hft-js 0.1.5 → 0.1.7

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 (17) hide show
  1. package/lib/broker.js +9 -5
  2. package/lib/broker.js.map +1 -1
  3. package/lib/index.test.js +11 -3
  4. package/lib/index.test.js.map +1 -1
  5. package/lib/interfaces.d.ts +7 -4
  6. package/lib/market.d.ts +11 -5
  7. package/lib/market.js +21 -3
  8. package/lib/market.js.map +1 -1
  9. package/lib/trader.d.ts +2 -2
  10. package/lib/trader.js +2 -2
  11. package/lib/trader.js.map +1 -1
  12. package/package.json +1 -1
  13. package/src/broker.ts +12 -5
  14. package/src/index.test.ts +12 -3
  15. package/src/interfaces.ts +11 -7
  16. package/src/market.ts +50 -4
  17. package/src/trader.ts +2 -2
package/lib/broker.js CHANGED
@@ -23,11 +23,12 @@ var Broker = /** @class */ (function () {
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  this.generators = new Map();
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  this.marketLifecycle = {
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  onOpen: function () {
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- if (_this.market.hasRecorder()) {
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+ var recorder = _this.market.getRecorder();
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+ if (recorder && recorder.isRecorderReady()) {
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  _this.trader.queryInstruments({
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  onInstruments: function (instruments) {
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  if (instruments) {
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- _this.market.startRecorder(instruments);
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+ recorder.startRecorder(instruments);
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  }
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  },
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  });
@@ -36,7 +37,10 @@ var Broker = /** @class */ (function () {
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  },
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  onClose: function () {
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  _this.strategies.forEach(function (strategy) { return strategy.onDestroy(); });
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- _this.market.stopRecorder();
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+ var recorder = _this.market.getRecorder();
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+ if (recorder) {
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+ recorder.stopRecorder();
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+ }
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  },
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  onError: function (error, message) {
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  if (errorReceiver) {
@@ -67,7 +71,7 @@ var Broker = /** @class */ (function () {
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  Broker.prototype.addStrategy = function (strategy) {
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  if (!this.strategies.includes(strategy)) {
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  this.strategies.push(strategy);
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- this.trader.addReceiver(strategy);
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+ this.trader.addOrderReceiver(strategy);
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  }
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  };
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  Broker.prototype.removeStrategy = function (strategy) {
@@ -76,7 +80,7 @@ var Broker = /** @class */ (function () {
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  return;
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  }
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  this.strategies.splice(index, 1);
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- this.trader.removeReceiver(strategy);
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+ this.trader.removeOrderReceiver(strategy);
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  };
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  Broker.prototype.addPlaceOrderRiskManager = function (riskMgr) {
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  if (!this.placeOrderRiskManagers.includes(riskMgr)) {
package/lib/broker.js.map CHANGED
@@ -1 +1 @@
1
- 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1
+ 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package/lib/index.test.js CHANGED
