (downMove > upMove && downMove > 0) {
|
|
521
|
-
plusDM.push(0);
|
|
522
|
-
minusDM.push(downMove);
|
|
523
|
-
} else {
|
|
524
|
-
plusDM.push(0);
|
|
525
|
-
minusDM.push(0);
|
|
526
|
-
}
|
|
527
|
-
}
|
|
528
|
-
const smoothedTR = [];
|
|
529
|
-
const smoothedPlusDM = [];
|
|
530
|
-
const smoothedMinusDM = [];
|
|
531
|
-
let sumTR = 0;
|
|
532
|
-
let sumPlusDM = 0;
|
|
533
|
-
let sumMinusDM = 0;
|
|
534
|
-
for (let i = 0; i < period; i++) {
|
|
535
|
-
sumTR += trueRanges[i];
|
|
536
|
-
sumPlusDM += plusDM[i];
|
|
537
|
-
sumMinusDM += minusDM[i];
|
|
538
|
-
}
|
|
539
|
-
smoothedTR.push(sumTR);
|
|
540
|
-
smoothedPlusDM.push(sumPlusDM);
|
|
541
|
-
smoothedMinusDM.push(sumMinusDM);
|
|
542
|
-
for (let i = period; i < trueRanges.length; i++) {
|
|
543
|
-
const newTR = smoothedTR[smoothedTR.length - 1] - smoothedTR[smoothedTR.length - 1] / period + trueRanges[i];
|
|
544
|
-
const newPlusDM = smoothedPlusDM[smoothedPlusDM.length - 1] - smoothedPlusDM[smoothedPlusDM.length - 1] / period + plusDM[i];
|
|
545
|
-
const newMinusDM = smoothedMinusDM[smoothedMinusDM.length - 1] - smoothedMinusDM[smoothedMinusDM.length - 1] / period + minusDM[i];
|
|
546
|
-
smoothedTR.push(newTR);
|
|
547
|
-
smoothedPlusDM.push(newPlusDM);
|
|
548
|
-
smoothedMinusDM.push(newMinusDM);
|
|
549
|
-
}
|
|
550
|
-
const plusDI = [];
|
|
551
|
-
const minusDI = [];
|
|
552
|
-
for (let i = 0; i < smoothedTR.length; i++) {
|
|
553
|
-
plusDI.push(smoothedPlusDM[i] / smoothedTR[i] * 100);
|
|
554
|
-
minusDI.push(smoothedMinusDM[i] / smoothedTR[i] * 100);
|
|
555
|
-
}
|
|
556
|
-
const dx = [];
|
|
557
|
-
for (let i = 0; i < plusDI.length; i++) {
|
|
558
|
-
const diSum = plusDI[i] + minusDI[i];
|
|
559
|
-
const diDiff = Math.abs(plusDI[i] - minusDI[i]);
|
|
560
|
-
dx.push(diSum > 0 ? diDiff / diSum * 100 : 0);
|
|
561
|
-
}
|
|
562
|
-
if (dx.length < period) return [];
|
|
563
|
-
let sumDX = 0;
|
|
564
|
-
for (let i = 0; i < period; i++) {
|
|
565
|
-
sumDX += dx[i];
|
|
566
|
-
}
|
|
567
|
-
adx.push(sumDX / period);
|
|
568
|
-
for (let i = period; i < dx.length; i++) {
|
|
569
|
-
const newADX = adx[adx.length - 1] - adx[adx.length - 1] / period + dx[i];
|
|
570
|
-
adx.push(newADX);
|
|
571
|
-
}
|
|
572
|
-
return adx;
|
|
573
|
-
}
|
|
574
|
-
// Calculate DMI (Directional Movement Index)
|
|
575
|
-
calculateDmi(prices, highs, lows) {
|
|
576
|
-
if (prices.length < 14) return [];
|
|
577
|
-
const period = 14;
|
|
578
|
-
const dmi = [];
|
|
579
|
-
const trueRanges = [];
|
|
580
|
-
const plusDM = [];
|
|
581
|
-
const minusDM = [];
|
|
582
|
-
trueRanges.push(highs[0] - lows[0]);
|
|
583
|
-
plusDM.push(0);
|
|
584
|
-
minusDM.push(0);
|
|
585
|
-
for (let i = 1; i < prices.length; i++) {
|
|
586
|
-
const high = highs[i] || prices[i];
|
|
587
|
-
const low = lows[i] || prices[i];
|
|
588
|
-
const prevHigh = highs[i - 1] || prices[i - 1];
|
|
589
|
-
const prevLow = lows[i - 1] || prices[i - 1];
|
|
590
|
-
const prevClose = prices[i - 1];
|
|
591
|
-
const tr1 = high - low;
|
|
592
|
-
const tr2 = Math.abs(high - prevClose);
|
|
593
|
-
const tr3 = Math.abs(low - prevClose);
|
|
594
|
-
trueRanges.push(Math.max(tr1, tr2, tr3));
|
|
595
|
-
const upMove = high - prevHigh;
|
|
596
|
-
const downMove = prevLow - low;
|
|
597
|
-
if (upMove > downMove && upMove > 0) {
|
|
598
|
-
plusDM.push(upMove);
|
|
599
|
-
minusDM.push(0);
|
|
600
|
-
} else if (downMove > upMove && downMove > 0) {
|
|
601
|
-
plusDM.push(0);
|
|
602
|
-
minusDM.push(downMove);
|
|
603
|
-
} else {
|
|
604
|
-
plusDM.push(0);
|
|
605
|
-
minusDM.push(0);
|
|
606
|
-
}
|
|
607
|
-
}
|
|
608
|
-
const smoothedTR = [];
|
|
609
|
-
const smoothedPlusDM = [];
|
|
610
|
-
const smoothedMinusDM = [];
|
|
611
|
-
let sumTR = 0;
|
|
612
|
-
let sumPlusDM = 0;
|
|
613
|
-
let sumMinusDM = 0;
|
|
614
|
-
for (let i = 0; i < period; i++) {
|
|
615
|
-
sumTR += trueRanges[i];
|
|
616
|
-
sumPlusDM += plusDM[i];
|
|
617
|
-
sumMinusDM += minusDM[i];
|
|
618
|
-
}
|
|
619
|
-
smoothedTR.push(sumTR);
|
|
620
|
-
smoothedPlusDM.push(sumPlusDM);
|
|
621
|
-
smoothedMinusDM.push(sumMinusDM);
|
|
622
|
-
for (let i = period; i < trueRanges.length; i++) {
|
|
623
|
-
const newTR = smoothedTR[smoothedTR.length - 1] - smoothedTR[smoothedTR.length - 1] / period + trueRanges[i];
|
|
624
|
-
const newPlusDM = smoothedPlusDM[smoothedPlusDM.length - 1] - smoothedPlusDM[smoothedPlusDM.length - 1] / period + plusDM[i];
|
|
625
|
-
const newMinusDM = smoothedMinusDM[smoothedMinusDM.length - 1] - smoothedMinusDM[smoothedMinusDM.length - 1] / period + minusDM[i];
|
|
626
|
-
smoothedTR.push(newTR);
|
|
627
|
-
smoothedPlusDM.push(newPlusDM);
|
|
628
|
-
smoothedMinusDM.push(newMinusDM);
|
|
629
|
-
}
|
|
630
|
-
const plusDI = [];
|
|
631
|
-
const minusDI = [];
|
|
632
|
-
for (let i = 0; i < smoothedTR.length; i++) {
|
|
633
|
-
plusDI.push(smoothedPlusDM[i] / smoothedTR[i] * 100);
|
|
634
|
-
minusDI.push(smoothedMinusDM[i] / smoothedTR[i] * 100);
|
|
635
|
-
}
|
|
636
|
-
const dx = [];
|
|
637
|
-
for (let i = 0; i < plusDI.length; i++) {
|
|
638
|
-
const diSum = plusDI[i] + minusDI[i];
|
|
639
|
-
const diDiff = Math.abs(plusDI[i] - minusDI[i]);
|
|
640
|
-
dx.push(diSum > 0 ? diDiff / diSum * 100 : 0);
|
|
641
|
-
}
|
|
642
|
-
if (dx.length < period) return [];
|
|
643
|
-
const adx = [];
|
|
644
|
-
let sumDX = 0;
|
|
645
|
-
for (let i = 0; i < period; i++) {
|
|
646
|
-
sumDX += dx[i];
|
|
647
|
-
}
|
|
648
|
-
adx.push(sumDX / period);
|
|
649
|
-
for (let i = period; i < dx.length; i++) {
|
|
650
|
-
const newADX = adx[adx.length - 1] - adx[adx.length - 1] / period + dx[i];
|
|
651
|
-
adx.push(newADX);
|
|
652
|
-
}
|
|
653
|
-
for (let i = 0; i < adx.length; i++) {
|
|
654
|
-
dmi.push({
|
|
655
|
-
plusDI: plusDI[i + period - 1] || 0,
|
|
656
|
-
minusDI: minusDI[i + period - 1] || 0,
|
|
657
|
-
adx: adx[i]
|
|
658
|
-
});
|
|
659
|
-
}
|
|
660
|
-
return dmi;
|
|
267
|
+
);
|
|
268
|
+
transport = new StdioServerTransport();
|
|
269
|
+
onReady = void 0;
|
|
270
|
+
pendingRequests = /* @__PURE__ */ new Map();
|
|
271
|
+
verifiedOrders = /* @__PURE__ */ new Map();
|
|
272
|
+
// Store market data prices with timestamps
|
|
273
|
+
marketDataPrices = /* @__PURE__ */ new Map();
|
|
274
|
+
MAX_PRICE_HISTORY = 1e5;
|
|
275
|
+
// Maximum number of price points to store per symbol
|
|
276
|
+
constructor({ logger, onReady }) {
|
|
277
|
+
if (onReady) this.onReady = onReady;
|
|
661
278
|
}
|
|
662
|
-
|
|
663
|
-
|
|
664
|
-
|
|
665
|
-
|
|
666
|
-
|
|
667
|
-
|
|
668
|
-
const periodHigh = Math.max(...highs.slice(i - 8, i + 1));
|
|
669
|
-
const periodLow = Math.min(...lows.slice(i - 8, i + 1));
|
|
670
|
-
tenkanSen.push((periodHigh + periodLow) / 2);
|
|
671
|
-
}
|
|
672
|
-
const kijunSen = [];
|
|
673
|
-
for (let i = 25; i < prices.length; i++) {
|
|
674
|
-
const periodHigh = Math.max(...highs.slice(i - 25, i + 1));
|
|
675
|
-
const periodLow = Math.min(...lows.slice(i - 25, i + 1));
|
|
676
|
-
kijunSen.push((periodHigh + periodLow) / 2);
|
|
677
|
-
}
|
|
678
|
-
const senkouSpanA = [];
|
|
679
|
-
for (let i = 0; i < Math.min(tenkanSen.length, kijunSen.length); i++) {
|
|
680
|
-
senkouSpanA.push((tenkanSen[i] + kijunSen[i]) / 2);
|
|
681
|
-
}
|
|
682
|
-
const senkouSpanB = [];
|
|
683
|
-
for (let i = 51; i < prices.length; i++) {
|
|
684
|
-
const periodHigh = Math.max(...highs.slice(i - 51, i + 1));
|
|
685
|
-
const periodLow = Math.min(...lows.slice(i - 51, i + 1));
|
|
686
|
-
senkouSpanB.push((periodHigh + periodLow) / 2);
|
|
687
|
-
}
|
|
688
|
-
const chikouSpan = [];
|
|
689
|
-
for (let i = 26; i < prices.length; i++) {
|
|
690
|
-
chikouSpan.push(prices[i - 26]);
|
|
691
|
-
}
|
|
692
|
-
const minLength = Math.min(
|
|
693
|
-
tenkanSen.length,
|
|
694
|
-
kijunSen.length,
|
|
695
|
-
senkouSpanA.length,
|
|
696
|
-
senkouSpanB.length,
|
|
697
|
-
chikouSpan.length
|
|
698
|
-
);
|
|
699
|
-
for (let i = 0; i < minLength; i++) {
|
|
700
|
-
ichimoku.push({
|
|
701
|
-
tenkan: tenkanSen[i],
|
|
702
|
-
kijun: kijunSen[i],
|
|
703
|
-
senkouA: senkouSpanA[i],
|
|
704
|
-
senkouB: senkouSpanB[i],
|
|
705
|
-
chikou: chikouSpan[i]
|
|
279
|
+
async register(parser) {
|
|
280
|
+
this.parser = parser;
|
|
281
|
+
this.parser.addOnMessageCallback((message) => {
|
|
282
|
+
this.parser?.logger.log({
|
|
283
|
+
level: "info",
|
|
284
|
+
message: `MCP Server received message: ${message.messageType}: ${message.description}`
|
|
706
285
|
});
|
|
707
|
-
|
|
708
|
-
|
|
709
|
-
|
|
710
|
-
|
|
711
|
-
|
|
712
|
-
|
|
713
|
-
|
|
714
|
-
|
|
715
|
-
|
|
716
|
-
|
|
717
|
-
|
|
718
|
-
|
|
719
|
-
|
|
720
|
-
|
|
721
|
-
|
|
722
|
-
|
|
723
|
-
|
|
724
|
-
|
|
725
|
-
|
|
726
|
-
|
|
727
|
-
|
|
728
|
-
|
|
729
|
-
|
|
730
|
-
|
|
731
|
-
|
|
732
|
-
|
|
733
|
-
|
|
734
|
-
}
|
|
735
|
-
currentSAR = currentSAR + af * (ep - currentSAR);
|
|
736
|
-
if (i > 0) {
|
|
737
|
-
const prevLow = lows[i - 1] || prices[i - 1];
|
|
738
|
-
currentSAR = Math.min(currentSAR, prevLow);
|
|
286
|
+
const msgType = message.messageType;
|
|
287
|
+
if (msgType === Messages.MarketDataSnapshotFullRefresh || msgType === Messages.ExecutionReport || msgType === Messages.Reject || msgType === Messages.MarketDataIncrementalRefresh) {
|
|
288
|
+
this.parser?.logger.log({
|
|
289
|
+
level: "info",
|
|
290
|
+
message: `MCP Server handling message type: ${msgType}`
|
|
291
|
+
});
|
|
292
|
+
let id;
|
|
293
|
+
if (msgType === Messages.MarketDataIncrementalRefresh || msgType === Messages.MarketDataSnapshotFullRefresh) {
|
|
294
|
+
const symbol = message.getField(Fields.Symbol);
|
|
295
|
+
const price = message.getField(Fields.MDEntryPx);
|
|
296
|
+
const timestamp = message.getField(Fields.MDEntryTime)?.value || Date.now();
|
|
297
|
+
if (symbol?.value && price?.value) {
|
|
298
|
+
const symbolStr = String(symbol.value);
|
|
299
|
+
const priceNum = Number(price.value);
|
|
300
|
+
const priceHistory = this.marketDataPrices.get(symbolStr) || [];
|
|
301
|
+
priceHistory.push({
|
|
302
|
+
timestamp: Number(timestamp),
|
|
303
|
+
price: priceNum
|
|
304
|
+
});
|
|
305
|
+
if (priceHistory.length > this.MAX_PRICE_HISTORY) {
|
|
306
|
+
priceHistory.shift();
|
|
307
|
+
}
|
|
308
|
+
this.marketDataPrices.set(symbolStr, priceHistory);
|
|
309
|
+
this.parser?.logger.log({
|
|
310
|
+
level: "info",
|
|
311
|
+
message: `MCP Server added ${symbol}: ${priceNum}`
|
|
312
|
+
});
|
|
739
313
|
}
|
|
740
314
|
}
|
|
741
|
-
|
|
742
|
-
|
|
743
|
-
|
|
744
|
-
|
|
745
|
-
|
|
746
|
-
|
|
747
|
-
} else {
|
|
748
|
-
|
|
749
|
-
|
|
750
|
-
|
|
751
|
-
|
|
752
|
-
|
|
753
|
-
if (
|
|
754
|
-
|
|
755
|
-
|
|
315
|
+
if (msgType === Messages.MarketDataSnapshotFullRefresh) {
|
|
316
|
+
const mdReqID = message.getField(Fields.MDReqID);
|
|
317
|
+
if (mdReqID) id = String(mdReqID.value);
|
|
318
|
+
} else if (msgType === Messages.ExecutionReport) {
|
|
319
|
+
const clOrdID = message.getField(Fields.ClOrdID);
|
|
320
|
+
if (clOrdID) id = String(clOrdID.value);
|
|
321
|
+
} else if (msgType === Messages.Reject) {
|
|
322
|
+
const refSeqNum = message.getField(Fields.RefSeqNum);
|
|
323
|
+
if (refSeqNum) id = String(refSeqNum.value);
|
|
324
|
+
}
|
|
325
|
+
if (id) {
|
|
326
|
+
const callback = this.pendingRequests.get(id);
|
|
327
|
+
if (callback) {
|
|
328
|
+
callback(message);
|
|
329
|
+
this.pendingRequests.delete(id);
|
|
756
330
|
}
|
|
757
331
|
}
|
|
758
332
|
}
|
|
759
|
-
|
|
760
|
-
|
|
761
|
-
|
|
762
|
-
|
|
763
|
-
|
|
764
|
-
calculateStochastic(prices, highs, lows) {
|
|
765
|
-
const stochastic = [];
|
|
766
|
-
for (let i = 14; i < prices.length; i++) {
|
|
767
|
-
stochastic.push({
|
|
768
|
-
k: Math.random() * 100,
|
|
769
|
-
d: Math.random() * 100
|
|
770
|
-
});
|
|
771
|
-
}
|
|
772
|
-
return stochastic;
|
|
773
|
-
}
|
|
774
|
-
// Calculate CCI
|
|
775
|
-
calculateCci(prices, highs, lows) {
|
|
776
|
-
const cci = [];
|
|
777
|
-
for (let i = 20; i < prices.length; i++) {
|
|
778
|
-
cci.push(Math.random() * 200 - 100);
|
|
779
|
-
}
|
|
780
|
-
return cci;
|
|
781
|
-
}
|
|
782
|
-
// Calculate Rate of Change
|
|
783
|
-
calculateRoc(prices) {
|
|
784
|
-
const roc = [];
|
|
785
|
-
for (let i = 10; i < prices.length; i++) {
|
|
786
|
-
roc.push((prices[i] - prices[i - 10]) / prices[i - 10] * 100);
|
|
787
|
-
}
|
|
788
|
-
return roc;
|
|
789
|
-
}
|
|
790
|
-
// Calculate Williams %R
|
|
791
|
-
calculateWilliamsR(prices) {
|
|
792
|
-
const williamsR = [];
|
|
793
|
-
for (let i = 14; i < prices.length; i++) {
|
|
794
|
-
williamsR.push(Math.random() * 100 - 100);
|
|
795
|
-
}
|
|
796
|
-
return williamsR;
|
|
797
|
-
}
|
|
798
|
-
// Calculate Momentum
|
|
799
|
-
calculateMomentum(prices) {
|
|
800
|
-
const momentum = [];
|
|
801
|
-
for (let i = 10; i < prices.length; i++) {
|
|
802
|
-
momentum.push(prices[i] - prices[i - 10]);
|
|
803
|
-
}
|
|
804
|
-
return momentum;
|
|
805
|
-
}
|
|
806
|
-
// Calculate Keltner Channels
|
|
807
|
-
calculateKeltnerChannels(prices, highs, lows) {
|
|
808
|
-
const keltner = [];
|
|
809
|
-
for (let i = 20; i < prices.length; i++) {
|
|
810
|
-
keltner.push({
|
|
811
|
-
upper: prices[i] * 1.02,
|
|
812
|
-
middle: prices[i],
|
|
813
|
-
lower: prices[i] * 0.98
|
|
814
|
-
});
|
|
815
|
-
}
|
|
816
|
-
return keltner;
|
|
817
|
-
}
|
|
818
|
-
// Calculate Donchian Channels
|
|
819
|
-
calculateDonchianChannels(prices, highs, lows) {
|
|
820
|
-
const donchian = [];
|
|
821
|
-
for (let i = 20; i < prices.length; i++) {
|
|
822
|
-
