npm - hft-js - Versions diffs - 0.1.4 → 0.1.6 - Mend

hft-js 0.1.4 → 0.1.6

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 (31) hide show

package/lib/bar.d.ts CHANGED Viewed

@@ -4,13 +4,14 @@ export type BarInfo = Writeable<BarData>;
 export declare class BarGenerator implements ITickReceiver {
     private readonly receivers;
     private readonly symbol;
+    private readonly maxVolume;
     private shouldUpdate;
     private bar?;
-    constructor(symbol: string);
-    get isWorking(): boolean;
+    constructor(symbol: string, maxVolume?: number);
+    get receiverCount(): number;
     addReceiver(receiver: IBarReceiver): void;
     removeReceiver(receiver: IBarReceiver): void;
     onTick(tick: TickData, tape: TapeData): void;
     private _createBar;
 }
-export declare const createBarGenerator: (symbol: string) => BarGenerator;
+export declare const createBarGenerator: (symbol: string, maxVolume?: number) => BarGenerator;

package/lib/bar.js CHANGED Viewed

@@ -24,14 +24,16 @@ 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) {
+    function BarGenerator(symbol, maxVolume) {
+        if (maxVolume === void 0) { maxVolume = 0; }
         this.receivers = [];
         this.symbol = symbol;
+        this.maxVolume = maxVolume;
         this.shouldUpdate = 0;
     }
-    Object.defineProperty(BarGenerator.prototype, "isWorking", {
+    Object.defineProperty(BarGenerator.prototype, "receiverCount", {
         get: function () {
-            return this.receivers.length > 0;
+            return this.receivers.length;
         },
         enumerable: false,
         configurable: true
@@ -58,13 +60,18 @@ var BarGenerator = /** @class */ (function () {
             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;
+        var time = this.maxVolume > 0 ? tick.time : Math.floor(tick.time / 100) * 100;
+        if (this.bar) {
+            var isFinished = this.maxVolume > 0
+                ? this.bar.volume >= this.maxVolume
+                : this.bar.date !== date || this.bar.time !== time;
+            if (isFinished) {
+                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;
@@ -98,7 +105,7 @@ var BarGenerator = /** @class */ (function () {
                 this.bar.delta -= tape.volumeDelta;
                 break;
         }
-        if (tape.direction !== "none") {
+        if (tick.lastPrice !== this.bar.poc && 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) {
@@ -135,6 +142,9 @@ var BarGenerator = /** @class */ (function () {
     return BarGenerator;
 }());
 exports.BarGenerator = BarGenerator;
-var createBarGenerator = function (symbol) { return new BarGenerator(symbol); };
+var createBarGenerator = function (symbol, maxVolume) {
+    if (maxVolume === void 0) { maxVolume = 0; }
+    return new BarGenerator(symbol, maxVolume);
+};
 exports.createBarGenerator = createBarGenerator;
 //# sourceMappingURL=bar.js.map

