hft-js 0.1.0 → 0.1.2

package/lib/utils.js

@@ -0,0 +1,106 @@
+"use strict";
+/*
+ * utils.ts
+ *
+ * Copyright (c) 2025 Xiongfei Shi
+ *
+ * Author: Xiongfei Shi <xiongfei.shi(a)icloud.com>
+ * License: Apache-2.0
+ *
+ * https://github.com/shixiongfei/hft.js
+ */
+var __assign = (this && this.__assign) || function () {
+    __assign = Object.assign || function(t) {
+        for (var s, i = 1, n = arguments.length; i < n; i++) {
+            s = arguments[i];
+            for (var p in s) if (Object.prototype.hasOwnProperty.call(s, p))
+                t[p] = s[p];
+        }
+        return t;
+    };
+    return __assign.apply(this, arguments);
+};
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.mergeBarData = exports.getBarVolume = exports.getBarSellVolume = exports.getBarBuyVolume = exports.parseSymbol = void 0;
+var parseSymbol = function (symbol) {
+    var _a = symbol.split("."), instrumentId = _a[0], exchangeId = _a[1];
+    return [instrumentId, exchangeId];
+};
+exports.parseSymbol = parseSymbol;
+var getBarBuyVolume = function (bar, price) { var _a; return (_a = bar.buyVolumes[price]) !== null && _a !== void 0 ? _a : 0; };
+exports.getBarBuyVolume = getBarBuyVolume;
+var getBarSellVolume = function (bar, price) { var _a; return (_a = bar.sellVolumes[price]) !== null && _a !== void 0 ? _a : 0; };
+exports.getBarSellVolume = getBarSellVolume;
+var getBarVolume = function (bar, price) {
+    return (0, exports.getBarBuyVolume)(bar, price) + (0, exports.getBarSellVolume)(bar, price);
+};
+exports.getBarVolume = getBarVolume;
+var mergeBarData = function (bars) {
+    var _a, _b;
+    if (bars.length === 0) {
+        throw new Error("Bars is empty");
+    }
+    if (bars.length === 1) {
+        return bars[1];
+    }
+    var bar = {
+        symbol: bars[0].symbol,
+        date: bars[0].date,
+        time: bars[0].time,
+        openInterest: bars[0].openInterest,
+        openPrice: bars[0].openPrice,
+        highPrice: bars[0].highPrice,
+        lowPrice: bars[0].lowPrice,
+        closePrice: bars[0].closePrice,
+        volume: bars[0].volume,
+        amount: bars[0].volume,
+        delta: bars[0].delta,
+        poc: bars[0].poc,
+        buyVolumes: __assign({}, bars[0].buyVolumes),
+        sellVolumes: __assign({}, bars[0].sellVolumes),
+    };
+    for (var i = 1; i < bars.length; ++i) {
+        var nextBar = bars[i];
+        bar.openInterest = nextBar.openInterest;
+        bar.closePrice = nextBar.closePrice;
+        bar.highPrice = Math.max(bar.highPrice, nextBar.highPrice);
+        bar.lowPrice = Math.min(bar.lowPrice, nextBar.lowPrice);
+        bar.volume += nextBar.volume;
+        bar.amount += nextBar.amount;
+        for (var price in nextBar.buyVolumes) {
+            var volumeDelta = nextBar.buyVolumes[price];
+            if (price in bar.buyVolumes) {
+                bar.buyVolumes[price] += volumeDelta;
+            }
+            else {
+                bar.buyVolumes[price] = volumeDelta;
+            }
+            bar.delta += volumeDelta;
+            var priceVP = bar.buyVolumes[price] + ((_a = bar.sellVolumes[price]) !== null && _a !== void 0 ? _a : 0);
+            var pocVP = (0, exports.getBarVolume)(bar, bar.poc);
+            if (priceVP > pocVP) {
+                bar.poc = parseFloat(price);
+            }
+        }
+        for (var price in nextBar.sellVolumes) {
+            var volumeDelta = nextBar.sellVolumes[price];
+            if (price in bar.sellVolumes) {
+                bar.sellVolumes[price] += volumeDelta;
+            }
+            else {
+                bar.sellVolumes[price] = volumeDelta;
+            }
+            bar.delta -= volumeDelta;
+            var priceVP = bar.sellVolumes[price] + ((_b = bar.buyVolumes[price]) !== null && _b !== void 0 ? _b : 0);
+            var pocVP = (0, exports.getBarVolume)(bar, bar.poc);
+            if (priceVP > pocVP) {
+                bar.poc = parseFloat(price);
+            }
+        }
+    }
+    Object.freeze(bar.buyVolumes);
+    Object.freeze(bar.sellVolumes);
+    return Object.freeze(bar);
+};
+exports.mergeBarData = mergeBarData;
+//# sourceMappingURL=utils.js.map