const slice = prices.slice(i - 20, i);
|
|
823
|
-
donchian.push({
|
|
824
|
-
upper: Math.max(...slice),
|
|
825
|
-
middle: (Math.max(...slice) + Math.min(...slice)) / 2,
|
|
826
|
-
lower: Math.min(...slice)
|
|
827
|
-
});
|
|
828
|
-
}
|
|
829
|
-
return donchian;
|
|
830
|
-
}
|
|
831
|
-
// Calculate Chaikin Volatility
|
|
832
|
-
calculateChaikinVolatility(prices, highs, lows) {
|
|
833
|
-
const volatility = [];
|
|
834
|
-
for (let i = 10; i < prices.length; i++) {
|
|
835
|
-
volatility.push(Math.random() * 10);
|
|
836
|
-
}
|
|
837
|
-
return volatility;
|
|
838
|
-
}
|
|
839
|
-
// Calculate On Balance Volume
|
|
840
|
-
calculateObv(volumes) {
|
|
841
|
-
const obv = [volumes[0]];
|
|
842
|
-
for (let i = 1; i < volumes.length; i++) {
|
|
843
|
-
obv.push(obv[i - 1] + volumes[i]);
|
|
844
|
-
}
|
|
845
|
-
return obv;
|
|
846
|
-
}
|
|
847
|
-
// Calculate Chaikin Money Flow
|
|
848
|
-
calculateCmf(prices, highs, lows, volumes) {
|
|
849
|
-
const cmf = [];
|
|
850
|
-
for (let i = 20; i < prices.length; i++) {
|
|
851
|
-
cmf.push(Math.random() * 2 - 1);
|
|
852
|
-
}
|
|
853
|
-
return cmf;
|
|
854
|
-
}
|
|
855
|
-
// Calculate Accumulation/Distribution Line
|
|
856
|
-
calculateAdl(prices) {
|
|
857
|
-
const adl = [0];
|
|
858
|
-
for (let i = 1; i < prices.length; i++) {
|
|
859
|
-
adl.push(adl[i - 1] + (prices[i] - prices[i - 1]));
|
|
860
|
-
}
|
|
861
|
-
return adl;
|
|
862
|
-
}
|
|
863
|
-
// Calculate Volume Rate of Change
|
|
864
|
-
calculateVolumeROC(prices) {
|
|
865
|
-
const volumeROC = [];
|
|
866
|
-
for (let i = 10; i < this.volumes.length; i++) {
|
|
867
|
-
volumeROC.push((this.volumes[i] - this.volumes[i - 10]) / this.volumes[i - 10] * 100);
|
|
868
|
-
}
|
|
869
|
-
return volumeROC;
|
|
870
|
-
}
|
|
871
|
-
// Calculate Money Flow Index
|
|
872
|
-
calculateMfi(prices, highs, lows, volumes) {
|
|
873
|
-
const mfi = [];
|
|
874
|
-
for (let i = 14; i < prices.length; i++) {
|
|
875
|
-
mfi.push(Math.random() * 100);
|
|
876
|
-
}
|
|
877
|
-
return mfi;
|
|
878
|
-
}
|
|
879
|
-
// Calculate VWAP
|
|
880
|
-
calculateVwap(prices, volumes) {
|
|
881
|
-
const vwap = [];
|
|
882
|
-
let cumulativePV = 0;
|
|
883
|
-
let cumulativeVolume = 0;
|
|
884
|
-
for (let i = 0; i < prices.length; i++) {
|
|
885
|
-
cumulativePV += prices[i] * (volumes[i] || 1);
|
|
886
|
-
cumulativeVolume += volumes[i] || 1;
|
|
887
|
-
vwap.push(cumulativePV / cumulativeVolume);
|
|
888
|
-
}
|
|
889
|
-
return vwap;
|
|
890
|
-
}
|
|
891
|
-
// Calculate Pivot Points
|
|
892
|
-
calculatePivotPoints(prices) {
|
|
893
|
-
const pivotPoints = [];
|
|
894
|
-
for (let i = 0; i < prices.length; i++) {
|
|
895
|
-
const pp = prices[i];
|
|
896
|
-
pivotPoints.push({
|
|
897
|
-
pp,
|
|
898
|
-
r1: pp * 1.01,
|
|
899
|
-
r2: pp * 1.02,
|
|
900
|
-
r3: pp * 1.03,
|
|
901
|
-
s1: pp * 0.99,
|
|
902
|
-
s2: pp * 0.98,
|
|
903
|
-
s3: pp * 0.97
|
|
904
|
-
});
|
|
905
|
-
}
|
|
906
|
-
return pivotPoints;
|
|
907
|
-
}
|
|
908
|
-
// Calculate Fibonacci Levels
|
|
909
|
-
calculateFibonacciLevels(prices) {
|
|
910
|
-
const fibonacci = [];
|
|
911
|
-
for (let i = 0; i < prices.length; i++) {
|
|
912
|
-
const price = prices[i];
|
|
913
|
-
fibonacci.push({
|
|
914
|
-
retracement: {
|
|
915
|
-
level0: price,
|
|
916
|
-
level236: price * 0.764,
|
|
917
|
-
level382: price * 0.618,
|
|
918
|
-
level500: price * 0.5,
|
|
919
|
-
level618: price * 0.382,
|
|
920
|
-
level786: price * 0.214,
|
|
921
|
-
level100: price * 0
|
|
922
|
-
},
|
|
923
|
-
extension: {
|
|
924
|
-
level1272: price * 1.272,
|
|
925
|
-
level1618: price * 1.618,
|
|
926
|
-
level2618: price * 2.618,
|
|
927
|
-
level4236: price * 4.236
|
|
928
|
-
}
|
|
929
|
-
});
|
|
930
|
-
}
|
|
931
|
-
return fibonacci;
|
|
932
|
-
}
|
|
933
|
-
// Calculate Gann Levels
|
|
934
|
-
calculateGannLevels(prices) {
|
|
935
|
-
const gannLevels = [];
|
|
936
|
-
for (let i = 0; i < prices.length; i++) {
|
|
937
|
-
gannLevels.push(prices[i] * (1 + i * 0.01));
|
|
938
|
-
}
|
|
939
|
-
return gannLevels;
|
|
940
|
-
}
|
|
941
|
-
// Calculate Elliott Wave
|
|
942
|
-
calculateElliottWave(prices) {
|
|
943
|
-
const elliottWave = [];
|
|
944
|
-
for (let i = 0; i < prices.length; i++) {
|
|
945
|
-
elliottWave.push({
|
|
946
|
-
waves: [prices[i]],
|
|
947
|
-
currentWave: 1,
|
|
948
|
-
wavePosition: 0.5
|
|
949
|
-
});
|
|
950
|
-
}
|
|
951
|
-
return elliottWave;
|
|
952
|
-
}
|
|
953
|
-
// Calculate Harmonic Patterns
|
|
954
|
-
calculateHarmonicPatterns(prices) {
|
|
955
|
-
const harmonicPatterns = [];
|
|
956
|
-
for (let i = 0; i < prices.length; i++) {
|
|
957
|
-
harmonicPatterns.push({
|
|
958
|
-
type: "Gartley",
|
|
959
|
-
completion: 0.618,
|
|
960
|
-
target: prices[i] * 1.1,
|
|
961
|
-
stopLoss: prices[i] * 0.9
|
|
962
|
-
});
|
|
963
|
-
}
|
|
964
|
-
return harmonicPatterns;
|
|
965
|
-
}
|
|
966
|
-
// Calculate Position Size
|
|
967
|
-
calculatePositionSize(currentPrice, targetEntry, stopLoss) {
|
|
968
|
-
const riskPerShare = Math.abs(targetEntry - stopLoss);
|
|
969
|
-
return riskPerShare > 0 ? 100 / riskPerShare : 1;
|
|
970
|
-
}
|
|
971
|
-
// Calculate Confidence
|
|
972
|
-
calculateConfidence(signals) {
|
|
973
|
-
return Math.min(signals.length * 10, 100);
|
|
974
|
-
}
|
|
975
|
-
// Calculate Risk Level
|
|
976
|
-
calculateRiskLevel(volatility) {
|
|
977
|
-
if (volatility < 20) return "LOW";
|
|
978
|
-
if (volatility < 40) return "MEDIUM";
|
|
979
|
-
return "HIGH";
|
|
980
|
-
}
|
|
981
|
-
// Calculate Z-Score
|
|
982
|
-
calculateZScore(currentPrice, startPrice, avgVolume) {
|
|
983
|
-
return (currentPrice - startPrice) / (startPrice * 0.1);
|
|
984
|
-
}
|
|
985
|
-
// Calculate Ornstein-Uhlenbeck
|
|
986
|
-
calculateOrnsteinUhlenbeck(currentPrice, startPrice, avgVolume) {
|
|
987
|
-
return {
|
|
988
|
-
mean: startPrice,
|
|
989
|
-
speed: 0.1,
|
|
990
|
-
volatility: avgVolume * 0.01,
|
|
991
|
-
currentValue: currentPrice
|
|
992
|
-
};
|
|
993
|
-
}
|
|
994
|
-
// Calculate Kalman Filter
|
|
995
|
-
calculateKalmanFilter(currentPrice, startPrice, avgVolume) {
|
|
996
|
-
return {
|
|
997
|
-
state: currentPrice,
|
|
998
|
-
covariance: avgVolume * 1e-3,
|
|
999
|
-
gain: 0.5
|
|
1000
|
-
};
|
|
1001
|
-
}
|
|
1002
|
-
// Calculate ARIMA
|
|
1003
|
-
calculateArima(currentPrice, startPrice, avgVolume) {
|
|
1004
|
-
return {
|
|
1005
|
-
forecast: [currentPrice * 1.01, currentPrice * 1.02],
|
|
1006
|
-
residuals: [0, 0],
|
|
1007
|
-
aic: 100
|
|
1008
|
-
};
|
|
1009
|
-
}
|
|
1010
|
-
// Calculate GARCH
|
|
1011
|
-
calculateGarch(currentPrice, startPrice, avgVolume) {
|
|
1012
|
-
return {
|
|
1013
|
-
volatility: avgVolume * 0.01,
|
|
1014
|
-
persistence: 0.9,
|
|
1015
|
-
meanReversion: 0.1
|
|
1016
|
-
};
|
|
1017
|
-
}
|
|
1018
|
-
// Calculate Hilbert Transform
|
|
1019
|
-
calculateHilbertTransform(currentPrice, startPrice, avgVolume) {
|
|
1020
|
-
return {
|
|
1021
|
-
analytic: [currentPrice],
|
|
1022
|
-
phase: [0],
|
|
1023
|
-
amplitude: [currentPrice]
|
|
1024
|
-
};
|
|
1025
|
-
}
|
|
1026
|
-
// Calculate Wavelet Transform
|
|
1027
|
-
calculateWaveletTransform(currentPrice, startPrice, avgVolume) {
|
|
1028
|
-
return {
|
|
1029
|
-
coefficients: [currentPrice],
|
|
1030
|
-
scales: [1]
|
|
1031
|
-
};
|
|
1032
|
-
}
|
|
1033
|
-
// Calculate Black-Scholes
|
|
1034
|
-
calculateBlackScholes(currentPrice, startPrice, avgVolume) {
|
|
1035
|
-
const S = currentPrice;
|
|
1036
|
-
const K = startPrice;
|
|
1037
|
-
const T = 1;
|
|
1038
|
-
const r = 0.05;
|
|
1039
|
-
const sigma = avgVolume * 0.01;
|
|
1040
|
-
const d1 = (Math.log(S / K) + (r + sigma * sigma / 2) * T) / (sigma * Math.sqrt(T));
|
|
1041
|
-
const d2 = d1 - sigma * Math.sqrt(T);
|
|
1042
|
-
const callPrice = S * this.normalCDF(d1) - K * Math.exp(-r * T) * this.normalCDF(d2);
|
|
1043
|
-
const putPrice = K * Math.exp(-r * T) * this.normalCDF(-d2) - S * this.normalCDF(-d1);
|
|
1044
|
-
return {
|
|
1045
|
-
callPrice,
|
|
1046
|
-
putPrice,
|
|
1047
|
-
delta: this.normalCDF(d1),
|
|
1048
|
-
gamma: this.normalPDF(d1) / (S * sigma * Math.sqrt(T)),
|
|
1049
|
-
theta: -S * this.normalPDF(d1) * sigma / (2 * Math.sqrt(T)) - r * K * Math.exp(-r * T) * this.normalCDF(d2),
|
|
1050
|
-
vega: S * Math.sqrt(T) * this.normalPDF(d1),
|
|
1051
|
-
rho: K * T * Math.exp(-r * T) * this.normalCDF(d2)
|
|
1052
|
-
};
|
|
1053
|
-
}
|
|
1054
|
-
// Normal CDF approximation
|
|
1055
|
-
normalCDF(x) {
|
|
1056
|
-
return 0.5 * (1 + this.erf(x / Math.sqrt(2)));
|
|
1057
|
-
}
|
|
1058
|
-
// Normal PDF
|
|
1059
|
-
normalPDF(x) {
|
|
1060
|
-
return Math.exp(-x * x / 2) / Math.sqrt(2 * Math.PI);
|
|
1061
|
-
}
|
|
1062
|
-
// Error function approximation
|
|
1063
|
-
erf(x) {
|
|
1064
|
-
const a1 = 0.254829592;
|
|
1065
|
-
const a2 = -0.284496736;
|
|
1066
|
-
const a3 = 1.421413741;
|
|
1067
|
-
const a4 = -1.453152027;
|
|
1068
|
-
const a5 = 1.061405429;
|
|
1069
|
-
const p = 0.3275911;
|
|
1070
|
-
const sign = x >= 0 ? 1 : -1;
|
|
1071
|
-
const absX = Math.abs(x);
|
|
1072
|
-
const t = 1 / (1 + p * absX);
|
|
1073
|
-
const y = 1 - ((((a5 * t + a4) * t + a3) * t + a2) * t + a1) * t * Math.exp(-absX * absX);
|
|
1074
|
-
return sign * y;
|
|
1075
|
-
}
|
|
1076
|
-
// Calculate price changes for volatility
|
|
1077
|
-
calculatePriceChanges() {
|
|
1078
|
-
const changes = [];
|
|
1079
|
-
for (let i = 1; i < this.prices.length; i++) {
|
|
1080
|
-
changes.push((this.prices[i] - this.prices[i - 1]) / this.prices[i - 1]);
|
|
333
|
+
});
|
|
334
|
+
this.addWorkflows();
|
|
335
|
+
await this.server.connect(this.transport);
|
|
336
|
+
if (this.onReady) {
|
|
337
|
+
this.onReady();
|
|
1081
338
|
}
|
|
1082
|
-
return changes;
|
|
1083
|
-
}
|
|
1084
|
-
// Generate comprehensive market analysis
|
|
1085
|
-
analyze() {
|
|
1086
|
-
const currentPrice = this.prices[this.prices.length - 1];
|
|
1087
|
-
const startPrice = this.prices[0];
|
|
1088
|
-
const sessionHigh = Math.max(...this.highs);
|
|
1089
|
-
const sessionLow = Math.min(...this.lows);
|
|
1090
|
-
const totalVolume = sum(this.volumes);
|
|
1091
|
-
const avgVolume = totalVolume / this.volumes.length;
|
|
1092
|
-
const priceChanges = this.calculatePriceChanges();
|
|
1093
|
-
const volatility = priceChanges.length > 0 ? Math.sqrt(
|
|
1094
|
-
priceChanges.reduce((sum2, change) => sum2 + change ** 2, 0) / priceChanges.length
|
|
1095
|
-
) * Math.sqrt(252) * 100 : 0;
|
|
1096
|
-
const sessionReturn = (currentPrice - startPrice) / startPrice * 100;
|
|
1097
|
-
const pricePosition = (currentPrice - sessionLow) / (sessionHigh - sessionLow) * 100;
|
|
1098
|
-
const trueVWAP = this.prices.reduce((sum2, price, i) => sum2 + price * this.volumes[i], 0) / totalVolume;
|
|
1099
|
-
const momentum5 = this.prices.length > 5 ? (currentPrice - this.prices[Math.max(0, this.prices.length - 6)]) / this.prices[Math.max(0, this.prices.length - 6)] * 100 : 0;
|
|
1100
|
-
const momentum10 = this.prices.length > 10 ? (currentPrice - this.prices[Math.max(0, this.prices.length - 11)]) / this.prices[Math.max(0, this.prices.length - 11)] * 100 : 0;
|
|
1101
|
-
const maxDrawdown = this.calculateMaxDrawdown(this.prices);
|
|
1102
|
-
const atrValues = this.calculateAtr(this.prices, this.highs, this.lows);
|
|
1103
|
-
const atr = atrValues.length > 0 ? atrValues[atrValues.length - 1] : 0;
|
|
1104
|
-
const impliedVolatility = volatility;
|
|
1105
|
-
const realizedVolatility = volatility;
|
|
1106
|
-
const sharpeRatio = sessionReturn / volatility;
|
|
1107
|
-
const sortinoRatio = sessionReturn / realizedVolatility;
|
|
1108
|
-
const calmarRatio = sessionReturn / maxDrawdown;
|
|
1109
|
-
const maxConsecutiveLosses = this.calculateMaxConsecutiveLosses(this.prices);
|
|
1110
|
-
const winRate = this.calculateWinRate(this.prices);
|
|
1111
|
-
const profitFactor = this.calculateProfitFactor(this.prices);
|
|
1112
|
-
return {
|
|
1113
|
-
currentPrice,
|
|
1114
|
-
startPrice,
|
|
1115
|
-
sessionHigh,
|
|
1116
|
-
sessionLow,
|
|
1117
|
-
totalVolume,
|
|
1118
|
-
avgVolume,
|
|
1119
|
-
volatility,
|
|
1120
|
-
sessionReturn,
|
|
1121
|
-
pricePosition,
|
|
1122
|
-
trueVWAP,
|
|
1123
|
-
momentum5,
|
|
1124
|
-
momentum10,
|
|
1125
|
-
maxDrawdown,
|
|
1126
|
-
atr,
|
|
1127
|
-
impliedVolatility,
|
|
1128
|
-
realizedVolatility,
|
|
1129
|
-
sharpeRatio,
|
|
1130
|
-
sortinoRatio,
|
|
1131
|
-
calmarRatio,
|
|
1132
|
-
maxConsecutiveLosses,
|
|
1133
|
-
winRate,
|
|
1134
|
-
profitFactor
|
|
1135
|
-
};
|
|
1136
339
|
}
|
|
1137
|
-
|
|
1138
|
-
|
|
1139
|
-
|
|
1140
|
-
sma5: this.calculateSMA(this.prices, 5),
|
|
1141
|
-
sma10: this.calculateSMA(this.prices, 10),
|
|
1142
|
-
sma20: this.calculateSMA(this.prices, 20),
|
|
1143
|
-
sma50: this.calculateSMA(this.prices, 50),
|
|
1144
|
-
sma200: this.calculateSMA(this.prices, 200),
|
|
1145
|
-
ema8: this.calculateEMA(this.prices, 8),
|
|
1146
|
-
ema12: this.calculateEMA(this.prices, 12),
|
|
1147
|
-
ema21: this.calculateEMA(this.prices, 21),
|
|
1148
|
-
ema26: this.calculateEMA(this.prices, 26),
|
|
1149
|
-
wma20: this.calculateWma(this.prices, 20),
|
|
1150
|
-
vwma20: this.calculateVwma(this.prices, 20),
|
|
1151
|
-
macd: this.calculateMacd(this.prices),
|
|
1152
|
-
adx: this.calculateAdx(this.prices, this.highs, this.lows),
|
|
1153
|
-
dmi: this.calculateDmi(this.prices, this.highs, this.lows),
|
|
1154
|
-
ichimoku: this.calculateIchimoku(this.prices, this.highs, this.lows),
|
|
1155
|
-
parabolicSAR: this.calculateParabolicSAR(this.prices, this.highs, this.lows),
|
|
1156
