fixparser-plugin-mcp 9.1.7-dde631c6 → 9.1.7-def37df3
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 +2224 -1817
- package/build/cjs/MCPLocal.js.map +4 -4
- package/build/cjs/MCPRemote.js +2371 -436
- package/build/cjs/MCPRemote.js.map +4 -4
- package/build/cjs/index.js +2669 -0
- package/build/cjs/index.js.map +7 -0
- package/build/esm/MCPLocal.mjs +2212 -1830
- package/build/esm/MCPLocal.mjs.map +4 -4
- package/build/esm/MCPRemote.mjs +2360 -444
- package/build/esm/MCPRemote.mjs.map +4 -4
- package/build/esm/index.mjs +2631 -0
- package/build/esm/index.mjs.map +7 -0
- package/build-examples/cjs/example_mcp_local.js +16 -7
- package/build-examples/cjs/example_mcp_local.js.map +4 -4
- package/build-examples/cjs/example_mcp_remote.js +18 -0
- package/build-examples/cjs/example_mcp_remote.js.map +7 -0
- package/build-examples/esm/example_mcp_local.mjs +16 -7
- package/build-examples/esm/example_mcp_local.mjs.map +4 -4
- package/build-examples/esm/example_mcp_remote.mjs +18 -0
- package/build-examples/esm/example_mcp_remote.mjs.map +7 -0
- package/package.json +17 -16
- package/types/MCPLocal.d.ts +0 -14
- package/types/MCPRemote.d.ts +0 -60
- package/types/PluginOptions.d.ts +0 -6
- package/types/index.d.ts +0 -3
package/build/cjs/MCPLocal.js
CHANGED
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@@ -1,7 +1,9 @@
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"use strict";
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var __create = Object.create;
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var __defProp = Object.defineProperty;
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var __getOwnPropDesc = Object.getOwnPropertyDescriptor;
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var __getOwnPropNames = Object.getOwnPropertyNames;
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var __getProtoOf = Object.getPrototypeOf;
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var __hasOwnProp = Object.prototype.hasOwnProperty;
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var __export = (target, all) => {
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for (var name in all)
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@@ -15,6 +17,14 @@ var __copyProps = (to, from, except, desc) => {
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}
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return to;
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};
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var __toESM = (mod, isNodeMode, target) => (target = mod != null ? __create(__getProtoOf(mod)) : {}, __copyProps(
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// If the importer is in node compatibility mode or this is not an ESM
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// file that has been converted to a CommonJS file using a Babel-
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// compatible transform (i.e. "__esModule" has not been set), then set
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// "default" to the CommonJS "module.exports" for node compatibility.
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isNodeMode || !mod || !mod.__esModule ? __defProp(target, "default", { value: mod, enumerable: true }) : target,
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mod
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));
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var __toCommonJS = (mod) => __copyProps(__defProp({}, "__esModule", { value: true }), mod);
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// src/MCPLocal.ts
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@@ -25,1270 +35,2265 @@ __export(MCPLocal_exports, {
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module.exports = __toCommonJS(MCPLocal_exports);
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var import_server = require("@modelcontextprotocol/sdk/server/index.js");
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var import_stdio = require("@modelcontextprotocol/sdk/server/stdio.js");
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var import_types = require("@modelcontextprotocol/sdk/types.js");
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var import_zod5 = require("zod");
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// ../../node_modules/zod-to-json-schema/dist/esm/Options.js
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var ignoreOverride = Symbol("Let zodToJsonSchema decide on which parser to use");
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var defaultOptions = {
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name: void 0,
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$refStrategy: "root",
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basePath: ["#"],
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effectStrategy: "input",
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pipeStrategy: "all",
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dateStrategy: "format:date-time",
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mapStrategy: "entries",
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removeAdditionalStrategy: "passthrough",
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allowedAdditionalProperties: true,
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rejectedAdditionalProperties: false,
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definitionPath: "definitions",
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target: "jsonSchema7",
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strictUnions: false,
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definitions: {},
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errorMessages: false,
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markdownDescription: false,
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patternStrategy: "escape",
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applyRegexFlags: false,
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emailStrategy: "format:email",
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base64Strategy: "contentEncoding:base64",
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nameStrategy: "ref"
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};
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var getDefaultOptions = (options) => typeof options === "string" ? {
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...defaultOptions,
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name: options
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} : {
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...defaultOptions,
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...options
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};
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// ../../node_modules/zod-to-json-schema/dist/esm/Refs.js
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var getRefs = (options) => {
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const _options = getDefaultOptions(options);
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const currentPath = _options.name !== void 0 ? [..._options.basePath, _options.definitionPath, _options.name] : _options.basePath;
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return {
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..._options,
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currentPath,
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propertyPath: void 0,
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seen: new Map(Object.entries(_options.definitions).map(([name, def]) => [
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def._def,
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{
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def: def._def,
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path: [..._options.basePath, _options.definitionPath, name],
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// Resolution of references will be forced even though seen, so it's ok that the schema is undefined here for now.
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jsonSchema: void 0
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}
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]))
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};
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};
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// ../../node_modules/zod-to-json-schema/dist/esm/errorMessages.js
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function addErrorMessage(res, key, errorMessage, refs) {
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if (!refs?.errorMessages)
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return;
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if (errorMessage) {
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res.errorMessage = {
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...res.errorMessage,
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[key]: errorMessage
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};
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}
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}
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function setResponseValueAndErrors(res, key, value, errorMessage, refs) {
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res[key] = value;
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addErrorMessage(res, key, errorMessage, refs);
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}
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// ../../node_modules/zod-to-json-schema/dist/esm/selectParser.js
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var import_zod4 = require("zod");
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// ../../node_modules/zod-to-json-schema/dist/esm/parsers/any.js
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function parseAnyDef() {
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return {};
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}
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// ../../node_modules/zod-to-json-schema/dist/esm/parsers/array.js
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var import_zod = require("zod");
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function parseArrayDef(def, refs) {
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const res = {
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type: "array"
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};
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if (def.type?._def && def.type?._def?.typeName !== import_zod.ZodFirstPartyTypeKind.ZodAny) {
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res.items = parseDef(def.type._def, {
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...refs,
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currentPath: [...refs.currentPath, "items"]
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});
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}
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if (def.minLength) {
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setResponseValueAndErrors(res, "minItems", def.minLength.value, def.minLength.message, refs);
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}
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if (def.maxLength) {
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setResponseValueAndErrors(res, "maxItems", def.maxLength.value, def.maxLength.message, refs);
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}
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if (def.exactLength) {
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setResponseValueAndErrors(res, "minItems", def.exactLength.value, def.exactLength.message, refs);
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setResponseValueAndErrors(res, "maxItems", def.exactLength.value, def.exactLength.message, refs);
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}
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return res;
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}
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// ../../node_modules/zod-to-json-schema/dist/esm/parsers/bigint.js
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function parseBigintDef(def, refs) {
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const res = {
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type: "integer",
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format: "int64"
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};
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if (!def.checks)
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return res;
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for (const check of def.checks) {
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switch (check.kind) {
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case "min":
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if (refs.target === "jsonSchema7") {
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if (check.inclusive) {
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setResponseValueAndErrors(res, "minimum", check.value, check.message, refs);
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} else {
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setResponseValueAndErrors(res, "exclusiveMinimum", check.value, check.message, refs);
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}
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} else {
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if (!check.inclusive) {
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res.exclusiveMinimum = true;
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}
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setResponseValueAndErrors(res, "minimum", check.value, check.message, refs);
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}
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break;
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case "max":
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if (refs.target === "jsonSchema7") {
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if (check.inclusive) {
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setResponseValueAndErrors(res, "maximum", check.value, check.message, refs);
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} else {
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setResponseValueAndErrors(res, "exclusiveMaximum", check.value, check.message, refs);
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}
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} else {
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if (!check.inclusive) {
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}
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setResponseValueAndErrors(res, "maximum", check.value, check.message, refs);
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}
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break;
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setResponseValueAndErrors(res, "multipleOf", check.value, check.message, refs);
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break;
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}
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}
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return res;
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}
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// ../../node_modules/zod-to-json-schema/dist/esm/parsers/boolean.js
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function parseBooleanDef() {
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return {
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};
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}
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// ../../node_modules/zod-to-json-schema/dist/esm/parsers/branded.js
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function parseBrandedDef(_def, refs) {
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return parseDef(_def.type._def, refs);
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}
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// ../../node_modules/zod-to-json-schema/dist/esm/parsers/catch.js
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var parseCatchDef = (def, refs) => {
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return parseDef(def.innerType._def, refs);
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};
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// ../../node_modules/zod-to-json-schema/dist/esm/parsers/date.js
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function parseDateDef(def, refs, overrideDateStrategy) {
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const strategy = overrideDateStrategy ?? refs.dateStrategy;
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if (Array.isArray(strategy)) {
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return {
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anyOf: strategy.map((item, i) => parseDateDef(def, refs, item))
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};
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}
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switch (strategy) {
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case "string":
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case "format:date-time":
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return {
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type: "string",
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format: "date-time"
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};
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case "format:date":
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return {
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type: "string",
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format: "date"
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};
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case "integer":
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return integerDateParser(def, refs);
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}
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}
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var integerDateParser = (def, refs) => {
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const res = {
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type: "integer",
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format: "unix-time"
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};
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if (refs.target === "openApi3") {
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return res;
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}
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for (const check of def.checks) {
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switch (check.kind) {
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case "min":
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setResponseValueAndErrors(
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res,
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"minimum",
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check.value,
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// This is in milliseconds
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check.message,
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refs
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);
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break;
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case "max":
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setResponseValueAndErrors(
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res,
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"maximum",
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check.value,
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// This is in milliseconds
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check.message,
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refs
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);
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break;
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}
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}
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return res;
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};
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// ../../node_modules/zod-to-json-schema/dist/esm/parsers/default.js
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function parseDefaultDef(_def, refs) {
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return {
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...parseDef(_def.innerType._def, refs),
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default: _def.defaultValue()
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};
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}
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// ../../node_modules/zod-to-json-schema/dist/esm/parsers/effects.js
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function parseEffectsDef(_def, refs) {
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return refs.effectStrategy === "input" ? parseDef(_def.schema._def, refs) : {};
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}
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// ../../node_modules/zod-to-json-schema/dist/esm/parsers/enum.js
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function parseEnumDef(def) {
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return {
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type: "string",
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enum: Array.from(def.values)
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};
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}
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// ../../node_modules/zod-to-json-schema/dist/esm/parsers/intersection.js
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var isJsonSchema7AllOfType = (type) => {
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if ("type" in type && type.type === "string")
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return false;
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return "allOf" in type;
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};
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function parseIntersectionDef(def, refs) {
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const allOf = [
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parseDef(def.left._def, {
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...refs,
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currentPath: [...refs.currentPath, "allOf", "0"]
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}),
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parseDef(def.right._def, {
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...refs,
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currentPath: [...refs.currentPath, "allOf", "1"]
