hft-js 0.1.2 → 0.1.4

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 (20) hide show
  1. package/lib/bar.d.ts +1 -0
  2. package/lib/bar.js +26 -0
  3. package/lib/bar.js.map +1 -1
  4. package/lib/broker.d.ts +16 -0
  5. package/lib/broker.js +6 -0
  6. package/lib/broker.js.map +1 -1
  7. package/lib/index.test.js +1 -1
  8. package/lib/index.test.js.map +1 -1
  9. package/lib/interfaces.d.ts +7 -4
  10. package/lib/trader.d.ts +18 -0
  11. package/lib/trader.js +115 -60
  12. package/lib/trader.js.map +1 -1
  13. package/lib/typedef.d.ts +1 -1
  14. package/package.json +1 -1
  15. package/src/bar.ts +24 -0
  16. package/src/broker.ts +8 -0
  17. package/src/index.test.ts +1 -1
  18. package/src/interfaces.ts +11 -3
  19. package/src/trader.ts +139 -60
  20. package/src/typedef.ts +1 -1
package/lib/trader.js.map CHANGED
@@ -1 +1 @@
1
- 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1
+ 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package/lib/typedef.d.ts CHANGED
@@ -95,7 +95,7 @@ export type OrderStatistic = Readonly<{
95
95
  symbol: string;
96
96
  places: number;
97
97
  entrusts: number;
98
- trades: number;
98
+ filleds: number;
99
99
  cancels: number;
100
100
  rejects: number;
101
101
  }>;
package/package.json CHANGED
@@ -1,6 +1,6 @@
1
1
  {
2
2
  "name": "hft-js",
3
- "version": "0.1.2",
3
+ "version": "0.1.4",
4
4
  "description": "High-Frequency Trading in Node.js",
5
5
  "main": "./lib/index.js",
6
6
  "types": "./lib/index.d.ts",
package/src/bar.ts CHANGED
@@ -18,11 +18,13 @@ export type BarInfo = Writeable<BarData>;
18
18
  export class BarGenerator implements ITickReceiver {
19
19
  private readonly receivers: IBarReceiver[];
20
20
  private readonly symbol: string;
21
+ private shouldUpdate: number;
21
22
  private bar?: BarInfo;
22
23
 
23
24
  constructor(symbol: string) {
24
25
  this.receivers = [];
25
26
  this.symbol = symbol;
27
+ this.shouldUpdate = 0;
26
28
  }
27
29
 
28
30
  get isWorking() {
@@ -31,6 +33,10 @@ export class BarGenerator implements ITickReceiver {
31
33
 
32
34
  addReceiver(receiver: IBarReceiver) {
33
35
  if (!this.receivers.includes(receiver)) {
36
+ if (receiver.onUpdateBar) {
37
+ this.shouldUpdate += 1;
38
+ }
39
+
34
40
  this.receivers.push(receiver);
35
41
  }
36
42
  }
@@ -39,6 +45,10 @@ export class BarGenerator implements ITickReceiver {
39
45
  const index = this.receivers.indexOf(receiver);
40
46
 
41
47
  if (index >= 0) {
48
+ if (receiver.onUpdateBar) {
49
+ this.shouldUpdate -= 1;
50
+ }
51
+
42
52
  this.receivers.splice(index, 1);
43
53
  }
44
54
  }
@@ -108,6 +118,20 @@ export class BarGenerator implements ITickReceiver {
108
118
  this.bar.poc = tick.lastPrice;
109
119
  }
110
120
  }
121
+
122
+ if (this.shouldUpdate > 0) {
123
+ const bar: BarData = Object.freeze({
124
+ ...this.bar,
125
+ buyVolumes: Object.freeze({ ...this.bar.buyVolumes }),
126
+ sellVolumes: Object.freeze({ ...this.bar.sellVolumes }),
127
+ });
128
+
129
+ this.receivers.forEach((receiver) => {
130
+ if (receiver.onUpdateBar) {
131
+ receiver.onUpdateBar(bar, tick, tape);
132
+ }
133
+ });
134
+ }
111
135
  }
112
136
 
113
137
  private _createBar(date: number, time: number, tick: TickData): BarInfo {
package/src/broker.ts CHANGED
@@ -327,6 +327,14 @@ export class Broker implements IRuntimeEngine {
327
327
  return this.trader.getTradingDay();
328
328
  }
329
329
 
330
+ getOrderStatistics() {
331
+ return this.trader.getOrderStatistics();
332
+ }
333
+
334
+ getOrderStatistic(symbol: string) {
335
+ return this.trader.getOrderStatistic(symbol);
336
+ }
337
+
330
338
  queryCommissionRate(symbol: string, receiver: ICommissionRateReceiver) {
331
339
  return this.trader.queryCommissionRate(symbol, receiver);
332
340
  }
package/src/index.test.ts CHANGED
@@ -207,7 +207,7 @@ class Strategy implements hft.IStrategy, hft.ITickReceiver, hft.IBarReceiver {
207
207
  }
208
208
 
209
209
  onBar(bar: hft.BarData) {
210
- //console.log(bar)
210
+ console.log(bar);
211
211
 
212
212
  this.lastBar = bar;
213
213
  }
package/src/interfaces.ts CHANGED
@@ -17,6 +17,7 @@ import {
17
17
  OffsetType,
18
18
  OrderData,
19
19
  OrderFlag,
20
+ OrderStatistic,
20
21
  PositionData,
21
22
  PositionDetail,
22
23
  ProductType,
@@ -93,6 +94,7 @@ export interface ITickUnsubscriber {
93
94
 
94
95
  export interface IBarReceiver {
95
96
  onBar: (bar: BarData) => void;
97
+ onUpdateBar?: (bar: BarData, tick: TickData, tape: TapeData) => void;
96
98
  }
97
99
 
98
100
  export interface IBarSubscriber {
@@ -150,9 +152,12 @@ export interface IOrderEmitter {
150
152
  removeReceiver: (receiver: IOrderReceiver) => void;
151
153
  }
152
154
 
153
- export interface IQueryApi {
155
+ export interface IQueryProvider {
154
156
  getTradingDay: () => number;
155
157
 
158
+ getOrderStatistics: () => OrderStatistic[];
159
+ getOrderStatistic: (symbol: string) => OrderStatistic;
160
+
156
161
  queryCommissionRate: (
157
162
  symbol: string,
158
163
  receiver: ICommissionRateReceiver,
@@ -204,7 +209,10 @@ export type ICancelOrderResultReceiver = {
204
209
  onCancelOrderError: (reason: string) => void;
205
210
  };
206
211
 
207
- export interface ITraderProvider extends IProvider, IOrderEmitter, IQueryApi {
212
+ export interface ITraderProvider
213
+ extends IProvider,
214
+ IOrderEmitter,
215
+ IQueryProvider {
208
216
  placeOrder: (
209
217
  symbol: string,
210
218
  offset: OffsetType,
@@ -219,7 +227,7 @@ export interface ITraderProvider extends IProvider, IOrderEmitter, IQueryApi {
219
227
  }
220
228
 
221
229
  export interface IRuntimeEngine
222
- extends IQueryApi,
230
+ extends IQueryProvider,
223
231
  ITickSubscriber,
224
232
  ITickUnsubscriber,
225
233
  IBarSubscriber,