hft-js 0.1.0 → 0.1.2

This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
Files changed (39) hide show
  1. package/lib/bar.d.ts +15 -0
  2. package/lib/bar.js +114 -0
  3. package/lib/bar.js.map +1 -0
  4. package/lib/broker.d.ts +8 -1
  5. package/lib/broker.js +42 -2
  6. package/lib/broker.js.map +1 -1
  7. package/lib/index.d.ts +1 -1
  8. package/lib/index.js +1 -1
  9. package/lib/index.js.map +1 -1
  10. package/lib/index.test.js +41 -31
  11. package/lib/index.test.js.map +1 -1
  12. package/lib/interfaces.d.ts +18 -6
  13. package/lib/market.d.ts +2 -0
  14. package/lib/market.js +19 -8
  15. package/lib/market.js.map +1 -1
  16. package/lib/provider.d.ts +0 -1
  17. package/lib/provider.js +0 -4
  18. package/lib/provider.js.map +1 -1
  19. package/lib/tape.js +10 -10
  20. package/lib/tape.js.map +1 -1
  21. package/lib/trader.d.ts +2 -2
  22. package/lib/trader.js +34 -32
  23. package/lib/trader.js.map +1 -1
  24. package/lib/typedef.d.ts +24 -7
  25. package/lib/utils.d.ts +6 -0
  26. package/lib/utils.js +106 -0
  27. package/lib/utils.js.map +1 -0
  28. package/package.json +1 -1
  29. package/src/bar.ts +133 -0
  30. package/src/broker.ts +120 -2
  31. package/src/index.test.ts +57 -49
  32. package/src/index.ts +1 -1
  33. package/src/interfaces.ts +54 -5
  34. package/src/market.ts +26 -10
  35. package/src/provider.ts +0 -5
  36. package/src/tape.ts +11 -10
  37. package/src/trader.ts +39 -46
  38. package/src/typedef.ts +25 -6
  39. package/src/utils.ts +110 -0
package/lib/market.js.map CHANGED
@@ -1 +1 @@
1
- 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1
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package/lib/provider.d.ts CHANGED
@@ -16,7 +16,6 @@ export declare class CTPProvider {
16
16
  constructor(flowPath: string, frontAddrs: string | string[], userInfo: CTPUserInfo);
17
17
  private _sleep;
18
18
  protected _withRetry(request: () => number | undefined, ms?: number): Promise<number | undefined>;
19
- protected _parseSymbol(symbol: string): [string, string];
20
19
  protected _isErrorResp(lifecycle: ILifecycleListener, options: ctp.CallbackOptions, error: ErrorType): boolean;
21
20
  protected _parseTime(time: string): number;
22
21
  }
package/lib/provider.js CHANGED
@@ -86,10 +86,6 @@ var CTPProvider = /** @class */ (function () {
86
86
  });
87
87
  });
88
88
  };
89
- CTPProvider.prototype._parseSymbol = function (symbol) {
90
- var _a = symbol.split("."), instrumentId = _a[0], exchangeId = _a[1];
91
- return [instrumentId, exchangeId];
92
- };
93
89
  CTPProvider.prototype._isErrorResp = function (lifecycle, options, error) {
94
90
  if (!options.rspInfo) {
95
91
  return false;
package/lib/provider.js.map CHANGED
@@ -1 +1 @@
1
- {"version":3,"file":"provider.js","sourceRoot":"","sources":["../src/provider.ts"],"names":[],"mappings":";AAAA;;;;;;;;;GASG;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;AAEH,sDAA2B;AAa3B;IAKE,qBACE,QAAgB,EAChB,UAA6B,EAC7B,QAAqB;QAErB,IAAI,CAAC,QAAQ,GAAG,QAAQ,CAAC;QACzB,IAAI,CAAC,UAAU,GAAG,UAAU,CAAC;QAC7B,IAAI,CAAC,QAAQ,GAAG,QAAQ,CAAC;IAC3B,CAAC;IAEO,4BAAM,GAAd,UAAe,EAAU;QACvB,OAAO,IAAI,OAAO,CAAO,UAAC,OAAO;YAC/B,UAAU,CAAC,OAAO,EAAE,EAAE,CAAC,CAAC;QAC1B,CAAC,CAAC,CAAC;IACL,CAAC;IAEe,gCAAU,GAA1B;4DAA2B,OAAiC,EAAE,EAAQ;;YAAR,mBAAA,EAAA,QAAQ;;;;wBAE5D,MAAM,GAAG,OAAO,EAAE,CAAC;wBAEzB,IAAI,MAAM,KAAK,CAAC,EAAE,CAAC;4BACjB,sBAAO,kBAAG,CAAC,gBAAgB,EAAE,EAAC;wBAChC,CAAC;wBAED,IAAI,CAAC,CAAC,KAAK,MAAM,IAAI,CAAC,CAAC,KAAK,MAAM,EAAE,CAAC;4BACnC,sBAAO,MAAM,EAAC;wBAChB,CAAC;wBAED,qBAAM,IAAI,CAAC,MAAM,CAAC,EAAE,CAAC,EAAA;;wBAArB,SAAqB,CAAC;;;;;;;KAEzB;IAES,kCAAY,GAAtB,UAAuB,MAAc;QAC7B,IAAA,KAA6B,MAAM,CAAC,KAAK,CAAC,GAAG,CAAC,EAA7C,YAAY,QAAA,EAAE,UAAU,QAAqB,CAAC;QACrD,OAAO,CAAC,YAAY,EAAE,UAAU,CAAC,CAAC;IACpC,CAAC;IAES,kCAAY,GAAtB,UACE,SAA6B,EAC7B,OAA4B,EAC5B,KAAgB;QAEhB,IAAI,CAAC,OAAO,CAAC,OAAO,EAAE,CAAC;YACrB,OAAO,KAAK,CAAC;QACf,CAAC;QAED,SAAS,CAAC,OAAO,CACf,KAAK,EACL,UAAG,OAAO,CAAC,OAAO,CAAC,OAAO,cAAI,OAAO,CAAC,OAAO,CAAC,QAAQ,CAAE,CACzD,CAAC;QAEF,OAAO,IAAI,CAAC;IACd,CAAC;IAES,gCAAU,GAApB,UAAqB,IAAY;QACzB,IAAA,KAAyB,IAAI,CAAC,KAAK,CAAC,GAAG,CAAC,CAAC,GAAG,CAAC,UAAC,CAAC,IAAK,OAAA,QAAQ,CAAC,CAAC,CAAC,EAAX,CAAW,CAAC,EAA/D,IAAI,QAAA,EAAE,MAAM,QAAA,EAAE,MAAM,QAA2C,CAAC;QACvE,OAAO,IAAI,GAAG,KAAK,GAAG,MAAM,GAAG,GAAG,GAAG,MAAM,CAAC;IAC9C,CAAC;IACH,kBAAC;AAAD,CAAC,AA/DD,IA+DC;AA/DY,kCAAW"}
1
+ {"version":3,"file":"provider.js","sourceRoot":"","sources":["../src/provider.ts"],"names":[],"mappings":";AAAA;;;;;;;;;GASG;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;AAEH,sDAA2B;AAa3B;IAKE,qBACE,QAAgB,EAChB,UAA6B,EAC7B,QAAqB;QAErB,IAAI,CAAC,QAAQ,GAAG,QAAQ,CAAC;QACzB,IAAI,CAAC,UAAU,GAAG,UAAU,CAAC;QAC7B,IAAI,CAAC,QAAQ,GAAG,QAAQ,CAAC;IAC3B,CAAC;IAEO,4BAAM,GAAd,UAAe,EAAU;QACvB,OAAO,IAAI,OAAO,CAAO,UAAC,OAAO;YAC/B,UAAU,CAAC,OAAO,EAAE,EAAE,CAAC,CAAC;QAC1B,CAAC,CAAC,CAAC;IACL,CAAC;IAEe,gCAAU,GAA1B;4DAA2B,OAAiC,EAAE,EAAQ;;YAAR,mBAAA,EAAA,QAAQ;;;;wBAE5D,MAAM,GAAG,OAAO,EAAE,CAAC;wBAEzB,IAAI,MAAM,KAAK,CAAC,EAAE,CAAC;4BACjB,sBAAO,kBAAG,CAAC,gBAAgB,EAAE,EAAC;wBAChC,CAAC;wBAED,IAAI,CAAC,CAAC,KAAK,MAAM,IAAI,CAAC,CAAC,KAAK,MAAM,EAAE,CAAC;4BACnC,sBAAO,MAAM,EAAC;wBAChB,CAAC;wBAED,qBAAM,IAAI,CAAC,MAAM,CAAC,EAAE,CAAC,EAAA;;wBAArB,SAAqB,CAAC;;;;;;;KAEzB;IAES,kCAAY,GAAtB,UACE,SAA6B,EAC7B,OAA4B,EAC5B,KAAgB;QAEhB,IAAI,CAAC,OAAO,CAAC,OAAO,EAAE,CAAC;YACrB,OAAO,KAAK,CAAC;QACf,CAAC;QAED,SAAS,CAAC,OAAO,CACf,KAAK,EACL,UAAG,OAAO,CAAC,OAAO,CAAC,OAAO,cAAI,OAAO,CAAC,OAAO,CAAC,QAAQ,CAAE,CACzD,CAAC;QAEF,OAAO,IAAI,CAAC;IACd,CAAC;IAES,gCAAU,GAApB,UAAqB,IAAY;QACzB,IAAA,KAAyB,IAAI,CAAC,KAAK,CAAC,GAAG,CAAC,CAAC,GAAG,CAAC,UAAC,CAAC,IAAK,OAAA,QAAQ,CAAC,CAAC,CAAC,EAAX,CAAW,CAAC,EAA/D,IAAI,QAAA,EAAE,MAAM,QAAA,EAAE,MAAM,QAA2C,CAAC;QACvE,OAAO,IAAI,GAAG,KAAK,GAAG,MAAM,GAAG,GAAG,GAAG,MAAM,CAAC;IAC9C,CAAC;IACH,kBAAC;AAAD,CAAC,AA1DD,IA0DC;AA1DY,kCAAW"}
package/lib/tape.js CHANGED
@@ -104,22 +104,22 @@ var calcTapeStatus = function (tapeType, tapeDirection) {
104
104
  return "invalid";
105
105
  };
106
106
  var calcTapeData = function (tick, preTick) {
107
- var _a = preTick
108
- ? [tick.volume - preTick.volume, tick.openInterest - preTick.openInterest]
109
- : [tick.volume, tick.openInterest - tick.preOpenInterest], volumeDelta = _a[0], interestDelta = _a[1];
107
+ var volumeDelta = preTick ? tick.volume - preTick.volume : tick.volume;
108
+ var amountDelta = preTick ? tick.amount - preTick.amount : tick.amount;
109
+ var interestDelta = preTick
110
+ ? tick.openInterest - preTick.openInterest
111
+ : tick.openInterest - tick.preOpenInterest;
110
112
  var tapeType = calcTapeType(volumeDelta, interestDelta);
111
113
  var tapeDirection = calcTapeDirection(tick, preTick);
112
114
  var tapeStatus = calcTapeStatus(tapeType, tapeDirection);
113
- return {
114
- symbol: tick.symbol,
115
- date: tick.date,
116
- time: tick.time,
117
- volumeDelta: volumeDelta,
118
- interestDelta: interestDelta,
115
+ return Object.freeze({
119
116
  type: tapeType,
120
117
  direction: tapeDirection,
121
118
  status: tapeStatus,
122
- };
119
+ interestDelta: interestDelta,
120
+ volumeDelta: volumeDelta,
121
+ amountDelta: amountDelta,
122
+ });
123
123
  };
124
124
