hedgequantx 2.6.163 → 2.7.1

package/src/services/rithmic/specs.js

@@ -1,146 +0,0 @@
-/**
- * @fileoverview Rithmic Specifications and Configurations
- * CME Contract Specifications and PropFirm configurations
- * 
- * NO FAKE DATA - These are official exchange constants
- */
-
-const { RITHMIC_ENDPOINTS, RITHMIC_SYSTEMS } = require('./constants');
-
-/**
- * CME Contract Specifications - Official exchange tick sizes, values, and names
- * These are technical constants defined by the exchange, not market data.
- * Source: CME Group contract specifications
- */
-const CME_CONTRACT_SPECS = {
-  // E-mini Index Futures (CME)
-  ES: { tickSize: 0.25, tickValue: 12.50, name: 'E-mini S&P 500' },
-  NQ: { tickSize: 0.25, tickValue: 5.00, name: 'E-mini NASDAQ-100' },
-  RTY: { tickSize: 0.10, tickValue: 5.00, name: 'E-mini Russell 2000' },
-  YM: { tickSize: 1.00, tickValue: 5.00, name: 'E-mini Dow' },
-  
-  // Micro Index Futures (CME)
-  MES: { tickSize: 0.25, tickValue: 1.25, name: 'Micro E-mini S&P 500' },
-  MNQ: { tickSize: 0.25, tickValue: 0.50, name: 'Micro E-mini NASDAQ-100' },
-  M2K: { tickSize: 0.10, tickValue: 0.50, name: 'Micro E-mini Russell 2000' },
-  MYM: { tickSize: 1.00, tickValue: 0.50, name: 'Micro E-mini Dow' },
-  
-  // Energy Futures (NYMEX)
-  CL: { tickSize: 0.01, tickValue: 10.00, name: 'Crude Oil' },
-  QM: { tickSize: 0.025, tickValue: 12.50, name: 'E-mini Crude Oil' },
-  MCL: { tickSize: 0.01, tickValue: 1.00, name: 'Micro Crude Oil' },
-  NG: { tickSize: 0.001, tickValue: 10.00, name: 'Natural Gas' },
-  QG: { tickSize: 0.005, tickValue: 12.50, name: 'E-mini Natural Gas' },
-  
-  // Metal Futures (COMEX)
-  GC: { tickSize: 0.10, tickValue: 10.00, name: 'Gold' },
-  MGC: { tickSize: 0.10, tickValue: 1.00, name: 'Micro Gold' },
-  SI: { tickSize: 0.005, tickValue: 25.00, name: 'Silver' },
-  SIL: { tickSize: 0.005, tickValue: 2.50, name: '1000oz Silver' },
-  HG: { tickSize: 0.0005, tickValue: 12.50, name: 'Copper' },
-  MHG: { tickSize: 0.0005, tickValue: 1.25, name: 'Micro Copper' },
-  
-  // Treasury Futures (CBOT)
-  ZB: { tickSize: 0.03125, tickValue: 31.25, name: '30-Year T-Bond' },
-  ZN: { tickSize: 0.015625, tickValue: 15.625, name: '10-Year T-Note' },
-  ZF: { tickSize: 0.0078125, tickValue: 7.8125, name: '5-Year T-Note' },
-  ZT: { tickSize: 0.0078125, tickValue: 15.625, name: '2-Year T-Note' },
-  
-  // Agricultural Futures (CBOT)
-  ZC: { tickSize: 0.25, tickValue: 12.50, name: 'Corn' },
-  ZS: { tickSize: 0.25, tickValue: 12.50, name: 'Soybeans' },
-  ZW: { tickSize: 0.25, tickValue: 12.50, name: 'Wheat' },
-  ZL: { tickSize: 0.01, tickValue: 6.00, name: 'Soybean Oil' },
-  ZM: { tickSize: 0.10, tickValue: 10.00, name: 'Soybean Meal' },
-  
-  // Currency Futures (CME)
-  '6E': { tickSize: 0.00005, tickValue: 6.25, name: 'Euro FX' },
-  '6J': { tickSize: 0.0000005, tickValue: 6.25, name: 'Japanese Yen' },
-  '6B': { tickSize: 0.0001, tickValue: 6.25, name: 'British Pound' },
-  '6A': { tickSize: 0.0001, tickValue: 10.00, name: 'Australian Dollar' },
-  '6C': { tickSize: 0.00005, tickValue: 5.00, name: 'Canadian Dollar' },
-  '6M': { tickSize: 0.0001, tickValue: 5.00, name: 'Mexican Peso' },
-  
-  // Nikkei (CME)
-  NKD: { tickSize: 5.0, tickValue: 25.00, name: 'Nikkei 225' },
-  
-  // VIX Futures (CFE)
-  VX: { tickSize: 0.05, tickValue: 50.00, name: 'VIX Futures' },
-};
-
-/**
- * PropFirm configurations
- */
-const PROPFIRM_CONFIGS = {
-  apex: { name: 'Apex Trader Funding', systemName: 'Apex', gateway: RITHMIC_ENDPOINTS.CHICAGO },
-  apex_rithmic: { name: 'Apex Trader Funding', systemName: 'Apex', gateway: RITHMIC_ENDPOINTS.CHICAGO },
-  topstep_r: { name: 'Topstep (Rithmic)', systemName: RITHMIC_SYSTEMS.TOPSTEP, gateway: RITHMIC_ENDPOINTS.CHICAGO },
-  bulenox_r: { name: 'Bulenox (Rithmic)', systemName: RITHMIC_SYSTEMS.BULENOX, gateway: RITHMIC_ENDPOINTS.CHICAGO },