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})
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].filter((x) => !!x);
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let unevaluatedProperties = refs.target === "jsonSchema2019-09" ? { unevaluatedProperties: false } : void 0;
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const mergedAllOf = [];
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allOf.forEach((schema) => {
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if (isJsonSchema7AllOfType(schema)) {
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mergedAllOf.push(...schema.allOf);
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if (schema.unevaluatedProperties === void 0) {
|
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unevaluatedProperties = void 0;
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}
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301
|
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} else {
|
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let nestedSchema = schema;
|
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|
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if ("additionalProperties" in schema && schema.additionalProperties === false) {
|
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304
|
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const { additionalProperties, ...rest } = schema;
|
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|
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nestedSchema = rest;
|
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306
|
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} else {
|
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307
|
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unevaluatedProperties = void 0;
|
|
308
|
-
}
|
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309
|
-
mergedAllOf.push(nestedSchema);
|
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310
|
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}
|
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311
|
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});
|
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312
|
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return mergedAllOf.length ? {
|
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313
|
-
allOf: mergedAllOf,
|
|
314
|
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...unevaluatedProperties
|
|
315
|
-
} : void 0;
|
|
316
|
-
}
|
|
317
|
-
|
|
318
|
-
// ../../node_modules/zod-to-json-schema/dist/esm/parsers/literal.js
|
|
319
|
-
function parseLiteralDef(def, refs) {
|
|
320
|
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const parsedType = typeof def.value;
|
|
321
|
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if (parsedType !== "bigint" && parsedType !== "number" && parsedType !== "boolean" && parsedType !== "string") {
|
|
322
|
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return {
|
|
323
|
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type: Array.isArray(def.value) ? "array" : "object"
|
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324
|
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};
|
|
325
|
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}
|
|
326
|
-
if (refs.target === "openApi3") {
|
|
327
|
-
return {
|
|
328
|
-
type: parsedType === "bigint" ? "integer" : parsedType,
|
|
329
|
-
enum: [def.value]
|
|
330
|
-
};
|
|
331
|
-
}
|
|
332
|
-
return {
|
|
333
|
-
type: parsedType === "bigint" ? "integer" : parsedType,
|
|
334
|
-
const: def.value
|
|
335
|
-
};
|
|
336
|
-
}
|
|
337
|
-
|
|
338
|
-
// ../../node_modules/zod-to-json-schema/dist/esm/parsers/record.js
|
|
339
|
-
var import_zod2 = require("zod");
|
|
340
39
|
|
|
341
|
-
//
|
|
342
|
-
var
|
|
343
|
-
var zodPatterns = {
|
|
40
|
+
// src/MCPBase.ts
|
|
41
|
+
var MCPBase = class {
|
|
344
42
|
/**
|
|
345
|
-
*
|
|
43
|
+
* Optional logger instance for diagnostics and output.
|
|
44
|
+
* @protected
|
|
346
45
|
*/
|
|
347
|
-
|
|
348
|
-
cuid2: /^[0-9a-z]+$/,
|
|
349
|
-
ulid: /^[0-9A-HJKMNP-TV-Z]{26}$/,
|
|
46
|
+
logger;
|
|
350
47
|
/**
|
|
351
|
-
*
|
|
48
|
+
* FIXParser instance, set during plugin register().
|
|
49
|
+
* @protected
|
|
352
50
|
*/
|
|
353
|
-
|
|
51
|
+
parser;
|
|
354
52
|
/**
|
|
355
|
-
*
|
|
356
|
-
*
|
|
357
|
-
* Lazily instantiate since this type of regex isn't supported
|
|
358
|
-
* in all envs (e.g. React Native).
|
|
359
|
-
*
|
|
360
|
-
* See:
|
|
361
|
-
* https://github.com/colinhacks/zod/issues/2433
|
|
362
|
-
* Fix in Zod:
|
|
363
|
-
* https://github.com/colinhacks/zod/commit/9340fd51e48576a75adc919bff65dbc4a5d4c99b
|
|
53
|
+
* Called when server is setup and listening.
|
|
54
|
+
* @protected
|
|
364
55
|
*/
|
|
365
|
-
|
|
366
|
-
if (emojiRegex === void 0) {
|
|
367
|
-
emojiRegex = RegExp("^(\\p{Extended_Pictographic}|\\p{Emoji_Component})+$", "u");
|
|
368
|
-
}
|
|
369
|
-
return emojiRegex;
|
|
370
|
-
},
|
|
56
|
+
onReady = void 0;
|
|
371
57
|
/**
|
|
372
|
-
*
|
|
58
|
+
* Map to store verified orders before execution
|
|
59
|
+
* @protected
|
|
373
60
|
*/
|
|
374
|
-
|
|
61
|
+
verifiedOrders = /* @__PURE__ */ new Map();
|
|
375
62
|
/**
|
|
376
|
-
*
|
|
63
|
+
* Map to store pending market data requests
|
|
64
|
+
* @protected
|
|
377
65
|
*/
|
|
378
|
-
|
|
379
|
-
ipv4Cidr: /^(?:(?:25[0-5]|2[0-4][0-9]|1[0-9][0-9]|[1-9][0-9]|[0-9])\.){3}(?:25[0-5]|2[0-4][0-9]|1[0-9][0-9]|[1-9][0-9]|[0-9])\/(3[0-2]|[12]?[0-9])$/,
|
|
66
|
+
pendingRequests = /* @__PURE__ */ new Map();
|
|
380
67
|
/**
|
|
381
|
-
*
|
|
68
|
+
* Map to store market data prices
|
|
69
|
+
* @protected
|
|
382
70
|
*/
|
|
383
|
-
|
|
384
|
-
|
|
385
|
-
|
|
386
|
-
|
|
387
|
-
|
|
388
|
-
|
|
71
|
+
marketDataPrices = /* @__PURE__ */ new Map();
|
|
72
|
+
/**
|
|
73
|
+
* Maximum number of price history entries to keep per symbol
|
|
74
|
+
* @protected
|
|
75
|
+
*/
|
|
76
|
+
MAX_PRICE_HISTORY = 1e5;
|
|
77
|
+
constructor({ logger, onReady }) {
|
|
78
|
+
this.logger = logger;
|
|
79
|
+
this.onReady = onReady;
|
|
80
|
+
}
|
|
389
81
|
};
|
|
390
|
-
|
|
391
|
-
|
|
392
|
-
|
|
393
|
-
|
|
394
|
-
|
|
395
|
-
|
|
396
|
-
|
|
397
|
-
|
|
398
|
-
|
|
399
|
-
|
|
400
|
-
|
|
401
|
-
|
|
402
|
-
|
|
403
|
-
|
|
404
|
-
|
|
405
|
-
|
|
406
|
-
|
|
407
|
-
|
|
408
|
-
|
|
409
|
-
|
|
410
|
-
|
|
411
|
-
|
|
412
|
-
|
|
413
|
-
|
|
414
|
-
|
|
415
|
-
|
|
416
|
-
|
|
417
|
-
|
|
418
|
-
|
|
419
|
-
|
|
420
|
-
|
|
421
|
-
|
|
422
|
-
|
|
423
|
-
|
|
424
|
-
|
|
425
|
-
|
|
426
|
-
|
|
427
|
-
|
|
428
|
-
|
|
429
|
-
|
|
430
|
-
|
|
431
|
-
|
|
432
|
-
|
|
433
|
-
|
|
434
|
-
|
|
435
|
-
|
|
436
|
-
|
|
437
|
-
|
|
438
|
-
|
|
439
|
-
|
|
440
|
-
|
|
441
|
-
|
|
442
|
-
|
|
443
|
-
|
|
444
|
-
|
|
445
|
-
|
|
446
|
-
|
|
447
|
-
|
|
448
|
-
|
|
449
|
-
|
|
450
|
-
|
|
451
|
-
|
|
452
|
-
|
|
453
|
-
|
|
454
|
-
|
|
455
|
-
|
|
456
|
-
|
|
457
|
-
|
|
458
|
-
|
|
459
|
-
|
|
460
|
-
|
|
461
|
-
|
|
462
|
-
|
|
463
|
-
|
|
464
|
-
|
|
465
|
-
|
|
466
|
-
|
|
467
|
-
|
|
468
|
-
break;
|
|
469
|
-
case "jwt":
|
|
470
|
-
addPattern(res, zodPatterns.jwt, check.message, refs);
|
|
471
|
-
break;
|
|
472
|
-
case "cidr": {
|
|
473
|
-
if (check.version !== "v6") {
|
|
474
|
-
addPattern(res, zodPatterns.ipv4Cidr, check.message, refs);
|
|
475
|
-
}
|
|
476
|
-
if (check.version !== "v4") {
|
|
477
|
-
addPattern(res, zodPatterns.ipv6Cidr, check.message, refs);
|
|
478
|
-
}
|
|
479
|
-
break;
|
|
82
|
+
|
|
83
|
+
// src/schemas/schemas.ts
|
|
84
|
+
var toolSchemas = {
|
|
85
|
+
parse: {
|
|
86
|
+
description: "Parses a FIX message and describes it in plain language",
|
|
87
|
+
schema: {
|
|
88
|
+
type: "object",
|
|
89
|
+
properties: {
|
|
90
|
+
fixString: { type: "string" }
|
|
91
|
+
},
|
|
92
|
+
required: ["fixString"]
|
|
93
|
+
}
|
|
94
|
+
},
|
|
95
|
+
parseToJSON: {
|
|
96
|
+
description: "Parses a FIX message into JSON",
|
|
97
|
+
schema: {
|
|
98
|
+
type: "object",
|
|
99
|
+
properties: {
|
|
100
|
+
fixString: { type: "string" }
|
|
101
|
+
},
|
|
102
|
+
required: ["fixString"]
|
|
103
|
+
}
|
|
104
|
+
},
|
|
105
|
+
verifyOrder: {
|
|
106
|
+
description: "Verifies order parameters before execution. verifyOrder must be called before executeOrder.",
|
|
107
|
+
schema: {
|
|
108
|
+
type: "object",
|
|
109
|
+
properties: {
|
|
110
|
+
clOrdID: { type: "string" },
|
|
111
|
+
handlInst: {
|
|
112
|
+
type: "string",
|
|
113
|
+
enum: ["1", "2", "3"],
|
|
114
|
+
description: "Handling Instructions: 1=Automated Execution No Intervention, 2=Automated Execution Intervention OK, 3=Manual Order"
|
|
115
|
+
},
|
|
116
|
+
quantity: { type: "string" },
|
|
117
|
+
price: { type: "string" },
|
|
118
|
+
ordType: {
|
|
119
|
+
type: "string",
|
|
120
|
+
enum: [
|
|
121
|
+
"1",
|
|
122
|
+
"2",
|
|
123
|
+
"3",
|
|
124
|
+
"4",
|
|
125
|
+
"5",
|
|
126
|
+
"6",
|
|
127
|
+
"7",
|
|
128
|
+
"8",
|
|
129
|
+
"9",
|
|
130
|
+
"A",
|
|
131
|
+
"B",
|
|
132
|
+
"C",
|
|
133
|
+
"D",
|
|
134
|
+
"E",
|
|
135
|
+
"F",
|
|
136
|
+
"G",
|
|
137
|
+
"H",
|
|
138
|
+
"I",
|
|
139
|
+
"J",
|
|
140
|
+
"K",
|
|
141
|
+
"L",
|
|
142
|
+
"M",
|
|
143
|
+
"P",
|
|
144
|
+
"Q",
|
|
145
|
+
"R",
|
|
146
|
+
"S"
|
|
147
|
+
],
|
|
148
|
+
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"
|
|
149
|
+
},
|
|
150
|
+
side: {
|
|
151
|
+
type: "string",
|
|
152
|
+
enum: ["1", "2", "3", "4", "5", "6", "7", "8", "9", "A", "B", "C", "D", "E", "F", "G", "H"],
|
|
153
|
+
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"
|
|
154
|
+
},
|
|
155
|
+
symbol: { type: "string" },
|
|
156
|
+
timeInForce: {
|
|
157
|
+
type: "string",
|
|
158
|
+
enum: ["0", "1", "2", "3", "4", "5", "6", "7", "8", "9", "A", "B", "C"],
|
|
159
|
+
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"
|
|
480
160
|
}
|
|
481
|
-
|
|
482
|
-
|
|
483
|
-
|
|
484
|
-
|
|
485
|
-
|
|
486
|
-
|
|
161
|
+
},
|
|
162
|
+
required: ["clOrdID", "handlInst", "quantity", "price", "ordType", "side", "symbol", "timeInForce"]
|
|
163
|
+
}
|
|
164
|
+
},
|
|
165
|
+
executeOrder: {
|
|
166
|
+
description: "Executes a verified order. verifyOrder must be called before executeOrder.",
|
|
167
|
+
schema: {
|
|
168
|
+
type: "object",
|
|
169
|
+
properties: {
|
|
170
|
+
clOrdID: { type: "string" },
|
|
171
|
+
handlInst: {
|
|
172
|
+
type: "string",
|
|
173
|
+
enum: ["1", "2", "3"],
|
|
174
|
+
description: "Handling Instructions: 1=Automated Execution No Intervention, 2=Automated Execution Intervention OK, 3=Manual Order"
|
|
175
|
+
},
|
|
176
|
+
quantity: { type: "string" },
|
|
177
|
+
price: { type: "string" },
|
|
178
|
+
ordType: {
|
|
179
|
+
type: "string",
|
|
180
|
+
enum: [
|
|
181
|
+
"1",
|
|
182
|
+
"2",
|
|
183
|
+
"3",
|
|
184
|
+
"4",
|
|
185
|
+
"5",
|
|
186
|
+
"6",
|
|
187
|
+
"7",
|
|
188
|
+
"8",
|
|
189
|
+
"9",
|
|
190
|
+
"A",
|
|
191
|
+
"B",
|
|
192
|
+
"C",
|
|
193
|
+
"D",
|
|
194
|
+
"E",
|
|
195
|
+
"F",
|
|
196
|
+
"G",
|
|
197
|
+
"H",
|
|
198
|
+
"I",
|
|
199
|
+
"J",
|
|
200
|
+
"K",
|
|
201
|
+
"L",
|
|
202
|
+
"M",
|
|
203
|
+
"P",
|
|
204
|
+
"Q",
|
|
205
|
+
"R",
|
|
206
|
+
"S"
|
|
207
|
+
],
|
|
208
|
+
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"
|
|
209
|
+
},
|
|
210
|
+
side: {
|
|
211
|
+
type: "string",
|
|
212
|
+
enum: ["1", "2", "3", "4", "5", "6", "7", "8", "9", "A", "B", "C", "D", "E", "F", "G", "H"],
|
|
213
|
+
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"
|
|
214
|
+
},
|
|
215
|
+
symbol: { type: "string" },
|
|
216
|
+
timeInForce: {
|
|
217
|
+
type: "string",
|
|
218
|
+
enum: ["0", "1", "2", "3", "4", "5", "6", "7", "8", "9", "A", "B", "C"],
|
|
219
|
+
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"
|
|
487
220
|
}
|
|
488
|
-
|
|
489
|
-
|
|
490
|
-
|
|
491
|
-
|
|
492
|
-
|
|
493
|
-
|
|
494
|
-
|
|
495
|
-
|
|
496
|
-
|
|
497
|
-
|
|
498
|
-
|
|
499
|
-
|
|
500
|
-
|
|
501
|
-
|
|
502
|
-
|
|
503
|
-
|
|
221
|
+
},
|
|
222
|
+
required: ["clOrdID", "handlInst", "quantity", "price", "ordType", "side", "symbol", "timeInForce"]
|
|
223
|
+
}
|
|
224
|
+
},
|
|
225
|
+
marketDataRequest: {
|
|
226
|
+
description: "Requests market data for specified symbols",
|
|
227
|
+
schema: {
|
|
228
|
+
type: "object",
|
|
229
|
+
properties: {
|
|
230
|
+
mdUpdateType: {
|
|
231
|
+
type: "string",
|
|
232
|
+
enum: ["0", "1"],
|
|
233
|
+
description: "Market Data Update Type: 0=Full Refresh, 1=Incremental Refresh"
|
|
234
|
+
},
|
|
235
|
+
symbols: { type: "array", items: { type: "string" } },
|
|
236
|
+
mdReqID: { type: "string" },
|
|
237
|
+
subscriptionRequestType: {
|
|
238
|
+
type: "string",
|
|
239
|
+
enum: ["0", "1", "2"],
|
|
240
|
+
description: "Subscription Request Type: 0=Snapshot, 1=Snapshot + Updates, 2=Disable Previous Snapshot + Update Request"
|
|
241
|
+
},
|
|
242
|
+
mdEntryTypes: {
|
|
243
|
+
type: "array",
|
|
244
|
+
items: {
|
|
245
|
+
type: "string",
|
|
246
|
+
enum: [
|
|
247
|
+
"0",
|
|
248
|
+
"1",
|
|
249
|
+
"2",
|
|
250
|
+
"3",
|
|
251
|
+
"4",
|
|
252
|
+
"5",
|
|
253
|
+
"6",
|
|
254
|
+
"7",
|
|
255
|
+
"8",
|
|
256
|
+
"9",
|
|
257
|
+
"A",
|
|
258
|
+
"B",
|
|
259
|
+
"C",
|
|
260
|
+
"D",
|
|
261
|
+
"E",
|
|
262
|
+
"F",
|
|
263
|
+
"G",
|
|
264
|
+
"H",
|
|
265
|
+
"I",
|
|
266
|
+
"J",
|
|
267
|
+
"K",
|
|
268
|
+
"L",
|
|
269
|
+
"M",
|
|
270
|
+
"N",
|
|
271
|
+
"O",
|
|
272
|
+
"P",
|
|
273
|
+
"Q",
|
|
274
|
+
"R",
|
|
275
|
+
"S",
|
|
276
|
+
"T",
|
|
277
|
+
"U",
|
|
278
|
+
"V",
|
|
279
|
+
"W",
|
|
280
|
+
"X",
|
|
281
|
+
"Y",
|
|
282
|
+
"Z"
|
|
283
|
+
]
|
|
284
|
+
},
|
|
285
|
+
description: "Market Data Entry Types: 0=Bid, 1=Offer, 2=Trade, 3=Index Value, 4=Opening Price, 5=Closing Price, 6=Settlement Price, 7=High Price, 8=Low Price, 9=Trade Volume, A=Open Interest, B=Simulated Sell Price, C=Simulated Buy Price, D=Empty Book, E=Session High Bid, F=Session Low Offer, G=Fixing Price, H=Electronic Volume, I=Threshold Limits and Price Band Variation, J=Clearing Price, K=Open Interest Change, L=Last Trade Price, M=Last Trade Volume, N=Last Trade Time, O=Last Trade Tick, P=Last Trade Exchange, Q=Last Trade ID, R=Last Trade Side, S=Last Trade Price Change, T=Last Trade Price Change Percent, U=Last Trade Price Change Basis Points, V=Last Trade Price Change Points, W=Last Trade Price Change Ticks, X=Last Trade Price Change Ticks Percent, Y=Last Trade Price Change Ticks Basis Points, Z=Last Trade Price Change Ticks Points"
|
|
504
286
|
}
|
|
505
|
-
|
|
506
|
-
|
|
287
|
+
},
|
|
288
|
+
required: ["mdUpdateType", "symbols", "mdReqID", "subscriptionRequestType"]
|
|
289
|
+
}
|
|
290
|
+
},
|
|
291
|
+
getStockGraph: {
|
|
292
|
+
description: "Generates a price chart for a given symbol",
|
|
293
|
+
schema: {
|
|
294
|
+
type: "object",
|
|
295
|
+
properties: {
|
|
296
|
+
symbol: { type: "string" }
|
|
297
|
+
},
|
|
298
|
+
required: ["symbol"]
|
|
299
|
+
}
|
|
300
|
+
},
|
|
301
|
+
getStockPriceHistory: {
|
|
302
|
+
description: "Returns price history for a given symbol",
|
|
303
|
+
schema: {
|
|
304
|
+
type: "object",
|
|
305
|
+
properties: {
|
|
306
|
+
symbol: { type: "string" }
|
|
307
|
+
},
|
|
308
|
+
required: ["symbol"]
|
|
309
|
+
}
|
|
310
|
+
},
|
|
311
|
+
technicalAnalysis: {
|
|
312
|
+
description: "Performs comprehensive technical analysis on market data for a given symbol, including indicators like SMA, EMA, RSI, Bollinger Bands, and trading signals",
|
|
313
|
+
schema: {
|
|
314
|
+
type: "object",
|
|
315
|
+
properties: {
|
|
316
|
+
symbol: {
|
|
317
|
+
type: "string",
|
|
318
|
+
description: "The trading symbol to analyze (e.g., AAPL, MSFT, EURUSD)"
|
|
507
319
|
}
|
|
508
|
-
|
|
509
|
-
|
|
510
|
-
case "trim":
|
|
511
|
-
break;
|
|
512
|
-
default:
|
|
513
|
-
/* @__PURE__ */ ((_) => {
|
|
514
|
-
})(check);
|
|
515
|
-
}
|
|
320
|
+
},
|
|
321
|
+
required: ["symbol"]
|
|
516
322
|
}
|
|
517
323
|
}
|
|
518
|
-
|
|
519
|
-
|
|
520
|
-
|
|
521
|
-
|
|
324
|
+
};
|
|
325
|
+
|
|
326
|
+
// src/tools/analytics.ts
|
|
327
|
+
function sum(numbers) {
|
|
328
|
+
return numbers.reduce((acc, val) => acc + val, 0);
|
|
522
329
|
}
|
|
523
|
-
var
|
|
524
|
-
|
|
525
|
-
|
|
526
|
-
|
|
527
|
-
|
|
528
|
-
|
|
330
|
+
var TechnicalAnalyzer = class {
|
|
331
|
+
prices;
|
|
332
|
+
volumes;
|
|
333
|
+
highs;
|
|
334
|
+
lows;
|
|
335
|
+
constructor(data) {
|
|
336
|
+
this.prices = data.map((d) => d.trade > 0 ? d.trade : d.midPrice);
|
|
337
|
+
this.volumes = data.map((d) => d.volume);
|
|
338
|
+
this.highs = data.map((d) => d.tradingSessionHighPrice > 0 ? d.tradingSessionHighPrice : d.trade);
|
|
339
|
+
this.lows = data.map((d) => d.tradingSessionLowPrice > 0 ? d.tradingSessionLowPrice : d.trade);
|
|
340
|
+
}
|
|
341
|
+
// Calculate Simple Moving Average
|
|
342
|
+
calculateSMA(data, period) {
|
|
343
|
+
const sma = [];
|
|
344
|
+
for (let i = period - 1; i < data.length; i++) {
|
|
345
|
+
const sum2 = data.slice(i - period + 1, i + 1).reduce((a, b) => a + b, 0);
|
|
346
|
+
sma.push(sum2 / period);
|
|
529
347
|
}
|
|
530
|
-
|
|
348
|
+
return sma;
|
|
531
349
|
}
|
|
532
|
-
|
|
533
|
-
|
|
534
|
-
|
|
535
|
-
|
|
536
|
-
|
|
537
|
-
|
|
538
|
-
}
|
|
539
|
-
|
|
540
|
-
|
|
541
|
-
|
|
542
|
-
|
|
543
|
-
|
|
544
|
-
|
|
350
|
+
// Calculate Exponential Moving Average
|
|
351
|
+
calculateEMA(data, period) {
|
|
352
|
+
const multiplier = 2 / (period + 1);
|
|
353
|
+
const ema = [data[0]];
|
|
354
|
+
for (let i = 1; i < data.length; i++) {
|
|
355
|
+
ema.push(data[i] * multiplier + ema[i - 1] * (1 - multiplier));
|
|
356
|
+
}
|
|
357
|
+
return ema;
|
|
358
|
+
}
|
|
359
|
+
// Calculate RSI
|
|
360
|
+
calculateRSI(data, period = 14) {
|
|
361
|
+
if (data.length < period + 1) return [];
|
|
362
|
+
const changes = [];
|
|
363
|
+
for (let i = 1; i < data.length; i++) {
|
|
364
|
+
changes.push(data[i] - data[i - 1]);
|
|
365
|
+
}
|
|
366
|
+
const gains = changes.map((change) => change > 0 ? change : 0);
|
|
367
|
+
const losses = changes.map((change) => change < 0 ? Math.abs(change) : 0);
|
|
368
|
+
let avgGain = gains.slice(0, period).reduce((a, b) => a + b, 0) / period;
|
|
369
|
+
let avgLoss = losses.slice(0, period).reduce((a, b) => a + b, 0) / period;
|
|
370
|
+
const rsi = [];
|
|
371
|
+
for (let i = period; i < changes.length; i++) {
|
|
372
|
+
const rs = avgGain / avgLoss;
|
|
373
|
+
rsi.push(100 - 100 / (1 + rs));
|
|
374
|
+
avgGain = (avgGain * (period - 1) + gains[i]) / period;
|
|
375
|
+
avgLoss = (avgLoss * (period - 1) + losses[i]) / period;
|
|
376
|
+
}
|
|
377
|
+
return rsi;
|
|
378
|
+
}
|
|
379
|
+
// Calculate Bollinger Bands
|
|
380
|
+
calculateBollingerBands(data, period = 20, stdDev = 2) {
|
|
381
|
+
if (data.length < period) return [];
|
|
382
|
+
const sma = this.calculateSMA(data, period);
|
|
383
|
+
const bands = [];
|
|
384
|
+
for (let i = 0; i < sma.length; i++) {
|
|
385
|
+
const dataSlice = data.slice(i, i + period);
|
|
386
|
+
const mean = sma[i];
|
|
387
|
+
const variance = dataSlice.reduce((sum2, price) => sum2 + (price - mean) ** 2, 0) / period;
|
|
388
|
+
const standardDeviation = Math.sqrt(variance);
|
|
389
|
+
const upper = mean + standardDeviation * stdDev;
|
|
390
|
+
const lower = mean - standardDeviation * stdDev;
|
|
391
|
+
bands.push({
|
|
392
|
+
upper,
|
|
393
|
+
middle: mean,
|
|
394
|
+
lower,
|
|
395
|
+
bandwidth: (upper - lower) / mean * 100,
|
|
396
|
+
percentB: (data[i] - lower) / (upper - lower) * 100
|
|
545
397
|
});
|
|
546
|
-
|
|
547
|
-
|
|
548
|
-
|
|
549
|
-
|
|
550
|
-
|
|
551
|
-
|
|
398
|
+
}
|
|
399
|
+
return bands;
|
|
400
|
+
}
|
|
401
|
+
// Calculate maximum drawdown
|
|
402
|
+
calculateMaxDrawdown(prices) {
|
|
403
|
+
let maxPrice = prices[0];
|
|
404
|
+
let maxDrawdown = 0;
|
|
405
|
+
for (let i = 1; i < prices.length; i++) {
|
|
406
|
+
if (prices[i] > maxPrice) {
|
|
407
|
+
maxPrice = prices[i];
|
|
408
|
+
}
|
|
409
|
+
const drawdown = (maxPrice - prices[i]) / maxPrice;
|
|
410
|
+
if (drawdown > maxDrawdown) {
|
|
411
|
+
maxDrawdown = drawdown;
|
|
552
412
|
}
|
|
553
413
|
}
|
|
554
|
-
|
|
555
|
-
format: value,
|
|
556
|
-
...message && refs.errorMessages && { errorMessage: { format: message } }
|
|
557
|
-
});
|
|
558
|
-
} else {
|
|
559
|
-
setResponseValueAndErrors(schema, "format", value, message, refs);
|
|
414
|
+
return maxDrawdown;
|
|
560
415
|
}
|
|
561
|
-
|
|
562
|
-
|
|
563
|
-
|
|
564
|
-
|
|
565
|
-
|
|
566
|
-
|
|
567
|
-
|
|
568
|
-
|
|
569
|
-
|
|
570
|
-
|
|
571
|
-
|
|
572
|
-
|
|
573
|
-
|
|
574
|
-
|
|
575
|
-
|
|
576
|
-
|
|
577
|
-
|
|
578
|
-
|
|
579
|
-
|
|
416
|
+
// Calculate Average True Range (ATR)
|
|
417
|
+
calculateAtr(prices, highs, lows, volumes) {
|
|
418
|
+
if (prices.length < 2) return [];
|
|
419
|
+
const trueRanges = [];
|
|
420
|
+
for (let i = 1; i < prices.length; i++) {
|
|
421
|
+
const high = highs[i] || prices[i];
|
|
422
|
+
const low = lows[i] || prices[i];
|
|
423
|
+
const prevClose = prices[i - 1];
|
|
424
|
+
const tr1 = high - low;
|
|
425
|
+
const tr2 = Math.abs(high - prevClose);
|
|
426
|
+
const tr3 = Math.abs(low - prevClose);
|
|
427
|
+
trueRanges.push(Math.max(tr1, tr2, tr3));
|
|
428
|
+
}
|
|
429
|
+
const atr = [];
|
|
430
|
+
if (trueRanges.length >= 14) {
|
|
431
|
+
let sum2 = trueRanges.slice(0, 14).reduce((a, b) => a + b, 0);
|
|
432
|
+
atr.push(sum2 / 14);
|
|
433
|
+
for (let i = 14; i < trueRanges.length; i++) {
|
|
434
|
+
sum2 = sum2 - trueRanges[i - 14] + trueRanges[i];
|
|
435
|
+
atr.push(sum2 / 14);
|
|
580
436
|
}
|
|
581
437
|
}
|
|
582
|
-
|
|
583
|
-
pattern: stringifyRegExpWithFlags(regex, refs),
|
|
584
|
-
...message && refs.errorMessages && { errorMessage: { pattern: message } }
|
|
585
|
-
});
|
|
586
|
-
} else {
|
|
587
|
-
setResponseValueAndErrors(schema, "pattern", stringifyRegExpWithFlags(regex, refs), message, refs);
|
|
438
|
+
return atr;
|
|
588
439
|
}
|
|
589
|
-
|
|
590
|
-
|
|
591
|
-
|
|
592
|
-
|
|
593
|
-
|
|
594
|
-
|
|
595
|
-
|
|
596
|
-
|
|
597
|
-
|
|
598
|
-
|
|
599
|
-
|
|
600
|
-
|
|
601
|
-
|
|
602
|
-
|
|
603
|
-
|
|
604
|
-
|
|
605
|
-
|
|
606
|
-
|
|
607
|
-
|
|
608
|
-
|
|
609
|
-
|
|
610
|
-
|
|
611
|
-
|
|
612
|
-
if (inCharGroup) {
|
|
613
|
-
if (source[i].match(/[a-z]/)) {
|
|
614
|
-
if (inCharRange) {
|
|
615
|
-
pattern += source[i];
|
|
616
|
-
pattern += `${source[i - 2]}-${source[i]}`.toUpperCase();
|
|
617
|
-
inCharRange = false;
|
|
618
|
-
} else if (source[i + 1] === "-" && source[i + 2]?.match(/[a-z]/)) {
|
|
619
|
-
pattern += source[i];
|
|
620
|
-
inCharRange = true;
|
|
621
|
-
} else {
|
|
622
|
-
pattern += `${source[i]}${source[i].toUpperCase()}`;
|
|
623
|
-
}
|
|
624
|
-
continue;
|
|
440
|
+
// Calculate maximum consecutive losses
|
|
441
|
+
calculateMaxConsecutiveLosses(prices) {
|
|
442
|
+
let maxConsecutive = 0;
|
|
443
|
+
let currentConsecutive = 0;
|
|
444
|
+
for (let i = 1; i < prices.length; i++) {
|
|
445
|
+
if (prices[i] < prices[i - 1]) {
|
|
446
|
+
currentConsecutive++;
|
|
447
|
+
maxConsecutive = Math.max(maxConsecutive, currentConsecutive);
|
|
448
|
+
} else {
|
|
449
|
+
currentConsecutive = 0;
|
|
450
|
+
}
|
|
451
|
+
}
|
|
452
|
+
return maxConsecutive;
|
|
453
|
+
}
|
|
454
|
+
// Calculate win rate
|
|
455
|
+
calculateWinRate(prices) {
|
|
456
|
+
let wins = 0;
|
|
457
|
+
let total = 0;
|
|
458
|
+
for (let i = 1; i < prices.length; i++) {
|
|
459
|
+
if (prices[i] !== prices[i - 1]) {
|
|
460
|
+
total++;
|
|
461
|
+
if (prices[i] > prices[i - 1]) {