|
-
rsi: this.calculateRSI(this.prices, 14),
|
|
1157
|
-
stochastic: this.calculateStochastic(this.prices, this.highs, this.lows),
|
|
1158
|
-
cci: this.calculateCci(this.prices, this.highs, this.lows),
|
|
1159
|
-
roc: this.calculateRoc(this.prices),
|
|
1160
|
-
williamsR: this.calculateWilliamsR(this.prices),
|
|
1161
|
-
momentum: this.calculateMomentum(this.prices),
|
|
1162
|
-
bollinger: this.calculateBollingerBands(this.prices, 20, 2),
|
|
1163
|
-
atr: this.calculateAtr(this.prices, this.highs, this.lows),
|
|
1164
|
-
keltner: this.calculateKeltnerChannels(this.prices, this.highs, this.lows),
|
|
1165
|
-
donchian: this.calculateDonchianChannels(this.prices, this.highs, this.lows),
|
|
1166
|
-
chaikinVolatility: this.calculateChaikinVolatility(this.prices, this.highs, this.lows),
|
|
1167
|
-
obv: this.calculateObv(this.volumes),
|
|
1168
|
-
cmf: this.calculateCmf(this.prices, this.highs, this.lows, this.volumes),
|
|
1169
|
-
adl: this.calculateAdl(this.prices),
|
|
1170
|
-
volumeROC: this.calculateVolumeROC(this.prices),
|
|
1171
|
-
mfi: this.calculateMfi(this.prices, this.highs, this.lows, this.volumes),
|
|
1172
|
-
vwap: this.calculateVwap(this.prices, this.volumes),
|
|
1173
|
-
pivotPoints: this.calculatePivotPoints(this.prices),
|
|
1174
|
-
fibonacci: this.calculateFibonacciLevels(this.prices),
|
|
1175
|
-
gannLevels: this.calculateGannLevels(this.prices),
|
|
1176
|
-
elliottWave: this.calculateElliottWave(this.prices),
|
|
1177
|
-
harmonicPatterns: this.calculateHarmonicPatterns(this.prices)
|
|
1178
|
-
};
|
|
1179
|
-
}
|
|
1180
|
-
// Generate trading signals
|
|
1181
|
-
generateSignals() {
|
|
1182
|
-
const analysis = this.analyze();
|
|
1183
|
-
let bullishSignals = 0;
|
|
1184
|
-
let bearishSignals = 0;
|
|
1185
|
-
const signals = [];
|
|
1186
|
-
if (analysis.currentPrice > analysis.trueVWAP) {
|
|
1187
|
-
signals.push(
|
|
1188
|
-
`\u2713 BULLISH: Price above VWAP (+${((analysis.currentPrice - analysis.trueVWAP) / analysis.trueVWAP * 100).toFixed(2)}%)`
|
|
1189
|
-
);
|
|
1190
|
-
bullishSignals++;
|
|
1191
|
-
} else {
|
|
1192
|
-
signals.push(
|
|
1193
|
-
`\u2717 BEARISH: Price below VWAP (${((analysis.currentPrice - analysis.trueVWAP) / analysis.trueVWAP * 100).toFixed(2)}%)`
|
|
1194
|
-
);
|
|
1195
|
-
bearishSignals++;
|
|
1196
|
-
}
|
|
1197
|
-
if (analysis.momentum5 > 0 && analysis.momentum10 > 0) {
|
|
1198
|
-
signals.push("\u2713 BULLISH: Positive momentum on both timeframes");
|
|
1199
|
-
bullishSignals++;
|
|
1200
|
-
} else if (analysis.momentum5 < 0 && analysis.momentum10 < 0) {
|
|
1201
|
-
signals.push("\u2717 BEARISH: Negative momentum on both timeframes");
|
|
1202
|
-
bearishSignals++;
|
|
1203
|
-
} else {
|
|
1204
|
-
signals.push("\u25D0 MIXED: Conflicting momentum signals");
|
|
1205
|
-
}
|
|
1206
|
-
const currentVolume = this.volumes[this.volumes.length - 1];
|
|
1207
|
-
const volumeRatio = currentVolume / analysis.avgVolume;
|
|
1208
|
-
if (volumeRatio > 1.2 && analysis.sessionReturn > 0) {
|
|
1209
|
-
signals.push("\u2713 BULLISH: Above-average volume supporting upward move");
|
|
1210
|
-
bullishSignals++;
|
|
1211
|
-
} else if (volumeRatio > 1.2 && analysis.sessionReturn < 0) {
|
|
1212
|
-
signals.push("\u2717 BEARISH: Above-average volume supporting downward move");
|
|
1213
|
-
bearishSignals++;
|
|
1214
|
-
} else {
|
|
1215
|
-
signals.push("\u25D0 NEUTRAL: Volume not providing clear direction");
|
|
340
|
+
addWorkflows() {
|
|
341
|
+
if (!this.parser) {
|
|
342
|
+
return;
|
|
1216
343
|
}
|
|
1217
|
-
if (
|
|
1218
|
-
|
|
1219
|
-
bearishSignals++;
|
|
1220
|
-
} else if (analysis.pricePosition < 35 && analysis.volatility > 30) {
|
|
1221
|
-
signals.push("\u2713 BULLISH: Low in range with volatility - potential bounce");
|
|
1222
|
-
bullishSignals++;
|
|
1223
|
-
} else {
|
|
1224
|
-
signals.push("\u25D0 NEUTRAL: Price position and volatility not extreme");
|
|
344
|
+
if (!this.server) {
|
|
345
|
+
return;
|
|
1225
346
|
}
|
|
1226
|
-
|
|
1227
|
-
|
|
1228
|
-
|
|
1229
|
-
generateJSONAnalysis(symbol) {
|
|
1230
|
-
const analysis = this.analyze();
|
|
1231
|
-
const indicators = this.getTechnicalIndicators();
|
|
1232
|
-
const signals = this.generateSignals();
|
|
1233
|
-
const currentSMA5 = indicators.sma5.length > 0 ? indicators.sma5[indicators.sma5.length - 1] : null;
|
|
1234
|
-
const currentSMA10 = indicators.sma10.length > 0 ? indicators.sma10[indicators.sma10.length - 1] : null;
|
|
1235
|
-
const currentSMA20 = indicators.sma20.length > 0 ? indicators.sma20[indicators.sma20.length - 1] : null;
|
|
1236
|
-
const currentSMA50 = indicators.sma50.length > 0 ? indicators.sma50[indicators.sma50.length - 1] : null;
|
|
1237
|
-
const currentSMA200 = indicators.sma200.length > 0 ? indicators.sma200[indicators.sma200.length - 1] : null;
|
|
1238
|
-
const currentEMA8 = indicators.ema8[indicators.ema8.length - 1];
|
|
1239
|
-
const currentEMA12 = indicators.ema12[indicators.ema12.length - 1];
|
|
1240
|
-
const currentEMA21 = indicators.ema21[indicators.ema21.length - 1];
|
|
1241
|
-
const currentEMA26 = indicators.ema26[indicators.ema26.length - 1];
|
|
1242
|
-
const currentWMA20 = indicators.wma20.length > 0 ? indicators.wma20[indicators.wma20.length - 1] : null;
|
|
1243
|
-
const currentVWMA20 = indicators.vwma20.length > 0 ? indicators.vwma20[indicators.vwma20.length - 1] : null;
|
|
1244
|
-
const currentMACD = indicators.macd.length > 0 ? indicators.macd[indicators.macd.length - 1] : null;
|
|
1245
|
-
const currentADX = indicators.adx.length > 0 ? indicators.adx[indicators.adx.length - 1] : null;
|
|
1246
|
-
const currentDMI = indicators.dmi.length > 0 ? indicators.dmi[indicators.dmi.length - 1] : null;
|
|
1247
|
-
const currentIchimoku = indicators.ichimoku.length > 0 ? indicators.ichimoku[indicators.ichimoku.length - 1] : null;
|
|
1248
|
-
const currentParabolicSAR = indicators.parabolicSAR.length > 0 ? indicators.parabolicSAR[indicators.parabolicSAR.length - 1] : null;
|
|
1249
|
-
const currentRSI = indicators.rsi.length > 0 ? indicators.rsi[indicators.rsi.length - 1] : null;
|
|
1250
|
-
const currentStochastic = indicators.stochastic.length > 0 ? indicators.stochastic[indicators.stochastic.length - 1] : null;
|
|
1251
|
-
const currentCCI = indicators.cci.length > 0 ? indicators.cci[indicators.cci.length - 1] : null;
|
|
1252
|
-
const currentROC = indicators.roc.length > 0 ? indicators.roc[indicators.roc.length - 1] : null;
|
|
1253
|
-
const currentWilliamsR = indicators.williamsR.length > 0 ? indicators.williamsR[indicators.williamsR.length - 1] : null;
|
|
1254
|
-
const currentMomentum = indicators.momentum.length > 0 ? indicators.momentum[indicators.momentum.length - 1] : null;
|
|
1255
|
-
const currentBB = indicators.bollinger.length > 0 ? indicators.bollinger[indicators.bollinger.length - 1] : null;
|
|
1256
|
-
const currentAtr = indicators.atr.length > 0 ? indicators.atr[indicators.atr.length - 1] : null;
|
|
1257
|
-
const currentKeltner = indicators.keltner.length > 0 ? indicators.keltner[indicators.keltner.length - 1] : null;
|
|
1258
|
-
const currentDonchian = indicators.donchian.length > 0 ? indicators.donchian[indicators.donchian.length - 1] : null;
|
|
1259
|
-
const currentChaikinVolatility = indicators.chaikinVolatility.length > 0 ? indicators.chaikinVolatility[indicators.chaikinVolatility.length - 1] : null;
|
|
1260
|
-
const currentObv = indicators.obv.length > 0 ? indicators.obv[indicators.obv.length - 1] : null;
|
|
1261
|
-
const currentCmf = indicators.cmf.length > 0 ? indicators.cmf[indicators.cmf.length - 1] : null;
|
|
1262
|
-
const currentAdl = indicators.adl.length > 0 ? indicators.adl[indicators.adl.length - 1] : null;
|
|
1263
|
-
const currentVolumeROC = indicators.volumeROC.length > 0 ? indicators.volumeROC[indicators.volumeROC.length - 1] : null;
|
|
1264
|
-
const currentMfi = indicators.mfi.length > 0 ? indicators.mfi[indicators.mfi.length - 1] : null;
|
|
1265
|
-
const currentVwap = indicators.vwap.length > 0 ? indicators.vwap[indicators.vwap.length - 1] : null;
|
|
1266
|
-
const currentPivotPoints = indicators.pivotPoints.length > 0 ? indicators.pivotPoints[indicators.pivotPoints.length - 1] : null;
|
|
1267
|
-
const currentFibonacci = indicators.fibonacci.length > 0 ? indicators.fibonacci[indicators.fibonacci.length - 1] : null;
|
|
1268
|
-
const currentGannLevels = indicators.gannLevels.length > 0 ? indicators.gannLevels : [];
|
|
1269
|
-
const currentElliottWave = indicators.elliottWave.length > 0 ? indicators.elliottWave[indicators.elliottWave.length - 1] : null;
|
|
1270
|
-
const currentHarmonicPatterns = indicators.harmonicPatterns.length > 0 ? indicators.harmonicPatterns : [];
|
|
1271
|
-
const currentVolume = this.volumes[this.volumes.length - 1];
|
|
1272
|
-
const volumeRatio = currentVolume / analysis.avgVolume;
|
|
1273
|
-
const currentDrawdown = (analysis.sessionHigh - analysis.currentPrice) / analysis.sessionHigh * 100;
|
|
1274
|
-
const rangeWidth = (analysis.sessionHigh - analysis.sessionLow) / analysis.sessionLow * 100;
|
|
1275
|
-
const priceVsVWAP = (analysis.currentPrice - analysis.trueVWAP) / analysis.trueVWAP * 100;
|
|
1276
|
-
const totalScore = signals.bullishSignals - signals.bearishSignals;
|
|
1277
|
-
const overallSignal = totalScore > 0 ? "BULLISH_BIAS" : totalScore < 0 ? "BEARISH_BIAS" : "NEUTRAL";
|
|
1278
|
-
const targetEntry = Math.max(analysis.sessionLow * 1.005, analysis.trueVWAP * 0.998);
|
|
1279
|
-
const stopLoss = analysis.sessionLow * 0.995;
|
|
1280
|
-
const profitTarget = analysis.sessionHigh * 0.995;
|
|
1281
|
-
const riskRewardRatio = (profitTarget - analysis.currentPrice) / (analysis.currentPrice - stopLoss);
|
|
1282
|
-
const positionSize = this.calculatePositionSize(analysis.currentPrice, targetEntry, stopLoss);
|
|
1283
|
-
const maxRisk = positionSize * (targetEntry - stopLoss);
|
|
1284
|
-
return {
|
|
1285
|
-
symbol,
|
|
1286
|
-
timestamp: (/* @__PURE__ */ new Date()).toISOString(),
|
|
1287
|
-
marketStructure: {
|
|
1288
|
-
currentPrice: analysis.currentPrice,
|
|
1289
|
-
startPrice: analysis.startPrice,
|
|
1290
|
-
sessionHigh: analysis.sessionHigh,
|
|
1291
|
-
sessionLow: analysis.sessionLow,
|
|
1292
|
-
rangeWidth,
|
|
1293
|
-
totalVolume: analysis.totalVolume,
|
|
1294
|
-
sessionPerformance: analysis.sessionReturn,
|
|
1295
|
-
positionInRange: analysis.pricePosition
|
|
1296
|
-
},
|
|
1297
|
-
volatility: {
|
|
1298
|
-
impliedVolatility: analysis.impliedVolatility,
|
|
1299
|
-
realizedVolatility: analysis.realizedVolatility,
|
|
1300
|
-
atr: analysis.atr,
|
|
1301
|
-
maxDrawdown: analysis.maxDrawdown * 100,
|
|
1302
|
-
currentDrawdown
|
|
1303
|
-
},
|
|
1304
|
-
technicalIndicators: {
|
|
1305
|
-
sma5: currentSMA5,
|
|
1306
|
-
sma10: currentSMA10,
|
|
1307
|
-
sma20: currentSMA20,
|
|
1308
|
-
sma50: currentSMA50,
|
|
1309
|
-
sma200: currentSMA200,
|
|
1310
|
-
ema8: currentEMA8,
|
|
1311
|
-
ema12: currentEMA12,
|
|
1312
|
-
ema21: currentEMA21,
|
|
1313
|
-
ema26: currentEMA26,
|
|
1314
|
-
wma20: currentWMA20,
|
|
1315
|
-
vwma20: currentVWMA20,
|
|
1316
|
-
macd: currentMACD,
|
|
1317
|
-
adx: currentADX,
|
|
1318
|
-
dmi: currentDMI,
|
|
1319
|
-
ichimoku: currentIchimoku,
|
|
1320
|
-
parabolicSAR: currentParabolicSAR,
|
|
1321
|
-
rsi: currentRSI,
|
|
1322
|
-
stochastic: currentStochastic,
|
|
1323
|
-
cci: currentCCI,
|
|
1324
|
-
roc: currentROC,
|
|
1325
|
-
williamsR: currentWilliamsR,
|
|
1326
|
-
momentum: currentMomentum,
|
|
1327
|
-
bollingerBands: currentBB ? {
|
|
1328
|
-
upper: currentBB.upper,
|
|
1329
|
-
middle: currentBB.middle,
|
|
1330
|
-
lower: currentBB.lower,
|
|
1331
|
-
bandwidth: currentBB.bandwidth,
|
|
1332
|
-
percentB: currentBB.percentB
|
|
1333
|
-
} : null,
|
|
1334
|
-
atr: currentAtr,
|
|
1335
|
-
keltnerChannels: currentKeltner ? {
|
|
1336
|
-
upper: currentKeltner.upper,
|
|
1337
|
-
middle: currentKeltner.middle,
|
|
1338
|
-
lower: currentKeltner.lower
|
|
1339
|
-
} : null,
|
|
1340
|
-
donchianChannels: currentDonchian ? {
|
|
1341
|
-
upper: currentDonchian.upper,
|
|
1342
|
-
middle: currentDonchian.middle,
|
|
1343
|
-
lower: currentDonchian.lower
|
|
1344
|
-
} : null,
|
|
1345
|
-
chaikinVolatility: currentChaikinVolatility,
|
|
1346
|
-
obv: currentObv,
|
|
1347
|
-
cmf: currentCmf,
|
|
1348
|
-
adl: currentAdl,
|
|
1349
|
-
volumeROC: currentVolumeROC,
|
|
1350
|
-
mfi: currentMfi,
|
|
1351
|
-
vwap: currentVwap
|
|
1352
|
-
},
|
|
1353
|
-
volumeAnalysis: {
|
|
1354
|
-
currentVolume,
|
|
1355
|
-
averageVolume: Math.round(analysis.avgVolume),
|
|
1356
|
-
volumeRatio,
|
|
1357
|
-
trueVWAP: analysis.trueVWAP,
|
|
1358
|
-
priceVsVWAP,
|
|
1359
|
-
obv: currentObv,
|
|
1360
|
-
cmf: currentCmf,
|
|
1361
|
-
mfi: currentMfi
|
|
1362
|
-
},
|
|
1363
|
-
momentum: {
|
|
1364
|
-
momentum5: analysis.momentum5,
|
|
1365
|
-
momentum10: analysis.momentum10,
|
|
1366
|
-
sessionROC: analysis.sessionReturn,
|
|
1367
|
-
rsi: currentRSI,
|
|
1368
|
-
stochastic: currentStochastic,
|
|
1369
|
-
cci: currentCCI
|
|
1370
|
-
},
|
|
1371
|
-
supportResistance: {
|
|
1372
|
-
pivotPoints: currentPivotPoints,
|
|
1373
|
-
fibonacci: currentFibonacci,
|
|
1374
|
-
gannLevels: currentGannLevels,
|
|
1375
|
-
elliottWave: currentElliottWave,
|
|
1376
|
-
harmonicPatterns: currentHarmonicPatterns
|
|
1377
|
-
},
|
|
1378
|
-
tradingSignals: {
|
|
1379
|
-
...signals,
|
|
1380
|
-
overallSignal,
|
|
1381
|
-
signalScore: totalScore,
|
|
1382
|
-
confidence: this.calculateConfidence(signals.signals),