@@ -191,10 +191,18 @@ var Strategy = /** @class */ (function () {
191
191
  return Strategy;
192
192
  }());
193
193
  var trader = hft.createTrader(config.FlowTdPath, config.FrontTdAddrs, config.UserInfo);
194
- var market = hft.createMarket(config.FlowMdPath, config.FrontMdAddrs);
194
+ var market = hft.createMarket(config.FlowMdPath, config.FrontMdAddrs, {
195
+ onSubscribed: function (symbol) {
196
+ console.log("Market subscribed: ".concat(symbol));
197
+ },
198
+ onUnsubscribed: function (symbol) {
199
+ console.log("Market unsubscribed: ".concat(symbol));
200
+ },
201
+ });
202
+ var recorder = market.getRecorder();
195
203
  var enableRecorder = false;
196
- if (enableRecorder) {
197
- market.setRecorder({
204
+ if (enableRecorder && recorder) {
205
+ recorder.setRecorder({
198
206
  onMarketData: function (marketData) {
199
207
  console.log(marketData.InstrumentID, marketData.LastPrice);
200
208
  },
package/lib/index.test.js.map CHANGED
@@ -1 +1 @@
1
- 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package/lib/interfaces.d.ts CHANGED
@@ -78,8 +78,8 @@ export interface IProvider {
78
78
  close: (lifecycle: ILifecycleListener) => void;
79
79
  }
80
80
  export interface IOrderEmitter {
81
- addReceiver: (receiver: IOrderReceiver) => void;
82
- removeReceiver: (receiver: IOrderReceiver) => void;
81
+ addOrderReceiver: (receiver: IOrderReceiver) => void;
82
+ removeOrderReceiver: (receiver: IOrderReceiver) => void;
83
83
  }
84
84
  export interface IQueryProvider {
85
85
  getTradingDay: () => number;
@@ -99,12 +99,15 @@ export interface IMarketRecorderReceiver {
99
99
  onMarketData: (marketData: any) => void;
100
100
  }
101
101
  export type IMarketRecorderSymbols = (instrument: InstrumentData[]) => string[];
102
- export interface IMarketProvider extends IProvider, ITickSubscriber, ITickUnsubscriber {
103
- hasRecorder: () => boolean;
102
+ export interface IMarketRecorderProvider {
103
+ isRecorderReady: () => boolean;
104
104
  setRecorder: (receiver: IMarketRecorderReceiver, symbols: IMarketRecorderSymbols) => void;
105
105
  startRecorder: (instrument: InstrumentData[]) => void;
106
106
  stopRecorder: () => void;
107
107
  }
108
+ export interface IMarketProvider extends IProvider, ITickSubscriber, ITickUnsubscriber {
109
+ getRecorder: () => IMarketRecorderProvider | undefined;
110
+ }
108
111
  export type IPlaceOrderResultReceiver = {
109
112
  onPlaceOrderSent: (receiptId: string) => void;
110
113
  onPlaceOrderError: (reason: string) => void;
package/lib/market.d.ts CHANGED
@@ -1,17 +1,23 @@
1
1
  import { CTPProvider } from "./provider.js";
2
2
  import { InstrumentData } from "./typedef.js";
3
- import { ILifecycleListener, IMarketProvider, IMarketRecorderReceiver, IMarketRecorderSymbols, ITickReceiver } from "./interfaces.js";
4
- export declare class Market extends CTPProvider implements IMarketProvider {
3
+ import { ILifecycleListener, IMarketProvider, IMarketRecorderProvider, IMarketRecorderReceiver, IMarketRecorderSymbols, ITickReceiver } from "./interfaces.js";
4
+ export interface IMarketListener {
5
+ onSubscribed: (symbol: string) => void;
6
+ onUnsubscribed: (symbol: string) => void;
7
+ }
8
+ export declare class Market extends CTPProvider implements IMarketProvider, IMarketRecorderProvider {
5
9
  private marketApi?;
6
10
  private recorder?;
7
11
  private recorderSymbols?;
8
12
  private tradingDay;
13
+ private readonly listener?;
9
14
  private readonly recordings;
10
15
  private readonly symbols;
11
16
  private readonly lastTicks;
12
17
  private readonly subscribers;
13
- constructor(flowMdPath: string, frontMdAddrs: string | string[]);
14
- hasRecorder(): boolean;
18
+ constructor(flowMdPath: string, frontMdAddrs: string | string[], listener?: IMarketListener);
19
+ getRecorder(): this;
20
+ isRecorderReady(): boolean;
15
21
  setRecorder(receiver: IMarketRecorderReceiver, symbols: IMarketRecorderSymbols): void;
16
22
  open(lifecycle: ILifecycleListener): boolean;
17
23
  close(lifecycle: ILifecycleListener): void;
@@ -20,4 +26,4 @@ export declare class Market extends CTPProvider implements IMarketProvider {
20
26
  subscribe(symbols: string[], receiver: ITickReceiver): void;
21
27
  unsubscribe(symbols: string[], receiver: ITickReceiver): void;
22
28
  }
23
- export declare const createMarket: (flowMdPath: string, frontMdAddrs: string | string[]) => Market;
29
+ export declare const createMarket: (flowMdPath: string, frontMdAddrs: string | string[], listener?: IMarketListener) => Market;
package/lib/market.js CHANGED
