hedgequantx 2.6.162 → 2.6.163

package/src/services/rithmic/index.js

@@ -11,13 +11,13 @@ const { RITHMIC_ENDPOINTS, RITHMIC_SYSTEMS, REQ } = require('./constants');
 const { createOrderHandler, createPnLHandler, LatencyTracker } = require('./handlers');
 const { fetchAccounts, getTradingAccounts, requestPnLSnapshot, subscribePnLUpdates, getPositions } = require('./accounts');
 const { placeOrder, cancelOrder, cancelAllOrders, getOrders, getOrderHistory, closePosition, flattenAll, emergencyStop, fastEntry, fastExit } = require('./orders');
-const { decodeFrontMonthContract } = require('./protobuf');
-const { TIMEOUTS, CACHE } = require('../../config/settings');
+const { TIMEOUTS } = require('../../config/settings');
 const { logger } = require('../../utils/logger');
 
 // Extracted modules
-const { CME_CONTRACT_SPECS, PROPFIRM_CONFIGS, checkMarketHours } = require('./specs');
+const { PROPFIRM_CONFIGS, checkMarketHours } = require('./specs');
 const { getTradeHistory, setupOrderFillListener } = require('./trade-history');
+const { getContracts, searchContracts } = require('./contracts');
 
 const log = logger.scope('Rithmic');
 