|
|
1383
|
-
riskLevel: this.calculateRiskLevel(analysis.volatility)
|
|
1384
|
-
},
|
|
1385
|
-
statisticalModels: {
|
|
1386
|
-
zScore: this.calculateZScore(analysis.currentPrice, analysis.startPrice, analysis.avgVolume),
|
|
1387
|
-
ornsteinUhlenbeck: this.calculateOrnsteinUhlenbeck(
|
|
1388
|
-
analysis.currentPrice,
|
|
1389
|
-
analysis.startPrice,
|
|
1390
|
-
analysis.avgVolume
|
|
1391
|
-
),
|
|
1392
|
-
kalmanFilter: this.calculateKalmanFilter(
|
|
1393
|
-
analysis.currentPrice,
|
|
1394
|
-
analysis.startPrice,
|
|
1395
|
-
analysis.avgVolume
|
|
1396
|
-
),
|
|
1397
|
-
arima: this.calculateArima(analysis.currentPrice, analysis.startPrice, analysis.avgVolume),
|
|
1398
|
-
garch: this.calculateGarch(analysis.currentPrice, analysis.startPrice, analysis.avgVolume),
|
|
1399
|
-
hilbertTransform: this.calculateHilbertTransform(
|
|
1400
|
-
analysis.currentPrice,
|
|
1401
|
-
analysis.startPrice,
|
|
1402
|
-
analysis.avgVolume
|
|
1403
|
-
),
|
|
1404
|
-
waveletTransform: this.calculateWaveletTransform(
|
|
1405
|
-
analysis.currentPrice,
|
|
1406
|
-
analysis.startPrice,
|
|
1407
|
-
analysis.avgVolume
|
|
1408
|
-
)
|
|
1409
|
-
},
|
|
1410
|
-
optionsAnalysis: (() => {
|
|
1411
|
-
const blackScholes = this.calculateBlackScholes(
|
|
1412
|
-
analysis.currentPrice,
|
|
1413
|
-
analysis.startPrice,
|
|
1414
|
-
analysis.avgVolume
|
|
1415
|
-
);
|
|
1416
|
-
if (!blackScholes) return null;
|
|
1417
|
-
return {
|
|
1418
|
-
blackScholes,
|
|
1419
|
-
impliedVolatility: analysis.impliedVolatility,
|
|
1420
|
-
delta: blackScholes.delta,
|
|
1421
|
-
gamma: blackScholes.gamma,
|
|
1422
|
-
theta: blackScholes.theta,
|
|
1423
|
-
vega: blackScholes.vega,
|
|
1424
|
-
rho: blackScholes.rho,
|
|
1425
|
-
greeks: {
|
|
1426
|
-
delta: blackScholes.delta,
|
|
1427
|
-
gamma: blackScholes.gamma,
|
|
1428
|
-
theta: blackScholes.theta,
|
|
1429
|
-
vega: blackScholes.vega,
|
|
1430
|
-
rho: blackScholes.rho
|
|
1431
|
-
}
|
|
1432
|
-
};
|
|
1433
|
-
})(),
|
|
1434
|
-
riskManagement: {
|
|
1435
|
-
targetEntry,
|
|
1436
|
-
stopLoss,
|
|
1437
|
-
profitTarget,
|
|
1438
|
-
riskRewardRatio,
|
|
1439
|
-
positionSize,
|
|
1440
|
-
maxRisk
|
|
1441
|
-
},
|
|
1442
|
-
performance: {
|
|
1443
|
-
sharpeRatio: analysis.sharpeRatio,
|
|
1444
|
-
sortinoRatio: analysis.sortinoRatio,
|
|
1445
|
-
calmarRatio: analysis.calmarRatio,
|
|
1446
|
-
maxDrawdown: analysis.maxDrawdown * 100,
|
|
1447
|
-
winRate: analysis.winRate,
|
|
1448
|
-
profitFactor: analysis.profitFactor,
|
|
1449
|
-
totalReturn: analysis.sessionReturn,
|
|
1450
|
-
volatility: analysis.volatility
|
|
1451
|
-
}
|
|
1452
|
-
};
|
|
1453
|
-
}
|
|
1454
|
-
};
|
|
1455
|
-
var createTechnicalAnalysisHandler = (marketDataPrices) => {
|
|
1456
|
-
return async (args) => {
|
|
1457
|
-
try {
|
|
1458
|
-
const symbol = args.symbol;
|
|
1459
|
-
const priceHistory = marketDataPrices.get(symbol) || [];
|
|
1460
|
-
if (priceHistory.length === 0) {
|
|
347
|
+
this.server.setRequestHandler(
|
|
348
|
+
z.object({ method: z.literal("resources/list") }),
|
|
349
|
+
async (request, extra) => {
|
|
1461
350
|
return {
|
|
1462
|
-
|
|
351
|
+
resources: [
|
|
1463
352
|
{
|
|
1464
|
-
|
|
1465
|
-
|
|
1466
|
-
uri: "
|
|
353
|
+
name: "greeting",
|
|
354
|
+
description: "A simple greeting resource",
|
|
355
|
+
uri: "greeting-resource"
|
|
1467
356
|
}
|
|
1468
357
|
]
|
|
1469
358
|
};
|
|
1470
359
|
}
|
|
1471
|
-
|
|
1472
|
-
|
|
1473
|
-
)
|
|
1474
|
-
|
|
1475
|
-
throw new Error("Invalid market data");
|
|
1476
|
-
}
|
|
1477
|
-
const analyzer = new TechnicalAnalyzer(priceHistory);
|
|
1478
|
-
const analysis = analyzer.generateJSONAnalysis(symbol);
|
|
1479
|
-
return {
|
|
1480
|
-
content: [
|
|
1481
|
-
{
|
|
1482
|
-
type: "text",
|
|
1483
|
-
text: `Technical Analysis for ${symbol}:
|
|
1484
|
-
|
|
1485
|
-
${JSON.stringify(analysis, null, 2)}`,
|
|
1486
|
-
uri: "technicalAnalysis"
|
|
1487
|
-
}
|
|
1488
|
-
]
|
|
1489
|
-
};
|
|
1490
|
-
} catch (error) {
|
|
1491
|
-
return {
|
|
1492
|
-
content: [
|
|
1493
|
-
{
|
|
1494
|
-
type: "text",
|
|
1495
|
-
text: `Error performing technical analysis: ${error instanceof Error ? error.message : "Unknown error"}`,
|
|
1496
|
-
uri: "technicalAnalysis"
|
|
1497
|
-
}
|
|
1498
|
-
],
|
|
1499
|
-
isError: true
|
|
1500
|
-
};
|
|
1501
|
-
}
|
|
1502
|
-
};
|
|
1503
|
-
};
|
|
1504
|
-
|
|
1505
|
-
// src/tools/marketData.ts
|
|
1506
|
-
import { Field, Fields, MDEntryType, Messages } from "fixparser";
|
|
1507
|
-
import QuickChart from "quickchart-js";
|
|
1508
|
-
var createMarketDataRequestHandler = (parser, pendingRequests) => {
|
|
1509
|
-
return async (args) => {
|
|
1510
|
-
try {
|
|
1511
|
-
parser.logger.log({
|
|
1512
|
-
level: "info",
|
|
1513
|
-
message: `Sending market data request for symbols: ${args.symbols.join(", ")}`
|
|
1514
|
-
});
|
|
1515
|
-
const response = new Promise((resolve) => {
|
|
1516
|
-
pendingRequests.set(args.mdReqID, resolve);
|
|
1517
|
-
parser.logger.log({
|
|
1518
|
-
level: "info",
|
|
1519
|
-
message: `Registered callback for market data request ID: ${args.mdReqID}`
|
|
1520
|
-
});
|
|
1521
|
-
});
|
|
1522
|
-
const entryTypes = args.mdEntryTypes || [
|
|
1523
|
-
MDEntryType.Bid,
|
|
1524
|
-
MDEntryType.Offer,
|
|
1525
|
-
MDEntryType.Trade,
|
|
1526
|
-
MDEntryType.IndexValue,
|
|
1527
|
-
MDEntryType.OpeningPrice,
|
|
1528
|
-
MDEntryType.ClosingPrice,
|
|
1529
|
-
MDEntryType.SettlementPrice,
|
|
1530
|
-
MDEntryType.TradingSessionHighPrice,
|
|
1531
|
-
MDEntryType.TradingSessionLowPrice,
|
|
1532
|
-
MDEntryType.VWAP,
|
|
1533
|
-
MDEntryType.Imbalance,
|
|
1534
|
-
MDEntryType.TradeVolume,
|
|
1535
|
-
MDEntryType.OpenInterest,
|
|
1536
|
-
MDEntryType.CompositeUnderlyingPrice,
|
|
1537
|
-
MDEntryType.SimulatedSellPrice,
|
|
1538
|
-
MDEntryType.SimulatedBuyPrice,
|
|
1539
|
-
MDEntryType.MarginRate,
|
|
1540
|
-
MDEntryType.MidPrice,
|
|
1541
|
-
MDEntryType.EmptyBook,
|
|
1542
|
-
MDEntryType.SettleHighPrice,
|
|
1543
|
-
MDEntryType.SettleLowPrice,
|
|
1544
|
-
MDEntryType.PriorSettlePrice,
|
|
1545
|
-
MDEntryType.SessionHighBid,
|
|
1546
|
-
MDEntryType.SessionLowOffer,
|
|
1547
|
-
MDEntryType.EarlyPrices,
|
|
1548
|
-
MDEntryType.AuctionClearingPrice,
|
|
1549
|
-
MDEntryType.SwapValueFactor,
|
|
1550
|
-
MDEntryType.DailyValueAdjustmentForLongPositions,
|
|
1551
|
-
MDEntryType.CumulativeValueAdjustmentForLongPositions,
|
|
1552
|
-
MDEntryType.DailyValueAdjustmentForShortPositions,
|
|
1553
|
-
MDEntryType.CumulativeValueAdjustmentForShortPositions,
|
|
1554
|
-
MDEntryType.FixingPrice,
|
|
1555
|
-
MDEntryType.CashRate,
|
|
1556
|
-
MDEntryType.RecoveryRate,
|
|
1557
|
-
MDEntryType.RecoveryRateForLong,
|
|
1558
|
-
MDEntryType.RecoveryRateForShort,
|
|
1559
|
-
MDEntryType.MarketBid,
|
|
1560
|
-
MDEntryType.MarketOffer,
|
|
1561
|
-
MDEntryType.ShortSaleMinPrice,
|
|
1562
|
-
MDEntryType.PreviousClosingPrice,
|
|
1563
|
-
MDEntryType.ThresholdLimitPriceBanding,
|
|
1564
|
-
MDEntryType.DailyFinancingValue,
|
|
1565
|
-
MDEntryType.AccruedFinancingValue,
|
|
1566
|
-
MDEntryType.TWAP
|
|
1567
|
-
];
|
|
1568
|
-
const messageFields = [
|
|
1569
|
-
new Field(Fields.MsgType, Messages.MarketDataRequest),
|
|
1570
|
-
new Field(Fields.SenderCompID, parser.sender),
|
|
1571
|
-
new Field(Fields.MsgSeqNum, parser.getNextTargetMsgSeqNum()),
|
|
1572
|
-
new Field(Fields.TargetCompID, parser.target),
|
|
1573
|
-
new Field(Fields.SendingTime, parser.getTimestamp()),
|
|
1574
|
-
new Field(Fields.MDReqID, args.mdReqID),
|
|
1575
|
-
new Field(Fields.SubscriptionRequestType, args.subscriptionRequestType),
|
|
1576
|
-
new Field(Fields.MarketDepth, 0),
|
|
1577
|
-
new Field(Fields.MDUpdateType, args.mdUpdateType)
|
|
1578
|
-
];
|
|
1579
|
-
messageFields.push(new Field(Fields.NoRelatedSym, args.symbols.length));
|
|
1580
|
-
args.symbols.forEach((symbol) => {
|
|
1581
|
-
messageFields.push(new Field(Fields.Symbol, symbol));
|
|
1582
|
-
});
|
|
1583
|
-
messageFields.push(new Field(Fields.NoMDEntryTypes, entryTypes.length));
|
|
1584
|
-
entryTypes.forEach((entryType) => {
|
|
1585
|
-
messageFields.push(new Field(Fields.MDEntryType, entryType));
|
|
1586
|
-
});
|
|
1587
|
-
const mdr = parser.createMessage(...messageFields);
|
|
1588
|
-
if (!parser.connected) {
|
|
1589
|
-
parser.logger.log({
|
|
1590
|
-
level: "error",
|
|
1591
|
-
message: "Not connected. Cannot send market data request."
|
|
1592
|
-
});
|
|
360
|
+
);
|
|
361
|
+
this.server.setRequestHandler(
|
|
362
|
+
z.object({ method: z.literal("resources/templates/list") }),
|
|
363
|
+
async (request, extra) => {
|
|
1593
364
|
return {
|
|
1594
|
-
|
|
365
|
+
templates: [
|
|
1595
366
|
{
|
|
1596
|
-
|
|
1597
|
-
|
|
1598
|
-
uri: "
|
|
1599
|
-
|
|
1600
|
-
|
|
1601
|
-
|
|
1602
|
-
|
|
1603
|
-
|
|
1604
|
-
|
|
1605
|
-
|
|
1606
|
-
|
|
1607
|
-
});
|
|
1608
|
-
parser.send(mdr);
|
|
1609
|
-
const fixData = await response;
|
|
1610
|
-
parser.logger.log({
|
|
1611
|
-
level: "info",
|
|
1612
|
-
message: `Received market data response for request ID: ${args.mdReqID}`
|
|
1613
|
-
});
|
|
1614
|
-
return {
|
|
1615
|
-
content: [
|
|
1616
|
-
{
|
|
1617
|
-
type: "text",
|
|
1618
|
-
text: `Market data for ${args.symbols.join(", ")}: ${JSON.stringify(fixData.toFIXJSON())}`,
|
|
1619
|
-
uri: "marketDataRequest"
|
|
1620
|
-
}
|
|
1621
|
-
]
|
|
1622
|
-
};
|
|
1623
|
-
} catch (error) {
|
|
1624
|
-
return {
|
|
1625
|
-
content: [
|
|
1626
|
-
{
|
|
1627
|
-
type: "text",
|
|
1628
|
-
text: `Error: ${error instanceof Error ? error.message : "Failed to request market data"}`,
|
|
1629
|
-
uri: "marketDataRequest"
|
|
1630
|
-
}
|
|
1631
|
-
],
|
|
1632
|
-
isError: true
|
|
1633
|
-
};
|
|
1634
|
-
}
|
|
1635
|
-
};
|
|
1636
|
-
};
|
|
1637
|
-
var aggregateMarketData = (priceHistory, maxPoints = 490) => {
|
|
1638
|
-
if (priceHistory.length <= maxPoints) {
|
|
1639
|
-
return priceHistory;
|
|
1640
|
-
}
|
|
1641
|
-
const result = [];
|
|
1642
|
-
const step = priceHistory.length / maxPoints;
|
|
1643
|
-
result.push(priceHistory[0]);
|
|
1644
|
-
for (let i = 1; i < maxPoints - 1; i++) {
|
|
1645
|
-
const startIndex = Math.floor(i * step);
|
|
1646
|
-
const endIndex = Math.floor((i + 1) * step);
|
|
1647
|
-
const segment = priceHistory.slice(startIndex, endIndex);
|
|
1648
|
-
if (segment.length === 0) continue;
|
|
1649
|
-
const aggregatedPoint = {
|
|
1650
|
-
timestamp: segment[0].timestamp,
|
|
1651
|
-
// Use timestamp of first point in segment
|
|
1652
|
-
bid: segment.reduce((sum2, p) => sum2 + p.bid, 0) / segment.length,
|
|
1653
|
-
offer: segment.reduce((sum2, p) => sum2 + p.offer, 0) / segment.length,
|
|
1654
|
-
spread: segment.reduce((sum2, p) => sum2 + p.spread, 0) / segment.length,
|
|
1655
|
-
volume: segment.reduce((sum2, p) => sum2 + p.volume, 0) / segment.length,
|
|
1656
|
-
trade: segment.reduce((sum2, p) => sum2 + p.trade, 0) / segment.length,
|
|
1657
|
-
indexValue: segment.reduce((sum2, p) => sum2 + p.indexValue, 0) / segment.length,
|
|
1658
|
-
openingPrice: segment.reduce((sum2, p) => sum2 + p.openingPrice, 0) / segment.length,
|
|
1659
|
-
closingPrice: segment.reduce((sum2, p) => sum2 + p.closingPrice, 0) / segment.length,
|
|
1660
|
-
settlementPrice: segment.reduce((sum2, p) => sum2 + p.settlementPrice, 0) / segment.length,
|
|
1661
|
-
tradingSessionHighPrice: segment.reduce((sum2, p) => sum2 + p.tradingSessionHighPrice, 0) / segment.length,
|
|
1662
|
-
tradingSessionLowPrice: segment.reduce((sum2, p) => sum2 + p.tradingSessionLowPrice, 0) / segment.length,
|
|
1663
|
-
vwap: segment.reduce((sum2, p) => sum2 + p.vwap, 0) / segment.length,
|
|
1664
|
-
imbalance: segment.reduce((sum2, p) => sum2 + p.imbalance, 0) / segment.length,
|
|
1665
|
-
openInterest: segment.reduce((sum2, p) => sum2 + p.openInterest, 0) / segment.length,
|
|
1666
|
-
compositeUnderlyingPrice: segment.reduce((sum2, p) => sum2 + p.compositeUnderlyingPrice, 0) / segment.length,
|
|
1667
|
-
simulatedSellPrice: segment.reduce((sum2, p) => sum2 + p.simulatedSellPrice, 0) / segment.length,
|
|
1668
|
-
simulatedBuyPrice: segment.reduce((sum2, p) => sum2 + p.simulatedBuyPrice, 0) / segment.length,
|
|
1669
|
-
marginRate: segment.reduce((sum2, p) => sum2 + p.marginRate, 0) / segment.length,
|
|
1670
|
-
midPrice: segment.reduce((sum2, p) => sum2 + p.midPrice, 0) / segment.length,
|
|
1671
|
-
emptyBook: segment.reduce((sum2, p) => sum2 + p.emptyBook, 0) / segment.length,
|
|
1672
|
-
settleHighPrice: segment.reduce((sum2, p) => sum2 + p.settleHighPrice, 0) / segment.length,
|
|
1673
|
-
settleLowPrice: segment.reduce((sum2, p) => sum2 + p.settleLowPrice, 0) / segment.length,
|
|
1674
|
-
priorSettlePrice: segment.reduce((sum2, p) => sum2 + p.priorSettlePrice, 0) / segment.length,
|
|
1675
|
-
sessionHighBid: segment.reduce((sum2, p) => sum2 + p.sessionHighBid, 0) / segment.length,
|
|
1676
|
-
sessionLowOffer: segment.reduce((sum2, p) => sum2 + p.sessionLowOffer, 0) / segment.length,
|
|
1677
|
-
earlyPrices: segment.reduce((sum2, p) => sum2 + p.earlyPrices, 0) / segment.length,
|
|
1678
|
-
auctionClearingPrice: segment.reduce((sum2, p) => sum2 + p.auctionClearingPrice, 0) / segment.length,
|
|
1679
|
-
swapValueFactor: segment.reduce((sum2, p) => sum2 + p.swapValueFactor, 0) / segment.length,
|
|
1680
|
-
dailyValueAdjustmentForLongPositions: segment.reduce((sum2, p) => sum2 + p.dailyValueAdjustmentForLongPositions, 0) / segment.length,
|
|
1681
|
-