@@ -46,8 +46,9 @@ var isValidPrice = function (x) { return x !== Number.MAX_VALUE && x !== 0; };
46
46
  var isValidVolume = function (x) { return x !== Number.MAX_VALUE && x !== 0; };
47
47
  var Market = /** @class */ (function (_super) {
48
48
  __extends(Market, _super);
49
- function Market(flowMdPath, frontMdAddrs) {
49
+ function Market(flowMdPath, frontMdAddrs, listener) {
50
50
  var _this = _super.call(this, flowMdPath, frontMdAddrs) || this;
51
+ _this.listener = listener;
51
52
  _this.tradingDay = 0;
52
53
  _this.recordings = new Set();
53
54
  _this.symbols = new Map();
@@ -55,7 +56,10 @@ var Market = /** @class */ (function (_super) {
55
56
  _this.subscribers = new Map();
56
57
  return _this;
57
58
  }
58
- Market.prototype.hasRecorder = function () {
59
+ Market.prototype.getRecorder = function () {
60
+ return this;
61
+ };
62
+ Market.prototype.isRecorderReady = function () {
59
63
  return !!this.recorder;
60
64
  };
61
65
  Market.prototype.setRecorder = function (receiver, symbols) {
@@ -92,6 +96,20 @@ var Market = /** @class */ (function (_super) {
92
96
  lifecycle.onOpen();
93
97
  }
94
98
  });
99
+ this.marketApi.on(napi_ctp_1.default.MarketDataEvent.RspSubMarketData, function (instrument) {
100
+ if (!_this.listener) {
101
+ return;
102
+ }
103
+ var symbol = _this.symbols.get(instrument.InstrumentID);
104
+ _this.listener.onSubscribed(symbol !== null && symbol !== void 0 ? symbol : instrument.InstrumentID);
105
+ });
106
+ this.marketApi.on(napi_ctp_1.default.MarketDataEvent.RspUnSubMarketData, function (instrument) {
107
+ if (!_this.listener) {
108
+ return;
109
+ }
110
+ var symbol = _this.symbols.get(instrument.InstrumentID);
111
+ _this.listener.onUnsubscribed(symbol !== null && symbol !== void 0 ? symbol : instrument.InstrumentID);
112
+ });
95
113
  this.marketApi.on(napi_ctp_1.default.MarketDataEvent.RtnDepthMarketData, function (depthMarketData) {
96
114
  var instrumentId = depthMarketData.InstrumentID;
97
115
  if (_this.recorder && _this.recordings.has(instrumentId)) {
@@ -291,6 +309,6 @@ var Market = /** @class */ (function (_super) {
291
309
  return Market;
292
310
  }(provider_js_1.CTPProvider));
293
311
  exports.Market = Market;
294
- var createMarket = function (flowMdPath, frontMdAddrs) { return new Market(flowMdPath, frontMdAddrs); };
312
+ var createMarket = function (flowMdPath, frontMdAddrs, listener) { return new Market(flowMdPath, frontMdAddrs, listener); };
295
313
  exports.createMarket = createMarket;
296
314
  //# sourceMappingURL=market.js.map
package/lib/market.js.map CHANGED
@@ -1 +1 @@
1
- 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1
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{"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/trader.d.ts CHANGED
@@ -38,8 +38,8 @@ export declare class Trader extends CTPProvider implements ITraderProvider {
38
38
  constructor(flowTdPath: string, frontTdAddrs: string | string[], userInfo: CTPUserInfo);
39
39
  open(lifecycle: ILifecycleListener): boolean;
40
40
  close(lifecycle: ILifecycleListener): void;
41
- addReceiver(receiver: IOrderReceiver): void;
42
- removeReceiver(receiver: IOrderReceiver): void;
41
+ addOrderReceiver(receiver: IOrderReceiver): void;
42
+ removeOrderReceiver(receiver: IOrderReceiver): void;
43
43
  getTradingDay(): number;
44
44
  getOrderStatistics(): Readonly<{
45
45
  symbol: string;
package/lib/trader.js CHANGED
@@ -419,12 +419,12 @@ var Trader = /** @class */ (function (_super) {
419
419
  this.traderApi = undefined;
420
420
  lifecycle.onClose();
421
421
  };
422
- Trader.prototype.addReceiver = function (receiver) {
422
+ Trader.prototype.addOrderReceiver = function (receiver) {
423
423
  if (!this.receivers.includes(receiver)) {
424
424
  this.receivers.push(receiver);
425
425
  }
426
426
  };
427
- Trader.prototype.removeReceiver = function (receiver) {
427
+ Trader.prototype.removeOrderReceiver = function (receiver) {
428
428
  var index = this.receivers.indexOf(receiver);
429
429
  if (index < 0) {
430
430
  return;
package/lib/trader.js.map CHANGED
@@ -1 +1 @@
1
- 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1
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package/package.json CHANGED
@@ -1,6 +1,6 @@
1
1
  {
2
2
  "name": "hft-js",
3
- "version": "0.1.5",
3
+ "version": "0.1.7",
4
4
  "description": "High-Frequency Trading in Node.js",
5
5
  "main": "./lib/index.js",
6
6
  "types": "./lib/index.d.ts",
package/src/broker.ts CHANGED
@@ -57,11 +57,13 @@ export class Broker implements IRuntimeEngine {
57
57
 
