hft-js 0.1.1 → 0.1.2

package/lib/bar.d.ts

@@ -0,0 +1,15 @@
+import { BarData, TapeData, TickData, Writeable } from "./typedef.js";
+import { IBarReceiver, ITickReceiver } from "./interfaces.js";
+export type BarInfo = Writeable<BarData>;
+export declare class BarGenerator implements ITickReceiver {
+    private readonly receivers;
+    private readonly symbol;
+    private bar?;
+    constructor(symbol: string);
+    get isWorking(): boolean;
+    addReceiver(receiver: IBarReceiver): void;
+    removeReceiver(receiver: IBarReceiver): void;
+    onTick(tick: TickData, tape: TapeData): void;
+    private _createBar;
+}
+export declare const createBarGenerator: (symbol: string) => BarGenerator;

package/lib/bar.js

@@ -0,0 +1,114 @@
+"use strict";
+/*
+ * 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
+ */
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.createBarGenerator = exports.BarGenerator = void 0;
+var utils_js_1 = require("./utils.js");
+var BarGenerator = /** @class */ (function () {
+    function BarGenerator(symbol) {
+        this.receivers = [];
+        this.symbol = symbol;
+    }
+    Object.defineProperty(BarGenerator.prototype, "isWorking", {
+        get: function () {
+            return this.receivers.length > 0;
+        },
+        enumerable: false,
+        configurable: true
+    });
+    BarGenerator.prototype.addReceiver = function (receiver) {
+        if (!this.receivers.includes(receiver)) {
+            this.receivers.push(receiver);
+        }
+    };
+    BarGenerator.prototype.removeReceiver = function (receiver) {
+        var index = this.receivers.indexOf(receiver);
+        if (index >= 0) {
+            this.receivers.splice(index, 1);
+        }
+    };
+    BarGenerator.prototype.onTick = function (tick, tape) {
+        if (tick.symbol !== this.symbol) {
+            return;
+        }
+        var date = tick.date;
+        var time = Math.floor(tick.time / 100) * 100;
+        if (this.bar && (this.bar.date !== date || this.bar.time !== time)) {
+            var bar_1 = Object.freeze(this.bar);
+            Object.freeze(bar_1.buyVolumes);
+            Object.freeze(bar_1.sellVolumes);
+            this.receivers.forEach(function (receiver) { return receiver.onBar(bar_1); });
+            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") {
+            var tickVP = (0, utils_js_1.getBarVolume)(this.bar, tick.lastPrice);
+            var pocVP = (0, utils_js_1.getBarVolume)(this.bar, this.bar.poc);
+            if (tickVP > pocVP) {
+                this.bar.poc = tick.lastPrice;
+            }
+        }
+    };
+    BarGenerator.prototype._createBar = function (date, time, tick) {
+        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: {},
+        };
+    };
+    return BarGenerator;
+}());
+exports.BarGenerator = BarGenerator;
+var createBarGenerator = function (symbol) { return new BarGenerator(symbol); };
+exports.createBarGenerator = createBarGenerator;
+//# sourceMappingURL=bar.js.map

package/lib/bar.js.map

@@ -0,0 +1 @@
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package/lib/broker.d.ts

@@ -1,5 +1,5 @@
 import { OffsetType, OrderData, OrderFlag, SideType } from "./typedef.js";
-import { ICancelOrderResultReceiver, ICancelOrderRiskManager, ICommissionRateReceiver, IErrorReceiver, IInstrumentReceiver, IInstrumentsReceiver, IMarginRateReceiver, IMarketProvider, IOrdersReceiver, IPlaceOrderRiskManager, IPositionsReceiver, IRuntimeEngine, IStrategy, ITickReceiver, ITraderProvider, ITradingAccountsReceiver, IPlaceOrderResultReceiver, IPositionReceiver, IPositionDetailsReceiver } from "./interfaces.js";
+import { ICancelOrderResultReceiver, ICancelOrderRiskManager, ICommissionRateReceiver, IErrorReceiver, IInstrumentReceiver, IInstrumentsReceiver, IMarginRateReceiver, IMarketProvider, IOrdersReceiver, IPlaceOrderRiskManager, IPositionsReceiver, IRuntimeEngine, IStrategy, ITickReceiver, ITraderProvider, ITradingAccountsReceiver, IPlaceOrderResultReceiver, IPositionReceiver, IPositionDetailsReceiver, IBarReceiver } from "./interfaces.js";
 export declare class Broker implements IRuntimeEngine {
     private readonly trader;
     private readonly market;
@@ -8,6 +8,7 @@ export declare class Broker implements IRuntimeEngine {
     private readonly strategies;
     private readonly placeOrderRiskManagers;
     private readonly cancelOrderRiskManagers;
+    private readonly generators;
     constructor(trader: ITraderProvider, market: IMarketProvider, errorReceiver?: IErrorReceiver);
     start(): boolean;
     stop(): void;
@@ -17,6 +18,8 @@ export declare class Broker implements IRuntimeEngine {
     addCancelOrderRiskManager(riskMgr: ICancelOrderRiskManager): void;
     subscribe(symbols: string[], receiver: ITickReceiver): void;
     unsubscribe(symbols: string[], receiver: ITickReceiver): void;
+    subscribeBar(symbols: string[], receiver: IBarReceiver): void;
+    unsubscribeBar(symbols: string[], receiver: IBarReceiver): void;
     placeOrder(strategy: IStrategy, symbol: string, offset: OffsetType, side: SideType, volume: number, price: number, flag: OrderFlag, receiver: IPlaceOrderResultReceiver): void;
     cancelOrder(strategy: IStrategy, order: OrderData, receiver: ICancelOrderResultReceiver): void;
     buyOpen(strategy: IStrategy, symbol: string, volume: number, price: number, receiver: IPlaceOrderResultReceiver): void;