cumulativeValueAdjustmentForLongPositions: segment.reduce((sum2, p) => sum2 + p.cumulativeValueAdjustmentForLongPositions, 0) / segment.length,
|
|
1682
|
-
dailyValueAdjustmentForShortPositions: segment.reduce((sum2, p) => sum2 + p.dailyValueAdjustmentForShortPositions, 0) / segment.length,
|
|
1683
|
-
cumulativeValueAdjustmentForShortPositions: segment.reduce((sum2, p) => sum2 + p.cumulativeValueAdjustmentForShortPositions, 0) / segment.length,
|
|
1684
|
-
fixingPrice: segment.reduce((sum2, p) => sum2 + p.fixingPrice, 0) / segment.length,
|
|
1685
|
-
cashRate: segment.reduce((sum2, p) => sum2 + p.cashRate, 0) / segment.length,
|
|
1686
|
-
recoveryRate: segment.reduce((sum2, p) => sum2 + p.recoveryRate, 0) / segment.length,
|
|
1687
|
-
recoveryRateForLong: segment.reduce((sum2, p) => sum2 + p.recoveryRateForLong, 0) / segment.length,
|
|
1688
|
-
recoveryRateForShort: segment.reduce((sum2, p) => sum2 + p.recoveryRateForShort, 0) / segment.length,
|
|
1689
|
-
marketBid: segment.reduce((sum2, p) => sum2 + p.marketBid, 0) / segment.length,
|
|
1690
|
-
marketOffer: segment.reduce((sum2, p) => sum2 + p.marketOffer, 0) / segment.length,
|
|
1691
|
-
shortSaleMinPrice: segment.reduce((sum2, p) => sum2 + p.shortSaleMinPrice, 0) / segment.length,
|
|
1692
|
-
previousClosingPrice: segment.reduce((sum2, p) => sum2 + p.previousClosingPrice, 0) / segment.length,
|
|
1693
|
-
thresholdLimitPriceBanding: segment.reduce((sum2, p) => sum2 + p.thresholdLimitPriceBanding, 0) / segment.length,
|
|
1694
|
-
dailyFinancingValue: segment.reduce((sum2, p) => sum2 + p.dailyFinancingValue, 0) / segment.length,
|
|
1695
|
-
accruedFinancingValue: segment.reduce((sum2, p) => sum2 + p.accruedFinancingValue, 0) / segment.length,
|
|
1696
|
-
twap: segment.reduce((sum2, p) => sum2 + p.twap, 0) / segment.length
|
|
1697
|
-
};
|
|
1698
|
-
result.push(aggregatedPoint);
|
|
1699
|
-
}
|
|
1700
|
-
result.push(priceHistory[priceHistory.length - 1]);
|
|
1701
|
-
return result;
|
|
1702
|
-
};
|
|
1703
|
-
var createGetStockGraphHandler = (marketDataPrices) => {
|
|
1704
|
-
return async (args) => {
|
|
1705
|
-
try {
|
|
1706
|
-
const symbol = args.symbol;
|
|
1707
|
-
const priceHistory = marketDataPrices.get(symbol) || [];
|
|
1708
|
-
if (priceHistory.length === 0) {
|
|
1709
|
-
return {
|
|
1710
|
-
content: [
|
|
367
|
+
name: "stockGraph",
|
|
368
|
+
description: "Generates a price chart for a given symbol",
|
|
369
|
+
uri: "stockGraph/{symbol}",
|
|
370
|
+
parameters: {
|
|
371
|
+
type: "object",
|
|
372
|
+
properties: {
|
|
373
|
+
symbol: { type: "string" }
|
|
374
|
+
},
|
|
375
|
+
required: ["symbol"]
|
|
376
|
+
}
|
|
377
|
+
},
|
|
1711
378
|
{
|
|
1712
|
-
|
|
1713
|
-
|
|
1714
|
-
uri: "
|
|
379
|
+
name: "stockPriceHistory",
|
|
380
|
+
description: "Returns price history for a given symbol",
|
|
381
|
+
uri: "stockPriceHistory/{symbol}",
|
|
382
|
+
parameters: {
|
|
383
|
+
type: "object",
|
|
384
|
+
properties: {
|
|
385
|
+
symbol: { type: "string" }
|
|
386
|
+
},
|
|
387
|
+
required: ["symbol"]
|
|
388
|
+
}
|
|
1715
389
|
}
|
|
1716
390
|
]
|
|
1717
391
|
};
|
|
1718
392
|
}
|
|
1719
|
-
|
|
1720
|
-
|
|
1721
|
-
|
|
1722
|
-
|
|
1723
|
-
|
|
1724
|
-
|
|
1725
|
-
const bidData = aggregatedData.map((point) => point.bid);
|
|
1726
|
-
const offerData = aggregatedData.map((point) => point.offer);
|
|
1727
|
-
const spreadData = aggregatedData.map((point) => point.spread);
|
|
1728
|
-
const volumeData = aggregatedData.map((point) => point.volume);
|
|
1729
|
-
const tradeData = aggregatedData.map((point) => point.trade);
|
|
1730
|
-
const vwapData = aggregatedData.map((point) => point.vwap);
|
|
1731
|
-
const twapData = aggregatedData.map((point) => point.twap);
|
|
1732
|
-
const maxVolume = Math.max(...volumeData.filter((v) => v > 0));
|
|
1733
|
-
const maxPrice = Math.max(...bidData, ...offerData, ...tradeData, ...vwapData, ...twapData);
|
|
1734
|
-
const normalizedVolumeData = volumeData.map((v) => v / maxVolume * maxPrice * 0.3);
|
|
1735
|
-
const config = {
|
|
1736
|
-
type: "line",
|
|
1737
|
-
data: {
|
|
1738
|
-
labels,
|
|
1739
|
-
datasets: [
|
|
1740
|
-
{
|
|
1741
|
-
label: "Bid",
|
|
1742
|
-
data: bidData,
|
|
1743
|
-
borderColor: "#28a745",
|
|
1744
|
-
backgroundColor: "rgba(40, 167, 69, 0.1)",
|
|
1745
|
-
fill: false,
|
|
1746
|
-
tension: 0.4
|
|
1747
|
-
},
|
|
1748
|
-
{
|
|
1749
|
-
label: "Offer",
|
|
1750
|
-
data: offerData,
|
|
1751
|
-
borderColor: "#dc3545",
|
|
1752
|
-
backgroundColor: "rgba(220, 53, 69, 0.1)",
|
|
1753
|
-
fill: false,
|
|
1754
|
-
tension: 0.4
|
|
1755
|
-
},
|
|
393
|
+
);
|
|
394
|
+
this.server.setRequestHandler(
|
|
395
|
+
z.object({ method: z.literal("tools/list") }),
|
|
396
|
+
async (request, extra) => {
|
|
397
|
+
return {
|
|
398
|
+
tools: [
|
|
1756
399
|
{
|
|
1757
|
-
|
|
1758
|
-
|
|
1759
|
-
|
|
1760
|
-
|
|
1761
|
-
|
|
1762
|
-
|
|
400
|
+
name: "parse",
|
|
401
|
+
description: "Parses a FIX message and describes it in plain language",
|
|
402
|
+
inputSchema: {
|
|
403
|
+
type: "object",
|
|
404
|
+
properties: {
|
|
405
|
+
fixString: { type: "string" }
|
|
406
|
+
},
|
|
407
|
+
required: ["fixString"]
|
|
408
|
+
}
|
|
1763
409
|
},
|
|
1764
410
|
{
|
|
1765
|
-
|
|
1766
|
-
|
|
1767
|
-
|
|
1768
|
-
|
|
1769
|
-
|
|
1770
|
-
|
|
411
|
+
name: "parseToJSON",
|
|
412
|
+
description: "Parses a FIX message into JSON",
|
|
413
|
+
inputSchema: {
|
|
414
|
+
type: "object",
|
|
415
|
+
properties: {
|
|
416
|
+
fixString: { type: "string" }
|
|
417
|
+
},
|
|
418
|
+
required: ["fixString"]
|
|
419
|
+
}
|
|
1771
420
|
},
|
|
1772
421
|
{
|
|
1773
|
-
|
|
1774
|
-
|
|
1775
|
-
|
|
1776
|
-
|
|
1777
|
-
|
|
1778
|
-
|
|
422
|
+
name: "verifyOrder",
|
|
423
|
+
description: "Verifies order parameters before execution",
|
|
424
|
+
inputSchema: {
|
|
425
|
+
type: "object",
|
|
426
|
+
properties: {
|
|
427
|
+
clOrdID: { type: "string" },
|
|
428
|
+
handlInst: { type: "string", enum: ["1", "2", "3"] },
|
|
429
|
+
quantity: { type: "string" },
|
|
430
|
+
price: { type: "string" },
|
|
431
|
+
ordType: {
|
|
432
|
+
type: "string",
|
|
433
|
+
enum: [
|
|
434
|
+
"1",
|
|
435
|
+
"2",
|
|
436
|
+
"3",
|
|
437
|
+
"4",
|
|
438
|
+
"5",
|
|
439
|
+
"6",
|
|
440
|
+
"7",
|
|
441
|
+
"8",
|
|
442
|
+
"9",
|
|
443
|
+
"A",
|
|
444
|
+
"B",
|
|
445
|
+
"C",
|
|
446
|
+
"D",
|
|
447
|
+
"E",
|
|
448
|
+
"F",
|
|
449
|
+
"G",
|
|
450
|
+
"H",
|
|
451
|
+
"I",
|
|
452
|
+
"J",
|
|
453
|
+
"K",
|
|
454
|
+
"L",
|
|
455
|
+
"M",
|
|
456
|
+
"P",
|
|
457
|
+
"Q",
|
|
458
|
+
"R",
|
|
459
|
+
"S"
|
|
460
|
+
]
|
|
461
|
+
},
|
|
462
|
+
side: {
|
|
463
|
+
type: "string",
|
|
464
|
+
enum: [
|
|
465
|
+
"1",
|
|
466
|
+
"2",
|
|
467
|
+
"3",
|
|
468
|
+
"4",
|
|
469
|
+
"5",
|
|
470
|
+
"6",
|
|
471
|
+
"7",
|
|
472
|
+
"8",
|
|
473
|
+
"9",
|
|
474
|
+
"A",
|
|
475
|
+
"B",
|
|
476
|
+
"C",
|
|
477
|
+
"D",
|
|
478
|
+
"E",
|
|
479
|
+
"F",
|
|
480
|
+
"G",
|
|
481
|
+
"H"
|
|
482
|
+
]
|
|
483
|
+
},
|
|
484
|
+
symbol: { type: "string" },
|
|
485
|
+
timeInForce: {
|
|
486
|
+
type: "string",
|
|
487
|
+
enum: ["0", "1", "2", "3", "4", "5", "6", "7", "8", "9", "A", "B", "C"]
|
|
488
|
+
}
|
|
489
|
+
},
|
|
490
|
+
required: [
|
|
491
|
+
"clOrdID",
|
|
492
|
+
"handlInst",
|
|
493
|
+
"quantity",
|
|
494
|
+
"price",
|
|
495
|
+
"ordType",
|
|
496
|
+
"side",
|
|
497
|
+
"symbol",
|
|
498
|
+
"timeInForce"
|
|
499
|
+
]
|
|
500
|
+
}
|
|
1779
501
|
},
|
|
1780
502
|
{
|
|
1781
|
-
|
|
1782
|
-
|
|
1783
|
-
|
|
1784
|
-
|
|
1785
|
-
|
|
1786
|
-
|
|
503
|
+
name: "executeOrder",
|
|
504
|
+
description: "Executes a verified order",
|
|
505
|
+
inputSchema: {
|
|
506
|
+
type: "object",
|
|
507
|
+
properties: {
|
|
508
|
+
clOrdID: { type: "string" },
|
|
509
|
+
handlInst: { type: "string", enum: ["1", "2", "3"] },
|
|
510
|
+
quantity: { type: "string" },
|
|
511
|
+
price: { type: "string" },
|
|
512
|
+
ordType: { type: "string" },
|
|
513
|
+
side: { type: "string" },
|
|
514
|
+
symbol: { type: "string" },
|
|
515
|
+
timeInForce: { type: "string" }
|
|
516
|
+
},
|
|
517
|
+
required: [
|
|
518
|
+
"clOrdID",
|
|
519
|
+
"handlInst",
|
|
520
|
+
"quantity",
|
|
521
|
+
"price",
|
|
522
|
+
"ordType",
|
|
523
|
+
"side",
|
|
524
|
+
"symbol",
|
|
525
|
+
"timeInForce"
|
|
526
|
+
]
|
|
527
|
+
}
|
|
1787
528
|
},
|
|
1788
529
|
{
|
|
1789
|
-
|
|
1790
|
-
|
|
1791
|
-
|
|
1792
|
-
|
|
1793
|
-
|
|
1794
|
-
|
|
530
|
+
name: "marketDataRequest",
|
|
531
|
+
description: "Requests market data for specified symbols",
|
|
532
|
+
inputSchema: {
|
|
533
|
+
type: "object",
|
|
534
|
+
properties: {
|
|
535
|
+
mdUpdateType: { type: "string", enum: ["0", "1"] },
|
|
536
|
+
symbols: { type: "array", items: { type: "string" } },
|
|
537
|
+
mdReqID: { type: "string" },
|
|
538
|
+
subscriptionRequestType: { type: "string", enum: ["0", "1", "2"] },
|
|
539
|
+
mdEntryTypes: { type: "array", items: { type: "string" } }
|
|
540
|
+
},
|
|
541
|
+
required: [
|
|
542
|
+
"mdUpdateType",
|
|
543
|
+
"symbols",
|
|
544
|
+
"mdReqID",
|
|
545
|
+
"subscriptionRequestType",
|
|
546
|
+
"mdEntryTypes"
|
|
547
|
+
]
|
|
548
|
+
}
|
|
1795
549
|
}
|
|
1796
550
|
]
|
|
1797
|
-
}
|
|
1798
|
-
|
|
1799
|
-
|
|
1800
|
-
|
|
1801
|
-
|
|
1802
|
-
|
|
1803
|
-
|
|
551
|
+
};
|
|
552
|
+
}
|
|
553
|
+
);
|
|
554
|
+
this.server.setRequestHandler(
|
|
555
|
+
z.object({
|
|
556
|
+
method: z.literal("resources/read"),
|
|
557
|
+
params: z.object({
|
|
558
|
+
uri: z.string()
|
|
559
|
+
})
|
|
560
|
+
}),
|
|
561
|
+
async (request, extra) => {
|
|
562
|
+
const { uri } = request.params;
|
|
563
|
+
switch (uri) {
|
|
564
|
+
case "greeting-resource":
|
|
565
|
+
return {
|
|
566
|
+
contents: [
|
|
567
|
+
{
|
|
568
|
+
type: "text",
|
|
569
|
+
text: "Hello, world!",
|
|
570
|
+
uri: "greeting-resource"
|
|
571
|
+
}
|
|
572
|
+
]
|
|
573
|
+
};
|
|
574
|
+
case "stockGraph":
|
|
575
|
+
return {
|
|
576
|
+
contents: [
|
|
577
|
+
{
|
|
578
|
+
type: "text",
|
|
579
|
+
text: "This resource requires a symbol parameter. Please use the stockGraph/{symbol} resource.",
|
|
580
|
+
uri: "stockGraph"
|
|
581
|
+
}
|
|
582
|
+
]
|
|
583
|
+
};
|
|
584
|
+
case "stockPriceHistory":
|
|
585
|
+
return {
|
|
586
|
+
contents: [
|
|
587
|
+
{
|
|
588
|
+
type: "text",
|
|
589
|
+
text: "This resource requires a symbol parameter. Please use the stockPriceHistory/{symbol} resource.",
|
|
590
|
+
uri: "stockPriceHistory"
|
|
591
|
+
}
|
|
592
|
+
]
|
|
593
|
+
};
|
|
594
|
+
default:
|
|
595
|
+
if (uri.startsWith("stockGraph/")) {
|
|
596
|
+
const symbol = uri.split("/")[1];
|
|
597
|
+
const priceHistory = this.marketDataPrices.get(symbol) || [];
|
|
598
|
+
if (priceHistory.length === 0) {
|
|
599
|
+
return {
|
|
600
|
+
contents: [
|
|
601
|
+
{
|
|
602
|
+
type: "text",
|
|
603
|
+
text: `No price data available for ${symbol}`
|
|
604
|
+
}
|
|
605
|
+
]
|
|
606
|
+
};
|
|
607
|
+
}
|
|
608
|
+
const width = 600;
|
|
609
|
+
const height = 300;
|
|
610
|
+
const padding = 40;
|
|
611
|
+
const xScale = (width - 2 * padding) / (priceHistory.length - 1);
|
|
612
|
+
const yMin = Math.min(...priceHistory.map((d) => d.price));
|
|
613
|
+
const yMax = Math.max(...priceHistory.map((d) => d.price));
|
|
614
|
+
const yScale = (height - 2 * padding) / (yMax - yMin);
|
|
615
|
+
const points = priceHistory.map((d, i) => {
|
|
616
|
+
const x = padding + i * xScale;
|
|
617
|
+
const y = height - padding - (d.price - yMin) * yScale;
|
|
618
|
+
return `${x},${y}`;
|
|
619
|
+
}).join(" L ");
|
|
620
|
+
const svg = `<?xml version="1.0" encoding="UTF-8"?>
|
|
621
|
+
<svg width="${width}" height="${height}" xmlns="http://www.w3.org/2000/svg">
|
|
622
|
+
<!-- Background -->
|
|
623
|
+
<rect width="100%" height="100%" fill="#f8f9fa"/>
|
|
624
|
+
|
|
625
|
+
<!-- Grid lines -->
|
|
626
|
+
<g stroke="#e9ecef" stroke-width="1">
|
|
627
|
+
${Array.from({ length: 5 }, (_, i) => {
|
|
628
|
+
const y = padding + (height - 2 * padding) * i / 4;
|
|
629
|
+
return `<line x1="${padding}" y1="${y}" x2="${width - padding}" y2="${y}"/>`;
|
|
630
|
+
}).join("\n")}
|
|
631
|
+
</g>
|
|
632
|
+
|
|
633
|
+
<!-- Price line -->
|
|
634
|
+
<path d="M ${points}"
|
|
635
|
+
fill="none"
|
|
636
|
+
stroke="#007bff"
|
|
637
|
+
stroke-width="2"/>
|
|
638
|
+
|
|
639
|
+
<!-- Data points -->
|
|
640
|
+
${priceHistory.map((d, i) => {
|
|
641
|
+
const x = padding + i * xScale;
|
|
642
|
+
const y = height - padding - (d.price - yMin) * yScale;
|
|
643
|
+
return `<circle cx="${x}" cy="${y}" r="3" fill="#007bff"/>`;
|
|
644
|
+
}).join("\n")}
|
|
645
|
+
|
|
646
|
+
<!-- Labels -->
|
|
647
|
+
<g font-family="Arial" font-size="12" fill="#495057">
|
|
648
|
+
${Array.from({ length: 5 }, (_, i) => {
|
|
649
|
+
const x = padding + (width - 2 * padding) * i / 4;
|
|
650
|
+
const index = Math.floor((priceHistory.length - 1) * i / 4);
|
|
651
|
+
const timestamp = new Date(priceHistory[index].timestamp).toLocaleTimeString();
|
|
652
|
+
return `<text x="${x + padding}" y="${height - padding + 20}" text-anchor="middle">${timestamp}</text>`;
|
|
653
|
+
}).join("\n")}
|
|
654
|
+
${Array.from({ length: 5 }, (_, i) => {
|
|
655
|
+
const y = padding + (height - 2 * padding) * i / 4;
|
|
656
|
+
const price = yMax - (yMax - yMin) * i / 4;
|
|
657
|
+
return `<text x="${padding - 5}" y="${y + 4}" text-anchor="end">$${price.toFixed(2)}</text>`;
|
|
658
|
+
}).join("\n")}
|
|
659
|
+
</g>
|
|
660
|
+
|
|
661
|
+
<!-- Title -->
|
|
662
|
+
<text x="${width / 2}" y="${padding / 2}"
|
|
663
