hedgequantx 2.7.15 → 2.7.17

package/src/lib/n/r4.js

@@ -1,401 +0,0 @@
-/**
- * Rithmic Market Data Feed
- * Handles real-time quotes and trades from TICKER_PLANT
- */
-
-const EventEmitter = require('events');
-const { RithmicConnection } = require('./r2');
-const { TEMPLATE_IDS, INFRA_TYPES, getCurrentFrontMonth } = require('./r7');
-
-class RithmicMarketData extends EventEmitter {
-  constructor(options = {}) {
-    super();
-    
-    this.connection = null;
-    this.config = null;
-    this.subscriptions = new Map(); // symbol -> { exchange, active }
-    
-    // Current market data
-    this.quotes = new Map(); // symbol -> { bid, ask, bidSize, askSize, timestamp }
-    this.trades = new Map(); // symbol -> last trade
-    this.lastPrices = new Map(); // symbol -> last price
-    
-    // Stats
-    this.quoteCount = 0;
-    this.tradeCount = 0;
-    
-    // Options
-    this.debug = options.debug || false;
-  }
-
-  /**
-   * Connect to Rithmic TICKER_PLANT
-   * @param {Object} credentials - { userId, password, systemName, gateway }
-   */
-  async connect(credentials) {
-    this.config = credentials;
-    
-    this.connection = new RithmicConnection({
-      debug: this.debug,
-      maxReconnectAttempts: 5
-    });
-    
-    // Forward connection events
-    this.connection.on('loggedIn', (data) => {
-      this.emit('connected', data);
-      
-      // Resubscribe to all symbols after reconnect
-      for (const [symbol, sub] of this.subscriptions) {
-        if (sub.active) {
-          this._sendSubscribe(symbol, sub.exchange);
-        }
-      }
-    });
-    
-    this.connection.on('error', (error) => {
-      this.emit('error', error);
-    });
-    
-    this.connection.on('disconnected', (data) => {
-      this.emit('disconnected', data);
-    });
-    
-    // Handle market data messages
-    this.connection.on('LastTrade', (trade) => this._handleTrade(trade));
-    this.connection.on('BestBidOffer', (quote) => this._handleQuote(quote));
-    
-    // Connect
-    await this.connection.connect({
-      userId: credentials.userId,
-      password: credentials.password,
-      systemName: credentials.systemName,
-      gateway: credentials.gateway,
-      infraType: INFRA_TYPES.TICKER_PLANT
-    });
-    
-    return true;
-  }
-
-  /**
-   * Subscribe to market data for a symbol
-   * @param {string} symbol - Rithmic symbol (e.g., 'MNQH5')
-   * @param {string} exchange - Exchange (e.g., 'CME')
-   */
-  async subscribe(symbol, exchange = 'CME') {
-    if (!this.connection || !this.connection.isReady) {
-      throw new Error('Not connected');
-    }
-    
-    // Store subscription
-    this.subscriptions.set(symbol, { exchange, active: true });
-    
-    // Send subscribe request
-    return this._sendSubscribe(symbol, exchange);
-  }
-
-  /**
-   * Internal subscribe
-   */
-  _sendSubscribe(symbol, exchange) {
-    try {
-      this.connection.send('RequestMarketDataUpdate', {
-        templateId: TEMPLATE_IDS.REQUEST_MARKET_DATA_UPDATE,
-        symbol: symbol,
-        exchange: exchange,
-        request: 1, // Subscribe
-        updateBits: 3 // LAST_TRADE (1) + BBO (2)
-      });
-      this.emit('subscribed', { symbol, exchange });
-      return true;
-      
-    } catch (error) {
-      console.error(`[RITHMIC:MarketData] Subscribe error:`, error.message);
-      return false;
-    }
-  }
-
-  /**
-   * Unsubscribe from market data
-   */
-  async unsubscribe(symbol, exchange = 'CME') {
-    if (!this.connection || !this.connection.isReady) {