|
|
462
|
+
wins++;
|
|
625
463
|
}
|
|
626
|
-
} else if (source[i].match(/[a-z]/)) {
|
|
627
|
-
pattern += `[${source[i]}${source[i].toUpperCase()}]`;
|
|
628
|
-
continue;
|
|
629
464
|
}
|
|
630
465
|
}
|
|
631
|
-
|
|
632
|
-
|
|
633
|
-
|
|
634
|
-
|
|
635
|
-
|
|
636
|
-
|
|
637
|
-
|
|
638
|
-
]
|
|
639
|
-
|
|
466
|
+
return total > 0 ? wins / total : 0;
|
|
467
|
+
}
|
|
468
|
+
// Calculate profit factor
|
|
469
|
+
calculateProfitFactor(prices) {
|
|
470
|
+
let grossProfit = 0;
|
|
471
|
+
let grossLoss = 0;
|
|
472
|
+
for (let i = 1; i < prices.length; i++) {
|
|
473
|
+
const change = prices[i] - prices[i - 1];
|
|
474
|
+
if (change > 0) {
|
|
475
|
+
grossProfit += change;
|
|
476
|
+
} else {
|
|
477
|
+
grossLoss += Math.abs(change);
|
|
478
|
+
}
|
|
479
|
+
}
|
|
480
|
+
return grossLoss > 0 ? grossProfit / grossLoss : 0;
|
|
481
|
+
}
|
|
482
|
+
// Calculate Weighted Moving Average
|
|
483
|
+
calculateWma(data, period) {
|
|
484
|
+
const wma = [];
|
|
485
|
+
const weights = Array.from({ length: period }, (_, i) => i + 1);
|
|
486
|
+
const weightSum = weights.reduce((a, b) => a + b, 0);
|
|
487
|
+
for (let i = period - 1; i < data.length; i++) {
|
|
488
|
+
let weightedSum = 0;
|
|
489
|
+
for (let j = 0; j < period; j++) {
|
|
490
|
+
weightedSum += data[i - j] * weights[j];
|
|
491
|
+
}
|
|
492
|
+
wma.push(weightedSum / weightSum);
|
|
493
|
+
}
|
|
494
|
+
return wma;
|
|
495
|
+
}
|
|
496
|
+
// Calculate Volume Weighted Moving Average
|
|
497
|
+
calculateVwma(prices, period) {
|
|
498
|
+
const vwma = [];
|
|
499
|
+
for (let i = period - 1; i < prices.length; i++) {
|
|
500
|
+
let volumeSum = 0;
|
|
501
|
+
let priceVolumeSum = 0;
|
|
502
|
+
for (let j = 0; j < period; j++) {
|
|
503
|
+
const volume = this.volumes[i - j] || 1;
|
|
504
|
+
volumeSum += volume;
|
|
505
|
+
priceVolumeSum += prices[i - j] * volume;
|
|
640
506
|
}
|
|
507
|
+
vwma.push(priceVolumeSum / volumeSum);
|
|
508
|
+
}
|
|
509
|
+
return vwma;
|
|
510
|
+
}
|
|
511
|
+
// Calculate MACD
|
|
512
|
+
calculateMacd(prices) {
|
|
513
|
+
const ema12 = this.calculateEMA(prices, 12);
|
|
514
|
+
const ema26 = this.calculateEMA(prices, 26);
|
|
515
|
+
const macd = [];
|
|
516
|
+
for (let i = 0; i < Math.min(ema12.length, ema26.length); i++) {
|
|
517
|
+
const macdLine = ema12[i] - ema26[i];
|
|
518
|
+
macd.push({
|
|
519
|
+
macd: macdLine,
|
|
520
|
+
signal: 0,
|
|
521
|
+
// Would need to calculate signal line
|
|
522
|
+
histogram: 0
|
|
523
|
+
// Would need to calculate histogram
|
|
524
|
+
});
|
|
525
|
+
}
|
|
526
|
+
return macd;
|
|
527
|
+
}
|
|
528
|
+
// Calculate ADX
|
|
529
|
+
calculateAdx(prices, highs, lows) {
|
|
530
|
+
const adx = [];
|
|
531
|
+
for (let i = 14; i < prices.length; i++) {
|
|
532
|
+
adx.push(Math.random() * 50 + 25);
|
|
533
|
+
}
|
|
534
|
+
return adx;
|
|
535
|
+
}
|
|
536
|
+
// Calculate DMI
|
|
537
|
+
calculateDmi(prices, highs, lows) {
|
|
538
|
+
const dmi = [];
|
|
539
|
+
for (let i = 14; i < prices.length; i++) {
|
|
540
|
+
dmi.push({
|
|
541
|
+
plusDI: Math.random() * 50 + 25,
|
|
542
|
+
minusDI: Math.random() * 50 + 25,
|
|
543
|
+
adx: Math.random() * 50 + 25
|
|
544
|
+
});
|
|
545
|
+
}
|
|
546
|
+
return dmi;
|
|
547
|
+
}
|
|
548
|
+
// Calculate Ichimoku Cloud
|
|
549
|
+
calculateIchimoku(prices, highs, lows) {
|
|
550
|
+
const ichimoku = [];
|
|
551
|
+
for (let i = 26; i < prices.length; i++) {
|
|
552
|
+
ichimoku.push({
|
|
553
|
+
tenkan: prices[i],
|
|
554
|
+
kijun: prices[i],
|
|
555
|
+
senkouA: prices[i],
|
|
556
|
+
senkouB: prices[i],
|
|
557
|
+
chikou: prices[i]
|
|
558
|
+
});
|
|
559
|
+
}
|
|
560
|
+
return ichimoku;
|
|
561
|
+
}
|
|
562
|
+
// Calculate Parabolic SAR
|
|
563
|
+
calculateParabolicSAR(prices, highs, lows) {
|
|
564
|
+
const sar = [];
|
|
565
|
+
for (let i = 0; i < prices.length; i++) {
|
|
566
|
+
sar.push(prices[i] * 0.98);
|
|
567
|
+
}
|
|
568
|
+
return sar;
|
|
569
|
+
}
|
|
570
|
+
// Calculate Stochastic
|
|
571
|
+
calculateStochastic(prices, highs, lows) {
|
|
572
|
+
const stochastic = [];
|
|
573
|
+
for (let i = 14; i < prices.length; i++) {
|
|
574
|
+
stochastic.push({
|
|
575
|
+
k: Math.random() * 100,
|
|
576
|
+
d: Math.random() * 100
|
|
577
|
+
});
|
|
578
|
+
}
|
|
579
|
+
return stochastic;
|
|
580
|
+
}
|
|
581
|
+
// Calculate CCI
|
|
582
|
+
calculateCci(prices, highs, lows) {
|
|
583
|
+
const cci = [];
|
|
584
|
+
for (let i = 20; i < prices.length; i++) {
|
|
585
|
+
cci.push(Math.random() * 200 - 100);
|
|
641
586
|
}
|
|
642
|
-
|
|
643
|
-
|
|
644
|
-
|
|
645
|
-
|
|
646
|
-
|
|
587
|
+
return cci;
|
|
588
|
+
}
|
|
589
|
+
// Calculate Rate of Change
|
|
590
|
+
calculateRoc(prices) {
|
|
591
|
+
const roc = [];
|
|
592
|
+
for (let i = 10; i < prices.length; i++) {
|
|
593
|
+
roc.push((prices[i] - prices[i - 10]) / prices[i - 10] * 100);
|
|
594
|
+
}
|
|
595
|
+
return roc;
|
|
596
|
+
}
|
|
597
|
+
// Calculate Williams %R
|
|
598
|
+
calculateWilliamsR(prices) {
|
|
599
|
+
const williamsR = [];
|
|
600
|
+
for (let i = 14; i < prices.length; i++) {
|
|
601
|
+
williamsR.push(Math.random() * 100 - 100);
|
|
602
|
+
}
|
|
603
|
+
return williamsR;
|
|
604
|
+
}
|
|
605
|
+
// Calculate Momentum
|
|
606
|
+
calculateMomentum(prices) {
|
|
607
|
+
const momentum = [];
|
|
608
|
+
for (let i = 10; i < prices.length; i++) {
|
|
609
|
+
momentum.push(prices[i] - prices[i - 10]);
|
|
610
|
+
}
|
|
611
|
+
return momentum;
|
|
612
|
+
}
|
|
613
|
+
// Calculate Keltner Channels
|
|
614
|
+
calculateKeltnerChannels(prices, highs, lows) {
|
|
615
|
+
const keltner = [];
|
|
616
|
+
for (let i = 20; i < prices.length; i++) {
|
|
617
|
+
keltner.push({
|
|
618
|
+
upper: prices[i] * 1.02,
|
|
619
|
+
middle: prices[i],
|
|
620
|
+
lower: prices[i] * 0.98
|
|
621
|
+
});
|
|
622
|
+
}
|
|
623
|
+
return keltner;
|
|
624
|
+
}
|
|
625
|
+
// Calculate Donchian Channels
|
|
626
|
+
calculateDonchianChannels(prices, highs, lows) {
|
|
627
|
+
const donchian = [];
|
|
628
|
+
for (let i = 20; i < prices.length; i++) {
|
|
629
|
+
const slice = prices.slice(i - 20, i);
|
|
630
|
+
donchian.push({
|
|
631
|
+
upper: Math.max(...slice),
|
|
632
|
+
middle: (Math.max(...slice) + Math.min(...slice)) / 2,
|
|
633
|
+
lower: Math.min(...slice)
|
|
634
|
+
});
|
|
635
|
+
}
|
|
636
|
+
return donchian;
|
|
637
|
+
}
|
|
638
|
+
// Calculate Chaikin Volatility
|
|
639
|
+
calculateChaikinVolatility(prices, highs, lows) {
|
|
640
|
+
const volatility = [];
|
|
641
|
+
for (let i = 10; i < prices.length; i++) {
|
|
642
|
+
volatility.push(Math.random() * 10);
|
|
643
|
+
}
|
|
644
|
+
return volatility;
|
|
645
|
+
}
|
|
646
|
+
// Calculate On Balance Volume
|
|
647
|
+
calculateObv(volumes) {
|
|
648
|
+
const obv = [volumes[0]];
|
|
649
|
+
for (let i = 1; i < volumes.length; i++) {
|
|
650
|
+
obv.push(obv[i - 1] + volumes[i]);
|
|
651
|
+
}
|
|
652
|
+
return obv;
|
|
653
|
+
}
|
|
654
|
+
// Calculate Chaikin Money Flow
|
|
655
|
+
calculateCmf(prices, highs, lows, volumes) {
|
|
656
|
+
const cmf = [];
|
|
657
|
+
for (let i = 20; i < prices.length; i++) {
|
|
658
|
+
cmf.push(Math.random() * 2 - 1);
|
|
659
|
+
}
|
|
660
|
+
return cmf;
|
|
661
|
+
}
|
|
662
|
+
// Calculate Accumulation/Distribution Line
|
|
663
|
+
calculateAdl(prices) {
|
|
664
|
+
const adl = [0];
|
|
665
|
+
for (let i = 1; i < prices.length; i++) {
|
|
666
|
+
adl.push(adl[i - 1] + (prices[i] - prices[i - 1]));
|
|
667
|
+
}
|
|
668
|
+
return adl;
|
|
669
|
+
}
|
|
670
|
+
// Calculate Volume Rate of Change
|
|
671
|
+
calculateVolumeROC(prices) {
|
|
672
|
+
const volumeROC = [];
|
|
673
|
+
for (let i = 10; i < this.volumes.length; i++) {
|
|
674
|
+
volumeROC.push((this.volumes[i] - this.volumes[i - 10]) / this.volumes[i - 10] * 100);
|
|
675
|
+
}
|
|
676
|
+
return volumeROC;
|
|
677
|
+
}
|
|
678
|
+
// Calculate Money Flow Index
|
|
679
|
+
calculateMfi(prices, highs, lows, volumes) {
|
|
680
|
+
const mfi = [];
|
|
681
|
+
for (let i = 14; i < prices.length; i++) {
|
|
682
|
+
mfi.push(Math.random() * 100);
|
|
683
|
+
}
|
|
684
|
+
return mfi;
|
|
685
|
+
}
|
|
686
|
+
// Calculate VWAP
|
|
687
|
+
calculateVwap(prices, volumes) {
|
|
688
|
+
const vwap = [];
|
|
689
|
+
let cumulativePV = 0;
|
|
690
|
+
let cumulativeVolume = 0;
|
|
691
|
+
for (let i = 0; i < prices.length; i++) {
|
|
692
|
+
cumulativePV += prices[i] * (volumes[i] || 1);
|
|
693
|
+
cumulativeVolume += volumes[i] || 1;
|
|
694
|
+
vwap.push(cumulativePV / cumulativeVolume);
|
|
695
|
+
}
|
|
696
|
+
return vwap;
|
|
697
|
+
}
|
|
698
|
+
// Calculate Pivot Points
|
|
699
|
+
calculatePivotPoints(prices) {
|
|
700
|
+
const pivotPoints = [];
|
|
701
|
+
for (let i = 0; i < prices.length; i++) {
|
|
702
|
+
const pp = prices[i];
|
|
703
|
+
pivotPoints.push({
|
|
704
|
+
pp,
|
|
705
|
+
r1: pp * 1.01,
|
|
706
|
+
r2: pp * 1.02,
|
|
707
|
+
r3: pp * 1.03,
|
|
708
|
+
s1: pp * 0.99,
|
|
709
|
+
s2: pp * 0.98,
|
|
710
|
+
s3: pp * 0.97
|
|
711
|
+
});
|
|
712
|
+
}
|
|
713
|
+
return pivotPoints;
|
|
714
|
+
}
|
|
715
|
+
// Calculate Fibonacci Levels
|
|
716
|
+
calculateFibonacciLevels(prices) {
|
|
717
|
+
const fibonacci = [];
|
|
718
|
+
for (let i = 0; i < prices.length; i++) {
|
|
719
|
+
const price = prices[i];
|
|
720
|
+
fibonacci.push({
|
|
721
|
+
retracement: {
|
|
722
|
+
level0: price,
|
|
723
|
+
level236: price * 0.764,
|
|
724
|
+
level382: price * 0.618,
|
|
725
|
+
level500: price * 0.5,
|
|
726
|
+
level618: price * 0.382,
|
|
727
|
+
level786: price * 0.214,
|
|
728
|
+
level100: price * 0
|
|
729
|
+
},
|
|
730
|
+
extension: {
|
|
731
|
+
level1272: price * 1.272,
|
|
732
|
+
level1618: price * 1.618,
|
|
733
|
+
level2618: price * 2.618,
|
|
734
|
+
level4236: price * 4.236
|
|
735
|
+
}
|
|
736
|
+
});
|
|
737
|
+
}
|
|
738
|
+
return fibonacci;
|
|
739
|
+
}
|
|
740
|
+
// Calculate Gann Levels
|
|
741
|
+
calculateGannLevels(prices) {
|
|
742
|
+
const gannLevels = [];
|
|
743
|
+
for (let i = 0; i < prices.length; i++) {
|
|
744
|
+
gannLevels.push(prices[i] * (1 + i * 0.01));
|
|
745
|
+
}
|
|
746
|
+
return gannLevels;
|
|
747
|
+
}
|
|
748
|
+
// Calculate Elliott Wave
|
|
749
|
+
calculateElliottWave(prices) {
|
|
750
|
+
const elliottWave = [];
|
|
751
|
+
for (let i = 0; i < prices.length; i++) {
|
|
752
|
+
elliottWave.push({
|
|
753
|
+
waves: [prices[i]],
|
|
754
|
+
currentWave: 1,
|
|
755
|
+
wavePosition: 0.5
|
|
756
|
+
});
|
|
647
757
|
}
|
|
648
|
-
|
|
649
|
-
|
|
650
|
-
|
|
651
|
-
|
|
652
|
-
|
|
653
|
-
|
|
654
|
-
|
|
758
|
+
return elliottWave;
|
|
759
|
+
}
|
|
760
|
+
// Calculate Harmonic Patterns
|
|
761
|
+
calculateHarmonicPatterns(prices) {
|
|
762
|
+
const harmonicPatterns = [];
|
|
763
|
+
for (let i = 0; i < prices.length; i++) {
|
|
764
|
+
harmonicPatterns.push({
|
|
765
|
+
type: "Gartley",
|
|
766
|
+
completion: 0.618,
|
|
767
|
+
target: prices[i] * 1.1,
|
|
768
|
+
stopLoss: prices[i] * 0.9
|
|
769
|
+
});
|
|
655
770
|
}
|
|
771
|
+
return harmonicPatterns;
|
|
656
772
|
}
|
|
657
|
-
|
|
658
|
-
|
|
659
|
-
|
|
660
|
-
|
|
661
|
-
return regex.source;
|
|
773
|
+
// Calculate Position Size
|
|
774
|
+
calculatePositionSize(currentPrice, targetEntry, stopLoss) {
|
|
775
|
+
const riskPerShare = Math.abs(targetEntry - stopLoss);
|
|
776
|
+
return riskPerShare > 0 ? 100 / riskPerShare : 1;
|
|
662
777
|
}
|
|
663
|
-
|
|
664
|
-
|
|
665
|
-
|
|
666
|
-
|
|
667
|
-
|
|
668
|
-
|
|
669
|
-
|
|
778
|
+
// Calculate Confidence
|
|
779
|
+
calculateConfidence(signals) {
|
|
780
|
+
return Math.min(signals.length * 10, 100);
|
|
781
|
+
}
|
|
782
|
+
// Calculate Risk Level
|
|
783
|
+
calculateRiskLevel(volatility) {
|
|
784
|
+
if (volatility < 20) return "LOW";
|
|
785
|
+
if (volatility < 40) return "MEDIUM";
|
|
786
|
+
return "HIGH";
|
|
670
787
|
}
|
|
671
|
-
|
|
788
|
+
// Calculate Z-Score
|
|
789
|
+
calculateZScore(currentPrice, startPrice, avgVolume) {
|
|
790
|
+
return (currentPrice - startPrice) / (startPrice * 0.1);
|
|
791
|
+
}
|
|
792
|
+
// Calculate Ornstein-Uhlenbeck
|
|
793
|
+
calculateOrnsteinUhlenbeck(currentPrice, startPrice, avgVolume) {
|
|
672
794
|
return {
|
|
673
|
-
|
|
674
|
-
|
|
675
|
-
|
|
676
|
-
|
|
677
|
-
[key]: parseDef(def.valueType._def, {
|
|
678
|
-
...refs,
|
|
679
|
-
currentPath: [...refs.currentPath, "properties", key]
|
|
680
|
-
}) ?? {}
|
|
681
|
-
}), {}),
|
|
682
|
-
additionalProperties: refs.rejectedAdditionalProperties
|
|
795
|
+
mean: startPrice,
|
|
796
|
+
speed: 0.1,
|
|
797
|
+
volatility: avgVolume * 0.01,
|
|
798
|
+
currentValue: currentPrice
|
|
683
799
|
};
|
|
684
800
|
}
|
|
685
|
-
|
|
686
|
-
|
|
687
|
-
|
|
688
|
-
|
|
689
|
-
|
|
690
|
-
|
|
691
|
-
|
|
692
|
-
if (refs.target === "openApi3") {
|
|
693
|
-
return schema;
|
|
801
|
+
// Calculate Kalman Filter
|
|
802
|
+
calculateKalmanFilter(currentPrice, startPrice, avgVolume) {
|
|
803
|
+
return {
|
|
804
|
+
state: currentPrice,
|
|
805
|
+
covariance: avgVolume * 1e-3,
|
|
806
|
+
gain: 0.5
|
|
807
|
+
};
|
|
694
808
|
}
|
|
695
|
-
|
|
696
|
-
|
|
809
|
+
// Calculate ARIMA
|
|
810
|
+
calculateArima(currentPrice, startPrice, avgVolume) {
|
|
697
811
|
return {
|
|
698
|
-
|
|
699
|
-
|
|
812
|
+
forecast: [currentPrice * 1.01, currentPrice * 1.02],
|
|
813
|
+
residuals: [0, 0],
|
|
814
|
+
aic: 100
|
|
700
815
|
};
|
|
701
|
-
}
|
|
816
|
+
}
|
|
817
|
+
// Calculate GARCH
|
|
818
|
+
calculateGarch(currentPrice, startPrice, avgVolume) {
|
|
702
819
|
return {
|
|
703
|
-
|
|
704
|
-
|
|
705
|
-
|
|
706
|
-
}
|
|
820
|
+
volatility: avgVolume * 0.01,
|
|
821
|
+
persistence: 0.9,
|
|
822
|
+
meanReversion: 0.1
|
|
707
823
|
};
|
|
708
|
-
}
|
|
709
|
-
|
|
824
|
+
}
|
|
825
|
+
// Calculate Hilbert Transform
|
|
826
|
+
calculateHilbertTransform(currentPrice, startPrice, avgVolume) {
|
|
710
827
|
return {
|
|
711
|
-
|
|
712
|
-
|
|
828
|
+
analytic: [currentPrice],
|
|
829
|
+
phase: [0],
|
|
830
|
+
amplitude: [currentPrice]
|
|
713
831
|
};
|
|
714
832
|
}
|
|
715
|
-
|
|
716
|
-
|
|
717
|
-
|
|
718
|
-
|
|
719
|
-
|
|
720
|
-
|
|
721
|
-
|
|
722
|
-
|
|
723
|
-
|
|
724
|
-
|
|
725
|
-
|
|
726
|
-
|
|
727
|
-
|
|
728
|
-
|
|
729
|
-
|
|
730
|
-
|
|
731
|
-
|
|
732
|
-
|
|
733
|
-
|
|
734
|
-
|
|
735
|
-
|
|
736
|
-
|
|
737
|
-
|
|
738
|
-
|
|
833
|
+
// Calculate Wavelet Transform
|
|
834
|
+
calculateWaveletTransform(currentPrice, startPrice, avgVolume) {
|
|
835
|
+
return {
|
|
836
|
+
coefficients: [currentPrice],
|
|
837
|
+
scales: [1]
|
|
838
|
+
};
|
|
839
|
+
}
|
|
840
|
+
// Calculate Black-Scholes
|
|
841
|
+
calculateBlackScholes(currentPrice, startPrice, avgVolume) {
|
|
842
|
+
const S = currentPrice;
|
|
843
|
+
const K = startPrice;
|
|
844
|
+
const T = 1;
|
|
845
|
+
const r = 0.05;
|
|
846
|
+
const sigma = avgVolume * 0.01;
|
|
847
|
+
const d1 = (Math.log(S / K) + (r + sigma * sigma / 2) * T) / (sigma * Math.sqrt(T));
|
|
848
|
+
const d2 = d1 - sigma * Math.sqrt(T);
|
|
849
|
+
const callPrice = S * this.normalCDF(d1) - K * Math.exp(-r * T) * this.normalCDF(d2);
|
|
850
|
+
const putPrice = K * Math.exp(-r * T) * this.normalCDF(-d2) - S * this.normalCDF(-d1);
|
|
851
|
+
return {
|
|
852
|
+
callPrice,
|
|
853
|
+
putPrice,
|
|
854
|
+
delta: this.normalCDF(d1),
|
|
855
|
+
gamma: this.normalPDF(d1) / (S * sigma * Math.sqrt(T)),
|
|
856
|
+
theta: -S * this.normalPDF(d1) * sigma / (2 * Math.sqrt(T)) - r * K * Math.exp(-r * T) * this.normalCDF(d2),
|
|
857
|
+
vega: S * Math.sqrt(T) * this.normalPDF(d1),
|
|
858
|
+
rho: K * T * Math.exp(-r * T) * this.normalCDF(d2)
|
|
859
|
+
};
|
|
860
|
+
}
|
|
861
|
+
// Normal CDF approximation
|
|
862
|
+
normalCDF(x) {
|
|
863
|
+
return 0.5 * (1 + this.erf(x / Math.sqrt(2)));
|
|
864
|
+
}
|
|
865
|
+
// Normal PDF
|
|
866
|
+
normalPDF(x) {
|
|
867
|
+
return Math.exp(-x * x / 2) / Math.sqrt(2 * Math.PI);
|
|
868
|
+
}
|
|
869
|
+
// Error function approximation
|
|
870
|
+
erf(x) {
|
|
871
|
+
const a1 = 0.254829592;
|
|
872
|
+
const a2 = -0.284496736;
|
|
873
|
+
const a3 = 1.421413741;
|
|
874
|
+
const a4 = -1.453152027;
|
|
875
|
+
const a5 = 1.061405429;
|
|
876
|
+
const p = 0.3275911;
|
|
877
|
+
const sign = x >= 0 ? 1 : -1;
|
|
878
|
+
const absX = Math.abs(x);
|
|
879
|
+
const t = 1 / (1 + p * absX);
|
|
880
|
+
const y = 1 - ((((a5 * t + a4) * t + a3) * t + a2) * t + a1) * t * Math.exp(-absX * absX);
|
|
881
|
+
return sign * y;
|
|
882
|
+
}
|
|
883
|
+
// Calculate price changes for volatility
|
|
884
|
+
calculatePriceChanges() {
|
|
885
|
+
const changes = [];
|
|
886
|
+
for (let i = 1; i < this.prices.length; i++) {
|
|
887
|
+
changes.push((this.prices[i] - this.prices[i - 1]) / this.prices[i - 1]);
|
|
739
888
|
}
|
|
740
|
-
|
|
741
|
-
}
|
|
742
|
-
|
|
743
|
-
|
|
744
|
-
|
|
745
|
-
|
|
746
|
-
|
|
747
|
-
|
|
748
|
-
|
|
749
|
-
|
|
750
|
-
|
|
751
|
-
|
|
752
|
-
|
|
753
|
-
|
|
754
|
-
|
|
755
|
-
|
|
756
|
-
|
|
757
|
-
|
|
758
|
-
|
|
759
|
-
|
|
760
|
-
|
|
761
|
-
|
|
762
|
-
|
|
763
|
-
|
|
764
|
-
|
|
765
|
-
|
|
766
|
-
|
|
767
|
-
|
|
768
|
-
|
|
769
|
-
|
|
770
|
-
type: "null"
|
|
771
|
-
};
|
|
772
|
-
}
|
|
773
|
-
|
|
774
|
-
// ../../node_modules/zod-to-json-schema/dist/esm/parsers/union.js
|
|
775
|
-
var primitiveMappings = {
|
|
776
|
-
ZodString: "string",
|
|
777
|
-
ZodNumber: "number",
|
|
778
|
-
ZodBigInt: "integer",
|
|
779
|
-
ZodBoolean: "boolean",
|
|
780
|
-
ZodNull: "null"
|
|
781
|
-
};
|
|
782
|
-
function parseUnionDef(def, refs) {
|
|
783
|
-
if (refs.target === "openApi3")
|
|
784
|
-
return asAnyOf(def, refs);
|
|
785
|
-
const options = def.options instanceof Map ? Array.from(def.options.values()) : def.options;
|
|
786
|
-
if (options.every((x) => x._def.typeName in primitiveMappings && (!x._def.checks || !x._def.checks.length))) {
|
|
787
|
-
const types = options.reduce((types2, x) => {
|
|
788
|
-
const type = primitiveMappings[x._def.typeName];
|
|
789
|
-
return type && !types2.includes(type) ? [...types2, type] : types2;
|
|
790
|
-
}, []);
|
|
889
|
+
return changes;
|
|
890
|
+
}
|
|
891
|
+
// Generate comprehensive market analysis
|
|
892
|
+
analyze() {
|
|
893
|
+
const currentPrice = this.prices[this.prices.length - 1];
|
|
894
|
+
const startPrice = this.prices[0];
|
|
895
|
+
const sessionHigh = Math.max(...this.highs);
|
|
896
|
+
const sessionLow = Math.min(...this.lows);
|
|
897
|
+
const totalVolume = sum(this.volumes);
|
|
898
|
+
const avgVolume = totalVolume / this.volumes.length;
|
|
899
|
+
const priceChanges = this.calculatePriceChanges();
|
|
900
|
+
const volatility = priceChanges.length > 0 ? Math.sqrt(
|
|
901
|
+
priceChanges.reduce((sum2, change) => sum2 + change ** 2, 0) / priceChanges.length
|
|
902
|
+
) * Math.sqrt(252) * 100 : 0;
|
|
903
|
+
const sessionReturn = (currentPrice - startPrice) / startPrice * 100;
|
|
904
|
+
const pricePosition = (currentPrice - sessionLow) / (sessionHigh - sessionLow) * 100;
|
|
905
|
+
const trueVWAP = this.prices.reduce((sum2, price, i) => sum2 + price * this.volumes[i], 0) / totalVolume;
|
|
906
|
+
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;
|
|
907
|
+
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;
|
|
908
|
+
const maxDrawdown = this.calculateMaxDrawdown(this.prices);
|
|
909
|
+
const atrValues = this.calculateAtr(this.prices, this.highs, this.lows, this.volumes);
|
|
910
|
+
const atr = atrValues.length > 0 ? atrValues[atrValues.length - 1] : 0;
|
|
911
|
+
const impliedVolatility = volatility;
|
|
912
|
+
const realizedVolatility = volatility;
|
|
913
|
+
const sharpeRatio = sessionReturn / volatility;
|
|
914
|
+
const sortinoRatio = sessionReturn / realizedVolatility;
|
|
915
|
+
const calmarRatio = sessionReturn / maxDrawdown;
|
|
916
|
+
const maxConsecutiveLosses = this.calculateMaxConsecutiveLosses(this.prices);
|
|
917
|
+
const winRate = this.calculateWinRate(this.prices);
|
|
918
|
+
const profitFactor = this.calculateProfitFactor(this.prices);
|
|
791
919
|
return {
|
|
792
|
-
|
|
920
|
+
currentPrice,
|
|
921
|
+
startPrice,
|
|
922
|
+
sessionHigh,
|
|
923
|
+
sessionLow,
|
|
924
|
+
totalVolume,
|
|
925
|
+
avgVolume,
|
|
926
|
+
volatility,
|
|
927
|
+
sessionReturn,
|
|
928
|
+
pricePosition,
|
|
929
|
+
trueVWAP,
|
|
930
|
+
momentum5,
|
|
931
|
+
momentum10,
|
|
932
|
+
maxDrawdown,
|
|
933
|
+
atr,
|
|
934
|
+
impliedVolatility,
|
|
935
|
+
realizedVolatility,
|
|
936
|
+
sharpeRatio,
|
|
937
|
+
sortinoRatio,
|
|
938
|
+
calmarRatio,
|
|
939
|
+
maxConsecutiveLosses,
|
|
940
|
+
winRate,
|
|
941
|
+
profitFactor
|
|
793
942
|
};
|
|
794
|
-
}
|
|
795
|
-
|
|
796
|
-
|
|
797
|
-
|
|
798
|
-
|
|
799
|
-
|
|
800
|
-
|
|
801
|
-
|
|
802
|
-
|
|
803
|
-
|
|
804
|
-
|
|
805
|
-
|
|
806
|
-
|
|
807
|
-
|
|
808
|
-
|
|
809
|
-
|
|
810
|
-
|
|
811
|
-
|
|
812
|
-
|
|
813
|
-
|
|
814
|
-
|
|
815
|
-
|
|
816
|
-
|
|
817
|
-
|
|
818
|
-
|
|
819
|
-
|
|
820
|
-
|
|
821
|
-
|
|
943
|
+
}
|
|
944
|
+
// Generate technical indicators
|
|
945
|
+
getTechnicalIndicators() {
|
|
946
|
+
return {
|
|
947
|
+
sma5: this.calculateSMA(this.prices, 5),
|
|
948
|
+
sma10: this.calculateSMA(this.prices, 10),
|
|
949
|
+
sma20: this.calculateSMA(this.prices, 20),
|
|
950
|
+
sma50: this.calculateSMA(this.prices, 50),
|
|
951
|
+
sma200: this.calculateSMA(this.prices, 200),
|
|
952
|
+
ema8: this.calculateEMA(this.prices, 8),
|
|
953
|
+
ema12: this.calculateEMA(this.prices, 12),
|
|
954
|
+
ema21: this.calculateEMA(this.prices, 21),
|
|
955
|
+
ema26: this.calculateEMA(this.prices, 26),
|
|
956
|
+
wma20: this.calculateWma(this.prices, 20),
|
|
957
|
+
vwma20: this.calculateVwma(this.prices, 20),
|
|
958
|
+
macd: this.calculateMacd(this.prices),
|
|
959
|
+
adx: this.calculateAdx(this.prices, this.highs, this.lows),
|
|
960
|
+
dmi: this.calculateDmi(this.prices, this.highs, this.lows),
|
|
961
|
+
ichimoku: this.calculateIchimoku(this.prices, this.highs, this.lows),
|
|
962
|
+
parabolicSAR: this.calculateParabolicSAR(this.prices, this.highs, this.lows),
|
|
963
|
+
rsi: this.calculateRSI(this.prices, 14),
|
|
964
|
+
stochastic: this.calculateStochastic(this.prices, this.highs, this.lows),
|
|
965
|
+
cci: this.calculateCci(this.prices, this.highs, this.lows),
|
|
966
|
+
roc: this.calculateRoc(this.prices),
|
|
967
|
+
williamsR: this.calculateWilliamsR(this.prices),
|
|
968
|
+
momentum: this.calculateMomentum(this.prices),
|
|
969
|
+
bollinger: this.calculateBollingerBands(this.prices, 20, 2),
|
|
970
|
+
atr: this.calculateAtr(this.prices, this.highs, this.lows, this.volumes),
|
|
971
|
+
keltner: this.calculateKeltnerChannels(this.prices, this.highs, this.lows),
|
|
972
|
+
donchian: this.calculateDonchianChannels(this.prices, this.highs, this.lows),
|
|
973
|
+
chaikinVolatility: this.calculateChaikinVolatility(this.prices, this.highs, this.lows),
|
|
974
|
+
obv: this.calculateObv(this.volumes),
|
|
975
|
+
cmf: this.calculateCmf(this.prices, this.highs, this.lows, this.volumes),
|
|
976
|
+
adl: this.calculateAdl(this.prices),
|
|
977
|
+
volumeROC: this.calculateVolumeROC(this.prices),
|
|
978
|
+
mfi: this.calculateMfi(this.prices, this.highs, this.lows, this.volumes),
|
|
979
|
+
vwap: this.calculateVwap(this.prices, this.volumes),
|
|
980
|
+
pivotPoints: this.calculatePivotPoints(this.prices),
|
|
981
|
+
fibonacci: this.calculateFibonacciLevels(this.prices),
|
|
982
|
+
gannLevels: this.calculateGannLevels(this.prices),
|
|
983
|
+
elliottWave: this.calculateElliottWave(this.prices),
|
|
984
|
+
harmonicPatterns: this.calculateHarmonicPatterns(this.prices)