  exports.calcTapeData = calcTapeData;
125
125
  //# sourceMappingURL=tape.js.map
package/lib/tape.js.map CHANGED
@@ -1 +1 @@
1
- {"version":3,"file":"tape.js","sourceRoot":"","sources":["../src/tape.ts"],"names":[],"mappings":";AAAA;;;;;;;;;GASG;;;AAUH,IAAM,YAAY,GAAG,UAAC,WAAmB,EAAE,aAAqB;IAC9D,IAAI,aAAa,GAAG,CAAC,EAAE,CAAC;QACtB,OAAO,WAAW,KAAK,aAAa,CAAC,CAAC,CAAC,WAAW,CAAC,CAAC,CAAC,MAAM,CAAC;IAC9D,CAAC;IAED,IAAI,aAAa,GAAG,CAAC,EAAE,CAAC;QACtB,OAAO,WAAW,GAAG,aAAa,KAAK,CAAC,CAAC,CAAC,CAAC,YAAY,CAAC,CAAC,CAAC,OAAO,CAAC;IACpE,CAAC;IAED,IAAI,WAAW,GAAG,CAAC,EAAE,CAAC;QACpB,OAAO,UAAU,CAAC;IACpB,CAAC;IAED,OAAO,SAAS,CAAC;AACnB,CAAC,CAAC;AAEF,IAAM,iBAAiB,GAAG,UACxB,IAAc,EACd,OAAkB;;IAElB,IAAM,SAAS,GAAG,IAAI,CAAC,SAAS,CAAC;IAEjC,IAAI,OAAO,EAAE,CAAC;QACZ,IAAM,YAAY,GAAG,MAAA,OAAO,CAAC,SAAS,CAAC,IAAI,CAAC,KAAK,CAAC,CAAC,CAAC,mCAAI,MAAM,CAAC,SAAS,CAAC;QAEzE,IAAI,SAAS,IAAI,YAAY,EAAE,CAAC;YAC9B,OAAO,IAAI,CAAC;QACd,CAAC;QAED,IAAM,YAAY,GAAG,MAAA,OAAO,CAAC,SAAS,CAAC,IAAI,CAAC,KAAK,CAAC,CAAC,CAAC,mCAAI,MAAM,CAAC,SAAS,CAAC;QAEzE,IAAI,SAAS,IAAI,YAAY,EAAE,CAAC;YAC9B,OAAO,MAAM,CAAC;QAChB,CAAC;QAED,IAAM,SAAS,GAAG,MAAA,IAAI,CAAC,SAAS,CAAC,IAAI,CAAC,KAAK,CAAC,CAAC,CAAC,mCAAI,MAAM,CAAC,SAAS,CAAC;QAEnE,IAAI,SAAS,IAAI,SAAS,EAAE,CAAC;YAC3B,OAAO,IAAI,CAAC;QACd,CAAC;QAED,IAAM,SAAS,GAAG,MAAA,IAAI,CAAC,SAAS,CAAC,IAAI,CAAC,KAAK,CAAC,CAAC,CAAC,mCAAI,MAAM,CAAC,SAAS,CAAC;QAEnE,IAAI,SAAS,IAAI,SAAS,EAAE,CAAC;YAC3B,OAAO,MAAM,CAAC;QAChB,CAAC;QAED,IAAM,QAAQ,GAAG,OAAO,CAAC,SAAS,CAAC;QAEnC,IAAI,SAAS,GAAG,QAAQ,EAAE,CAAC;YACzB,OAAO,IAAI,CAAC;QACd,CAAC;QAED,IAAI,SAAS,GAAG,QAAQ,EAAE,CAAC;YACzB,OAAO,MAAM,CAAC;QAChB,CAAC;QAED,IAAI,SAAS,IAAI,YAAY,EAAE,CAAC;YAC9B,OAAO,IAAI,CAAC;QACd,CAAC;QAED,IAAI,SAAS,IAAI,YAAY,EAAE,CAAC;YAC9B,OAAO,MAAM,CAAC;QAChB,CAAC;QAED,OAAO,MAAM,CAAC;IAChB,CAAC;SAAM,CAAC;QACN,IAAM,SAAS,GAAG,MAAA,IAAI,CAAC,SAAS,CAAC,IAAI,CAAC,KAAK,CAAC,CAAC,CAAC,mCAAI,MAAM,CAAC,SAAS,CAAC;QAEnE,IAAI,SAAS,IAAI,SAAS,EAAE,CAAC;YAC3B,OAAO,IAAI,CAAC;QACd,CAAC;QAED,IAAM,SAAS,GAAG,MAAA,IAAI,CAAC,SAAS,CAAC,IAAI,CAAC,KAAK,CAAC,CAAC,CAAC,mCAAI,MAAM,CAAC,SAAS,CAAC;QAEnE,IAAI,SAAS,IAAI,SAAS,EAAE,CAAC;YAC3B,OAAO,MAAM,CAAC;QAChB,CAAC;QAED,IAAI,SAAS,GAAG,IAAI,CAAC,QAAQ,EAAE,CAAC;YAC9B,OAAO,IAAI,CAAC;QACd,CAAC;QAED,IAAI,SAAS,GAAG,IAAI,CAAC,QAAQ,EAAE,CAAC;YAC9B,OAAO,MAAM,CAAC;QAChB,CAAC;QAED,OAAO,MAAM,CAAC;IAChB,CAAC;AACH,CAAC,CAAC;AAEF,IAAM,cAAc,GAAG,UACrB,QAAkB,EAClB,aAA4B;IAE5B,IAAI,QAAQ,KAAK,MAAM,IAAI,aAAa,KAAK,IAAI,EAAE,CAAC;QAClD,OAAO,WAAW,CAAC;IACrB,CAAC;IAED,IAAI,QAAQ,KAAK,MAAM,IAAI,aAAa,KAAK,MAAM,EAAE,CAAC;QACpD,OAAO,YAAY,CAAC;IACtB,CAAC;IAED,IAAI,QAAQ,KAAK,OAAO,IAAI,aAAa,KAAK,IAAI,EAAE,CAAC;QACnD,OAAO,aAAa,CAAC;IACvB,CAAC;IAED,IAAI,QAAQ,KAAK,OAAO,IAAI,aAAa,KAAK,MAAM,EAAE,CAAC;QACrD,OAAO,YAAY,CAAC;IACtB,CAAC;IAED,IAAI,QAAQ,KAAK,UAAU,IAAI,aAAa,KAAK,IAAI,EAAE,CAAC;QACtD,OAAO,eAAe,CAAC;IACzB,CAAC;IAED,IAAI,QAAQ,KAAK,UAAU,IAAI,aAAa,KAAK,MAAM,EAAE,CAAC;QACxD,OAAO,gBAAgB,CAAC;IAC1B,CAAC;IAED,IAAI,QAAQ,KAAK,WAAW,EAAE,CAAC;QAC7B,OAAO,WAAW,CAAC;IACrB,CAAC;IAED,IAAI,QAAQ,KAAK,YAAY,EAAE,CAAC;QAC9B,OAAO,YAAY,CAAC;IACtB,CAAC;IAED,OAAO,SAAS,CAAC;AACnB,CAAC,CAAC;AAEK,IAAM,YAAY,GAAG,UAAC,IAAc,EAAE,OAAkB;IACvD,IAAA,KAA+B,OAAO;QAC1C,CAAC,CAAC,CAAC,IAAI,CAAC,MAAM,GAAG,OAAO,CAAC,MAAM,EAAE,IAAI,CAAC,YAAY,GAAG,OAAO,CAAC,YAAY,CAAC;QAC1E,CAAC,CAAC,CAAC,IAAI,CAAC,MAAM,EAAE,IAAI,CAAC,YAAY,GAAG,IAAI,CAAC,eAAe,CAAC,EAFpD,WAAW,QAAA,EAAE,aAAa,QAE0B,CAAC;IAE5D,IAAM,QAAQ,GAAG,YAAY,CAAC,WAAW,EAAE,aAAa,CAAC,CAAC;IAC1D,IAAM,aAAa,GAAG,iBAAiB,CAAC,IAAI,EAAE,OAAO,CAAC,CAAC;IACvD,IAAM,UAAU,GAAG,cAAc,CAAC,QAAQ,EAAE,aAAa,CAAC,CAAC;IAE3D,OAAO;QACL,MAAM,EAAE,IAAI,CAAC,MAAM;QACnB,IAAI,EAAE,IAAI,CAAC,IAAI;QACf,IAAI,EAAE,IAAI,CAAC,IAAI;QACf,WAAW,EAAE,WAAW;QACxB,aAAa,EAAE,aAAa;QAC5B,IAAI,EAAE,QAAQ;QACd,SAAS,EAAE,aAAa;QACxB,MAAM,EAAE,UAAU;KACnB,CAAC;AACJ,CAAC,CAAC;AAnBW,QAAA,YAAY,gBAmBvB"}