package/lib/broker.js

@@ -11,6 +11,7 @@
  */
 Object.defineProperty(exports, "__esModule", { value: true });
 exports.createBroker = exports.Broker = void 0;
+var bar_js_1 = require("./bar.js");
 var Broker = /** @class */ (function () {
     function Broker(trader, market, errorReceiver) {
         var _this = this;
@@ -19,6 +20,7 @@ var Broker = /** @class */ (function () {
         this.cancelOrderRiskManagers = [];
         this.trader = trader;
         this.market = market;
+        this.generators = new Map();
         this.marketLifecycle = {
             onOpen: function () {
                 if (_this.market.hasRecorder()) {
@@ -30,10 +32,10 @@ var Broker = /** @class */ (function () {
                         },
                     });
                 }
-                _this.strategies.forEach(function (strategy) { return strategy.onInit(_this); });
+                _this.strategies.forEach(function (strategy) { return strategy.onInit(); });
             },
             onClose: function () {
-                _this.strategies.forEach(function (strategy) { return strategy.onDestroy(_this); });
+                _this.strategies.forEach(function (strategy) { return strategy.onDestroy(); });
                 _this.market.stopRecorder();
             },
             onError: function (error, message) {
@@ -92,6 +94,32 @@ var Broker = /** @class */ (function () {
     Broker.prototype.unsubscribe = function (symbols, receiver) {
         return this.market.unsubscribe(symbols, receiver);
     };
+    Broker.prototype.subscribeBar = function (symbols, receiver) {
+        var _this = this;
+        symbols.forEach(function (symbol) {
+            var generator = _this.generators.get(symbol);
+            if (!generator) {
+                generator = (0, bar_js_1.createBarGenerator)(symbol);
+                _this.generators.set(symbol, generator);
+                _this.subscribe([symbol], generator);
+            }
+            generator.addReceiver(receiver);
+        });
+    };
+    Broker.prototype.unsubscribeBar = function (symbols, receiver) {
+        var _this = this;
+        symbols.forEach(function (symbol) {
+            var generator = _this.generators.get(symbol);
+            if (!generator) {
+                return;
+            }
+            generator.removeReceiver(receiver);
+            if (!generator.isWorking) {
+                _this.unsubscribe([symbol], generator);
+                _this.generators.delete(symbol);
+            }
+        });
+    };
     Broker.prototype.placeOrder = function (strategy, symbol, offset, side, volume, price, flag, receiver) {
         for (var _i = 0, _a = this.placeOrderRiskManagers; _i < _a.length; _i++) {
             var placeOrderRiskManager = _a[_i];

package/lib/broker.js.map

@@ -1 +1 @@
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package/lib/index.d.ts