package/lib/bar.js.map CHANGED Viewed

	@@ -1 +1 @@
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1	+ {"version":3,"file":"bar.js","sourceRoot":"","sources":["../src/bar.ts"],"names":[],"mappings":";AAAA;;;;;;;;;GASG;;;;;;;;;;;;;;AAIH,uCAA0C;AAI1C;IAOE,sBAAY,MAAc,EAAE,SAAa;QAAb,0BAAA,EAAA,aAAa;QACvC,IAAI,CAAC,SAAS,GAAG,EAAE,CAAC;QACpB,IAAI,CAAC,MAAM,GAAG,MAAM,CAAC;QACrB,IAAI,CAAC,SAAS,GAAG,SAAS,CAAC;QAC3B,IAAI,CAAC,YAAY,GAAG,CAAC,CAAC;IACxB,CAAC;IAED,sBAAI,uCAAa;aAAjB;YACE,OAAO,IAAI,CAAC,SAAS,CAAC,MAAM,CAAC;QAC/B,CAAC;;;OAAA;IAED,kCAAW,GAAX,UAAY,QAAsB;QAChC,IAAI,CAAC,IAAI,CAAC,SAAS,CAAC,QAAQ,CAAC,QAAQ,CAAC,EAAE,CAAC;YACvC,IAAI,QAAQ,CAAC,WAAW,EAAE,CAAC;gBACzB,IAAI,CAAC,YAAY,IAAI,CAAC,CAAC;YACzB,CAAC;YAED,IAAI,CAAC,SAAS,CAAC,IAAI,CAAC,QAAQ,CAAC,CAAC;QAChC,CAAC;IACH,CAAC;IAED,qCAAc,GAAd,UAAe,QAAsB;QACnC,IAAM,KAAK,GAAG,IAAI,CAAC,SAAS,CAAC,OAAO,CAAC,QAAQ,CAAC,CAAC;QAE/C,IAAI,KAAK,IAAI,CAAC,EAAE,CAAC;YACf,IAAI,QAAQ,CAAC,WAAW,EAAE,CAAC;gBACzB,IAAI,CAAC,YAAY,IAAI,CAAC,CAAC;YACzB,CAAC;YAED,IAAI,CAAC,SAAS,CAAC,MAAM,CAAC,KAAK,EAAE,CAAC,CAAC,CAAC;QAClC,CAAC;IACH,CAAC;IAED,6BAAM,GAAN,UAAO,IAAc,EAAE,IAAc;QACnC,IAAI,IAAI,CAAC,MAAM,KAAK,IAAI,CAAC,MAAM,EAAE,CAAC;YAChC,OAAO;QACT,CAAC;QAED,IAAM,IAAI,GAAG,IAAI,CAAC,IAAI,CAAC;QAEvB,IAAM,IAAI,GACR,IAAI,CAAC,SAAS,GAAG,CAAC,CAAC,CAAC,CAAC,IAAI,CAAC,IAAI,CAAC,CAAC,CAAC,IAAI,CAAC,KAAK,CAAC,IAAI,CAAC,IAAI,GAAG,GAAG,CAAC,GAAG,GAAG,CAAC;QAErE,IAAI,IAAI,CAAC,GAAG,EAAE,CAAC;YACb,IAAM,UAAU,GACd,IAAI,CAAC,SAAS,GAAG,CAAC;gBAChB,CAAC,CAAC,IAAI,CAAC,GAAG,CAAC,MAAM,IAAI,IAAI,CAAC,SAAS;gBACnC,CAAC,CAAC,IAAI,CAAC,GAAG,CAAC,IAAI,KAAK,IAAI,IAAI,IAAI,CAAC,GAAG,CAAC,IAAI,KAAK,IAAI,CAAC;YAEvD,IAAI,UAAU,EAAE,CAAC;gBACf,IAAM,KAAG,GAAG,MAAM,CAAC,MAAM,CAAC,IAAI,CAAC,GAAG,CAAC,CAAC;gBAEpC,MAAM,CAAC,MAAM,CAAC,KAAG,CAAC,UAAU,CAAC,CAAC;gBAC9B,MAAM,CAAC,MAAM,CAAC,KAAG,CAAC,WAAW,CAAC,CAAC;gBAE/B,IAAI,CAAC,SAAS,CAAC,OAAO,CAAC,UAAC,QAAQ,IAAK,OAAA,QAAQ,CAAC,KAAK,CAAC,KAAG,CAAC,EAAnB,CAAmB,CAAC,CAAC;gBAC1D,IAAI,CAAC,GAAG,GAAG,SAAS,CAAC;YACvB,CAAC;QACH,CAAC;QAED,IAAI,IAAI,CAAC,WAAW,KAAK,CAAC,EAAE,CAAC;YAC3B,OAAO;QACT,CAAC;QAED,IAAI,CAAC,IAAI,CAAC,GAAG,EAAE,CAAC;YACd,IAAI,CAAC,GAAG,GAAG,IAAI,CAAC,UAAU,CAAC,IAAI,EAAE,IAAI,EAAE,IAAI,CAAC,CAAC;QAC/C,CAAC;QAED,IAAI,CAAC,GAAG,CAAC,YAAY,GAAG,IAAI,CAAC,YAAY,CAAC;QAC1C,IAAI,CAAC,GAAG,CAAC,UAAU,GAAG,IAAI,CAAC,SAAS,CAAC;QAErC,IAAI,CAAC,GAAG,CAAC,SAAS,GAAG,IAAI,CAAC,GAAG,CAAC,IAAI,CAAC,GAAG,CAAC,SAAS,EAAE,IAAI,CAAC,SAAS,CAAC,CAAC;QAClE,IAAI,CAAC,GAAG,CAAC,QAAQ,GAAG,IAAI,CAAC,GAAG,CAAC,IAAI,CAAC,GAAG,CAAC,QAAQ,EAAE,IAAI,CAAC,SAAS,CAAC,CAAC;QAEhE,IAAI,CAAC,GAAG,CAAC,MAAM,IAAI,IAAI,CAAC,WAAW,CAAC;QACpC,IAAI,CAAC,GAAG,CAAC,MAAM,IAAI,IAAI,CAAC,WAAW,CAAC;QAEpC,QAAQ,IAAI,CAAC,SAAS,EAAE,CAAC;YACvB,KAAK,IAAI;gBACP,IAAI,IAAI,CAAC,SAAS,IAAI,IAAI,CAAC,GAAG,CAAC,UAAU,EAAE,CAAC;oBAC1C,IAAI,CAAC,GAAG,CAAC,UAAU,CAAC,IAAI,CAAC,SAAS,CAAC,IAAI,IAAI,CAAC,WAAW,CAAC;gBAC1D,CAAC;qBAAM,CAAC;oBACN,IAAI,CAAC,GAAG,CAAC,UAAU,CAAC,IAAI,CAAC,SAAS,CAAC,GAAG,IAAI,CAAC,WAAW,CAAC;gBACzD,CAAC;gBAED,IAAI,CAAC,GAAG,CAAC,KAAK,IAAI,IAAI,CAAC,WAAW,CAAC;gBACnC,MAAM;YAER,KAAK,MAAM;gBACT,IAAI,IAAI,CAAC,SAAS,IAAI,IAAI,CAAC,GAAG,CAAC,WAAW,EAAE,CAAC;oBAC3C,IAAI,CAAC,GAAG,CAAC,WAAW,CAAC,IAAI,CAAC,SAAS,CAAC,IAAI,IAAI,CAAC,WAAW,CAAC;gBAC3D,CAAC;qBAAM,CAAC;oBACN,IAAI,CAAC,GAAG,CAAC,WAAW,CAAC,IAAI,CAAC,SAAS,CAAC,GAAG,IAAI,CAAC,WAAW,CAAC;gBAC1D,CAAC;gBAED,IAAI,CAAC,GAAG,CAAC,KAAK,IAAI,IAAI,CAAC,WAAW,CAAC;gBACnC,MAAM;QACV,CAAC;QAED,IAAI,IAAI,CAAC,SAAS,KAAK,IAAI,CAAC,GAAG,CAAC,GAAG,IAAI,IAAI,CAAC,SAAS,KAAK,MAAM,EAAE,CAAC;YACjE,IAAM,MAAM,GAAG,IAAA,uBAAY,EAAC,IAAI,CAAC,GAAG,EAAE,IAAI,CAAC,SAAS,CAAC,CAAC;YACtD,IAAM,KAAK,GAAG,IAAA,uBAAY,EAAC,IAAI,CAAC,GAAG,EAAE,IAAI,CAAC,GAAG,CAAC,GAAG,CAAC,CAAC;YAEnD,IAAI,MAAM,GAAG,KAAK,EAAE,CAAC;gBACnB,IAAI,CAAC,GAAG,CAAC,GAAG,GAAG,IAAI,CAAC,SAAS,CAAC;YAChC,CAAC;QACH,CAAC;QAED,IAAI,IAAI,CAAC,YAAY,GAAG,CAAC,EAAE,CAAC;YAC1B,IAAM,KAAG,GAAY,MAAM,CAAC,MAAM,uBAC7B,IAAI,CAAC,GAAG,KACX,UAAU,EAAE,MAAM,CAAC,MAAM,cAAM,IAAI,CAAC,GAAG,CAAC,UAAU,EAAG,EACrD,WAAW,EAAE,MAAM,CAAC,MAAM,cAAM,IAAI,CAAC,GAAG,CAAC,WAAW,EAAG,IACvD,CAAC;YAEH,IAAI,CAAC,SAAS,CAAC,OAAO,CAAC,UAAC,QAAQ;gBAC9B,IAAI,QAAQ,CAAC,WAAW,EAAE,CAAC;oBACzB,QAAQ,CAAC,WAAW,CAAC,KAAG,EAAE,IAAI,EAAE,IAAI,CAAC,CAAC;gBACxC,CAAC;YACH,CAAC,CAAC,CAAC;QACL,CAAC;IACH,CAAC;IAEO,iCAAU,GAAlB,UAAmB,IAAY,EAAE,IAAY,EAAE,IAAc;QAC3D,OAAO;YACL,MAAM,EAAE,IAAI,CAAC,MAAM;YACnB,IAAI,EAAE,IAAI;YACV,IAAI,EAAE,IAAI;YACV,YAAY,EAAE,IAAI,CAAC,YAAY;YAC/B,SAAS,EAAE,IAAI,CAAC,SAAS;YACzB,SAAS,EAAE,IAAI,CAAC,SAAS;YACzB,QAAQ,EAAE,IAAI,CAAC,SAAS;YACxB,UAAU,EAAE,IAAI,CAAC,SAAS;YAC1B,MAAM,EAAE,CAAC;YACT,MAAM,EAAE,CAAC;YACT,KAAK,EAAE,CAAC;YACR,GAAG,EAAE,IAAI,CAAC,SAAS;YACnB,UAAU,EAAE,EAAE;YACd,WAAW,EAAE,EAAE;SAChB,CAAC;IACJ,CAAC;IACH,mBAAC;AAAD,CAAC,AApJD,IAoJC;AApJY,oCAAY;AAsJlB,IAAM,kBAAkB,GAAG,UAAC,MAAc,EAAE,SAAa;IAAb,0BAAA,EAAA,aAAa;IAC9D,OAAA,IAAI,YAAY,CAAC,MAAM,EAAE,SAAS,CAAC;AAAnC,CAAmC,CAAC;AADzB,QAAA,kBAAkB,sBACO"}

package/lib/broker.js CHANGED Viewed

@@ -23,11 +23,12 @@ var Broker = /** @class */ (function () {
         this.generators = new Map();
         this.marketLifecycle = {
             onOpen: function () {
-                if (_this.market.hasRecorder()) {
+                var recorder = _this.market.getRecorder();
+                if (recorder && recorder.isRecorderReady()) {
                     _this.trader.queryInstruments({
                         onInstruments: function (instruments) {
                             if (instruments) {
-                                _this.market.startRecorder(instruments);
+                                recorder.startRecorder(instruments);
                             }
                         },
                     });
@@ -36,7 +37,10 @@ var Broker = /** @class */ (function () {
             },
             onClose: function () {
                 _this.strategies.forEach(function (strategy) { return strategy.onDestroy(); });
-                _this.market.stopRecorder();
+                var recorder = _this.market.getRecorder();
+                if (recorder) {
+                    recorder.stopRecorder();
+                }
             },
             onError: function (error, message) {
                 if (errorReceiver) {
@@ -114,7 +118,7 @@ var Broker = /** @class */ (function () {
                 return;
             }
             generator.removeReceiver(receiver);
-            if (!generator.isWorking) {
+            if (generator.receiverCount === 0) {
                 _this.unsubscribe([symbol], generator);
                 _this.generators.delete(symbol);
             }