1
+ {"version":3,"file":"tape.js","sourceRoot":"","sources":["../src/tape.ts"],"names":[],"mappings":";AAAA;;;;;;;;;GASG;;;AAUH,IAAM,YAAY,GAAG,UAAC,WAAmB,EAAE,aAAqB;IAC9D,IAAI,aAAa,GAAG,CAAC,EAAE,CAAC;QACtB,OAAO,WAAW,KAAK,aAAa,CAAC,CAAC,CAAC,WAAW,CAAC,CAAC,CAAC,MAAM,CAAC;IAC9D,CAAC;IAED,IAAI,aAAa,GAAG,CAAC,EAAE,CAAC;QACtB,OAAO,WAAW,GAAG,aAAa,KAAK,CAAC,CAAC,CAAC,CAAC,YAAY,CAAC,CAAC,CAAC,OAAO,CAAC;IACpE,CAAC;IAED,IAAI,WAAW,GAAG,CAAC,EAAE,CAAC;QACpB,OAAO,UAAU,CAAC;IACpB,CAAC;IAED,OAAO,SAAS,CAAC;AACnB,CAAC,CAAC;AAEF,IAAM,iBAAiB,GAAG,UACxB,IAAc,EACd,OAAkB;;IAElB,IAAM,SAAS,GAAG,IAAI,CAAC,SAAS,CAAC;IAEjC,IAAI,OAAO,EAAE,CAAC;QACZ,IAAM,YAAY,GAAG,MAAA,OAAO,CAAC,SAAS,CAAC,IAAI,CAAC,KAAK,CAAC,CAAC,CAAC,mCAAI,MAAM,CAAC,SAAS,CAAC;QAEzE,IAAI,SAAS,IAAI,YAAY,EAAE,CAAC;YAC9B,OAAO,IAAI,CAAC;QACd,CAAC;QAED,IAAM,YAAY,GAAG,MAAA,OAAO,CAAC,SAAS,CAAC,IAAI,CAAC,KAAK,CAAC,CAAC,CAAC,mCAAI,MAAM,CAAC,SAAS,CAAC;QAEzE,IAAI,SAAS,IAAI,YAAY,EAAE,CAAC;YAC9B,OAAO,MAAM,CAAC;QAChB,CAAC;QAED,IAAM,SAAS,GAAG,MAAA,IAAI,CAAC,SAAS,CAAC,IAAI,CAAC,KAAK,CAAC,CAAC,CAAC,mCAAI,MAAM,CAAC,SAAS,CAAC;QAEnE,IAAI,SAAS,IAAI,SAAS,EAAE,CAAC;YAC3B,OAAO,IAAI,CAAC;QACd,CAAC;QAED,IAAM,SAAS,GAAG,MAAA,IAAI,CAAC,SAAS,CAAC,IAAI,CAAC,KAAK,CAAC,CAAC,CAAC,mCAAI,MAAM,CAAC,SAAS,CAAC;QAEnE,IAAI,SAAS,IAAI,SAAS,EAAE,CAAC;YAC3B,OAAO,MAAM,CAAC;QAChB,CAAC;QAED,IAAM,QAAQ,GAAG,OAAO,CAAC,SAAS,CAAC;QAEnC,IAAI,SAAS,GAAG,QAAQ,EAAE,CAAC;YACzB,OAAO,IAAI,CAAC;QACd,CAAC;QAED,IAAI,SAAS,GAAG,QAAQ,EAAE,CAAC;YACzB,OAAO,MAAM,CAAC;QAChB,CAAC;QAED,IAAI,SAAS,IAAI,YAAY,EAAE,CAAC;YAC9B,OAAO,IAAI,CAAC;QACd,CAAC;QAED,IAAI,SAAS,IAAI,YAAY,EAAE,CAAC;YAC9B,OAAO,MAAM,CAAC;QAChB,CAAC;QAED,OAAO,MAAM,CAAC;IAChB,CAAC;SAAM,CAAC;QACN,IAAM,SAAS,GAAG,MAAA,IAAI,CAAC,SAAS,CAAC,IAAI,CAAC,KAAK,CAAC,CAAC,CAAC,mCAAI,MAAM,CAAC,SAAS,CAAC;QAEnE,IAAI,SAAS,IAAI,SAAS,EAAE,CAAC;YAC3B,OAAO,IAAI,CAAC;QACd,CAAC;QAED,IAAM,SAAS,GAAG,MAAA,IAAI,CAAC,SAAS,CAAC,IAAI,CAAC,KAAK,CAAC,CAAC,CAAC,mCAAI,MAAM,CAAC,SAAS,CAAC;QAEnE,IAAI,SAAS,IAAI,SAAS,EAAE,CAAC;YAC3B,OAAO,MAAM,CAAC;QAChB,CAAC;QAED,IAAI,SAAS,GAAG,IAAI,CAAC,QAAQ,EAAE,CAAC;YAC9B,OAAO,IAAI,CAAC;QACd,CAAC;QAED,IAAI,SAAS,GAAG,IAAI,CAAC,QAAQ,EAAE,CAAC;YAC9B,OAAO,MAAM,CAAC;QAChB,CAAC;QAED,OAAO,MAAM,CAAC;IAChB,CAAC;AACH,CAAC,CAAC;AAEF,IAAM,cAAc,GAAG,UACrB,QAAkB,EAClB,aAA4B;IAE5B,IAAI,QAAQ,KAAK,MAAM,IAAI,aAAa,KAAK,IAAI,EAAE,CAAC;QAClD,OAAO,WAAW,CAAC;IACrB,CAAC;IAED,IAAI,QAAQ,KAAK,MAAM,IAAI,aAAa,KAAK,MAAM,EAAE,CAAC;QACpD,OAAO,YAAY,CAAC;IACtB,CAAC;IAED,IAAI,QAAQ,KAAK,OAAO,IAAI,aAAa,KAAK,IAAI,EAAE,CAAC;QACnD,OAAO,aAAa,CAAC;IACvB,CAAC;IAED,IAAI,QAAQ,KAAK,OAAO,IAAI,aAAa,KAAK,MAAM,EAAE,CAAC;QACrD,OAAO,YAAY,CAAC;IACtB,CAAC;IAED,IAAI,QAAQ,KAAK,UAAU,IAAI,aAAa,KAAK,IAAI,EAAE,CAAC;QACtD,OAAO,eAAe,CAAC;IACzB,CAAC;IAED,IAAI,QAAQ,KAAK,UAAU,IAAI,aAAa,KAAK,MAAM,EAAE,CAAC;QACxD,OAAO,gBAAgB,CAAC;IAC1B,CAAC;IAED,IAAI,QAAQ,KAAK,WAAW,EAAE,CAAC;QAC7B,OAAO,WAAW,CAAC;IACrB,CAAC;IAED,IAAI,QAAQ,KAAK,YAAY,EAAE,CAAC;QAC9B,OAAO,YAAY,CAAC;IACtB,CAAC;IAED,OAAO,SAAS,CAAC;AACnB,CAAC,CAAC;AAEK,IAAM,YAAY,GAAG,UAAC,IAAc,EAAE,OAAkB;IAC7D,IAAM,WAAW,GAAG,OAAO,CAAC,CAAC,CAAC,IAAI,CAAC,MAAM,GAAG,OAAO,CAAC,MAAM,CAAC,CAAC,CAAC,IAAI,CAAC,MAAM,CAAC;IACzE,IAAM,WAAW,GAAG,OAAO,CAAC,CAAC,CAAC,IAAI,CAAC,MAAM,GAAG,OAAO,CAAC,MAAM,CAAC,CAAC,CAAC,IAAI,CAAC,MAAM,CAAC;IAEzE,IAAM,aAAa,GAAG,OAAO;QAC3B,CAAC,CAAC,IAAI,CAAC,YAAY,GAAG,OAAO,CAAC,YAAY;QAC1C,CAAC,CAAC,IAAI,CAAC,YAAY,GAAG,IAAI,CAAC,eAAe,CAAC;IAE7C,IAAM,QAAQ,GAAG,YAAY,CAAC,WAAW,EAAE,aAAa,CAAC,CAAC;IAC1D,IAAM,aAAa,GAAG,iBAAiB,CAAC,IAAI,EAAE,OAAO,CAAC,CAAC;IACvD,IAAM,UAAU,GAAG,cAAc,CAAC,QAAQ,EAAE,aAAa,CAAC,CAAC;IAE3D,OAAO,MAAM,CAAC,MAAM,CAAC;QACnB,IAAI,EAAE,QAAQ;QACd,SAAS,EAAE,aAAa;QACxB,MAAM,EAAE,UAAU;QAClB,aAAa,EAAE,aAAa;QAC5B,WAAW,EAAE,WAAW;QACxB,WAAW,EAAE,WAAW;KACzB,CAAC,CAAC;AACL,CAAC,CAAC;AApBW,QAAA,YAAY,gBAoBvB"}