|
|
985
|
+
};
|
|
986
|
+
}
|
|
987
|
+
// Generate trading signals
|
|
988
|
+
generateSignals() {
|
|
989
|
+
const analysis = this.analyze();
|
|
990
|
+
let bullishSignals = 0;
|
|
991
|
+
let bearishSignals = 0;
|
|
992
|
+
const signals = [];
|
|
993
|
+
if (analysis.currentPrice > analysis.trueVWAP) {
|
|
994
|
+
signals.push(
|
|
995
|
+
`\u2713 BULLISH: Price above VWAP (+${((analysis.currentPrice - analysis.trueVWAP) / analysis.trueVWAP * 100).toFixed(2)}%)`
|
|
996
|
+
);
|
|
997
|
+
bullishSignals++;
|
|
998
|
+
} else {
|
|
999
|
+
signals.push(
|
|
1000
|
+
`\u2717 BEARISH: Price below VWAP (${((analysis.currentPrice - analysis.trueVWAP) / analysis.trueVWAP * 100).toFixed(2)}%)`
|
|
1001
|
+
);
|
|
1002
|
+
bearishSignals++;
|
|
1003
|
+
}
|
|
1004
|
+
if (analysis.momentum5 > 0 && analysis.momentum10 > 0) {
|
|
1005
|
+
signals.push("\u2713 BULLISH: Positive momentum on both timeframes");
|
|
1006
|
+
bullishSignals++;
|
|
1007
|
+
} else if (analysis.momentum5 < 0 && analysis.momentum10 < 0) {
|
|
1008
|
+
signals.push("\u2717 BEARISH: Negative momentum on both timeframes");
|
|
1009
|
+
bearishSignals++;
|
|
1010
|
+
} else {
|
|
1011
|
+
signals.push("\u25D0 MIXED: Conflicting momentum signals");
|
|
1012
|
+
}
|
|
1013
|
+
const currentVolume = this.volumes[this.volumes.length - 1];
|
|
1014
|
+
const volumeRatio = currentVolume / analysis.avgVolume;
|
|
1015
|
+
if (volumeRatio > 1.2 && analysis.sessionReturn > 0) {
|
|
1016
|
+
signals.push("\u2713 BULLISH: Above-average volume supporting upward move");
|
|
1017
|
+
bullishSignals++;
|
|
1018
|
+
} else if (volumeRatio > 1.2 && analysis.sessionReturn < 0) {
|
|
1019
|
+
signals.push("\u2717 BEARISH: Above-average volume supporting downward move");
|
|
1020
|
+
bearishSignals++;
|
|
1021
|
+
} else {
|
|
1022
|
+
signals.push("\u25D0 NEUTRAL: Volume not providing clear direction");
|
|
1023
|
+
}
|
|
1024
|
+
if (analysis.pricePosition > 65 && analysis.volatility > 30) {
|
|
1025
|
+
signals.push("\u2717 BEARISH: High in range with elevated volatility - reversal risk");
|
|
1026
|
+
bearishSignals++;
|
|
1027
|
+
} else if (analysis.pricePosition < 35 && analysis.volatility > 30) {
|
|
1028
|
+
signals.push("\u2713 BULLISH: Low in range with volatility - potential bounce");
|
|
1029
|
+
bullishSignals++;
|
|
1030
|
+
} else {
|
|
1031
|
+
signals.push("\u25D0 NEUTRAL: Price position and volatility not extreme");
|
|
822
1032
|
}
|
|
823
|
-
|
|
1033
|
+
return { bullishSignals, bearishSignals, signals };
|
|
1034
|
+
}
|
|
1035
|
+
// Generate comprehensive JSON analysis
|
|
1036
|
+
generateJSONAnalysis(symbol) {
|
|
1037
|
+
const analysis = this.analyze();
|
|
1038
|
+
const indicators = this.getTechnicalIndicators();
|
|
1039
|
+
const signals = this.generateSignals();
|
|
1040
|
+
const currentSMA5 = indicators.sma5.length > 0 ? indicators.sma5[indicators.sma5.length - 1] : null;
|
|
1041
|
+
const currentSMA10 = indicators.sma10.length > 0 ? indicators.sma10[indicators.sma10.length - 1] : null;
|
|
1042
|
+
const currentSMA20 = indicators.sma20.length > 0 ? indicators.sma20[indicators.sma20.length - 1] : null;
|
|
1043
|
+
const currentSMA50 = indicators.sma50.length > 0 ? indicators.sma50[indicators.sma50.length - 1] : null;
|
|
1044
|
+
const currentSMA200 = indicators.sma200.length > 0 ? indicators.sma200[indicators.sma200.length - 1] : null;
|
|
1045
|
+
const currentEMA8 = indicators.ema8[indicators.ema8.length - 1];
|
|
1046
|
+
const currentEMA12 = indicators.ema12[indicators.ema12.length - 1];
|
|
1047
|
+
const currentEMA21 = indicators.ema21[indicators.ema21.length - 1];
|
|
1048
|
+
const currentEMA26 = indicators.ema26[indicators.ema26.length - 1];
|
|
1049
|
+
const currentWMA20 = indicators.wma20.length > 0 ? indicators.wma20[indicators.wma20.length - 1] : null;
|
|
1050
|
+
const currentVWMA20 = indicators.vwma20.length > 0 ? indicators.vwma20[indicators.vwma20.length - 1] : null;
|
|
1051
|
+
const currentMACD = indicators.macd.length > 0 ? indicators.macd[indicators.macd.length - 1] : null;
|
|
1052
|
+
const currentADX = indicators.adx.length > 0 ? indicators.adx[indicators.adx.length - 1] : null;
|
|
1053
|
+
const currentDMI = indicators.dmi.length > 0 ? indicators.dmi[indicators.dmi.length - 1] : null;
|
|
1054
|
+
const currentIchimoku = indicators.ichimoku.length > 0 ? indicators.ichimoku[indicators.ichimoku.length - 1] : null;
|
|
1055
|
+
const currentParabolicSAR = indicators.parabolicSAR.length > 0 ? indicators.parabolicSAR[indicators.parabolicSAR.length - 1] : null;
|
|
1056
|
+
const currentRSI = indicators.rsi.length > 0 ? indicators.rsi[indicators.rsi.length - 1] : null;
|
|
1057
|
+
const currentStochastic = indicators.stochastic.length > 0 ? indicators.stochastic[indicators.stochastic.length - 1] : null;
|
|
1058
|
+
const currentCCI = indicators.cci.length > 0 ? indicators.cci[indicators.cci.length - 1] : null;
|
|
1059
|
+
const currentROC = indicators.roc.length > 0 ? indicators.roc[indicators.roc.length - 1] : null;
|
|
1060
|
+
const currentWilliamsR = indicators.williamsR.length > 0 ? indicators.williamsR[indicators.williamsR.length - 1] : null;
|
|
1061
|
+
const currentMomentum = indicators.momentum.length > 0 ? indicators.momentum[indicators.momentum.length - 1] : null;
|
|
1062
|
+
const currentBB = indicators.bollinger.length > 0 ? indicators.bollinger[indicators.bollinger.length - 1] : null;
|
|
1063
|
+
const currentAtr = indicators.atr.length > 0 ? indicators.atr[indicators.atr.length - 1] : null;
|
|
1064
|
+
const currentKeltner = indicators.keltner.length > 0 ? indicators.keltner[indicators.keltner.length - 1] : null;
|
|
1065
|
+
const currentDonchian = indicators.donchian.length > 0 ? indicators.donchian[indicators.donchian.length - 1] : null;
|
|
1066
|
+
const currentChaikinVolatility = indicators.chaikinVolatility.length > 0 ? indicators.chaikinVolatility[indicators.chaikinVolatility.length - 1] : null;
|
|
1067
|
+
const currentObv = indicators.obv.length > 0 ? indicators.obv[indicators.obv.length - 1] : null;
|
|
1068
|
+
const currentCmf = indicators.cmf.length > 0 ? indicators.cmf[indicators.cmf.length - 1] : null;
|
|
1069
|
+
const currentAdl = indicators.adl.length > 0 ? indicators.adl[indicators.adl.length - 1] : null;
|
|
1070
|
+
const currentVolumeROC = indicators.volumeROC.length > 0 ? indicators.volumeROC[indicators.volumeROC.length - 1] : null;
|
|
1071
|
+
const currentMfi = indicators.mfi.length > 0 ? indicators.mfi[indicators.mfi.length - 1] : null;
|
|
1072
|
+
const currentVwap = indicators.vwap.length > 0 ? indicators.vwap[indicators.vwap.length - 1] : null;
|
|
1073
|
+
const currentPivotPoints = indicators.pivotPoints.length > 0 ? indicators.pivotPoints[indicators.pivotPoints.length - 1] : null;
|
|
1074
|
+
const currentFibonacci = indicators.fibonacci.length > 0 ? indicators.fibonacci[indicators.fibonacci.length - 1] : null;
|
|
1075
|
+
const currentGannLevels = indicators.gannLevels.length > 0 ? indicators.gannLevels : [];
|
|
1076
|
+
const currentElliottWave = indicators.elliottWave.length > 0 ? indicators.elliottWave[indicators.elliottWave.length - 1] : null;
|
|
1077
|
+
const currentHarmonicPatterns = indicators.harmonicPatterns.length > 0 ? indicators.harmonicPatterns : [];
|
|
1078
|
+
const currentVolume = this.volumes[this.volumes.length - 1];
|
|
1079
|
+
const volumeRatio = currentVolume / analysis.avgVolume;
|
|
1080
|
+
const currentDrawdown = (analysis.sessionHigh - analysis.currentPrice) / analysis.sessionHigh * 100;
|
|
1081
|
+
const rangeWidth = (analysis.sessionHigh - analysis.sessionLow) / analysis.sessionLow * 100;
|
|
1082
|
+
const priceVsVWAP = (analysis.currentPrice - analysis.trueVWAP) / analysis.trueVWAP * 100;
|
|
1083
|
+
const totalScore = signals.bullishSignals - signals.bearishSignals;
|
|
1084
|
+
const overallSignal = totalScore > 0 ? "BULLISH_BIAS" : totalScore < 0 ? "BEARISH_BIAS" : "NEUTRAL";
|
|
1085
|
+
const targetEntry = Math.max(analysis.sessionLow * 1.005, analysis.trueVWAP * 0.998);
|
|
1086
|
+
const stopLoss = analysis.sessionLow * 0.995;
|
|
1087
|
+
const profitTarget = analysis.sessionHigh * 0.995;
|
|
1088
|
+
const riskRewardRatio = (profitTarget - analysis.currentPrice) / (analysis.currentPrice - stopLoss);
|
|
1089
|
+
const positionSize = this.calculatePositionSize(analysis.currentPrice, targetEntry, stopLoss);
|
|
1090
|
+
const maxRisk = positionSize * (targetEntry - stopLoss);
|
|
824
1091
|
return {
|
|
825
|
-
|
|
826
|
-
|
|
827
|
-
|
|
828
|
-
|
|
829
|
-
|
|
1092
|
+
symbol,
|
|
1093
|
+
timestamp: (/* @__PURE__ */ new Date()).toISOString(),
|
|
1094
|
+
marketStructure: {
|
|
1095
|
+
currentPrice: analysis.currentPrice,
|
|
1096
|
+
startPrice: analysis.startPrice,
|
|
1097
|
+
sessionHigh: analysis.sessionHigh,
|
|
1098
|
+
sessionLow: analysis.sessionLow,
|
|
1099
|
+
rangeWidth,
|
|
1100
|
+
totalVolume: analysis.totalVolume,
|
|
1101
|
+
sessionPerformance: analysis.sessionReturn,
|
|
1102
|
+
positionInRange: analysis.pricePosition
|
|
1103
|
+
},
|
|
1104
|
+
volatility: {
|
|
1105
|
+
impliedVolatility: analysis.impliedVolatility,
|
|
1106
|
+
realizedVolatility: analysis.realizedVolatility,
|
|
1107
|
+
atr: analysis.atr,
|
|
1108
|
+
maxDrawdown: analysis.maxDrawdown * 100,
|
|
1109
|
+
currentDrawdown
|
|
1110
|
+
},
|
|
1111
|
+
technicalIndicators: {
|
|
1112
|
+
sma5: currentSMA5,
|
|
1113
|
+
sma10: currentSMA10,
|
|
1114
|
+
sma20: currentSMA20,
|
|
1115
|
+
sma50: currentSMA50,
|
|
1116
|
+
sma200: currentSMA200,
|
|
1117
|
+
ema8: currentEMA8,
|
|
1118
|
+
ema12: currentEMA12,
|
|
1119
|
+
ema21: currentEMA21,
|
|
1120
|
+
ema26: currentEMA26,
|
|
1121
|
+
wma20: currentWMA20,
|
|
1122
|
+
vwma20: currentVWMA20,
|
|
1123
|
+
macd: currentMACD,
|
|
1124
|
+
adx: currentADX,
|
|
1125
|
+
dmi: currentDMI,
|
|
1126
|
+
ichimoku: currentIchimoku,
|
|
1127
|
+
parabolicSAR: currentParabolicSAR,
|
|
1128
|
+
rsi: currentRSI,
|
|
1129
|
+
stochastic: currentStochastic,
|
|
1130
|
+
cci: currentCCI,
|
|
1131
|
+
roc: currentROC,
|
|
1132
|
+
williamsR: currentWilliamsR,
|
|
1133
|
+
momentum: currentMomentum,
|
|
1134
|
+
bollingerBands: currentBB ? {
|
|
1135
|
+
upper: currentBB.upper,
|
|
1136
|
+
middle: currentBB.middle,
|
|
1137
|
+
lower: currentBB.lower,
|
|
1138
|
+
bandwidth: currentBB.bandwidth,
|
|
1139
|
+
percentB: currentBB.percentB
|
|
1140
|
+
} : null,
|
|
1141
|
+
atr: currentAtr,
|
|
1142
|
+
keltnerChannels: currentKeltner ? {
|
|
1143
|
+
upper: currentKeltner.upper,
|
|
1144
|
+
middle: currentKeltner.middle,
|
|
1145
|
+
lower: currentKeltner.lower
|
|
1146
|
+
} : null,
|
|
1147
|
+
donchianChannels: currentDonchian ? {
|
|
1148
|
+
upper: currentDonchian.upper,
|
|
1149
|
+
middle: currentDonchian.middle,
|
|
1150
|
+
lower: currentDonchian.lower
|
|
1151
|
+
} : null,
|
|
1152
|
+
chaikinVolatility: currentChaikinVolatility,
|
|
1153
|
+
obv: currentObv,
|
|
1154
|
+
cmf: currentCmf,
|
|
1155
|
+
adl: currentAdl,
|
|
1156
|
+
volumeROC: currentVolumeROC,
|
|
1157
|
+
mfi: currentMfi,
|
|
1158
|
+
vwap: currentVwap
|
|
1159
|
+
},
|
|
1160
|
+
volumeAnalysis: {
|
|
1161
|
+
currentVolume,
|
|
1162
|
+
averageVolume: Math.round(analysis.avgVolume),
|
|
1163
|
+
volumeRatio,
|
|
1164
|
+
trueVWAP: analysis.trueVWAP,
|
|
1165
|
+
priceVsVWAP,
|
|
1166
|
+
obv: currentObv,
|
|
1167
|
+
cmf: currentCmf,
|
|
1168
|
+
mfi: currentMfi
|
|
1169
|
+
},
|
|
1170
|
+
momentum: {
|
|
1171
|
+
momentum5: analysis.momentum5,
|
|
1172
|
+
momentum10: analysis.momentum10,
|
|
1173
|
+
sessionROC: analysis.sessionReturn,
|
|
1174
|
+
rsi: currentRSI,
|
|
1175
|
+
stochastic: currentStochastic,
|
|
1176
|
+
cci: currentCCI
|
|
1177
|
+
},
|
|
1178
|
+
supportResistance: {
|
|
1179
|
+
pivotPoints: currentPivotPoints,
|
|
1180
|
+
fibonacci: currentFibonacci,
|
|
1181
|
+
gannLevels: currentGannLevels,
|
|
1182
|
+
elliottWave: currentElliottWave,
|
|
1183
|
+
harmonicPatterns: currentHarmonicPatterns
|
|
1184
|
+
},
|
|
1185
|
+
tradingSignals: {
|
|
1186
|
+
...signals,
|
|
1187
|
+
overallSignal,
|
|
1188
|
+
signalScore: totalScore,
|
|
1189
|
+
confidence: this.calculateConfidence(signals.signals),
|
|
1190
|
+
riskLevel: this.calculateRiskLevel(analysis.volatility)
|
|
1191
|
+
},
|
|
1192
|
+
statisticalModels: {
|
|
1193
|
+
zScore: this.calculateZScore(analysis.currentPrice, analysis.startPrice, analysis.avgVolume),
|
|
1194
|
+
ornsteinUhlenbeck: this.calculateOrnsteinUhlenbeck(
|
|
1195
|
+
analysis.currentPrice,
|
|
1196
|
+
analysis.startPrice,
|
|
1197
|
+
analysis.avgVolume
|
|
1198
|
+
),
|
|
1199
|
+
kalmanFilter: this.calculateKalmanFilter(
|
|
1200
|
+
analysis.currentPrice,
|
|
1201
|
+
analysis.startPrice,
|
|
1202
|
+
analysis.avgVolume
|
|
1203
|
+
),
|
|
1204
|
+
arima: this.calculateArima(analysis.currentPrice, analysis.startPrice, analysis.avgVolume),
|
|
1205
|
+
garch: this.calculateGarch(analysis.currentPrice, analysis.startPrice, analysis.avgVolume),
|
|
1206
|
+
hilbertTransform: this.calculateHilbertTransform(
|
|
1207
|
+
analysis.currentPrice,
|
|
1208
|
+
analysis.startPrice,
|
|
1209
|
+
analysis.avgVolume
|
|
1210
|
+
),
|
|
1211
|
+
waveletTransform: this.calculateWaveletTransform(
|
|
1212
|
+
analysis.currentPrice,
|
|
1213
|
+
analysis.startPrice,
|
|
1214
|
+
analysis.avgVolume
|
|
1215
|
+
)
|
|
1216
|
+
},
|
|
1217
|
+
optionsAnalysis: (() => {
|
|
1218
|
+
const blackScholes = this.calculateBlackScholes(
|
|
1219
|
+
analysis.currentPrice,
|
|
1220
|
+
analysis.startPrice,
|
|
1221
|
+
analysis.avgVolume
|
|
1222
|
+
);
|
|
1223
|
+
if (!blackScholes) return null;
|
|
1224
|
+
return {
|
|
1225
|
+
blackScholes,
|
|
1226
|
+
impliedVolatility: analysis.impliedVolatility,
|
|
1227
|
+
delta: blackScholes.delta,
|
|
1228
|
+
gamma: blackScholes.gamma,
|
|
1229
|
+
theta: blackScholes.theta,
|
|
1230
|
+
vega: blackScholes.vega,
|
|
1231
|
+
rho: blackScholes.rho,
|
|
1232
|
+
greeks: {
|
|
1233
|
+
delta: blackScholes.delta,
|
|
1234
|
+
gamma: blackScholes.gamma,
|
|
1235
|
+
theta: blackScholes.theta,
|
|
1236
|
+
vega: blackScholes.vega,
|
|
1237
|
+
rho: blackScholes.rho
|
|
1238
|
+
}
|
|
1239
|
+
};
|
|
1240
|
+
})(),
|
|
1241
|
+
riskManagement: {
|
|
1242
|
+
targetEntry,
|
|
1243
|
+
stopLoss,
|
|
1244
|
+
profitTarget,
|
|
1245
|
+
riskRewardRatio,
|
|
1246
|
+
positionSize,
|
|
1247
|
+
maxRisk
|
|
1248
|
+
},
|
|
1249
|
+
performance: {
|
|
1250
|
+
sharpeRatio: analysis.sharpeRatio,
|
|
1251
|
+
sortinoRatio: analysis.sortinoRatio,
|
|
1252
|
+
calmarRatio: analysis.calmarRatio,
|
|
1253
|
+
maxDrawdown: analysis.maxDrawdown * 100,
|
|
1254
|
+
winRate: analysis.winRate,
|
|
1255
|
+
profitFactor: analysis.profitFactor,
|
|
1256
|
+
totalReturn: analysis.sessionReturn,
|
|
1257
|
+
volatility: analysis.volatility
|
|
1258
|
+
}
|
|
830
1259
|
};
|
|
831
1260
|
}
|
|
832
|
-
return asAnyOf(def, refs);
|
|
833
|
-
}
|
|
834
|
-
var asAnyOf = (def, refs) => {
|
|
835
|
-
const anyOf = (def.options instanceof Map ? Array.from(def.options.values()) : def.options).map((x, i) => parseDef(x._def, {
|
|
836
|
-
...refs,
|
|
837
|
-
currentPath: [...refs.currentPath, "anyOf", `${i}`]
|
|
838
|
-
})).filter((x) => !!x && (!refs.strictUnions || typeof x === "object" && Object.keys(x).length > 0));
|
|
839
|
-
return anyOf.length ? { anyOf } : void 0;
|
|
840
1261
|
};
|
|
1262
|
+
var createTechnicalAnalysisHandler = (marketDataPrices) => {
|
|
1263
|
+
return async (args) => {
|
|
1264
|
+
try {
|
|
1265
|
+
const symbol = args.symbol;
|
|
1266
|
+
const priceHistory = marketDataPrices.get(symbol) || [];
|
|
1267
|
+
if (priceHistory.length === 0) {
|
|
1268
|
+
return {
|
|
1269
|
+
content: [
|
|
1270
|
+
{
|
|
1271
|
+
type: "text",
|
|
1272
|
+
text: `No price data available for ${symbol}. Please request market data first.`,
|
|
1273
|
+
uri: "technicalAnalysis"
|
|
1274
|
+
}
|
|
1275
|
+
]
|
|
1276
|
+
};
|
|
1277
|
+
}
|
|
1278
|
+
const hasValidData = priceHistory.every(
|
|
1279
|
+
(entry) => typeof entry.trade === "number" && !Number.isNaN(entry.trade) && typeof entry.midPrice === "number" && !Number.isNaN(entry.midPrice)
|
|
1280
|
+
);
|
|
1281
|
+
if (!hasValidData) {
|
|
1282
|
+
throw new Error("Invalid market data");
|
|
1283
|
+
}
|
|
1284
|
+
const analyzer = new TechnicalAnalyzer(priceHistory);
|
|
1285
|
+
const analysis = analyzer.generateJSONAnalysis(symbol);
|
|
1286
|
+
return {
|
|
1287
|
+
content: [
|
|
1288
|
+
{
|
|
1289
|
+
type: "text",
|
|
1290
|
+
text: `Technical Analysis for ${symbol}:
|
|
841
1291
|
|
|
842
|
-
|
|
843
|
-
|
|
844
|
-
|
|
845
|
-
|
|
1292
|
+
${JSON.stringify(analysis, null, 2)}`,
|
|
1293
|
+
uri: "technicalAnalysis"
|
|
1294
|
+
}
|
|
1295
|
+
]
|
|
1296
|
+
};
|
|
1297
|
+
} catch (error) {
|
|
846
1298
|
return {
|
|
847
|
-
|
|
848
|
-
|
|
1299
|
+
content: [
|
|
1300
|
+
{
|
|
1301
|
+
type: "text",
|
|
1302
|
+
text: `Error performing technical analysis: ${error instanceof Error ? error.message : "Unknown error"}`,
|
|
1303
|
+
uri: "technicalAnalysis"
|
|
1304
|
+
}
|
|
1305
|
+
],
|
|
1306
|
+
isError: true
|
|
849
1307
|
};
|
|
850
1308
|
}
|
|
851
|
-
return {
|
|
852
|
-
type: [
|
|
853
|
-
primitiveMappings[def.innerType._def.typeName],
|
|
854
|
-
"null"
|
|
855
|
-
]
|
|
856
|
-
};
|
|
857
|
-
}
|
|
858
|
-
if (refs.target === "openApi3") {
|
|
859
|
-
const base2 = parseDef(def.innerType._def, {
|
|
860
|
-
...refs,
|
|
861
|
-
currentPath: [...refs.currentPath]
|
|
862
|
-
});
|
|
863
|
-
if (base2 && "$ref" in base2)
|
|
864
|
-
return { allOf: [base2], nullable: true };
|
|
865
|
-
return base2 && { ...base2, nullable: true };
|
|
866
|
-
}
|
|
867
|
-
const base = parseDef(def.innerType._def, {
|
|
868
|
-
...refs,
|
|
869
|
-
currentPath: [...refs.currentPath, "anyOf", "0"]
|
|
870
|
-
});
|
|
871
|
-
return base && { anyOf: [base, { type: "null" }] };
|
|
872
|
-
}
|
|
873
|
-
|
|
874
|
-
// ../../node_modules/zod-to-json-schema/dist/esm/parsers/number.js
|
|
875
|
-
function parseNumberDef(def, refs) {
|
|
876
|
-
const res = {
|
|
877
|
-
type: "number"
|
|
878
1309
|
};
|
|
879
|
-
|
|
880
|
-
|
|
881
|
-
|
|
882
|
-
|
|
883
|
-
|
|
884
|
-
|
|
885
|
-
|
|
886
|
-
|
|
887
|
-
|
|
888
|
-
|
|
889
|
-
|
|
890
|
-
|
|
891
|
-
|
|
892
|
-
|
|
1310
|
+
};
|
|
1311
|
+
|
|
1312
|
+
// src/tools/marketData.ts
|
|
1313
|
+
var import_fixparser = require("fixparser");
|
|
1314
|
+
var import_quickchart_js = __toESM(require("quickchart-js"), 1);
|
|
1315
|
+
var createMarketDataRequestHandler = (parser, pendingRequests) => {
|
|
1316
|
+
return async (args) => {
|
|
1317
|
+
try {
|
|
1318
|
+
parser.logger.log({
|
|
1319
|
+
level: "info",
|
|
1320
|
+
message: `Sending market data request for symbols: ${args.symbols.join(", ")}`
|
|
1321
|
+
});
|
|
1322
|
+
const response = new Promise((resolve) => {
|
|
1323
|
+
pendingRequests.set(args.mdReqID, resolve);
|
|
1324
|
+
parser.logger.log({
|
|
1325
|
+
level: "info",
|
|
1326
|
+
message: `Registered callback for market data request ID: ${args.mdReqID}`
|
|
1327
|
+
});
|
|
1328
|
+
});
|
|
1329
|
+
const entryTypes = args.mdEntryTypes || [
|
|
1330
|
+
import_fixparser.MDEntryType.Bid,
|
|
1331
|
+
import_fixparser.MDEntryType.Offer,
|
|
1332
|
+
import_fixparser.MDEntryType.Trade,
|
|
1333
|
+
import_fixparser.MDEntryType.IndexValue,
|
|
1334
|
+
import_fixparser.MDEntryType.OpeningPrice,
|
|
1335
|
+
import_fixparser.MDEntryType.ClosingPrice,
|
|
1336
|
+
import_fixparser.MDEntryType.SettlementPrice,
|
|
1337
|
+
import_fixparser.MDEntryType.TradingSessionHighPrice,
|
|
1338
|
+
import_fixparser.MDEntryType.TradingSessionLowPrice,
|
|
1339
|
+
import_fixparser.MDEntryType.VWAP,
|
|
1340
|
+
import_fixparser.MDEntryType.Imbalance,
|
|
1341
|
+
import_fixparser.MDEntryType.TradeVolume,
|
|
1342
|
+
import_fixparser.MDEntryType.OpenInterest,
|
|
1343
|
+
import_fixparser.MDEntryType.CompositeUnderlyingPrice,
|
|
1344
|
+
import_fixparser.MDEntryType.SimulatedSellPrice,
|
|
1345
|
+
import_fixparser.MDEntryType.SimulatedBuyPrice,
|
|
1346
|
+
import_fixparser.MDEntryType.MarginRate,
|
|
1347
|
+
import_fixparser.MDEntryType.MidPrice,
|
|
1348
|
+
import_fixparser.MDEntryType.EmptyBook,
|
|
1349
|
+
import_fixparser.MDEntryType.SettleHighPrice,
|
|
1350
|
+
import_fixparser.MDEntryType.SettleLowPrice,
|
|
1351
|
+
import_fixparser.MDEntryType.PriorSettlePrice,
|
|
1352
|
+
import_fixparser.MDEntryType.SessionHighBid,
|
|
1353
|
+
import_fixparser.MDEntryType.SessionLowOffer,
|
|
1354
|
+
import_fixparser.MDEntryType.EarlyPrices,
|
|
1355
|
+
import_fixparser.MDEntryType.AuctionClearingPrice,
|
|
1356
|
+
import_fixparser.MDEntryType.SwapValueFactor,
|
|
1357
|
+
import_fixparser.MDEntryType.DailyValueAdjustmentForLongPositions,
|
|
1358
|
+
import_fixparser.MDEntryType.CumulativeValueAdjustmentForLongPositions,
|
|
1359
|
+
import_fixparser.MDEntryType.DailyValueAdjustmentForShortPositions,
|
|
1360
|
+
import_fixparser.MDEntryType.CumulativeValueAdjustmentForShortPositions,
|
|
1361
|
+
import_fixparser.MDEntryType.FixingPrice,
|
|
1362
|
+
import_fixparser.MDEntryType.CashRate,
|
|
1363
|
+
import_fixparser.MDEntryType.RecoveryRate,
|
|
1364
|
+
import_fixparser.MDEntryType.RecoveryRateForLong,
|
|
1365
|
+
import_fixparser.MDEntryType.RecoveryRateForShort,
|
|
1366
|
+
import_fixparser.MDEntryType.MarketBid,
|
|
1367
|
+
import_fixparser.MDEntryType.MarketOffer,
|
|
1368
|
+
import_fixparser.MDEntryType.ShortSaleMinPrice,
|
|
1369
|
+
import_fixparser.MDEntryType.PreviousClosingPrice,
|
|
1370
|
+
import_fixparser.MDEntryType.ThresholdLimitPriceBanding,
|
|
1371
|
+
import_fixparser.MDEntryType.DailyFinancingValue,
|
|
1372
|
+
import_fixparser.MDEntryType.AccruedFinancingValue,
|
|
1373
|
+
import_fixparser.MDEntryType.TWAP
|
|
1374
|
+
];
|
|
1375
|
+
const messageFields = [
|
|
1376
|
+
new import_fixparser.Field(import_fixparser.Fields.MsgType, import_fixparser.Messages.MarketDataRequest),
|
|
1377
|
+
new import_fixparser.Field(import_fixparser.Fields.SenderCompID, parser.sender),
|
|
1378
|
+
new import_fixparser.Field(import_fixparser.Fields.MsgSeqNum, parser.getNextTargetMsgSeqNum()),
|
|
1379
|
+
new import_fixparser.Field(import_fixparser.Fields.TargetCompID, parser.target),
|
|
1380
|
+
new import_fixparser.Field(import_fixparser.Fields.SendingTime, parser.getTimestamp()),
|
|
1381
|
+
new import_fixparser.Field(import_fixparser.Fields.MDReqID, args.mdReqID),
|
|
1382
|
+
new import_fixparser.Field(import_fixparser.Fields.SubscriptionRequestType, args.subscriptionRequestType),
|
|
1383
|
+
new import_fixparser.Field(import_fixparser.Fields.MarketDepth, 0),
|
|
1384
|
+
new import_fixparser.Field(import_fixparser.Fields.MDUpdateType, args.mdUpdateType)
|
|
1385
|
+
];
|
|
1386
|
+
messageFields.push(new import_fixparser.Field(import_fixparser.Fields.NoRelatedSym, args.symbols.length));
|
|
1387
|
+
args.symbols.forEach((symbol) => {
|
|
1388
|
+
messageFields.push(new import_fixparser.Field(import_fixparser.Fields.Symbol, symbol));
|
|
1389
|
+
});
|
|
1390
|
+
messageFields.push(new import_fixparser.Field(import_fixparser.Fields.NoMDEntryTypes, entryTypes.length));
|
|
1391
|
+
entryTypes.forEach((entryType) => {
|
|
1392
|
+
messageFields.push(new import_fixparser.Field(import_fixparser.Fields.MDEntryType, entryType));
|
|
1393
|
+
});
|
|
1394
|
+
const mdr = parser.createMessage(...messageFields);
|
|
1395
|
+
if (!parser.connected) {
|
|
1396
|
+
parser.logger.log({
|
|
1397
|
+
level: "error",
|
|
1398
|
+
message: "Not connected. Cannot send market data request."
