hedgequantx 2.7.15 → 2.7.17

package/src/lib/n/r5.js

@@ -1,335 +0,0 @@
-/**
- * Rithmic P&L and Positions
- * Handles real-time P&L updates from PNL_PLANT
- */
-
-const EventEmitter = require('events');
-const { RithmicConnection } = require('./r2');
-const { TEMPLATE_IDS, INFRA_TYPES } = require('./r7');
-
-class RithmicPnL extends EventEmitter {
-  constructor(options = {}) {
-    super();
-    
-    this.connection = null;
-    this.config = null;
-    
-    // Login info
-    this.fcmId = null;
-    this.ibId = null;
-    
-    // Account P&L cache
-    this.accountPnL = new Map(); // accountId -> P&L data
-    
-    // Instrument P&L cache
-    this.instrumentPnL = new Map(); // `${accountId}:${symbol}` -> P&L data
-    
-    // Subscriptions
-    this.subscriptions = new Set(); // accountIds subscribed
-    
-    // Options
-    this.debug = options.debug || false;
-  }
-
-  /**
-   * Connect to Rithmic PNL_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.fcmId = data.fcmId;
-      this.ibId = data.ibId;
-      this.emit('connected', data);
-      
-      // Resubscribe after reconnect
-      for (const accountId of this.subscriptions) {
-        this._sendSubscribe(accountId);
-      }
-    });
-    
-    this.connection.on('error', (error) => {
-      this.emit('error', error);
-    });
-    
-    this.connection.on('disconnected', (data) => {
-      this.emit('disconnected', data);
-    });
-    
-    // Handle P&L updates
-    this.connection.on('AccountPnLPositionUpdate', (update) => this._handleAccountPnL(update));
-    this.connection.on('InstrumentPnLPositionUpdate', (update) => this._handleInstrumentPnL(update));
-    
-    // Connect
-    await this.connection.connect({
-      userId: credentials.userId,
-      password: credentials.password,
-      systemName: credentials.systemName,
-      gateway: credentials.gateway,
-      infraType: INFRA_TYPES.PNL_PLANT
-    });
-    
-    return true;
-  }
-
-  /**
-   * Subscribe to P&L updates for an account
-   */
-  async subscribe(accountId) {
-    if (!this.connection || !this.connection.isReady) {
-      throw new Error('Not connected');
-    }
-    
-    this.subscriptions.add(accountId);
-    return this._sendSubscribe(accountId);
-  }
-
-  /**
-   * Internal subscribe
-   */
-  _sendSubscribe(accountId) {
-    try {
-      this.connection.send('RequestPnLPositionUpdates', {
-        templateId: TEMPLATE_IDS.REQUEST_PNL_POSITION_UPDATES,
-        request: 1, // Subscribe
-        fcmId: this.fcmId,
-        ibId: this.ibId,
-        accountId: accountId.toString()
-      });
-      
-      return true;
-      
-    } catch (error) {
-      console.error('[RITHMIC:PnL] Subscribe error:', error.message);
-      return false;
-    }
-  }
-
-  /**
-   * Unsubscribe from P&L updates
-   */
-  async unsubscribe(accountId) {
-    if (!this.connection || !this.connection.isReady) {
-      return false;
-    }
-    
-    this.subscriptions.delete(accountId);
-    
-    try {
-      this.connection.send('RequestPnLPositionUpdates', {
-        templateId: TEMPLATE_IDS.REQUEST_PNL_POSITION_UPDATES,
-        request: 2, // Unsubscribe
-        fcmId: this.fcmId,
-        ibId: this.ibId,
-        accountId: accountId.toString()
-      });
-      
-      return true;
-      
-    } catch (error) {
-      console.error('[RITHMIC:PnL] Unsubscribe error:', error.message);
-      return false;
-    }
-  }
-
-  /**
-   * Handle account-level P&L update
-   */
-  _handleAccountPnL(update) {
-    const accountId = update.accountId;
-    
-    const pnlData = {
-      accountId: accountId,
-      
-      // P&L
-      openPositionPnL: this._parseNumber(update.openPositionPnl),
-      closedPositionPnL: this._parseNumber(update.closedPositionPnl),
-      dayOpenPnL: this._parseNumber(update.dayOpenPnl),
-      dayClosedPnL: this._parseNumber(update.dayClosedPnl),
-      dayPnL: this._parseNumber(update.dayPnl),
-      
-      // Positions
-      openPositionQuantity: update.openPositionQuantity || 0,
-      closedPositionQuantity: update.closedPositionQuantity || 0,
-      netQuantity: update.netQuantity || 0,
-      
-      // Volume
-      fillBuyQty: update.fillBuyQty || 0,
-      fillSellQty: update.fillSellQty || 0,
-      buyQty: update.buyQty || 0,
-      sellQty: update.sellQty || 0,
-      
-      // Balances
-      accountBalance: this._parseNumber(update.accountBalance),
