hedgequantx 2.4.2 → 2.4.3

package/src/lib/decoder.js

@@ -0,0 +1,599 @@
+/**
+ * Rithmic Manual Protobuf Decoder
+ * Required because protobufjs can't handle field IDs > 100000
+ */
+
+// Field IDs for LastTrade (template_id = 150)
+// From last_trade.proto - field numbers are the proto field IDs
+const LAST_TRADE_FIELDS = {
+  TEMPLATE_ID: 154467,
+  SYMBOL: 110100,
+  EXCHANGE: 110101,
+  TRADE_PRICE: 100006,
+  TRADE_SIZE: 100178,
+  AGGRESSOR: 112003,  // TransactionType enum: 1=BUY, 2=SELL
+  SSBOE: 150100,
+  USECS: 150101,
+};
+
+// Debug: log ALL fields to find aggressor
+let debugFieldsLogged = 0;
+let debugAllFieldsLogged = 0;
+
+// Field IDs for BestBidOffer (template_id = 151)
+const BBO_FIELDS = {
+  TEMPLATE_ID: 154467,
+  SYMBOL: 110100,
+  EXCHANGE: 110101,
+  BID_PRICE: 100022,
+  BID_SIZE: 100030,
+  ASK_PRICE: 100025,
+  ASK_SIZE: 100031,
+  SSBOE: 150100,
+  USECS: 150101,
+};
+
+// Field IDs for AccountPnLPositionUpdate (template_id = 450)
+const ACCOUNT_PNL_FIELDS = {
+  TEMPLATE_ID: 154467,
+  IS_SNAPSHOT: 110121,
+  FCM_ID: 154013,
+  IB_ID: 154014,
+  ACCOUNT_ID: 154008,
+  FILL_BUY_QTY: 154041,
+  FILL_SELL_QTY: 154042,
+  BUY_QTY: 154260,
+  SELL_QTY: 154261,
+  OPEN_POSITION_PNL: 156961,
+  OPEN_POSITION_QUANTITY: 156962,
+  CLOSED_POSITION_PNL: 156963,
+  CLOSED_POSITION_QUANTITY: 156964,
+  NET_QUANTITY: 156967,
+  MIN_ACCOUNT_BALANCE: 156968,
+  ACCOUNT_BALANCE: 156970,
+  CASH_ON_HAND: 156971,
+  MIN_MARGIN_BALANCE: 156976,
+  MARGIN_BALANCE: 156977,
+  AVAILABLE_BUYING_POWER: 157015,
+  USED_BUYING_POWER: 157014,
+  DAY_OPEN_PNL: 157954,
+  DAY_CLOSED_PNL: 157955,
+  DAY_PNL: 157956,
+  PERCENT_MAX_LOSS: 156965,
+  SSBOE: 150100,
+  USECS: 150101,
+};
+
+// Field IDs for InstrumentPnLPositionUpdate (template_id = 451)
+const INSTRUMENT_PNL_FIELDS = {
+  TEMPLATE_ID: 154467,
+  IS_SNAPSHOT: 110121,
+  FCM_ID: 154013,
+  IB_ID: 154014,
+  ACCOUNT_ID: 154008,
+  SYMBOL: 110100,
+  EXCHANGE: 110101,
+  PRODUCT_CODE: 100749,
+  INSTRUMENT_TYPE: 110116,
+  FILL_BUY_QTY: 154041,
+  FILL_SELL_QTY: 154042,
+  BUY_QTY: 154260,
+  SELL_QTY: 154261,
+  AVG_OPEN_FILL_PRICE: 154434,
+  OPEN_POSITION_PNL: 156961,
+  OPEN_POSITION_QUANTITY: 156962,
+  CLOSED_POSITION_PNL: 156963,
+  CLOSED_POSITION_QUANTITY: 156964,
+  NET_QUANTITY: 156967,
+  DAY_OPEN_PNL: 157954,
+  DAY_CLOSED_PNL: 157955,
+  DAY_PNL: 157956,
+  SSBOE: 150100,
+  USECS: 150101,
+};
+
+/**
+ * Read a varint from buffer starting at offset
+ * Uses BigInt internally to handle large field IDs correctly
+ * Returns [value, newOffset]
+ */
+function readVarint(buffer, offset) {
+  let result = BigInt(0);
+  let shift = BigInt(0);
+  let pos = offset;
+
+  while (pos < buffer.length) {
+    const byte = buffer[pos++];
+    result |= BigInt(byte & 0x7f) << shift;
+    if ((byte & 0x80) === 0) {
+      return [Number(result), pos];
+    }
+    shift += BigInt(7);
+    if (shift > BigInt(63)) {
+      throw new Error('Varint too large');
+    }
+  }
+
+  throw new Error('Incomplete varint');
+}
+
+/**
+ * Read a length-delimited field (string/bytes)
+ * Returns [string, newOffset]
+ */
+function readLengthDelimited(buffer, offset) {
+  const [length, newOffset] = readVarint(buffer, offset);
+  const value = buffer.slice(newOffset, newOffset + length).toString('utf8');
+  return [value, newOffset + length];
+}
+
+/**
+ * Skip a field based on wire type
+ */
+function skipField(buffer, offset, wireType) {
+  switch (wireType) {
+    case 0: // Varint
+      const [, newOffset] = readVarint(buffer, offset);
+      return newOffset;
+    case 1: // 64-bit fixed
+      return offset + 8;
+    case 2: // Length-delimited
+      const [length, lenOffset] = readVarint(buffer, offset);
+      return lenOffset + length;
+    case 5: // 32-bit fixed
+      return offset + 4;
+    default:
+      throw new Error(`Unknown wire type: ${wireType}`);
+  }
+}
+
+/**
+ * Get template ID from buffer (first field)
+ */
+function getTemplateId(buffer) {
+  let offset = 0;
+  while (offset < buffer.length) {
+    try {
+      const [tag, newOffset] = readVarint(buffer, offset);
+      const fieldNumber = tag >>> 3;
+      const wireType = tag & 0x7;
+      offset = newOffset;
+
+      if (fieldNumber === 154467 && wireType === 0) {
+        const [templateId] = readVarint(buffer, offset);
+        return templateId;
+      }
+      offset = skipField(buffer, offset, wireType);
+    } catch {
+      return -1;