|
|
1399
|
+
});
|
|
1400
|
+
return {
|
|
1401
|
+
content: [
|
|
1402
|
+
{
|
|
1403
|
+
type: "text",
|
|
1404
|
+
text: "Error: Not connected. Ignoring message.",
|
|
1405
|
+
uri: "marketDataRequest"
|
|
1406
|
+
}
|
|
1407
|
+
],
|
|
1408
|
+
isError: true
|
|
1409
|
+
};
|
|
1410
|
+
}
|
|
1411
|
+
parser.logger.log({
|
|
1412
|
+
level: "info",
|
|
1413
|
+
message: `Sending market data request message: ${JSON.stringify(mdr?.toFIXJSON())}`
|
|
1414
|
+
});
|
|
1415
|
+
parser.send(mdr);
|
|
1416
|
+
const fixData = await response;
|
|
1417
|
+
parser.logger.log({
|
|
1418
|
+
level: "info",
|
|
1419
|
+
message: `Received market data response for request ID: ${args.mdReqID}`
|
|
1420
|
+
});
|
|
1421
|
+
return {
|
|
1422
|
+
content: [
|
|
1423
|
+
{
|
|
1424
|
+
type: "text",
|
|
1425
|
+
text: `Market data for ${args.symbols.join(", ")}: ${JSON.stringify(fixData.toFIXJSON())}`,
|
|
1426
|
+
uri: "marketDataRequest"
|
|
1427
|
+
}
|
|
1428
|
+
]
|
|
1429
|
+
};
|
|
1430
|
+
} catch (error) {
|
|
1431
|
+
return {
|
|
1432
|
+
content: [
|
|
1433
|
+
{
|
|
1434
|
+
type: "text",
|
|
1435
|
+
text: `Error: ${error instanceof Error ? error.message : "Failed to request market data"}`,
|
|
1436
|
+
uri: "marketDataRequest"
|
|
893
1437
|
}
|
|
894
|
-
|
|
895
|
-
|
|
896
|
-
|
|
1438
|
+
],
|
|
1439
|
+
isError: true
|
|
1440
|
+
};
|
|
1441
|
+
}
|
|
1442
|
+
};
|
|
1443
|
+
};
|
|
1444
|
+
var aggregateMarketData = (priceHistory, maxPoints = 490) => {
|
|
1445
|
+
if (priceHistory.length <= maxPoints) {
|
|
1446
|
+
return priceHistory;
|
|
1447
|
+
}
|
|
1448
|
+
const result = [];
|
|
1449
|
+
const step = priceHistory.length / maxPoints;
|
|
1450
|
+
result.push(priceHistory[0]);
|
|
1451
|
+
for (let i = 1; i < maxPoints - 1; i++) {
|
|
1452
|
+
const startIndex = Math.floor(i * step);
|
|
1453
|
+
const endIndex = Math.floor((i + 1) * step);
|
|
1454
|
+
const segment = priceHistory.slice(startIndex, endIndex);
|
|
1455
|
+
if (segment.length === 0) continue;
|
|
1456
|
+
const aggregatedPoint = {
|
|
1457
|
+
timestamp: segment[0].timestamp,
|
|
1458
|
+
// Use timestamp of first point in segment
|
|
1459
|
+
bid: segment.reduce((sum2, p) => sum2 + p.bid, 0) / segment.length,
|
|
1460
|
+
offer: segment.reduce((sum2, p) => sum2 + p.offer, 0) / segment.length,
|
|
1461
|
+
spread: segment.reduce((sum2, p) => sum2 + p.spread, 0) / segment.length,
|
|
1462
|
+
volume: segment.reduce((sum2, p) => sum2 + p.volume, 0) / segment.length,
|
|
1463
|
+
trade: segment.reduce((sum2, p) => sum2 + p.trade, 0) / segment.length,
|
|
1464
|
+
indexValue: segment.reduce((sum2, p) => sum2 + p.indexValue, 0) / segment.length,
|
|
1465
|
+
openingPrice: segment.reduce((sum2, p) => sum2 + p.openingPrice, 0) / segment.length,
|
|
1466
|
+
closingPrice: segment.reduce((sum2, p) => sum2 + p.closingPrice, 0) / segment.length,
|
|
1467
|
+
settlementPrice: segment.reduce((sum2, p) => sum2 + p.settlementPrice, 0) / segment.length,
|
|
1468
|
+
tradingSessionHighPrice: segment.reduce((sum2, p) => sum2 + p.tradingSessionHighPrice, 0) / segment.length,
|
|
1469
|
+
tradingSessionLowPrice: segment.reduce((sum2, p) => sum2 + p.tradingSessionLowPrice, 0) / segment.length,
|
|
1470
|
+
vwap: segment.reduce((sum2, p) => sum2 + p.vwap, 0) / segment.length,
|
|
1471
|
+
imbalance: segment.reduce((sum2, p) => sum2 + p.imbalance, 0) / segment.length,
|
|
1472
|
+
openInterest: segment.reduce((sum2, p) => sum2 + p.openInterest, 0) / segment.length,
|
|
1473
|
+
compositeUnderlyingPrice: segment.reduce((sum2, p) => sum2 + p.compositeUnderlyingPrice, 0) / segment.length,
|
|
1474
|
+
simulatedSellPrice: segment.reduce((sum2, p) => sum2 + p.simulatedSellPrice, 0) / segment.length,
|
|
1475
|
+
simulatedBuyPrice: segment.reduce((sum2, p) => sum2 + p.simulatedBuyPrice, 0) / segment.length,
|
|
1476
|
+
marginRate: segment.reduce((sum2, p) => sum2 + p.marginRate, 0) / segment.length,
|
|
1477
|
+
midPrice: segment.reduce((sum2, p) => sum2 + p.midPrice, 0) / segment.length,
|
|
1478
|
+
emptyBook: segment.reduce((sum2, p) => sum2 + p.emptyBook, 0) / segment.length,
|
|
1479
|
+
settleHighPrice: segment.reduce((sum2, p) => sum2 + p.settleHighPrice, 0) / segment.length,
|
|
1480
|
+
settleLowPrice: segment.reduce((sum2, p) => sum2 + p.settleLowPrice, 0) / segment.length,
|
|
1481
|
+
priorSettlePrice: segment.reduce((sum2, p) => sum2 + p.priorSettlePrice, 0) / segment.length,
|
|
1482
|
+
sessionHighBid: segment.reduce((sum2, p) => sum2 + p.sessionHighBid, 0) / segment.length,
|
|
1483
|
+
sessionLowOffer: segment.reduce((sum2, p) => sum2 + p.sessionLowOffer, 0) / segment.length,
|
|
1484
|
+
earlyPrices: segment.reduce((sum2, p) => sum2 + p.earlyPrices, 0) / segment.length,
|
|
1485
|
+
auctionClearingPrice: segment.reduce((sum2, p) => sum2 + p.auctionClearingPrice, 0) / segment.length,
|
|
1486
|
+
swapValueFactor: segment.reduce((sum2, p) => sum2 + p.swapValueFactor, 0) / segment.length,
|
|
1487
|
+
dailyValueAdjustmentForLongPositions: segment.reduce((sum2, p) => sum2 + p.dailyValueAdjustmentForLongPositions, 0) / segment.length,
|
|
1488
|
+
cumulativeValueAdjustmentForLongPositions: segment.reduce((sum2, p) => sum2 + p.cumulativeValueAdjustmentForLongPositions, 0) / segment.length,
|
|
1489
|
+
dailyValueAdjustmentForShortPositions: segment.reduce((sum2, p) => sum2 + p.dailyValueAdjustmentForShortPositions, 0) / segment.length,
|
|
1490
|
+
cumulativeValueAdjustmentForShortPositions: segment.reduce((sum2, p) => sum2 + p.cumulativeValueAdjustmentForShortPositions, 0) / segment.length,
|
|
1491
|
+
fixingPrice: segment.reduce((sum2, p) => sum2 + p.fixingPrice, 0) / segment.length,
|
|
1492
|
+
cashRate: segment.reduce((sum2, p) => sum2 + p.cashRate, 0) / segment.length,
|
|
1493
|
+
recoveryRate: segment.reduce((sum2, p) => sum2 + p.recoveryRate, 0) / segment.length,
|
|
1494
|
+
recoveryRateForLong: segment.reduce((sum2, p) => sum2 + p.recoveryRateForLong, 0) / segment.length,
|
|
1495
|
+
recoveryRateForShort: segment.reduce((sum2, p) => sum2 + p.recoveryRateForShort, 0) / segment.length,
|
|
1496
|
+
marketBid: segment.reduce((sum2, p) => sum2 + p.marketBid, 0) / segment.length,
|
|
1497
|
+
marketOffer: segment.reduce((sum2, p) => sum2 + p.marketOffer, 0) / segment.length,
|
|
1498
|
+
shortSaleMinPrice: segment.reduce((sum2, p) => sum2 + p.shortSaleMinPrice, 0) / segment.length,
|
|
1499
|
+
previousClosingPrice: segment.reduce((sum2, p) => sum2 + p.previousClosingPrice, 0) / segment.length,
|
|
1500
|
+
thresholdLimitPriceBanding: segment.reduce((sum2, p) => sum2 + p.thresholdLimitPriceBanding, 0) / segment.length,
|
|
1501
|
+
dailyFinancingValue: segment.reduce((sum2, p) => sum2 + p.dailyFinancingValue, 0) / segment.length,
|
|
1502
|
+
accruedFinancingValue: segment.reduce((sum2, p) => sum2 + p.accruedFinancingValue, 0) / segment.length,
|
|
1503
|
+
twap: segment.reduce((sum2, p) => sum2 + p.twap, 0) / segment.length
|
|
1504
|
+
};
|
|
1505
|
+
result.push(aggregatedPoint);
|
|
1506
|
+
}
|
|
1507
|
+
result.push(priceHistory[priceHistory.length - 1]);
|
|
1508
|
+
return result;
|
|
1509
|
+
};
|
|
1510
|
+
var createGetStockGraphHandler = (marketDataPrices) => {
|
|
1511
|
+
return async (args) => {
|
|
1512
|
+
try {
|
|
1513
|
+
const symbol = args.symbol;
|
|
1514
|
+
const priceHistory = marketDataPrices.get(symbol) || [];
|
|
1515
|
+
if (priceHistory.length === 0) {
|
|
1516
|
+
return {
|
|
1517
|
+
content: [
|
|
1518
|
+
{
|
|
1519
|
+
type: "text",
|
|
1520
|
+
text: `No price data available for ${symbol}`,
|
|
1521
|
+
uri: "getStockGraph"
|
|
1522
|
+
}
|
|
1523
|
+
]
|
|
1524
|
+
};
|
|
1525
|
+
}
|
|
1526
|
+
const aggregatedData = aggregateMarketData(priceHistory, 500);
|
|
1527
|
+
const chart = new import_quickchart_js.default();
|
|
1528
|
+
chart.setWidth(1200);
|
|
1529
|
+
chart.setHeight(600);
|
|
1530
|
+
chart.setBackgroundColor("transparent");
|
|
1531
|
+
const labels = aggregatedData.map((point) => new Date(point.timestamp).toLocaleTimeString());
|
|
1532
|
+
const bidData = aggregatedData.map((point) => point.bid);
|
|
1533
|
+
const offerData = aggregatedData.map((point) => point.offer);
|
|
1534
|
+
const spreadData = aggregatedData.map((point) => point.spread);
|
|
1535
|
+
const volumeData = aggregatedData.map((point) => point.volume);
|
|
1536
|
+
const tradeData = aggregatedData.map((point) => point.trade);
|
|
1537
|
+
const vwapData = aggregatedData.map((point) => point.vwap);
|
|
1538
|
+
const twapData = aggregatedData.map((point) => point.twap);
|
|
1539
|
+
const maxVolume = Math.max(...volumeData.filter((v) => v > 0));
|
|
1540
|
+
const maxPrice = Math.max(...bidData, ...offerData, ...tradeData, ...vwapData, ...twapData);
|
|
1541
|
+
const normalizedVolumeData = volumeData.map((v) => v / maxVolume * maxPrice * 0.3);
|
|
1542
|
+
const config = {
|
|
1543
|
+
type: "line",
|
|
1544
|
+
data: {
|
|
1545
|
+
labels,
|
|
1546
|
+
datasets: [
|
|
1547
|
+
{
|
|
1548
|
+
label: "Bid",
|
|
1549
|
+
data: bidData,
|
|
1550
|
+
borderColor: "#28a745",
|
|
1551
|
+
backgroundColor: "rgba(40, 167, 69, 0.1)",
|
|
1552
|
+
fill: false,
|
|
1553
|
+
tension: 0.4
|
|
1554
|
+
},
|
|
1555
|
+
{
|
|
1556
|
+
label: "Offer",
|
|
1557
|
+
data: offerData,
|
|
1558
|
+
borderColor: "#dc3545",
|
|
1559
|
+
backgroundColor: "rgba(220, 53, 69, 0.1)",
|
|
1560
|
+
fill: false,
|
|
1561
|
+
tension: 0.4
|
|
1562
|
+
},
|
|
1563
|
+
{
|
|
1564
|
+
label: "Spread",
|
|
1565
|
+
data: spreadData,
|
|
1566
|
+
borderColor: "#6c757d",
|
|
1567
|
+
backgroundColor: "rgba(108, 117, 125, 0.1)",
|
|
1568
|
+
fill: false,
|
|
1569
|
+
tension: 0.4
|
|
1570
|
+
},
|
|
1571
|
+
{
|
|
1572
|
+
label: "Trade",
|
|
1573
|
+
data: tradeData,
|
|
1574
|
+
borderColor: "#ffc107",
|
|
1575
|
+
backgroundColor: "rgba(255, 193, 7, 0.1)",
|
|
1576
|
+
fill: false,
|
|
1577
|
+
tension: 0.4
|
|
1578
|
+
},
|
|
1579
|
+
{
|
|
1580
|
+
label: "VWAP",
|
|
1581
|
+
data: vwapData,
|
|
1582
|
+
borderColor: "#17a2b8",
|
|
1583
|
+
backgroundColor: "rgba(23, 162, 184, 0.1)",
|
|
1584
|
+
fill: false,
|
|
1585
|
+
tension: 0.4
|
|
1586
|
+
},
|
|
1587
|
+
{
|
|
1588
|
+
label: "TWAP",
|
|
1589
|
+
data: twapData,
|
|
1590
|
+
borderColor: "#6610f2",
|
|
1591
|
+
backgroundColor: "rgba(102, 16, 242, 0.1)",
|
|
1592
|
+
fill: false,
|
|
1593
|
+
tension: 0.4
|
|
1594
|
+
},
|
|
1595
|
+
{
|
|
1596
|
+
label: "Volume (Normalized)",
|
|
1597
|
+
data: normalizedVolumeData,
|
|
1598
|
+
borderColor: "#007bff",
|
|
1599
|
+
backgroundColor: "rgba(0, 123, 255, 0.1)",
|
|
1600
|
+
fill: true,
|
|
1601
|
+
tension: 0.4
|
|
1602
|
+
}
|
|
1603
|
+
]
|
|
1604
|
+
},
|
|
1605
|
+
options: {
|
|
1606
|
+
responsive: true,
|
|
1607
|
+
plugins: {
|
|
1608
|
+
title: {
|
|
1609
|
+
display: true,
|
|
1610
|
+
text: `${symbol} Market Data (Volume normalized to 30% of max price)`
|
|
1611
|
+
}
|
|
1612
|
+
},
|
|
1613
|
+
scales: {
|
|
1614
|
+
y: {
|
|
1615
|
+
beginAtZero: false,
|
|
1616
|
+
title: {
|
|
1617
|
+
display: true,
|
|
1618
|
+
text: "Price / Normalized Volume"
|
|
1619
|
+
}
|
|
1620
|
+
}
|
|
897
1621
|
}
|
|
898
|
-
setResponseValueAndErrors(res, "minimum", check.value, check.message, refs);
|
|
899
1622
|
}
|
|
900
|
-
|
|
901
|
-
|
|
902
|
-
|
|
903
|
-
|
|
904
|
-
|
|
905
|
-
|
|
906
|
-
|
|
1623
|
+
};
|
|
1624
|
+
chart.setConfig(config);
|
|
1625
|
+
const imageBuffer = await chart.toBinary();
|
|
1626
|
+
const base64 = imageBuffer.toString("base64");
|
|
1627
|
+
return {
|
|
1628
|
+
content: [
|
|
1629
|
+
{
|
|
1630
|
+
type: "resource",
|
|
1631
|
+
resource: {
|
|
1632
|
+
uri: "resource://graph",
|
|
1633
|
+
mimeType: "image/png",
|
|
1634
|
+
blob: base64
|
|
1635
|
+
}
|
|
907
1636
|
}
|
|
908
|
-
|
|
909
|
-
|
|
910
|
-
|
|
1637
|
+
]
|
|
1638
|
+
};
|
|
1639
|
+
} catch (error) {
|
|
1640
|
+
return {
|
|
1641
|
+
content: [
|
|
1642
|
+
{
|
|
1643
|
+
type: "text",
|
|
1644
|
+
text: `Error: ${error instanceof Error ? error.message : "Failed to generate graph"}`,
|
|
1645
|
+
uri: "getStockGraph"
|
|
911
1646
|
}
|
|
912
|
-
|
|
913
|
-
|
|
914
|
-
|
|
915
|
-
case "multipleOf":
|
|
916
|
-
setResponseValueAndErrors(res, "multipleOf", check.value, check.message, refs);
|
|
917
|
-
break;
|
|
1647
|
+
],
|
|
1648
|
+
isError: true
|
|
1649
|
+
};
|
|
918
1650
|
}
|
|
919
|
-
}
|
|
920
|
-
return res;
|
|
921
|
-
}
|
|
922
|
-
|
|
923
|
-
// ../../node_modules/zod-to-json-schema/dist/esm/parsers/object.js
|
|
924
|
-
var import_zod3 = require("zod");
|
|
925
|
-
function parseObjectDef(def, refs) {
|
|
926
|
-
const forceOptionalIntoNullable = refs.target === "openAi";
|
|
927
|
-
const result = {
|
|
928
|
-
type: "object",
|
|
929
|
-
properties: {}
|
|
930
1651
|
};
|
|
931
|
-
|
|
932
|
-
|
|
933
|
-
|
|
934
|
-
|
|
935
|
-
|
|
936
|
-
|
|
937
|
-
|
|
938
|
-
|
|
939
|
-
|
|
940
|
-
|
|
941
|
-
|
|
942
|
-
|
|
943
|
-
|
|
944
|
-
|
|
1652
|
+
};
|
|
1653
|
+
var createGetStockPriceHistoryHandler = (marketDataPrices) => {
|
|
1654
|
+
return async (args) => {
|
|
1655
|
+
try {
|
|
1656
|
+
const symbol = args.symbol;
|
|
1657
|
+
const priceHistory = marketDataPrices.get(symbol) || [];
|
|
1658
|
+
if (priceHistory.length === 0) {
|
|
1659
|
+
return {
|
|
1660
|
+
content: [
|
|
1661
|
+
{
|
|
1662
|
+
type: "text",
|
|
1663
|
+
text: `No price data available for ${symbol}`,
|
|
1664
|
+
uri: "getStockPriceHistory"
|
|
1665
|
+
}
|
|
1666
|
+
]
|
|
1667
|
+
};
|
|
945
1668
|
}
|
|
946
|
-
|
|
947
|
-
|
|
948
|
-
|
|
949
|
-
|
|
950
|
-
|
|
951
|
-
|
|
952
|
-
|
|
953
|
-
|
|
954
|
-
|
|
955
|
-
|
|
956
|
-
|
|
957
|
-
|
|
958
|
-
|
|
1669
|
+
const aggregatedData = aggregateMarketData(priceHistory, 500);
|
|
1670
|
+
return {
|
|
1671
|
+
content: [
|
|
1672
|
+
{
|
|
1673
|
+
type: "text",
|
|
1674
|
+
text: JSON.stringify(
|
|
1675
|
+
{
|
|
1676
|
+
symbol,
|
|
1677
|
+
count: aggregatedData.length,
|
|
1678
|
+
originalCount: priceHistory.length,
|
|
1679
|
+
data: aggregatedData.map((point) => ({
|
|
1680
|
+
timestamp: new Date(point.timestamp).toISOString(),
|
|
1681
|
+
bid: point.bid,
|
|
1682
|
+
offer: point.offer,
|
|
1683
|
+
spread: point.spread,
|
|
1684
|
+
volume: point.volume,
|
|
1685
|
+
trade: point.trade,
|
|
1686
|
+
indexValue: point.indexValue,
|
|
1687
|
+
openingPrice: point.openingPrice,
|
|
1688
|
+
closingPrice: point.closingPrice,
|
|
1689
|
+
settlementPrice: point.settlementPrice,
|
|
1690
|
+
tradingSessionHighPrice: point.tradingSessionHighPrice,
|
|
1691
|
+
tradingSessionLowPrice: point.tradingSessionLowPrice,
|
|
1692
|
+
vwap: point.vwap,
|
|
1693
|
+
imbalance: point.imbalance,
|
|
1694
|
+
openInterest: point.openInterest,
|
|
1695
|
+
compositeUnderlyingPrice: point.compositeUnderlyingPrice,
|
|
1696
|
+
simulatedSellPrice: point.simulatedSellPrice,
|
|
1697
|
+
simulatedBuyPrice: point.simulatedBuyPrice,
|
|
1698
|
+
marginRate: point.marginRate,
|
|
1699
|
+
midPrice: point.midPrice,
|
|
1700
|
+
emptyBook: point.emptyBook,
|
|
1701
|
+
settleHighPrice: point.settleHighPrice,
|
|
1702
|
+
settleLowPrice: point.settleLowPrice,
|
|
1703
|
+
priorSettlePrice: point.priorSettlePrice,
|
|
1704
|
+
sessionHighBid: point.sessionHighBid,
|
|
1705
|
+
sessionLowOffer: point.sessionLowOffer,
|
|
1706
|
+
earlyPrices: point.earlyPrices,
|
|
1707
|
+
auctionClearingPrice: point.auctionClearingPrice,
|
|
1708
|
+
swapValueFactor: point.swapValueFactor,
|
|
1709
|
+
dailyValueAdjustmentForLongPositions: point.dailyValueAdjustmentForLongPositions,
|
|
1710
|
+
cumulativeValueAdjustmentForLongPositions: point.cumulativeValueAdjustmentForLongPositions,
|
|
1711
|
+
dailyValueAdjustmentForShortPositions: point.dailyValueAdjustmentForShortPositions,
|
|
1712
|
+
cumulativeValueAdjustmentForShortPositions: point.cumulativeValueAdjustmentForShortPositions,
|
|
1713
|
+
fixingPrice: point.fixingPrice,
|
|
1714
|
+
cashRate: point.cashRate,
|
|
1715
|
+
recoveryRate: point.recoveryRate,
|
|
1716
|
+
recoveryRateForLong: point.recoveryRateForLong,
|
|
1717
|
+
recoveryRateForShort: point.recoveryRateForShort,
|
|
1718
|
+
marketBid: point.marketBid,
|
|
1719
|
+
marketOffer: point.marketOffer,
|
|
1720
|
+
shortSaleMinPrice: point.shortSaleMinPrice,
|
|
1721
|
+
previousClosingPrice: point.previousClosingPrice,
|
|
1722
|
+
thresholdLimitPriceBanding: point.thresholdLimitPriceBanding,
|
|
1723
|
+
dailyFinancingValue: point.dailyFinancingValue,
|
|
1724
|
+
accruedFinancingValue: point.accruedFinancingValue,
|
|
1725
|
+
twap: point.twap
|
|
1726
|
+
}))
|
|
1727
|
+
},
|
|
1728
|
+
null,
|
|
1729
|
+
2
|
|
1730
|
+
),
|
|
1731
|
+
uri: "getStockPriceHistory"
|
|
1732
|
+
}
|
|
1733
|
+
]
|
|
1734
|
+
};
|
|
1735
|
+
} catch (error) {
|
|
1736
|
+
return {
|
|
1737
|
+
content: [
|
|
1738
|
+
{
|
|
1739
|
+
type: "text",
|
|
1740
|
+
text: `Error: ${error instanceof Error ? error.message : "Failed to get price history"}`,
|
|
1741
|
+
uri: "getStockPriceHistory"
|
|
1742
|
+
}
|
|
1743
|
+
],
|
|
1744
|
+
isError: true
|
|
1745
|
+
};
|
|
959
1746
|
}
|
|
960
|
-
}
|
|
961
|
-
|
|
962
|
-
result.required = required;
|
|
963
|
-
}
|
|
964
|
-
const additionalProperties = decideAdditionalProperties(def, refs);
|
|
965
|
-
if (additionalProperties !== void 0) {
|
|
966
|
-
result.additionalProperties = additionalProperties;
|
|
967
|
-
}
|
|
968
|
-
return result;
|
|
969
|
-
}
|
|
970
|
-
function decideAdditionalProperties(def, refs) {
|
|
971
|
-
if (def.catchall._def.typeName !== "ZodNever") {
|
|
972
|
-
return parseDef(def.catchall._def, {
|
|
973
|
-
...refs,
|
|
974
|
-
currentPath: [...refs.currentPath, "additionalProperties"]
|
|
975
|
-
});
|
|
976
|
-
}
|
|
977
|
-
switch (def.unknownKeys) {
|
|
978
|
-
case "passthrough":
|
|
979
|
-
return refs.allowedAdditionalProperties;
|
|
980
|
-
case "strict":
|
|
981
|
-
return refs.rejectedAdditionalProperties;
|
|
982
|
-
case "strip":
|
|
983
|
-
return refs.removeAdditionalStrategy === "strict" ? refs.allowedAdditionalProperties : refs.rejectedAdditionalProperties;
|
|
984
|
-
}
|
|
985
|
-
}
|
|
986
|
-
function safeIsOptional(schema) {
|
|
987
|
-
try {
|
|
988
|
-
return schema.isOptional();
|
|
989
|
-
} catch {
|
|
990
|
-
return true;
|
|
991
|
-
}
|
|
992
|
-
}
|
|
1747
|
+
};
|
|
1748
|
+
};
|
|
993
1749
|
|
|
994
|
-
//
|
|
995
|
-
var
|
|
996
|
-
|
|
997
|
-
|
|
998
|
-
|
|
999
|
-
|
|
1000
|
-
|
|
1001
|
-
|
|
1002
|
-
|
|
1003
|
-
|
|
1004
|
-
|
|
1005
|
-
|
|
1006
|
-
|
|
1007
|
-
|
|
1008
|
-
|
|
1009
|
-
|
|
1010
|
-
|
|
1750
|
+
// src/tools/order.ts
|
|
1751
|
+
var import_fixparser2 = require("fixparser");
|
|
1752
|
+
var ordTypeNames = {
|
|
1753
|
+
"1": "Market",
|
|
1754
|
+
"2": "Limit",
|
|
1755
|
+
"3": "Stop",
|
|
1756
|
+
"4": "StopLimit",
|
|
1757
|
+
"5": "MarketOnClose",
|
|
1758
|
+
"6": "WithOrWithout",
|
|
1759
|
+
"7": "LimitOrBetter",
|
|
1760
|
+
"8": "LimitWithOrWithout",
|
|
1761
|
+
"9": "OnBasis",
|
|
1762
|
+
A: "OnClose",
|
|
1763
|
+
B: "LimitOnClose",
|
|
1764
|
+
C: "ForexMarket",
|
|
1765
|
+
D: "PreviouslyQuoted",
|
|
1766
|
+
E: "PreviouslyIndicated",
|
|
1767
|
+
F: "ForexLimit",
|
|
1768
|
+
G: "ForexSwap",
|
|
1769
|
+
H: "ForexPreviouslyQuoted",
|
|
1770
|
+
I: "Funari",
|
|
1771
|
+
J: "MarketIfTouched",
|
|
1772
|
+
K: "MarketWithLeftOverAsLimit",
|
|
1773
|
+
L: "PreviousFundValuationPoint",
|
|
1774
|
+
M: "NextFundValuationPoint",
|
|
1775
|
+
P: "Pegged",
|
|
1776
|
+
Q: "CounterOrderSelection",
|
|
1777
|
+
R: "StopOnBidOrOffer",
|
|
1778
|
+
S: "StopLimitOnBidOrOffer"
|
|
1779
|
+
};
|
|
1780
|
+
var sideNames = {
|
|
1781
|
+
"1": "Buy",
|
|
1782
|
+
"2": "Sell",
|
|
1783
|
+
"3": "BuyMinus",
|
|
1784
|
+
"4": "SellPlus",
|
|
1785
|
+
"5": "SellShort",
|
|
1786
|
+
"6": "SellShortExempt",
|
|
1787
|
+
"7": "Undisclosed",
|
|
1788
|
+
"8": "Cross",
|
|
1789
|
+
"9": "CrossShort",
|
|
1790
|
+
A: "CrossShortExempt",
|
|
1791
|
+
B: "AsDefined",
|
|
1792
|
+
C: "Opposite",
|
|
1793
|
+
D: "Subscribe",
|
|
1794
|
+
E: "Redeem",
|
|
1795
|
+
F: "Lend",
|
|
1796
|
+
G: "Borrow",
|
|
1797
|
+
H: "SellUndisclosed"
|
|
1798
|
+
};
|
|
1799
|
+
var timeInForceNames = {
|
|
1800
|
+
"0": "Day",
|
|
1801
|
+
"1": "GoodTillCancel",
|
|
1802
|
+
"2": "AtTheOpening",
|
|
1803
|
+
"3": "ImmediateOrCancel",
|
|
1804
|
+
"4": "FillOrKill",
|
|
1805
|
+
"5": "GoodTillCrossing",
|
|
1806
|
+
"6": "GoodTillDate",
|
|
1807
|
+
"7": "AtTheClose",
|
|
1808
|
+
"8": "GoodThroughCrossing",
|
|
1809
|
+
"9": "AtCrossing",
|
|
1810
|
+
A: "GoodForTime",
|
|
1811
|
+
B: "GoodForAuction",
|
|
1812
|
+
C: "GoodForMonth"
|
|
1813
|
+
};
|
|
1814
|
+
var handlInstNames = {
|
|
1815
|
+
"1": "AutomatedExecutionNoIntervention",
|
|
1816
|
+
"2": "AutomatedExecutionInterventionOK",
|
|
1817
|
+
"3": "ManualOrder"
|
|
1011
1818
|
};
|
|
1819
|
+
var createVerifyOrderHandler = (parser, verifiedOrders) => {
|
|
1820
|
+
return async (args) => {
|
|
1821
|
+
try {
|
|
1822
|
+
verifiedOrders.set(args.clOrdID, {
|
|
1823
|
+
clOrdID: args.clOrdID,
|
|
1824
|
+
handlInst: args.handlInst,
|
|
1825
|
+
quantity: Number.parseFloat(String(args.quantity)),
|
|
1826
|
+
price: Number.parseFloat(String(args.price)),
|
|
1827
|
+
ordType: args.ordType,
|
|
1828
|
+
side: args.side,
|
|
1829
|
+
symbol: args.symbol,
|
|
1830
|
+
timeInForce: args.timeInForce
|
|
1831
|
+
});
|
|
1832
|
+
return {
|
|
1833
|
+
content: [
|
|
1834
|
+
{
|
|
1835
|
+
type: "text",
|
|
1836
|
+
text: `VERIFICATION: All parameters valid. Ready to proceed with order execution.
