hft-js 0.1.7 → 0.1.9
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.
- package/lib/broker.d.ts +0 -4
- package/lib/broker.js +0 -12
- package/lib/broker.js.map +1 -1
- package/lib/index.test.d.ts +3 -0
- package/lib/index.test.js +3 -3
- package/lib/index.test.js.map +1 -1
- package/lib/interfaces.d.ts +1 -5
- package/lib/market.js +21 -23
- package/lib/market.js.map +1 -1
- package/lib/provider.js +5 -6
- package/lib/provider.js.map +1 -1
- package/lib/trader.d.ts +5 -0
- package/lib/trader.js +114 -16
- package/lib/trader.js.map +1 -1
- package/lib/utils.d.ts +8 -1
- package/lib/utils.js +25 -1
- package/lib/utils.js.map +1 -1
- package/package.json +1 -1
- package/src/broker.ts +0 -78
- package/src/index.test.ts +7 -4
- package/src/interfaces.ts +2 -35
- package/src/market.ts +1 -4
- package/src/provider.ts +4 -3
- package/src/trader.ts +211 -21
- package/src/utils.ts +91 -1
package/lib/broker.d.ts
CHANGED
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@@ -22,10 +22,6 @@ export declare class Broker implements IRuntimeEngine {
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unsubscribeBar(symbols: string[], receiver: IBarReceiver): void;
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placeOrder(strategy: IStrategy, symbol: string, offset: OffsetType, side: SideType, volume: number, price: number, flag: OrderFlag, receiver: IPlaceOrderResultReceiver): void;
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cancelOrder(strategy: IStrategy, order: OrderData, receiver: ICancelOrderResultReceiver): void;
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25
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buyOpen(strategy: IStrategy, symbol: string, volume: number, price: number, receiver: IPlaceOrderResultReceiver): void;
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26
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buyClose(strategy: IStrategy, symbol: string, volume: number, price: number, isToday: boolean, receiver: IPlaceOrderResultReceiver): void;
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27
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-
sellOpen(strategy: IStrategy, symbol: string, volume: number, price: number, receiver: IPlaceOrderResultReceiver): void;
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28
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-
sellClose(strategy: IStrategy, symbol: string, volume: number, price: number, isToday: boolean, receiver: IPlaceOrderResultReceiver): void;
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25
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getTradingDay(): number;
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26
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getOrderStatistics(): Readonly<{
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27
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symbol: string;
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package/lib/broker.js
CHANGED
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@@ -162,18 +162,6 @@ var Broker = /** @class */ (function () {
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}
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return this.trader.cancelOrder(order, receiver);
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};
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165
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-
Broker.prototype.buyOpen = function (strategy, symbol, volume, price, receiver) {
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166
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return this.placeOrder(strategy, symbol, "open", "long", volume, price, "limit", receiver);
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167
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-
};
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168
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-
Broker.prototype.buyClose = function (strategy, symbol, volume, price, isToday, receiver) {
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169
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return this.placeOrder(strategy, symbol, isToday ? "close-today" : "close", "long", volume, price, "limit", receiver);
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170
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-
};
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171