package/lib/utils.js.map

@@ -0,0 +1 @@
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package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "hft-js",
-  "version": "0.1.0",
+  "version": "0.1.2",
   "description": "High-Frequency Trading in Node.js",
   "main": "./lib/index.js",
   "types": "./lib/index.d.ts",

package/src/bar.ts

@@ -0,0 +1,133 @@
+/*
+ * bar.ts
+ *
+ * Copyright (c) 2025 Xiongfei Shi
+ *
+ * Author: Xiongfei Shi <xiongfei.shi(a)icloud.com>
+ * License: Apache-2.0
+ *
+ * https://github.com/shixiongfei/hft.js
+ */
+
+import { BarData, TapeData, TickData, Writeable } from "./typedef.js";
+import { IBarReceiver, ITickReceiver } from "./interfaces.js";
+import { getBarVolume } from "./utils.js";
+
+export type BarInfo = Writeable<BarData>;
+
+export class BarGenerator implements ITickReceiver {
+  private readonly receivers: IBarReceiver[];
+  private readonly symbol: string;
+  private bar?: BarInfo;
+
+  constructor(symbol: string) {
+    this.receivers = [];
+    this.symbol = symbol;
+  }
+
+  get isWorking() {
+    return this.receivers.length > 0;
+  }
+
+  addReceiver(receiver: IBarReceiver) {
+    if (!this.receivers.includes(receiver)) {
+      this.receivers.push(receiver);
+    }
+  }
+
+  removeReceiver(receiver: IBarReceiver) {
+    const index = this.receivers.indexOf(receiver);
+
+    if (index >= 0) {
+      this.receivers.splice(index, 1);
+    }
+  }
+
+  onTick(tick: TickData, tape: TapeData) {
+    if (tick.symbol !== this.symbol) {
+      return;
+    }
+
+    const date = tick.date;
+    const time = Math.floor(tick.time / 100) * 100;
+
+    if (this.bar && (this.bar.date !== date || this.bar.time !== time)) {
+      const bar = Object.freeze(this.bar);
+
+      Object.freeze(bar.buyVolumes);
+      Object.freeze(bar.sellVolumes);
+
+      this.receivers.forEach((receiver) => receiver.onBar(bar));
+      this.bar = undefined;
+    }
+
+    if (tape.volumeDelta === 0) {
+      return;
+    }
+
+    if (!this.bar) {
+      this.bar = this._createBar(date, time, tick);
+    }
+
+    this.bar.openInterest = tick.openInterest;
+    this.bar.closePrice = tick.lastPrice;
+
+    this.bar.highPrice = Math.max(this.bar.highPrice, tick.lastPrice);
+    this.bar.lowPrice = Math.min(this.bar.lowPrice, tick.lastPrice);
+
+    this.bar.volume += tape.volumeDelta;
+    this.bar.amount += tape.amountDelta;
+
+    switch (tape.direction) {
+      case "up":
+        if (tick.lastPrice in this.bar.buyVolumes) {
+          this.bar.buyVolumes[tick.lastPrice] += tape.volumeDelta;
+        } else {
+          this.bar.buyVolumes[tick.lastPrice] = tape.volumeDelta;
+        }
+
+        this.bar.delta += tape.volumeDelta;
+        break;
+
+      case "down":
+        if (tick.lastPrice in this.bar.sellVolumes) {
+          this.bar.sellVolumes[tick.lastPrice] += tape.volumeDelta;
+        } else {
+          this.bar.sellVolumes[tick.lastPrice] = tape.volumeDelta;
+        }
+
+        this.bar.delta -= tape.volumeDelta;
+        break;
+    }
+
+    if (tape.direction !== "none") {
+      const tickVP = getBarVolume(this.bar, tick.lastPrice);
+      const pocVP = getBarVolume(this.bar, this.bar.poc);
+
+      if (tickVP > pocVP) {
+        this.bar.poc = tick.lastPrice;
+      }
+    }
+  }
+
+  private _createBar(date: number, time: number, tick: TickData): BarInfo {
+    return {
+      symbol: this.symbol,
+      date: date,
+      time: time,
+      openInterest: tick.openInterest,
+      openPrice: tick.lastPrice,
+      highPrice: tick.lastPrice,
+      lowPrice: tick.lastPrice,
+      closePrice: tick.lastPrice,
+      volume: 0,
+      amount: 0,
+      delta: 0,
+      poc: tick.lastPrice,
+      buyVolumes: {},
+      sellVolumes: {},
+    };
+  }
+}
+
+export const createBarGenerator = (symbol: string) => new BarGenerator(symbol);