package/lib/broker.js.map CHANGED Viewed

	@@ -1 +1 @@
1	- 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1	+ {"version":3,"file":"broker.js","sourceRoot":"","sources":["../src/broker.ts"],"names":[],"mappings":";AAAA;;;;;;;;;GASG;;;AAGH,mCAA4D;AA0B5D;IAUE,gBACE,MAAuB,EACvB,MAAuB,EACvB,aAA8B;QAHhC,iBA0DC;QA/DgB,eAAU,GAAgB,EAAE,CAAC;QAC7B,2BAAsB,GAA6B,EAAE,CAAC;QACtD,4BAAuB,GAA8B,EAAE,CAAC;QAQvE,IAAI,CAAC,MAAM,GAAG,MAAM,CAAC;QACrB,IAAI,CAAC,MAAM,GAAG,MAAM,CAAC;QACrB,IAAI,CAAC,UAAU,GAAG,IAAI,GAAG,EAAE,CAAC;QAE5B,IAAI,CAAC,eAAe,GAAG;YACrB,MAAM,EAAE;gBACN,IAAM,QAAQ,GAAG,KAAI,CAAC,MAAM,CAAC,WAAW,EAAE,CAAC;gBAE3C,IAAI,QAAQ,IAAI,QAAQ,CAAC,eAAe,EAAE,EAAE,CAAC;oBAC3C,KAAI,CAAC,MAAM,CAAC,gBAAgB,CAAC;wBAC3B,aAAa,EAAE,UAAC,WAAW;4BACzB,IAAI,WAAW,EAAE,CAAC;gCAChB,QAAQ,CAAC,aAAa,CAAC,WAAW,CAAC,CAAC;4BACtC,CAAC;wBACH,CAAC;qBACF,CAAC,CAAC;gBACL,CAAC;gBAED,KAAI,CAAC,UAAU,CAAC,OAAO,CAAC,UAAC,QAAQ,IAAK,OAAA,QAAQ,CAAC,MAAM,EAAE,EAAjB,CAAiB,CAAC,CAAC;YAC3D,CAAC;YAED,OAAO,EAAE;gBACP,KAAI,CAAC,UAAU,CAAC,OAAO,CAAC,UAAC,QAAQ,IAAK,OAAA,QAAQ,CAAC,SAAS,EAAE,EAApB,CAAoB,CAAC,CAAC;gBAE5D,IAAM,QAAQ,GAAG,KAAI,CAAC,MAAM,CAAC,WAAW,EAAE,CAAC;gBAE3C,IAAI,QAAQ,EAAE,CAAC;oBACb,QAAQ,CAAC,YAAY,EAAE,CAAC;gBAC1B,CAAC;YACH,CAAC;YAED,OAAO,EAAE,UAAC,KAAgB,EAAE,OAAe;gBACzC,IAAI,aAAa,EAAE,CAAC;oBAClB,aAAa,CAAC,OAAO,CAAC,KAAK,EAAE,OAAO,CAAC,CAAC;gBACxC,CAAC;YACH,CAAC;SACF,CAAC;QAEF,IAAI,CAAC,eAAe,GAAG;YACrB,MAAM,EAAE;gBACN,KAAI,CAAC,MAAM,CAAC,IAAI,CAAC,KAAI,CAAC,eAAe,CAAC,CAAC;YACzC,CAAC;YAED,OAAO,EAAE;gBACP,KAAI,CAAC,MAAM,CAAC,KAAK,CAAC,KAAI,CAAC,eAAe,CAAC,CAAC;YAC1C,CAAC;YAED,OAAO,EAAE,UAAC,KAAgB,EAAE,OAAe;gBACzC,IAAI,aAAa,EAAE,CAAC;oBAClB,aAAa,CAAC,OAAO,CAAC,KAAK,EAAE,OAAO,CAAC,CAAC;gBACxC,CAAC;YACH,CAAC;SACF,CAAC;IACJ,CAAC;IAED,sBAAK,GAAL;QACE,OAAO,IAAI,CAAC,MAAM,CAAC,IAAI,CAAC,IAAI,CAAC,eAAe,CAAC,CAAC;IAChD,CAAC;IAED,qBAAI,GAAJ;QACE,OAAO,IAAI,CAAC,MAAM,CAAC,KAAK,CAAC,IAAI,CAAC,eAAe,CAAC,CAAC;IACjD,CAAC;IAED,4BAAW,GAAX,UAAY,QAAmB;QAC7B,IAAI,CAAC,IAAI,CAAC,UAAU,CAAC,QAAQ,CAAC,QAAQ,CAAC,EAAE,CAAC;YACxC,IAAI,CAAC,UAAU,CAAC,IAAI,CAAC,QAAQ,CAAC,CAAC;YAC/B,IAAI,CAAC,MAAM,CAAC,WAAW,CAAC,QAAQ,CAAC,CAAC;QACpC,CAAC;IACH,CAAC;IAED,+BAAc,GAAd,UAAe,QAAmB;QAChC,IAAM,KAAK,GAAG,IAAI,CAAC,UAAU,CAAC,OAAO,CAAC,QAAQ,CAAC,CAAC;QAEhD,IAAI,KAAK,GAAG,CAAC,EAAE,CAAC;YACd,OAAO;QACT,CAAC;QAED,IAAI,CAAC,UAAU,CAAC,MAAM,CAAC,KAAK,EAAE,CAAC,CAAC,CAAC;QACjC,IAAI,CAAC,MAAM,CAAC,cAAc,CAAC,QAAQ,CAAC,CAAC;IACvC,CAAC;IAED,yCAAwB,GAAxB,UAAyB,OAA+B;QACtD,IAAI,CAAC,IAAI,CAAC,sBAAsB,CAAC,QAAQ,CAAC,OAAO,CAAC,EAAE,CAAC;YACnD,IAAI,CAAC,sBAAsB,CAAC,IAAI,CAAC,OAAO,CAAC,CAAC;QAC5C,CAAC;IACH,CAAC;IAED,0CAAyB,GAAzB,UAA0B,OAAgC;QACxD,IAAI,CAAC,IAAI,CAAC,uBAAuB,CAAC,QAAQ,CAAC,OAAO,CAAC,EAAE,CAAC;YACpD,IAAI,CAAC,uBAAuB,CAAC,IAAI,CAAC,OAAO,CAAC,CAAC;QAC7C,CAAC;IACH,CAAC;IAED,0BAAS,GAAT,UAAU,OAAiB,EAAE,QAAuB;QAClD,OAAO,IAAI,CAAC,MAAM,CAAC,SAAS,CAAC,OAAO,EAAE,QAAQ,CAAC,CAAC;IAClD,CAAC;IAED,4BAAW,GAAX,UAAY,OAAiB,EAAE,QAAuB;QACpD,OAAO,IAAI,CAAC,MAAM,CAAC,WAAW,CAAC,OAAO,EAAE,QAAQ,CAAC,CAAC;IACpD,CAAC;IAED,6BAAY,GAAZ,UAAa,OAAiB,EAAE,QAAsB;QAAtD,iBAaC;QAZC,OAAO,CAAC,OAAO,CAAC,UAAC,MAAM;YACrB,IAAI,SAAS,GAAG,KAAI,CAAC,UAAU,CAAC,GAAG,CAAC,MAAM,CAAC,CAAC;YAE5C,IAAI,CAAC,SAAS,EAAE,CAAC;gBACf,SAAS,GAAG,IAAA,2BAAkB,EAAC,MAAM,CAAC,CAAC;gBAEvC,KAAI,CAAC,UAAU,CAAC,GAAG,CAAC,MAAM,EAAE,SAAS,CAAC,CAAC;gBACvC,KAAI,CAAC,SAAS,CAAC,CAAC,MAAM,CAAC,EAAE,SAAS,CAAC,CAAC;YACtC,CAAC;YAED,SAAS,CAAC,WAAW,CAAC,QAAQ,CAAC,CAAC;QAClC,CAAC,CAAC,CAAC;IACL,CAAC;IAED,+BAAc,GAAd,UAAe,OAAiB,EAAE,QAAsB;QAAxD,iBAeC;QAdC,OAAO,CAAC,OAAO,CAAC,UAAC,MAAM;YACrB,IAAM,SAAS,GAAG,KAAI,CAAC,UAAU,CAAC,GAAG,CAAC,MAAM,CAAC,CAAC;YAE9C,IAAI,CAAC,SAAS,EAAE,CAAC;gBACf,OAAO;YACT,CAAC;YAED,SAAS,CAAC,cAAc,CAAC,QAAQ,CAAC,CAAC;YAEnC,IAAI,SAAS,CAAC,aAAa,KAAK,CAAC,EAAE,CAAC;gBAClC,KAAI,CAAC,WAAW,CAAC,CAAC,MAAM,CAAC,EAAE,SAAS,CAAC,CAAC;gBACtC,KAAI,CAAC,UAAU,CAAC,MAAM,CAAC,MAAM,CAAC,CAAC;YACjC,CAAC;QACH,CAAC,CAAC,CAAC;IACL,CAAC;IAED,2BAAU,GAAV,UACE,QAAmB,EACnB,MAAc,EACd,MAAkB,EAClB,IAAc,EACd,MAAc,EACd,KAAa,EACb,IAAe,EACf,QAAmC;QAEnC,KAAoC,UAA2B,EAA3B,KAAA,IAAI,CAAC,sBAAsB,EAA3B,cAA2B,EAA3B,IAA2B,EAAE,CAAC;YAA7D,IAAM,qBAAqB,SAAA;YAC9B,IAAM,MAAM,GAAG,qBAAqB,CAAC,YAAY,CAC/C,MAAM,EACN,MAAM,EACN,IAAI,EACJ,MAAM,EACN,KAAK,EACL,IAAI,CACL,CAAC;YAEF,IAAI,OAAO,MAAM,KAAK,SAAS,EAAE,CAAC;gBAChC,IAAI,CAAC,MAAM,EAAE,CAAC;oBACZ,QAAQ,CAAC,MAAM,CAAC,kBAAkB,CAAC,CAAC;oBACpC,QAAQ,CAAC,iBAAiB,CAAC,eAAe,CAAC,CAAC;oBAC5C,OAAO;gBACT,CAAC;YACH,CAAC;iBAAM,CAAC;gBACN,QAAQ,CAAC,MAAM,CAAC,kBAAkB,EAAE,MAAM,CAAC,CAAC;gBAC5C,QAAQ,CAAC,iBAAiB,CAAC,eAAe,CAAC,CAAC;gBAC5C,OAAO;YACT,CAAC;QACH,CAAC;QAED,OAAO,IAAI,CAAC,MAAM,CAAC,UAAU,CAC3B,MAAM,EACN,MAAM,EACN,IAAI,EACJ,MAAM,EACN,KAAK,EACL,IAAI,EACJ,QAAQ,CACT,CAAC;IACJ,CAAC;IAED,4BAAW,GAAX,UACE,QAAmB,EACnB,KAAgB,EAChB,QAAoC;QAEpC,KAAqC,UAA4B,EAA5B,KAAA,IAAI,CAAC,uBAAuB,EAA5B,cAA4B,EAA5B,IAA4B,EAAE,CAAC;YAA/D,IAAM,sBAAsB,SAAA;YAC/B,IAAM,MAAM,GAAG,sBAAsB,CAAC,aAAa,CAAC,KAAK,CAAC,CAAC;YAE3D,IAAI,OAAO,MAAM,KAAK,SAAS,EAAE,CAAC;gBAChC,IAAI,CAAC,MAAM,EAAE,CAAC;oBACZ,QAAQ,CAAC,MAAM,CAAC,mBAAmB,CAAC,CAAC;oBACrC,QAAQ,CAAC,kBAAkB,CAAC,eAAe,CAAC,CAAC;oBAC7C,OAAO;gBACT,CAAC;YACH,CAAC;iBAAM,CAAC;gBACN,QAAQ,CAAC,MAAM,CAAC,mBAAmB,EAAE,MAAM,CAAC,CAAC;gBAC7C,QAAQ,CAAC,kBAAkB,CAAC,eAAe,CAA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package/lib/index.d.ts CHANGED Viewed

