hft-js 0.1.2 → 0.1.4

package/src/trader.ts

@@ -20,6 +20,7 @@ import {
   OffsetType,
   OrderData,
   OrderFlag,
+  OrderStatistic,
   OrderStatus,
   PositionData,
   PositionDetail,
@@ -54,6 +55,7 @@ type CommissionRateQuery = {
 };
 
 type PositionInfo = Writeable<PositionData>;
+type OrderStat = Writeable<OrderStatistic>;
 
 export class Trader extends CTPProvider implements ITraderProvider {
   private traderApi?: ctp.Trader;
@@ -74,6 +76,7 @@ export class Trader extends CTPProvider implements ITraderProvider {
   private readonly commRates: Map<string, ctp.InstrumentCommissionRateField>;
   private readonly placeOrders: Map<number, IPlaceOrderResultReceiver>;
   private readonly cancelOrders: Map<number, ICancelOrderResultReceiver>;
+  private readonly orderStatistics: Map<string, OrderStat>;
   private readonly marginRatesQueue: Denque<MarginRateQuery>;
   private readonly commRatesQueue: Denque<CommissionRateQuery>;
   private readonly accountsQueue: Denque<ITradingAccountsReceiver>;
@@ -102,6 +105,7 @@ export class Trader extends CTPProvider implements ITraderProvider {
     this.commRates = new Map();
     this.placeOrders = new Map();
     this.cancelOrders = new Map();
+    this.orderStatistics = new Map();
     this.marginRatesQueue = new Denque();
     this.commRatesQueue = new Denque();
     this.accountsQueue = new Denque();
@@ -151,6 +155,7 @@ export class Trader extends CTPProvider implements ITraderProvider {
         if (this.tradingDay !== tradingDay) {
           this.marginRates.clear();
           this.commRates.clear();
+          this.orderStatistics.clear();
           this.tradingDay = tradingDay;
         }
 
@@ -349,12 +354,28 @@ export class Trader extends CTPProvider implements ITraderProvider {
                   orderData.volume,
                 );
               }
+
+              const statistic = this._ensureOrderStatistic(symbol);
+
+              statistic.entrusts += 1;
             }
 
             this.receivers.forEach((receiver) => receiver.onEntrust(orderData));
           }
           break;
 
+        case "filled":
+          {
+            const symbol = this._toSymbol(order.InstrumentID);
+
+            if (symbol) {
+              const statistic = this._ensureOrderStatistic(symbol);
+
+              statistic.filleds += 1;
+            }
+          }
+          break;
+
         case "canceled":
           {
             const orderData = this._toOrderData(order);
@@ -376,6 +397,10 @@ export class Trader extends CTPProvider implements ITraderProvider {
                   orderData.volume,
                 );
               }
+
+              const statistic = this._ensureOrderStatistic(symbol);
+
+              statistic.cancels += 1;
             }
 
             this.receivers.forEach((receiver) => receiver.onCancel(orderData));
@@ -385,6 +410,14 @@ export class Trader extends CTPProvider implements ITraderProvider {
         case "rejected":
           {
             const orderData = this._toOrderData(order);
+            const symbol = this._toSymbol(order.InstrumentID);
+
+            if (symbol) {
+              const statistic = this._ensureOrderStatistic(symbol);
+
+              statistic.rejects += 1;
+            }
+
             this.receivers.forEach((receiver) => receiver.onReject(orderData));
           }
           break;
@@ -534,6 +567,7 @@ export class Trader extends CTPProvider implements ITraderProvider {
         if (options.isLast) {
           const positionDetails = this.positionDetails.map(
             this._toPositionDetail,
+            this,
           );
           const receivers = this.positionDetailsQueue.toArray();
 
@@ -615,6 +649,28 @@ export class Trader extends CTPProvider implements ITraderProvider {
     return this.tradingDay;
   }
 
+  getOrderStatistics() {
+    const statistics = Array.from(this.orderStatistics.values());
+    return statistics.map((stat) => Object.freeze({ ...stat }));
+  }
+
+  getOrderStatistic(symbol: string) {
+    const statistic = this.orderStatistics.get(symbol);
+
+    if (!statistic) {
+      return Object.freeze({
+        symbol: symbol,
+        places: 0,
+        entrusts: 0,
+        filleds: 0,
+        cancels: 0,
+        rejects: 0,
+      });
+    }
+
+    return Object.freeze({ ...statistic });
+  }
+
   queryCommissionRate(symbol: string, receiver: ICommissionRateReceiver) {
     const [instrumentId] = parseSymbol(symbol);
     const commRate = this.commRates.get(instrumentId);
@@ -850,6 +906,10 @@ export class Trader extends CTPProvider implements ITraderProvider {
         return;
       }
 
