hedgequantx 2.6.163 → 2.7.0

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

@@ -1,229 +0,0 @@
-/**
- * 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,
-};

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

@@ -1,272 +0,0 @@
-/**
- * =============================================================================
- * Rithmic Market Data Feed
- * =============================================================================
- * Handles real-time quotes and trades streaming via Rithmic WebSocket
- * 
- * Based on HQX-TG RithmicMarketData implementation
- * 
- * IMPORTANT: Use continuous/front-month symbols for subscriptions:
- * - ES, NQ, MES, MNQ (NOT ESH25, NQH25, etc.)
- * - Rithmic automatically routes to the current front-month contract
- */
-
-const EventEmitter = require('events');
-const { logger } = require('../../utils/logger');
-const { decodeLastTrade, decodeBestBidOffer } = require('./market-data-decoders');
-
-const log = logger.scope('RithmicMD');
-
-// Template IDs for Rithmic messages
-const TEMPLATE_IDS = {
-  // Request
-  MARKET_DATA_UPDATE: 100,
-  // Response/Stream
-  LAST_TRADE: 150,
-  BEST_BID_OFFER: 151,
-};
-
-/**
- * Rithmic Market Data Feed
- * Provides real-time market data via Rithmic WebSocket connection
- */
-class RithmicMarketDataFeed extends EventEmitter {
-  constructor(rithmicService) {
-    super();
-    this.service = rithmicService;
-    this.subscriptions = new Set();
-    this.connected = false;
-    this.messageHandler = null;
-    
-    // Stats for debugging
-    this.tradeCount = 0;
-    this.quoteCount = 0;
-    this.lastLogTime = 0;
-  }
-
-  /**
-   * Check if connected
-   * @returns {boolean}
-   */
-  isConnected() {
-    return this.connected && this.service?.tickerConn?.isConnected;
-  }
-
-  /**
-   * Connect to market data (uses existing tickerConn from RithmicService)
-   * Will attempt to reconnect if tickerConn is not connected
-   * @returns {Promise<boolean>}
-   */
-  async connect() {
-    if (!this.service) {
-      throw new Error('RithmicService not available');
-    }
-
-    // Check if ticker connection is ready, reconnect if needed
-    if (!this.service.tickerConn?.isConnected) {
-      log.info('Ticker connection not ready, attempting to reconnect...');
-      
-      // Try to reconnect using stored credentials
-      if (this.service.credentials) {
-        try {
-          const connected = await this.service.connectTicker(
-            this.service.credentials.username,
-            this.service.credentials.password
-          );
-          
-          if (!connected || !this.service.tickerConn?.isConnected) {
-            throw new Error('Failed to reconnect to TICKER_PLANT');
-          }
-          
-          log.info('Ticker connection re-established');
-        } catch (err) {
-          throw new Error(`Ticker reconnection failed: ${err.message}`);
-        }
-      } else {
-        throw new Error('Ticker connection not established and no credentials available');
-      }
-    }
-
-    // Setup message handler
-    this.messageHandler = ({ templateId, data }) => {
-      if (templateId === TEMPLATE_IDS.LAST_TRADE) {
-        this._handleTrade(data);
-      } else if (templateId === TEMPLATE_IDS.BEST_BID_OFFER) {
-        this._handleQuote(data);
-      }
-    };
-
-    this.service.tickerConn.on('message', this.messageHandler);
-    this.connected = true;
-    
-    log.info('Market data feed connected');
-    this.emit('connected');
-    
-    return true;
-  }
-
-  /**
-   * Disconnect from market data
-   */
-  disconnect() {
-    if (this.messageHandler && this.service?.tickerConn) {
-      this.service.tickerConn.removeListener('message', this.messageHandler);
-    }
-    
-    // Unsubscribe all
-    for (const key of this.subscriptions) {
-      const [exchange, symbol] = key.split(':');
-      this._sendUnsubscribe(exchange, symbol);
-    }
-    
-    this.subscriptions.clear();
-    this.connected = false;
-    this.messageHandler = null;