@@ -4,4 +4,5 @@ export * from "./broker.js";
 export * from "./trader.js";
 export * from "./market.js";
 export * from "./utils.js";
-export { CTPUserInfo } from "./provider.js";
+export * from "./tape.js";
+export * from "./bar.js";

package/lib/index.js CHANGED Viewed

@@ -30,4 +30,6 @@ __exportStar(require("./broker.js"), exports);
 __exportStar(require("./trader.js"), exports);
 __exportStar(require("./market.js"), exports);
 __exportStar(require("./utils.js"), exports);
+__exportStar(require("./tape.js"), exports);
+__exportStar(require("./bar.js"), exports);
 //# sourceMappingURL=index.js.map

package/lib/index.js.map CHANGED Viewed

	@@ -1 +1 @@
1	- {"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"}
1	+ {"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;AAC3B,4CAA0B;AAC1B,2CAAyB"}

package/lib/index.test.js CHANGED Viewed

@@ -191,16 +191,24 @@ var Strategy = /** @class */ (function () {
     return Strategy;
 }());
 var trader = hft.createTrader(config.FlowTdPath, config.FrontTdAddrs, config.UserInfo);
-var market = hft.createMarket(config.FlowMdPath, config.FrontMdAddrs, config.UserInfo);
+var market = hft.createMarket(config.FlowMdPath, config.FrontMdAddrs, {
+    onSubscribed: function (symbol) {
+        console.log("Market subscribed: ".concat(symbol));
+    },
+    onUnsubscribed: function (symbol) {
+        console.log("Market unsubscribed: ".concat(symbol));
+    },
+});
+var recorder = market.getRecorder();
 var enableRecorder = false;
-if (enableRecorder) {
-    market.setRecorder({
+if (enableRecorder && recorder) {
+    recorder.setRecorder({
         onMarketData: function (marketData) {
             console.log(marketData.InstrumentID, marketData.LastPrice);
         },
     }, function (instruments) {
         return instruments
-            .filter(function (instrument) { return instrument.productType === "future"; })
+            .filter(function (instrument) { return instrument.productType === "futures"; })
             .map(function (instrument) { return instrument.symbol; });
     });
 }

package/lib/index.test.js.map CHANGED Viewed

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

@@ -99,12 +99,15 @@ export interface IMarketRecorderReceiver {
     onMarketData: (marketData: any) => void;
 }
 export type IMarketRecorderSymbols = (instrument: InstrumentData[]) => string[];
-export interface IMarketProvider extends IProvider, ITickSubscriber, ITickUnsubscriber {
-    hasRecorder: () => boolean;
+export interface IMarketRecorderProvider {
+    isRecorderReady: () => boolean;
     setRecorder: (receiver: IMarketRecorderReceiver, symbols: IMarketRecorderSymbols) => void;
     startRecorder: (instrument: InstrumentData[]) => void;
     stopRecorder: () => void;
 }
+export interface IMarketProvider extends IProvider, ITickSubscriber, ITickUnsubscriber {
+    getRecorder: () => IMarketRecorderProvider | undefined;
+}
 export type IPlaceOrderResultReceiver = {
     onPlaceOrderSent: (receiptId: string) => void;
     onPlaceOrderError: (reason: string) => void;

package/lib/market.d.ts CHANGED Viewed

@@ -1,17 +1,23 @@
-import { CTPProvider, CTPUserInfo } from "./provider.js";
+import { CTPProvider } from "./provider.js";
 import { InstrumentData } from "./typedef.js";
-import { ILifecycleListener, IMarketProvider, IMarketRecorderReceiver, IMarketRecorderSymbols, ITickReceiver } from "./interfaces.js";
-export declare class Market extends CTPProvider implements IMarketProvider {
+import { ILifecycleListener, IMarketProvider, IMarketRecorderProvider, IMarketRecorderReceiver, IMarketRecorderSymbols, ITickReceiver } from "./interfaces.js";
+export interface IMarketListener {
+    onSubscribed: (symbol: string) => void;
+    onUnsubscribed: (symbol: string) => void;
+}
+export declare class Market extends CTPProvider implements IMarketProvider, IMarketRecorderProvider {
     private marketApi?;
     private recorder?;
     private recorderSymbols?;
     private tradingDay;
+    private readonly listener?;
     private readonly recordings;
     private readonly symbols;
     private readonly lastTicks;
     private readonly subscribers;
-    constructor(flowMdPath: string, frontMdAddrs: string | string[], userInfo: CTPUserInfo);
-    hasRecorder(): boolean;
+    constructor(flowMdPath: string, frontMdAddrs: string | string[], listener?: IMarketListener);
+    getRecorder(): this;
+    isRecorderReady(): boolean;
     setRecorder(receiver: IMarketRecorderReceiver, symbols: IMarketRecorderSymbols): void;
     open(lifecycle: ILifecycleListener): boolean;
     close(lifecycle: ILifecycleListener): void;
@@ -20,4 +26,4 @@ export declare class Market extends CTPProvider implements IMarketProvider {
     subscribe(symbols: string[], receiver: ITickReceiver): void;
     unsubscribe(symbols: string[], receiver: ITickReceiver): void;
 }
-export declare const createMarket: (flowMdPath: string, frontMdAddrs: string | string[], userInfo: CTPUserInfo) => Market;
+export declare const createMarket: (flowMdPath: string, frontMdAddrs: string | string[], listener?: IMarketListener) => Market;