58
58
  this.marketLifecycle = {
59
59
  onOpen: () => {
60
- if (this.market.hasRecorder()) {
60
+ const recorder = this.market.getRecorder();
61
+
62
+ if (recorder && recorder.isRecorderReady()) {
61
63
  this.trader.queryInstruments({
62
64
  onInstruments: (instruments) => {
63
65
  if (instruments) {
64
- this.market.startRecorder(instruments);
66
+ recorder.startRecorder(instruments);
65
67
  }
66
68
  },
67
69
  });
@@ -72,7 +74,12 @@ export class Broker implements IRuntimeEngine {
72
74
 
73
75
  onClose: () => {
74
76
  this.strategies.forEach((strategy) => strategy.onDestroy());
75
- this.market.stopRecorder();
77
+
78
+ const recorder = this.market.getRecorder();
79
+
80
+ if (recorder) {
81
+ recorder.stopRecorder();
82
+ }
76
83
  },
77
84
 
78
85
  onError: (error: ErrorType, message: string) => {
@@ -110,7 +117,7 @@ export class Broker implements IRuntimeEngine {
110
117
  addStrategy(strategy: IStrategy) {
111
118
  if (!this.strategies.includes(strategy)) {
112
119
  this.strategies.push(strategy);
113
- this.trader.addReceiver(strategy);
120
+ this.trader.addOrderReceiver(strategy);
114
121
  }
115
122
  }
116
123
 
@@ -122,7 +129,7 @@ export class Broker implements IRuntimeEngine {
122
129
  }
123
130
 
124
131
  this.strategies.splice(index, 1);
125
- this.trader.removeReceiver(strategy);
132
+ this.trader.removeOrderReceiver(strategy);
126
133
  }
127
134
 
128
135
  addPlaceOrderRiskManager(riskMgr: IPlaceOrderRiskManager) {
package/src/index.test.ts CHANGED
@@ -219,12 +219,21 @@ const trader = hft.createTrader(
219
219
  config.UserInfo,
220
220
  );
221
221
 
222
- const market = hft.createMarket(config.FlowMdPath, config.FrontMdAddrs);
222
+ const market = hft.createMarket(config.FlowMdPath, config.FrontMdAddrs, {
223
+ onSubscribed: (symbol) => {
224
+ console.log(`Market subscribed: ${symbol}`);
225
+ },
226
+
227
+ onUnsubscribed: (symbol) => {
228
+ console.log(`Market unsubscribed: ${symbol}`);
229
+ },
230
+ });
223
231
 
232
+ const recorder = market.getRecorder();
224
233
  const enableRecorder = false;
225
234
 
226
- if (enableRecorder) {
227
- market.setRecorder(
235
+ if (enableRecorder && recorder) {
236
+ recorder.setRecorder(
228
237
  {
229
238
  onMarketData: (marketData: ctp.DepthMarketDataField) => {
230
239
  console.log(marketData.InstrumentID, marketData.LastPrice);
package/src/interfaces.ts CHANGED
@@ -148,8 +148,8 @@ export interface IProvider {
148
148
  }
149
149
 
150
150
  export interface IOrderEmitter {
151
- addReceiver: (receiver: IOrderReceiver) => void;
152
- removeReceiver: (receiver: IOrderReceiver) => void;
151
+ addOrderReceiver: (receiver: IOrderReceiver) => void;
152
+ removeOrderReceiver: (receiver: IOrderReceiver) => void;
153
153
  }
154
154
 
155
155
  export interface IQueryProvider {
@@ -184,11 +184,8 @@ export interface IMarketRecorderReceiver {
184
184
 
185
185
  export type IMarketRecorderSymbols = (instrument: InstrumentData[]) => string[];
186
186
 
187
- export interface IMarketProvider
188
- extends IProvider,
189
- ITickSubscriber,
190
- ITickUnsubscriber {
191
- hasRecorder: () => boolean;
187
+ export interface IMarketRecorderProvider {
188
+ isRecorderReady: () => boolean;
192
189
 
193
190
  setRecorder: (
194
191
  receiver: IMarketRecorderReceiver,
@@ -199,6 +196,13 @@ export interface IMarketProvider
199
196
  stopRecorder: () => void;
200
197
  }
201
198
 
199
+ export interface IMarketProvider
200
+ extends IProvider,
201
+ ITickSubscriber,
202
+ ITickUnsubscriber {
203
+ getRecorder: () => IMarketRecorderProvider | undefined;
204
+ }
205
+
202
206
  export type IPlaceOrderResultReceiver = {
203
207
  onPlaceOrderSent: (receiptId: string) => void;
204
208
  onPlaceOrderError: (reason: string) => void;
package/src/market.ts CHANGED
@@ -17,6 +17,7 @@ import { parseSymbol } from "./utils.js";
17
17
  import {
18
18
  ILifecycleListener,
19
19
  IMarketProvider,
20
+ IMarketRecorderProvider,
20
21
  IMarketRecorderReceiver,
21
22
  IMarketRecorderSymbols,
22
23
  ITickReceiver,
@@ -25,18 +26,32 @@ import {
25
26
  const isValidPrice = (x: number) => x !== Number.MAX_VALUE && x !== 0;
26
27
  const isValidVolume = (x: number) => x !== Number.MAX_VALUE && x !== 0;
27
28
 