+    }
+  }
+  return -1;
+}
+
+/**
+ * Decode LastTrade message (template_id = 150)
+ */
+function decodeLastTrade(buffer) {
+  const result = {};
+  let offset = 0;
+  const allFields = []; // Debug: track all fields
+  
+  // Debug first few calls
+  if (debugAllFieldsLogged < 3) {
+    console.log(`[DECODER] decodeLastTrade called, buffer size: ${buffer.length}`);
+  }
+
+  while (offset < buffer.length) {
+    try {
+      const [tag, newOffset] = readVarint(buffer, offset);
+      const fieldNumber = tag >>> 3;
+      const wireType = tag & 0x7;
+      offset = newOffset;
+      
+      // Debug: log ALL fields for first few messages
+      if (debugAllFieldsLogged < 2) {
+        allFields.push({ fieldNumber, wireType });
+      }
+
+      switch (fieldNumber) {
+        case LAST_TRADE_FIELDS.TEMPLATE_ID:
+          [result.templateId, offset] = readVarint(buffer, offset);
+          break;
+        case LAST_TRADE_FIELDS.SYMBOL:
+          if (wireType === 2) {
+            [result.symbol, offset] = readLengthDelimited(buffer, offset);
+          } else {
+            offset = skipField(buffer, offset, wireType);
+          }
+          break;
+        case LAST_TRADE_FIELDS.EXCHANGE:
+          if (wireType === 2) {
+            [result.exchange, offset] = readLengthDelimited(buffer, offset);
+          } else {
+            offset = skipField(buffer, offset, wireType);
+          }
+          break;
+        case LAST_TRADE_FIELDS.TRADE_PRICE:
+          if (wireType === 1) {
+            // 64-bit double little-endian
+            result.tradePrice = buffer.readDoubleLE(offset);
+            offset += 8;
+          } else {
+            offset = skipField(buffer, offset, wireType);
+          }
+          break;
+        case LAST_TRADE_FIELDS.TRADE_SIZE:
+          if (wireType === 0) {
+            [result.tradeSize, offset] = readVarint(buffer, offset);
+          } else {
+            offset = skipField(buffer, offset, wireType);
+          }
+          break;
+        case LAST_TRADE_FIELDS.AGGRESSOR:
+          if (wireType === 0) {
+            [result.aggressor, offset] = readVarint(buffer, offset);
+            // Debug: log when aggressor is found
+            if (debugAllFieldsLogged < 5) {
+              console.log(`[DECODER] AGGRESSOR FOUND! value=${result.aggressor}`);
+            }
+          } else {
+            offset = skipField(buffer, offset, wireType);
+          }
+          break;
+        case LAST_TRADE_FIELDS.SSBOE:
+          if (wireType === 0) {
+            [result.ssboe, offset] = readVarint(buffer, offset);
+          } else {
+            offset = skipField(buffer, offset, wireType);
+          }
+          break;
+        case LAST_TRADE_FIELDS.USECS:
+          if (wireType === 0) {
+            [result.usecs, offset] = readVarint(buffer, offset);
+          } else {
+            offset = skipField(buffer, offset, wireType);
+          }
+          break;
+        default:
+          offset = skipField(buffer, offset, wireType);
+      }
+    } catch {
+      break;
+    }
+  }
+  
+  // Debug: log all fields found in first messages
+  if (debugAllFieldsLogged < 2 && result.tradePrice > 0) {
+    console.log(`[DECODER:LastTrade] ALL FIELDS: ${JSON.stringify(allFields)}`);
+    console.log(`[DECODER:LastTrade] Result: price=${result.tradePrice}, aggressor=${result.aggressor}`);
+    debugAllFieldsLogged++;
+  }
+
+  return result;
+}
+
+/**
+ * Decode BestBidOffer message (template_id = 151)
+ */
+function decodeBestBidOffer(buffer) {
+  const result = {};
+  let offset = 0;
+
+  while (offset < buffer.length) {
+    try {
+      const [tag, newOffset] = readVarint(buffer, offset);
+      const fieldNumber = tag >>> 3;
+      const wireType = tag & 0x7;
+      offset = newOffset;
+
+      switch (fieldNumber) {
+        case BBO_FIELDS.TEMPLATE_ID:
+          [result.templateId, offset] = readVarint(buffer, offset);
+          break;
+        case BBO_FIELDS.SYMBOL:
+          if (wireType === 2) {
+            [result.symbol, offset] = readLengthDelimited(buffer, offset);
+          } else {
+            offset = skipField(buffer, offset, wireType);
+          }
+          break;
+        case BBO_FIELDS.EXCHANGE:
+          if (wireType === 2) {
+            [result.exchange, offset] = readLengthDelimited(buffer, offset);
+          } else {
+            offset = skipField(buffer, offset, wireType);
+          }