@@ -1,7 +1,7 @@
 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";

package/lib/index.js

@@ -27,7 +27,7 @@ Object.defineProperty(exports, "__esModule", { value: true });
 __exportStar(require("./typedef.js"), exports);
 __exportStar(require("./interfaces.js"), exports);
 __exportStar(require("./broker.js"), exports);
-__exportStar(require("./tape.js"), exports);
 __exportStar(require("./trader.js"), exports);
 __exportStar(require("./market.js"), exports);
+__exportStar(require("./utils.js"), exports);
 //# sourceMappingURL=index.js.map

package/lib/index.js.map

@@ -1 +1 @@
-{"version":3,"file":"index.js","sourceRoot":"","sources":["../src/index.ts"],"names":[],"mappings":";AAAA;;;;;;;;;GASG;;;;;;;;;;;;;;;;AAEH,+CAA6B;AAC7B,kDAAgC;AAChC,8CAA4B;AAC5B,4CAA0B;AAC1B,8CAA4B;AAC5B,8CAA4B"}
+{"version":3,"file":"index.js","sourceRoot":"","sources":["../src/index.ts"],"names":[],"mappings":";AAAA;;;;;;;;;GASG;;;;;;;;;;;;;;;;AAEH,+CAA6B;AAC7B,kDAAgC;AAChC,8CAA4B;AAC5B,8CAA4B;AAC5B,8CAA4B;AAC5B,6CAA2B"}

package/lib/index.test.js

@@ -70,9 +70,10 @@ var Strategy = /** @class */ (function () {
         this.symbol = "ni2505.SHFE";
         this.engine = engine;
     }
-    Strategy.prototype.onInit = function (subscriber) {
+    Strategy.prototype.onInit = function () {
         var _this = this;
-        subscriber.subscribe([this.symbol], this);
+        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, {
@@ -119,6 +120,9 @@ var Strategy = /** @class */ (function () {
                 console.error("Market data is not found");
                 return;
             }
+            if (_this.lastBar) {
+                console.log(_this.lastBar);
+            }
             _this.engine.buyOpen(_this, _this.symbol, 1, _this.lastTick.orderBook.asks.price[0], {
                 onPlaceOrderSent: function (receiptId) {
                     console.log("Open Place Order Receipt Id", receiptId);
@@ -129,8 +133,9 @@ var Strategy = /** @class */ (function () {
             });
         }, 30 * 1000);
     };
-    Strategy.prototype.onDestroy = function (unsubscriber) {
-        unsubscriber.unsubscribe([this.symbol], this);
+    Strategy.prototype.onDestroy = function () {
+        this.engine.unsubscribeBar([this.symbol], this);
+        this.engine.unsubscribe([this.symbol], this);
         console.log("Strategy destroy");
     };
     Strategy.prototype.onRisk = function (type, reason) {
@@ -151,6 +156,9 @@ var Strategy = /** @class */ (function () {
                         }
                         var 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: function (receiptId) {
                                     console.log("Close Place Order Receipt Id", receiptId);
@@ -171,12 +179,15 @@ var Strategy = /** @class */ (function () {
     Strategy.prototype.onReject = function (order) {
         console.log("Reject Order", order);
     };
-    Strategy.prototype.onTick = function (tick) {
-        //const tape = hft.calcTapeData(tick, this.lastTick);
+    Strategy.prototype.onTick = function (tick, tape) {
         //console.log(tick);
         //console.log(tape);
         this.lastTick = tick;
     };
+    Strategy.prototype.onBar = function (bar) {
+        //console.log(bar)
+        this.lastBar = bar;
+    };
     return Strategy;
 }());
 var trader = hft.createTrader(config.FlowTdPath, config.FrontTdAddrs, config.UserInfo);

package/lib/index.test.js.map

@@ -1 +1 @@
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package/lib/interfaces.d.ts

