hedgequantx 2.7.15 → 2.7.16

package/src/lib/data2.js

@@ -1,492 +0,0 @@
-/**
- * Rithmic Market Data Feed
- * Connects to Rithmic via WebSocket/Protobuf for real-time market data
- * Used for Apex, TopstepTrader (Rithmic), Bulenox (Rithmic), etc.
- */
-
-const EventEmitter = require('events');
-const WebSocket = require('ws');
-const protobuf = require('protobufjs');
-const path = require('path');
-
-// Rithmic Gateway Endpoints
-const RITHMIC_GATEWAYS = {
-  CHICAGO: 'wss://rprotocol.rithmic.com:443',
-  EUROPE: 'wss://rprotocol-ie.rithmic.com:443',
-  FRANKFURT: 'wss://rprotocol-de.rithmic.com:443',
-  SINGAPORE: 'wss://rprotocol-sg.rithmic.com:443',
-  SYDNEY: 'wss://rprotocol-au.rithmic.com:443',
-  TOKYO: 'wss://rprotocol-jp.rithmic.com:443',
-  TEST: 'wss://rituz00100.rithmic.com:443',
-  PAPER: 'wss://ritpa11120.11.rithmic.com:443'
-};
-
-// Rithmic System Names for PropFirms
-const RITHMIC_SYSTEMS = {
-  'apex': 'Apex',
-  'apex_rithmic': 'Apex',
-  'topsteptrader': 'TopstepTrader',
-  'topstep_r': 'TopstepTrader',
-  'bulenox_r': 'Bulenox',
-  'mescapital': 'MES Capital',
-  'earn2trade': 'Earn2Trade',
-  'tradefundrr': 'TradeFundrr',
-  'thetradingpit': 'TheTradingPit',
-  'fundedfutures': 'FundedFuturesNetwork',
-  'propshop': 'PropShopTrader',
-  '4proptrader': '4PropTrader',
-  'daytraders': 'DayTraders.com',
-  '10xfutures': '10XFutures',
-  'lucidtrading': 'LucidTrading',
-  'thrivetrading': 'ThriveTrading',
-  'legendstrading': 'LegendsTrading'
-};
-
-// Proto path
-const PROTO_PATH = path.join(__dirname, '../../protos/rithmic');
-
-class RithmicMarketDataFeed extends EventEmitter {
-  constructor(config) {
-    super();
-    
-    this.config = config;
-    this.ws = null;
-    this.isConnected = false;
-    this.reconnectAttempts = 0;
-    this.maxReconnectAttempts = 5;
-    this.subscriptions = new Set();
-    this.protoRoot = null;
-    
-    // Message types
-    this.RequestLogin = null;
-    this.ResponseLogin = null;
-    this.RequestMarketDataUpdate = null;
-    this.LastTrade = null;
-    this.BestBidOffer = null;
-    
-    // Data state
-    this.lastTick = new Map();
-    this.lastBid = 0;
-    this.lastAsk = 0;
-    this.lastPrice = 0;
-  }
-
-  /**
-   * Load protobuf definitions
-   */
-  async _loadProtos() {
-    if (this.protoRoot) return;
-    
-    try {
-      this.protoRoot = await protobuf.load([
-        path.join(PROTO_PATH, 'request_login.proto'),
-        path.join(PROTO_PATH, 'response_login.proto'),
-        path.join(PROTO_PATH, 'request_market_data_update.proto'),
-        path.join(PROTO_PATH, 'last_trade.proto'),
-        path.join(PROTO_PATH, 'best_bid_offer.proto'),
-        path.join(PROTO_PATH, 'request_heartbeat.proto'),
-        path.join(PROTO_PATH, 'response_heartbeat.proto')
-      ]);
-      
-      this.RequestLogin = this.protoRoot.lookupType('rti.RequestLogin');
-      this.ResponseLogin = this.protoRoot.lookupType('rti.ResponseLogin');
-      this.RequestMarketDataUpdate = this.protoRoot.lookupType('rti.RequestMarketDataUpdate');
-      this.LastTrade = this.protoRoot.lookupType('rti.LastTrade');
-      this.BestBidOffer = this.protoRoot.lookupType('rti.BestBidOffer');
-      this.RequestHeartbeat = this.protoRoot.lookupType('rti.RequestHeartbeat');
-      this.ResponseHeartbeat = this.protoRoot.lookupType('rti.ResponseHeartbeat');
-      
-      console.log('[RITHMIC] Protos loaded successfully');
-    } catch (error) {
-      console.error('[RITHMIC] Failed to load protos:', error.message);
-      throw error;
-    }
-  }
-
-  /**
-   * Connect to Rithmic market data feed
-   * @param {Object} credentials - { userId, password, systemName, gateway }
-   */
-  async connect(credentials) {
-    await this._loadProtos();
-    
-    const { userId, password, systemName, gateway } = credentials;
-    const gatewayUrl = gateway || RITHMIC_GATEWAYS.CHICAGO;
-    