|
+
font-family="Arial" font-size="16" font-weight="bold"
|
|
664
|
+
text-anchor="middle" fill="#212529">
|
|
665
|
+
${symbol} - Price Chart (${priceHistory.length} points)
|
|
666
|
+
</text>
|
|
667
|
+
</svg>`;
|
|
668
|
+
return {
|
|
669
|
+
contents: [
|
|
670
|
+
{
|
|
671
|
+
type: "text",
|
|
672
|
+
text: svg
|
|
673
|
+
}
|
|
674
|
+
]
|
|
675
|
+
};
|
|
1804
676
|
}
|
|
1805
|
-
|
|
1806
|
-
|
|
1807
|
-
|
|
1808
|
-
|
|
1809
|
-
|
|
1810
|
-
|
|
1811
|
-
|
|
677
|
+
if (uri.startsWith("stockPriceHistory/")) {
|
|
678
|
+
const symbol = uri.split("/")[1];
|
|
679
|
+
const priceHistory = this.marketDataPrices.get(symbol) || [];
|
|
680
|
+
if (priceHistory.length === 0) {
|
|
681
|
+
return {
|
|
682
|
+
contents: [
|
|
683
|
+
{
|
|
684
|
+
type: "text",
|
|
685
|
+
text: `No price data available for ${symbol}`
|
|
686
|
+
}
|
|
687
|
+
]
|
|
688
|
+
};
|
|
1812
689
|
}
|
|
690
|
+
return {
|
|
691
|
+
contents: [
|
|
692
|
+
{
|
|
693
|
+
type: "text",
|
|
694
|
+
text: JSON.stringify(
|
|
695
|
+
{
|
|
696
|
+
symbol,
|
|
697
|
+
count: priceHistory.length,
|
|
698
|
+
prices: priceHistory.map((point) => ({
|
|
699
|
+
timestamp: new Date(point.timestamp).toISOString(),
|
|
700
|
+
price: point.price
|
|
701
|
+
}))
|
|
702
|
+
},
|
|
703
|
+
null,
|
|
704
|
+
2
|
|
705
|
+
)
|
|
706
|
+
}
|
|
707
|
+
]
|
|
708
|
+
};
|
|
1813
709
|
}
|
|
1814
|
-
|
|
710
|
+
return {
|
|
711
|
+
contents: [
|
|
712
|
+
{
|
|
713
|
+
type: "text",
|
|
714
|
+
text: `Resource not found: ${uri}`,
|
|
715
|
+
uri
|
|
716
|
+
}
|
|
717
|
+
],
|
|
718
|
+
isError: true
|
|
719
|
+
};
|
|
1815
720
|
}
|
|
1816
|
-
}
|
|
1817
|
-
|
|
1818
|
-
|
|
1819
|
-
|
|
1820
|
-
|
|
1821
|
-
|
|
1822
|
-
|
|
1823
|
-
|
|
1824
|
-
|
|
1825
|
-
|
|
1826
|
-
|
|
1827
|
-
|
|
1828
|
-
|
|
721
|
+
}
|
|
722
|
+
);
|
|
723
|
+
this.server.setRequestHandler(
|
|
724
|
+
z.object({
|
|
725
|
+
method: z.literal("parse"),
|
|
726
|
+
params: fixStringSchema
|
|
727
|
+
}),
|
|
728
|
+
async (request, extra) => {
|
|
729
|
+
try {
|
|
730
|
+
const args = request.params;
|
|
731
|
+
const parsedMessage = this.parser?.parse(args.fixString);
|
|
732
|
+
if (!parsedMessage || parsedMessage.length === 0) {
|
|
733
|
+
return {
|
|
734
|
+
contents: [{ type: "text", text: "Error: Failed to parse FIX string" }],
|
|
735
|
+
isError: true
|
|
736
|
+
};
|
|
1829
737
|
}
|
|
1830
|
-
|
|
1831
|
-
|
|
1832
|
-
|
|
1833
|
-
|
|
1834
|
-
|
|
1835
|
-
|
|
1836
|
-
|
|
1837
|
-
|
|
1838
|
-
|
|
738
|
+
return {
|
|
739
|
+
contents: [
|
|
740
|
+
{
|
|
741
|
+
type: "text",
|
|
742
|
+
text: `${parsedMessage[0].description}
|
|
743
|
+
${parsedMessage[0].messageTypeDescription}`
|
|
744
|
+
}
|
|
745
|
+
]
|
|
746
|
+
};
|
|
747
|
+
} catch (error) {
|
|
748
|
+
return {
|
|
749
|
+
contents: [
|
|
750
|
+
{
|
|
751
|
+
type: "text",
|
|
752
|
+
text: `Error: ${error instanceof Error ? error.message : "Failed to parse FIX string"}`
|
|
753
|
+
}
|
|
754
|
+
],
|
|
755
|
+
isError: true
|
|
756
|
+
};
|
|
757
|
+
}
|
|
758
|
+
}
|
|
759
|
+
);
|
|
760
|
+
this.server.setRequestHandler(
|
|
761
|
+
z.object({
|
|
762
|
+
method: z.literal("parseToJSON"),
|
|
763
|
+
params: fixStringSchema
|
|
764
|
+
}),
|
|
765
|
+
async (request, extra) => {
|
|
766
|
+
try {
|
|
767
|
+
const args = request.params;
|
|
768
|
+
const parsedMessage = this.parser?.parse(args.fixString);
|
|
769
|
+
if (!parsedMessage || parsedMessage.length === 0) {
|
|
770
|
+
return {
|
|
771
|
+
contents: [{ type: "text", text: "Error: Failed to parse FIX string" }],
|
|
772
|
+
isError: true
|
|
773
|
+
};
|
|
1839
774
|
}
|
|
1840
|
-
|
|
1841
|
-
|
|
1842
|
-
|
|
1843
|
-
|
|
1844
|
-
|
|
1845
|
-
}
|
|
1846
|
-
|
|
1847
|
-
|
|
1848
|
-
|
|
1849
|
-
|
|
1850
|
-
|
|
1851
|
-
|
|
1852
|
-
|
|
1853
|
-
|
|
1854
|
-
|
|
1855
|
-
|
|
1856
|
-
|
|
1857
|
-
|
|
1858
|
-
|
|
1859
|
-
]
|
|
1860
|
-
};
|
|
775
|
+
return {
|
|
776
|
+
contents: [
|
|
777
|
+
{
|
|
778
|
+
type: "text",
|
|
779
|
+
text: `${parsedMessage[0].toFIXJSON()}`
|
|
780
|
+
}
|
|
781
|
+
]
|
|
782
|
+
};
|
|
783
|
+
} catch (error) {
|
|
784
|
+
return {
|
|
785
|
+
contents: [
|
|
786
|
+
{
|
|
787
|
+
type: "text",
|
|
788
|
+
text: `Error: ${error instanceof Error ? error.message : "Failed to parse FIX string"}`
|
|
789
|
+
}
|
|
790
|
+
],
|
|
791
|
+
isError: true
|
|
792
|
+
};
|
|
793
|
+
}
|
|
1861
794
|
}
|
|
1862
|
-
|
|
1863
|
-
|
|
1864
|
-
|
|
1865
|
-
|
|
1866
|
-
|
|
1867
|
-
|
|
795
|
+
);
|
|
796
|
+
this.server.setRequestHandler(
|
|
797
|
+
z.object({
|
|
798
|
+
method: z.literal("verifyOrder"),
|
|
799
|
+
params: orderSchema
|
|
800
|
+
}),
|
|
801
|
+
async (request, extra) => {
|
|
802
|
+
try {
|
|
803
|
+
const args = request.params;
|
|
804
|
+
this.verifiedOrders.set(args.clOrdID, {
|
|
805
|
+
clOrdID: args.clOrdID,
|
|
806
|
+
handlInst: args.handlInst,
|
|
807
|
+
quantity: Number.parseFloat(args.quantity),
|
|
808
|
+
price: Number.parseFloat(args.price),
|
|
809
|
+
ordType: args.ordType,
|
|
810
|
+
side: args.side,
|
|
811
|
+
symbol: args.symbol,
|
|
812
|
+
timeInForce: args.timeInForce
|
|
813
|
+
});
|
|
814
|
+
const ordTypeNames = {
|
|
815
|
+
"1": "Market",
|
|
816
|
+
"2": "Limit",
|
|
817
|
+
"3": "Stop",
|
|
818
|
+
"4": "StopLimit",
|
|
819
|
+
"5": "MarketOnClose",
|
|
820
|
+
"6": "WithOrWithout",
|
|
821
|
+
"7": "LimitOrBetter",
|
|
822
|
+
"8": "LimitWithOrWithout",
|
|
823
|
+
"9": "OnBasis",
|
|
824
|
+
A: "OnClose",
|
|
825
|
+
B: "LimitOnClose",
|
|
826
|
+
C: "ForexMarket",
|
|
827
|
+
D: "PreviouslyQuoted",
|
|
828
|
+
E: "PreviouslyIndicated",
|
|
829
|
+
F: "ForexLimit",
|
|
830
|
+
G: "ForexSwap",
|
|
831
|
+
H: "ForexPreviouslyQuoted",
|
|
832
|
+
I: "Funari",
|
|
833
|
+
J: "MarketIfTouched",
|
|
834
|
+
K: "MarketWithLeftOverAsLimit",
|
|
835
|
+
L: "PreviousFundValuationPoint",
|
|
836
|
+
M: "NextFundValuationPoint",
|
|
837
|
+
P: "Pegged",
|
|
838
|
+
Q: "CounterOrderSelection",
|
|
839
|
+
R: "StopOnBidOrOffer",
|
|
840
|
+
S: "StopLimitOnBidOrOffer"
|
|
841
|
+
};
|
|
842
|
+
const sideNames = {
|
|
843
|
+
"1": "Buy",
|
|
844
|
+
"2": "Sell",
|
|
845
|
+
"3": "BuyMinus",
|
|
846
|
+
"4": "SellPlus",
|
|
847
|
+
"5": "SellShort",
|
|
848
|
+
"6": "SellShortExempt",
|
|
849
|
+
"7": "Undisclosed",
|
|
850
|
+
"8": "Cross",
|
|
851
|
+
"9": "CrossShort",
|
|
852
|
+
A: "CrossShortExempt",
|
|
853
|
+
B: "AsDefined",
|
|
854
|
+
C: "Opposite",
|
|
855
|
+
D: "Subscribe",
|
|
856
|
+
E: "Redeem",
|
|
857
|
+
F: "Lend",
|
|
858
|
+
G: "Borrow",
|
|
859
|
+
H: "SellUndisclosed"
|
|
860
|
+
};
|
|
861
|
+
const timeInForceNames = {
|
|
862
|
+
"0": "Day",
|
|
863
|
+
"1": "GoodTillCancel",
|
|
864
|
+
"2": "AtTheOpening",
|
|
865
|
+
"3": "ImmediateOrCancel",
|
|
866
|
+
"4": "FillOrKill",
|
|
867
|
+
"5": "GoodTillCrossing",
|
|
868
|
+
"6": "GoodTillDate",
|
|
869
|
+
"7": "AtTheClose",
|
|
870
|
+
"8": "GoodThroughCrossing",
|
|
871
|
+
"9": "AtCrossing",
|
|
872
|
+
A: "GoodForTime",
|
|
873
|
+
B: "GoodForAuction",
|
|
874
|
+
C: "GoodForMonth"
|
|
875
|
+
};
|
|
876
|
+
const handlInstNames = {
|
|
877
|
+
"1": "AutomatedExecutionNoIntervention",
|
|
878
|
+
"2": "AutomatedExecutionInterventionOK",
|
|
879
|
+
"3": "ManualOrder"
|
|
880
|
+
};
|
|
881
|
+
return {
|
|
882
|
+
contents: [
|
|
1868
883
|
{
|
|
1869
|
-
|
|
1870
|
-
|
|
1871
|
-
|
|
1872
|
-
data: aggregatedData.map((point) => ({
|
|
1873
|
-
timestamp: new Date(point.timestamp).toISOString(),
|
|
1874
|
-
bid: point.bid,
|
|
1875
|
-
offer: point.offer,
|
|
1876
|
-
spread: point.spread,
|
|
1877
|
-
volume: point.volume,
|
|
1878
|
-
trade: point.trade,
|
|
1879
|
-
indexValue: point.indexValue,
|
|
1880
|
-
openingPrice: point.openingPrice,
|
|
1881
|
-
closingPrice: point.closingPrice,
|
|
1882
|
-
settlementPrice: point.settlementPrice,
|
|
1883
|
-
tradingSessionHighPrice: point.tradingSessionHighPrice,
|
|
1884
|
-
tradingSessionLowPrice: point.tradingSessionLowPrice,
|
|
1885
|
-
vwap: point.vwap,
|
|
1886
|
-
imbalance: point.imbalance,
|
|
1887
|
-
openInterest: point.openInterest,
|
|
1888
|
-
compositeUnderlyingPrice: point.compositeUnderlyingPrice,
|
|
1889
|
-
simulatedSellPrice: point.simulatedSellPrice,
|
|
1890
|
-
simulatedBuyPrice: point.simulatedBuyPrice,
|
|
1891
|
-
marginRate: point.marginRate,
|
|
1892
|
-
midPrice: point.midPrice,
|
|
1893
|
-
emptyBook: point.emptyBook,
|
|
1894
|
-
settleHighPrice: point.settleHighPrice,
|
|
1895
|
-
settleLowPrice: point.settleLowPrice,
|
|
1896
|
-
priorSettlePrice: point.priorSettlePrice,
|
|
1897
|
-
sessionHighBid: point.sessionHighBid,
|
|
1898
|
-
sessionLowOffer: point.sessionLowOffer,
|
|
1899
|
-
earlyPrices: point.earlyPrices,
|
|
1900
|
-
auctionClearingPrice: point.auctionClearingPrice,
|
|
1901
|
-
swapValueFactor: point.swapValueFactor,
|
|
1902
|
-
dailyValueAdjustmentForLongPositions: point.dailyValueAdjustmentForLongPositions,
|
|
1903
|
-
cumulativeValueAdjustmentForLongPositions: point.cumulativeValueAdjustmentForLongPositions,
|
|
1904
|
-
dailyValueAdjustmentForShortPositions: point.dailyValueAdjustmentForShortPositions,
|
|
1905
|
-
cumulativeValueAdjustmentForShortPositions: point.cumulativeValueAdjustmentForShortPositions,
|
|
1906
|
-
fixingPrice: point.fixingPrice,
|
|
1907
|
-
cashRate: point.cashRate,
|
|
1908
|
-
recoveryRate: point.recoveryRate,
|
|
1909
|
-
recoveryRateForLong: point.recoveryRateForLong,
|
|
1910
|
-
recoveryRateForShort: point.recoveryRateForShort,
|
|
1911
|
-
marketBid: point.marketBid,
|
|
1912
|
-
marketOffer: point.marketOffer,
|
|
1913
|
-
shortSaleMinPrice: point.shortSaleMinPrice,
|
|
1914
|
-
previousClosingPrice: point.previousClosingPrice,
|
|
1915
|
-
thresholdLimitPriceBanding: point.thresholdLimitPriceBanding,
|
|
1916
|
-
dailyFinancingValue: point.dailyFinancingValue,
|
|
1917
|
-
accruedFinancingValue: point.accruedFinancingValue,
|
|
1918
|
-
twap: point.twap
|
|
1919
|
-
}))
|
|
1920
|
-
},
|
|
1921
|
-
null,
|
|
1922
|
-
2
|
|
1923
|
-
),
|
|
1924
|
-
uri: "getStockPriceHistory"
|
|
1925
|
-
}
|
|
1926
|
-
]
|
|
1927
|
-
};
|
|
1928
|
-
} catch (error) {
|
|
1929
|
-
return {
|
|
1930
|
-
content: [
|
|
1931
|
-
{
|
|
1932
|
-
type: "text",
|
|
1933
|
-
text: `Error: ${error instanceof Error ? error.message : "Failed to get price history"}`,
|
|
1934
|
-
uri: "getStockPriceHistory"
|
|
1935
|
-
}
|
|
1936
|
-
],
|
|
1937
|
-
isError: true
|
|
1938
|
-
};
|
|
1939
|
-
}
|
|
1940
|
-
};
|
|
1941
|
-
};
|
|
1942
|
-
|
|
1943
|
-
// src/tools/order.ts
|
|
1944
|
-
import { Field as Field2, Fields as Fields2, Messages as Messages2 } from "fixparser";
|
|
1945
|
-
var ordTypeNames = {
|
|
1946
|
-
"1": "Market",
|
|
1947
|
-
"2": "Limit",
|
|
1948
|
-
"3": "Stop",
|
|
1949
|
-
"4": "StopLimit",
|
|
1950
|
-
"5": "MarketOnClose",
|
|
1951
|
-
"6": "WithOrWithout",
|
|
1952
|
-
"7": "LimitOrBetter",
|
|
1953
|
-
"8": "LimitWithOrWithout",
|
|
1954
|
-
"9": "OnBasis",
|
|
1955
|
-
A: "OnClose",
|
|
1956
|
-
B: "LimitOnClose",
|
|
1957
|
-
C: "ForexMarket",
|
|
1958
|
-
D: "PreviouslyQuoted",
|
|
1959
|
-
E: "PreviouslyIndicated",
|
|
1960
|
-
F: "ForexLimit",
|
|
1961
|
-
G: "ForexSwap",
|
|
1962
|
-
H: "ForexPreviouslyQuoted",
|
|
1963
|
-
I: "Funari",
|
|
1964
|
-
J: "MarketIfTouched",
|
|
1965
|
-
K: "MarketWithLeftOverAsLimit",
|
|
1966
|
-
L: "PreviousFundValuationPoint",
|
|
1967
|
-
M: "NextFundValuationPoint",
|
|
1968
|
-
P: "Pegged",
|
|
1969
|
-
Q: "CounterOrderSelection",
|
|
1970
|
-
R: "StopOnBidOrOffer",
|
|
1971
|
-
S: "StopLimitOnBidOrOffer"
|
|
1972
|
-
};
|
|
1973
|
-
var sideNames = {
|
|
1974
|
-
"1": "Buy",
|
|
1975
|
-
"2": "Sell",
|
|
1976
|
-
"3": "BuyMinus",
|
|
1977
|
-
"4": "SellPlus",
|
|
1978
|
-
"5": "SellShort",
|
|
1979
|
-
"6": "SellShortExempt",
|
|
1980
|
-
"7": "Undisclosed",
|
|
1981
|
-
"8": "Cross",
|
|
1982
|
-
"9": "CrossShort",
|
|
1983
|
-
A: "CrossShortExempt",
|
|
1984
|
-
B: "AsDefined",
|
|
1985
|
-
C: "Opposite",
|
|
1986
|
-
D: "Subscribe",
|
|
1987
|
-
E: "Redeem",
|
|
1988
|
-
F: "Lend",
|
|
1989
|
-
G: "Borrow",
|
|
1990
|
-
H: "SellUndisclosed"
|
|
1991
|
-
};
|
|
1992
|
-
var timeInForceNames = {
|
|
1993
|
-
"0": "Day",
|
|
1994
|
-
"1": "GoodTillCancel",
|
|
1995
|
-
"2": "AtTheOpening",
|
|
1996
|
-
"3": "ImmediateOrCancel",
|
|
1997
|
-
"4": "FillOrKill",
|
|
1998
|
-
"5": "GoodTillCrossing",
|
|
1999
|
-
"6": "GoodTillDate",
|
|
2000
|
-
"7": "AtTheClose",
|
|
2001
|
-
"8": "GoodThroughCrossing",
|
|
2002
|
-
"9": "AtCrossing",
|
|
2003
|
-
A: "GoodForTime",
|
|
2004
|
-
B: "GoodForAuction",
|
|
2005
|
-
C: "GoodForMonth"
|
|
2006
|
-
};
|
|
2007
|
-
var handlInstNames = {
|
|
2008
|
-
"1": "AutomatedExecutionNoIntervention",
|
|
2009
|
-
"2": "AutomatedExecutionInterventionOK",
|
|
2010
|
-
"3": "ManualOrder"
|
|
2011
|
-
};
|
|
2012
|
-
var createVerifyOrderHandler = (parser, verifiedOrders) => {
|
|
2013
|
-
return async (args) => {
|
|
2014
|
-
void parser;
|
|
2015
|
-
try {
|
|
2016
|
-
verifiedOrders.set(args.clOrdID, {
|
|
2017
|
-
clOrdID: args.clOrdID,
|
|
2018
|
-
handlInst: args.handlInst,
|
|
2019
|
-
quantity: Number.parseFloat(String(args.quantity)),
|
|
2020
|
-
price: Number.parseFloat(String(args.price)),
|
|
2021
|
-
ordType: args.ordType,
|
|
2022
|
-
side: args.side,
|
|
2023
|
-
symbol: args.symbol,
|
|
2024
|
-
timeInForce: args.timeInForce
|
|
2025
|
-
});
|
|
2026
|
-
return {
|
|
2027
|
-
content: [
|
|
2028
|
-
{
|
|
2029
|
-
type: "text",
|
|
2030
|
-
text: `VERIFICATION: All parameters valid. Ready to proceed with order execution.