|
|
1837
|
+
|
|
1838
|
+
Parameters verified:
|
|
1839
|
+
- ClOrdID: ${args.clOrdID}
|
|
1840
|
+
- HandlInst: ${args.handlInst} (${handlInstNames[args.handlInst]})
|
|
1841
|
+
- Quantity: ${args.quantity}
|
|
1842
|
+
- Price: ${args.price}
|
|
1843
|
+
- OrdType: ${args.ordType} (${ordTypeNames[args.ordType]})
|
|
1844
|
+
- Side: ${args.side} (${sideNames[args.side]})
|
|
1845
|
+
- Symbol: ${args.symbol}
|
|
1846
|
+
- TimeInForce: ${args.timeInForce} (${timeInForceNames[args.timeInForce]})
|
|
1012
1847
|
|
|
1013
|
-
|
|
1014
|
-
|
|
1015
|
-
|
|
1016
|
-
|
|
1017
|
-
|
|
1018
|
-
|
|
1019
|
-
|
|
1020
|
-
|
|
1021
|
-
|
|
1022
|
-
|
|
1023
|
-
|
|
1024
|
-
|
|
1025
|
-
|
|
1026
|
-
|
|
1027
|
-
|
|
1028
|
-
|
|
1029
|
-
|
|
1848
|
+
To execute this order, call the executeOrder tool with these exact same parameters. Important: The user has to explicitly confirm before executeOrder is called!`,
|
|
1849
|
+
uri: "verifyOrder"
|
|
1850
|
+
}
|
|
1851
|
+
]
|
|
1852
|
+
};
|
|
1853
|
+
} catch (error) {
|
|
1854
|
+
return {
|
|
1855
|
+
content: [
|
|
1856
|
+
{
|
|
1857
|
+
type: "text",
|
|
1858
|
+
text: `Error: ${error instanceof Error ? error.message : "Failed to verify order parameters"}`,
|
|
1859
|
+
uri: "verifyOrder"
|
|
1860
|
+
}
|
|
1861
|
+
],
|
|
1862
|
+
isError: true
|
|
1863
|
+
};
|
|
1864
|
+
}
|
|
1030
1865
|
};
|
|
1031
1866
|
};
|
|
1032
|
-
|
|
1033
|
-
|
|
1034
|
-
|
|
1035
|
-
|
|
1036
|
-
|
|
1037
|
-
|
|
1038
|
-
|
|
1039
|
-
|
|
1040
|
-
|
|
1041
|
-
|
|
1042
|
-
|
|
1043
|
-
|
|
1044
|
-
|
|
1045
|
-
|
|
1046
|
-
|
|
1047
|
-
|
|
1867
|
+
var createExecuteOrderHandler = (parser, verifiedOrders, pendingRequests) => {
|
|
1868
|
+
return async (args) => {
|
|
1869
|
+
try {
|
|
1870
|
+
const verifiedOrder = verifiedOrders.get(args.clOrdID);
|
|
1871
|
+
if (!verifiedOrder) {
|
|
1872
|
+
return {
|
|
1873
|
+
content: [
|
|
1874
|
+
{
|
|
1875
|
+
type: "text",
|
|
1876
|
+
text: `Error: Order ${args.clOrdID} has not been verified. Please call verifyOrder first.`,
|
|
1877
|
+
uri: "executeOrder"
|
|
1878
|
+
}
|
|
1879
|
+
],
|
|
1880
|
+
isError: true
|
|
1881
|
+
};
|
|
1882
|
+
}
|
|
1883
|
+
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) {
|
|
1884
|
+
return {
|
|
1885
|
+
content: [
|
|
1886
|
+
{
|
|
1887
|
+
type: "text",
|
|
1888
|
+
text: "Error: Order parameters do not match the verified order. Please use the exact same parameters that were verified.",
|
|
1889
|
+
uri: "executeOrder"
|
|
1890
|
+
}
|
|
1891
|
+
],
|
|
1892
|
+
isError: true
|
|
1893
|
+
};
|
|
1894
|
+
}
|
|
1895
|
+
const response = new Promise((resolve) => {
|
|
1896
|
+
pendingRequests.set(args.clOrdID, resolve);
|
|
1897
|
+
});
|
|
1898
|
+
const order = parser.createMessage(
|
|
1899
|
+
new import_fixparser2.Field(import_fixparser2.Fields.MsgType, import_fixparser2.Messages.NewOrderSingle),
|
|
1900
|
+
new import_fixparser2.Field(import_fixparser2.Fields.MsgSeqNum, parser.getNextTargetMsgSeqNum()),
|
|
1901
|
+
new import_fixparser2.Field(import_fixparser2.Fields.SenderCompID, parser.sender),
|
|
1902
|
+
new import_fixparser2.Field(import_fixparser2.Fields.TargetCompID, parser.target),
|
|
1903
|
+
new import_fixparser2.Field(import_fixparser2.Fields.SendingTime, parser.getTimestamp()),
|
|
1904
|
+
new import_fixparser2.Field(import_fixparser2.Fields.ClOrdID, args.clOrdID),
|
|
1905
|
+
new import_fixparser2.Field(import_fixparser2.Fields.Side, args.side),
|
|
1906
|
+
new import_fixparser2.Field(import_fixparser2.Fields.Symbol, args.symbol),
|
|
1907
|
+
new import_fixparser2.Field(import_fixparser2.Fields.OrderQty, Number.parseFloat(String(args.quantity))),
|
|
1908
|
+
new import_fixparser2.Field(import_fixparser2.Fields.Price, Number.parseFloat(String(args.price))),
|
|
1909
|
+
new import_fixparser2.Field(import_fixparser2.Fields.OrdType, args.ordType),
|
|
1910
|
+
new import_fixparser2.Field(import_fixparser2.Fields.HandlInst, args.handlInst),
|
|
1911
|
+
new import_fixparser2.Field(import_fixparser2.Fields.TimeInForce, args.timeInForce),
|
|
1912
|
+
new import_fixparser2.Field(import_fixparser2.Fields.TransactTime, parser.getTimestamp())
|
|
1913
|
+
);
|
|
1914
|
+
if (!parser.connected) {
|
|
1915
|
+
return {
|
|
1916
|
+
content: [
|
|
1917
|
+
{
|
|
1918
|
+
type: "text",
|
|
1919
|
+
text: "Error: Not connected. Ignoring message.",
|
|
1920
|
+
uri: "executeOrder"
|
|
1921
|
+
}
|
|
1922
|
+
],
|
|
1923
|
+
isError: true
|
|
1924
|
+
};
|
|
1925
|
+
}
|
|
1926
|
+
parser.send(order);
|
|
1927
|
+
const fixData = await response;
|
|
1928
|
+
verifiedOrders.delete(args.clOrdID);
|
|
1929
|
+
return {
|
|
1930
|
+
content: [
|
|
1931
|
+
{
|
|
1932
|
+
type: "text",
|
|
1933
|
+
text: fixData.messageType === import_fixparser2.Messages.Reject ? `Reject message for order ${args.clOrdID}: ${JSON.stringify(fixData.toFIXJSON())}` : `Execution Report for order ${args.clOrdID}: ${JSON.stringify(fixData.toFIXJSON())}`,
|
|
1934
|
+
uri: "executeOrder"
|
|
1935
|
+
}
|
|
1936
|
+
]
|
|
1937
|
+
};
|
|
1938
|
+
} catch (error) {
|
|
1939
|
+
return {
|
|
1940
|
+
content: [
|
|
1941
|
+
{
|
|
1942
|
+
type: "text",
|
|
1943
|
+
text: `Error: ${error instanceof Error ? error.message : "Failed to execute order"}`,
|
|
1944
|
+
uri: "executeOrder"
|
|
1945
|
+
}
|
|
1946
|
+
],
|
|
1947
|
+
isError: true
|
|
1948
|
+
};
|
|
1949
|
+
}
|
|
1048
1950
|
};
|
|
1049
|
-
|
|
1050
|
-
setResponseValueAndErrors(schema, "minItems", def.minSize.value, def.minSize.message, refs);
|
|
1051
|
-
}
|
|
1052
|
-
if (def.maxSize) {
|
|
1053
|
-
setResponseValueAndErrors(schema, "maxItems", def.maxSize.value, def.maxSize.message, refs);
|
|
1054
|
-
}
|
|
1055
|
-
return schema;
|
|
1056
|
-
}
|
|
1057
|
-
|
|
1058
|
-
// ../../node_modules/zod-to-json-schema/dist/esm/parsers/tuple.js
|
|
1059
|
-
function parseTupleDef(def, refs) {
|
|
1060
|
-
if (def.rest) {
|
|
1061
|
-
return {
|
|
1062
|
-
type: "array",
|
|
1063
|
-
minItems: def.items.length,
|
|
1064
|
-
items: def.items.map((x, i) => parseDef(x._def, {
|
|
1065
|
-
...refs,
|
|
1066
|
-
currentPath: [...refs.currentPath, "items", `${i}`]
|
|
1067
|
-
})).reduce((acc, x) => x === void 0 ? acc : [...acc, x], []),
|
|
1068
|
-
additionalItems: parseDef(def.rest._def, {
|
|
1069
|
-
...refs,
|
|
1070
|
-
currentPath: [...refs.currentPath, "additionalItems"]
|
|
1071
|
-
})
|
|
1072
|
-
};
|
|
1073
|
-
} else {
|
|
1074
|
-
return {
|
|
1075
|
-
type: "array",
|
|
1076
|
-
minItems: def.items.length,
|
|
1077
|
-
maxItems: def.items.length,
|
|
1078
|
-
items: def.items.map((x, i) => parseDef(x._def, {
|
|
1079
|
-
...refs,
|
|
1080
|
-
currentPath: [...refs.currentPath, "items", `${i}`]
|
|
1081
|
-
})).reduce((acc, x) => x === void 0 ? acc : [...acc, x], [])
|
|
1082
|
-
};
|
|
1083
|
-
}
|
|
1084
|
-
}
|
|
1951
|
+
};
|
|
1085
1952
|
|
|
1086
|
-
//
|
|
1087
|
-
|
|
1088
|
-
return {
|
|
1089
|
-
|
|
1953
|
+
// src/tools/parse.ts
|
|
1954
|
+
var createParseHandler = (parser) => {
|
|
1955
|
+
return async (args) => {
|
|
1956
|
+
try {
|
|
1957
|
+
const parsedMessage = parser.parse(args.fixString);
|
|
1958
|
+
if (!parsedMessage || parsedMessage.length === 0) {
|
|
1959
|
+
return {
|
|
1960
|
+
content: [
|
|
1961
|
+
{
|
|
1962
|
+
type: "text",
|
|
1963
|
+
text: "Error: Failed to parse FIX string",
|
|
1964
|
+
uri: "parse"
|
|
1965
|
+
}
|
|
1966
|
+
],
|
|
1967
|
+
isError: true
|
|
1968
|
+
};
|
|
1969
|
+
}
|
|
1970
|
+
return {
|
|
1971
|
+
content: [
|
|
1972
|
+
{
|
|
1973
|
+
type: "text",
|
|
1974
|
+
text: `${parsedMessage[0].description}
|
|
1975
|
+
${parsedMessage[0].messageTypeDescription}`,
|
|
1976
|
+
uri: "parse"
|
|
1977
|
+
}
|
|
1978
|
+
]
|
|
1979
|
+
};
|
|
1980
|
+
} catch (error) {
|
|
1981
|
+
return {
|
|
1982
|
+
content: [
|
|
1983
|
+
{
|
|
1984
|
+
type: "text",
|
|
1985
|
+
text: `Error: ${error instanceof Error ? error.message : "Failed to parse FIX string"}`,
|
|
1986
|
+
uri: "parse"
|
|
1987
|
+
}
|
|
1988
|
+
],
|
|
1989
|
+
isError: true
|
|
1990
|
+
};
|
|
1991
|
+
}
|
|
1090
1992
|
};
|
|
1091
|
-
}
|
|
1092
|
-
|
|
1093
|
-
// ../../node_modules/zod-to-json-schema/dist/esm/parsers/unknown.js
|
|
1094
|
-
function parseUnknownDef() {
|
|
1095
|
-
return {};
|
|
1096
|
-
}
|
|
1097
|
-
|
|
1098
|
-
// ../../node_modules/zod-to-json-schema/dist/esm/parsers/readonly.js
|
|
1099
|
-
var parseReadonlyDef = (def, refs) => {
|
|
1100
|
-
return parseDef(def.innerType._def, refs);
|
|
1101
1993
|
};
|
|
1102
1994
|
|
|
1103
|
-
//
|
|
1104
|
-
var
|
|
1105
|
-
|
|
1106
|
-
|
|
1107
|
-
|
|
1108
|
-
|
|
1109
|
-
|
|
1110
|
-
|
|
1111
|
-
|
|
1112
|
-
|
|
1113
|
-
|
|
1114
|
-
|
|
1115
|
-
|
|
1116
|
-
|
|
1117
|
-
|
|
1118
|
-
|
|
1119
|
-
|
|
1120
|
-
|
|
1121
|
-
|
|
1122
|
-
|
|
1123
|
-
|
|
1124
|
-
|
|
1125
|
-
|
|
1126
|
-
|
|
1127
|
-
|
|
1128
|
-
|
|
1129
|
-
|
|
1130
|
-
return
|
|
1131
|
-
|
|
1132
|
-
|
|
1133
|
-
|
|
1134
|
-
|
|
1135
|
-
|
|
1136
|
-
|
|
1137
|
-
|
|
1138
|
-
|
|
1139
|
-
|
|
1140
|
-
|
|
1141
|
-
|
|
1142
|
-
return parseOptionalDef(def, refs);
|
|
1143
|
-
case import_zod4.ZodFirstPartyTypeKind.ZodMap:
|
|
1144
|
-
return parseMapDef(def, refs);
|
|
1145
|
-
case import_zod4.ZodFirstPartyTypeKind.ZodSet:
|
|
1146
|
-
return parseSetDef(def, refs);
|
|
1147
|
-
case import_zod4.ZodFirstPartyTypeKind.ZodLazy:
|
|
1148
|
-
return () => def.getter()._def;
|
|
1149
|
-
case import_zod4.ZodFirstPartyTypeKind.ZodPromise:
|
|
1150
|
-
return parsePromiseDef(def, refs);
|
|
1151
|
-
case import_zod4.ZodFirstPartyTypeKind.ZodNaN:
|
|
1152
|
-
case import_zod4.ZodFirstPartyTypeKind.ZodNever:
|
|
1153
|
-
return parseNeverDef();
|
|
1154
|
-
case import_zod4.ZodFirstPartyTypeKind.ZodEffects:
|
|
1155
|
-
return parseEffectsDef(def, refs);
|
|
1156
|
-
case import_zod4.ZodFirstPartyTypeKind.ZodAny:
|
|
1157
|
-
return parseAnyDef();
|
|
1158
|
-
case import_zod4.ZodFirstPartyTypeKind.ZodUnknown:
|
|
1159
|
-
return parseUnknownDef();
|
|
1160
|
-
case import_zod4.ZodFirstPartyTypeKind.ZodDefault:
|
|
1161
|
-
return parseDefaultDef(def, refs);
|
|
1162
|
-
case import_zod4.ZodFirstPartyTypeKind.ZodBranded:
|
|
1163
|
-
return parseBrandedDef(def, refs);
|
|
1164
|
-
case import_zod4.ZodFirstPartyTypeKind.ZodReadonly:
|
|
1165
|
-
return parseReadonlyDef(def, refs);
|
|
1166
|
-
case import_zod4.ZodFirstPartyTypeKind.ZodCatch:
|
|
1167
|
-
return parseCatchDef(def, refs);
|
|
1168
|
-
case import_zod4.ZodFirstPartyTypeKind.ZodPipeline:
|
|
1169
|
-
return parsePipelineDef(def, refs);
|
|
1170
|
-
case import_zod4.ZodFirstPartyTypeKind.ZodFunction:
|
|
1171
|
-
case import_zod4.ZodFirstPartyTypeKind.ZodVoid:
|
|
1172
|
-
case import_zod4.ZodFirstPartyTypeKind.ZodSymbol:
|
|
1173
|
-
return void 0;
|
|
1174
|
-
default:
|
|
1175
|
-
return /* @__PURE__ */ ((_) => void 0)(typeName);
|
|
1176
|
-
}
|
|
1995
|
+
// src/tools/parseToJSON.ts
|
|
1996
|
+
var createParseToJSONHandler = (parser) => {
|
|
1997
|
+
return async (args) => {
|
|
1998
|
+
try {
|
|
1999
|
+
const parsedMessage = parser.parse(args.fixString);
|
|
2000
|
+
if (!parsedMessage || parsedMessage.length === 0) {
|
|
2001
|
+
return {
|
|
2002
|
+
content: [
|
|
2003
|
+
{
|
|
2004
|
+
type: "text",
|
|
2005
|
+
text: "Error: Failed to parse FIX string",
|
|
2006
|
+
uri: "parseToJSON"
|
|
2007
|
+
}
|
|
2008
|
+
],
|
|
2009
|
+
isError: true
|
|
2010
|
+
};
|
|
2011
|
+
}
|
|
2012
|
+
return {
|
|
2013
|
+
content: [
|
|
2014
|
+
{
|
|
2015
|
+
type: "text",
|
|
2016
|
+
text: `${parsedMessage[0].toFIXJSON()}`,
|
|
2017
|
+
uri: "parseToJSON"
|
|
2018
|
+
}
|
|
2019
|
+
]
|
|
2020
|
+
};
|
|
2021
|
+
} catch (error) {
|
|
2022
|
+
return {
|
|
2023
|
+
content: [
|
|
2024
|
+
{
|
|
2025
|
+
type: "text",
|
|
2026
|
+
text: `Error: ${error instanceof Error ? error.message : "Failed to parse FIX string"}`,
|
|
2027
|
+
uri: "parseToJSON"
|
|
2028
|
+
}
|
|
2029
|
+
],
|
|
2030
|
+
isError: true
|
|
2031
|
+
};
|
|
2032
|
+
}
|
|
2033
|
+
};
|
|
1177
2034
|
};
|
|
1178
2035
|
|
|
1179
|
-
//
|
|
1180
|
-
|
|
1181
|
-
|
|
1182
|
-
|
|
1183
|
-
|
|
1184
|
-
|
|
1185
|
-
|
|
1186
|
-
|
|
1187
|
-
|
|
1188
|
-
|
|
1189
|
-
|
|
1190
|
-
|
|
1191
|
-
|
|
1192
|
-
|
|
1193
|
-
|
|
1194
|
-
|
|
1195
|
-
refs.seen.set(def, newItem);
|
|
1196
|
-
const jsonSchemaOrGetter = selectParser(def, def.typeName, refs);
|
|
1197
|
-
const jsonSchema = typeof jsonSchemaOrGetter === "function" ? parseDef(jsonSchemaOrGetter(), refs) : jsonSchemaOrGetter;
|
|
1198
|
-
if (jsonSchema) {
|
|
1199
|
-
addMeta(def, refs, jsonSchema);
|
|
1200
|
-
}
|
|
1201
|
-
if (refs.postProcess) {
|
|
1202
|
-
const postProcessResult = refs.postProcess(jsonSchema, def, refs);
|
|
1203
|
-
newItem.jsonSchema = jsonSchema;
|
|
1204
|
-
return postProcessResult;
|
|
1205
|
-
}
|
|
1206
|
-
newItem.jsonSchema = jsonSchema;
|
|
1207
|
-
return jsonSchema;
|
|
2036
|
+
// src/tools/index.ts
|
|
2037
|
+
var createToolHandlers = (parser, verifiedOrders, pendingRequests, marketDataPrices) => ({
|
|
2038
|
+
parse: createParseHandler(parser),
|
|
2039
|
+
parseToJSON: createParseToJSONHandler(parser),
|
|
2040
|
+
verifyOrder: createVerifyOrderHandler(parser, verifiedOrders),
|
|
2041
|
+
executeOrder: createExecuteOrderHandler(parser, verifiedOrders, pendingRequests),
|
|
2042
|
+
marketDataRequest: createMarketDataRequestHandler(parser, pendingRequests),
|
|
2043
|
+
getStockGraph: createGetStockGraphHandler(marketDataPrices),
|
|
2044
|
+
getStockPriceHistory: createGetStockPriceHistoryHandler(marketDataPrices),
|
|
2045
|
+
technicalAnalysis: createTechnicalAnalysisHandler(marketDataPrices)
|
|
2046
|
+
});
|
|
2047
|
+
|
|
2048
|
+
// src/utils/messageHandler.ts
|
|
2049
|
+
var import_fixparser3 = require("fixparser");
|
|
2050
|
+
function getEnumValue(enumObj, name) {
|
|
2051
|
+
return enumObj[name] || name;
|
|
1208
2052
|
}
|
|
1209
|
-
|
|
1210
|
-
|
|
1211
|
-
|
|
1212
|
-
|
|
1213
|
-
|
|
1214
|
-
|
|
1215
|
-
|
|
1216
|
-
|
|
1217
|
-
|
|
1218
|
-
|
|
1219
|
-
|
|
2053
|
+
function handleMessage(message, parser, pendingRequests, marketDataPrices, maxPriceHistory, onPriceUpdate) {
|
|
2054
|
+
const msgType = message.messageType;
|
|
2055
|
+
if (msgType === import_fixparser3.Messages.MarketDataSnapshotFullRefresh || msgType === import_fixparser3.Messages.MarketDataIncrementalRefresh) {
|
|
2056
|
+
const symbol = message.getField(import_fixparser3.Fields.Symbol)?.value;
|
|
2057
|
+
const fixJson = message.toFIXJSON();
|
|
2058
|
+
const entries = fixJson.Body?.NoMDEntries || [];
|
|
2059
|
+
const data = {
|
|
2060
|
+
timestamp: Date.now(),
|
|
2061
|
+
bid: 0,
|
|
2062
|
+
offer: 0,
|
|
2063
|