package/lib/trader.d.ts CHANGED
@@ -10,10 +10,9 @@ export declare class Trader extends CTPProvider implements ITraderProvider {
10
10
  private accountsQueryTime;
11
11
  private positionDetailsChanged;
12
12
  private readonly receivers;
13
- private readonly instruments;
14
13
  private readonly accounts;
15
14
  private readonly positionDetails;
16
- private readonly symbols;
15
+ private readonly instruments;
17
16
  private readonly positions;
18
17
  private readonly orders;
19
18
  private readonly trades;
@@ -42,6 +41,7 @@ export declare class Trader extends CTPProvider implements ITraderProvider {
42
41
  queryOrders(receiver: IOrdersReceiver): void;
43
42
  placeOrder(symbol: string, offset: OffsetType, side: SideType, volume: number, price: number, flag: OrderFlag, receiver: IPlaceOrderResultReceiver): void;
44
43
  cancelOrder(order: OrderData, receiver: ICancelOrderResultReceiver): void;
44
+ private _toSymbol;
45
45
  private _calcOrderId;
46
46
  private _calcReceiptId;
47
47
  private _calcOrderStatus;
package/lib/trader.js CHANGED
@@ -43,6 +43,7 @@ exports.createTrader = exports.Trader = void 0;
43
43
  var denque_1 = __importDefault(require("denque"));
44
44
  var napi_ctp_1 = __importDefault(require("napi-ctp"));
45
45
  var provider_js_1 = require("./provider.js");
46
+ var utils_js_1 = require("./utils.js");
46
47
  var Trader = /** @class */ (function (_super) {
47
48
  __extends(Trader, _super);
48
49
  function Trader(flowTdPath, frontTdAddrs, userInfo) {
@@ -54,10 +55,9 @@ var Trader = /** @class */ (function (_super) {
54
55
  _this.accountsQueryTime = 0;
55
56
  _this.positionDetailsChanged = true;
56
57
  _this.receivers = [];
57
- _this.instruments = [];
58
58
  _this.accounts = [];
59
59
  _this.positionDetails = [];
60
- _this.symbols = new Map();
60
+ _this.instruments = new Map();
61
61
  _this.positions = new Map();
62
62
  _this.orders = new Map();
63
63
  _this.trades = new Map();
@@ -142,8 +142,7 @@ var Trader = /** @class */ (function (_super) {
142
142
  }
143
143
  }
144
144
  if (options.isLast) {
145
- _this.symbols.clear();
146
- _this.instruments.splice(0, _this.instruments.length);
145
+ _this.instruments.clear();
147
146
  _this._withRetry(function () { return _this.traderApi.reqQryInstrument(); });
148
147
  }
149
148
  });
@@ -154,8 +153,7 @@ var Trader = /** @class */ (function (_super) {
154
153
  if (instrument) {
155
154
  if (instrument.ProductClass === napi_ctp_1.default.ProductClassType.Futures ||
156
155
  instrument.ProductClass === napi_ctp_1.default.ProductClassType.Options) {
157
- _this.symbols.set(instrument.InstrumentID, "".concat(instrument.InstrumentID, ".").concat(instrument.ExchangeID));
158
- _this.instruments.push(instrument);
156
+ _this.instruments.set(instrument.InstrumentID, instrument);
159
157
  }
160
158
  }
161
159
  if (options.isLast) {
@@ -171,7 +169,7 @@ var Trader = /** @class */ (function (_super) {
171
169
  return;
172
170
  }
173
171
  if (position) {
174
- var symbol = _this.symbols.get(position.InstrumentID);
172
+ var symbol = _this._toSymbol(position.InstrumentID);
175
173
  if (symbol) {
176
174
  var posInfo = _this._ensurePositionInfo(symbol);
177
175
