hedgequantx 2.6.162 → 2.7.0

package/src/services/rithmic/trade-history.js

@@ -1,254 +0,0 @@
-/**
- * @fileoverview Rithmic Trade History
- * Handles trade history fetching and P&L calculation
- * 
- * NO FAKE DATA - Only real values from Rithmic API
- */
-
-const { logger } = require('../../utils/logger');
-const { getTickMultiplier } = require('./specs');
-
-const log = logger.scope('RithmicTradeHistory');
-
-/**
- * Get trade history from Rithmic API
- * Uses RequestShowOrderHistory to fetch historical fills
- * @param {Object} service - RithmicService instance
- * @param {string} accountId - Optional account filter
- * @param {number} days - Number of days to fetch (default: 30)
- * @returns {Promise<{success: boolean, trades: Array}>}
- */
-const getTradeHistory = async (service, accountId, days = 30) => {
-  if (!service.orderConn || !service.loginInfo) {
-    return { success: true, trades: service.completedTrades || [] };
-  }
-
-  return new Promise((resolve) => {
-    const historyOrders = [];
-    let resolved = false;
-    
-    // Timeout after 5 seconds
-    const timeout = setTimeout(() => {
-      if (!resolved) {
-        resolved = true;
-        cleanup();
-        // Combine API history with session trades
-        const allTrades = [...processHistoryToTrades(historyOrders, service), ...service.completedTrades];
-        resolve({ success: true, trades: allTrades });
-      }
-    }, 5000);
-    
-    // Listen for order history snapshots
-    const onOrderNotification = (data) => {
-      try {
-        if (data.isSnapshot || data.status === 'complete' || data.status === 'Complete') {
-          const order = {
-            orderId: data.orderId || data.orderTag,
-            accountId: data.accountId,
-            symbol: data.symbol,
-            exchange: data.exchange,
-            side: data.transactionType === 1 ? 0 : 1,
-            quantity: data.quantity || data.totalFillQuantity || 0,
-            fillPrice: data.avgFillPrice || data.lastFillPrice || 0,
-            timestamp: data.ssboe ? data.ssboe * 1000 : Date.now(),
-            status: data.status,
-          };
-          
-          if (order.quantity > 0 && order.fillPrice > 0) {
-            historyOrders.push(order);
-          }
-        }
-      } catch (e) {
-        // Ignore parse errors
-      }
-    };
-    
-    const onHistoryComplete = () => {
-      if (!resolved) {
-        resolved = true;
-        cleanup();
-        const allTrades = [...processHistoryToTrades(historyOrders, service), ...service.completedTrades];
-        resolve({ success: true, trades: allTrades });
-      }
-    };
-    
-    const cleanup = () => {
-      clearTimeout(timeout);
-      service.removeListener('orderNotification', onOrderNotification);
-      service.removeListener('orderHistoryComplete', onHistoryComplete);
-    };
-    
-    service.on('orderNotification', onOrderNotification);
-    service.on('orderHistoryComplete', onHistoryComplete);
-    
-    // Request order history for each account
-    try {
-      const accounts = accountId 
-        ? service.accounts.filter(a => a.accountId === accountId)
-        : service.accounts;
-      
-      for (const acc of accounts) {
-        service.orderConn.send('RequestShowOrderHistory', {
-          templateId: 324,
-          userMsg: ['HQX-HISTORY'],
-          fcmId: acc.fcmId || service.loginInfo.fcmId,
-          ibId: acc.ibId || service.loginInfo.ibId,
-          accountId: acc.accountId,
-        });
-      }
-    } catch (e) {
-      if (!resolved) {
-        resolved = true;
-        cleanup();
-        resolve({ success: false, error: e.message, trades: service.completedTrades || [] });
-      }
-    }
-  });
-};
-
-/**
- * Process historical orders into trades with P&L
- * Matches entries and exits to calculate P&L
- * @param {Array} orders - Historical orders
- * @param {Object} service - RithmicService instance (for _getTickMultiplier)
- * @returns {Array} Processed trades
- */
-const processHistoryToTrades = (orders, service) => {
-  const trades = [];
-  const openPositions = new Map();
-  
-  // Sort by timestamp (oldest first)
-  const sorted = [...orders].sort((a, b) => a.timestamp - b.timestamp);
-  