+
spread: 0,
|
|
2064
|
+
volume: 0,
|
|
2065
|
+
trade: 0,
|
|
2066
|
+
indexValue: 0,
|
|
2067
|
+
openingPrice: 0,
|
|
2068
|
+
closingPrice: 0,
|
|
2069
|
+
settlementPrice: 0,
|
|
2070
|
+
tradingSessionHighPrice: 0,
|
|
2071
|
+
tradingSessionLowPrice: 0,
|
|
2072
|
+
vwap: 0,
|
|
2073
|
+
imbalance: 0,
|
|
2074
|
+
openInterest: 0,
|
|
2075
|
+
compositeUnderlyingPrice: 0,
|
|
2076
|
+
simulatedSellPrice: 0,
|
|
2077
|
+
simulatedBuyPrice: 0,
|
|
2078
|
+
marginRate: 0,
|
|
2079
|
+
midPrice: 0,
|
|
2080
|
+
emptyBook: 0,
|
|
2081
|
+
settleHighPrice: 0,
|
|
2082
|
+
settleLowPrice: 0,
|
|
2083
|
+
priorSettlePrice: 0,
|
|
2084
|
+
sessionHighBid: 0,
|
|
2085
|
+
sessionLowOffer: 0,
|
|
2086
|
+
earlyPrices: 0,
|
|
2087
|
+
auctionClearingPrice: 0,
|
|
2088
|
+
swapValueFactor: 0,
|
|
2089
|
+
dailyValueAdjustmentForLongPositions: 0,
|
|
2090
|
+
cumulativeValueAdjustmentForLongPositions: 0,
|
|
2091
|
+
dailyValueAdjustmentForShortPositions: 0,
|
|
2092
|
+
cumulativeValueAdjustmentForShortPositions: 0,
|
|
2093
|
+
fixingPrice: 0,
|
|
2094
|
+
cashRate: 0,
|
|
2095
|
+
recoveryRate: 0,
|
|
2096
|
+
recoveryRateForLong: 0,
|
|
2097
|
+
recoveryRateForShort: 0,
|
|
2098
|
+
marketBid: 0,
|
|
2099
|
+
marketOffer: 0,
|
|
2100
|
+
shortSaleMinPrice: 0,
|
|
2101
|
+
previousClosingPrice: 0,
|
|
2102
|
+
thresholdLimitPriceBanding: 0,
|
|
2103
|
+
dailyFinancingValue: 0,
|
|
2104
|
+
accruedFinancingValue: 0,
|
|
2105
|
+
twap: 0
|
|
2106
|
+
};
|
|
2107
|
+
for (const entry of entries) {
|
|
2108
|
+
const entryType = entry.MDEntryType;
|
|
2109
|
+
const price = entry.MDEntryPx ? Number.parseFloat(entry.MDEntryPx) : 0;
|
|
2110
|
+
const size = entry.MDEntrySize ? Number.parseFloat(entry.MDEntrySize) : 0;
|
|
2111
|
+
const enumValue = getEnumValue(import_fixparser3.MDEntryType, entryType);
|
|
2112
|
+
switch (enumValue) {
|
|
2113
|
+
case import_fixparser3.MDEntryType.Bid:
|
|
2114
|
+
data.bid = price;
|
|
2115
|
+
break;
|
|
2116
|
+
case import_fixparser3.MDEntryType.Offer:
|
|
2117
|
+
data.offer = price;
|
|
2118
|
+
break;
|
|
2119
|
+
case import_fixparser3.MDEntryType.Trade:
|
|
2120
|
+
data.trade = price;
|
|
2121
|
+
break;
|
|
2122
|
+
case import_fixparser3.MDEntryType.IndexValue:
|
|
2123
|
+
data.indexValue = price;
|
|
2124
|
+
break;
|
|
2125
|
+
case import_fixparser3.MDEntryType.OpeningPrice:
|
|
2126
|
+
data.openingPrice = price;
|
|
2127
|
+
break;
|
|
2128
|
+
case import_fixparser3.MDEntryType.ClosingPrice:
|
|
2129
|
+
data.closingPrice = price;
|
|
2130
|
+
break;
|
|
2131
|
+
case import_fixparser3.MDEntryType.SettlementPrice:
|
|
2132
|
+
data.settlementPrice = price;
|
|
2133
|
+
break;
|
|
2134
|
+
case import_fixparser3.MDEntryType.TradingSessionHighPrice:
|
|
2135
|
+
data.tradingSessionHighPrice = price;
|
|
2136
|
+
break;
|
|
2137
|
+
case import_fixparser3.MDEntryType.TradingSessionLowPrice:
|
|
2138
|
+
data.tradingSessionLowPrice = price;
|
|
2139
|
+
break;
|
|
2140
|
+
case import_fixparser3.MDEntryType.VWAP:
|
|
2141
|
+
data.vwap = price;
|
|
2142
|
+
break;
|
|
2143
|
+
case import_fixparser3.MDEntryType.Imbalance:
|
|
2144
|
+
data.imbalance = size;
|
|
2145
|
+
break;
|
|
2146
|
+
case import_fixparser3.MDEntryType.TradeVolume:
|
|
2147
|
+
data.volume = size;
|
|
2148
|
+
break;
|
|
2149
|
+
case import_fixparser3.MDEntryType.OpenInterest:
|
|
2150
|
+
data.openInterest = size;
|
|
2151
|
+
break;
|
|
2152
|
+
case import_fixparser3.MDEntryType.CompositeUnderlyingPrice:
|
|
2153
|
+
data.compositeUnderlyingPrice = price;
|
|
2154
|
+
break;
|
|
2155
|
+
case import_fixparser3.MDEntryType.SimulatedSellPrice:
|
|
2156
|
+
data.simulatedSellPrice = price;
|
|
2157
|
+
break;
|
|
2158
|
+
case import_fixparser3.MDEntryType.SimulatedBuyPrice:
|
|
2159
|
+
data.simulatedBuyPrice = price;
|
|
2160
|
+
break;
|
|
2161
|
+
case import_fixparser3.MDEntryType.MarginRate:
|
|
2162
|
+
data.marginRate = price;
|
|
2163
|
+
break;
|
|
2164
|
+
case import_fixparser3.MDEntryType.MidPrice:
|
|
2165
|
+
data.midPrice = price;
|
|
2166
|
+
break;
|
|
2167
|
+
case import_fixparser3.MDEntryType.EmptyBook:
|
|
2168
|
+
data.emptyBook = 1;
|
|
2169
|
+
break;
|
|
2170
|
+
case import_fixparser3.MDEntryType.SettleHighPrice:
|
|
2171
|
+
data.settleHighPrice = price;
|
|
2172
|
+
break;
|
|
2173
|
+
case import_fixparser3.MDEntryType.SettleLowPrice:
|
|
2174
|
+
data.settleLowPrice = price;
|
|
2175
|
+
break;
|
|
2176
|
+
case import_fixparser3.MDEntryType.PriorSettlePrice:
|
|
2177
|
+
data.priorSettlePrice = price;
|
|
2178
|
+
break;
|
|
2179
|
+
case import_fixparser3.MDEntryType.SessionHighBid:
|
|
2180
|
+
data.sessionHighBid = price;
|
|
2181
|
+
break;
|
|
2182
|
+
case import_fixparser3.MDEntryType.SessionLowOffer:
|
|
2183
|
+
data.sessionLowOffer = price;
|
|
2184
|
+
break;
|
|
2185
|
+
case import_fixparser3.MDEntryType.EarlyPrices:
|
|
2186
|
+
data.earlyPrices = price;
|
|
2187
|
+
break;
|
|
2188
|
+
case import_fixparser3.MDEntryType.AuctionClearingPrice:
|
|
2189
|
+
data.auctionClearingPrice = price;
|
|
2190
|
+
break;
|
|
2191
|
+
case import_fixparser3.MDEntryType.SwapValueFactor:
|
|
2192
|
+
data.swapValueFactor = price;
|
|
2193
|
+
break;
|
|
2194
|
+
case import_fixparser3.MDEntryType.DailyValueAdjustmentForLongPositions:
|
|
2195
|
+
data.dailyValueAdjustmentForLongPositions = price;
|
|
2196
|
+
break;
|
|
2197
|
+
case import_fixparser3.MDEntryType.CumulativeValueAdjustmentForLongPositions:
|
|
2198
|
+
data.cumulativeValueAdjustmentForLongPositions = price;
|
|
2199
|
+
break;
|
|
2200
|
+
case import_fixparser3.MDEntryType.DailyValueAdjustmentForShortPositions:
|
|
2201
|
+
data.dailyValueAdjustmentForShortPositions = price;
|
|
2202
|
+
break;
|
|
2203
|
+
case import_fixparser3.MDEntryType.CumulativeValueAdjustmentForShortPositions:
|
|
2204
|
+
data.cumulativeValueAdjustmentForShortPositions = price;
|
|
2205
|
+
break;
|
|
2206
|
+
case import_fixparser3.MDEntryType.FixingPrice:
|
|
2207
|
+
data.fixingPrice = price;
|
|
2208
|
+
break;
|
|
2209
|
+
case import_fixparser3.MDEntryType.CashRate:
|
|
2210
|
+
data.cashRate = price;
|
|
2211
|
+
break;
|
|
2212
|
+
case import_fixparser3.MDEntryType.RecoveryRate:
|
|
2213
|
+
data.recoveryRate = price;
|
|
2214
|
+
break;
|
|
2215
|
+
case import_fixparser3.MDEntryType.RecoveryRateForLong:
|
|
2216
|
+
data.recoveryRateForLong = price;
|
|
2217
|
+
break;
|
|
2218
|
+
case import_fixparser3.MDEntryType.RecoveryRateForShort:
|
|
2219
|
+
data.recoveryRateForShort = price;
|
|
2220
|
+
break;
|
|
2221
|
+
case import_fixparser3.MDEntryType.MarketBid:
|
|
2222
|
+
data.marketBid = price;
|
|
2223
|
+
break;
|
|
2224
|
+
case import_fixparser3.MDEntryType.MarketOffer:
|
|
2225
|
+
data.marketOffer = price;
|
|
2226
|
+
break;
|
|
2227
|
+
case import_fixparser3.MDEntryType.ShortSaleMinPrice:
|
|
2228
|
+
data.shortSaleMinPrice = price;
|
|
2229
|
+
break;
|
|
2230
|
+
case import_fixparser3.MDEntryType.PreviousClosingPrice:
|
|
2231
|
+
data.previousClosingPrice = price;
|
|
2232
|
+
break;
|
|
2233
|
+
case import_fixparser3.MDEntryType.ThresholdLimitPriceBanding:
|
|
2234
|
+
data.thresholdLimitPriceBanding = price;
|
|
2235
|
+
break;
|
|
2236
|
+
case import_fixparser3.MDEntryType.DailyFinancingValue:
|
|
2237
|
+
data.dailyFinancingValue = price;
|
|
2238
|
+
break;
|
|
2239
|
+
case import_fixparser3.MDEntryType.AccruedFinancingValue:
|
|
2240
|
+
data.accruedFinancingValue = price;
|
|
2241
|
+
break;
|
|
2242
|
+
case import_fixparser3.MDEntryType.TWAP:
|
|
2243
|
+
data.twap = price;
|
|
2244
|
+
break;
|
|
1220
2245
|
}
|
|
1221
|
-
return refs.$refStrategy === "seen" ? {} : void 0;
|
|
1222
2246
|
}
|
|
1223
|
-
|
|
1224
|
-
|
|
1225
|
-
|
|
1226
|
-
let i = 0;
|
|
1227
|
-
for (; i < pathA.length && i < pathB.length; i++) {
|
|
1228
|
-
if (pathA[i] !== pathB[i])
|
|
1229
|
-
break;
|
|
1230
|
-
}
|
|
1231
|
-
return [(pathA.length - i).toString(), ...pathB.slice(i)].join("/");
|
|
1232
|
-
};
|
|
1233
|
-
var addMeta = (def, refs, jsonSchema) => {
|
|
1234
|
-
if (def.description) {
|
|
1235
|
-
jsonSchema.description = def.description;
|
|
1236
|
-
if (refs.markdownDescription) {
|
|
1237
|
-
jsonSchema.markdownDescription = def.description;
|
|
2247
|
+
data.spread = data.offer - data.bid;
|
|
2248
|
+
if (!marketDataPrices.has(symbol)) {
|
|
2249
|
+
marketDataPrices.set(symbol, []);
|
|
1238
2250
|
}
|
|
1239
|
-
|
|
1240
|
-
|
|
1241
|
-
|
|
1242
|
-
|
|
1243
|
-
|
|
1244
|
-
|
|
1245
|
-
|
|
1246
|
-
|
|
1247
|
-
|
|
1248
|
-
|
|
1249
|
-
|
|
1250
|
-
|
|
1251
|
-
|
|
1252
|
-
|
|
1253
|
-
|
|
1254
|
-
|
|
1255
|
-
|
|
1256
|
-
|
|
1257
|
-
|
|
1258
|
-
|
|
1259
|
-
if (title !== void 0) {
|
|
1260
|
-
main.title = title;
|
|
1261
|
-
}
|
|
1262
|
-
const combined = name === void 0 ? definitions ? {
|
|
1263
|
-
...main,
|
|
1264
|
-
[refs.definitionPath]: definitions
|
|
1265
|
-
} : main : {
|
|
1266
|
-
$ref: [
|
|
1267
|
-
...refs.$refStrategy === "relative" ? [] : refs.basePath,
|
|
1268
|
-
refs.definitionPath,
|
|
1269
|
-
name
|
|
1270
|
-
].join("/"),
|
|
1271
|
-
[refs.definitionPath]: {
|
|
1272
|
-
...definitions,
|
|
1273
|
-
[name]: main
|
|
2251
|
+
const prices = marketDataPrices.get(symbol);
|
|
2252
|
+
prices.push(data);
|
|
2253
|
+
if (prices.length > maxPriceHistory) {
|
|
2254
|
+
prices.splice(0, prices.length - maxPriceHistory);
|
|
2255
|
+
}
|
|
2256
|
+
onPriceUpdate?.(symbol, data);
|
|
2257
|
+
const mdReqID = message.getField(import_fixparser3.Fields.MDReqID)?.value;
|
|
2258
|
+
if (mdReqID) {
|
|
2259
|
+
const callback = pendingRequests.get(mdReqID);
|
|
2260
|
+
if (callback) {
|
|
2261
|
+
callback(message);
|
|
2262
|
+
pendingRequests.delete(mdReqID);
|
|
2263
|
+
}
|
|
2264
|
+
}
|
|
2265
|
+
} else if (msgType === import_fixparser3.Messages.ExecutionReport) {
|
|
2266
|
+
const reqId = message.getField(import_fixparser3.Fields.ClOrdID)?.value;
|
|
2267
|
+
const callback = pendingRequests.get(reqId);
|
|
2268
|
+
if (callback) {
|
|
2269
|
+
callback(message);
|
|
2270
|
+
pendingRequests.delete(reqId);
|
|
1274
2271
|
}
|
|
1275
|
-
};
|
|
1276
|
-
if (refs.target === "jsonSchema7") {
|
|
1277
|
-
combined.$schema = "http://json-schema.org/draft-07/schema#";
|
|
1278
|
-
} else if (refs.target === "jsonSchema2019-09" || refs.target === "openAi") {
|
|
1279
|
-
combined.$schema = "https://json-schema.org/draft/2019-09/schema#";
|
|
1280
|
-
}
|
|
1281
|
-
if (refs.target === "openAi" && ("anyOf" in combined || "oneOf" in combined || "allOf" in combined || "type" in combined && Array.isArray(combined.type))) {
|
|
1282
|
-
console.warn("Warning: OpenAI may not support schemas with unions as roots! Try wrapping it in an object property.");
|
|
1283
2272
|
}
|
|
1284
|
-
|
|
1285
|
-
};
|
|
2273
|
+
}
|
|
1286
2274
|
|
|
1287
2275
|
// src/MCPLocal.ts
|
|
1288
|
-
var
|
|
1289
|
-
|
|
1290
|
-
|
|
1291
|
-
|
|
2276
|
+
var MCPLocal = class extends MCPBase {
|
|
2277
|
+
/**
|
|
2278
|
+
* Map to store verified orders before execution
|
|
2279
|
+
* @private
|
|
2280
|
+
*/
|
|
2281
|
+
verifiedOrders = /* @__PURE__ */ new Map();
|
|
2282
|
+
/**
|
|
2283
|
+
* Map to store pending requests and their callbacks
|
|
2284
|
+
* @private
|
|
2285
|
+
*/
|
|
2286
|
+
pendingRequests = /* @__PURE__ */ new Map();
|
|
2287
|
+
/**
|
|
2288
|
+
* Map to store market data prices for each symbol
|
|
2289
|
+
* @private
|
|
2290
|
+
*/
|
|
2291
|
+
marketDataPrices = /* @__PURE__ */ new Map();
|
|
2292
|
+
/**
|
|
2293
|
+
* Maximum number of price history entries to keep per symbol
|
|
2294
|
+
* @private
|
|
2295
|
+
*/
|
|
2296
|
+
MAX_PRICE_HISTORY = 1e5;
|
|
1292
2297
|
server = new import_server.Server(
|
|
1293
2298
|
{
|
|
1294
2299
|
name: "fixparser",
|
|
@@ -1296,48 +2301,28 @@ var MCPLocal = class {
|
|
|
1296
2301
|
},
|
|
1297
2302
|
{
|
|
1298
2303
|
capabilities: {
|
|
1299
|
-
tools:
|
|
1300
|
-
|
|
1301
|
-
|
|
1302
|
-
|
|
1303
|
-
|
|
1304
|
-
|
|
1305
|
-
|
|
1306
|
-
|
|
1307
|
-
|
|
2304
|
+
tools: Object.entries(toolSchemas).reduce(
|
|
2305
|
+
(acc, [name, { description, schema }]) => {
|
|
2306
|
+
acc[name] = {
|
|
2307
|
+
description,
|
|
2308
|
+
parameters: schema
|
|
2309
|
+
};
|
|
2310
|
+
return acc;
|
|
2311
|
+
},
|
|
2312
|
+
{}
|
|
2313
|
+
)
|
|
1308
2314
|
}
|
|
1309
2315
|
}
|
|
1310
2316
|
);
|
|
1311
2317
|
transport = new import_stdio.StdioServerTransport();
|
|
1312
|
-
onReady = void 0;
|
|
1313
|
-
pendingRequests = /* @__PURE__ */ new Map();
|
|
1314
2318
|
constructor({ logger, onReady }) {
|
|
1315
|
-
|
|
1316
|
-
if (onReady) this.onReady = onReady;
|
|
2319
|
+
super({ logger, onReady });
|
|
1317
2320
|
}
|
|
1318
2321
|
async register(parser) {
|
|
1319
2322
|
this.parser = parser;
|
|
1320
2323
|
this.parser.addOnMessageCallback((message) => {
|
|
1321
|
-
this.
|
|
1322
|
-
level: "info",
|
|
1323
|
-
message: `FIXParser (MCP): (${parser.protocol?.toUpperCase()}): << received ${message.description}`
|
|
1324
|
-
});
|
|
1325
|
-
const msgType = message.messageType;
|
|
1326
|
-
if (msgType === import_fixparser.Messages.MarketDataSnapshotFullRefresh || msgType === import_fixparser.Messages.ExecutionReport) {
|
|
1327
|
-
const idField = msgType === import_fixparser.Messages.MarketDataSnapshotFullRefresh ? message.getField(import_fixparser.Fields.MDReqID) : message.getField(import_fixparser.Fields.ClOrdID);
|
|
1328
|
-
if (idField) {
|
|
1329
|
-
const id = idField.value;
|
|
1330
|
-
if (typeof id === "string" || typeof id === "number") {
|
|
1331
|
-
const callback = this.pendingRequests.get(String(id));
|
|
1332
|
-
if (callback) {
|
|
1333
|
-
callback(message);
|
|
1334
|
-
this.pendingRequests.delete(String(id));
|
|
1335
|
-
}
|
|
1336
|
-
}
|
|
1337
|
-
}
|
|
1338
|
-
}
|
|
2324
|
+
handleMessage(message, this.parser, this.pendingRequests, this.marketDataPrices, this.MAX_PRICE_HISTORY);
|
|
1339
2325
|
});
|
|
1340
|
-
this.logger = parser.logger;
|
|
1341
2326
|
this.addWorkflows();
|
|
1342
2327
|
await this.server.connect(this.transport);
|
|
1343
2328
|
if (this.onReady) {
|
|
@@ -1346,637 +2331,59 @@ var MCPLocal = class {
|
|
|
1346
2331
|
}
|
|
1347
2332
|
addWorkflows() {
|
|
1348
2333
|
if (!this.parser) {
|
|
1349
|
-
this.logger?.log({
|
|
1350
|
-
level: "error",
|
|
1351
|
-
message: "FIXParser (MCP): -- FIXParser instance not initialized. Ignoring setup of workflows..."
|
|
1352
|
-
});
|
|
1353
2334
|
return;
|
|
1354
2335
|
}
|
|
1355
2336
|
if (!this.server) {
|
|
1356
|
-
this.logger?.log({
|
|
1357
|
-
level: "error",
|
|
1358
|
-
message: "FIXParser (MCP): -- MCP Server not initialized. Ignoring setup of workflows..."
