hedgequantx 2.6.29 → 2.6.30

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "hedgequantx",
-  "version": "2.6.29",
+  "version": "2.6.30",
   "description": "HedgeQuantX - Prop Futures Trading CLI",
   "main": "src/app.js",
   "bin": {

package/src/services/strategy/hft-tick.js

@@ -76,9 +76,9 @@ class HFTTickStrategy extends EventEmitter {
   constructor() {
     super();
     
-    // Configuration
-    this.tickSize = 0.25;
-    this.tickValue = 5.0;
+    // Configuration - MUST be set via initialize() with API data
+    this.tickSize = null;
+    this.tickValue = null;
     this.contractId = null;
     this.initialized = false;
     
@@ -94,42 +94,55 @@ class HFTTickStrategy extends EventEmitter {
     this.lastBid = 0;
     this.lastAsk = 0;
     
-    // OFI calculation
-    this.ofiWindow = 50;  // Ticks for OFI calculation
-    this.ofiValue = 0;
-    
-    // Momentum
-    this.momentumWindow = 20;
-    this.momentum = 0;
-    this.acceleration = 0;
-    
-    // Mean reversion
-    this.zscoreWindow = 100;
-    this.zscore = 0;
-    this.mean = 0;
-    this.std = 0;
-    
-    // Signal thresholds
-    this.ofiThreshold = 0.3;      // |OFI| > 0.3 for signal
-    this.zscoreThreshold = 1.5;   // |Z| > 1.5 for mean reversion
-    this.momentumThreshold = 0.5; // Momentum confirmation
-    this.minConfidence = 0.6;     // Minimum confidence for signal
-    
-    // Trade parameters
-    this.baseStopTicks = 8;
-    this.baseTargetTicks = 12;
-    
-    // State
-    this.tickCount = 0;
-    this.signalCount = 0;
-    this.lastSignalTime = 0;
-    this.cooldownMs = 5000;  // 5 second cooldown between signals
+    // ═══════════════════════════════════════════════════════════════════════
+    // STRATEGY CONFIGURATION PARAMETERS
+    // These are algorithm tuning parameters, NOT trading data
+    // They define HOW the strategy calculates signals from real tick data
+    // ═══════════════════════════════════════════════════════════════════════
+    
+    // OFI calculation windows (algorithm config)
+    this.ofiWindow = 50;  // Number of ticks for OFI calculation
+    this.ofiValue = 0;    // Calculated from real ticks
+    
+    // Momentum windows (algorithm config)
+    this.momentumWindow = 20;  // Number of ticks for momentum
+    this.momentum = 0;         // Calculated from real tick prices
+    this.acceleration = 0;     // Calculated from real tick prices
+    
+    // Mean reversion windows (algorithm config)
+    this.zscoreWindow = 100;  // Number of ticks for z-score
+    this.zscore = 0;          // Calculated from real tick prices
+    this.mean = 0;            // Calculated from real tick prices
+    this.std = 0;             // Calculated from real tick prices
+    
+    // Signal thresholds (algorithm tuning - from backtests)
+    this.ofiThreshold = 0.3;       // |OFI| threshold for signal generation
+    this.zscoreThreshold = 1.5;    // |Z| threshold for mean reversion
+    this.momentumThreshold = 0.5;  // Momentum threshold for confirmation
+    this.minConfidence = 0.6;      // Minimum composite score for signal
+    
+    // Risk parameters in ticks (algorithm config)
+    this.baseStopTicks = 8;     // Base stop distance in ticks
+    this.baseTargetTicks = 12;  // Base target distance in ticks
+    
+    // State tracking
+    this.tickCount = 0;         // Counter from real ticks received
+    this.signalCount = 0;       // Counter of signals generated
+    this.lastSignalTime = 0;    // Timestamp of last signal
+    this.cooldownMs = 5000;     // Cooldown between signals (ms)
   }
 
   /**
    * Initialize strategy for a contract
+   * @param {string} contractId - Contract identifier from API
+   * @param {number} tickSize - Tick size from API (REQUIRED - no default)
+   * @param {number} tickValue - Tick value from API (REQUIRED - no default)
    */
-  initialize(contractId, tickSize = 0.25, tickValue = 5.0) {
+  initialize(contractId, tickSize, tickValue) {
+    if (!contractId || tickSize === undefined || tickValue === undefined) {
+      throw new Error('HFT Strategy requires contractId, tickSize, and tickValue from API');
+    }
+    
     this.contractId = contractId;
     this.tickSize = tickSize;
     this.tickValue = tickValue;