+      const statistic = this._ensureOrderStatistic(symbol);
+
+      statistic.places += 1;
+
       this.placeOrders.set(requestId, receiver);
 
       const receiptId = `${this.frontId}:${this.sessionId}:${orderRef}`;
@@ -1018,7 +1078,7 @@ export class Trader extends CTPProvider implements ITraderProvider {
     }
   }
 
-  private _ensurePositionInfo(symbol: string) {
+  private _ensurePositionInfo(symbol: string): PositionInfo {
     let position = this.positions.get(symbol);
 
     if (!position) {
@@ -1041,6 +1101,25 @@ export class Trader extends CTPProvider implements ITraderProvider {
     return position;
   }
 
+  private _ensureOrderStatistic(symbol: string): OrderStat {
+    let statistic = this.orderStatistics.get(symbol);
+
+    if (!statistic) {
+      statistic = {
+        symbol: symbol,
+        places: 0,
+        entrusts: 0,
+        filleds: 0,
+        cancels: 0,
+        rejects: 0,
+      };
+
+      this.orderStatistics.set(symbol, statistic);
+    }
+
+    return statistic;
+  }
+
   private _calcPosition(
     symbol: string,
     side: SideType,
@@ -1055,7 +1134,7 @@ export class Trader extends CTPProvider implements ITraderProvider {
           case "long":
             position.today.long.position += volume;
 
-            if (position.pending.long > volume) {
+            if (position.pending.long >= volume) {
               position.pending.long -= volume;
             } else {
               position.pending.long = 0;
@@ -1065,7 +1144,7 @@ export class Trader extends CTPProvider implements ITraderProvider {
           case "short":
             position.today.short.position += volume;
 
-            if (position.pending.short > volume) {
+            if (position.pending.short >= volume) {
               position.pending.short -= volume;
             } else {
               position.pending.short = 0;
@@ -1077,65 +1156,65 @@ export class Trader extends CTPProvider implements ITraderProvider {
       case "close":
         switch (side) {
           case "long":
-            if (position.history.long.position > volume) {
-              position.history.long.position -= volume;
+            if (position.history.short.position >= volume) {
+              position.history.short.position -= volume;
             } else {
-              const rest = volume - position.history.long.position;
-              position.history.long.position -= position.history.long.position;
+              const rest = volume - position.history.short.position;
+              position.history.short.position -=
+                position.history.short.position;
 
               if (rest > 0) {
-                if (position.today.long.position > rest) {
-                  position.today.long.position -= rest;
+                if (position.today.short.position >= rest) {
+                  position.today.short.position -= rest;
                 } else {
-                  position.today.long.position = 0;
+                  position.today.short.position = 0;
                 }
               }
             }
 
-            if (position.history.long.frozen > volume) {
-              position.history.long.frozen -= volume;
+            if (position.history.short.frozen >= volume) {
+              position.history.short.frozen -= volume;
             } else {
-              const rest = volume - position.history.long.frozen;
-              position.history.long.frozen -= position.history.long.frozen;
+              const rest = volume - position.history.short.frozen;
+              position.history.short.frozen -= position.history.short.frozen;
 
               if (rest > 0) {
-                if (position.today.long.frozen > rest) {
-                  position.today.long.frozen -= rest;
+                if (position.today.short.frozen >= rest) {
+                  position.today.short.frozen -= rest;
                 } else {
-                  position.today.long.frozen = 0;
+                  position.today.short.frozen = 0;
                 }
               }
             }
             break;
 
           case "short":
-            if (position.history.short.position > volume) {
-              position.history.short.position -= volume;
+            if (position.history.long.position >= volume) {
+              position.history.long.position -= volume;
             } else {
-              const rest = volume - position.history.short.position;
-              position.history.short.position -=
-                position.history.short.position;
+              const rest = volume - position.history.long.position;
+              position.history.long.position -= position.history.long.position;
 
               if (rest > 0) {
-                if (position.today.short.position > rest) {
-                  position.today.short.position -= rest;
+                if (position.today.long.position >= rest) {
+                  position.today.long.position -= rest;
                 } else {
-                  position.today.short.position = 0;
+                  position.today.long.position = 0;
                 }
               }
             }
 