-  for (const order of sorted) {
-    const key = `${order.accountId}:${order.symbol}`;
-    const open = openPositions.get(key);
-    
-    if (open && open.side !== order.side) {
-      // Closing trade - calculate P&L
-      const closeQty = Math.min(order.quantity, open.quantity);
-      let pnl;
-      
-      if (open.side === 0) {
-        pnl = (order.fillPrice - open.price) * closeQty;
-      } else {
-        pnl = (open.price - order.fillPrice) * closeQty;
-      }
-      
-      const tickMultiplier = getTickMultiplier(order.symbol);
-      pnl = pnl * tickMultiplier;
-      
-      trades.push({
-        id: order.orderId,
-        accountId: order.accountId,
-        symbol: order.symbol,
-        exchange: order.exchange,
-        side: open.side,
-        size: closeQty,
-        entryPrice: open.price,
-        exitPrice: order.fillPrice,
-        price: order.fillPrice,
-        timestamp: order.timestamp,
-        creationTimestamp: new Date(order.timestamp).toISOString(),
-        status: 'CLOSED',
-        profitAndLoss: pnl,
-        pnl: pnl,
-        fees: 0,
-      });
-      
-      const remaining = open.quantity - closeQty;
-      if (remaining <= 0) {
-        openPositions.delete(key);
-      } else {
-        open.quantity = remaining;
-      }
-    } else if (open && open.side === order.side) {
-      // Adding to position
-      const totalQty = open.quantity + order.quantity;
-      open.price = ((open.price * open.quantity) + (order.fillPrice * order.quantity)) / totalQty;
-      open.quantity = totalQty;
-    } else {
-      // Opening new position
-      openPositions.set(key, {
-        side: order.side,
-        quantity: order.quantity,
-        price: order.fillPrice,
-        timestamp: order.timestamp,
-      });
-    }
-  }
-  
-  return trades;
-};
-
-/**
- * Setup order fill listener for real-time P&L tracking
- * @param {Object} service - RithmicService instance
- */
-const setupOrderFillListener = (service) => {
-  service._openEntries = new Map();
-  
-  service.on('orderFilled', (fillInfo) => {
-    const key = `${fillInfo.accountId}:${fillInfo.symbol}`;
-    const side = fillInfo.transactionType === 1 ? 0 : 1;
-    const qty = fillInfo.fillQuantity || fillInfo.totalFillQuantity || 0;
-    const price = fillInfo.avgFillPrice || fillInfo.lastFillPrice || 0;
-    
-    const openEntry = service._openEntries.get(key);
-    let pnl = null;
-    
-    if (openEntry && openEntry.side !== side) {
-      // Closing trade
-      const closeQty = Math.min(qty, openEntry.qty);
-      
-      if (openEntry.side === 0) {
-        pnl = (price - openEntry.price) * closeQty;
-      } else {
-        pnl = (openEntry.price - price) * closeQty;
-      }
-      
-      const remainingQty = openEntry.qty - closeQty;
-      if (remainingQty <= 0) {
-        service._openEntries.delete(key);
-      } else {
-        openEntry.qty = remainingQty;
-      }
-      
-      service.completedTrades.push({
-        id: fillInfo.orderId || fillInfo.orderTag,
-        orderTag: fillInfo.orderTag,
-        accountId: fillInfo.accountId,
-        symbol: fillInfo.symbol,
-        exchange: fillInfo.exchange,
-        side: openEntry.side,
-        size: closeQty,
-        entryPrice: openEntry.price,
-        exitPrice: price,
-        price: price,
-        timestamp: fillInfo.localTimestamp || Date.now(),
-        creationTimestamp: new Date().toISOString(),
-        status: 'CLOSED',
-        profitAndLoss: pnl,
-        pnl: pnl,
-        fees: 0,
-      });
-      log.debug('Trade closed', { symbol: fillInfo.symbol, pnl, trades: service.completedTrades.length });
-    } else {
-      // Opening or adding to position
-      if (openEntry && openEntry.side === side) {
-        const totalQty = openEntry.qty + qty;
-        openEntry.price = ((openEntry.price * openEntry.qty) + (price * qty)) / totalQty;
-        openEntry.qty = totalQty;
-      } else {
-        service._openEntries.set(key, { side, qty, price, timestamp: Date.now() });
-      }
-      log.debug('Position opened/added', { symbol: fillInfo.symbol, side, qty, price });
-    }
-  });
-};
-
-module.exports = {
-  getTradeHistory,
-  processHistoryToTrades,
-  setupOrderFillListener,
-};