gloomberb 0.11.3 → 0.12.0

package/src/plugins/ibkr/gateway/price-normalization.ts

@@ -1,50 +0,0 @@
-import {
-  normalizePriceValueByDivisor,
-  resolveExchangeSubUnitCurrencyUnit,
-} from "../../../utils/currency-units";
-
-interface IbkrPriceContractLike {
-  currency?: string;
-  exchange?: string;
-  primaryExch?: string;
-  secType?: string;
-}
-
-interface IbkrPriceDetailsLike {
-  priceMagnifier?: number;
-  validExchanges?: string;
-}
-
-function normalizeIbkrExchange(value?: string): string {
-  return (value ?? "").trim().toUpperCase();
-}
-
-function isSubUnitEligibleSecType(secType?: string): boolean {
-  const normalized = normalizeIbkrExchange(secType);
-  return normalized === "STK" || normalized === "ETF";
-}
-
-export function getIbkrPriceDivisor(
-  contract: IbkrPriceContractLike,
-  details?: IbkrPriceDetailsLike,
-): number {
-  if (!isSubUnitEligibleSecType(contract.secType)) return 1;
-
-  const magnifier = details?.priceMagnifier;
-  if (typeof magnifier === "number" && Number.isFinite(magnifier) && magnifier > 1) {
-    return magnifier;
-  }
-
-  const validExchanges = details?.validExchanges
-    ?.split(",")
-    .map((exchange) => exchange.trim())
-    .filter(Boolean) ?? [];
-  const unit = resolveExchangeSubUnitCurrencyUnit(contract.currency, [
-    contract.primaryExch,
-    contract.exchange,
-    ...validExchanges,
-  ]);
-  return unit.divisor;
-}
-
-export const normalizeIbkrPriceValue = normalizePriceValueByDivisor;