@@ -1,4 +1,4 @@
-import { CommissionRate, InstrumentData, MarginRate, OffsetType, OrderData, OrderFlag, PositionData, PositionDetail, ProductType, SideType, TickData, TradeData, TradingAccount } from "./typedef.js";
+import { BarData, CommissionRate, InstrumentData, MarginRate, OffsetType, OrderData, OrderFlag, PositionData, PositionDetail, ProductType, SideType, TapeData, TickData, TradeData, TradingAccount } from "./typedef.js";
 export type RiskType = "place-order-risk" | "cancel-order-risk";
 export interface IPlaceOrderRiskManager {
     onPlaceOrder: (symbol: string, offset: OffsetType, side: SideType, volume: number, price: number, flag: OrderFlag) => boolean | string;
@@ -27,7 +27,7 @@ export interface IOrdersReceiver {
     onOrders: (orders: OrderData[]) => void;
 }
 export interface ITickReceiver {
-    onTick: (tick: TickData) => void;
+    onTick: (tick: TickData, tape: TapeData) => void;
 }
 export interface ITickSubscriber {
     subscribe: (symbols: string[], receiver: ITickReceiver) => void;
@@ -35,9 +35,18 @@ export interface ITickSubscriber {
 export interface ITickUnsubscriber {
     unsubscribe: (symbols: string[], receiver: ITickReceiver) => void;
 }
+export interface IBarReceiver {
+    onBar: (bar: BarData) => void;
+}
+export interface IBarSubscriber {
+    subscribeBar: (symbols: string[], receiver: IBarReceiver) => void;
+}
+export interface IBarUnsubscriber {
+    unsubscribeBar: (symbols: string[], receiver: IBarReceiver) => void;
+}
 export interface IStrategy extends IRiskManagerReceiver, IOrderReceiver {
-    onInit: (subscriber: ITickSubscriber) => void;
-    onDestroy: (unsubscriber: ITickUnsubscriber) => void;
+    onInit: () => void;
+    onDestroy: () => void;
 }
 export interface ICommissionRateReceiver {
     onCommissionRate: (rate: CommissionRate | undefined) => void;
@@ -105,7 +114,7 @@ export interface ITraderProvider extends IProvider, IOrderEmitter, IQueryApi {
     placeOrder: (symbol: string, offset: OffsetType, side: SideType, volume: number, price: number, flag: OrderFlag, receiver: IPlaceOrderResultReceiver) => void;
     cancelOrder: (order: OrderData, receiver: ICancelOrderResultReceiver) => void;
 }
-export interface IRuntimeEngine extends IQueryApi, ITickSubscriber, ITickUnsubscriber {
+export interface IRuntimeEngine extends IQueryApi, ITickSubscriber, ITickUnsubscriber, IBarSubscriber, IBarUnsubscriber {
     addStrategy: (strategy: IStrategy) => void;
     removeStrategy: (strategy: IStrategy) => void;
     addPlaceOrderRiskManager: (riskMgr: IPlaceOrderRiskManager) => void;

package/lib/market.d.ts

@@ -5,8 +5,10 @@ export declare class Market extends CTPProvider implements IMarketProvider {
     private marketApi?;
     private recorder?;
     private recorderSymbols?;
+    private tradingDay;
     private readonly recordings;
     private readonly symbols;
+    private readonly lastTicks;
     private readonly subscribers;
     constructor(flowMdPath: string, frontMdAddrs: string | string[], userInfo: CTPUserInfo);
     hasRecorder(): boolean;

package/lib/market.js

@@ -40,14 +40,18 @@ Object.defineProperty(exports, "__esModule", { value: true });
 exports.createMarket = exports.Market = void 0;
 var napi_ctp_1 = __importDefault(require("napi-ctp"));
 var provider_js_1 = require("./provider.js");
+var tape_js_1 = require("./tape.js");
+var utils_js_1 = require("./utils.js");
 var isValidPrice = function (x) { return x !== Number.MAX_VALUE && x !== 0; };
 var isValidVolume = function (x) { return x !== Number.MAX_VALUE && x !== 0; };
 var Market = /** @class */ (function (_super) {
     __extends(Market, _super);
     function Market(flowMdPath, frontMdAddrs, userInfo) {
         var _this = _super.call(this, flowMdPath, frontMdAddrs, userInfo) || this;
+        _this.tradingDay = 0;
         _this.recordings = new Set();
         _this.symbols = new Map();
+        _this.lastTicks = new Map();
         _this.subscribers = new Map();
         return _this;
     }
@@ -72,6 +76,11 @@ var Market = /** @class */ (function (_super) {
             if (_this._isErrorResp(lifecycle, options, "login-error")) {
                 return;
             }
+            var tradingDay = parseInt(_this.marketApi.getTradingDay());
+            if (_this.tradingDay !== tradingDay) {
+                _this.lastTicks.clear();
+                _this.tradingDay = tradingDay;
+            }
             var instrumentIds = new Set(__spreadArray(__spreadArray([], Array.from(_this.recordings), true), Object.keys(_this.subscribers), true));
             if (instrumentIds.size > 0) {
                 _this._withRetry(function () {
@@ -92,10 +101,6 @@ var Market = /** @class */ (function (_super) {
             if (!symbol) {
                 return;
             }
-            var receivers = _this.subscribers.get(instrumentId);
-            if (!receivers || receivers.length === 0) {
-                return;
-            }
             var orderBook = {
                 asks: { price: [], volume: [] },
                 bids: { price: [], volume: [] },
@@ -175,7 +180,13 @@ var Market = /** @class */ (function (_super) {
                 }),
                 orderBook: Object.freeze(orderBook),
             });
-            receivers.forEach(function (receiver) { return receiver.onTick(tick); });
+            var receivers = _this.subscribers.get(instrumentId);
+            if (receivers && receivers.length > 0) {
+                var lastTick = _this.lastTicks.get(instrumentId);
+                var tape_1 = (0, tape_js_1.calcTapeData)(tick, lastTick);
+                receivers.forEach(function (receiver) { return receiver.onTick(tick, tape_1); });
+            }
+            _this.lastTicks.set(instrumentId, tick);
         });
         return true;
     };
@@ -195,7 +206,7 @@ var Market = /** @class */ (function (_super) {
         var symbols = this.recorderSymbols(instrument);
         var instrumentIds = new Set();
         symbols.forEach(function (symbol) {
-            var instrumentId = _this._parseSymbol(symbol)[0];
+            var instrumentId = (0, utils_js_1.parseSymbol)(symbol)[0];
             if (_this.recordings.has(instrumentId)) {
                 return;
             }
@@ -230,7 +241,7 @@ var Market = /** @class */ (function (_super) {
         var _this = this;
         var instrumentIds = new Set();
         symbols.forEach(function (symbol) {
-            var instrumentId = _this._parseSymbol(symbol)[0];
+            var instrumentId = (0, utils_js_1.parseSymbol)(symbol)[0];
             var receivers = _this.subscribers.get(instrumentId);
             if (receivers) {
                 if (!receivers.includes(receiver)) {
@@ -253,7 +264,7 @@ var Market = /** @class */ (function (_super) {
         var _this = this;
         var instrumentIds = new Set();
         symbols.forEach(function (symbol) {
-            var instrumentId = _this._parseSymbol(symbol)[0];
+            var instrumentId = (0, utils_js_1.parseSymbol)(symbol)[0];
             var receivers = _this.subscribers.get(instrumentId);
             if (!receivers) {
                 return;