-    
-    log.info('Market data feed disconnected');
-    this.emit('disconnected');
-  }
-
-  /**
-   * Subscribe to market data for a symbol
-   * @param {string} symbol - Trading symbol (e.g., ESH6, NQH6)
-   * @param {string} [exchange='CME'] - Exchange
-   */
-  subscribe(symbol, exchange = 'CME') {
-    const key = `${exchange}:${symbol}`;
-    if (this.subscriptions.has(key)) return;
-
-    if (!this.service?.tickerConn?.isConnected) {
-      log.warn('Cannot subscribe - ticker connection not ready');
-      return;
-    }
-
-    // Extract base symbol for subscription (ES from ESH6)
-    // Rithmic uses continuous symbols for subscriptions
-    const baseSymbol = symbol.replace(/[A-Z]\d+$/, '');
-    
-    this.service.tickerConn.send('RequestMarketDataUpdate', {
-      templateId: TEMPLATE_IDS.MARKET_DATA_UPDATE,
-      userMsg: ['HQX-CLI'],
-      symbol: baseSymbol,
-      exchange,
-      request: 1,  // SUBSCRIBE
-      updateBits: 3, // LAST_TRADE | BBO
-    });
-
-    this.subscriptions.add(key);
-    log.info(`Subscribed to ${key} (base: ${baseSymbol})`);
-  }
-
-  /**
-   * Unsubscribe from market data for a symbol
-   * @param {string} symbol 
-   * @param {string} [exchange='CME'] 
-   */
-  unsubscribe(symbol, exchange = 'CME') {
-    const key = `${exchange}:${symbol}`;
-    if (!this.subscriptions.has(key)) return;
-
-    this._sendUnsubscribe(exchange, symbol);
-    this.subscriptions.delete(key);
-    log.info(`Unsubscribed from ${key}`);
-  }
-
-  /**
-   * Send unsubscribe request
-   * @private
-   */
-  _sendUnsubscribe(exchange, symbol) {
-    if (!this.service?.tickerConn?.isConnected) return;
-
-    const baseSymbol = symbol.replace(/[A-Z]\d+$/, '');
-    
-    this.service.tickerConn.send('RequestMarketDataUpdate', {
-      templateId: TEMPLATE_IDS.MARKET_DATA_UPDATE,
-      userMsg: ['HQX-CLI'],
-      symbol: baseSymbol,
-      exchange,
-      request: 2, // UNSUBSCRIBE
-      updateBits: 3,
-    });
-  }
-
-  /**
-   * Handle incoming trade data
-   * @private
-   */
-  _handleTrade(data) {
-    const t = decodeLastTrade(data);
-
-    if (!t.symbol || t.tradePrice === undefined || t.tradeSize === undefined) {
-      return;
-    }
-
-    this.tradeCount++;
-    
-    // Log periodically
-    const now = Date.now();
-    if (now - this.lastLogTime > 30000) {
-      this.lastLogTime = now;
-      log.debug(`Stats: ${this.tradeCount} trades, ${this.quoteCount} quotes`);
-    }
-
-    // First trade and every 500th
-    if (this.tradeCount === 1 || this.tradeCount % 500 === 0) {
-      log.info(`Trade #${this.tradeCount}: ${t.symbol} ${t.tradeSize}@${t.tradePrice}`);
-    }
-
-    const trade = {
-      symbol: t.symbol,
-      exchange: t.exchange || 'CME',
-      price: t.tradePrice,
-      lastPrice: t.tradePrice,
-      size: t.tradeSize,
-      volume: t.tradeSize,
-      side: t.aggressor === 1 ? 'BUY' : 'SELL',
-      lastTradeSide: t.aggressor === 1 ? 'BUY' : 'SELL',
-      timestamp: (t.ssboe || 0) * 1000 + Math.floor((t.usecs || 0) / 1000),
-    };
-
-    this.emit('tick', trade);
-    this.emit('trade', trade);
-  }
-
-  /**
-   * Handle incoming quote data
-   * @private
-   */
-  _handleQuote(data) {
-    const q = decodeBestBidOffer(data);
-
-    if (!q.symbol) return;
-
-    this.quoteCount++;
-
-    const quote = {
-      symbol: q.symbol,
-      exchange: q.exchange || 'CME',
-      bid: q.bidPrice || 0,
-      bidPrice: q.bidPrice || 0,
-      bidSize: q.bidSize || 0,
-      ask: q.askPrice || 0,
-      askPrice: q.askPrice || 0,
-      askSize: q.askSize || 0,
-      timestamp: (q.ssboe || 0) * 1000 + Math.floor((q.usecs || 0) / 1000),
-    };
-
-    // Emit as tick with mid price
-    if (quote.bid && quote.ask) {
-      const tick = {
-        ...quote,
-        price: (quote.bid + quote.ask) / 2,
-        lastPrice: (quote.bid + quote.ask) / 2,
-      };
-      this.emit('tick', tick);
-    }
-    
-    this.emit('quote', quote);
-  }
-}
-
-module.exports = { RithmicMarketDataFeed };