-    console.log(`[RITHMIC] Connecting to ${gatewayUrl} as ${userId} on ${systemName}`);
-    
-    return new Promise((resolve, reject) => {
-      this.ws = new WebSocket(gatewayUrl, {
-        rejectUnauthorized: false
-      });
-      
-      const timeout = setTimeout(() => {
-        this.ws.close();
-        reject(new Error('Connection timeout'));
-      }, 15000);
-      
-      this.ws.on('open', async () => {
-        console.log('[RITHMIC] WebSocket connected, sending login...');
-        
-        try {
-          await this._sendLogin(userId, password, systemName);
-        } catch (error) {
-          clearTimeout(timeout);
-          reject(error);
-        }
-      });
-      
-      this.ws.on('message', (data) => {
-        // Debug: log raw message receipt
-        this.rawMsgCount = (this.rawMsgCount || 0) + 1;
-        if (this.rawMsgCount <= 5 || this.rawMsgCount % 50 === 0) {
-          console.log(`[RITHMIC] Raw message #${this.rawMsgCount} received: ${data.length || data.byteLength} bytes`);
-        }
-        
-        this._handleMessage(data, (success, error) => {
-          if (success !== undefined) {
-            clearTimeout(timeout);
-            if (success) {
-              this.isConnected = true;
-              this.reconnectAttempts = 0;
-              this._startHeartbeat();
-              this.emit('connected');
-              resolve(true);
-            } else {
-              reject(new Error(error || 'Login failed'));
-            }
-          }
-        });
-      });
-      
-      this.ws.on('error', (error) => {
-        console.error('[RITHMIC] WebSocket error:', error.message);
-        this.emit('error', error);
-        clearTimeout(timeout);
-        reject(error);
-      });
-      
-      this.ws.on('close', (code, reason) => {
-        console.log(`[RITHMIC] WebSocket closed: ${code} - ${reason}`);
-        this.isConnected = false;
-        this._stopHeartbeat();
-        this.emit('disconnected', { code, reason: reason.toString() });
-        this._attemptReconnect(credentials);
-      });
-    });
-  }
-
-  /**
-   * Send login request
-   */
-  async _sendLogin(userId, password, systemName) {
-    // Template ID 10 = RequestLogin
-    // Field names must match proto (snake_case): template_id, template_version, etc.
-    const loginRequest = this.RequestLogin.create({
-      templateId: 10,           // template_id = 154467, value = 10
-      templateVersion: '3.9',   // template_version = 153634
-      user: userId,             // user = 131003
-      password: password,       // password = 130004
-      appName: 'App',    // app_name = 130002
-      appVersion: '1.0.0',      // app_version = 131803
-      systemName: systemName,   // system_name = 153628
-      infraType: 1              // infra_type = 153621, TICKER_PLANT = 1
-    });
-    
-    console.log('[RITHMIC] Login message:', JSON.stringify(loginRequest));
-    
-    const buffer = this.RequestLogin.encode(loginRequest).finish();
-    console.log('[RITHMIC] Login buffer size:', buffer.length);
-    console.log('[RITHMIC] Login buffer hex:', Buffer.from(buffer).toString('hex').slice(0, 100) + '...');
-    
-    this.ws.send(buffer);
-    console.log('[RITHMIC] Login request sent');
-  }
-
-  /**
-   * Handle incoming message
-   */
-  _handleMessage(data, loginCallback) {
-    try {
-      const buffer = new Uint8Array(data);
-      
-      // Log message count
-      this.msgCount = (this.msgCount || 0) + 1;
-      if (this.msgCount <= 20 || this.msgCount % 100 === 0) {
-        console.log(`[RITHMIC] Message #${this.msgCount}: ${buffer.length} bytes`);
-      }
-      
-      // Try to decode as ResponseLogin first
-      try {
-        const response = this.ResponseLogin.decode(buffer);
-        console.log(`[RITHMIC] Decoded response - templateId: ${response.templateId}, rpCode: ${JSON.stringify(response.rpCode)}`);