-  earn2trade: { name: 'Earn2Trade', systemName: RITHMIC_SYSTEMS.EARN_2_TRADE, gateway: RITHMIC_ENDPOINTS.CHICAGO },
-  mescapital: { name: 'MES Capital', systemName: RITHMIC_SYSTEMS.MES_CAPITAL, gateway: RITHMIC_ENDPOINTS.CHICAGO },
-  tradefundrr: { name: 'TradeFundrr', systemName: RITHMIC_SYSTEMS.TRADEFUNDRR, gateway: RITHMIC_ENDPOINTS.CHICAGO },
-  thetradingpit: { name: 'The Trading Pit', systemName: RITHMIC_SYSTEMS.THE_TRADING_PIT, gateway: RITHMIC_ENDPOINTS.CHICAGO },
-  fundedfutures: { name: 'Funded Futures Network', systemName: RITHMIC_SYSTEMS.FUNDED_FUTURES_NETWORK, gateway: RITHMIC_ENDPOINTS.CHICAGO },
-  propshop: { name: 'PropShop Trader', systemName: RITHMIC_SYSTEMS.PROPSHOP_TRADER, gateway: RITHMIC_ENDPOINTS.CHICAGO },
-  '4proptrader': { name: '4PropTrader', systemName: RITHMIC_SYSTEMS.FOUR_PROP_TRADER, gateway: RITHMIC_ENDPOINTS.CHICAGO },
-  daytraders: { name: 'DayTraders.com', systemName: RITHMIC_SYSTEMS.DAY_TRADERS, gateway: RITHMIC_ENDPOINTS.CHICAGO },
-  '10xfutures': { name: '10X Futures', systemName: RITHMIC_SYSTEMS.TEN_X_FUTURES, gateway: RITHMIC_ENDPOINTS.CHICAGO },
-  lucidtrading: { name: 'Lucid Trading', systemName: RITHMIC_SYSTEMS.LUCID_TRADING, gateway: RITHMIC_ENDPOINTS.CHICAGO },
-  thrivetrading: { name: 'Thrive Trading', systemName: RITHMIC_SYSTEMS.THRIVE_TRADING, gateway: RITHMIC_ENDPOINTS.CHICAGO },
-  legendstrading: { name: 'Legends Trading', systemName: RITHMIC_SYSTEMS.LEGENDS_TRADING, gateway: RITHMIC_ENDPOINTS.CHICAGO },
-};
-
-/**
- * Get tick multiplier for P&L calculation
- * @param {string} symbol - Trading symbol
- * @returns {number} Multiplier for P&L calculation
- */
-const getTickMultiplier = (symbol) => {
-  const sym = (symbol || '').toUpperCase();
-  if (sym.startsWith('ES')) return 50;      // E-mini S&P 500: $50 per point
-  if (sym.startsWith('NQ')) return 20;      // E-mini Nasdaq: $20 per point
-  if (sym.startsWith('YM')) return 5;       // E-mini Dow: $5 per point
-  if (sym.startsWith('RTY')) return 50;     // E-mini Russell: $50 per point
-  if (sym.startsWith('MES')) return 5;      // Micro E-mini S&P: $5 per point
-  if (sym.startsWith('MNQ')) return 2;      // Micro E-mini Nasdaq: $2 per point
-  if (sym.startsWith('GC')) return 100;     // Gold: $100 per point
-  if (sym.startsWith('SI')) return 5000;    // Silver: $5000 per point
-  if (sym.startsWith('CL')) return 1000;    // Crude Oil: $1000 per point
-  if (sym.startsWith('NG')) return 10000;   // Natural Gas: $10000 per point
-  if (sym.startsWith('ZB') || sym.startsWith('ZN')) return 1000; // Bonds
-  if (sym.startsWith('6E')) return 125000;  // Euro FX
-  if (sym.startsWith('6J')) return 12500000; // Japanese Yen
-  return 1; // Default
-};
-
-/**
- * Check market hours
- * @returns {{isOpen: boolean, message: string}}
- */
-const checkMarketHours = () => {
-  const now = new Date();
-  const utcDay = now.getUTCDay();
-  const utcHour = now.getUTCHours();
-
-  const isDST = now.getTimezoneOffset() < Math.max(
-    new Date(now.getFullYear(), 0, 1).getTimezoneOffset(),
-    new Date(now.getFullYear(), 6, 1).getTimezoneOffset()
-  );
-  const ctOffset = isDST ? 5 : 6;
-  const ctHour = (utcHour - ctOffset + 24) % 24;
-  const ctDay = utcHour < ctOffset ? (utcDay + 6) % 7 : utcDay;
-
-  if (ctDay === 6) return { isOpen: false, message: 'Market closed (Saturday)' };
-  if (ctDay === 0 && ctHour < 17) return { isOpen: false, message: 'Market opens Sunday 5:00 PM CT' };
-  if (ctDay === 5 && ctHour >= 16) return { isOpen: false, message: 'Market closed (Friday after 4PM CT)' };
-  if (ctHour === 16 && ctDay >= 1 && ctDay <= 4) return { isOpen: false, message: 'Daily maintenance (4:00-5:00 PM CT)' };
-  
-  return { isOpen: true, message: 'Market is open' };
-};
-
-module.exports = {
-  CME_CONTRACT_SPECS,
-  PROPFIRM_CONFIGS,
-  getTickMultiplier,
-  checkMarketHours,
-};

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,
-};