  var ExchangeSH = ["SHFE", "INE"];
@@ -240,7 +238,7 @@ var Trader = /** @class */ (function (_super) {
240
238
  case "submitted":
241
239
  {
242
240
  var orderData_1 = _this._toOrderData(order);
243
- var symbol = _this.symbols.get(order.InstrumentID);
241
+ var symbol = _this._toSymbol(order.InstrumentID);
244
242
  if (symbol) {
245
243
  if (orderData_1.offset === "open") {
246
244
  _this._recordPending(symbol, orderData_1.side, orderData_1.offset, orderData_1.volume);
@@ -255,7 +253,7 @@ var Trader = /** @class */ (function (_super) {
255
253
  case "canceled":
256
254
  {
257
255
  var orderData_2 = _this._toOrderData(order);
258
- var symbol = _this.symbols.get(order.InstrumentID);
256
+ var symbol = _this._toSymbol(order.InstrumentID);
259
257
  if (symbol) {
260
258
  if (orderData_2.offset === "open") {
261
259
  _this._recoverPending(symbol, orderData_2.side, orderData_2.offset, orderData_2.volume);
@@ -289,16 +287,13 @@ var Trader = /** @class */ (function (_super) {
289
287
  if (order) {
290
288
  var orderData_4 = _this._toOrderData(order);
291
289
  var tradeData_1 = _this._toTradeData(trade);
292
- var symbol = _this.symbols.get(order.InstrumentID);
290
+ var symbol = _this._toSymbol(order.InstrumentID);
293
291
  if (symbol) {
294
- _this._calcPosition(symbol, orderData_4.side, orderData_4.offset, orderData_4.volume);
292
+ _this._calcPosition(symbol, orderData_4.side, orderData_4.offset, tradeData_1.volume);
295
293
  }
296
294
  _this.receivers.forEach(function (receiver) {
297
295
  return receiver.onTrade(orderData_4, tradeData_1);
298
296
  });
299
- if (orderData_4.status === "filled") {
300
- _this.receivers.forEach(function (receiver) { return receiver.onFinish(orderData_4); });
301
- }
302
297
  }
303
298
  });
304
299
  this.traderApi.on(napi_ctp_1.default.TraderEvent.RspQryInstrumentMarginRate, function (marginRate, options) {
@@ -420,7 +415,7 @@ var Trader = /** @class */ (function (_super) {
420
415
  };
421
416
  Trader.prototype.queryCommissionRate = function (symbol, receiver) {
422
417
  var _this = this;
423
- var instrumentId = this._parseSymbol(symbol)[0];
418
+ var instrumentId = (0, utils_js_1.parseSymbol)(symbol)[0];
424
419
  var commRate = this.commRates.get(instrumentId);
425
420
  if (commRate) {
426
421
  receiver.onCommissionRate(this._toCommissionRate(symbol, commRate));
@@ -436,7 +431,7 @@ var Trader = /** @class */ (function (_super) {
436
431
  };
437
432
  Trader.prototype.queryMarginRate = function (symbol, receiver) {
438
433
  var _this = this;
439
- var instrumentId = this._parseSymbol(symbol)[0];
434
+ var instrumentId = (0, utils_js_1.parseSymbol)(symbol)[0];
440
435
  var marginRate = this.marginRates.get(instrumentId);
441
436
  if (marginRate) {
442
437
  receiver.onMarginRate(this._toMarginRate(symbol, marginRate));
@@ -451,12 +446,11 @@ var Trader = /** @class */ (function (_super) {
451
446
  }
452
447
  };
453
448
  Trader.prototype.queryInstrument = function (symbol, receiver) {
454
- var _a = this._parseSymbol(symbol), instrumentId = _a[0], exchangeId = _a[1];
455
- var instrument = this.instruments.find(function (instrument) {
456
- return instrument.InstrumentID === instrumentId &&
457
- instrument.ExchangeID === exchangeId;
458
- });
459
- receiver.onInstrument(instrument ? this._toInstrumentData(instrument) : undefined);
449
+ var _a = (0, utils_js_1.parseSymbol)(symbol), instrumentId = _a[0], exchangeId = _a[1];
450
+ var instrument = this.instruments.get(instrumentId);
451
+ receiver.onInstrument(instrument && instrument.ExchangeID === exchangeId
