hedgequantx 2.6.163 → 2.7.0

package/src/services/rithmic/orders-fast.js

@@ -1,246 +0,0 @@
-/**
- * Rithmic Fast Orders Module
- * @module services/rithmic/orders-fast
- * 
- * Ultra-low latency order entry/exit for scalping
- * Target: < 5ms local processing (network latency separate)
- * 
- * OPTIMIZATIONS:
- * - Pre-allocated order template objects
- * - Fast orderTag generation (no Date.now in hot path)
- * - Direct proto encoding with cached types
- * - Minimal object creation
- */
-
-const { REQ } = require('./constants');
-const { proto } = require('./protobuf');
-const { LatencyTracker } = require('./latency-tracker');
-const { performance } = require('perf_hooks');
-
-// Debug mode - use no-op function when disabled for zero overhead
-const DEBUG = process.env.HQX_DEBUG === '1';
-const debug = DEBUG ? (...args) => console.log('[Rithmic:Orders]', ...args) : () => {};
-
-// ==================== FAST ORDER TAG ====================
-// Pre-generate prefix once at module load (not per-order)
-const ORDER_TAG_PREFIX = `HQX${process.pid}-`;
-let orderIdCounter = 0;
-
-/**
- * Ultra-fast order tag generation
- * Avoids Date.now() and string interpolation in hot path
- * @returns {string}
- */
-const generateOrderTag = () => ORDER_TAG_PREFIX + (++orderIdCounter);
-
-// ==================== PRE-ALLOCATED ORDER TEMPLATES ====================
-
-/**
- * Order object pool for zero-allocation hot path
- */
-const OrderPool = {
-  // Pre-allocated order template
-  _template: {
-    templateId: REQ.NEW_ORDER,
-    userMsg: [''],
-    userTag: '',
-    fcmId: '',
-    ibId: '',
-    accountId: '',
-    symbol: '',
-    exchange: 'CME',
-    quantity: 0,
-    transactionType: 1,
-    duration: 1,
-    priceType: 2,       // priceType 2 = MARKET order
-    manualOrAuto: 2,
-    tradeRoute: '',
-  },
-  
-  /**
-   * Get order object with values filled in
-   * @param {string} orderTag
-   * @param {Object} loginInfo - { fcmId, ibId }
-   * @param {Object} orderData - { accountId, symbol, exchange, size, side, tradeRoute }
-   */
-  fill(orderTag, loginInfo, orderData) {
-    const o = this._template;
-    o.userMsg[0] = orderTag;
-    o.userTag = orderTag;
-    o.fcmId = loginInfo.fcmId;
-    o.ibId = loginInfo.ibId;
-    o.accountId = orderData.accountId;
-    o.symbol = orderData.symbol;
-    o.exchange = orderData.exchange || 'CME';
-    o.quantity = orderData.size;
-    o.transactionType = orderData.side === 0 ? 1 : 2;
-    o.tradeRoute = orderData.tradeRoute || '';
-    return o;
-  }
-};
-
-/**
- * Get effective login info for account
- * @param {RithmicService} service
- * @param {string} accountId
- * @returns {{ fcmId: string, ibId: string }}
- */
-function getEffectiveLoginInfo(service, accountId) {
-  const account = service.accounts?.find(a => 
-    a.accountId === accountId || a.rithmicAccountId === accountId
-  );
-  return {
-    fcmId: account?.fcmId || service.loginInfo.fcmId,
-    ibId: account?.ibId || service.loginInfo.ibId,
-  };
-}
-
-/**
- * Send order buffer via optimized path
- * @param {Object} conn - Order connection
- * @param {Buffer} buffer
- */
-function sendOrderBuffer(conn, buffer) {
-  const sent = conn.ultraSend 
-    ? conn.ultraSend(buffer)
-    : (conn.fastSend(buffer), true);
-  
-  if (!sent) {
-    conn.fastSend(buffer);
-  }
-}
-
-/**
- * Ultra-fast market order entry - HOT PATH
- * NO SL/TP, NO await confirmation, fire-and-forget
- * 
- * @param {RithmicService} service
- * @param {Object} orderData - { accountId, symbol, exchange, size, side }
- * @returns {{ success: boolean, orderTag: string, entryTime: number, latencyMs: number }}
- */