package/src/broker.ts

@@ -10,6 +10,7 @@
  */
 
 import { OffsetType, OrderData, OrderFlag, SideType } from "./typedef.js";
+import { BarGenerator, createBarGenerator } from "./bar.js";
 import {
   ICancelOrderResultReceiver,
   ErrorType,
@@ -32,6 +33,7 @@ import {
   IPlaceOrderResultReceiver,
   IPositionReceiver,
   IPositionDetailsReceiver,
+  IBarReceiver,
 } from "./interfaces.js";
 
 export class Broker implements IRuntimeEngine {
@@ -42,6 +44,7 @@ export class Broker implements IRuntimeEngine {
   private readonly strategies: IStrategy[] = [];
   private readonly placeOrderRiskManagers: IPlaceOrderRiskManager[] = [];
   private readonly cancelOrderRiskManagers: ICancelOrderRiskManager[] = [];
+  private readonly generators: Map<string, BarGenerator>;
 
   constructor(
     trader: ITraderProvider,
@@ -50,6 +53,7 @@ export class Broker implements IRuntimeEngine {
   ) {
     this.trader = trader;
     this.market = market;
+    this.generators = new Map();
 
     this.marketLifecycle = {
       onOpen: () => {
@@ -63,12 +67,14 @@ export class Broker implements IRuntimeEngine {
           });
         }
 
-        this.strategies.forEach((strategy) => strategy.onInit(this));
+        this.strategies.forEach((strategy) => strategy.onInit());
       },
+
       onClose: () => {
-        this.strategies.forEach((strategy) => strategy.onDestroy(this));
+        this.strategies.forEach((strategy) => strategy.onDestroy());
         this.market.stopRecorder();
       },
+
       onError: (error: ErrorType, message: string) => {
         if (errorReceiver) {
           errorReceiver.onError(error, message);
@@ -80,9 +86,11 @@ export class Broker implements IRuntimeEngine {
       onOpen: () => {
         this.market.open(this.marketLifecycle);
       },
+
       onClose: () => {
         this.market.close(this.marketLifecycle);
       },
+
       onError: (error: ErrorType, message: string) => {
         if (errorReceiver) {
           errorReceiver.onError(error, message);
@@ -137,6 +145,38 @@ export class Broker implements IRuntimeEngine {
     return this.market.unsubscribe(symbols, receiver);
   }
 