-        
-        // Template ID 11 is ResponseLogin
-        if (response.templateId === 11) {
-          const rpCode = Array.isArray(response.rpCode) ? response.rpCode[0] : response.rpCode;
-          
-          if (rpCode === '0') {
-            console.log('[RITHMIC] Login successful!');
-            console.log(`[RITHMIC] FCM: ${response.fcmId}, IB: ${response.ibId}`);
-            loginCallback(true);
-          } else {
-            console.log(`[RITHMIC] Login failed: ${response.textMsg || rpCode}`);
-            loginCallback(false, response.textMsg || `Error code: ${rpCode}`);
-          }
-          return;
-        }
-        
-        // Template ID 75 is RejectRequest (error)
-        if (response.templateId === 75) {
-          const errorMsg = Array.isArray(response.rpCode) ? response.rpCode.join(' - ') : response.rpCode;
-          console.log(`[RITHMIC] Request rejected: ${errorMsg}`);
-          loginCallback(false, errorMsg);
-          return;
-        }
-      } catch (e) {
-        // Not a login response, try other decoders
-      }
-      
-      // Use manual decoder for market data (protobufjs can't handle large field IDs)
-      const { getTemplateId, decodeLastTrade, decodeBestBidOffer } = require('./decoder');
-      const nodeBuffer = Buffer.from(buffer);
-      const templateId = getTemplateId(nodeBuffer);
-      
-      // LastTrade (template_id = 150)
-      if (templateId === 150) {
-        const trade = decodeLastTrade(nodeBuffer);
-        this._handleTrade(trade);
-        return;
-      }
-      
-      // BestBidOffer (template_id = 151)
-      if (templateId === 151) {
-        const quote = decodeBestBidOffer(nodeBuffer);
-        this._handleQuote(quote);
-        return;
-      }
-      
-      // Try heartbeat response
-      try {
-        const heartbeat = this.ResponseHeartbeat.decode(buffer);
-        if (heartbeat.templateId === 19) {
-          // Heartbeat acknowledged
-          return;
-        }
-      } catch (e) {
-        // Not a heartbeat
-      }
-      
-    } catch (error) {
-      console.error('[RITHMIC] Message decode error:', error.message);
-    }
-  }
-
-  /**
-   * Handle trade data
-   */
-  _handleTrade(trade) {
-    const price = trade.tradePrice || 0;
-    const size = trade.tradeSize || 1;
-    
-    // Determine side from aggressor field, or infer from bid/ask
-    let side = 'unknown';
-    if (trade.aggressor === 1) {
-      side = 'buy';
-    } else if (trade.aggressor === 2) {
-      side = 'sell';
-    } else if (this.lastBid > 0 && this.lastAsk > 0) {
-      // Infer from price vs bid/ask
-      if (price >= this.lastAsk) {
-        side = 'buy';  // Bought at ask (aggressor buyer)
-      } else if (price <= this.lastBid) {
-        side = 'sell'; // Sold at bid (aggressor seller)
-      }
-    }
-    
-    // Debug log every 500th trade
-    this.tradeCount = (this.tradeCount || 0) + 1;
-    if (this.tradeCount % 500 === 1) {
-      console.log(`[RITHMIC:MarketData] Trade #${this.tradeCount}: ${trade.symbol} @ ${price} x ${size} (${side})`);
-    }
-    
-    if (price > 0) {
-      this.lastPrice = price;
-      
-      const tradeData = {
-        type: 'trade',
-        symbol: trade.symbol || this.config.symbol,
-        price: price,
-        size: size,
-        side: side,
-        volume: size,
-        timestamp: Date.now()
-      };
-      
-      this.emit('trade', tradeData);
-      this.emit('tick', {
-        price: price,
-        bid: this.lastBid,
-        ask: this.lastAsk,
-        volume: size,
-        timestamp: Date.now()
-      });
-    }
-  }
-
-  /**
-   * Handle quote data
-   */
-  _handleQuote(quote) {
-    const bid = quote.bidPrice || 0;
-    const ask = quote.askPrice || 0;
-    
-    if (bid > 0) this.lastBid = bid;
-    if (ask > 0) this.lastAsk = ask;
-    
-    // Only emit if we have valid bid AND ask