+          break;
+        case BBO_FIELDS.BID_PRICE:
+          if (wireType === 1) {
+            result.bidPrice = buffer.readDoubleLE(offset);
+            offset += 8;
+          } else {
+            offset = skipField(buffer, offset, wireType);
+          }
+          break;
+        case BBO_FIELDS.BID_SIZE:
+          if (wireType === 0) {
+            [result.bidSize, offset] = readVarint(buffer, offset);
+          } else {
+            offset = skipField(buffer, offset, wireType);
+          }
+          break;
+        case BBO_FIELDS.ASK_PRICE:
+          if (wireType === 1) {
+            result.askPrice = buffer.readDoubleLE(offset);
+            offset += 8;
+          } else {
+            offset = skipField(buffer, offset, wireType);
+          }
+          break;
+        case BBO_FIELDS.ASK_SIZE:
+          if (wireType === 0) {
+            [result.askSize, offset] = readVarint(buffer, offset);
+          } else {
+            offset = skipField(buffer, offset, wireType);
+          }
+          break;
+        case BBO_FIELDS.SSBOE:
+          if (wireType === 0) {
+            [result.ssboe, offset] = readVarint(buffer, offset);
+          } else {
+            offset = skipField(buffer, offset, wireType);
+          }
+          break;
+        case BBO_FIELDS.USECS:
+          if (wireType === 0) {
+            [result.usecs, offset] = readVarint(buffer, offset);
+          } else {
+            offset = skipField(buffer, offset, wireType);
+          }
+          break;
+        default:
+          offset = skipField(buffer, offset, wireType);
+      }
+    } catch {
+      break;
+    }
+  }
+
+  return result;
+}
+
+/**
+ * Decode AccountPnLPositionUpdate message (template_id = 450)
+ */
+function decodeAccountPnL(buffer) {
+  const result = {};
+  let offset = 0;
+
+  while (offset < buffer.length) {
+    try {
+      const [tag, newOffset] = readVarint(buffer, offset);
+      const fieldNumber = tag >>> 3;
+      const wireType = tag & 0x7;
+      offset = newOffset;
+
+      switch (fieldNumber) {
+        case ACCOUNT_PNL_FIELDS.TEMPLATE_ID:
+          [result.templateId, offset] = readVarint(buffer, offset);
+          break;
+        case ACCOUNT_PNL_FIELDS.IS_SNAPSHOT:
+          const [isSnap, snapOffset] = readVarint(buffer, offset);
+          result.isSnapshot = isSnap !== 0;
+          offset = snapOffset;
+          break;
+        case ACCOUNT_PNL_FIELDS.FCM_ID:
+          [result.fcmId, offset] = readLengthDelimited(buffer, offset);
+          break;
+        case ACCOUNT_PNL_FIELDS.IB_ID:
+          [result.ibId, offset] = readLengthDelimited(buffer, offset);
+          break;
+        case ACCOUNT_PNL_FIELDS.ACCOUNT_ID:
+          [result.accountId, offset] = readLengthDelimited(buffer, offset);
+          break;
+        case ACCOUNT_PNL_FIELDS.FILL_BUY_QTY:
+          [result.fillBuyQty, offset] = readVarint(buffer, offset);
+          break;
+        case ACCOUNT_PNL_FIELDS.FILL_SELL_QTY:
+          [result.fillSellQty, offset] = readVarint(buffer, offset);
+          break;
+        case ACCOUNT_PNL_FIELDS.BUY_QTY:
+          [result.buyQty, offset] = readVarint(buffer, offset);
+          break;
+        case ACCOUNT_PNL_FIELDS.SELL_QTY:
+          [result.sellQty, offset] = readVarint(buffer, offset);
+          break;
+        case ACCOUNT_PNL_FIELDS.ACCOUNT_BALANCE:
+          [result.accountBalance, offset] = readLengthDelimited(buffer, offset);
+          break;
+        case ACCOUNT_PNL_FIELDS.CASH_ON_HAND:
+          [result.cashOnHand, offset] = readLengthDelimited(buffer, offset);
+          break;
+        case ACCOUNT_PNL_FIELDS.MARGIN_BALANCE:
+          [result.marginBalance, offset] = readLengthDelimited(buffer, offset);
+          break;
+        case ACCOUNT_PNL_FIELDS.MIN_MARGIN_BALANCE:
+          [result.minMarginBalance, offset] = readLengthDelimited(buffer, offset);
+          break;
+        case ACCOUNT_PNL_FIELDS.AVAILABLE_BUYING_POWER:
+          [result.availableBuyingPower, offset] = readLengthDelimited(buffer, offset);
+          break;
+        case ACCOUNT_PNL_FIELDS.USED_BUYING_POWER:
+          [result.usedBuyingPower, offset] = readLengthDelimited(buffer, offset);
+          break;
+        case ACCOUNT_PNL_FIELDS.OPEN_POSITION_PNL:
+          [result.openPositionPnl, offset] = readLengthDelimited(buffer, offset);
+          break;
+        case ACCOUNT_PNL_FIELDS.OPEN_POSITION_QUANTITY:
+          [result.openPositionQuantity, offset] = readVarint(buffer, offset);
+          break;
+        case ACCOUNT_PNL_FIELDS.CLOSED_POSITION_PNL:
+          [result.closedPositionPnl, offset] = readLengthDelimited(buffer, offset);
+          break;
+        case ACCOUNT_PNL_FIELDS.CLOSED_POSITION_QUANTITY:
+          [result.closedPositionQuantity, offset] = readVarint(buffer, offset);
+          break;
+        case ACCOUNT_PNL_FIELDS.NET_QUANTITY:
+          [result.netQuantity, offset] = readVarint(buffer, offset);
+          break;
+        case ACCOUNT_PNL_FIELDS.DAY_OPEN_PNL:
+          [result.dayOpenPnl, offset] = readLengthDelimited(buffer, offset);
+          break;
+        case ACCOUNT_PNL_FIELDS.DAY_CLOSED_PNL:
+          [result.dayClosedPnl, offset] = readLengthDelimited(buffer, offset);
+          break;
+        case ACCOUNT_PNL_FIELDS.DAY_PNL:
+          [result.dayPnl, offset] = readLengthDelimited(buffer, offset);
+          break;
+        case ACCOUNT_PNL_FIELDS.PERCENT_MAX_LOSS:
+          [result.percentMaxLoss, offset] = readLengthDelimited(buffer, offset);
+          break;
+        case ACCOUNT_PNL_FIELDS.SSBOE:
+          [result.ssboe, offset] = readVarint(buffer, offset);
+          break;
+        case ACCOUNT_PNL_FIELDS.USECS:
+          [result.usecs, offset] = readVarint(buffer, offset);
+          break;
+        default:
+          offset = skipField(buffer, offset, wireType);
+      }
+    } catch {
+      break;
+    }
+  }
+
+  return result;
+}
+
+/**
+ * Decode InstrumentPnLPositionUpdate message (template_id = 451)
+ */
+function decodeInstrumentPnL(buffer) {
+  const result = {};
+  let offset = 0;
+
+  while (offset < buffer.length) {
+    try {
+      const [tag, newOffset] = readVarint(buffer, offset);
+      const fieldNumber = tag >>> 3;
+      const wireType = tag & 0x7;
+      offset = newOffset;
+
+      switch (fieldNumber) {
+        case INSTRUMENT_PNL_FIELDS.TEMPLATE_ID:
+          [result.templateId, offset] = readVarint(buffer, offset);
+          break;
+        case INSTRUMENT_PNL_FIELDS.IS_SNAPSHOT:
+          const [isSnap, snapOffset] = readVarint(buffer, offset);
+          result.isSnapshot = isSnap !== 0;
+          offset = snapOffset;
+          break;
+        case INSTRUMENT_PNL_FIELDS.FCM_ID:
+          [result.fcmId, offset] = readLengthDelimited(buffer, offset);
+          break;
+        case INSTRUMENT_PNL_FIELDS.IB_ID:
+          [result.ibId, offset] = readLengthDelimited(buffer, offset);
+          break;
+        case INSTRUMENT_PNL_FIELDS.ACCOUNT_ID:
+          [result.accountId, offset] = readLengthDelimited(buffer, offset);
+          break;
+        case INSTRUMENT_PNL_FIELDS.SYMBOL:
+          [result.symbol, offset] = readLengthDelimited(buffer, offset);
+          break;
+        case INSTRUMENT_PNL_FIELDS.EXCHANGE:
+          [result.exchange, offset] = readLengthDelimited(buffer, offset);
+          break;
+        case INSTRUMENT_PNL_FIELDS.PRODUCT_CODE:
+          [result.productCode, offset] = readLengthDelimited(buffer, offset);
+          break;
+        case INSTRUMENT_PNL_FIELDS.INSTRUMENT_TYPE:
+          [result.instrumentType, offset] = readLengthDelimited(buffer, offset);
+          break;
+        case INSTRUMENT_PNL_FIELDS.FILL_BUY_QTY:
+          [result.fillBuyQty, offset] = readVarint(buffer, offset);
+          break;
+        case INSTRUMENT_PNL_FIELDS.FILL_SELL_QTY:
+          [result.fillSellQty, offset] = readVarint(buffer, offset);
+          break;
+        case INSTRUMENT_PNL_FIELDS.BUY_QTY:
+          [result.buyQty, offset] = readVarint(buffer, offset);
+          break;
+        case INSTRUMENT_PNL_FIELDS.SELL_QTY:
+          [result.sellQty, offset] = readVarint(buffer, offset);
+          break;
+        case INSTRUMENT_PNL_FIELDS.AVG_OPEN_FILL_PRICE:
+          if (wireType === 1) {
+            result.avgOpenFillPrice = buffer.readDoubleLE(offset);
+            offset += 8;
+          } else {
+            offset = skipField(buffer, offset, wireType);
+          }
+          break;
+        case INSTRUMENT_PNL_FIELDS.OPEN_POSITION_PNL:
+          [result.openPositionPnl, offset] = readLengthDelimited(buffer, offset);
+          break;
+        case INSTRUMENT_PNL_FIELDS.OPEN_POSITION_QUANTITY:
+          [result.openPositionQuantity, offset] = readVarint(buffer, offset);
+          break;
+        case INSTRUMENT_PNL_FIELDS.CLOSED_POSITION_PNL:
+          [result.closedPositionPnl, offset] = readLengthDelimited(buffer, offset);
+          break;
+        case INSTRUMENT_PNL_FIELDS.CLOSED_POSITION_QUANTITY:
+          [result.closedPositionQuantity, offset] = readVarint(buffer, offset);
+          break;
+        case INSTRUMENT_PNL_FIELDS.NET_QUANTITY:
+          [result.netQuantity, offset] = readVarint(buffer, offset);
+          break;
+        case INSTRUMENT_PNL_FIELDS.DAY_OPEN_PNL:
+          if (wireType === 1) {
+            result.dayOpenPnl = buffer.readDoubleLE(offset);
+            offset += 8;
+          } else {
+            offset = skipField(buffer, offset, wireType);
+          }
+          break;
+        case INSTRUMENT_PNL_FIELDS.DAY_CLOSED_PNL:
+          if (wireType === 1) {
+            result.dayClosedPnl = buffer.readDoubleLE(offset);
+            offset += 8;
+          } else {
+            offset = skipField(buffer, offset, wireType);
+          }
+          break;
+        case INSTRUMENT_PNL_FIELDS.DAY_PNL:
+          if (wireType === 1) {
+            result.dayPnl = buffer.readDoubleLE(offset);
+            offset += 8;
+          } else {
+            offset = skipField(buffer, offset, wireType);
+          }
+          break;
+        case INSTRUMENT_PNL_FIELDS.SSBOE:
+          [result.ssboe, offset] = readVarint(buffer, offset);
+          break;
+        case INSTRUMENT_PNL_FIELDS.USECS:
+          [result.usecs, offset] = readVarint(buffer, offset);
+          break;
+        default:
+          offset = skipField(buffer, offset, wireType);
+      }
+    } catch {
+      break;
+    }
+  }
+
+  return result;
+}
+
+module.exports = {
+  getTemplateId,
+  decodeLastTrade,
+  decodeBestBidOffer,
+  decodeAccountPnL,
+  decodeInstrumentPnL,
+  LAST_TRADE_FIELDS,
+  BBO_FIELDS,
+  ACCOUNT_PNL_FIELDS,
+  INSTRUMENT_PNL_FIELDS,
+};

package/src/lib/m/s1.js

@@ -0,0 +1,61 @@
+/**
+ * M1 Module
+ */
+const EventEmitter = require('events');
+const { v4: uuidv4 } = require('uuid');
+const OS = { B: 0, A: 1 };
+const SS = { W: 1, M: 2, S: 3, VS: 4, E: 5 };
+
+class VC {
+  constructor() { this.d = new Map(); this.psv = new Map(); }
+  gk(c) { return `${c}_${new Date().toISOString().split('T')[0]}`; }
+  init(c) { const k = this.gk(c); if (!this.d.has(k)) { this.d.set(k, { v: 0, cv: 0, ctpv: 0, ub1: 0, ub2: 0, ub3: 0, lb1: 0, lb2: 0, lb3: 0, sd: 0, tc: 0, hod: -Infinity, lod: Infinity, lu: Date.now() }); this.psv.set(k, 0); } }
+  pt(c, h, l, cl, vol, ts = Date.now()) { const k = this.gk(c); let d = this.d.get(k); if (!d) { this.init(c); d = this.d.get(k); } const tp = (h + l + cl) / 3; d.cv += vol; d.ctpv += tp * vol; if (d.cv > 0) d.v = d.ctpv / d.cv; const p = this.psv.get(k) || 0; this.psv.set(k, p + tp * tp * vol); this.cs(k); if (h > d.hod) d.hod = h; if (l < d.lod) d.lod = l; d.tc++; d.lu = ts; }
+  cs(k) { const d = this.d.get(k); if (!d || d.cv === 0) return; const p = this.psv.get(k) || 0; const ms = p / d.cv; const sm = d.v * d.v; const va = ms - sm; d.sd = Math.sqrt(Math.max(0, va)); d.ub1 = d.v + d.sd; d.ub2 = d.v + 2 * d.sd; d.ub3 = d.v + 3 * d.sd; d.lb1 = d.v - d.sd; d.lb2 = d.v - 2 * d.sd; d.lb3 = d.v - 3 * d.sd; }
+  an(c, cp, ts = 0.25) { const k = this.gk(c); const d = this.d.get(k); if (!d || d.v === 0) return null; const pd = cp - d.v; const dt = pd / ts; const dv = d.sd > 0 ? pd / d.sd : 0; let pos; if (Math.abs(dv) < 0.1) pos = 'AT'; else if (dv > 0) pos = 'ABOVE'; else pos = 'BELOW'; const ad = Math.abs(dv); let bl; if (ad < 1) bl = 0; else if (ad < 2) bl = 1; else if (ad < 3) bl = 2; else bl = 3; let mrp; if (ad >= 3) mrp = 0.99; else if (ad >= 2) mrp = 0.95; else if (ad >= 1.5) mrp = 0.85; else if (ad >= 1) mrp = 0.68; else mrp = 0.50; return { currentPrice: cp, vwap: d.v, deviation: dv, deviationTicks: dt, position: pos, bandLevel: bl, target: d.v, probability: mrp, isFavorableForMeanReversion: ad >= 1.5 }; }
+  get(c) { return this.d.get(this.gk(c)) || null; }
+  reset(c) { const k = this.gk(c); this.d.delete(k); this.psv.delete(k); }
+}
+
+class S1 extends EventEmitter {
+  constructor(cfg = {}) { super(); this.ts = cfg.tickSize || 0.25; this.mrr = 1.2; this.ap = 14; this.ah = []; this.ba = 2.5; this.rt = []; this.ws = 0; this.ls = 0; this.lsd = null; this.bh = new Map(); this.vc = new VC(); this.lst = 0; this.cd = 30000; this.st = { s: 0, t: 0, w: 0, l: 0, p: 0 }; }
+  // tickSize for tick calculations, P&L comes from API
