hft-js 0.0.0 → 0.1.1

package/src/typedef.ts

@@ -0,0 +1,201 @@
+/*
+ * typedef.ts
+ *
+ * Copyright (c) 2025 Xiongfei Shi
+ *
+ * Author: Xiongfei Shi <xiongfei.shi(a)icloud.com>
+ * License: Apache-2.0
+ *
+ * https://github.com/shixiongfei/hft.js
+ */
+
+export type TapeSide = Readonly<{
+  price: number[];
+  volume: number[];
+}>;
+
+export type OrderBook = Readonly<{
+  asks: TapeSide;
+  bids: TapeSide;
+}>;
+
+export type PriceRange = Readonly<{
+  upper: number;
+  lower: number;
+}>;
+
+export type TickData = Readonly<{
+  symbol: string;
+  date: number;
+  time: number;
+  tradingDay: number;
+  preOpenInterest: number;
+  preClose: number;
+  openInterest: number;
+  openPrice: number;
+  highPrice: number;
+  lowPrice: number;
+  lastPrice: number;
+  volume: number;
+  amount: number;
+  limits: PriceRange;
+  bandings: PriceRange;
+  orderBook: OrderBook;
+}>;
+
+export type TapeType =
+  | "open"
+  | "close"
+  | "dual-open"
+  | "dual-close"
+  | "turnover"
+  | "no-deal";
+
+export type TapeDirection = "up" | "down" | "none";
+
+export type TapeStatus =
+  | "open-long"
+  | "open-short"
+  | "close-short"
+  | "close-long"
+  | "turnover-long"
+  | "turnover-short"
+  | "dual-open"
+  | "dual-close"
+  | "invalid";
+
+export type TapeData = Readonly<{
+  symbol: string;
+  date: number;
+  time: number;
+  volumeDelta: number;
+  interestDelta: number;
+  type: TapeType;
+  direction: TapeDirection;
+  status: TapeStatus;
+}>;
+
+export type PositionCell = Readonly<{
+  position: number;
+  frozen: number;
+}>;
+
+export type PositionSide = Readonly<{
+  long: PositionCell;
+  short: PositionCell;
+}>;
+
+export type PositionData = Readonly<{
+  symbol: string;
+  today: PositionSide;
+  history: PositionSide;
+  pending: { long: number; short: number };
+}>;
+
+export type SideType = "long" | "short";
+
+export type PositionDetail = Readonly<{
+  symbol: string;
+  date: number;
+  side: SideType;
+  price: number;
+  volume: number;
+  margin: number;
+}>;
+
+export type OffsetType = "open" | "close" | "close-today";
+
+export type OrderFlag = "limit" | "market";
+
+export type OrderStatus =
+  | "submitted"
+  | "partially-filled"
+  | "filled"
+  | "canceled"
+  | "rejected";
+
+export type TradeData = Readonly<{
+  id: string;
+  date: number;
+  time: number;
+  price: number;
+  volume: number;
+}>;
+
+export type OrderData = Readonly<{
+  id: string;
+  receiptId: string;
+  symbol: string;
+  date: number;
+  time: number;
+  flag: OrderFlag;
+  side: SideType;
+  offset: OffsetType;
+  price: number;
+  volume: number;
+  traded: number;
+  status: OrderStatus;
+  trades: TradeData[];
+  cancelTime?: number;
+}>;
+
+export type OrderStatistic = Readonly<{
+  symbol: string;
+  places: number;
+  entrusts: number;
+  trades: number;
+  cancels: number;
+  rejects: number;
+}>;
+
+export type RatioAmount = Readonly<{
+  ratio: number;
+  amount: number;
+}>;
+
+export type CommissionRate = Readonly<{
+  symbol: string;
+  open: RatioAmount;
+  close: RatioAmount;
+  closeToday: RatioAmount;
+}>;
+
+export type MarginRate = Readonly<{
+  symbol: string;
+  long: RatioAmount;
+  short: RatioAmount;
+}>;
+
+export type TradingAccount = Readonly<{
+  id: string;
+  currency: string;
+  preBalance: number;
+  balance: number;
+  cash: number;
+  margin: number;
+  commission: number;
+  frozenMargin: number;
+  frozenCash: number;
+  frozenCommission: number;
+}>;
+
+export type ProductType = "future" | "option";
+
+export type InstrumentData = Readonly<{
+  symbol: string;
+  id: string;
+  name: string;
+  exchangeId: string;
+  productId: string;
+  productType: ProductType;
+  deliveryTime: number;
+  createDate: number;
+  openDate: number;
+  expireDate: number;
+  multiple: number;
+  priceTick: number;
+  maxLimitOrderVolume: number;
+  minLimitOrderVolume: number;
+}>;
+
+export type Writeable<T> = { -readonly [P in keyof T]: Writeable<T[P]> };