package/src/plugins/ibkr/gateway/quote-stream-controller.ts

@@ -1,203 +0,0 @@
-import { MarketDataType, type Contract, type ContractDetails, type IBApiNext } from "@stoqey/ib";
-import type { QuoteSubscriptionTarget } from "../../../types/data-provider";
-import { debugLog } from "../../../utils/debug-log";
-import type { BrokerContractRef } from "../../../types/instrument";
-import type { IbkrGatewayConfig } from "./types";
-import {
-  buildQuoteStreamKey,
-  normalizeQuoteStreamTarget,
-} from "./market-data";
-import { getIbkrPriceDivisor } from "./price-normalization";
-import {
-  applyMarketDataQuoteStreamUpdate,
-  applyTickByTickAllLastStreamUpdate,
-  applyTickByTickBidAskStreamUpdate,
-  IBKR_QUOTE_STREAM_TICKS,
-  loadIbkrSeedQuote,
-  startIbkrTickByTickBidAskStream,
-  type ActiveQuoteStream,
-  type QuoteStreamListener,
-} from "./quote-stream";
-import { IBKR_DATA_TIMEOUT, withTimeout } from "./timeouts";
-
-interface QuoteStreamRuntime {
-  connect(config: IbkrGatewayConfig): Promise<void>;
-  getApi(): IBApiNext;
-  getRawApi(): any;
-  getActiveMarketDataType(): MarketDataType;
-  resolveContract(symbol: string, exchange: string, instrument: BrokerContractRef | null): Promise<Contract>;
-  getPrimaryContractDetails(contract: Contract): Promise<ContractDetails>;
-  withMarketDataFallback<T>(operation: () => Promise<T>): Promise<T>;
-}
-
-const gatewayLog = debugLog.createLogger("ibkr-gateway");
-
-export class IbkrQuoteStreamController {
-  private readonly quoteStreams = new Map<string, ActiveQuoteStream>();
-  private readonly quoteStreamStarts = new Map<string, Promise<void>>();
-
-  constructor(
-    private readonly runtime: QuoteStreamRuntime,
-    private readonly instanceId?: string,
-  ) {}
-
-  subscribe(
-    config: IbkrGatewayConfig,
-    targets: QuoteSubscriptionTarget[],
-    onQuote: QuoteStreamListener,
-  ): () => void {
-    const uniqueTargets = [...new Map(
-      targets
-        .map((target) => normalizeQuoteStreamTarget(target))
-        .filter((target): target is QuoteSubscriptionTarget => target != null)
-        .map((target) => [buildQuoteStreamKey(target), target] as const),
-    ).values()];
-
-    for (const target of uniqueTargets) {
-      const key = buildQuoteStreamKey(target);
-      const stream = this.quoteStreams.get(key) ?? {
-        target,
-        listeners: new Map<QuoteStreamListener, QuoteSubscriptionTarget>(),
-        stop: () => {},
-      };
-      stream.target = target;
-      stream.listeners.set(onQuote, target);
-      this.quoteStreams.set(key, stream);
-
-      if (!this.quoteStreamStarts.has(key) && stream.listeners.size === 1) {
-        const startPromise = this.ensureQuoteStream(key, target, config)
-          .catch((error) => {
-            gatewayLog.warn("Quote stream setup failed", {
-              instanceId: this.instanceId,
-              symbol: target.symbol,
-              exchange: target.exchange ?? "",
-              error: error instanceof Error ? error.message : String(error ?? ""),
-            });
-          })
-          .finally(() => {
-            this.quoteStreamStarts.delete(key);
-          });
-        this.quoteStreamStarts.set(key, startPromise);
-      }
-    }
-
-    return () => {
-      for (const target of uniqueTargets) {
-        const key = buildQuoteStreamKey(target);
-        const stream = this.quoteStreams.get(key);
-        if (!stream) continue;
-        stream.listeners.delete(onQuote);
-        if (stream.listeners.size === 0) {
-          stream.stop();
-          this.quoteStreams.delete(key);
-        }
-      }
-    };
-  }
-
-  teardown(): void {
-    for (const stream of this.quoteStreams.values()) {
-      stream.stop();
-    }
-    this.quoteStreams.clear();
-    this.quoteStreamStarts.clear();
-  }
-
-  private async ensureQuoteStream(
-    key: string,
-    target: QuoteSubscriptionTarget,
-    config: IbkrGatewayConfig,
-  ): Promise<void> {
-    await this.runtime.connect(config);
-    const contract = await withTimeout(
-      this.runtime.resolveContract(target.symbol, target.exchange ?? "", target.context?.instrument ?? null),
-      IBKR_DATA_TIMEOUT,
-      "resolveContract",
-    );
-    const details = await withTimeout(this.runtime.getPrimaryContractDetails(contract), IBKR_DATA_TIMEOUT, "getContractDetails");
-    const priceDivisor = getIbkrPriceDivisor(contract, details);
-    const stream = this.quoteStreams.get(key);
-    if (!stream || stream.listeners.size === 0) {
-      this.quoteStreams.delete(key);
-      return;
-    }
-
-    const seededQuote = await loadIbkrSeedQuote({
-      api: this.runtime.getApi(),
-      activeMarketDataType: this.runtime.getActiveMarketDataType(),
-      contract,
-      details,
-      withMarketDataFallback: (operation) => this.runtime.withMarketDataFallback(operation),
-    });
-    if (seededQuote) {
-      stream.lastQuote = seededQuote;
-      for (const [listener, listenerTarget] of stream.listeners.entries()) {
-        listener(listenerTarget, seededQuote);
-      }
-    }
-
-    const subscription = this.runtime.getApi().getMarketData(contract, IBKR_QUOTE_STREAM_TICKS, false, false).subscribe({
-      next: (update) => applyMarketDataQuoteStreamUpdate(
-        this.quoteStreams.get(key),
-        contract,
-        details,
-        update,
-        this.runtime.getActiveMarketDataType(),
-      ),
-      error: (error) => {
-        gatewayLog.warn("Quote stream error", {
-          instanceId: this.instanceId,
-          symbol: target.symbol,
-          exchange: target.exchange ?? "",
-          error: error instanceof Error ? error.message : String(error ?? ""),
-        });
-      },
-    });
-    const tradeSubscription = this.runtime.getApi().getTickByTickAllLastDataUpdates(contract, 0, false).subscribe({
-      next: (tick) => applyTickByTickAllLastStreamUpdate(
-        this.quoteStreams.get(key),
-        contract,
-        details,
-        tick,
-        priceDivisor,
-        this.runtime.getActiveMarketDataType(),
-      ),
-      error: (error) => {
-        gatewayLog.warn("Tick-by-tick trade stream error", {
-          instanceId: this.instanceId,
-          symbol: target.symbol,
-          exchange: target.exchange ?? "",
-          error: error instanceof Error ? error.message : String(error ?? ""),
-        });
-      },
-    });
-    const bidAskStop = startIbkrTickByTickBidAskStream({
-      api: this.runtime.getApi(),
-      rawApi: this.runtime.getRawApi(),
-      contract,
-      onUpdate: (update) => applyTickByTickBidAskStreamUpdate(this.quoteStreams.get(key), update, priceDivisor),
-      onError: (error) => {
-        gatewayLog.warn("Tick-by-tick bid/ask stream error", {
-          instanceId: this.instanceId,
-          symbol: target.symbol,
-          exchange: target.exchange ?? "",
-          error,
-        });
-      },
-    });
-
-    const liveStream = this.quoteStreams.get(key);
-    if (!liveStream || liveStream.listeners.size === 0) {
-      subscription.unsubscribe();
-      tradeSubscription.unsubscribe();
-      bidAskStop();
-      this.quoteStreams.delete(key);
-      return;
-    }
-    liveStream.stop = () => {
-      subscription.unsubscribe();
-      tradeSubscription.unsubscribe();
-      bidAskStop();
-    };
-  }
-}