+  initialize(c, ts = 0.25) { this.ts = ts; this.bh.set(c, []); this.vc.init(c); }
+  processBar(c, b) { let bs = this.bh.get(c); if (!bs) { bs = []; this.bh.set(c, bs); } bs.push(b); if (bs.length > 500) bs.shift(); if (bs.length < 50) return null; const sd = new Date(b.timestamp).toISOString().split('T')[0]; if (this.lsd !== sd) this.lsd = sd; this.vc.pt(c, b.high, b.low, b.close, b.volume, b.timestamp); const va = this.vc.an(c, b.close, this.ts); if (!va) return null; const vs = this.sv(va, b.close); const of = this.aof(bs); const os = this.sof(of); const dd = this.adb(bs); const ds = this.sdd(dd); const md = this.am(bs); const ms = this.sm(md); const pd = this.avp(bs, c, b.close); const ps = this.svp(pd, b.close); const { dir, st, ofc } = this.dd(va, of, dd, pd, b.close); if (dir === 'none') return null; if (st !== 'vr') return null; if (!ofc) return null; const bc = vs * 0.25 + os * 0.30 + ds * 0.20 + ms * 0.10 + ps * 0.15; const cf = Math.min(1.0, bc + 0.05); const pm = this.gap(bs); if (cf < pm.ct) return null; if (Date.now() - this.lst < this.cd) return null; const ep = b.close; const spt = pm.spt; const tgt = pm.tgt; let sl, tp; if (dir === 'long') { sl = ep - spt * this.ts; tp = ep + tgt * this.ts; const vt = va.vwap; if (vt > ep && vt < tp) { const vr = (vt - ep) / this.ts; if (vr >= spt * 1.5) tp = vt; } } else { sl = ep + spt * this.ts; tp = ep - tgt * this.ts; const vt = va.vwap; if (vt < ep && vt > tp) { const vr = (ep - vt) / this.ts; if (vr >= spt * 1.5) tp = vt; } } const rt = Math.abs(ep - sl) / this.ts; const rwt = Math.abs(tp - ep) / this.ts; if (rwt / rt < this.mrr) return null; let p1, p2; if (dir === 'long') { p1 = ep + pm.p1t * this.ts; p2 = ep + pm.p2t * this.ts; } else { p1 = ep - pm.p1t * this.ts; p2 = ep - pm.p2t * this.ts; } let str = SS.M; if (cf >= 0.75) str = SS.S; else if (cf >= 0.85) str = SS.VS; else if (cf < 0.55) str = SS.W; const wp = 0.5 + (cf - 0.5) * 0.3; const aw = Math.abs(tp - ep); const al = Math.abs(ep - sl); const eg = wp * aw - (1 - wp) * al; this.lst = Date.now(); this.st.s++; const sig = { id: uuidv4(), timestamp: Date.now(), symbol: c.split('.')[0] || c, contractId: c, side: dir === 'long' ? OS.B : OS.A, direction: dir, strategy: 'S1', strength: str, edge: eg, confidence: cf, entryPrice: ep, stopLoss: sl, takeProfit: tp, riskReward: rwt / rt, stopTicks: spt, targetTicks: tgt, trailTriggerTicks: pm.ttt, trailDistanceTicks: pm.tdt, partial1Price: p1, partial2Price: p2, score1: vs, score2: os, domScore: ds, microstructureScore: ms, volumeProfileScore: ps, confirmed: ofc, zScore: va.deviation, regime: pm.rg, expires: Date.now() + 60000 }; this.emit('signal', sig); return sig; }
+  processTick(t) { const { contractId, price, bid, ask, volume, side, timestamp } = t; const b = { timestamp: timestamp || Date.now(), open: price, high: price, low: price, close: price, volume: volume || 1, trades: 1, delta: side === 'buy' ? (volume || 1) : -(volume || 1), vwap: price }; return this.processBar(contractId, b); }
+  onTick(t) { return this.processTick(t); }
+  recordTradeResult(p) { this.rt.push({ netPnl: p, timestamp: Date.now() }); if (this.rt.length > 100) this.rt.shift(); if (p > 0) { this.ws++; this.ls = 0; this.st.w++; } else { this.ls++; this.ws = 0; this.st.l++; } this.st.p += p; this.st.t++; }
+  sv(v, cp) { const z = Math.abs(v.deviation); if (z < 0.5) return 0.3; else if (z < 1.0) return 0.6; else if (z < 2.0) return 0.9; else if (z < 2.5) return 0.7; else return 0.4; }
+  sof(o) { let s = 0.5; s += o.ir * 0.3; if (o.dd) s += 0.2; if (o.ad) s += 0.15; return Math.min(1.0, s); }
+  sdd(d) { let s = 0.5; s += Math.abs(d.pi) * 0.25; if (d.sb || d.sa) s += 0.15; if (d.al !== null) s += 0.1; return Math.min(1.0, s); }
+  sm(m) { const ns = 1.0 - m.nr; const ls = 0.0001 < m.kl && m.kl < 0.001 ? 0.7 : 0.5; return ns * 0.6 + ls * 0.4; }
+  svp(p, cp) { let s = 0.5; const pd = Math.abs(cp - p.poc) / this.ts; if (pd < 10) s += 0.2; if (p.val <= cp && cp <= p.vah) s += 0.15; for (const h of p.hvn) { if (Math.abs(cp - h) < 5 * this.ts) { s += 0.15; break; } } return Math.min(1.0, s); }