+  subscribeBar(symbols: string[], receiver: IBarReceiver) {
+    symbols.forEach((symbol) => {
+      let generator = this.generators.get(symbol);
+
+      if (!generator) {
+        generator = createBarGenerator(symbol);
+
+        this.generators.set(symbol, generator);
+        this.subscribe([symbol], generator);
+      }
+
+      generator.addReceiver(receiver);
+    });
+  }
+
+  unsubscribeBar(symbols: string[], receiver: IBarReceiver) {
+    symbols.forEach((symbol) => {
+      const generator = this.generators.get(symbol);
+
+      if (!generator) {
+        return;
+      }
+
+      generator.removeReceiver(receiver);
+
+      if (!generator.isWorking) {
+        this.unsubscribe([symbol], generator);
+        this.generators.delete(symbol);
+      }
+    });
+  }
+
   placeOrder(
     strategy: IStrategy,
     symbol: string,
@@ -205,6 +245,84 @@ export class Broker implements IRuntimeEngine {
     return this.trader.cancelOrder(order, receiver);
   }
 
+  buyOpen(
+    strategy: IStrategy,
+    symbol: string,
+    volume: number,
+    price: number,
+    receiver: IPlaceOrderResultReceiver,
+  ) {
+    return this.placeOrder(
+      strategy,
+      symbol,
+      "open",
+      "long",
+      volume,
+      price,
+      "limit",
+      receiver,
+    );
+  }
+
+  buyClose(
+    strategy: IStrategy,
+    symbol: string,
+    volume: number,
+    price: number,
+    isToday: boolean,
+    receiver: IPlaceOrderResultReceiver,
+  ) {
+    return this.placeOrder(
+      strategy,
+      symbol,
+      isToday ? "close-today" : "close",
+      "long",
+      volume,
+      price,
+      "limit",
+      receiver,
+    );
+  }
+
+  sellOpen(
+    strategy: IStrategy,
+    symbol: string,
+    volume: number,
+    price: number,
+    receiver: IPlaceOrderResultReceiver,
+  ) {
+    return this.placeOrder(
+      strategy,
+      symbol,
+      "open",
+      "short",
+      volume,
+      price,
+      "limit",
+      receiver,
+    );
+  }
+
+  sellClose(
+    strategy: IStrategy,
+    symbol: string,
+    volume: number,
+    price: number,
+    isToday: boolean,
+    receiver: IPlaceOrderResultReceiver,
+  ) {
+    return this.placeOrder(
+      strategy,
+      symbol,
+      isToday ? "close-today" : "close",
+      "short",
+      volume,
+      price,
+      "limit",
+      receiver,
+    );
+  }
+
   getTradingDay() {
     return this.trader.getTradingDay();
   }

package/src/index.test.ts

@@ -43,8 +43,9 @@ if (!existsFile(config.FlowMdPath)) {
   fs.mkdirSync(config.FlowMdPath, { recursive: true });
 }
 
-class Strategy implements hft.IStrategy, hft.ITickReceiver {
+class Strategy implements hft.IStrategy, hft.ITickReceiver, hft.IBarReceiver {
   private lastTick?: hft.TickData;
+  private lastBar?: hft.BarData;
   private engine: hft.IRuntimeEngine;
   readonly symbol = "ni2505.SHFE";
 
@@ -52,10 +53,11 @@ class Strategy implements hft.IStrategy, hft.ITickReceiver {
     this.engine = engine;
   }
 
-  onInit(subscriber: hft.ITickSubscriber) {
-    subscriber.subscribe([this.symbol], this);
-    console.log("Strategy init");
+  onInit() {
+    this.engine.subscribe([this.symbol], this);
+    this.engine.subscribeBar([this.symbol], this);
 
+    console.log("Strategy init");
     console.log("Trading Day", this.engine.getTradingDay());
 
     this.engine.queryInstrument(this.symbol, {
@@ -111,14 +113,15 @@ class Strategy implements hft.IStrategy, hft.ITickReceiver {
         return;
       }
 