package/lib/market.js CHANGED Viewed

@@ -46,8 +46,9 @@ 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;
+    function Market(flowMdPath, frontMdAddrs, listener) {
+        var _this = _super.call(this, flowMdPath, frontMdAddrs) || this;
+        _this.listener = listener;
         _this.tradingDay = 0;
         _this.recordings = new Set();
         _this.symbols = new Map();
@@ -55,7 +56,10 @@ var Market = /** @class */ (function (_super) {
         _this.subscribers = new Map();
         return _this;
     }
-    Market.prototype.hasRecorder = function () {
+    Market.prototype.getRecorder = function () {
+        return this;
+    };
+    Market.prototype.isRecorderReady = function () {
         return !!this.recorder;
     };
     Market.prototype.setRecorder = function (receiver, symbols) {
@@ -69,7 +73,7 @@ var Market = /** @class */ (function (_super) {
         }
         this.marketApi = napi_ctp_1.default.createMarketData(this.flowPath, this.frontAddrs);
         this.marketApi.on(napi_ctp_1.default.MarketDataEvent.FrontConnected, function () {
-            _this._withRetry(function () { return _this.marketApi.reqUserLogin(_this.userInfo); });
+            _this._withRetry(function () { return _this.marketApi.reqUserLogin(); });
         });
         var fired = false;
         this.marketApi.on(napi_ctp_1.default.MarketDataEvent.RspUserLogin, function (_, options) {
@@ -92,6 +96,20 @@ var Market = /** @class */ (function (_super) {
                 lifecycle.onOpen();
             }
         });
+        this.marketApi.on(napi_ctp_1.default.MarketDataEvent.RspSubMarketData, function (instrument) {
+            if (!_this.listener) {
+                return;
+            }
+            var symbol = _this.symbols.get(instrument.InstrumentID);
+            _this.listener.onSubscribed(symbol !== null && symbol !== void 0 ? symbol : instrument.InstrumentID);
+        });
+        this.marketApi.on(napi_ctp_1.default.MarketDataEvent.RspUnSubMarketData, function (instrument) {
+            if (!_this.listener) {
+                return;
+            }
+            var symbol = _this.symbols.get(instrument.InstrumentID);
+            _this.listener.onUnsubscribed(symbol !== null && symbol !== void 0 ? symbol : instrument.InstrumentID);
+        });
         this.marketApi.on(napi_ctp_1.default.MarketDataEvent.RtnDepthMarketData, function (depthMarketData) {
             var instrumentId = depthMarketData.InstrumentID;
             if (_this.recorder && _this.recordings.has(instrumentId)) {
@@ -291,6 +309,6 @@ var Market = /** @class */ (function (_super) {
     return Market;
 }(provider_js_1.CTPProvider));
 exports.Market = Market;
-var createMarket = function (flowMdPath, frontMdAddrs, userInfo) { return new Market(flowMdPath, frontMdAddrs, userInfo); };
+var createMarket = function (flowMdPath, frontMdAddrs, listener) { return new Market(flowMdPath, frontMdAddrs, listener); };
 exports.createMarket = createMarket;
 //# sourceMappingURL=market.js.map

package/lib/market.js.map CHANGED Viewed

	@@ -1 +1 @@
1	- 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1	+ {"version":3,"file":"market.js","sourceRoot":"","sources":["../src/market.ts"],"names":[],"mappings":";AAAA;;;;;;;;;GASG;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;AAEH,sDAA2B;AAC3B,6CAA4C;AAE5C,qCAAyC;AACzC,uCAAyC;AAUzC,IAAM,YAAY,GAAG,UAAC,CAAS,IAAK,OAAA,CAAC,KAAK,MAAM,CAAC,SAAS,IAAI,CAAC,KAAK,CAAC,EAAjC,CAAiC,CAAC;AACtE,IAAM,aAAa,GAAG,UAAC,CAAS,IAAK,OAAA,CAAC,KAAK,MAAM,CAAC,SAAS,IAAI,CAAC,KAAK,CAAC,EAAjC,CAAiC,CAAC;AAOvE;IACU,0BAAW;IAanB,gBACE,UAAkB,EAClB,YAA+B,EAC/B,QAA0B;QAE1B,YAAA,MAAK,YAAC,UAAU,EAAE,YAAY,CAAC,SAAC;QAChC,KAAI,CAAC,QAAQ,GAAG,QAAQ,CAAC;QACzB,KAAI,CAAC,UAAU,GAAG,CAAC,CAAC;QACpB,KAAI,CAAC,UAAU,GAAG,IAAI,GAAG,EAAE,CAAC;QAC5B,KAAI,CAAC,OAAO,GAAG,IAAI,GAAG,EAAE,CAAC;QACzB,KAAI,CAAC,SAAS,GAAG,IAAI,GAAG,EAAE,CAAC;QAC3B,KAAI,CAAC,WAAW,GAAG,IAAI,GAAG,EAAE,CAAC;;IAC/B,CAAC;IAED,4BAAW,GAAX;QACE,OAAO,IAAI,CAAC;IACd,CAAC;IAED,gCAAe,GAAf;QACE,OAAO,CAAC,CAAC,IAAI,CAAC,QAAQ,CAAC;IACzB,CAAC;IAED,4BAAW,GAAX,UACE,QAAiC,EACjC,OAA+B;QAE/B,IAAI,CAAC,QAAQ,GAAG,QAAQ,CAAC;QACzB,IAAI,CAAC,eAAe,GAAG,OAAO,CAAC;IACjC,CAAC;IAED,qBAAI,GAAJ,UAAK,SAA6B;QAAlC,iBAoNC;QAnNC,IAAI,IAAI,CAAC,SAAS,EAAE,CAAC;YACnB,OAAO,IAAI,CAAC;QACd,CAAC;QAED,IAAI,CAAC,SAAS,GAAG,kBAAG,CAAC,gBAAgB,CAAC,IAAI,CAAC,QAAQ,EAAE,IAAI,CAAC,UAAU,CAAC,CAAC;QAEtE,IAAI,CAAC,SAAS,CAAC,EAAE,CAAC,kBAAG,CAAC,eAAe,CAAC,cAAc,EAAE;YACpD,KAAI,CAAC,UAAU,CAAC,cAAM,OAAA,KAAI,CAAC,SAAU,CAAC,YAAY,EAAE,EAA9B,CAA8B,CAAC,CAAC;QACxD,CAAC,CAAC,CAAC;QAEH,IAAI,KAAK,GAAG,KAAK,CAAC;QAElB,IAAI,CAAC,SAAS,CAAC,EAAE,CACf,kBAAG,CAAC,eAAe,CAAC,YAAY,EAChC,UAAC,CAAC,EAAE,OAAO;YACT,IAAI,KAAI,CAAC,YAAY,CAAC,SAAS,EAAE,OAAO,EAAE,aAAa,CAAC,EAAE,CAAC;gBACzD,OAAO;YACT,CAAC;YAED,IAAM,UAAU,GAAG,QAAQ,CAAC,KAAI,CAAC,SAAU,CAAC,aAAa,EAAE,CAAC,CAAC;YAE7D,IAAI,KAAI,CAAC,UAAU,KAAK,UAAU,EAAE,CAAC;gBACnC,KAAI,CAAC,SAAS,CAAC,KAAK,EAAE,CAAC;gBACvB,KAAI,CAAC,UAAU,GAAG,UAAU,CAAC;YAC/B,CAAC;YAED,IAAM,aAAa,GAAG,IAAI,GAAG,iCACxB,KAAK,CAAC,IAAI,CAAC,KAAI,CAAC,UAAU,CAAC,SAC3B,MAAM,CAAC,IAAI,CAAC,KAAI,CAAC,WAAW,CAAC,QAChC,CAAC;YAEH,IAAI,aAAa,CAAC,IAAI,GAAG,CAAC,EAAE,CAAC;gBAC3B,KAAI,CAAC,UAAU,CAAC;oBACd,OAAA,KAAI,CAAC,SAAU,CAAC,mBAAmB,CAAC,KAAK,CAAC,IAAI,CAAC,aAAa,CAAC,CAAC;gBAA9D,CAA8D,CAC/D,CAAC;YACJ,CAAC;YAED,IAAI,CAAC,KAAK,EAAE,CAAC;gBACX,KAAK,GAAG,IAAI,CAAC;gBACb,SAAS,CAAC,MAAM,EAAE,CAAC;YACrB,CAAC;QACH,CAAC,CACF,CAAC;QAEF,IAAI,CAAC,SAAS,CAAC,EAAE,CACf,kBAAG,CAAC,eAAe,CAAC,gBAAgB,EACpC,UAAC,UAAU;YACT,IAAI,CAAC,KAAI,CAAC,QAAQ,EAAE,CAAC;gBACnB,OAAO;YACT,CAAC;YAED,IAAM,MAAM,GAAG,KAAI,CAAC,OAAO,CAAC,GAAG,CAAC,UAAU,CAAC,YAAY,CAAC,CAAC;YAEzD,KAAI,CAAC,QAAQ,CAAC,YAAY,CAAC,MAAM,aAAN,MAAM,cAAN,MAAM,GAAI,UAAU,CAAC,YAAY,CAAC,CAAC;QAChE,CAAC,CACF,CAAC;QAEF,IAAI,CAAC,SAAS,CAAC,EAAE,CACf,kBAAG,CAAC,eAAe,CAAC,kBAAkB,EACtC,UAAC,UAAU;YACT,IAAI,CAAC,KAAI,CAAC,QAAQ,EAAE,CAAC;gBACnB,OAAO;YACT,CAAC;YAED,IAAM,MAAM,GAAG,KAAI,CAAC,OAAO,CAAC,GAAG,CAAC,UAAU,CAAC,YAAY,CAAC,CAAC;YAEzD,KAAI,CAAC,QAAQ,CAAC,cAAc,CAAC,MAAM,aAAN,MAAM,cAAN,MAAM,GAAI,UAAU,CAAC,YAAY,CAAC,CAAC;QAClE,CAAC,CACF,CAAC;QAEF,IAAI,CAAC,SAAS,CAAC,EAAE,CACf,kBAAG,CAAC,eAAe,CAAC,kBAAkB,EACtC,UAAC,eAAe;YACd,IAAM,YAAY,GAAG,eAAe,CAAC,YAAY,CAAC;YAElD,IAAI,KAAI,CAAC,QAAQ,IAAI,KAAI,CAAC,UAAU,CAAC,GAAG,CAAC,YAAY,CAAC,EAAE,CAAC;gBACvD,KAAI,CAAC,QAAQ,CAAC,YAAY,CAAC,eAAe,CAAC,CAAC;YAC9C,CAAC;YAED,IAAM,MAAM,GAAG,KAAI,CAAC,OAAO,CAAC,GAAG,CAAC,YAAY,CAAC,CAAC;YAE9C,IAAI,CAAC,MAAM,EAAE,CAAC;gBACZ,OAAO;YACT,CAAC;YAED,IAAM,SAAS,GAAc;gBAC3B,IAAI,EAAE,EAAE,KAAK,EAAE,EAAE,EAAE,MAAM,EAAE,EAAE,EAAE;gBAC/B,IAAI,EAAE,EAAE,KAAK,EAAE,EAAE,EAAE,MAAM,EAAE,EAAE,EAAE;aAChC,CAAC;YAEF,IACE,YAAY,CAAC,eAAe,CAAC,SAAS,CAAC;gBACvC,aAAa,CAAC,eAAe,CAAC,UAAU,CAAC,EACzC,CAAC;gBACD,SAAS,CAAC,IAAI,CAAC,KAAK,CAAC,IAAI,CAAC,eAAe,CAAC,SAAS,CAAC,CAAC;gBACrD,SAAS,CAAC,IAAI,CAAC,MAAM,CAAC,IAAI,CAAC,eAAe,CAAC,UAAU,CAAC,CAAC;gBAEvD,IACE,YAAY,CAAC,eAAe,CAAC,SAAS,CAAC;oBACvC,aAAa,CAAC,eAAe,CAAC,UAAU,CAAC,EACzC,CAAC;oBACD,SAAS,CAAC,IAAI,CAAC,KAAK,CAAC,IAAI,CAAC,eAAe,CAAC,SAAS,CAAC,CAAC;oBACrD,SAAS,CAAC,IAAI,CAAC,MAAM,CAAC,IAAI,CAAC,eAAe,CAAC,UAAU,CAAC,CAAC;oBAEvD,IACE,YAAY,CAAC,eAAe,CAAC,SAAS,CAAC;wBACvC,aAAa,CAAC,eAAe,CAAC,UAAU,CAAC,EACzC,CAAC;wBACD,SAAS,CAAC,IAAI,CAAC,KAAK,CAAC,IAAI,CAAC,eAAe,CAAC,SAAS,CAAC,CAAC;wBACrD,SAAS,CAAC,IAAI,CAAC,MAAM,CAAC,IAAI,CAAC,eAAe,CAAC,UAAU,CAAC,CAAC;wBAEvD,IACE,YAAY,CAAC,eAAe,CAAC,SAAS,CAAC;4BACvC,aAAa,CAAC,eAAe,CAAC,UAAU,CAAC,EACzC,CAAC;4BACD,SAAS,CAAC,IAAI,CAAC,KAAK,CAAC,IAAI,CAAC,eAAe,CAAC,SAAS,CAAC,CAAC;4BACrD,SAAS,CAAC,IAAI,CAAC,MAAM,CAAC,IAAI,CAAC,eAAe,CAAC,UAAU,CAAC,CAAC;4BAEvD,IACE,YAAY,CAAC,eAAe,CAAC,SAAS,CAAC;gCACvC,aAAa,CAAC,eAAe,CAAC,UAAU,CAAC,EACzC,CAAC;gCACD,SAAS,CAAC,IAAI,CAAC,KAAK,CAAC,IAAI,CAAC,eAAe,CAAC,SAAS,CAAC,CAAC;gCACrD,SAAS,CAAC,IAAI,CAAC,MAAM,CAAC,IAAI,CAAC,eAAe,CAAC,UAAU,CAAC,CAAC;4BACzD,CAAC;wBACH,CAAC;oBACH,CAAC;gBACH,CAAC;YACH,CAAC;YAED,IACE,YAAY,CAAC,eAAe,CAAC,SAAS,CAAC;gBACvC,aAAa,CAAC,eAAe,CAAC,UAAU,CAAC,EACzC,CAAC;gBACD,SAAS,CAAC,IAAI,CAAC,KAAK,CAAC,IAAI,CAAC,eAAe,CAAC,SAAS,CAAC,CAAC;gBACrD,SAAS,CAAC,IAAI,CAAC,MAAM,CAAC,IAAI,CAAC,eAAe,CAAC,UAAU,CAAC,CAAC;gBAEvD,IACE,YAAY,CAAC,eAAe,CAAC,SAAS,CAAC;oBACvC,aAAa,CAAC,eAAe,CAAC,UAAU,CAAC,EACzC,CAAC;oBACD,SAAS,CAAC,IAAI,CAAC,K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package/lib/provider.d.ts CHANGED Viewed