package/src/plugins/ibkr/gateway/quote-stream.ts

@@ -1,171 +0,0 @@
-import {
-  EventName,
-  MarketDataType,
-  type Contract,
-  type ContractDetails,
-  type IBApiNext,
-  type MarketDataUpdate,
-} from "@stoqey/ib";
-import type { QuoteSubscriptionTarget } from "../../../types/data-provider";
-import type { Quote } from "../../../types/financials";
-import {
-  applyTickByTickAllLastToQuote,
-  applyTickByTickBidAskToQuote,
-  hasDelayedMarketData,
-  marketDataToQuote,
-  type TickByTickAllLast,
-  type TickByTickBidAskUpdate,
-} from "./market-data";
-import { IBKR_DATA_TIMEOUT, withTimeout } from "./timeouts";
-
-export type QuoteStreamListener = (target: QuoteSubscriptionTarget, quote: Quote) => void;
-
-export interface ActiveQuoteStream {
-  target: QuoteSubscriptionTarget;
-  listeners: Map<QuoteStreamListener, QuoteSubscriptionTarget>;
-  stop: () => void;
-  lastQuote?: Quote;
-}
-
-export const IBKR_QUOTE_STREAM_TICKS = "165,221,233";
-
-function emitQuoteToStream(stream: ActiveQuoteStream, quote: Quote): void {
-  stream.lastQuote = quote;
-  for (const [listener, listenerTarget] of stream.listeners.entries()) {
-    listener(listenerTarget, quote);
-  }
-}
-
-type IbkrMarketDataSnapshot = Parameters<typeof hasDelayedMarketData>[0];
-
-function quoteDataSource(marketData: IbkrMarketDataSnapshot, activeMarketDataType: MarketDataType): "live" | "delayed" {
-  return hasDelayedMarketData(marketData) || activeMarketDataType !== MarketDataType.REALTIME
-    ? "delayed"
-    : "live";
-}
-
-export function applyMarketDataQuoteStreamUpdate(
-  stream: ActiveQuoteStream | undefined,
-  contract: Contract,
-  details: ContractDetails,
-  update: MarketDataUpdate,
-  activeMarketDataType: MarketDataType,
-): void {
-  if (!stream || stream.listeners.size === 0) return;
-
-  try {
-    const quote = marketDataToQuote(contract, details, update.all);
-    quote.providerId = "ibkr";
-    quote.dataSource = quoteDataSource(update.all, activeMarketDataType);
-    emitQuoteToStream(stream, quote);
-  } catch {
-    // Ignore partial tick snapshots until IBKR has sent a usable quote.
-  }
-}
-
-export function applyTickByTickAllLastStreamUpdate(
-  stream: ActiveQuoteStream | undefined,
-  contract: Contract,
-  details: ContractDetails,
-  tick: TickByTickAllLast,
-  priceDivisor: number,
-  activeMarketDataType: MarketDataType,
-): void {
-  if (!stream || stream.listeners.size === 0) return;
-
-  const nextQuote = applyTickByTickAllLastToQuote(
-    stream.lastQuote,
-    contract,
-    details,
-    tick,
-    priceDivisor,
-    stream.lastQuote?.dataSource ?? (activeMarketDataType === MarketDataType.REALTIME ? "live" : "delayed"),
-  );
-  if (nextQuote) emitQuoteToStream(stream, nextQuote);
-}
-
-export function applyTickByTickBidAskStreamUpdate(
-  stream: ActiveQuoteStream | undefined,
-  update: TickByTickBidAskUpdate,
-  priceDivisor: number,
-): void {
-  if (!stream || stream.listeners.size === 0) return;
-  const nextQuote = applyTickByTickBidAskToQuote(stream.lastQuote, update, priceDivisor);
-  if (nextQuote) emitQuoteToStream(stream, nextQuote);
-}
-
-export async function loadIbkrSeedQuote({
-  api,
-  activeMarketDataType,
-  contract,
-  details,
-  withMarketDataFallback,
-}: {
-  api: IBApiNext;
-  activeMarketDataType: MarketDataType;
-  contract: Contract;
-  details: ContractDetails;
-  withMarketDataFallback<T>(operation: () => Promise<T>): Promise<T>;
-}): Promise<Quote | null> {
-  try {
-    const marketData = await withMarketDataFallback(
-      () => withTimeout(api.getMarketDataSnapshot(contract, "", false), IBKR_DATA_TIMEOUT, "getMarketDataSnapshot"),
-    );
-    const quote = marketDataToQuote(contract, details, marketData);
-    quote.providerId = "ibkr";
-    quote.dataSource = quoteDataSource(marketData as IbkrMarketDataSnapshot, activeMarketDataType);
-    return quote;
-  } catch {
-    return null;
-  }
-}
-
-export function startIbkrTickByTickBidAskStream({
-  api,
-  rawApi,
-  contract,
-  onUpdate,
-  onError,
-}: {
-  api: IBApiNext;
-  rawApi: any;
-  contract: Contract;
-  onUpdate: (update: TickByTickBidAskUpdate) => void;
-  onError: (message: string) => void;
-}): () => void {
-  const reqId = (api as any)?.nextReqId;
-  if (typeof reqId !== "number" || !Number.isFinite(reqId)) {
-    onError("No request id available for tick-by-tick bid/ask stream");
-    return () => {};
-  }
-
-  const handleBidAsk = (
-    incomingReqId: number,
-    time: number,
-    bidPrice: number,
-    askPrice: number,
-    bidSize: number,
-    askSize: number,
-  ) => {
-    if (incomingReqId !== reqId) return;
-    onUpdate({ time, bidPrice, askPrice, bidSize, askSize });
-  };
-  const handleError = (error: Error, code: number, incomingReqId: number) => {
-    if (incomingReqId !== reqId) return;
-    onError(error?.message || `IBKR error ${code}`);
-  };
-
-  rawApi.on(EventName.tickByTickBidAsk, handleBidAsk);
-  rawApi.on(EventName.error, handleError);
-  rawApi.reqTickByTickData(reqId, contract, "BidAsk", 0, false);
-
-  return () => {
-    rawApi.off(EventName.tickByTickBidAsk, handleBidAsk);
-    rawApi.off(EventName.error, handleError);
-    try {
-      rawApi.cancelTickByTickData(reqId);
-    } catch {
-      // ignore shutdown races
-    }
-  };
-}