28
- export class Market extends CTPProvider implements IMarketProvider {
29
+ export interface IMarketListener {
30
+ onSubscribed: (symbol: string) => void;
31
+ onUnsubscribed: (symbol: string) => void;
32
+ }
33
+
34
+ export class Market
35
+ extends CTPProvider
36
+ implements IMarketProvider, IMarketRecorderProvider
37
+ {
29
38
  private marketApi?: ctp.MarketData;
30
39
  private recorder?: IMarketRecorderReceiver;
31
40
  private recorderSymbols?: IMarketRecorderSymbols;
32
41
  private tradingDay: number;
42
+ private readonly listener?: IMarketListener;
33
43
  private readonly recordings: Set<string>;
34
44
  private readonly symbols: Map<string, string>;
35
45
  private readonly lastTicks: Map<string, TickData>;
36
46
  private readonly subscribers: Map<string, ITickReceiver[]>;
37
47
 
38
- constructor(flowMdPath: string, frontMdAddrs: string | string[]) {
48
+ constructor(
49
+ flowMdPath: string,
50
+ frontMdAddrs: string | string[],
51
+ listener?: IMarketListener,
52
+ ) {
39
53
  super(flowMdPath, frontMdAddrs);
54
+ this.listener = listener;
40
55
  this.tradingDay = 0;
41
56
  this.recordings = new Set();
42
57
  this.symbols = new Map();
@@ -44,7 +59,11 @@ export class Market extends CTPProvider implements IMarketProvider {
44
59
  this.subscribers = new Map();
45
60
  }
46
61
 
47
- hasRecorder() {
62
+ getRecorder() {
63
+ return this;
64
+ }
65
+
66
+ isRecorderReady() {
48
67
  return !!this.recorder;
49
68
  }
50
69
 
@@ -101,6 +120,32 @@ export class Market extends CTPProvider implements IMarketProvider {
101
120
  },
102
121
  );
103
122
 
123
+ this.marketApi.on<ctp.SpecificInstrumentField>(
124
+ ctp.MarketDataEvent.RspSubMarketData,
125
+ (instrument) => {
126
+ if (!this.listener) {
127
+ return;
128
+ }
129
+
130
+ const symbol = this.symbols.get(instrument.InstrumentID);
131
+
132
+ this.listener.onSubscribed(symbol ?? instrument.InstrumentID);
133
+ },
134
+ );
135
+
136
+ this.marketApi.on<ctp.SpecificInstrumentField>(
137
+ ctp.MarketDataEvent.RspUnSubMarketData,
138
+ (instrument) => {
139
+ if (!this.listener) {
140
+ return;
141
+ }
142
+
143
+ const symbol = this.symbols.get(instrument.InstrumentID);
144
+
145
+ this.listener.onUnsubscribed(symbol ?? instrument.InstrumentID);
146
+ },
147
+ );
148
+
104
149
  this.marketApi.on<ctp.DepthMarketDataField>(
105
150
  ctp.MarketDataEvent.RtnDepthMarketData,
106
151
  (depthMarketData) => {
@@ -378,4 +423,5 @@ export class Market extends CTPProvider implements IMarketProvider {
378
423
  export const createMarket = (
379
424
  flowMdPath: string,
380
425
  frontMdAddrs: string | string[],
381
- ) => new Market(flowMdPath, frontMdAddrs);
426
+ listener?: IMarketListener,
427
+ ) => new Market(flowMdPath, frontMdAddrs, listener);
package/src/trader.ts CHANGED
@@ -641,13 +641,13 @@ export class Trader extends CTPProvider implements ITraderProvider {
641
641
  lifecycle.onClose();
642
642
  }
643
643
 
644
- addReceiver(receiver: IOrderReceiver) {
644
+ addOrderReceiver(receiver: IOrderReceiver) {
645
645
  if (!this.receivers.includes(receiver)) {
646
646
  this.receivers.push(receiver);
647
647
  }
648
648
  }
649
649
 
650
- removeReceiver(receiver: IOrderReceiver) {
650
+ removeOrderReceiver(receiver: IOrderReceiver) {
651
651
  const index = this.receivers.indexOf(receiver);
652
652
 
653
653
  if (index < 0) {