@@ -1,19 +1,9 @@
 import ctp from "napi-ctp";
 import { ErrorType, ILifecycleListener } from "./interfaces.js";
-export type CTPUserInfo = {
-    BrokerID: string;
-    UserID: string;
-    Password: string;
-    InvestorID: string;
-    UserProductInfo: string;
-    AuthCode: string;
-    AppID: string;
-};
 export declare class CTPProvider {
     protected readonly flowPath: string;
     protected readonly frontAddrs: string | string[];
-    protected readonly userInfo: CTPUserInfo;
-    constructor(flowPath: string, frontAddrs: string | string[], userInfo: CTPUserInfo);
+    constructor(flowPath: string, frontAddrs: string | string[]);
     private _sleep;
     protected _withRetry(request: () => number | undefined, ms?: number): Promise<number | undefined>;
     protected _isErrorResp(lifecycle: ILifecycleListener, options: ctp.CallbackOptions, error: ErrorType): boolean;

package/lib/provider.js CHANGED Viewed

@@ -52,10 +52,9 @@ Object.defineProperty(exports, "__esModule", { value: true });
 exports.CTPProvider = void 0;
 var napi_ctp_1 = __importDefault(require("napi-ctp"));
 var CTPProvider = /** @class */ (function () {
-    function CTPProvider(flowPath, frontAddrs, userInfo) {
+    function CTPProvider(flowPath, frontAddrs) {
         this.flowPath = flowPath;
         this.frontAddrs = frontAddrs;
-        this.userInfo = userInfo;
     }
     CTPProvider.prototype._sleep = function (ms) {
         return new Promise(function (resolve) {

package/lib/provider.js.map CHANGED Viewed

	@@ -1 +1 @@
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package/lib/trader.d.ts CHANGED Viewed