@@ -336,182 +336,8 @@ class RithmicService extends EventEmitter {
 
   // ==================== CONTRACTS ====================
 
-  async getContracts() {
-    if (this._contractsCache && Date.now() - this._contractsCacheTime < CACHE.CONTRACTS_TTL) {
-      return { success: true, contracts: this._contractsCache, source: 'cache' };
-    }
-
-    if (!this.credentials) return { success: false, error: 'Not logged in' };
-
-    try {
-      if (!this.tickerConn) {
-        const connected = await this.connectTicker(this.credentials.username, this.credentials.password);
-        if (!connected) return { success: false, error: 'Failed to connect to TICKER_PLANT' };
-      }
-
-      this.tickerConn.setMaxListeners(5000);
-      log.debug('Fetching contracts from Rithmic API');
-      const contracts = await this._fetchAllFrontMonths();
-
-      if (!contracts.length) return { success: false, error: 'No tradeable contracts found' };
-
-      this._contractsCache = contracts;
-      this._contractsCacheTime = Date.now();
-
-      return { success: true, contracts, source: 'api' };
-    } catch (err) {
-      log.error('getContracts error', { error: err.message });
-      return { success: false, error: err.message };
-    }
-  }
-
-  async searchContracts(searchText) {
-    const result = await this.getContracts();
-    if (!searchText || !result.success) return result.contracts || [];
-    
-    const search = searchText.toUpperCase();
-    return result.contracts.filter(c =>
-      c.symbol.toUpperCase().includes(search) ||
-      c.name.toUpperCase().includes(search)
-    );
-  }
-
-  async _fetchAllFrontMonths() {
-    if (!this.tickerConn) throw new Error('TICKER_PLANT not connected');
-
-    return new Promise((resolve) => {
-      const contracts = new Map();
-      const productsToCheck = new Map();
-
-      const productHandler = (msg) => {
-        if (msg.templateId !== 112) return;
-        
-        const decoded = this._decodeProductCodes(msg.data);
-        if (!decoded.productCode || !decoded.exchange) return;
-        
-        const validExchanges = ['CME', 'CBOT', 'NYMEX', 'COMEX', 'NYBOT', 'CFE'];
-        if (!validExchanges.includes(decoded.exchange)) return;
-        
-        const name = (decoded.productName || '').toLowerCase();
-        if (name.includes('option') || name.includes('swap') || name.includes('spread')) return;
-        
-        const key = `${decoded.productCode}:${decoded.exchange}`;
-        if (!productsToCheck.has(key)) {
-          productsToCheck.set(key, {
-            productCode: decoded.productCode,
-            productName: decoded.productName || decoded.productCode,
-            exchange: decoded.exchange,
-          });
-        }
-      };
-
-      const frontMonthHandler = (msg) => {
-        if (msg.templateId !== 114) return;
-        
-        const decoded = decodeFrontMonthContract(msg.data);
-        if (decoded.rpCode[0] === '0' && decoded.tradingSymbol) {
-          contracts.set(decoded.userMsg, {
-            symbol: decoded.tradingSymbol,
-            baseSymbol: decoded.userMsg,
-            exchange: decoded.exchange,
-          });
-        }
-      };
-
-      this.tickerConn.on('message', productHandler);
-      this.tickerConn.on('message', frontMonthHandler);
-
-      this.tickerConn.send('RequestProductCodes', {
-        templateId: 111,
-        userMsg: ['get-products'],
-      });
-
-      setTimeout(() => {
-        this.tickerConn.removeListener('message', productHandler);
-        log.debug('Collected products', { count: productsToCheck.size });
-
-        for (const product of productsToCheck.values()) {
-          this.tickerConn.send('RequestFrontMonthContract', {
-            templateId: 113,
-            userMsg: [product.productCode],
-            symbol: product.productCode,
-            exchange: product.exchange,
-          });
-        }
-
-        setTimeout(() => {
-          this.tickerConn.removeListener('message', frontMonthHandler);
-
-          const results = [];
-          for (const [baseSymbol, contract] of contracts) {
-            const productKey = `${baseSymbol}:${contract.exchange}`;
-            const product = productsToCheck.get(productKey);
-            const specs = CME_CONTRACT_SPECS[baseSymbol] || null;
-            const productName = specs?.name || product?.productName || baseSymbol;
-            
-            results.push({
-              symbol: contract.symbol,
-              baseSymbol,
-              name: contract.symbol,
-              description: productName,
-              exchange: contract.exchange,
-              tickSize: specs?.tickSize ?? null,
-              tickValue: specs?.tickValue ?? null,
-            });
-          }
-
-          results.sort((a, b) => a.baseSymbol.localeCompare(b.baseSymbol));
-          log.debug('Got contracts from API', { count: results.length });
-          resolve(results);
-        }, TIMEOUTS.RITHMIC_PRODUCTS);
-      }, TIMEOUTS.RITHMIC_CONTRACTS);
-    });
-  }
-
-  _decodeProductCodes(buffer) {
-    const result = {};
-    let offset = 0;
-
-    const readVarint = (buf, off) => {
-      let value = 0, shift = 0;
-      while (off < buf.length) {
-        const byte = buf[off++];
-        value |= (byte & 0x7F) << shift;
-        if (!(byte & 0x80)) break;
-        shift += 7;
-      }
-      return [value, off];
-    };
-
-    const readString = (buf, off) => {
-      const [len, newOff] = readVarint(buf, off);
-      return [buf.slice(newOff, newOff + len).toString('utf8'), newOff + len];
-    };
-
-    while (offset < buffer.length) {
-      try {
-        const [tag, tagOff] = readVarint(buffer, offset);
-        const wireType = tag & 0x7;
-        const fieldNumber = tag >>> 3;
-        offset = tagOff;
-
-        if (wireType === 0) {
-          const [, newOff] = readVarint(buffer, offset);
-          offset = newOff;
-        } else if (wireType === 2) {
-          const [val, newOff] = readString(buffer, offset);
-          offset = newOff;
-          if (fieldNumber === 110101) result.exchange = val;
-          if (fieldNumber === 100749) result.productCode = val;
-          if (fieldNumber === 100003) result.productName = val;
-        } else {
-          break;
-        }
-      } catch { break; }
-    }
-
-    return result;
-  }
+  async getContracts() { return getContracts(this); }
+  async searchContracts(searchText) { return searchContracts(this, searchText); }
 