-      this.engine.placeOrder(
+      if (this.lastBar) {
+        console.log(this.lastBar);
+      }
+
+      this.engine.buyOpen(
         this,
         this.symbol,
-        "open",
-        "long",
         1,
         this.lastTick.orderBook.asks.price[0],
-        "limit",
         {
           onPlaceOrderSent: (receiptId) => {
             console.log("Open Place Order Receipt Id", receiptId);
@@ -132,8 +135,9 @@ class Strategy implements hft.IStrategy, hft.ITickReceiver {
     }, 30 * 1000);
   }
 
-  onDestroy(unsubscriber: hft.ITickUnsubscriber) {
-    unsubscriber.unsubscribe([this.symbol], this);
+  onDestroy() {
+    this.engine.unsubscribeBar([this.symbol], this);
+    this.engine.unsubscribe([this.symbol], this);
     console.log("Strategy destroy");
   }
 
@@ -147,44 +151,44 @@ class Strategy implements hft.IStrategy, hft.ITickReceiver {
 
   onTrade(order: hft.OrderData, trade: hft.TradeData) {
     console.log("Order", order, "Traded", trade);
-  }
-
-  onFinish(order: hft.OrderData) {
-    console.log("Finish Order", order);
-
-    setTimeout(() => {
-      this.engine.queryPosition(this.symbol, {
-        onPosition: (position) => {
-          if (!position || !this.lastTick) {
-            return;
-          }
-
-          const todayLong =
-            position.today.long.position - position.today.long.frozen;
-
-          if (todayLong > 0) {
-            this.engine.placeOrder(
-              this,
-              this.symbol,
-              "close-today",
-              "short",
-              todayLong,
-              this.lastTick.orderBook.bids.price[0],
-              "limit",
-              {
-                onPlaceOrderSent: (receiptId) => {
-                  console.log("Close Place Order Receipt Id", receiptId);
-                },
 
-                onPlaceOrderError: (reason) => {
-                  console.error("Close Place Order Error", reason);
+    if (order.status === "filled") {
+      setTimeout(() => {
+        this.engine.queryPosition(this.symbol, {
+          onPosition: (position) => {
+            if (!position || !this.lastTick) {
+              return;
+            }
+
+            const todayLong =
+              position.today.long.position - position.today.long.frozen;
+
+            if (todayLong > 0) {
+              if (this.lastBar) {
+                console.log(this.lastBar);
+              }
+
+              this.engine.sellClose(
+                this,
+                this.symbol,
+                todayLong,
+                this.lastTick.orderBook.bids.price[0],
+                true,
+                {
+                  onPlaceOrderSent: (receiptId) => {
+                    console.log("Close Place Order Receipt Id", receiptId);
+                  },
+
+                  onPlaceOrderError: (reason) => {
+                    console.error("Close Place Order Error", reason);
+                  },
                 },
-              },
-            );
-          }
-        },
-      });
-    }, 30 * 1000);
+              );
+            }
+          },
+        });
+      }, 30 * 1000);
+    }
   }
 
   onCancel(order: hft.OrderData) {
@@ -195,14 +199,18 @@ class Strategy implements hft.IStrategy, hft.ITickReceiver {
     console.log("Reject Order", order);
   }
 
-  onTick(tick: hft.TickData) {
-    //const tape = hft.calcTapeData(tick, this.lastTick);
-
+  onTick(tick: hft.TickData, tape: hft.TapeData) {
     //console.log(tick);
     //console.log(tape);
 
     this.lastTick = tick;
   }
+
+  onBar(bar: hft.BarData) {
+    //console.log(bar)
+
+    this.lastBar = bar;
+  }
 }
 
 const trader = hft.createTrader(

package/src/index.ts

@@ -12,7 +12,7 @@
 export * from "./typedef.js";
 export * from "./interfaces.js";
 export * from "./broker.js";
-export * from "./tape.js";
 export * from "./trader.js";
 export * from "./market.js";
+export * from "./utils.js";
 export { CTPUserInfo } from "./provider.js";