@@ -1,6 +1,15 @@
-import { CTPProvider, CTPUserInfo } from "./provider.js";
+import { CTPProvider } from "./provider.js";
 import { OffsetType, OrderData, OrderFlag, ProductType, SideType } from "./typedef.js";
 import { ICancelOrderResultReceiver, ICommissionRateReceiver, IInstrumentReceiver, IInstrumentsReceiver, ILifecycleListener, IMarginRateReceiver, IOrderReceiver, IOrdersReceiver, IPlaceOrderResultReceiver, IPositionDetailsReceiver, IPositionReceiver, IPositionsReceiver, ITraderProvider, ITradingAccountsReceiver } from "./interfaces.js";
+export type CTPUserInfo = {
+    BrokerID: string;
+    UserID: string;
+    Password: string;
+    InvestorID: string;
+    UserProductInfo: string;
+    AuthCode: string;
+    AppID: string;
+};
 export declare class Trader extends CTPProvider implements ITraderProvider {
     private traderApi?;
     private tradingDay;
@@ -9,6 +18,7 @@ export declare class Trader extends CTPProvider implements ITraderProvider {
     private orderRef;
     private accountsQueryTime;
     private positionDetailsChanged;
+    private readonly userInfo;
     private readonly receivers;
     private readonly accounts;
     private readonly positionDetails;

package/lib/trader.js CHANGED Viewed

@@ -47,13 +47,14 @@ var utils_js_1 = require("./utils.js");
 var Trader = /** @class */ (function (_super) {
     __extends(Trader, _super);
     function Trader(flowTdPath, frontTdAddrs, userInfo) {
-        var _this = _super.call(this, flowTdPath, frontTdAddrs, userInfo) || this;
+        var _this = _super.call(this, flowTdPath, frontTdAddrs) || this;
         _this.tradingDay = 0;
         _this.frontId = 0;
         _this.sessionId = 0;
         _this.orderRef = 0;
         _this.accountsQueryTime = 0;
         _this.positionDetailsChanged = true;
+        _this.userInfo = userInfo;
         _this.receivers = [];
         _this.accounts = [];
         _this.positionDetails = [];
@@ -517,14 +518,14 @@ var Trader = /** @class */ (function (_super) {
     Trader.prototype.queryInstruments = function (receiver, type) {
         var instruments = Array.from(this.instruments.values());
         switch (type) {
-            case "future":
+            case "futures":
                 receiver.onInstruments(instruments
                     .filter(function (instrument) {
                     return instrument.ProductClass === napi_ctp_1.default.ProductClassType.Futures;
                 })
                     .map(this._toInstrumentData, this));
                 break;
-            case "option":
+            case "options":
                 receiver.onInstruments(instruments
                     .filter(function (instrument) {
                     return instrument.ProductClass === napi_ctp_1.default.ProductClassType.Options;
@@ -724,9 +725,9 @@ var Trader = /** @class */ (function (_super) {
     Trader.prototype._calcProductType = function (productClass) {
         switch (productClass) {
             case napi_ctp_1.default.ProductClassType.Futures:
-                return "future";
+                return "futures";
             case napi_ctp_1.default.ProductClassType.Options:
-                return "option";
+                return "options";
             default:
                 throw new Error("Unsupported product class: ".concat(productClass));
         }

package/lib/trader.js.map CHANGED Viewed

	@@ -1 +1 @@
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package/lib/typedef.d.ts CHANGED Viewed

@@ -126,7 +126,7 @@ export type TradingAccount = Readonly<{
     frozenCash: number;
     frozenCommission: number;
 }>;
-export type ProductType = "future" | "option";
+export type ProductType = "futures" | "options";
 export type InstrumentData = Readonly<{
     symbol: string;
     id: string;

package/package.json CHANGED Viewed

@@ -1,6 +1,6 @@
 {
   "name": "hft-js",
-  "version": "0.1.4",
+  "version": "0.1.6",
   "description": "High-Frequency Trading in Node.js",
   "main": "./lib/index.js",
   "types": "./lib/index.d.ts",

package/src/bar.ts CHANGED Viewed

@@ -18,17 +18,19 @@ export type BarInfo = Writeable<BarData>;
 export class BarGenerator implements ITickReceiver {
   private readonly receivers: IBarReceiver[];
   private readonly symbol: string;
+  private readonly maxVolume: number;
   private shouldUpdate: number;
   private bar?: BarInfo;
-  constructor(symbol: string) {
+  constructor(symbol: string, maxVolume = 0) {
     this.receivers = [];
     this.symbol = symbol;
+    this.maxVolume = maxVolume;
     this.shouldUpdate = 0;
   }
-  get isWorking() {
-    return this.receivers.length > 0;
+  get receiverCount() {
+    return this.receivers.length;
   }
   addReceiver(receiver: IBarReceiver) {
@@ -59,16 +61,25 @@ export class BarGenerator implements ITickReceiver {
     }
     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);
+    const time =
+      this.maxVolume > 0 ? tick.time : Math.floor(tick.time / 100) * 100;
-      Object.freeze(bar.buyVolumes);
-      Object.freeze(bar.sellVolumes);
+    if (this.bar) {
+      const isFinished =
+        this.maxVolume > 0
+          ? this.bar.volume >= this.maxVolume
+          : this.bar.date !== date || this.bar.time !== time;
-      this.receivers.forEach((receiver) => receiver.onBar(bar));
-      this.bar = undefined;
+      if (isFinished) {
+        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) {
@@ -110,7 +121,7 @@ export class BarGenerator implements ITickReceiver {
         break;
     }
-    if (tape.direction !== "none") {
+    if (tick.lastPrice !== this.bar.poc && tape.direction !== "none") {
       const tickVP = getBarVolume(this.bar, tick.lastPrice);
       const pocVP = getBarVolume(this.bar, this.bar.poc);
@@ -154,4 +165,5 @@ export class BarGenerator implements ITickReceiver {
   }
 }
-export const createBarGenerator = (symbol: string) => new BarGenerator(symbol);
+export const createBarGenerator = (symbol: string, maxVolume = 0) =>
+  new BarGenerator(symbol, maxVolume);

package/src/broker.ts CHANGED Viewed

@@ -57,11 +57,13 @@ export class Broker implements IRuntimeEngine {
     this.marketLifecycle = {
       onOpen: () => {
-        if (this.market.hasRecorder()) {
+        const recorder = this.market.getRecorder();
+        if (recorder && recorder.isRecorderReady()) {
           this.trader.queryInstruments({
             onInstruments: (instruments) => {
               if (instruments) {
-                this.market.startRecorder(instruments);
+                recorder.startRecorder(instruments);
               }
             },
           });
@@ -72,7 +74,12 @@ export class Broker implements IRuntimeEngine {
       onClose: () => {
         this.strategies.forEach((strategy) => strategy.onDestroy());
-        this.market.stopRecorder();
+        const recorder = this.market.getRecorder();
+        if (recorder) {
+          recorder.stopRecorder();
+        }
       },
       onError: (error: ErrorType, message: string) => {
@@ -170,7 +177,7 @@ export class Broker implements IRuntimeEngine {
       generator.removeReceiver(receiver);
-      if (!generator.isWorking) {
+      if (generator.receiverCount === 0) {
         this.unsubscribe([symbol], generator);
         this.generators.delete(symbol);
       }

package/src/index.test.ts CHANGED Viewed

@@ -219,16 +219,21 @@ const trader = hft.createTrader(
   config.UserInfo,
 );
-const market = hft.createMarket(
-  config.FlowMdPath,
-  config.FrontMdAddrs,
-  config.UserInfo,
-);
+const market = hft.createMarket(config.FlowMdPath, config.FrontMdAddrs, {
+  onSubscribed: (symbol) => {
+    console.log(`Market subscribed: ${symbol}`);
+  },
+  onUnsubscribed: (symbol) => {
+    console.log(`Market unsubscribed: ${symbol}`);
+  },
+});
+const recorder = market.getRecorder();
 const enableRecorder = false;
-if (enableRecorder) {
-  market.setRecorder(
+if (enableRecorder && recorder) {
+  recorder.setRecorder(
     {
       onMarketData: (marketData: ctp.DepthMarketDataField) => {
         console.log(marketData.InstrumentID, marketData.LastPrice);
@@ -236,7 +241,7 @@ if (enableRecorder) {
     },
     (instruments) =>
       instruments
-        .filter((instrument) => instrument.productType === "future")
+        .filter((instrument) => instrument.productType === "futures")
         .map((instrument) => instrument.symbol),
   );
 }

package/src/index.ts CHANGED Viewed

@@ -15,4 +15,5 @@ export * from "./broker.js";
 export * from "./trader.js";
 export * from "./market.js";
 export * from "./utils.js";
-export { CTPUserInfo } from "./provider.js";
+export * from "./tape.js";
+export * from "./bar.js";

package/src/interfaces.ts CHANGED Viewed

@@ -184,11 +184,8 @@ export interface IMarketRecorderReceiver {
 export type IMarketRecorderSymbols = (instrument: InstrumentData[]) => string[];
-export interface IMarketProvider
-  extends IProvider,
-    ITickSubscriber,
-    ITickUnsubscriber {
-  hasRecorder: () => boolean;
+export interface IMarketRecorderProvider {
+  isRecorderReady: () => boolean;
   setRecorder: (
     receiver: IMarketRecorderReceiver,
@@ -199,6 +196,13 @@ export interface IMarketProvider
   stopRecorder: () => void;
 }
+export interface IMarketProvider
+  extends IProvider,
+    ITickSubscriber,
+    ITickUnsubscriber {
+  getRecorder: () => IMarketRecorderProvider | undefined;
+}
 export type IPlaceOrderResultReceiver = {
   onPlaceOrderSent: (receiptId: string) => void;
   onPlaceOrderError: (reason: string) => void;