452
+ ? this._toInstrumentData(instrument)
453
+ : undefined);
460
454
  };
461
455
  Trader.prototype.queryPosition = function (symbol, receiver) {
462
456
  var position = this.positions.get(symbol);
@@ -464,8 +458,8 @@ var Trader = /** @class */ (function (_super) {
464
458
  receiver.onPosition(this._toPositionData(position));
465
459
  return;
466
460
  }
467
- var instrumentId = this._parseSymbol(symbol)[0];
468
- if (!this.symbols.has(instrumentId)) {
461
+ var instrumentId = (0, utils_js_1.parseSymbol)(symbol)[0];
462
+ if (!this.instruments.has(instrumentId)) {
469
463
  receiver.onPosition(undefined);
470
464
  return;
471
465
  }
@@ -483,23 +477,24 @@ var Trader = /** @class */ (function (_super) {
483
477
  }));
484
478
  };
485
479
  Trader.prototype.queryInstruments = function (receiver, type) {
480
+ var instruments = Array.from(this.instruments.values());
486
481
  switch (type) {
487
482
  case "future":
488
- receiver.onInstruments(this.instruments
483
+ receiver.onInstruments(instruments
489
484
  .filter(function (instrument) {
490
485
  return instrument.ProductClass === napi_ctp_1.default.ProductClassType.Futures;
491
486
  })
492
487
  .map(this._toInstrumentData, this));
493
488
  break;
494
489
  case "option":
495
- receiver.onInstruments(this.instruments
490
+ receiver.onInstruments(instruments
496
491
  .filter(function (instrument) {
497
492
  return instrument.ProductClass === napi_ctp_1.default.ProductClassType.Options;
498
493
  })
499
494
  .map(this._toInstrumentData, this));
500
495
  break;
501
496
  default:
502
- receiver.onInstruments(this.instruments.map(this._toInstrumentData, this));
497
+ receiver.onInstruments(instruments.map(this._toInstrumentData, this));
503
498
  break;
504
499
  }
505
500
  };
@@ -554,8 +549,8 @@ var Trader = /** @class */ (function (_super) {
554
549
  receiver.onPlaceOrderError("Only Supports Limit Order");
555
550
  return;
556
551
  }
557
- var instrumentId = this._parseSymbol(symbol)[0];
558
- var instrument = this.instruments.find(function (instrument) { return instrument.InstrumentID === instrumentId; });
552
+ var instrumentId = (0, utils_js_1.parseSymbol)(symbol)[0];
553
+ var instrument = this.instruments.get(instrumentId);
559
554
  if (!instrument) {
560
555
  receiver.onPlaceOrderError("Instrument Not Found");
561
556
  return;
@@ -607,6 +602,13 @@ var Trader = /** @class */ (function (_super) {
607
602
  receiver.onCancelOrderSent();
608
603
  });
609
604
  };
605
+ Trader.prototype._toSymbol = function (instrumentId) {
606
+ var instrument = this.instruments.get(instrumentId);
607
+ if (!instrument) {
608
+ return undefined;
609
+ }
610
+ return "".concat(instrument.InstrumentID, ".").concat(instrument.ExchangeID);
611
+ };
610
612
  Trader.prototype._calcOrderId = function (orderOrTrade) {
611
613
  var ExchangeID = orderOrTrade.ExchangeID, TraderID = orderOrTrade.TraderID, OrderLocalID = orderOrTrade.OrderLocalID;
612
614
  return "".concat(ExchangeID, ":").concat(TraderID, ":").concat(OrderLocalID);
@@ -1040,7 +1042,7 @@ var Trader = /** @class */ (function (_super) {
1040
1042
  };
1041
1043
  Trader.prototype._toPositionDetail = function (positionDetail) {
1042
1044
  return Object.freeze({
1043
- symbol: this.symbols.get(positionDetail.InstrumentID),
1045
+ symbol: this._toSymbol(positionDetail.InstrumentID),
1044
1046
  date: parseInt(positionDetail.OpenDate),
1045
1047
  side: this._calcSideType(positionDetail.Direction),
1046
1048
  price: positionDetail.OpenPrice,