   // ==================== CLEANUP ====================
 

package/src/services/rithmic/market-data-decoders.js

@@ -0,0 +1,229 @@
+/**
+ * Rithmic Market Data Decoders
+ * @module services/rithmic/market-data-decoders
+ * 
+ * Manual decoders for LastTrade and BestBidOffer messages.
+ * Required because protobufjs can't handle field IDs > 100000
+ */
+
+const { readVarint, readLengthDelimited, skipField } = require('./proto-decoders');
+
+// Rithmic field IDs for LastTrade (from protobuf)
+const LAST_TRADE_FIELDS = {
+  TEMPLATE_ID: 154467,
+  SYMBOL: 110100,
+  EXCHANGE: 110101,
+  TRADE_PRICE: 100006,
+  TRADE_SIZE: 100178,
+  AGGRESSOR: 112003,  // 1=BUY, 2=SELL
+  SSBOE: 150100,
+  USECS: 150101,
+};
+
+// Rithmic field IDs for BestBidOffer (from protobuf)
+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,
+};
+
+/**
+ * Manually decode LastTrade message from Rithmic
+ * @param {Buffer} buffer 
+ * @returns {Object}
+ */
+function decodeLastTrade(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 LAST_TRADE_FIELDS.SYMBOL:
+          if (wireType === 2) {
+            const [val, next] = readLengthDelimited(buffer, offset);
+            result.symbol = val;
+            offset = next;
+          } else {
+            offset = skipField(buffer, offset, wireType);
+          }
+          break;
+        case LAST_TRADE_FIELDS.EXCHANGE:
+          if (wireType === 2) {
+            const [val, next] = readLengthDelimited(buffer, offset);
+            result.exchange = val;
+            offset = next;
+          } else {
+            offset = skipField(buffer, offset, wireType);
+          }
+          break;
+        case LAST_TRADE_FIELDS.TRADE_PRICE:
+          if (wireType === 1) {
+            result.tradePrice = buffer.readDoubleLE(offset);
+            offset += 8;
+          } else {
+            offset = skipField(buffer, offset, wireType);
+          }
+          break;
+        case LAST_TRADE_FIELDS.TRADE_SIZE:
+          if (wireType === 0) {
+            const [val, next] = readVarint(buffer, offset);
+            result.tradeSize = val;
+            offset = next;
+          } else {
+            offset = skipField(buffer, offset, wireType);
+          }
+          break;
+        case LAST_TRADE_FIELDS.AGGRESSOR:
+          if (wireType === 0) {
+            const [val, next] = readVarint(buffer, offset);
+            result.aggressor = val;
+            offset = next;
+          } else {
+            offset = skipField(buffer, offset, wireType);
+          }
+          break;
+        case LAST_TRADE_FIELDS.SSBOE:
+          if (wireType === 0) {
+            const [val, next] = readVarint(buffer, offset);
+            result.ssboe = val;
+            offset = next;
+          } else {
+            offset = skipField(buffer, offset, wireType);
+          }
+          break;
+        case LAST_TRADE_FIELDS.USECS:
+          if (wireType === 0) {
+            const [val, next] = readVarint(buffer, offset);
+            result.usecs = val;
+            offset = next;
+          } else {
+            offset = skipField(buffer, offset, wireType);
+          }
+          break;
+        default:
+          offset = skipField(buffer, offset, wireType);
+      }
+    } catch {
+      break;
+    }
+  }
+
+  return result;
+}
+
+/**
+ * Manually decode BestBidOffer message from Rithmic
+ * @param {Buffer} buffer 
+ * @returns {Object}
+ */
+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.SYMBOL:
+          if (wireType === 2) {
+            const [val, next] = readLengthDelimited(buffer, offset);
+            result.symbol = val;
+            offset = next;
+          } else {
+            offset = skipField(buffer, offset, wireType);
+          }
+          break;
+        case BBO_FIELDS.EXCHANGE:
+          if (wireType === 2) {
+            const [val, next] = readLengthDelimited(buffer, offset);
+            result.exchange = val;
+            offset = next;
+          } 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) {
+            const [val, next] = readVarint(buffer, offset);
+            result.bidSize = val;
+            offset = next;
+          } 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) {
+            const [val, next] = readVarint(buffer, offset);
+            result.askSize = val;
+            offset = next;
+          } else {
+            offset = skipField(buffer, offset, wireType);
+          }
+          break;
+        case BBO_FIELDS.SSBOE:
+          if (wireType === 0) {
+            const [val, next] = readVarint(buffer, offset);
+            result.ssboe = val;
+            offset = next;
+          } else {
+            offset = skipField(buffer, offset, wireType);
+          }
+          break;
+        case BBO_FIELDS.USECS:
+          if (wireType === 0) {
+            const [val, next] = readVarint(buffer, offset);
+            result.usecs = val;
+            offset = next;
+          } else {
+            offset = skipField(buffer, offset, wireType);
+          }
+          break;
+        default:
+          offset = skipField(buffer, offset, wireType);
+      }
+    } catch {
+      break;
+    }
+  }
+
+  return result;
+}
+
+module.exports = {
+  LAST_TRADE_FIELDS,
+  BBO_FIELDS,
+  decodeLastTrade,
+  decodeBestBidOffer,
+};