hedgequantx 2.6.161 → 2.6.163

package/src/services/rithmic/proto-decoders.js

@@ -0,0 +1,403 @@
+/**
+ * Rithmic Protobuf Manual Decoders
+ * @module services/rithmic/proto-decoders
+ * 
+ * Hand-optimized decoders for Rithmic's large field ID messages.
+ * Faster than generic protobuf parsing for hot path.
+ */
+
+// PnL field IDs (Rithmic uses very large field IDs)
+const PNL_FIELDS = {
+  TEMPLATE_ID: 154467,
+  IS_SNAPSHOT: 110121,
+  FCM_ID: 154013,
+  IB_ID: 154014,
+  ACCOUNT_ID: 154008,
+  ACCOUNT_BALANCE: 156970,
+  CASH_ON_HAND: 156971,
+  MARGIN_BALANCE: 156977,
+  MIN_ACCOUNT_BALANCE: 156968,
+  OPEN_POSITION_PNL: 156961,
+  CLOSED_POSITION_PNL: 156963,
+  DAY_PNL: 157956,
+  DAY_OPEN_PNL: 157954,
+  DAY_CLOSED_PNL: 157955,
+  AVAILABLE_BUYING_POWER: 157015,
+  SSBOE: 150100,
+  USECS: 150101,
+};
+
+// Symbol/Contract field IDs
+const SYMBOL_FIELDS = {
+  TEMPLATE_ID: 154467,
+  RP_CODE: 132766,
+  EXCHANGE: 110101,
+  PRODUCT_CODE: 110102,
+  PRODUCT_NAME: 110103,
+  SYMBOL: 110100,
+  TRADING_SYMBOL: 157095,
+  DESCRIPTION: 110114,
+  USER_MSG: 132760,
+};
+
+// Instrument PnL Position Update field IDs
+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,
+  ORDER_BUY_QTY: 154037,
+  ORDER_SELL_QTY: 154038,
+  BUY_QTY: 154260,
+  SELL_QTY: 154261,
+  AVG_OPEN_FILL_PRICE: 154434,
+  DAY_OPEN_PNL: 157954,
+  DAY_CLOSED_PNL: 157955,
+  DAY_PNL: 157956,
+  OPEN_POSITION_PNL: 156961,
+  OPEN_POSITION_QUANTITY: 156962,
+  CLOSED_POSITION_PNL: 156963,
+  CLOSED_POSITION_QUANTITY: 156964,
+  NET_QUANTITY: 156967,
+  SSBOE: 150100,
+  USECS: 150101,
+};
+
+/** Read a varint from buffer */
+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) */
+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:
+      const [, newOffset] = readVarint(buffer, offset);
+      return newOffset;
+    case 1:
+      return offset + 8;
+    case 2:
+      const [length, lenOffset] = readVarint(buffer, offset);
+      return lenOffset + length;
+    case 5:
+      return offset + 4;
+    default:
+      throw new Error(`Unknown wire type: ${wireType}`);
+  }
+}
+
+/** Manually decode AccountPnL from raw bytes */
+function decodeAccountPnL(buffer) {
+  const result = {};
+  let offset = 0;
+
+  while (offset < buffer.length) {
+    try {
+      const [tag, tagOffset] = readVarint(buffer, offset);
+      const wireType = tag & 0x7;
+      const fieldNumber = tag >>> 3;
+      offset = tagOffset;
+
+      switch (fieldNumber) {
+        case PNL_FIELDS.TEMPLATE_ID:
+          [result.templateId, offset] = readVarint(buffer, offset);
+          break;
+        case PNL_FIELDS.IS_SNAPSHOT:
+          const [isSnap, snapOffset] = readVarint(buffer, offset);
+          result.isSnapshot = isSnap !== 0;
+          offset = snapOffset;
+          break;
+        case PNL_FIELDS.FCM_ID:
+          [result.fcmId, offset] = readLengthDelimited(buffer, offset);
+          break;
+        case PNL_FIELDS.IB_ID:
+          [result.ibId, offset] = readLengthDelimited(buffer, offset);
+          break;
+        case PNL_FIELDS.ACCOUNT_ID:
+          [result.accountId, offset] = readLengthDelimited(buffer, offset);
+          break;
+        case PNL_FIELDS.ACCOUNT_BALANCE:
+          [result.accountBalance, offset] = readLengthDelimited(buffer, offset);
+          break;
+        case PNL_FIELDS.CASH_ON_HAND:
+          [result.cashOnHand, offset] = readLengthDelimited(buffer, offset);
+          break;
+        case PNL_FIELDS.MARGIN_BALANCE:
+          [result.marginBalance, offset] = readLengthDelimited(buffer, offset);
+          break;
+        case PNL_FIELDS.MIN_ACCOUNT_BALANCE:
+          [result.minAccountBalance, offset] = readLengthDelimited(buffer, offset);
+          break;
+        case PNL_FIELDS.OPEN_POSITION_PNL:
+          [result.openPositionPnl, offset] = readLengthDelimited(buffer, offset);
+          break;
+        case PNL_FIELDS.CLOSED_POSITION_PNL:
+          [result.closedPositionPnl, offset] = readLengthDelimited(buffer, offset);
+          break;
+        case PNL_FIELDS.DAY_PNL:
+          [result.dayPnl, offset] = readLengthDelimited(buffer, offset);
+          break;
+        case PNL_FIELDS.DAY_OPEN_PNL:
+          [result.dayOpenPnl, offset] = readLengthDelimited(buffer, offset);
+          break;
+        case PNL_FIELDS.DAY_CLOSED_PNL:
+          [result.dayClosedPnl, offset] = readLengthDelimited(buffer, offset);
+          break;
+        case PNL_FIELDS.AVAILABLE_BUYING_POWER:
+          [result.availableBuyingPower, offset] = readLengthDelimited(buffer, offset);
+          break;
+        case PNL_FIELDS.SSBOE:
+          [result.ssboe, offset] = readVarint(buffer, offset);
+          break;
+        case PNL_FIELDS.USECS:
+          [result.usecs, offset] = readVarint(buffer, offset);
+          break;
+        default:
+          offset = skipField(buffer, offset, wireType);
+      }
+    } catch (error) {
+      break;
+    }
+  }
+  return result;
+}
+
+/** Manually decode InstrumentPnLPositionUpdate from raw bytes */
+function decodeInstrumentPnL(buffer) {
+  const result = {};
+  let offset = 0;
+
+  while (offset < buffer.length) {
+    try {
+      const [tag, tagOffset] = readVarint(buffer, offset);
+      const wireType = tag & 0x7;
+      const fieldNumber = tag >>> 3;
+      offset = tagOffset;
+
+      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.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.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.NET_QUANTITY:
+          [result.netQuantity, offset] = readVarint(buffer, offset);
+          break;
+        case INSTRUMENT_PNL_FIELDS.OPEN_POSITION_QUANTITY:
+          [result.openPositionQuantity, 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.CLOSED_POSITION_PNL:
+          [result.closedPositionPnl, offset] = readLengthDelimited(buffer, offset);
+          break;
+        case INSTRUMENT_PNL_FIELDS.DAY_PNL:
+          if (wireType === 1) {
+            result.dayPnl = buffer.readDoubleLE(offset);
+            offset += 8;
+          } else {
+            [result.dayPnl, offset] = readLengthDelimited(buffer, offset);
+          }
+          break;
+        case INSTRUMENT_PNL_FIELDS.DAY_OPEN_PNL:
+          if (wireType === 1) {
+            result.dayOpenPnl = buffer.readDoubleLE(offset);
+            offset += 8;
+          } else {
+            [result.dayOpenPnl, offset] = readLengthDelimited(buffer, offset);
+          }
+          break;
+        case INSTRUMENT_PNL_FIELDS.DAY_CLOSED_PNL:
+          if (wireType === 1) {
+            result.dayClosedPnl = buffer.readDoubleLE(offset);
+            offset += 8;
+          } else {