package/lib/market.js.map

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package/lib/provider.d.ts

@@ -16,7 +16,6 @@ export declare class CTPProvider {
     constructor(flowPath: string, frontAddrs: string | string[], userInfo: CTPUserInfo);
     private _sleep;
     protected _withRetry(request: () => number | undefined, ms?: number): Promise<number | undefined>;
-    protected _parseSymbol(symbol: string): [string, string];
     protected _isErrorResp(lifecycle: ILifecycleListener, options: ctp.CallbackOptions, error: ErrorType): boolean;
     protected _parseTime(time: string): number;
 }

package/lib/provider.js

@@ -86,10 +86,6 @@ var CTPProvider = /** @class */ (function () {
             });
         });
     };
-    CTPProvider.prototype._parseSymbol = function (symbol) {
-        var _a = symbol.split("."), instrumentId = _a[0], exchangeId = _a[1];
-        return [instrumentId, exchangeId];
-    };
     CTPProvider.prototype._isErrorResp = function (lifecycle, options, error) {
         if (!options.rspInfo) {
             return false;

package/lib/provider.js.map

@@ -1 +1 @@
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package/lib/tape.js

@@ -104,22 +104,22 @@ var calcTapeStatus = function (tapeType, tapeDirection) {
     return "invalid";
 };
 var calcTapeData = function (tick, preTick) {
-    var _a = preTick
-        ? [tick.volume - preTick.volume, tick.openInterest - preTick.openInterest]
-        : [tick.volume, tick.openInterest - tick.preOpenInterest], volumeDelta = _a[0], interestDelta = _a[1];
+    var volumeDelta = preTick ? tick.volume - preTick.volume : tick.volume;
+    var amountDelta = preTick ? tick.amount - preTick.amount : tick.amount;
+    var interestDelta = preTick
+        ? tick.openInterest - preTick.openInterest
+        : tick.openInterest - tick.preOpenInterest;
     var tapeType = calcTapeType(volumeDelta, interestDelta);
     var tapeDirection = calcTapeDirection(tick, preTick);
     var tapeStatus = calcTapeStatus(tapeType, tapeDirection);
-    return {
-        symbol: tick.symbol,
-        date: tick.date,
-        time: tick.time,
-        volumeDelta: volumeDelta,
-        interestDelta: interestDelta,
+    return Object.freeze({
         type: tapeType,
         direction: tapeDirection,
         status: tapeStatus,
-    };
+        interestDelta: interestDelta,
+        volumeDelta: volumeDelta,
+        amountDelta: amountDelta,
+    });
 };
 exports.calcTapeData = calcTapeData;
 //# sourceMappingURL=tape.js.map