+  aof(bs) { if (bs.length < 2) return { d: 0, cd: 0, dd: false, ad: false, ir: 0, as: 'neutral' }; const cb = bs[bs.length - 1]; const pb = bs[bs.length - 2]; const br = cb.high - cb.low; let bv, sv; if (br > 0) { const cp = (cb.close - cb.low) / br; bv = cb.volume * cp; sv = cb.volume * (1 - cp); } else { bv = cb.volume * 0.5; sv = cb.volume * 0.5; } const d = bv - sv; const cd = cb.delta || d; let dv = false; if (bs.length >= 5) { const rb = bs.slice(-5); const pc = rb[4].close - rb[0].close; const ds = rb.reduce((s, b) => s + (b.delta || 0), 0); if ((pc > 0 && ds < -cb.volume * 0.5) || (pc < 0 && ds > cb.volume * 0.5)) dv = true; } const lb = Math.min(20, bs.length); const rbs = bs.slice(-lb); const ar = rbs.reduce((s, b) => s + (b.high - b.low), 0) / lb; const av = rbs.reduce((s, b) => s + b.volume, 0) / lb; const ab = cb.volume > av * 1.5 && br < ar * 0.6; const tv = bv + sv; const im = tv > 0 ? Math.abs(bv - sv) / tv : 0; let ag; if (bv > sv * 1.3) ag = 'buy'; else if (sv > bv * 1.3) ag = 'sell'; else ag = 'neutral'; return { d, cd, dd: dv, ad: ab, ir: im, as: ag }; }
+  adb(bs) { const lb = Math.min(10, bs.length); if (lb < 2) return { bp: 0.5, ap: 0.5, pi: 0, sb: false, sa: false, al: null }; const rbs = bs.slice(-lb); let bss = [], ass = []; for (const b of rbs) { const br = b.high - b.low; if (br > 0) { const cp = (b.close - b.low) / br; bss.push(cp * b.volume); ass.push((1 - cp) * b.volume); } } const t = bss.reduce((a, b) => a + b, 0) + ass.reduce((a, b) => a + b, 0); const bp = t > 0 ? bss.reduce((a, b) => a + b, 0) / t : 0.5; const ap = t > 0 ? ass.reduce((a, b) => a + b, 0) / t : 0.5; const pi = bp - ap; const lf = rbs.slice(-5); let hc = 0, lc = 0; for (const b of lf) { const br = b.high - b.low; if (br > 0) { const cp = (b.close - b.low) / br; if (cp > 0.7) hc++; if (cp < 0.3) lc++; } } let al = null; const ar = rbs.reduce((s, b) => s + (b.high - b.low), 0) / lb; const av = rbs.reduce((s, b) => s + b.volume, 0) / lb; for (const b of rbs) { const br = b.high - b.low; if (b.volume > av * 1.5 && br < ar * 0.5) { al = (b.high + b.low) / 2; break; } } return { bp, ap, pi, sb: hc >= 3, sa: lc >= 3, al }; }
+  am(bs) { const lb = Math.min(50, bs.length); if (lb < 10) return { kl: 0, rs: 0, es: 0, rv: 0, nr: 0.5 }; const rbs = bs.slice(-lb); const pc = [], vs = []; for (let i = 1; i < rbs.length; i++) { pc.push(rbs[i].close - rbs[i - 1].close); vs.push(rbs[i].volume); } let kl = 0; if (pc.length > 5) { const mp = pc.reduce((a, b) => a + b, 0) / pc.length; const mv = vs.reduce((a, b) => a + b, 0) / vs.length; let cv = 0, vv = 0; for (let i = 0; i < pc.length; i++) { cv += (pc[i] - mp) * (vs[i] - mv); vv += Math.pow(vs[i] - mv, 2); } cv /= pc.length; vv /= pc.length; kl = vv > 0 ? Math.abs(cv / vv) : 0; } let rs = 0; if (pc.length > 2) { const c1 = pc.slice(1), c0 = pc.slice(0, -1); const m1 = c1.reduce((a, b) => a + b, 0) / c1.length; const m0 = c0.reduce((a, b) => a + b, 0) / c0.length; let ac = 0; for (let i = 0; i < c1.length; i++) ac += (c1[i] - m1) * (c0[i] - m0); ac /= c1.length; rs = Math.sqrt(Math.max(0, -ac)) * 2; } const es = rbs.reduce((s, b) => s + (b.high - b.low), 0) / lb; const rt = []; for (let i = 1; i < rbs.length; i++) { if (rbs[i - 1].close > 0) rt.push(Math.log(rbs[i].close / rbs[i - 1].close)); } let rv = 0; if (rt.length > 0) { const mr = rt.reduce((a, b) => a + b, 0) / rt.length; const va = rt.reduce((s, r) => s + Math.pow(r - mr, 2), 0) / rt.length; rv = Math.sqrt(va) * Math.sqrt(252 * 390); } const sv = pc.length >= 10 ? Math.sqrt(pc.slice(-10).reduce((s, p) => s + p * p, 0) / 10) : 0; const lv = pc.length > 0 ? Math.sqrt(pc.reduce((s, p) => s + p * p, 0) / pc.length) : 1; const nr = lv > 0 ? Math.min(1, sv / lv) : 0.5; return { kl, rs, es, rv, nr }; }
+  avp(bs, c, cp) { const lb = Math.min(100, bs.length); if (lb < 10) return { poc: cp, vah: cp, val: cp, hvn: [], lvn: [] }; const rbs = bs.slice(-lb); const vap = new Map(); for (const b of rbs) { const br = b.high - b.low; const nl = Math.max(1, Math.round(br / this.ts)); const vpl = b.volume / nl; let p = b.low; while (p <= b.high) { const r = Math.round(p / this.ts) * this.ts; vap.set(r, (vap.get(r) || 0) + vpl); p += this.ts; } } if (vap.size === 0) return { poc: cp, vah: cp, val: cp, hvn: [], lvn: [] }; let poc = cp, mv = 0; for (const [p, v] of vap) { if (v > mv) { mv = v; poc = p; } } const tv = Array.from(vap.values()).reduce((a, b) => a + b, 0); const tgv = tv * 0.7; const sp = Array.from(vap.keys()).sort((a, b) => a - b); const pi = sp.indexOf(poc); let vv = vap.get(poc) || 0, li = pi, hi = pi; while (vv < tgv && (li > 0 || hi < sp.length - 1)) { const lv = li > 0 ? (vap.get(sp[li - 1]) || 0) : 0; const hv = hi < sp.length - 1 ? (vap.get(sp[hi + 1]) || 0) : 0; if (lv >= hv && li > 0) { li--; vv += vap.get(sp[li]) || 0; } else if (hi < sp.length - 1) { hi++; vv += vap.get(sp[hi]) || 0; } else break; } const val = sp[li], vah = sp[hi]; const av = tv / vap.size; const hvn = [], lvn = []; for (const [p, v] of vap) { if (v > av * 1.5) hvn.push(p); if (v < av * 0.5) lvn.push(p); } return { poc, vah, val, hvn, lvn }; }
