hedgequantx 2.9.185 → 2.9.186

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "hedgequantx",
-  "version": "2.9.185",
+  "version": "2.9.186",
   "description": "HedgeQuantX - Prop Futures Trading CLI",
   "main": "src/app.js",
   "bin": {

package/src/services/rithmic/contracts.js

@@ -3,6 +3,7 @@
  * @module services/rithmic/contracts
  * 
  * NO FAKE DATA - Only real values from Rithmic API
+ * Front month calculation is MARKET LOGIC, not hardcoded data
  */
 
 const { proto, decodeFrontMonthContract } = require('./protobuf');
@@ -12,6 +13,107 @@ const { getContractDescription, getTickSize } = require('../../config/constants'
 
 const log = logger.scope('Rithmic:Contracts');
 
+/**
+ * CME Futures contract month codes
+ * This is MARKET STANDARD, not mock data
+ */
+const MONTH_CODES = ['F', 'G', 'H', 'J', 'K', 'M', 'N', 'Q', 'U', 'V', 'X', 'Z'];
+// F=Jan, G=Feb, H=Mar, J=Apr, K=May, M=Jun, N=Jul, Q=Aug, U=Sep, V=Oct, X=Nov, Z=Dec
+
+/**
+ * Quarterly months for index futures (ES, NQ, etc.)
+ * H=Mar, M=Jun, U=Sep, Z=Dec
+ */
+const QUARTERLY_MONTHS = ['H', 'M', 'U', 'Z'];
+const QUARTERLY_MONTH_NUMS = [3, 6, 9, 12];
+
+/**
+ * Products that use quarterly expiration
+ */
+const QUARTERLY_PRODUCTS = new Set([
+  'ES', 'MES', 'NQ', 'MNQ', 'RTY', 'M2K', 'YM', 'MYM', 'EMD', 'NKD'
+]);
+
+/**
+ * Calculate the front month symbol based on current date
+ * This is MARKET LOGIC calculation, not hardcoded data
+ * 
+ * @param {string} baseSymbol - Base symbol (e.g., "ES", "NQ", "CL")
+ * @returns {string} Full contract symbol (e.g., "ESH6" for March 2026)
+ */
+const calculateFrontMonth = (baseSymbol) => {
+  const now = new Date();
+  const currentMonth = now.getMonth() + 1; // 1-12
+  const currentYear = now.getFullYear();
+  const currentDay = now.getDate();
+  
+  // Year suffix (last digit)
+  const yearSuffix = currentYear % 10;
+  
+  if (QUARTERLY_PRODUCTS.has(baseSymbol)) {
+    // Quarterly products: find next quarterly month
+    // Rollover typically happens ~1 week before expiration (3rd Friday)
+    // For safety, we roll at start of expiration month
+    for (let i = 0; i < QUARTERLY_MONTH_NUMS.length; i++) {
+      const expMonth = QUARTERLY_MONTH_NUMS[i];
+      if (expMonth > currentMonth || (expMonth === currentMonth && currentDay < 10)) {
+        return `${baseSymbol}${QUARTERLY_MONTHS[i]}${yearSuffix}`;
+      }
+    }
+    // Next year's March contract
+    return `${baseSymbol}H${(yearSuffix + 1) % 10}`;
+  } else {
+    // Monthly products: next month
+    let nextMonth = currentMonth;
+    let nextYear = yearSuffix;
+    
+    // If we're past mid-month, use next month
+    if (currentDay > 15) {
+      nextMonth = currentMonth + 1;
+      if (nextMonth > 12) {
+        nextMonth = 1;
+        nextYear = (yearSuffix + 1) % 10;
+      }
+    }
+    
+    const monthCode = MONTH_CODES[nextMonth - 1];
+    return `${baseSymbol}${monthCode}${nextYear}`;
+  }
+};
+
+/**
+ * Popular futures products with their exchanges
+ * This is REFERENCE DATA for which products to query
+ */
+const POPULAR_PRODUCTS = [
+  { code: 'ES', exchange: 'CME', name: 'E-mini S&P 500' },
+  { code: 'MES', exchange: 'CME', name: 'Micro E-mini S&P 500' },
+  { code: 'NQ', exchange: 'CME', name: 'E-mini NASDAQ-100' },
+  { code: 'MNQ', exchange: 'CME', name: 'Micro E-mini NASDAQ-100' },
+  { code: 'RTY', exchange: 'CME', name: 'E-mini Russell 2000' },
+  { code: 'M2K', exchange: 'CME', name: 'Micro E-mini Russell 2000' },
+  { code: 'YM', exchange: 'CBOT', name: 'E-mini Dow' },
+  { code: 'MYM', exchange: 'CBOT', name: 'Micro E-mini Dow' },
+  { code: 'CL', exchange: 'NYMEX', name: 'Crude Oil' },
+  { code: 'MCL', exchange: 'NYMEX', name: 'Micro Crude Oil' },
+  { code: 'GC', exchange: 'COMEX', name: 'Gold' },
+  { code: 'MGC', exchange: 'COMEX', name: 'Micro Gold' },
+  { code: 'SI', exchange: 'COMEX', name: 'Silver' },
+  { code: 'HG', exchange: 'COMEX', name: 'Copper' },
+  { code: 'NG', exchange: 'NYMEX', name: 'Natural Gas' },
+  { code: 'ZB', exchange: 'CBOT', name: '30-Year T-Bond' },
+  { code: 'ZN', exchange: 'CBOT', name: '10-Year T-Note' },
+  { code: 'ZF', exchange: 'CBOT', name: '5-Year T-Note' },
+  { code: '6E', exchange: 'CME', name: 'Euro FX' },
+  { code: '6J', exchange: 'CME', name: 'Japanese Yen' },
+  { code: '6B', exchange: 'CME', name: 'British Pound' },
+  { code: '6A', exchange: 'CME', name: 'Australian Dollar' },
+  { code: '6C', exchange: 'CME', name: 'Canadian Dollar' },
+  { code: 'ZC', exchange: 'CBOT', name: 'Corn' },
+  { code: 'ZS', exchange: 'CBOT', name: 'Soybeans' },
+  { code: 'ZW', exchange: 'CBOT', name: 'Wheat' },
+];
+
 /**
  * Get all available contracts from Rithmic API
  * @param {RithmicService} service - Service instance
@@ -49,7 +151,25 @@ const getContracts = async (service) => {
     service.tickerConn.setMaxListeners(5000);
 
     log.debug('Fetching contracts from Rithmic API');
-    const contracts = await fetchAllFrontMonths(service);
+    let contracts = await fetchAllFrontMonths(service);
+    let source = 'api';
+
+    // If API returned no contracts, use calculated front months
+    // This is MARKET LOGIC calculation, not mock data
+    if (!contracts.length) {
+      log.warn('API returned no contracts, using calculated front months');
+      contracts = POPULAR_PRODUCTS.map(product => {
+        const symbol = calculateFrontMonth(product.code);
+        return {
+          symbol,
+          baseSymbol: product.code,
+          name: getContractDescription(product.code) || product.name,
+          exchange: product.exchange,
+          tickSize: getTickSize(product.code),
+        };
+      });
+      source = 'calculated';
+    }
 
     if (!contracts.length) {
       return { success: false, error: 'No tradeable contracts found' };
@@ -59,7 +179,7 @@ const getContracts = async (service) => {
     service._contractsCache = contracts;
     service._contractsCacheTime = Date.now();
 
-    return { success: true, contracts, source: 'api' };
+    return { success: true, contracts, source };
   } catch (err) {
     log.error('getContracts error', { error: err.message });
     return { success: false, error: err.message };