@@ -1066,7 +1068,7 @@ var Trader = /** @class */ (function (_super) {
1066
1068
  var _this = this;
1067
1069
  var _loop_1 = function () {
1068
1070
  var nextQuery = this_1.marginRatesQueue.peekFront();
1069
- var instrumentId = this_1._parseSymbol(nextQuery.symbol)[0];
1071
+ var instrumentId = (0, utils_js_1.parseSymbol)(nextQuery.symbol)[0];
1070
1072
  var marginRate = this_1.marginRates.get(instrumentId);
1071
1073
  if (marginRate) {
1072
1074
  nextQuery.receiver.onMarginRate(this_1._toMarginRate(nextQuery.symbol, marginRate));
@@ -1087,7 +1089,7 @@ var Trader = /** @class */ (function (_super) {
1087
1089
  var _this = this;
1088
1090
  var _loop_2 = function () {
1089
1091
  var nextQuery = this_2.commRatesQueue.peekFront();
1090
- var instrumentId = this_2._parseSymbol(nextQuery.symbol)[0];
1092
+ var instrumentId = (0, utils_js_1.parseSymbol)(nextQuery.symbol)[0];
1091
1093
  var commRate = this_2.commRates.get(instrumentId);
1092
1094
  if (commRate) {
1093
1095
  nextQuery.receiver.onCommissionRate(this_2._toCommissionRate(nextQuery.symbol, commRate));
package/lib/trader.js.map CHANGED
@@ -1 +1 @@
1
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1
+ 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package/lib/typedef.d.ts CHANGED
@@ -32,14 +32,12 @@ export type TapeType = "open" | "close" | "dual-open" | "dual-close" | "turnover
32
32
  export type TapeDirection = "up" | "down" | "none";
33
33
  export type TapeStatus = "open-long" | "open-short" | "close-short" | "close-long" | "turnover-long" | "turnover-short" | "dual-open" | "dual-close" | "invalid";
34
34
  export type TapeData = Readonly<{
35
- symbol: string;
36
- date: number;
37
- time: number;
38
- volumeDelta: number;
39
- interestDelta: number;
40
35
  type: TapeType;
41
36
  direction: TapeDirection;
42
37
  status: TapeStatus;
38
+ interestDelta: number;
39
+ volumeDelta: number;
40
+ amountDelta: number;
43
41
  }>;
44
42
  export type PositionCell = Readonly<{
45
43
  position: number;
@@ -53,10 +51,10 @@ export type PositionData = Readonly<{
53
51
  symbol: string;
54
52
  today: PositionSide;
55
53
  history: PositionSide;
56
- pending: {
54
+ pending: Readonly<{
57
55
  long: number;
58
56
  short: number;
59
- };
57
+ }>;
60
58
  }>;
61
59
  export type SideType = "long" | "short";
62
60
  export type PositionDetail = Readonly<{
@@ -145,6 +143,25 @@ export type InstrumentData = Readonly<{
145
143
  maxLimitOrderVolume: number;
146
144
  minLimitOrderVolume: number;
147
145
  }>;
146
+ export type PriceVolume = Readonly<{
147
+ [price: number]: number;
148
+ }>;
149
+ export type BarData = Readonly<{
150
+ symbol: string;
151
+ date: number;
152
+ time: number;
153
+ openInterest: number;
154
+ openPrice: number;
155
+ highPrice: number;
156
+ lowPrice: number;
157
+ closePrice: number;
158
+ volume: number;
159
+ amount: number;
160
+ delta: number;
161
+ poc: number;
162
+ buyVolumes: PriceVolume;
163
+ sellVolumes: PriceVolume;
164
+ }>;
148
165
  export type Writeable<T> = {
149
166
  -readonly [P in keyof T]: Writeable<T[P]>;
150
167
  };
package/lib/utils.d.ts ADDED
@@ -0,0 +1,6 @@
1
+ import { BarData } from "./typedef.js";
2
+ export declare const parseSymbol: (symbol: string) => [string, string];
3
+ export declare const getBarBuyVolume: (bar: BarData, price: number) => number;
4
+ export declare const getBarSellVolume: (bar: BarData, price: number) => number;
5
+ export declare const getBarVolume: (bar: BarData, price: number) => number;
6
+ export declare const mergeBarData: (bars: BarData[]) => BarData;