+            [result.dayClosedPnl, offset] = readLengthDelimited(buffer, offset);
+          }
+          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 (error) {
+      break;
+    }
+  }
+  return result;
+}
+
+/** Decode ResponseProductCodes (template 112) */
+function decodeProductCodes(buffer) {
+  const result = { rpCode: [] };
+  let offset = 0;
+
+  while (offset < buffer.length) {
+    try {
+      const [tag, tagOffset] = readVarint(buffer, offset);
+      const wireType = tag & 0x7;
+      const fieldNumber = tag >>> 3;
+      offset = tagOffset;
+
+      switch (fieldNumber) {
+        case SYMBOL_FIELDS.TEMPLATE_ID:
+          [result.templateId, offset] = readVarint(buffer, offset);
+          break;
+        case SYMBOL_FIELDS.RP_CODE:
+          let rpCode;
+          [rpCode, offset] = readLengthDelimited(buffer, offset);
+          result.rpCode.push(rpCode);
+          break;
+        case SYMBOL_FIELDS.EXCHANGE:
+          [result.exchange, offset] = readLengthDelimited(buffer, offset);
+          break;
+        case SYMBOL_FIELDS.PRODUCT_CODE:
+          [result.productCode, offset] = readLengthDelimited(buffer, offset);
+          break;
+        case SYMBOL_FIELDS.PRODUCT_NAME:
+          [result.productName, offset] = readLengthDelimited(buffer, offset);
+          break;
+        case SYMBOL_FIELDS.USER_MSG:
+          [result.userMsg, offset] = readLengthDelimited(buffer, offset);
+          break;
+        default:
+          offset = skipField(buffer, offset, wireType);
+      }
+    } catch (error) {
+      break;
+    }
+  }
+  return result;
+}
+
+/** Decode ResponseFrontMonthContract (template 114) */
+function decodeFrontMonthContract(buffer) {
+  const result = { rpCode: [] };
+  let offset = 0;
+
+  while (offset < buffer.length) {
+    try {
+      const [tag, tagOffset] = readVarint(buffer, offset);
+      const wireType = tag & 0x7;
+      const fieldNumber = tag >>> 3;
+      offset = tagOffset;
+
+      switch (fieldNumber) {
+        case SYMBOL_FIELDS.TEMPLATE_ID:
+          [result.templateId, offset] = readVarint(buffer, offset);
+          break;
+        case SYMBOL_FIELDS.RP_CODE:
+          let rpCode;
+          [rpCode, offset] = readLengthDelimited(buffer, offset);
+          result.rpCode.push(rpCode);
+          break;
+        case SYMBOL_FIELDS.SYMBOL:
+          [result.symbol, offset] = readLengthDelimited(buffer, offset);
+          break;
+        case SYMBOL_FIELDS.EXCHANGE:
+          [result.exchange, offset] = readLengthDelimited(buffer, offset);
+          break;
+        case SYMBOL_FIELDS.TRADING_SYMBOL:
+          [result.tradingSymbol, offset] = readLengthDelimited(buffer, offset);
+          break;
+        case SYMBOL_FIELDS.DESCRIPTION:
+          [result.description, offset] = readLengthDelimited(buffer, offset);
+          break;
+        case SYMBOL_FIELDS.USER_MSG:
+          [result.userMsg, offset] = readLengthDelimited(buffer, offset);
+          break;
+        default:
+          offset = skipField(buffer, offset, wireType);
+      }
+    } catch (error) {
+      break;
+    }
+  }
+  return result;
+}
+
+module.exports = {
+  PNL_FIELDS,
+  SYMBOL_FIELDS,
+  INSTRUMENT_PNL_FIELDS,
+  readVarint,
+  readLengthDelimited,
+  skipField,
+  decodeAccountPnL,
+  decodeInstrumentPnL,
+  decodeProductCodes,
+  decodeFrontMonthContract,
+};