hedgequantx 2.6.162 → 2.7.0

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,
+};