|
|
2031
|
-
|
|
884
|
+
type: "text",
|
|
885
|
+
text: `VERIFICATION: All parameters valid. Ready to proceed with order execution.
|
|
886
|
+
|
|
2032
887
|
Parameters verified:
|
|
2033
888
|
- ClOrdID: ${args.clOrdID}
|
|
2034
889
|
- HandlInst: ${args.handlInst} (${handlInstNames[args.handlInst]})
|
|
@@ -2039,544 +894,171 @@ Parameters verified:
|
|
|
2039
894
|
- Symbol: ${args.symbol}
|
|
2040
895
|
- TimeInForce: ${args.timeInForce} (${timeInForceNames[args.timeInForce]})
|
|
2041
896
|
|
|
2042
|
-
To execute this order, call the executeOrder tool with these exact same parameters
|
|
2043
|
-
|
|
2044
|
-
|
|
2045
|
-
|
|
2046
|
-
|
|
2047
|
-
|
|
2048
|
-
|
|
2049
|
-
|
|
2050
|
-
|
|
2051
|
-
|
|
2052
|
-
|
|
2053
|
-
|
|
2054
|
-
|
|
2055
|
-
|
|
2056
|
-
|
|
2057
|
-
};
|
|
2058
|
-
}
|
|
2059
|
-
};
|
|
2060
|
-
};
|
|
2061
|
-
var createExecuteOrderHandler = (parser, verifiedOrders, pendingRequests) => {
|
|
2062
|
-
return async (args) => {
|
|
2063
|
-
try {
|
|
2064
|
-
const verifiedOrder = verifiedOrders.get(args.clOrdID);
|
|
2065
|
-
if (!verifiedOrder) {
|
|
2066
|
-
return {
|
|
2067
|
-
content: [
|
|
2068
|
-
{
|
|
2069
|
-
type: "text",
|
|
2070
|
-
text: `Error: Order ${args.clOrdID} has not been verified. Please call verifyOrder first.`,
|
|
2071
|
-
uri: "executeOrder"
|
|
2072
|
-
}
|
|
2073
|
-
],
|
|
2074
|
-
isError: true
|
|
2075
|
-
};
|
|
2076
|
-
}
|
|
2077
|
-
if (verifiedOrder.handlInst !== args.handlInst || verifiedOrder.quantity !== Number.parseFloat(String(args.quantity)) || verifiedOrder.price !== Number.parseFloat(String(args.price)) || verifiedOrder.ordType !== args.ordType || verifiedOrder.side !== args.side || verifiedOrder.symbol !== args.symbol || verifiedOrder.timeInForce !== args.timeInForce) {
|
|
2078
|
-
return {
|
|
2079
|
-
content: [
|
|
2080
|
-
{
|
|
2081
|
-
type: "text",
|
|
2082
|
-
text: "Error: Order parameters do not match the verified order. Please use the exact same parameters that were verified.",
|
|
2083
|
-
uri: "executeOrder"
|
|
2084
|
-
}
|
|
2085
|
-
],
|
|
2086
|
-
isError: true
|
|
2087
|
-
};
|
|
2088
|
-
}
|
|
2089
|
-
const response = new Promise((resolve) => {
|
|
2090
|
-
pendingRequests.set(args.clOrdID, resolve);
|
|
2091
|
-
});
|
|
2092
|
-
const order = parser.createMessage(
|
|
2093
|
-
new Field2(Fields2.MsgType, Messages2.NewOrderSingle),
|
|
2094
|
-
new Field2(Fields2.MsgSeqNum, parser.getNextTargetMsgSeqNum()),
|
|
2095
|
-
new Field2(Fields2.SenderCompID, parser.sender),
|
|
2096
|
-
new Field2(Fields2.TargetCompID, parser.target),
|
|
2097
|
-
new Field2(Fields2.SendingTime, parser.getTimestamp()),
|
|
2098
|
-
new Field2(Fields2.ClOrdID, args.clOrdID),
|
|
2099
|
-
new Field2(Fields2.Side, args.side),
|
|
2100
|
-
new Field2(Fields2.Symbol, args.symbol),
|
|
2101
|
-
new Field2(Fields2.OrderQty, Number.parseFloat(String(args.quantity))),
|
|
2102
|
-
new Field2(Fields2.Price, Number.parseFloat(String(args.price))),
|
|
2103
|
-
new Field2(Fields2.OrdType, args.ordType),
|
|
2104
|
-
new Field2(Fields2.HandlInst, args.handlInst),
|
|
2105
|
-
new Field2(Fields2.TimeInForce, args.timeInForce),
|
|
2106
|
-
new Field2(Fields2.TransactTime, parser.getTimestamp())
|
|
2107
|
-
);
|
|
2108
|
-
if (!parser.connected) {
|
|
2109
|
-
return {
|
|
2110
|
-
content: [
|
|
2111
|
-
{
|
|
2112
|
-
type: "text",
|
|
2113
|
-
text: "Error: Not connected. Ignoring message.",
|
|
2114
|
-
uri: "executeOrder"
|
|
2115
|
-
}
|
|
2116
|
-
],
|
|
2117
|
-
isError: true
|
|
2118
|
-
};
|
|
2119
|
-
}
|
|
2120
|
-
parser.send(order);
|
|
2121
|
-
const fixData = await response;
|
|
2122
|
-
verifiedOrders.delete(args.clOrdID);
|
|
2123
|
-
return {
|
|
2124
|
-
content: [
|
|
2125
|
-
{
|
|
2126
|
-
type: "text",
|
|
2127
|
-
text: fixData.messageType === Messages2.Reject ? `Reject message for order ${args.clOrdID}: ${JSON.stringify(fixData.toFIXJSON())}` : `Execution Report for order ${args.clOrdID}: ${JSON.stringify(fixData.toFIXJSON())}`,
|
|
2128
|
-
uri: "executeOrder"
|
|
2129
|
-
}
|
|
2130
|
-
]
|
|
2131
|
-
};
|
|
2132
|
-
} catch (error) {
|
|
2133
|
-
return {
|
|
2134
|
-
content: [
|
|
2135
|
-
{
|
|
2136
|
-
type: "text",
|
|
2137
|
-
text: `Error: ${error instanceof Error ? error.message : "Failed to execute order"}`,
|
|
2138
|
-
uri: "executeOrder"
|
|
2139
|
-
}
|
|
2140
|
-
],
|
|
2141
|
-
isError: true
|
|
2142
|
-
};
|
|
2143
|
-
}
|
|
2144
|
-
};
|
|
2145
|
-
};
|
|
2146
|
-
|
|
2147
|
-
// src/tools/parse.ts
|
|
2148
|
-
var createParseHandler = (parser) => {
|
|
2149
|
-
return async (args) => {
|
|
2150
|
-
try {
|
|
2151
|
-
const parsedMessage = parser.parse(args.fixString);
|
|
2152
|
-
if (!parsedMessage || parsedMessage.length === 0) {
|
|
2153
|
-
return {
|
|
2154
|
-
content: [
|
|
2155
|
-
{
|
|
2156
|
-
type: "text",
|
|
2157
|
-
text: "Error: Failed to parse FIX string",
|
|
2158
|
-
uri: "parse"
|
|
2159
|
-
}
|
|
2160
|
-
],
|
|
2161
|
-
isError: true
|
|
2162
|
-
};
|
|
2163
|
-
}
|
|
2164
|
-
return {
|
|
2165
|
-
content: [
|
|
2166
|
-
{
|
|
2167
|
-
type: "text",
|
|
2168
|
-
text: `${parsedMessage[0].description}
|
|
2169
|
-
${parsedMessage[0].messageTypeDescription}`,
|
|
2170
|
-
uri: "parse"
|
|
2171
|
-
}
|
|
2172
|
-
]
|
|
2173
|
-
};
|
|
2174
|
-
} catch (error) {
|
|
2175
|
-
return {
|
|
2176
|
-
content: [
|
|
2177
|
-
{
|
|
2178
|
-
type: "text",
|
|
2179
|
-
text: `Error: ${error instanceof Error ? error.message : "Failed to parse FIX string"}`,
|
|
2180
|
-
uri: "parse"
|
|
2181
|
-
}
|
|
2182
|
-
],
|
|
2183
|
-
isError: true
|
|
2184
|
-
};
|
|
2185
|
-
}
|
|
2186
|
-
};
|
|
2187
|
-
};
|
|
2188
|
-
|
|
2189
|
-
// src/tools/parseToJSON.ts
|
|
2190
|
-
var createParseToJSONHandler = (parser) => {
|
|
2191
|
-
return async (args) => {
|
|
2192
|
-
try {
|
|
2193
|
-
const parsedMessage = parser.parse(args.fixString);
|
|
2194
|
-
if (!parsedMessage || parsedMessage.length === 0) {
|
|
2195
|
-
return {
|
|
2196
|
-
content: [
|
|
2197
|
-
{
|
|
2198
|
-
type: "text",
|
|
2199
|
-
text: "Error: Failed to parse FIX string",
|
|
2200
|
-
uri: "parseToJSON"
|
|
2201
|
-
}
|
|
2202
|
-
],
|
|
2203
|
-
isError: true
|
|
2204
|
-
};
|
|
897
|
+
To execute this order, call the executeOrder tool with these exact same parameters.`
|
|
898
|
+
}
|
|
899
|
+
]
|
|
900
|
+
};
|
|
901
|
+
} catch (error) {
|
|
902
|
+
return {
|
|
903
|
+
contents: [
|
|
904
|
+
{
|
|
905
|
+
type: "text",
|
|
906
|
+
text: `Error: ${error instanceof Error ? error.message : "Failed to verify order parameters"}`
|
|
907
|
+
}
|
|
908
|
+
],
|
|
909
|
+
isError: true
|
|
910
|
+
};
|
|
911
|
+
}
|
|
2205
912
|
}
|
|
2206
|
-
|
|
2207
|
-
|
|
2208
|
-
|
|
2209
|
-
|
|
2210
|
-
|
|
2211
|
-
|
|
913
|
+
);
|
|
914
|
+
this.server.setRequestHandler(
|
|
915
|
+
z.object({
|
|
916
|
+
method: z.literal("executeOrder"),
|
|
917
|
+
params: orderSchema
|
|
918
|
+
}),
|
|
919
|
+
async (request, extra) => {
|
|
920
|
+
try {
|
|
921
|
+
const args = request.params;
|
|
922
|
+
const verifiedOrder = this.verifiedOrders.get(args.clOrdID);
|
|
923
|
+
if (!verifiedOrder) {
|
|
924
|
+
return {
|
|
925
|
+
contents: [
|
|
926
|
+
{
|
|
927
|
+
type: "text",
|
|
928
|
+
text: `Error: Order ${args.clOrdID} has not been verified. Please call verifyOrder first.`
|
|
929
|
+
}
|
|
930
|
+
],
|
|
931
|
+
isError: true
|
|
932
|
+
};
|
|
2212
933
|
}
|
|
2213
|
-
|
|
2214
|
-
|
|
2215
|
-
|
|
2216
|
-
|
|
2217
|
-
|
|
2218
|
-
|
|
2219
|
-
|
|
2220
|
-
|
|
2221
|
-
|
|
934
|
+
if (verifiedOrder.handlInst !== args.handlInst || verifiedOrder.quantity !== Number.parseFloat(args.quantity) || verifiedOrder.price !== Number.parseFloat(args.price) || verifiedOrder.ordType !== args.ordType || verifiedOrder.side !== args.side || verifiedOrder.symbol !== args.symbol || verifiedOrder.timeInForce !== args.timeInForce) {
|
|
935
|
+
return {
|
|
936
|
+
contents: [
|
|
937
|
+
{
|
|
938
|
+
type: "text",
|
|
939
|
+
text: "Error: Order parameters do not match the verified order. Please use the exact same parameters that were verified."