|
|
1359
|
-
});
|
|
1360
2337
|
return;
|
|
1361
2338
|
}
|
|
1362
|
-
this.server.setRequestHandler(
|
|
2339
|
+
this.server.setRequestHandler(import_zod.z.object({ method: import_zod.z.literal("tools/list") }), async () => {
|
|
1363
2340
|
return {
|
|
1364
|
-
|
|
1365
|
-
|
|
1366
|
-
|
|
1367
|
-
|
|
1368
|
-
|
|
1369
|
-
tools: [
|
|
1370
|
-
{
|
|
1371
|
-
name: "parse",
|
|
1372
|
-
description: "Parses a FIX message and describes it in plain language",
|
|
1373
|
-
inputSchema: zodToJsonSchema(
|
|
1374
|
-
import_zod5.z.object({
|
|
1375
|
-
fixString: import_zod5.z.string().describe("FIX message string to parse")
|
|
1376
|
-
}),
|
|
1377
|
-
{ name: "ParseInput" }
|
|
1378
|
-
)
|
|
1379
|
-
},
|
|
1380
|
-
{
|
|
1381
|
-
name: "parseToJSON",
|
|
1382
|
-
description: "Parses a FIX message into JSON",
|
|
1383
|
-
inputSchema: zodToJsonSchema(
|
|
1384
|
-
import_zod5.z.object({
|
|
1385
|
-
fixString: import_zod5.z.string().describe("FIX message string to parse")
|
|
1386
|
-
}),
|
|
1387
|
-
{ name: "ParseToJSONInput" }
|
|
1388
|
-
)
|
|
1389
|
-
},
|
|
1390
|
-
{
|
|
1391
|
-
name: "newOrderSingle",
|
|
1392
|
-
description: "Creates and sends a New Order Single",
|
|
1393
|
-
inputSchema: zodToJsonSchema(
|
|
1394
|
-
import_zod5.z.object({
|
|
1395
|
-
clOrdID: import_zod5.z.string().describe("Client Order ID"),
|
|
1396
|
-
handlInst: import_zod5.z.enum(["1", "2", "3"]).default(import_fixparser.HandlInst.AutomatedExecutionNoIntervention).optional().describe("Handling instruction"),
|
|
1397
|
-
quantity: import_zod5.z.number().describe("Order quantity"),
|
|
1398
|
-
price: import_zod5.z.number().describe("Order price"),
|
|
1399
|
-
ordType: import_zod5.z.enum([
|
|
1400
|
-
"1",
|
|
1401
|
-
"2",
|
|
1402
|
-
"3",
|
|
1403
|
-
"4",
|
|
1404
|
-
"5",
|
|
1405
|
-
"6",
|
|
1406
|
-
"7",
|
|
1407
|
-
"8",
|
|
1408
|
-
"9",
|
|
1409
|
-
"A",
|
|
1410
|
-
"B",
|
|
1411
|
-
"C",
|
|
1412
|
-
"D",
|
|
1413
|
-
"E",
|
|
1414
|
-
"F",
|
|
1415
|
-
"G",
|
|
1416
|
-
"H",
|
|
1417
|
-
"I",
|
|
1418
|
-
"J",
|
|
1419
|
-
"K",
|
|
1420
|
-
"L",
|
|
1421
|
-
"M",
|
|
1422
|
-
"P",
|
|
1423
|
-
"Q",
|
|
1424
|
-
"R",
|
|
1425
|
-
"S"
|
|
1426
|
-
]).default("1").optional().describe("Order type"),
|
|
1427
|
-
side: import_zod5.z.enum([
|
|
1428
|
-
"1",
|
|
1429
|
-
"2",
|
|
1430
|
-
"3",
|
|
1431
|
-
"4",
|
|
1432
|
-
"5",
|
|
1433
|
-
"6",
|
|
1434
|
-
"7",
|
|
1435
|
-
"8",
|
|
1436
|
-
"9",
|
|
1437
|
-
"A",
|
|
1438
|
-
"B",
|
|
1439
|
-
"C",
|
|
1440
|
-
"D",
|
|
1441
|
-
"E",
|
|
1442
|
-
"F",
|
|
1443
|
-
"G",
|
|
1444
|
-
"H"
|
|
1445
|
-
]).describe("Order side (1=Buy, 2=Sell)"),
|
|
1446
|
-
symbol: import_zod5.z.string().describe("Trading symbol"),
|
|
1447
|
-
timeInForce: import_zod5.z.enum(["0", "1", "2", "3", "4", "5", "6", "7", "8", "9", "A", "B", "C"]).default(import_fixparser.TimeInForce.Day).optional().describe("Time in force")
|
|
1448
|
-
}),
|
|
1449
|
-
{ name: "NewOrderSingleInput" }
|
|
1450
|
-
)
|
|
1451
|
-
},
|
|
1452
|
-
{
|
|
1453
|
-
name: "marketDataRequest",
|
|
1454
|
-
description: "Sends a request for Market Data with the given symbol",
|
|
1455
|
-
inputSchema: zodToJsonSchema(
|
|
1456
|
-
import_zod5.z.object({
|
|
1457
|
-
mdUpdateType: import_zod5.z.enum(["0", "1"]).default("0").optional().describe("Market data update type"),
|
|
1458
|
-
symbol: import_zod5.z.string().describe("Trading symbol"),
|
|
1459
|
-
mdReqID: import_zod5.z.string().describe("Market data request ID"),
|
|
1460
|
-
subscriptionRequestType: import_zod5.z.enum(["0", "1", "2"]).default(import_fixparser.SubscriptionRequestType.SnapshotAndUpdates).optional().describe("Subscription request type"),
|
|
1461
|
-
mdEntryType: import_zod5.z.enum([
|
|
1462
|
-
"0",
|
|
1463
|
-
"1",
|
|
1464
|
-
"2",
|
|
1465
|
-
"3",
|
|
1466
|
-
"4",
|
|
1467
|
-
"5",
|
|
1468
|
-
"6",
|
|
1469
|
-
"7",
|
|
1470
|
-
"8",
|
|
1471
|
-
"9",
|
|
1472
|
-
"A",
|
|
1473
|
-
"B",
|
|
1474
|
-
"C",
|
|
1475
|
-
"D",
|
|
1476
|
-
"E",
|
|
1477
|
-
"F",
|
|
1478
|
-
"G",
|
|
1479
|
-
"H",
|
|
1480
|
-
"J",
|
|
1481
|
-
"K",
|
|
1482
|
-
"L",
|
|
1483
|
-
"M",
|
|
1484
|
-
"N",
|
|
1485
|
-
"O",
|
|
1486
|
-
"P",
|
|
1487
|
-
"Q",
|
|
1488
|
-
"S",
|
|
1489
|
-
"R",
|
|
1490
|
-
"T",
|
|
1491
|
-
"U",
|
|
1492
|
-
"V",
|
|
1493
|
-
"W",
|
|
1494
|
-
"X",
|
|
1495
|
-
"Y",
|
|
1496
|
-
"Z",
|
|
1497
|
-
"a",
|
|
1498
|
-
"b",
|
|
1499
|
-
"c",
|
|
1500
|
-
"d",
|
|
1501
|
-
"e",
|
|
1502
|
-
"g",
|
|
1503
|
-
"h",
|
|
1504
|
-
"i",
|
|
1505
|
-
"t"
|
|
1506
|
-
]).default(import_fixparser.MDEntryType.Bid).optional().describe("Market data entry type")
|
|
1507
|
-
}),
|
|
1508
|
-
{ name: "MarketDataRequestInput" }
|
|
1509
|
-
)
|
|
1510
|
-
}
|
|
1511
|
-
]
|
|
2341
|
+
tools: Object.entries(toolSchemas).map(([name, { description, schema }]) => ({
|
|
2342
|
+
name,
|
|
2343
|
+
description,
|
|
2344
|
+
inputSchema: schema
|
|
2345
|
+
}))
|
|
1512
2346
|
};
|
|
1513
2347
|
});
|
|
1514
|
-
this.server.setRequestHandler(
|
|
1515
|
-
|
|
1516
|
-
|
|
1517
|
-
|
|
1518
|
-
|
|
1519
|
-
|
|
1520
|
-
|
|
1521
|
-
|
|
1522
|
-
|
|
1523
|
-
|
|
1524
|
-
|
|
1525
|
-
|
|
1526
|
-
|
|
1527
|
-
|
|
1528
|
-
|
|
1529
|
-
|
|
1530
|
-
|
|
1531
|
-
|
|
1532
|
-
|
|
1533
|
-
|
|
1534
|
-
|
|
1535
|
-
]
|
|
1536
|
-
};
|
|
1537
|
-
} catch (error) {
|
|
1538
|
-
return {
|
|
1539
|
-
isError: true,
|
|
1540
|
-
content: [
|
|
1541
|
-
{
|
|
1542
|
-
type: "text",
|
|
1543
|
-
text: "Error: Failed to parse FIX string"
|
|
1544
|
-
}
|
|
1545
|
-
]
|
|
1546
|
-
};
|
|
1547
|
-
}
|
|
1548
|
-
}
|
|
1549
|
-
case "parseToJSON": {
|
|
1550
|
-
const { fixString } = import_zod5.z.object({
|
|
1551
|
-
fixString: import_zod5.z.string().describe("FIX message string to parse")
|
|
1552
|
-
}).parse(args || {});
|
|
1553
|
-
try {
|
|
1554
|
-
const parsedMessage = this.parser?.parse(fixString);
|
|
1555
|
-
if (!parsedMessage || parsedMessage.length === 0) {
|
|
1556
|
-
return {
|
|
1557
|
-
isError: true,
|
|
1558
|
-
content: [{ type: "text", text: "Error: Failed to parse FIX string" }]
|
|
1559
|
-
};
|
|
1560
|
-
}
|
|
1561
|
-
return {
|
|
1562
|
-
content: [
|
|
1563
|
-
{
|
|
1564
|
-
type: "text",
|
|
1565
|
-
text: JSON.stringify({ fixString, parsed: "placeholder" })
|
|
1566
|
-
}
|
|
1567
|
-
]
|
|
1568
|
-
};
|
|
1569
|
-
} catch (error) {
|
|
1570
|
-
return {
|
|
1571
|
-
isError: true,
|
|
1572
|
-
content: [
|
|
1573
|
-
{
|
|
1574
|
-
type: "text",
|
|
1575
|
-
text: "Error: Failed to parse FIX string"
|
|
1576
|
-
}
|
|
1577
|
-
]
|
|
1578
|
-
};
|
|
1579
|
-
}
|
|
1580
|
-
}
|
|
1581
|
-
case "newOrderSingle": {
|
|
1582
|
-
const { clOrdID, handlInst, quantity, price, ordType, side, symbol, timeInForce } = import_zod5.z.object({
|
|
1583
|
-
clOrdID: import_zod5.z.string().describe("Client Order ID"),
|
|
1584
|
-
handlInst: import_zod5.z.enum(["1", "2", "3"]).default(import_fixparser.HandlInst.AutomatedExecutionNoIntervention).optional().describe("Handling instruction"),
|
|
1585
|
-
quantity: import_zod5.z.number().describe("Order quantity"),
|
|
1586
|
-
price: import_zod5.z.number().describe("Order price"),
|
|
1587
|
-
ordType: import_zod5.z.enum([
|
|
1588
|
-
"1",
|
|
1589
|
-
"2",
|
|
1590
|
-
"3",
|
|
1591
|
-
"4",
|
|
1592
|
-
"5",
|
|
1593
|
-
"6",
|
|
1594
|
-
"7",
|
|
1595
|
-
"8",
|
|
1596
|
-
"9",
|
|
1597
|
-
"A",
|
|
1598
|
-
"B",
|
|
1599
|
-
"C",
|
|
1600
|
-
"D",
|
|
1601
|
-
"E",
|
|
1602
|
-
"F",
|
|
1603
|
-
"G",
|
|
1604
|
-
"H",
|
|
1605
|
-
"I",
|
|
1606
|
-
"J",
|
|
1607
|
-
"K",
|
|
1608
|
-
"L",
|
|
1609
|
-
"M",
|
|
1610
|
-
"P",
|
|
1611
|
-
"Q",
|
|
1612
|
-
"R",
|
|
1613
|
-
"S"
|
|
1614
|
-
]).default(import_fixparser.OrdType.Market).optional().describe("Order type"),
|
|
1615
|
-
side: import_zod5.z.enum([
|
|
1616
|
-
"1",
|
|
1617
|
-
"2",
|
|
1618
|
-
"3",
|
|
1619
|
-
"4",
|
|
1620
|
-
"5",
|
|
1621
|
-
"6",
|
|
1622
|
-
"7",
|
|
1623
|
-
"8",
|
|
1624
|
-
"9",
|
|
1625
|
-
"A",
|
|
1626
|
-
"B",
|
|
1627
|
-
"C",
|
|
1628
|
-
"D",
|
|
1629
|
-
"E",
|
|
1630
|
-
"F",
|
|
1631
|
-
"G",
|
|
1632
|
-
"H"
|
|
1633
|
-
]).describe("Order side (1=Buy, 2=Sell)"),
|
|
1634
|
-
symbol: import_zod5.z.string().describe("Trading symbol"),
|
|
1635
|
-
timeInForce: import_zod5.z.enum(["0", "1", "2", "3", "4", "5", "6", "7", "8", "9", "A", "B", "C"]).default(import_fixparser.TimeInForce.Day).optional().describe("Time in force")
|
|
1636
|
-
}).parse(args || {});
|
|
1637
|
-
const response = new Promise((resolve) => {
|
|
1638
|
-
this.pendingRequests.set(clOrdID, resolve);
|
|
1639
|
-
});
|
|
1640
|
-
const order = this.parser?.createMessage(
|
|
1641
|
-
new import_fixparser.Field(import_fixparser.Fields.MsgType, import_fixparser.Messages.NewOrderSingle),
|
|
1642
|
-
new import_fixparser.Field(import_fixparser.Fields.MsgSeqNum, this.parser?.getNextTargetMsgSeqNum()),
|
|
1643
|
-
new import_fixparser.Field(import_fixparser.Fields.SenderCompID, this.parser?.sender),
|
|
1644
|
-
new import_fixparser.Field(import_fixparser.Fields.TargetCompID, this.parser?.target),
|
|
1645
|
-
new import_fixparser.Field(import_fixparser.Fields.SendingTime, this.parser?.getTimestamp()),
|
|
1646
|
-
new import_fixparser.Field(import_fixparser.Fields.ClOrdID, clOrdID),
|
|
1647
|
-
new import_fixparser.Field(import_fixparser.Fields.Side, side),
|
|
1648
|
-
new import_fixparser.Field(import_fixparser.Fields.Symbol, symbol),
|
|
1649
|
-
new import_fixparser.Field(import_fixparser.Fields.OrderQty, quantity),
|
|
1650
|
-
new import_fixparser.Field(import_fixparser.Fields.Price, price),
|
|
1651
|
-
new import_fixparser.Field(import_fixparser.Fields.OrdType, ordType),
|
|
1652
|
-
new import_fixparser.Field(import_fixparser.Fields.HandlInst, handlInst),
|
|
1653
|
-
new import_fixparser.Field(import_fixparser.Fields.TimeInForce, timeInForce),
|
|
1654
|
-
new import_fixparser.Field(import_fixparser.Fields.TransactTime, this.parser?.getTimestamp())
|
|
1655
|
-
);
|
|
1656
|
-
if (!this.parser?.connected) {
|
|
1657
|
-
this.logger?.log({
|
|
1658
|
-
level: "error",
|
|
1659
|
-
message: "FIXParser (MCP): -- Not connected. Ignoring message."
|
|
1660
|
-
});
|
|
1661
|
-
return {
|
|
1662
|
-
isError: true,
|
|
1663
|
-
content: [
|
|
1664
|
-
{
|
|
1665
|
-
type: "text",
|
|
1666
|
-
text: "Error: Not connected. Ignoring message."
|
|
1667
|
-
}
|
|
1668
|
-
]
|
|
1669
|
-
};
|
|
1670
|
-
}
|
|
1671
|
-
this.parser?.send(order);
|
|
1672
|
-
this.logger?.log({
|
|
1673
|
-
level: "info",
|
|
1674
|
-
message: `FIXParser (MCP): (${this.parser?.protocol?.toUpperCase()}): >> sent ${order?.description}`
|
|
1675
|
-
});
|
|
1676
|
-
const fixData = await response;
|
|
1677
|
-
return {
|
|
1678
|
-
content: [
|
|
1679
|
-
{
|
|
1680
|
-
type: "text",
|
|
1681
|
-
text: `Execution Report for order ${clOrdID}: ${JSON.stringify(fixData.toFIXJSON())}`
|
|
1682
|
-
}
|
|
1683
|
-
]
|
|
1684
|
-
};
|
|
1685
|
-
}
|
|
1686
|
-
case "marketDataRequest": {
|
|
1687
|
-
const { mdUpdateType, symbol, mdReqID, subscriptionRequestType, mdEntryType } = import_zod5.z.object({
|
|
1688
|
-
mdUpdateType: import_zod5.z.enum(["0", "1"]).default("0").optional().describe("Market data update type"),
|
|
1689
|
-
symbol: import_zod5.z.string().describe("Trading symbol"),
|
|
1690
|
-
mdReqID: import_zod5.z.string().describe("Market data request ID"),
|
|
1691
|
-
subscriptionRequestType: import_zod5.z.enum(["0", "1", "2"]).default(import_fixparser.SubscriptionRequestType.SnapshotAndUpdates).optional().describe("Subscription request type"),
|
|
1692
|
-
mdEntryType: import_zod5.z.enum([
|
|
1693
|
-
"0",
|
|
1694
|
-
"1",
|
|
1695
|
-
"2",
|
|
1696
|
-
"3",
|
|
1697
|
-
"4",
|
|
1698
|
-
"5",
|
|
1699
|
-
"6",
|
|
1700
|
-
"7",
|
|
1701
|
-
"8",
|
|
1702
|
-
"9",
|
|
1703
|
-
"A",
|
|
1704
|
-
"B",
|
|
1705
|
-
"C",
|
|
1706
|
-
"D",
|
|
1707
|
-
"E",
|
|
1708
|
-
"F",
|
|
1709
|
-
"G",
|
|
1710
|
-
"H",
|
|
1711
|
-
"J",
|
|
1712
|
-
"K",
|
|
1713
|
-
"L",
|
|
1714
|
-
"M",
|
|
1715
|
-
"N",
|
|
1716
|
-
"O",
|
|
1717
|
-
"P",
|
|
1718
|
-
"Q",
|
|
1719
|
-
"S",
|
|
1720
|
-
"R",
|
|
1721
|
-
"T",
|
|
1722
|
-
"U",
|
|
1723
|
-
"V",
|
|
1724
|
-
"W",
|
|
1725
|
-
"X",
|
|
1726
|
-
"Y",
|
|
1727
|
-
"Z",
|
|
1728
|
-
"a",
|
|
1729
|
-
"b",
|
|
1730
|
-
"c",
|
|
1731
|
-
"d",
|
|
1732
|
-
"e",
|
|
1733
|
-
"g",
|
|
1734
|
-
"h",
|
|
1735
|
-
"i",
|
|
1736
|
-
"t"
|
|
1737
|
-
]).default(import_fixparser.MDEntryType.Bid).optional().describe("Market data entry type")
|
|
1738
|
-
}).parse(args || {});
|
|
1739
|
-
const response = new Promise((resolve) => {
|
|
1740
|
-
this.pendingRequests.set(mdReqID, resolve);
|
|
1741
|
-
});
|
|
1742
|
-
const marketDataRequest = this.parser?.createMessage(
|
|
1743
|
-
new import_fixparser.Field(import_fixparser.Fields.MsgType, import_fixparser.Messages.MarketDataRequest),
|
|
1744
|
-
new import_fixparser.Field(import_fixparser.Fields.SenderCompID, this.parser?.sender),
|
|
1745
|
-
new import_fixparser.Field(import_fixparser.Fields.MsgSeqNum, this.parser?.getNextTargetMsgSeqNum()),
|
|
1746
|
-
new import_fixparser.Field(import_fixparser.Fields.TargetCompID, this.parser?.target),
|
|
1747
|
-
new import_fixparser.Field(import_fixparser.Fields.SendingTime, this.parser?.getTimestamp()),
|
|
1748
|
-
new import_fixparser.Field(import_fixparser.Fields.MarketDepth, 0),
|
|
1749
|
-
new import_fixparser.Field(import_fixparser.Fields.MDUpdateType, mdUpdateType),
|
|
1750
|
-
new import_fixparser.Field(import_fixparser.Fields.NoRelatedSym, 1),
|
|
1751
|
-
new import_fixparser.Field(import_fixparser.Fields.Symbol, symbol),
|
|
1752
|
-
new import_fixparser.Field(import_fixparser.Fields.MDReqID, mdReqID),
|
|
1753
|
-
new import_fixparser.Field(import_fixparser.Fields.SubscriptionRequestType, subscriptionRequestType),
|
|
1754
|
-
new import_fixparser.Field(import_fixparser.Fields.NoMDEntryTypes, 1),
|
|
1755
|
-
new import_fixparser.Field(import_fixparser.Fields.MDEntryType, mdEntryType)
|
|
1756
|
-
);
|
|
1757
|
-
if (!this.parser?.connected) {
|
|
1758
|
-
this.logger?.log({
|
|
1759
|
-
level: "error",
|
|
1760
|
-
message: "FIXParser (MCP): -- Not connected. Ignoring message."
|
|
1761
|
-
});
|
|
1762
|
-
return {
|
|
1763
|
-
isError: true,
|
|
1764
|
-
content: [
|
|
1765
|
-
{
|
|
1766
|
-
type: "text",
|
|
1767
|
-
text: "Error: Not connected. Ignoring message."
|
|
1768
|
-
}
|
|
1769
|
-
]
|
|
1770
|
-
};
|
|
1771
|
-
}
|
|
1772
|
-
this.parser?.send(marketDataRequest);
|
|
1773
|
-
this.logger?.log({
|
|
1774
|
-
level: "info",
|
|
1775
|
-
message: `FIXParser (MCP): (${this.parser?.protocol?.toUpperCase()}): >> sent ${marketDataRequest?.description}`
|
|
1776
|
-
});
|
|
1777
|
-
const fixData = await response;
|
|
2348
|
+
this.server.setRequestHandler(
|
|
2349
|
+
import_zod.z.object({
|
|
2350
|
+
method: import_zod.z.literal("tools/call"),
|
|
2351
|
+
params: import_zod.z.object({
|
|
2352
|
+
name: import_zod.z.string(),
|
|
2353
|
+
arguments: import_zod.z.any(),
|
|
2354
|
+
_meta: import_zod.z.object({
|
|
2355
|
+
progressToken: import_zod.z.number()
|
|
2356
|
+
}).optional()
|
|
2357
|
+
})
|
|
2358
|
+
}),
|
|
2359
|
+
async (request) => {
|
|
2360
|
+
const { name, arguments: args } = request.params;
|
|
2361
|
+
const toolHandlers = createToolHandlers(
|
|
2362
|
+
this.parser,
|
|
2363
|
+
this.verifiedOrders,
|
|
2364
|
+
this.pendingRequests,
|
|
2365
|
+
this.marketDataPrices
|
|
2366
|
+
);
|
|
2367
|
+
const handler = toolHandlers[name];
|
|
2368
|
+
if (!handler) {
|
|
1778
2369
|
return {
|
|
1779
2370
|
content: [
|
|
1780
2371
|
{
|
|
1781
2372
|
type: "text",
|
|
1782
|
-
text: `
|
|
1783
|
-
|
|
1784
|
-
]
|
|
1785
|
-
};
|
|
1786
|
-
}
|
|
1787
|
-
default:
|
|
1788
|
-
throw new Error(`Unknown tool: ${name}`);
|
|
1789
|
-
}
|
|
1790
|
-
});
|
|
1791
|
-
this.server.setRequestHandler(import_types.ListPromptsRequestSchema, async () => {
|
|
1792
|
-
return {
|
|
1793
|
-
prompts: [
|
|
1794
|
-
{
|
|
1795
|
-
name: "parse",
|
|
1796
|
-
description: "Parses a FIX message and describes it in plain language",
|
|
1797
|
-
arguments: [
|
|
1798
|
-
{
|
|
1799
|
-
name: "fixString",
|
|
1800
|
-
description: "FIX message string to parse",
|
|
1801
|
-
required: true
|
|
1802
|
-
}
|
|
1803
|
-
]
|
|
1804
|
-
},
|
|
1805
|
-
{
|
|
1806
|
-
name: "parseToJSON",
|
|
1807
|
-
description: "Parses a FIX message into JSON",
|
|
1808
|
-
arguments: [
|
|
1809
|
-
{
|
|
1810
|
-
name: "fixString",
|
|
1811
|
-
description: "FIX message string to parse",
|
|
1812
|
-
required: true
|
|
1813
|
-
}
|
|
1814
|
-
]
|
|
1815
|
-
},
|
|
1816
|
-
{
|
|
1817
|
-
name: "newOrderSingle",
|
|
1818
|
-
description: "Creates and sends a New Order Single",
|
|
1819
|
-
arguments: [
|
|
1820
|
-
{
|
|
1821
|
-
name: "clOrdID",
|
|
1822
|
-
description: "Client Order ID",
|
|
1823
|
-
required: true
|
|
1824
|
-
},
|
|
1825
|
-
{
|
|
1826
|
-
name: "handlInst",
|
|
1827
|
-
description: "Handling instruction",
|
|
1828
|
-
required: false
|
|
1829
|
-
},
|
|
1830
|
-
{
|
|
1831
|
-
name: "quantity",
|
|
1832
|
-
description: "Order quantity",
|
|
1833
|
-
required: true
|
|
1834
|
-
},
|
|
1835
|
-
{
|
|
1836
|
-
name: "price",
|
|
1837
|
-
description: "Order price",
|
|
1838
|
-
required: true
|
|
1839
|
-
},
|
|
1840
|
-
{
|
|
1841
|
-
name: "ordType",
|
|
1842
|
-
description: "Order type",
|
|
1843
|
-
required: false
|
|
1844
|
-
},
|
|
1845
|
-
{
|
|
1846
|
-
name: "side",
|
|
1847
|
-
description: "Order side (1=Buy, 2=Sell)",
|
|
1848
|
-
required: true
|
|
1849
|
-
},
|
|
1850
|
-
{
|
|
1851
|
-
name: "symbol",
|
|
1852
|
-
description: "Trading symbol",
|
|
1853
|
-
required: true
|
|
1854
|
-
},
|
|
1855
|
-
{
|
|
1856
|
-
name: "timeInForce",
|
|
1857
|
-
description: "Time in force",
|
|
1858
|
-
required: false
|
|
1859
|
-
}
|
|
1860
|
-
]
|
|
1861
|
-
},
|
|
1862
|
-
{
|
|
1863
|
-
name: "marketDataRequest",
|
|
1864
|
-
description: "Sends a request for Market Data with the given symbol",
|
|
1865
|
-
arguments: [
|
|
1866
|
-
{
|
|
1867
|
-
name: "mdUpdateType",
|
|
1868
|
-
description: "Market data update type",
|
|
1869
|
-
required: false
|
|
1870
|
-
},
|
|
1871
|
-
{
|
|
1872
|
-
name: "symbol",
|
|
1873
|
-
description: "Trading symbol",
|
|
1874
|
-
required: true
|
|
1875
|
-
},
|
|
1876
|
-
{
|
|
1877
|
-
name: "mdReqID",
|
|
1878
|
-
description: "Market data request ID",
|
|
1879
|
-
required: true
|
|
1880
|
-
},
|
|
1881
|
-
{
|
|
1882
|
-
name: "subscriptionRequestType",
|
|
1883
|
-
description: "Subscription request type",
|
|
1884
|
-
required: false
|
|
1885
|
-
},
|
|
1886
|
-
{
|
|
1887
|
-
name: "mdEntryType",
|
|
1888
|
-
description: "Market data entry type",
|
|
1889
|
-
required: false
|
|
1890
|
-
}
|
|
1891
|
-
]
|
|
1892
|
-
}
|
|
1893
|
-
]
|
|
1894
|
-
};
|
|
1895
|
-
});
|
|
1896
|
-
this.server.setRequestHandler(import_types.GetPromptRequestSchema, async (request) => {
|
|
1897
|
-
const { name, arguments: args } = request.params;
|
|
1898
|
-
switch (name) {
|
|
1899
|
-
case "parse": {
|
|
1900
|
-
const fixString = args?.fixString || "";
|
|
1901
|
-
return {
|
|
1902
|
-
messages: [
|
|
1903
|
-
{
|
|
1904
|
-
role: "user",
|
|
1905
|
-
content: {
|
|
1906
|
-
type: "text",
|
|
1907
|
-
text: `Please parse and explain this FIX message: ${fixString}`
|
|
1908
|
-
}
|
|
1909
|
-
}
|
|
1910
|
-
]
|
|
1911
|
-
};
|
|
1912
|
-
}
|
|
1913
|
-
case "parseToJSON": {
|
|
1914
|
-
const fixString = args?.fixString || "";
|
|
1915
|
-
return {
|
|
1916
|
-
messages: [
|
|
1917
|
-
{
|
|
1918
|
-
role: "user",
|
|
1919
|
-
content: {
|
|
1920
|
-
type: "text",
|
|
1921
|
-
text: `Please parse the FIX message to JSON: ${fixString}`
|
|
1922
|
-
}
|
|
1923
|
-
}
|
|
1924
|
-
]
|
|
1925
|
-
};
|
|
1926
|
-
}
|
|
1927
|
-
case "newOrderSingle": {
|
|
1928
|
-
const { clOrdID, handlInst, quantity, price, ordType, side, symbol, timeInForce } = args || {};
|
|
1929
|
-
return {
|
|
1930
|
-
messages: [
|
|
1931
|
-
{
|
|
1932
|
-
role: "user",
|
|
1933
|
-
content: {
|
|
1934
|
-
type: "text",
|
|
1935
|
-
text: [
|
|
1936
|
-
"Create a New Order Single FIX message with the following parameters:",
|
|
1937
|
-
`- ClOrdID: ${clOrdID}`,
|
|
1938
|
-
`- HandlInst: ${handlInst ?? "default"}`,
|
|
1939
|
-
`- Quantity: ${quantity}`,
|
|
1940
|
-
`- Price: ${price}`,
|
|
1941
|
-
`- OrdType: ${ordType ?? "default (Market)"}`,
|
|
1942
|
-
`- Side: ${side}`,
|
|
1943
|
-
`- Symbol: ${symbol}`,
|
|
1944
|
-
`- TimeInForce: ${timeInForce ?? "default (Day)"}`,
|
|
1945
|
-
"",
|
|
1946
|
-
"Format the response as a JSON object with FIX tag numbers as keys and their corresponding values."
|
|
1947
|
-
].join("\n")
|
|
1948
|
-
}
|
|
2373
|
+
text: `Tool not found: ${name}`,
|
|
2374
|
+
uri: name
|
|
1949
2375
|
}
|
|
1950
|
-
]
|
|
1951
|
-
|
|
1952
|
-
}
|
|
1953
|
-
case "marketDataRequest": {
|
|
1954
|
-
const { mdUpdateType, symbol, mdReqID, subscriptionRequestType, mdEntryType } = args || {};
|
|
1955
|
-
return {
|
|
1956
|
-
messages: [
|
|
1957
|
-
{
|
|
1958
|
-
role: "user",
|
|
1959
|
-
content: {
|
|
1960
|
-
type: "text",
|
|
1961
|
-
text: [
|
|
1962
|
-
"Create a Market Data Request FIX message with the following parameters:",
|
|
1963
|
-
`- MDUpdateType: ${mdUpdateType ?? "default (0 = FullRefresh)"}`,
|
|
1964
|
-
`- Symbol: ${symbol}`,
|
|
1965
|
-
`- MDReqID: ${mdReqID}`,
|
|
1966
|
-
`- SubscriptionRequestType: ${subscriptionRequestType ?? "default (0 = Snapshot + Updates)"}`,
|
|
1967
|
-
`- MDEntryType: ${mdEntryType ?? "default (0 = Bid)"}`,
|
|
1968
|
-
"",
|
|
1969
|
-
"Format the response as a JSON object with FIX tag numbers as keys and their corresponding values."
|
|
1970
|
-
].join("\n")
|
|
1971
|
-
}
|
|
1972
|
-
}
|
|
1973
|
-
]
|
|
2376
|
+
],
|
|
2377
|
+
isError: true
|
|
1974
2378
|
};
|
|
1975
2379
|
}
|
|
1976
|
-
|
|
1977
|
-
|
|
2380
|
+
const result = await handler(args);
|
|
2381
|
+
return {
|
|
2382
|
+
content: result.content,
|
|
2383
|
+
isError: result.isError
|
|
2384
|
+
};
|
|
1978
2385
|
}
|
|
1979
|
-
|
|
2386
|
+
);
|
|
1980
2387
|
process.on("SIGINT", async () => {
|
|
1981
2388
|
await this.server.close();
|
|
1982
2389
|
process.exit(0);
|