-      return false;
-    }
-    
-    const sub = this.subscriptions.get(symbol);
-    if (sub) {
-      sub.active = false;
-    }
-    
-    try {
-      this.connection.send('RequestMarketDataUpdate', {
-        templateId: TEMPLATE_IDS.REQUEST_MARKET_DATA_UPDATE,
-        symbol: symbol,
-        exchange: exchange,
-        request: 2 // Unsubscribe
-      });
-      
-      this.subscriptions.delete(symbol);
-      this.emit('unsubscribed', { symbol, exchange });
-      return true;
-      
-    } catch (error) {
-      console.error(`[RITHMIC:MarketData] Unsubscribe error:`, error.message);
-      return false;
-    }
-  }
-
-  /**
-   * Unsubscribe from all symbols
-   */
-  async unsubscribeAll() {
-    for (const [symbol, sub] of this.subscriptions) {
-      await this.unsubscribe(symbol, sub.exchange);
-    }
-  }
-
-  /**
-   * Handle trade data
-   */
-  _handleTrade(trade) {
-    this.tradeCount++;
-    
-    const symbol = trade.symbol;
-    const price = trade.tradePrice || 0;
-    const size = trade.tradeSize || 1;
-    
-    // Determine side from aggressor field
-    // aggressor: 1 = BUY (buyer aggressor), 2 = SELL (seller aggressor)
-    let side = 'unknown';
-    if (trade.aggressor === 1) side = 'buy';
-    else if (trade.aggressor === 2) side = 'sell';
-    
-    if (price <= 0) return;
-    
-    // Update last price
-    this.lastPrices.set(symbol, price);
-    
-    // Store trade
-    const tradeData = {
-      type: 'trade',
-      symbol: symbol,
-      exchange: trade.exchange || 'CME',
-      price: price,
-      size: size,
-      side: side,
-      volume: size,
-      timestamp: Date.now(),
-      ssboe: trade.ssboe,
-      usecs: trade.usecs
-    };
-    
-    this.trades.set(symbol, tradeData);
-    
-
-    
-    // Emit events
-    this.emit('trade', tradeData);
-    
-    // Also emit tick for compatibility
-    const quote = this.quotes.get(symbol) || {};
-    this.emit('tick', {
-      symbol: symbol,
-      price: price,
-      bid: quote.bid || 0,
-      ask: quote.ask || 0,
-      spread: (quote.ask || 0) - (quote.bid || 0),
-      volume: size,
-      side: side,
-      timestamp: Date.now()
-    });
-  }
-
-  /**
-   * Handle quote data (BBO)
-   */
-  _handleQuote(quote) {
-    this.quoteCount++;
-    
-    const symbol = quote.symbol;
-    const bid = quote.bidPrice || 0;
-    const ask = quote.askPrice || 0;
-    const bidSize = quote.bidSize || 0;
-    const askSize = quote.askSize || 0;
-    
-    // Store quote
-    const quoteData = {
-      type: 'quote',
-      symbol: symbol,
-      exchange: quote.exchange || 'CME',
-      bid: bid,
-      ask: ask,
-      bidSize: bidSize,
-      askSize: askSize,
-      spread: ask > 0 && bid > 0 ? ask - bid : 0,
-      mid: bid > 0 && ask > 0 ? (bid + ask) / 2 : 0,
-      timestamp: Date.now(),
-      ssboe: quote.ssboe,
-      usecs: quote.usecs
-    };
-    
-    // Update stored quote
-    this.quotes.set(symbol, quoteData);
-    
-    // Update last price if we don't have one
-    if (!this.lastPrices.has(symbol) && quoteData.mid > 0) {
-      this.lastPrices.set(symbol, quoteData.mid);
-    }
-    
-
-    
-    // Emit events
-    this.emit('quote', quoteData);
-    
-    // Also emit tick for compatibility
-    const lastPrice = this.lastPrices.get(symbol) || quoteData.mid;
-    this.emit('tick', {
-      symbol: symbol,
-      price: lastPrice,
-      bid: bid,
-      ask: ask,
-      spread: quoteData.spread,
-      bidSize: bidSize,
-      askSize: askSize,