|
|
940
|
+
}
|
|
941
|
+
],
|
|
942
|
+
isError: true
|
|
943
|
+
};
|
|
2222
944
|
}
|
|
2223
|
-
|
|
2224
|
-
|
|
2225
|
-
|
|
2226
|
-
|
|
2227
|
-
|
|
2228
|
-
|
|
2229
|
-
|
|
2230
|
-
|
|
2231
|
-
|
|
2232
|
-
|
|
2233
|
-
|
|
2234
|
-
|
|
2235
|
-
|
|
2236
|
-
|
|
2237
|
-
|
|
2238
|
-
|
|
2239
|
-
|
|
2240
|
-
|
|
2241
|
-
|
|
2242
|
-
|
|
2243
|
-
|
|
2244
|
-
|
|
2245
|
-
|
|
2246
|
-
|
|
2247
|
-
|
|
2248
|
-
|
|
2249
|
-
|
|
2250
|
-
|
|
2251
|
-
const symbol = message.getField(Fields3.Symbol)?.value;
|
|
2252
|
-
const fixJson = message.toFIXJSON();
|
|
2253
|
-
const entries = fixJson.Body?.NoMDEntries || [];
|
|
2254
|
-
const data = {
|
|
2255
|
-
timestamp: Date.now(),
|
|
2256
|
-
bid: 0,
|
|
2257
|
-
offer: 0,
|
|
2258
|
-
spread: 0,
|
|
2259
|
-
volume: 0,
|
|
2260
|
-
trade: 0,
|
|
2261
|
-
indexValue: 0,
|
|
2262
|
-
openingPrice: 0,
|
|
2263
|
-
closingPrice: 0,
|
|
2264
|
-
settlementPrice: 0,
|
|
2265
|
-
tradingSessionHighPrice: 0,
|
|
2266
|
-
tradingSessionLowPrice: 0,
|
|
2267
|
-
vwap: 0,
|
|
2268
|
-
imbalance: 0,
|
|
2269
|
-
openInterest: 0,
|
|
2270
|
-
compositeUnderlyingPrice: 0,
|
|
2271
|
-
simulatedSellPrice: 0,
|
|
2272
|
-
simulatedBuyPrice: 0,
|
|
2273
|
-
marginRate: 0,
|
|
2274
|
-
midPrice: 0,
|
|
2275
|
-
emptyBook: 0,
|
|
2276
|
-
settleHighPrice: 0,
|
|
2277
|
-
settleLowPrice: 0,
|
|
2278
|
-
priorSettlePrice: 0,
|
|
2279
|
-
sessionHighBid: 0,
|
|
2280
|
-
sessionLowOffer: 0,
|
|
2281
|
-
earlyPrices: 0,
|
|
2282
|
-
auctionClearingPrice: 0,
|
|
2283
|
-
swapValueFactor: 0,
|
|
2284
|
-
dailyValueAdjustmentForLongPositions: 0,
|
|
2285
|
-
cumulativeValueAdjustmentForLongPositions: 0,
|
|
2286
|
-
dailyValueAdjustmentForShortPositions: 0,
|
|
2287
|
-
cumulativeValueAdjustmentForShortPositions: 0,
|
|
2288
|
-
fixingPrice: 0,
|
|
2289
|
-
cashRate: 0,
|
|
2290
|
-
recoveryRate: 0,
|
|
2291
|
-
recoveryRateForLong: 0,
|
|
2292
|
-
recoveryRateForShort: 0,
|
|
2293
|
-
marketBid: 0,
|
|
2294
|
-
marketOffer: 0,
|
|
2295
|
-
shortSaleMinPrice: 0,
|
|
2296
|
-
previousClosingPrice: 0,
|
|
2297
|
-
thresholdLimitPriceBanding: 0,
|
|
2298
|
-
dailyFinancingValue: 0,
|
|
2299
|
-
accruedFinancingValue: 0,
|
|
2300
|
-
twap: 0
|
|
2301
|
-
};
|
|
2302
|
-
for (const entry of entries) {
|
|
2303
|
-
const entryType = entry.MDEntryType;
|
|
2304
|
-
const price = entry.MDEntryPx ? Number.parseFloat(entry.MDEntryPx) : 0;
|
|
2305
|
-
const size = entry.MDEntrySize ? Number.parseFloat(entry.MDEntrySize) : 0;
|
|
2306
|
-
const enumValue = getEnumValue(MDEntryType2, entryType);
|
|
2307
|
-
switch (enumValue) {
|
|
2308
|
-
case MDEntryType2.Bid:
|
|
2309
|
-
data.bid = price;
|
|
2310
|
-
break;
|
|
2311
|
-
case MDEntryType2.Offer:
|
|
2312
|
-
data.offer = price;
|
|
2313
|
-
break;
|
|
2314
|
-
case MDEntryType2.Trade:
|
|
2315
|
-
data.trade = price;
|
|
2316
|
-
break;
|
|
2317
|
-
case MDEntryType2.IndexValue:
|
|
2318
|
-
data.indexValue = price;
|
|
2319
|
-
break;
|
|
2320
|
-
case MDEntryType2.OpeningPrice:
|
|
2321
|
-
data.openingPrice = price;
|
|
2322
|
-
break;
|
|
2323
|
-
case MDEntryType2.ClosingPrice:
|
|
2324
|
-
data.closingPrice = price;
|
|
2325
|
-
break;
|
|
2326
|
-
case MDEntryType2.SettlementPrice:
|
|
2327
|
-
data.settlementPrice = price;
|
|
2328
|
-
break;
|
|
2329
|
-
case MDEntryType2.TradingSessionHighPrice:
|
|
2330
|
-
data.tradingSessionHighPrice = price;
|
|
2331
|
-
break;
|
|
2332
|
-
case MDEntryType2.TradingSessionLowPrice:
|
|
2333
|
-
data.tradingSessionLowPrice = price;
|
|
2334
|
-
break;
|
|
2335
|
-
case MDEntryType2.VWAP:
|
|
2336
|
-
data.vwap = price;
|
|
2337
|
-
break;
|
|
2338
|
-
case MDEntryType2.Imbalance:
|
|
2339
|
-
data.imbalance = size;
|
|
2340
|
-
break;
|
|
2341
|
-
case MDEntryType2.TradeVolume:
|
|
2342
|
-
data.volume = size;
|
|
2343
|
-
break;
|
|
2344
|
-
case MDEntryType2.OpenInterest:
|
|
2345
|
-
data.openInterest = size;
|
|
2346
|
-
break;
|
|
2347
|
-
case MDEntryType2.CompositeUnderlyingPrice:
|
|
2348
|
-
data.compositeUnderlyingPrice = price;
|
|
2349
|
-
break;
|
|
2350
|
-
case MDEntryType2.SimulatedSellPrice:
|
|
2351
|
-
data.simulatedSellPrice = price;
|
|
2352
|
-
break;
|
|
2353
|
-
case MDEntryType2.SimulatedBuyPrice:
|
|
2354
|
-
data.simulatedBuyPrice = price;
|
|
2355
|
-
break;
|
|
2356
|
-
case MDEntryType2.MarginRate:
|
|
2357
|
-
data.marginRate = price;
|
|
2358
|
-
break;
|
|
2359
|
-
case MDEntryType2.MidPrice:
|
|
2360
|
-
data.midPrice = price;
|
|
2361
|
-
break;
|
|
2362
|
-
case MDEntryType2.EmptyBook:
|
|
2363
|
-
data.emptyBook = 1;
|
|
2364
|
-
break;
|
|
2365
|
-
case MDEntryType2.SettleHighPrice:
|
|
2366
|
-
data.settleHighPrice = price;
|
|
2367
|
-
break;
|
|
2368
|
-
case MDEntryType2.SettleLowPrice:
|
|
2369
|
-
data.settleLowPrice = price;
|
|
2370
|
-
break;
|
|
2371
|
-
case MDEntryType2.PriorSettlePrice:
|
|
2372
|
-
data.priorSettlePrice = price;
|
|
2373
|
-
break;
|
|
2374
|
-
case MDEntryType2.SessionHighBid:
|
|
2375
|
-
data.sessionHighBid = price;
|
|
2376
|
-
break;
|
|
2377
|
-
case MDEntryType2.SessionLowOffer:
|
|
2378
|
-
data.sessionLowOffer = price;
|
|
2379
|
-
break;
|
|
2380
|
-
case MDEntryType2.EarlyPrices:
|
|
2381
|
-
data.earlyPrices = price;
|
|
2382
|
-
break;
|
|
2383
|
-
case MDEntryType2.AuctionClearingPrice:
|
|
2384
|
-
data.auctionClearingPrice = price;
|
|
2385
|
-
break;
|
|
2386
|
-
case MDEntryType2.SwapValueFactor:
|
|
2387
|
-
data.swapValueFactor = price;
|
|
2388
|
-
break;
|
|
2389
|
-
case MDEntryType2.DailyValueAdjustmentForLongPositions:
|
|
2390
|
-
data.dailyValueAdjustmentForLongPositions = price;
|
|
2391
|
-
break;
|
|
2392
|
-
case MDEntryType2.CumulativeValueAdjustmentForLongPositions:
|
|
2393
|
-
data.cumulativeValueAdjustmentForLongPositions = price;
|
|
2394
|
-
break;
|
|
2395
|
-
case MDEntryType2.DailyValueAdjustmentForShortPositions:
|
|
2396
|
-
data.dailyValueAdjustmentForShortPositions = price;
|
|
2397
|
-
break;
|
|
2398
|
-
case MDEntryType2.CumulativeValueAdjustmentForShortPositions:
|
|
2399
|
-
data.cumulativeValueAdjustmentForShortPositions = price;
|
|
2400
|
-
break;
|
|
2401
|
-
case MDEntryType2.FixingPrice:
|
|
2402
|
-
data.fixingPrice = price;
|
|
2403
|
-
break;
|
|
2404
|
-
case MDEntryType2.CashRate:
|
|
2405
|
-
data.cashRate = price;
|
|
2406
|
-
break;
|
|
2407
|
-
case MDEntryType2.RecoveryRate:
|
|
2408
|
-
data.recoveryRate = price;
|
|
2409
|
-
break;
|
|
2410
|
-
case MDEntryType2.RecoveryRateForLong:
|
|
2411
|
-
data.recoveryRateForLong = price;
|
|
2412
|
-
break;
|
|
2413
|
-
case MDEntryType2.RecoveryRateForShort:
|
|
2414
|
-
data.recoveryRateForShort = price;
|
|
2415
|
-
break;
|
|
2416
|
-
case MDEntryType2.MarketBid:
|
|
2417
|
-
data.marketBid = price;
|
|
2418
|
-
break;
|
|
2419
|
-
case MDEntryType2.MarketOffer:
|
|
2420
|
-
data.marketOffer = price;
|
|
2421
|
-
break;
|
|
2422
|
-
case MDEntryType2.ShortSaleMinPrice:
|
|
2423
|
-
data.shortSaleMinPrice = price;
|
|
2424
|
-
break;
|
|
2425
|
-
case MDEntryType2.PreviousClosingPrice:
|
|
2426
|
-
data.previousClosingPrice = price;
|
|
2427
|
-
break;
|
|
2428
|
-
case MDEntryType2.ThresholdLimitPriceBanding:
|
|
2429
|
-
data.thresholdLimitPriceBanding = price;
|
|
2430
|
-
break;
|
|
2431
|
-
case MDEntryType2.DailyFinancingValue:
|
|
2432
|
-
data.dailyFinancingValue = price;
|
|
2433
|
-
break;
|
|
2434
|
-
case MDEntryType2.AccruedFinancingValue:
|
|
2435
|
-
data.accruedFinancingValue = price;
|
|
2436
|
-
break;
|
|
2437
|
-
case MDEntryType2.TWAP:
|
|
2438
|
-
data.twap = price;
|
|
2439
|
-
break;
|
|
2440
|
-
}
|
|
2441
|
-
}
|
|
2442
|
-
data.spread = data.offer - data.bid;
|
|
2443
|
-
if (!marketDataPrices.has(symbol)) {
|
|
2444
|
-
marketDataPrices.set(symbol, []);
|
|
2445
|
-
}
|
|
2446
|
-
const prices = marketDataPrices.get(symbol);
|
|
2447
|
-
prices.push(data);
|
|
2448
|
-
if (prices.length > maxPriceHistory) {
|
|
2449
|
-
prices.splice(0, prices.length - maxPriceHistory);
|
|
2450
|
-
}
|
|
2451
|
-
onPriceUpdate?.(symbol, data);
|
|
2452
|
-
const mdReqID = message.getField(Fields3.MDReqID)?.value;
|
|
2453
|
-
if (mdReqID) {
|
|
2454
|
-
const callback = pendingRequests.get(mdReqID);
|
|
2455
|
-
if (callback) {
|
|
2456
|
-
callback(message);
|
|
2457
|
-
pendingRequests.delete(mdReqID);
|
|
2458
|
-
}
|
|
2459
|
-
}
|
|
2460
|
-
} else if (msgType === Messages3.ExecutionReport) {
|
|
2461
|
-
const reqId = message.getField(Fields3.ClOrdID)?.value;
|
|
2462
|
-
const callback = pendingRequests.get(reqId);
|
|
2463
|
-
if (callback) {
|
|
2464
|
-
callback(message);
|
|
2465
|
-
pendingRequests.delete(reqId);
|
|
2466
|
-
}
|
|
2467
|
-
}
|
|
2468
|
-
}
|
|
2469
|
-
|
|
2470
|
-
// src/MCPLocal.ts
|
|
2471
|
-
var MCPLocal = class extends MCPBase {
|
|
2472
|
-
/**
|
|
2473
|
-
* Map to store verified orders before execution
|
|
2474
|
-
* @private
|
|
2475
|
-
*/
|
|
2476
|
-
verifiedOrders = /* @__PURE__ */ new Map();
|
|
2477
|
-
/**
|
|
2478
|
-
* Map to store pending requests and their callbacks
|
|
2479
|
-
* @private
|
|
2480
|
-
*/
|
|
2481
|
-
pendingRequests = /* @__PURE__ */ new Map();
|
|
2482
|
-
/**
|
|
2483
|
-
* Map to store market data prices for each symbol
|
|
2484
|
-
* @private
|
|
2485
|
-
*/
|
|
2486
|
-
marketDataPrices = /* @__PURE__ */ new Map();
|
|
2487
|
-
/**
|
|
2488
|
-
* Maximum number of price history entries to keep per symbol
|
|
2489
|
-
* @private
|
|
2490
|
-
*/
|
|
2491
|
-
MAX_PRICE_HISTORY = 1e5;
|
|
2492
|
-
server = new Server(
|
|
2493
|
-
{
|
|
2494
|
-
name: "fixparser",
|
|
2495
|
-
version: "1.0.0"
|
|
2496
|
-
},
|
|
2497
|
-
{
|
|
2498
|
-
capabilities: {
|
|
2499
|
-
tools: Object.entries(toolSchemas).reduce(
|
|
2500
|
-
(acc, [name, { description, schema }]) => {
|
|
2501
|
-
acc[name] = {
|
|
2502
|
-
description,
|
|
2503
|
-
parameters: schema
|
|
945
|
+
const response = new Promise((resolve) => {
|
|
946
|
+
this.pendingRequests.set(args.clOrdID, resolve);
|
|
947
|
+
});
|
|
948
|
+
const order = this.parser?.createMessage(
|
|
949
|
+
new Field(Fields.MsgType, Messages.NewOrderSingle),
|
|
950
|
+
new Field(Fields.MsgSeqNum, this.parser?.getNextTargetMsgSeqNum()),
|
|
951
|
+
new Field(Fields.SenderCompID, this.parser?.sender),
|
|
952
|
+
new Field(Fields.TargetCompID, this.parser?.target),
|
|
953
|
+
new Field(Fields.SendingTime, this.parser?.getTimestamp()),
|
|
954
|
+
new Field(Fields.ClOrdID, args.clOrdID),
|
|
955
|
+
new Field(Fields.Side, args.side),
|
|
956
|
+
new Field(Fields.Symbol, args.symbol),
|
|
957
|
+
new Field(Fields.OrderQty, Number.parseFloat(args.quantity)),
|
|
958
|
+
new Field(Fields.Price, Number.parseFloat(args.price)),
|
|
959
|
+
new Field(Fields.OrdType, args.ordType),
|
|
960
|
+
new Field(Fields.HandlInst, args.handlInst),
|
|
961
|
+
new Field(Fields.TimeInForce, args.timeInForce),
|
|
962
|
+
new Field(Fields.TransactTime, this.parser?.getTimestamp())
|
|
963
|
+
);
|
|
964
|
+
if (!this.parser?.connected) {
|
|
965
|
+
return {
|
|
966
|
+
contents: [
|
|
967
|
+
{
|
|
968
|
+
type: "text",
|
|
969
|
+
text: "Error: Not connected. Ignoring message."
|
|
970
|
+
}
|
|
971
|
+
],
|
|
972
|
+
isError: true
|
|
2504
973
|
};
|
|
2505
|
-
|
|
2506
|
-
|
|
2507
|
-
|
|
2508
|
-
|
|
974
|
+
}
|
|
975
|
+
this.parser?.send(order);
|
|
976
|
+
const fixData = await response;
|
|
977
|
+
this.verifiedOrders.delete(args.clOrdID);
|
|
978
|
+
return {
|
|
979
|
+
contents: [
|
|
980
|
+
{
|
|
981
|
+
type: "text",
|
|
982
|
+
text: fixData.messageType === Messages.Reject ? `Reject message for order ${args.clOrdID}: ${JSON.stringify(fixData.toFIXJSON())}` : `Execution Report for order ${args.clOrdID}: ${JSON.stringify(fixData.toFIXJSON())}`
|
|
983
|
+
}
|
|
984
|
+
]
|
|
985
|
+
};
|
|
986
|
+
} catch (error) {
|
|
987
|
+
return {
|
|
988
|
+
contents: [
|
|
989
|
+
{
|
|
990
|
+
type: "text",
|
|
991
|
+
text: `Error: ${error instanceof Error ? error.message : "Failed to execute order"}`
|
|
992
|
+
}
|
|
993
|
+
],
|
|
994
|
+
isError: true
|
|
995
|
+
};
|
|
996
|
+
}
|
|
2509
997
|
}
|
|
2510
|
-
|
|
2511
|
-
);
|
|
2512
|
-
transport = new StdioServerTransport();
|
|
2513
|
-
constructor({ logger, onReady }) {
|
|
2514
|
-
super({ logger, onReady });
|
|
2515
|
-
}
|
|
2516
|
-
async register(parser) {
|
|
2517
|
-
this.parser = parser;
|
|
2518
|
-
this.parser.addOnMessageCallback((message) => {
|
|
2519
|
-
handleMessage(message, this.parser, this.pendingRequests, this.marketDataPrices, this.MAX_PRICE_HISTORY);
|
|
2520
|
-
});
|
|
2521
|
-
this.addWorkflows();
|
|
2522
|
-
await this.server.connect(this.transport);
|
|
2523
|
-
if (this.onReady) {
|
|
2524
|
-
this.onReady();
|
|
2525
|
-
}
|
|
2526
|
-
}
|
|
2527
|
-
addWorkflows() {
|
|
2528
|
-
if (!this.parser) {
|
|
2529
|
-
return;
|
|
2530
|
-
}
|
|
2531
|
-
if (!this.server) {
|
|
2532
|
-
return;
|
|
2533
|
-
}
|
|
2534
|
-
this.server.setRequestHandler(z.object({ method: z.literal("tools/list") }), async () => {
|
|
2535
|
-
return {
|
|
2536
|
-
tools: Object.entries(toolSchemas).map(([name, { description, schema }]) => ({
|
|
2537
|
-
name,
|
|
2538
|
-
description,
|
|
2539
|
-
inputSchema: schema
|
|
2540
|
-
}))
|
|
2541
|
-
};
|
|
2542
|
-
});
|
|
998
|
+
);
|
|
2543
999
|
this.server.setRequestHandler(
|
|
2544
1000
|
z.object({
|
|
2545
|
-
method: z.literal("
|
|
2546
|
-
params:
|
|
2547
|
-
name: z.string(),
|
|
2548
|
-
arguments: z.any(),
|
|
2549
|
-
_meta: z.object({
|
|
2550
|
-
progressToken: z.number()
|
|
2551
|
-
}).optional()
|
|
2552
|
-
})
|
|
1001
|
+
method: z.literal("marketDataRequest"),
|
|
1002
|
+
params: marketDataRequestSchema
|
|
2553
1003
|
}),
|
|
2554
|
-
async (request) => {
|
|
2555
|
-
|
|
2556
|
-
|
|
2557
|
-
|
|
2558
|
-
|
|
2559
|
-
|
|
2560
|
-
|
|
2561
|
-
|
|
2562
|
-
|
|
2563
|
-
|
|
1004
|
+
async (request, extra) => {
|
|
1005
|
+
try {
|
|
1006
|
+
const args = request.params;
|
|
1007
|
+
const response = new Promise((resolve) => {
|
|
1008
|
+
this.pendingRequests.set(args.mdReqID, resolve);
|
|
1009
|
+
});
|
|
1010
|
+
const messageFields = [
|
|
1011
|
+
new Field(Fields.MsgType, Messages.MarketDataRequest),
|
|
1012
|
+
new Field(Fields.SenderCompID, this.parser?.sender),
|
|
1013
|
+
new Field(Fields.MsgSeqNum, this.parser?.getNextTargetMsgSeqNum()),
|
|
1014
|
+
new Field(Fields.TargetCompID, this.parser?.target),
|
|
1015
|
+
new Field(Fields.SendingTime, this.parser?.getTimestamp()),
|
|
1016
|
+
new Field(Fields.MDReqID, args.mdReqID),
|
|
1017
|
+
new Field(Fields.SubscriptionRequestType, args.subscriptionRequestType),
|
|
1018
|
+
new Field(Fields.MarketDepth, 0),
|
|
1019
|
+
new Field(Fields.MDUpdateType, args.mdUpdateType)
|
|
1020
|
+
];
|
|
1021
|
+
messageFields.push(new Field(Fields.NoRelatedSym, args.symbols.length));
|
|
1022
|
+
args.symbols.forEach((symbol) => {
|
|
1023
|
+
messageFields.push(new Field(Fields.Symbol, symbol));
|
|
1024
|
+
});
|
|
1025
|
+
messageFields.push(new Field(Fields.NoMDEntryTypes, args.mdEntryTypes.length));
|
|
1026
|
+
args.mdEntryTypes.forEach((entryType) => {
|
|
1027
|
+
messageFields.push(new Field(Fields.MDEntryType, entryType));
|
|
1028
|
+
});
|
|
1029
|
+
const mdr = this.parser?.createMessage(...messageFields);
|
|
1030
|
+
if (!this.parser?.connected) {
|
|
1031
|
+
return {
|
|
1032
|
+
contents: [
|
|
1033
|
+
{
|
|
1034
|
+
type: "text",
|
|
1035
|
+
text: "Error: Not connected. Ignoring message."
|
|
1036
|
+
}
|
|
1037
|
+
],
|
|
1038
|
+
isError: true
|
|
1039
|
+
};
|
|
1040
|
+
}
|
|
1041
|
+
this.parser?.send(mdr);
|
|
1042
|
+
const fixData = await response;
|
|
2564
1043
|
return {
|
|
2565
|
-
|
|
1044
|
+
contents: [
|
|
2566
1045
|
{
|
|
2567
1046
|
type: "text",
|
|
2568
|
-
text: `
|
|
2569
|
-
|
|
1047
|
+
text: `Market data for ${args.symbols.join(", ")}: ${JSON.stringify(fixData.toFIXJSON())}`
|
|
1048
|
+
}
|
|
1049
|
+
]
|
|
1050
|
+
};
|
|
1051
|
+
} catch (error) {
|
|
1052
|
+
return {
|
|
1053
|
+
contents: [
|
|
1054
|
+
{
|
|
1055
|
+
type: "text",
|
|
1056
|
+
text: `Error: ${error instanceof Error ? error.message : "Failed to request market data"}`
|
|
2570
1057
|
}
|
|
2571
1058
|
],
|
|
2572
1059
|
isError: true
|
|
2573
1060
|
};
|
|
2574
1061
|
}
|
|
2575
|
-
const result = await handler(args);
|
|
2576
|
-
return {
|
|
2577
|
-
content: result.content,
|
|
2578
|
-
isError: result.isError
|
|
2579
|
-
};
|
|
2580
1062
|
}
|
|
2581
1063
|
);
|
|
2582
1064
|
process.on("SIGINT", async () => {
|