package/src/plugins/ibkr/gateway/selection.ts

@@ -1,51 +0,0 @@
-import type { AppConfig } from "../../../types/config";
-import type { BrokerAccount } from "../../../types/trading";
-import { getBrokerInstance } from "../../../utils/broker-instances";
-import { normalizeIbkrConfig } from "../config";
-import { ibkrGatewayManager } from "./service";
-import {
-  getConfiguredIbkrGatewayInstances,
-  getLockedIbkrTradingInstanceId,
-  resolveIbkrTradingInstanceId,
-} from "../instance-selection";
-import {
-  getGatewayRequiredMessage,
-  useGatewaySnapshot,
-} from "./helpers";
-import { getKnownIbkrAccounts } from "../trade/utils";
-
-export function useIbkrGatewaySelection(
-  config: AppConfig,
-  brokerAccounts: Record<string, BrokerAccount[]>,
-  collectionId: string | null | undefined,
-  preferredInstanceId?: string,
-) {
-  const activePortfolio = config.portfolios.find((portfolio) => portfolio.id === collectionId);
-  const gatewayInstances = getConfiguredIbkrGatewayInstances(config);
-  const lockedBrokerInstanceId = getLockedIbkrTradingInstanceId(config, collectionId ?? null);
-  const selectedBrokerInstanceId = resolveIbkrTradingInstanceId(config, collectionId ?? null, preferredInstanceId);
-  const selectedInstance = getBrokerInstance(config.brokerInstances, selectedBrokerInstanceId);
-  const gatewaySnapshot = useGatewaySnapshot(selectedBrokerInstanceId);
-  const gatewayService = selectedBrokerInstanceId ? ibkrGatewayManager.getService(selectedBrokerInstanceId) : null;
-  const normalizedConfig = selectedInstance ? normalizeIbkrConfig(selectedInstance.config) : null;
-  const isGatewayMode = selectedInstance != null && normalizedConfig?.connectionMode === "gateway";
-  const availableAccounts = getKnownIbkrAccounts(
-    brokerAccounts,
-    selectedBrokerInstanceId,
-    gatewaySnapshot.accounts,
-  );
-
-  return {
-    activePortfolio,
-    gatewayInstances,
-    lockedBrokerInstanceId,
-    selectedBrokerInstanceId,
-    selectedInstance,
-    gatewaySnapshot,
-    gatewayService,
-    normalizedConfig,
-    isGatewayMode,
-    availableAccounts,
-    gatewayRequiredMessage: getGatewayRequiredMessage(gatewayInstances.length),
-  };
-}