-      cashOnHand: this._parseNumber(update.cashOnHand),
-      marginBalance: this._parseNumber(update.marginBalance),
-      minMarginBalance: this._parseNumber(update.minMarginBalance),
-      availableBuyingPower: this._parseNumber(update.availableBuyingPower),
-      usedBuyingPower: this._parseNumber(update.usedBuyingPower),
-      
-      // Risk
-      percentMaximumAllowableLoss: this._parseNumber(update.percentMaximumAllowableLoss),
-      
-      // Timestamps
-      isSnapshot: update.isSnapshot || false,
-      timestamp: Date.now()
-    };
-    
-    // Calculate total P&L
-    pnlData.totalPnL = pnlData.openPositionPnL + pnlData.closedPositionPnL;
-    
-    // Store
-    this.accountPnL.set(accountId, pnlData);
-    
-    // Debug
-    if (this.debug) {
-      console.log(`[RITHMIC:PnL] Account ${accountId}: Open=$${pnlData.openPositionPnL.toFixed(2)}, Closed=$${pnlData.closedPositionPnL.toFixed(2)}, Net=${pnlData.netQuantity}`);
-    }
-    
-    // Emit
-    this.emit('accountPnL', pnlData);
-    this.emit('pnl', pnlData);
-  }
-
-  /**
-   * Handle instrument-level P&L update
-   */
-  _handleInstrumentPnL(update) {
-    const accountId = update.accountId;
-    const symbol = update.symbol;
-    const key = `${accountId}:${symbol}`;
-    
-    const pnlData = {
-      accountId: accountId,
-      symbol: symbol,
-      exchange: update.exchange,
-      productCode: update.productCode,
-      instrumentType: update.instrumentType,
-      
-      // P&L
-      openPositionPnL: this._parseNumber(update.openPositionPnl),
-      closedPositionPnL: this._parseNumber(update.closedPositionPnl),
-      dayOpenPnL: update.dayOpenPnl || 0,
-      dayClosedPnL: update.dayClosedPnl || 0,
-      dayPnL: update.dayPnl || 0,
-      
-      // Position
-      openPositionQuantity: update.openPositionQuantity || 0,
-      closedPositionQuantity: update.closedPositionQuantity || 0,
-      netQuantity: update.netQuantity || 0,
-      avgOpenFillPrice: update.avgOpenFillPrice || 0,
-      
-      // Volume
-      fillBuyQty: update.fillBuyQty || 0,
-      fillSellQty: update.fillSellQty || 0,
-      buyQty: update.buyQty || 0,
-      sellQty: update.sellQty || 0,
-      
-      // Timestamps
-      isSnapshot: update.isSnapshot || false,
-      timestamp: Date.now()
-    };
-    
-    // Calculate total P&L
-    pnlData.totalPnL = pnlData.openPositionPnL + pnlData.closedPositionPnL;
-    
-    // Store
-    this.instrumentPnL.set(key, pnlData);
-    
-    // Emit
-    this.emit('instrumentPnL', pnlData);
-    this.emit('position', pnlData);
-  }
-
-  /**
-   * Parse number from string or return 0
-   */
-  _parseNumber(value) {
-    if (typeof value === 'number') return value;
-    if (typeof value === 'string') {
-      const parsed = parseFloat(value);
-      return isNaN(parsed) ? 0 : parsed;
-    }
-    return 0;
-  }
-
-  /**
-   * Get account P&L
-   */
-  getAccountPnL(accountId) {
-    return this.accountPnL.get(accountId) || null;
-  }
-
-  /**
-   * Get instrument P&L
-   */
-  getInstrumentPnL(accountId, symbol) {
-    return this.instrumentPnL.get(`${accountId}:${symbol}`) || null;
-  }
-
-  /**
-   * Get all positions for an account
-   */
-  getPositions(accountId) {
-    const positions = [];
-    for (const [key, pnl] of this.instrumentPnL) {
-      if (key.startsWith(`${accountId}:`) && pnl.netQuantity !== 0) {
-        positions.push(pnl);
-      }
-    }
-    return positions;
-  }
-
-  /**
-   * Get all account P&L data
-   */
-  getAllAccountPnL() {
-    return Array.from(this.accountPnL.values());
-  }
-
-  /**
-   * Get summary for an account
-   */
-  getSummary(accountId) {
-    const account = this.accountPnL.get(accountId);
-    const positions = this.getPositions(accountId);
-    
-    return {
-      accountId,
-      pnl: account,
-      positions,
-      openPositionCount: positions.length,
-      totalNetQuantity: positions.reduce((sum, p) => sum + p.netQuantity, 0)
-    };
-  }
-
-  /**
-   * Check if connected
-   */
-  get isConnected() {
-    return this.connection && this.connection.isReady;
-  }
-
-  /**
-   * Disconnect
-   */
-  async disconnect() {
-    if (this.connection) {
-      await this.connection.disconnect();
-      this.connection = null;
-    }
-    
-    this.subscriptions.clear();
-    this.accountPnL.clear();
-    this.instrumentPnL.clear();
-  }
-}
-
-module.exports = { RithmicPnL };