-const fastEntry = (service, orderData) => {
-  const startTime = performance.now();
-  const orderTag = generateOrderTag();
-  const entryTime = Date.now();
-  
-  if (!service.orderConn?.isConnected || !service.loginInfo) {
-    return { 
-      success: false, 
-      error: 'Not connected',
-      orderTag,
-      entryTime,
-      latencyMs: performance.now() - startTime,
-    };
-  }
-
-  try {
-    const effectiveLoginInfo = getEffectiveLoginInfo(service, orderData.accountId);
-    
-    const exchange = orderData.exchange || 'CME';
-    const tradeRoute = service.getTradeRoute?.(exchange);
-    if (!tradeRoute) {
-      return {
-        success: false,
-        error: `No trade route for exchange ${exchange}`,
-        orderTag,
-        entryTime,
-        latencyMs: performance.now() - startTime,
-      };
-    }
-    
-    const orderWithRoute = { ...orderData, tradeRoute };
-    const order = OrderPool.fill(orderTag, effectiveLoginInfo, orderWithRoute);
-    
-    debug('ORDER Sending:', orderTag, orderData.side === 0 ? 'BUY' : 'SELL', orderData.size, 'x', orderData.symbol);
-    
-    const buffer = proto.fastEncode('RequestNewOrder', order);
-    sendOrderBuffer(service.orderConn, buffer);
-    
-    debug('ORDER Sent to Rithmic:', orderTag, 'buffer:', buffer.length, 'bytes');
-    
-    LatencyTracker.recordEntry(orderTag, entryTime);
-
-    return { 
-      success: true, 
-      orderTag,
-      entryTime,
-      latencyMs: performance.now() - startTime,
-    };
-  } catch (error) {
-    return { 
-      success: false, 
-      error: error.message,
-      orderTag,
-      entryTime,
-      latencyMs: performance.now() - startTime,
-    };
-  }
-};
-
-/**
- * Ultra-fast market exit - for position closing
- * 
- * @param {RithmicService} service
- * @param {Object} orderData - { accountId, symbol, exchange, size, side }
- * @returns {{ success: boolean, orderTag: string, exitTime: number, latencyMs: number }}
- */
-const fastExit = (service, orderData) => {
-  const startTime = performance.now();
-  const orderTag = generateOrderTag();
-  const exitTime = Date.now();
-  
-  if (!service.orderConn?.isConnected || !service.loginInfo) {
-    return { 
-      success: false, 
-      error: 'Not connected',
-      orderTag,
-      exitTime,
-      latencyMs: performance.now() - startTime,
-    };
-  }
-
-  try {
-    const effectiveLoginInfo = getEffectiveLoginInfo(service, orderData.accountId);
-    
-    const exchange = orderData.exchange || 'CME';
-    const tradeRoute = service.getTradeRoute?.(exchange);
-    if (!tradeRoute) {
-      return {
-        success: false,
-        error: `No trade route for exchange ${exchange}`,
-        orderTag,
-        exitTime,
-        latencyMs: performance.now() - startTime,
-      };
-    }
-    
-    const orderWithRoute = { ...orderData, tradeRoute };
-    const order = OrderPool.fill(orderTag, effectiveLoginInfo, orderWithRoute);
-    
-    const buffer = proto.fastEncode('RequestNewOrder', order);
-    sendOrderBuffer(service.orderConn, buffer);
-    
-    return { 
-      success: true, 
-      orderTag,
-      exitTime,
-      latencyMs: performance.now() - startTime,
-    };
-  } catch (error) {
-    return { 
-      success: false, 
-      error: error.message,
-      orderTag,
-      exitTime,
-      latencyMs: performance.now() - startTime,
-    };
-  }
-};
-
-module.exports = {
-  generateOrderTag,
-  OrderPool,
-  getEffectiveLoginInfo,
-  fastEntry,
-  fastExit,
-};

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

@@ -1,403 +0,0 @@
-/**
- * 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,
-};