-    if (this.lastBid <= 0 || this.lastAsk <= 0) return;
-    
-    const quoteData = {
-      type: 'quote',
-      symbol: quote.symbol || this.config.symbol,
-      bid: this.lastBid,
-      ask: this.lastAsk,
-      bidSize: quote.bidSize || 0,
-      askSize: quote.askSize || 0,
-      spread: this.lastAsk - this.lastBid,
-      price: this.lastPrice || this.lastBid, // Use last trade price, fallback to bid
-      timestamp: Date.now()
-    };
-    
-    this.emit('quote', quoteData);
-    this.emit('tick', {
-      price: quoteData.price,
-      bid: this.lastBid,
-      ask: this.lastAsk,
-      spread: quoteData.spread,
-      timestamp: Date.now()
-    });
-  }
-
-  /**
-   * Subscribe to symbol market data
-   */
-  async subscribe(symbol, exchange = 'CME') {
-    if (!this.isConnected || !this.ws) {
-      throw new Error('Not connected');
-    }
-    
-    console.log(`[RITHMIC] Subscribing to ${symbol} on ${exchange}`);
-    
-    // Template ID 100 = RequestMarketDataUpdate
-    const request = this.RequestMarketDataUpdate.create({
-      templateId: 100,
-      symbol: symbol,
-      exchange: exchange,
-      request: 1, // Subscribe
-      updateBits: 3 // LAST_TRADE (1) + BBO (2)
-    });
-    
-    const buffer = this.RequestMarketDataUpdate.encode(request).finish();
-    this.ws.send(buffer);
-    
-    this.subscriptions.add(`${symbol}:${exchange}`);
-    console.log(`[RITHMIC] Subscribed to ${symbol}`);
-    
-    return true;
-  }
-
-  /**
-   * Unsubscribe from symbol
-   */
-  async unsubscribe(symbol, exchange = 'CME') {
-    if (!this.isConnected || !this.ws) return;
-    
-    const request = this.RequestMarketDataUpdate.create({
-      templateId: 100,
-      symbol: symbol,
-      exchange: exchange,
-      request: 2 // Unsubscribe
-    });
-    
-    const buffer = this.RequestMarketDataUpdate.encode(request).finish();
-    this.ws.send(buffer);
-    
-    this.subscriptions.delete(`${symbol}:${exchange}`);
-  }
-
-  /**
-   * Start heartbeat
-   */
-  _startHeartbeat() {
-    this.heartbeatInterval = setInterval(() => {
-      if (this.isConnected && this.ws && this.RequestHeartbeat) {
-        const heartbeat = this.RequestHeartbeat.create({
-          templateId: 18
-        });
-        const buffer = this.RequestHeartbeat.encode(heartbeat).finish();
-        this.ws.send(buffer);
-      }
-    }, 30000);
-  }
-
-  /**
-   * Stop heartbeat
-   */
-  _stopHeartbeat() {
-    if (this.heartbeatInterval) {
-      clearInterval(this.heartbeatInterval);
-      this.heartbeatInterval = null;
-    }
-  }
-
-  /**
-   * Attempt reconnection
-   */
-  _attemptReconnect(credentials) {
-    // Don't reconnect if intentionally disconnected
-    if (this.intentionalDisconnect) {
-      this.intentionalDisconnect = false;
-      return;
-    }
-    
-    if (this.reconnectAttempts < this.maxReconnectAttempts) {
-      this.reconnectAttempts++;
-      const delay = Math.min(1000 * Math.pow(2, this.reconnectAttempts), 30000);
-      
-      console.log(`[RITHMIC] Reconnecting in ${delay}ms (attempt ${this.reconnectAttempts}/${this.maxReconnectAttempts})`);
-      
-      setTimeout(() => {
-        this.connect(credentials).catch(err => {
-          console.error('[RITHMIC] Reconnect failed:', err.message);
-        });
-      }, delay);
-    } else {
-      console.error('[RITHMIC] Max reconnect attempts reached');
-      this.emit('error', new Error('Max reconnect attempts reached'));
-    }
-  }
-
-  /**
-   * Disconnect
-   */
-  async disconnect() {
-    this._stopHeartbeat();
-    this.subscriptions.clear();
-    this.intentionalDisconnect = true; // Prevent reconnect attempts
-    
-    if (this.ws) {
-      this.ws.close();
-      this.ws = null;
-    }
-    
-    this.isConnected = false;
-  }
-}
-
-module.exports = {
-  RithmicMarketDataFeed,
-  RITHMIC_GATEWAYS,
-  RITHMIC_SYSTEMS
-};