+  dd(v, o, d, p, cp) { let ls = 0, ss = 0, st = 'mixed', ofc = false; if (v.deviation < -0.8) { ls += 2; st = 'vr'; if (o.as === 'buy' || o.dd) ofc = true; } else if (v.deviation > 0.8) { ss += 2; st = 'vr'; if (o.as === 'sell' || o.dd) ofc = true; } if (o.as === 'buy' && o.ir > 0.35) ls += 1; else if (o.as === 'sell' && o.ir > 0.35) ss += 1; if (o.dd) { if (o.cd < 0) { ls += 2; st = 'dv'; ofc = true; } else { ss += 2; st = 'dv'; ofc = true; } } if (d.pi > 0.35) ls += 1; else if (d.pi < -0.35) ss += 1; if (d.sb) ls += 1; if (d.sa) ss += 1; if (cp < p.poc - 5 * this.ts) ls += 1; else if (cp > p.poc + 5 * this.ts) ss += 1; if (ls >= 2 && ls > ss) return { dir: 'long', st, ofc }; else if (ss >= 2 && ss > ls) return { dir: 'short', st, ofc }; else return { dir: 'none', st: 'none', ofc: false }; }
+  catr(bs) { if (bs.length < this.ap + 1) return this.ba; const tv = []; for (let i = bs.length - this.ap; i < bs.length; i++) { const b = bs[i]; const pc = bs[i - 1].close; const tr = Math.max(b.high - b.low, Math.abs(b.high - pc), Math.abs(b.low - pc)); tv.push(tr); } const a = tv.reduce((a, b) => a + b, 0) / tv.length; this.ah.push(a); if (this.ah.length > 500) this.ah.shift(); return a; }
+  gap(bs) { const a = this.catr(bs); const at = a / this.ts; let ap = 0.5; if (this.ah.length >= 20) ap = this.ah.filter(x => x <= a).length / this.ah.length; let rg, vm; if (ap < 0.25) { rg = 'low'; vm = 0.9; } else if (ap < 0.70) { rg = 'normal'; vm = 1.0; } else if (ap < 0.90) { rg = 'high'; vm = 1.15; } else { rg = 'extreme'; vm = 1.25; } const pm = this.gpm(); const bs6 = 6; let spt = Math.round(bs6 * vm); spt = Math.max(5, Math.min(8, spt)); const bt8 = 8; let tgt = Math.round(bt8 * vm); tgt = Math.max(6, Math.min(10, tgt)); if (tgt / spt < 1.2) tgt = Math.round(spt * 1.33); const ttt = Math.max(3, Math.min(5, Math.round(tgt * 0.5))); const tdt = Math.max(2, Math.min(3, Math.round(spt * 0.35))); const bc = 0.45; const ra = { low: 0.05, normal: 0.0, high: 0.03, extreme: 0.10 }; let ct = bc + ra[rg]; ct = Math.min(0.65, ct * pm); const p1t = Math.round(tgt * 0.5); const p2t = Math.round(tgt * 0.75); return { spt, tgt, ct, ttt, tdt, p1t, p2t, rg, at, vm }; }
+  gpm() { if (this.rt.length === 0) return 1.0; const r = this.rt.slice(-20); const w = r.filter(t => t.netPnl > 0).length; const wr = w / r.length; let m = 1.0; if (this.ls >= 2) { m += 0.05 * this.ls; m = Math.min(m, 1.3); } if (r.length >= 5 && wr < 0.40) m *= 1.1; if (this.ws >= 4 && wr > 0.50) m *= 0.95; return Math.max(0.9, Math.min(1.3, m)); }
+  getBarHistory(c) { return this.bh.get(c) || []; }
+  reset(c) { this.bh.set(c, []); this.lsd = null; this.vc.reset(c); }
+  getStats() { return this.st; }
+  getAnalysisState(c, cp) { const bs = this.bh.get(c) || []; if (bs.length < 10) return { ready: false, message: 'Collecting...' }; const va = this.vc.an(c, cp, this.ts); const of = this.aof(bs); const pm = this.gap(bs); return { ready: true, vwap: va?.vwap || 0, zScore: va?.deviation || 0, orderFlow: of.as, ratio: of.ir, regime: pm.rg, stopTicks: pm.spt, targetTicks: pm.tgt, barsProcessed: bs.length }; }
+}
+
+class M1 extends EventEmitter {
+  constructor(cfg = {}) { super(); this.cfg = cfg; this.s = new S1(cfg); this.s.on('signal', (sig) => { this.emit('signal', { side: sig.direction === 'long' ? 'buy' : 'sell', action: 'open', reason: `Z=${sig.zScore.toFixed(2)}, cf=${(sig.confidence * 100).toFixed(0)}%`, ...sig }); }); }
+  processTick(t) { return this.s.processTick(t); }
+  onTick(t) { return this.processTick(t); }
+  processBar(c, b) { return this.s.processBar(c, b); }
+  onTrade(t) { this.s.processTick({ contractId: t.contractId || t.symbol, price: t.price, volume: t.size || t.volume || 1, side: t.side, timestamp: t.timestamp || Date.now() }); }
+  initialize(c, ts, tv) { this.s.initialize(c, ts, tv); }
+  getAnalysisState(c, p) { return this.s.getAnalysisState(c, p); }
+  recordTradeResult(p) { this.s.recordTradeResult(p); }
+  reset(c) { this.s.reset(c); this.emit('log', { type: 'info', message: 'Reset' }); }
+  getStats() { return this.s.getStats(); }
+  generateSignal(p) { return null; }
+}
+
+module.exports = { S1, M1, VC, OS, SS };