package/src/market.ts CHANGED Viewed

@@ -10,13 +10,14 @@
  */
 import ctp from "napi-ctp";
-import { CTPProvider, CTPUserInfo } from "./provider.js";
+import { CTPProvider } from "./provider.js";
 import { InstrumentData, OrderBook, TickData } from "./typedef.js";
 import { calcTapeData } from "./tape.js";
 import { parseSymbol } from "./utils.js";
 import {
   ILifecycleListener,
   IMarketProvider,
+  IMarketRecorderProvider,
   IMarketRecorderReceiver,
   IMarketRecorderSymbols,
   ITickReceiver,
@@ -25,11 +26,20 @@ import {
 const isValidPrice = (x: number) => x !== Number.MAX_VALUE && x !== 0;
 const isValidVolume = (x: number) => x !== Number.MAX_VALUE && x !== 0;
-export class Market extends CTPProvider implements IMarketProvider {
+export interface IMarketListener {
+  onSubscribed: (symbol: string) => void;
+  onUnsubscribed: (symbol: string) => void;
+}
+export class Market
+  extends CTPProvider
+  implements IMarketProvider, IMarketRecorderProvider
+{
   private marketApi?: ctp.MarketData;
   private recorder?: IMarketRecorderReceiver;
   private recorderSymbols?: IMarketRecorderSymbols;
   private tradingDay: number;
+  private readonly listener?: IMarketListener;
   private readonly recordings: Set<string>;
   private readonly symbols: Map<string, string>;
   private readonly lastTicks: Map<string, TickData>;
@@ -38,9 +48,10 @@ export class Market extends CTPProvider implements IMarketProvider {
   constructor(
     flowMdPath: string,
     frontMdAddrs: string | string[],
-    userInfo: CTPUserInfo,
+    listener?: IMarketListener,
   ) {
-    super(flowMdPath, frontMdAddrs, userInfo);
+    super(flowMdPath, frontMdAddrs);
+    this.listener = listener;
     this.tradingDay = 0;
     this.recordings = new Set();
     this.symbols = new Map();
@@ -48,7 +59,11 @@ export class Market extends CTPProvider implements IMarketProvider {
     this.subscribers = new Map();
   }
-  hasRecorder() {
+  getRecorder() {
+    return this;
+  }
+  isRecorderReady() {
     return !!this.recorder;
   }
@@ -68,7 +83,7 @@ export class Market extends CTPProvider implements IMarketProvider {
     this.marketApi = ctp.createMarketData(this.flowPath, this.frontAddrs);
     this.marketApi.on(ctp.MarketDataEvent.FrontConnected, () => {
-      this._withRetry(() => this.marketApi!.reqUserLogin(this.userInfo));
+      this._withRetry(() => this.marketApi!.reqUserLogin());
     });
     let fired = false;
@@ -105,6 +120,32 @@ export class Market extends CTPProvider implements IMarketProvider {
       },
     );
+    this.marketApi.on<ctp.SpecificInstrumentField>(
+      ctp.MarketDataEvent.RspSubMarketData,
+      (instrument) => {
+        if (!this.listener) {
+          return;
+        }
+        const symbol = this.symbols.get(instrument.InstrumentID);
+        this.listener.onSubscribed(symbol ?? instrument.InstrumentID);
+      },
+    );
+    this.marketApi.on<ctp.SpecificInstrumentField>(
+      ctp.MarketDataEvent.RspUnSubMarketData,
+      (instrument) => {
+        if (!this.listener) {
+          return;
+        }
+        const symbol = this.symbols.get(instrument.InstrumentID);
+        this.listener.onUnsubscribed(symbol ?? instrument.InstrumentID);
+      },
+    );
     this.marketApi.on<ctp.DepthMarketDataField>(
       ctp.MarketDataEvent.RtnDepthMarketData,
       (depthMarketData) => {
@@ -382,5 +423,5 @@ export class Market extends CTPProvider implements IMarketProvider {
 export const createMarket = (
   flowMdPath: string,
   frontMdAddrs: string | string[],
-  userInfo: CTPUserInfo,
-) => new Market(flowMdPath, frontMdAddrs, userInfo);
+  listener?: IMarketListener,
+) => new Market(flowMdPath, frontMdAddrs, listener);

package/src/provider.ts CHANGED Viewed

@@ -12,29 +12,13 @@
 import ctp from "napi-ctp";
 import { ErrorType, ILifecycleListener } from "./interfaces.js";
-export type CTPUserInfo = {
-  BrokerID: string;
-  UserID: string;
-  Password: string;
-  InvestorID: string;
-  UserProductInfo: string;
-  AuthCode: string;
-  AppID: string;
-};
 export class CTPProvider {
   protected readonly flowPath: string;
   protected readonly frontAddrs: string | string[];
-  protected readonly userInfo: CTPUserInfo;
-  constructor(
-    flowPath: string,
-    frontAddrs: string | string[],
-    userInfo: CTPUserInfo,
-  ) {
+  constructor(flowPath: string, frontAddrs: string | string[]) {
     this.flowPath = flowPath;
     this.frontAddrs = frontAddrs;
-    this.userInfo = userInfo;
   }
   private _sleep(ms: number) {

package/src/trader.ts CHANGED Viewed

@@ -11,7 +11,7 @@
 import Denque from "denque";
 import ctp from "napi-ctp";
-import { CTPProvider, CTPUserInfo } from "./provider.js";
+import { CTPProvider } from "./provider.js";
 import { parseSymbol } from "./utils.js";
 import {
   CommissionRate,
@@ -57,6 +57,16 @@ type CommissionRateQuery = {
 type PositionInfo = Writeable<PositionData>;
 type OrderStat = Writeable<OrderStatistic>;
+export type CTPUserInfo = {
+  BrokerID: string;
+  UserID: string;
+  Password: string;
+  InvestorID: string;
+  UserProductInfo: string;
+  AuthCode: string;
+  AppID: string;
+};
 export class Trader extends CTPProvider implements ITraderProvider {
   private traderApi?: ctp.Trader;
   private tradingDay: number;
@@ -65,6 +75,7 @@ export class Trader extends CTPProvider implements ITraderProvider {
   private orderRef: number;
   private accountsQueryTime: number;
   private positionDetailsChanged: boolean;
+  private readonly userInfo: CTPUserInfo;
   private readonly receivers: IOrderReceiver[];
   private readonly accounts: ctp.TradingAccountField[];
   private readonly positionDetails: ctp.InvestorPositionDetailField[];
@@ -87,13 +98,14 @@ export class Trader extends CTPProvider implements ITraderProvider {
     frontTdAddrs: string | string[],
     userInfo: CTPUserInfo,
   ) {
-    super(flowTdPath, frontTdAddrs, userInfo);
+    super(flowTdPath, frontTdAddrs);
     this.tradingDay = 0;
     this.frontId = 0;
     this.sessionId = 0;
     this.orderRef = 0;
     this.accountsQueryTime = 0;
     this.positionDetailsChanged = true;
+    this.userInfo = userInfo;
     this.receivers = [];
     this.accounts = [];
     this.positionDetails = [];
@@ -760,7 +772,7 @@ export class Trader extends CTPProvider implements ITraderProvider {
     const instruments = Array.from(this.instruments.values());
     switch (type) {
-      case "future":
+      case "futures":
         receiver.onInstruments(
           instruments
             .filter(
@@ -771,7 +783,7 @@ export class Trader extends CTPProvider implements ITraderProvider {
         );
         break;
-      case "option":
+      case "options":
         receiver.onInstruments(
           instruments
             .filter(
@@ -1068,10 +1080,10 @@ export class Trader extends CTPProvider implements ITraderProvider {
   private _calcProductType(productClass: ctp.ProductClassType): ProductType {
     switch (productClass) {
       case ctp.ProductClassType.Futures:
-        return "future";
+        return "futures";
       case ctp.ProductClassType.Options:
-        return "option";
+        return "options";
       default:
         throw new Error(`Unsupported product class: ${productClass}`);

package/src/typedef.ts CHANGED Viewed

@@ -177,7 +177,7 @@ export type TradingAccount = Readonly<{
   frozenCommission: number;
 }>;
-export type ProductType = "future" | "option";
+export type ProductType = "futures" | "options";
 export type InstrumentData = Readonly<{
   symbol: string;