-      timestamp: Date.now()
-    });
-  }
-
-  /**
-   * Get last price for symbol
-   */
-  getLastPrice(symbol) {
-    return this.lastPrices.get(symbol) || 0;
-  }
-
-  /**
-   * Get current quote for symbol
-   */
-  getQuote(symbol) {
-    return this.quotes.get(symbol) || null;
-  }
-
-  /**
-   * Get last trade for symbol
-   */
-  getLastTrade(symbol) {
-    return this.trades.get(symbol) || null;
-  }
-
-  /**
-   * Get all subscribed symbols
-   */
-  getSubscriptions() {
-    return Array.from(this.subscriptions.entries()).map(([symbol, sub]) => ({
-      symbol,
-      exchange: sub.exchange,
-      active: sub.active
-    }));
-  }
-
-  /**
-   * Check if connected
-   */
-  get isConnected() {
-    return this.connection && this.connection.isReady;
-  }
-
-  /**
-   * Disconnect
-   */
-  async disconnect() {
-    await this.unsubscribeAll();
-    
-    if (this.connection) {
-      await this.connection.disconnect();
-      this.connection = null;
-    }
-    
-    this.subscriptions.clear();
-    this.quotes.clear();
-    this.trades.clear();
-    this.lastPrices.clear();
-  }
-
-  /**
-   * Get stats
-   */
-  getStats() {
-    return {
-      quoteCount: this.quoteCount,
-      tradeCount: this.tradeCount,
-      subscriptions: this.subscriptions.size,
-      connected: this.isConnected
-    };
-  }
-
-  /**
-   * Get front month contract for a base symbol
-   * @param {string} baseSymbol - Base symbol (e.g., 'MNQ', 'ES')
-   * @param {string} exchange - Exchange (e.g., 'CME')
-   * @returns {Promise<string>} Full contract symbol (e.g., 'MNQH6')
-   */
-  async getFrontMonthContract(baseSymbol, exchange = 'CME') {
-    if (!this.connection || !this.connection.isReady) {
-      throw new Error('Not connected');
-    }
-
-    return new Promise((resolve, reject) => {
-      const timeout = setTimeout(() => {
-        reject(new Error('Front month request timeout'));
-      }, 10000);
-
-      // Listen for response
-      const handler = (msg) => {
-        if (msg.templateId === 114) { // ResponseFrontMonthContract
-          clearTimeout(timeout);
-          this.connection.removeListener('message', handler);
-          
-          if (msg.rpCode && msg.rpCode[0] === '0') {
-            resolve(msg.symbol || msg.tradingSymbol);
-          } else {
-            reject(new Error(`Front month failed: ${msg.rpCode?.join(', ')}`));
-          }
-        }
-      };
-
-      this.connection.on('message', handler);
-
-      // Send request (Template ID 113)
-      try {
-        this.connection.send('RequestFrontMonthContract', {
-          templateId: 113,
-          symbol: baseSymbol,
-          exchange: exchange
-        });
-      } catch (error) {
-        clearTimeout(timeout);
-        this.connection.removeListener('message', handler);
-        reject(error);
-      }
-    });
-  }
-
-  /**
-   * Subscribe to a base symbol by auto-detecting front month
-   * @param {string} baseSymbol - Base symbol (e.g., 'MNQ', 'ES')
-   * @param {string} exchange - Exchange (e.g., 'CME')
-   */
-  async subscribeByBaseSymbol(baseSymbol, exchange = 'CME') {
-    try {
-      // Try to get front month from Rithmic
-      const fullSymbol = await this.getFrontMonthContract(baseSymbol, exchange);
-      return this.subscribe(fullSymbol, exchange);
-    } catch (error) {
-      // Fallback to calculated front month
-      const calculated = getCurrentFrontMonth(baseSymbol);
-      return this.subscribe(calculated, exchange);
-    }
-  }
-}
-
-module.exports = { RithmicMarketData };