-            if (position.history.short.frozen > volume) {
-              position.history.short.frozen -= volume;
+            if (position.history.long.frozen >= volume) {
+              position.history.long.frozen -= volume;
             } else {
-              const rest = volume - position.history.short.frozen;
-              position.history.short.frozen -= position.history.short.frozen;
+              const rest = volume - position.history.long.frozen;
+              position.history.long.frozen -= position.history.long.frozen;
 
               if (rest > 0) {
-                if (position.today.short.frozen > rest) {
-                  position.today.short.frozen -= rest;
+                if (position.today.long.frozen >= rest) {
+                  position.today.long.frozen -= rest;
                 } else {
-                  position.today.short.frozen = 0;
+                  position.today.long.frozen = 0;
                 }
               }
             }
@@ -1146,30 +1225,30 @@ export class Trader extends CTPProvider implements ITraderProvider {
       case "close-today":
         switch (side) {
           case "long":
-            if (position.today.long.position > volume) {
-              position.today.long.position -= volume;
+            if (position.today.short.position >= volume) {
+              position.today.short.position -= volume;
             } else {
-              position.today.long.position = 0;
+              position.today.short.position = 0;
             }
 
-            if (position.today.long.frozen > volume) {
-              position.today.long.frozen -= volume;
+            if (position.today.short.frozen >= volume) {
+              position.today.short.frozen -= volume;
             } else {
-              position.today.long.frozen = 0;
+              position.today.short.frozen = 0;
             }
             break;
 
           case "short":
-            if (position.today.short.position > volume) {
-              position.today.short.position -= volume;
+            if (position.today.long.position >= volume) {
+              position.today.long.position -= volume;
             } else {
-              position.today.short.position = 0;
+              position.today.long.position = 0;
             }
 
-            if (position.today.short.frozen > volume) {
-              position.today.short.frozen -= volume;
+            if (position.today.long.frozen >= volume) {
+              position.today.long.frozen -= volume;
             } else {
-              position.today.short.frozen = 0;
+              position.today.long.frozen = 0;
             }
             break;
         }
@@ -1243,11 +1322,11 @@ export class Trader extends CTPProvider implements ITraderProvider {
       case "close":
         switch (side) {
           case "long":
-            position.history.long.frozen += volume;
+            position.history.short.frozen += volume;
             break;
 
           case "short":
-            position.history.short.frozen += volume;
+            position.history.long.frozen += volume;
             break;
         }
         break;
@@ -1255,11 +1334,11 @@ export class Trader extends CTPProvider implements ITraderProvider {
       case "close-today":
         switch (side) {
           case "long":
-            position.today.long.frozen += volume;
+            position.today.short.frozen += volume;
             break;
 
           case "short":
-            position.today.short.frozen += volume;
+            position.today.long.frozen += volume;
             break;
         }
         break;
@@ -1282,19 +1361,19 @@ export class Trader extends CTPProvider implements ITraderProvider {
       case "close":
         switch (side) {
           case "long":
-            if (position.history.long.frozen > volume) {
-              position.history.long.frozen -= volume;
+            if (position.history.short.frozen >= volume) {
+              position.history.short.frozen -= volume;
             } else {
-              position.history.long.frozen = 0;
+              position.history.short.frozen = 0;
             }
 
             break;
 
           case "short":
-            if (position.history.short.frozen > volume) {
-              position.history.short.frozen -= volume;
+            if (position.history.long.frozen >= volume) {
+              position.history.long.frozen -= volume;
             } else {
-              position.history.short.frozen = 0;
+              position.history.long.frozen = 0;
             }
             break;
         }
@@ -1303,18 +1382,18 @@ export class Trader extends CTPProvider implements ITraderProvider {
       case "close-today":
         switch (side) {
           case "long":
-            if (position.today.long.frozen > volume) {
-              position.today.long.frozen -= volume;
+            if (position.today.short.frozen >= volume) {
+              position.today.short.frozen -= volume;
             } else {
-              position.today.long.frozen = 0;
+              position.today.short.frozen = 0;
             }
             break;
 
           case "short":
-            if (position.today.short.frozen > volume) {
-              position.today.short.frozen -= volume;
+            if (position.today.long.frozen >= volume) {
+              position.today.long.frozen -= volume;
             } else {
-              position.today.short.frozen = 0;
+              position.today.long.frozen = 0;
             }
             break;
         }

package/src/typedef.ts

@@ -141,7 +141,7 @@ export type OrderStatistic = Readonly<{
   symbol: string;
   places: number;
   entrusts: number;
-  trades: number;
+  filleds: number;
   cancels: number;
   rejects: number;
 }>;