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-
Broker.prototype.sellOpen = function (strategy, symbol, volume, price, receiver) {
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172
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-
return this.placeOrder(strategy, symbol, "open", "short", volume, price, "limit", receiver);
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-
};
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174
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-
Broker.prototype.sellClose = function (strategy, symbol, volume, price, isToday, receiver) {
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175
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-
return this.placeOrder(strategy, symbol, isToday ? "close-today" : "close", "short", volume, price, "limit", receiver);
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176
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-
};
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Broker.prototype.getTradingDay = function () {
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return this.trader.getTradingDay();
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};
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package/lib/broker.js.map
CHANGED
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@@ -1 +1 @@
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1
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-
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+
{"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,gBAAgB,CAAC,QAAQ,CAAC,CAAC;QACzC,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,mBAAmB,CAAC,QAAQ,CAAC,CAAC;IAC5C,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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|
package/lib/index.test.d.ts
CHANGED
package/lib/index.test.js
CHANGED
|
@@ -67,7 +67,7 @@ if (!existsFile(config.FlowMdPath)) {
|
|
|
67
67
|
}
|
|
68
68
|
var Strategy = /** @class */ (function () {
|
|
69
69
|
function Strategy(engine) {
|
|
70
|
-
this.symbol =
|
|
70
|
+
this.symbol = config.Test.Symbol;
|
|
71
71
|
this.engine = engine;
|
|
72
72
|
}
|
|
73
73
|
Strategy.prototype.onInit = function () {
|
|
@@ -123,7 +123,7 @@ var Strategy = /** @class */ (function () {
|
|
|
123
123
|
if (_this.lastBar) {
|
|
124
124
|
console.log(_this.lastBar);
|
|
125
125
|
}
|
|
126
|
-
|
|
126
|
+
hft.buyOpen(_this.engine, _this, _this.symbol, 1, _this.lastTick.orderBook.asks.price[0], {
|
|
127
127
|
onPlaceOrderSent: function (receiptId) {
|
|
128
128
|
console.log("Open Place Order Receipt Id", receiptId);
|
|
129
129
|
},
|
|
@@ -159,7 +159,7 @@ var Strategy = /** @class */ (function () {
|
|
|
159
159
|
if (_this.lastBar) {
|
|
160
160
|
console.log(_this.lastBar);
|
|
161
161
|
}
|
|
162
|
-
|
|
162
|
+
hft.sellClose(_this.engine, _this, _this.symbol, todayLong, 0, true, {
|
|
163
163
|
onPlaceOrderSent: function (receiptId) {
|
|
164
164
|
console.log("Close Place Order Receipt Id", receiptId);
|
|
165
165
|
},
|
package/lib/index.test.js.map
CHANGED
|
@@ -1 +1 @@
|
|
|
1
|
-
{"version":3,"file":"index.test.js","sourceRoot":"","sources":["../src/index.test.ts"],"names":[],"mappings":";AAAA;;;;;;;;;GASG;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;AAEH,oDAAyB;AACzB,6CAAoC;AAEpC,qCAAyB;
|
|
1
|
+
{"version":3,"file":"index.test.js","sourceRoot":"","sources":["../src/index.test.ts"],"names":[],"mappings":";AAAA;;;;;;;;;GASG;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;AAEH,oDAAyB;AACzB,6CAAoC;AAEpC,qCAAyB;AAWzB,IAAM,UAAU,GAAG,UAAC,QAAgB;IAClC,IAAI,CAAC;QACH,iBAAE,CAAC,UAAU,CAAC,QAAQ,CAAC,CAAC;QACxB,OAAO,IAAI,CAAC;IACd,CAAC;IAAC,WAAM,CAAC;QACP,OAAO,KAAK,CAAC;IACf,CAAC;AACH,CAAC,CAAC;AAEF,IAAM,MAAM,GAAG,IAAI,CAAC,KAAK,CACvB,iBAAE,CAAC,YAAY,CAAC,gBAAgB,EAAE,MAAM,CAAC,CAC7B,CAAC;AAEf,IAAI,CAAC,UAAU,CAAC,MAAM,CAAC,UAAU,CAAC,EAAE,CAAC;IACnC,iBAAE,CAAC,SAAS,CAAC,MAAM,CAAC,UAAU,EAAE,EAAE,SAAS,EAAE,IAAI,EAAE,CAAC,CAAC;AACvD,CAAC;AAED,IAAI,CAAC,UAAU,CAAC,MAAM,CAAC,UAAU,CAAC,EAAE,CAAC;IACnC,iBAAE,CAAC,SAAS,CAAC,MAAM,CAAC,UAAU,EAAE,EAAE,SAAS,EAAE,IAAI,EAAE,CAAC,CAAC;AACvD,CAAC;AAED;IAME,kBAAY,MAA0B;QAF7B,WAAM,GAAG,MAAM,CAAC,IAAI,CAAC,MAAM,CAAC;QAGnC,IAAI,CAAC,MAAM,GAAG,MAAM,CAAC;IACvB,CAAC;IAED,yBAAM,GAAN;QAAA,iBAiFC;QAhFC,IAAI,CAAC,MAAM,CAAC,SAAS,CAAC,CAAC,IAAI,CAAC,MAAM,CAAC,EAAE,IAAI,CAAC,CAAC;QAC3C,IAAI,CAAC,MAAM,CAAC,YAAY,CAAC,CAAC,IAAI,CAAC,MAAM,CAAC,EAAE,IAAI,CAAC,CAAC;QAE9C,OAAO,CAAC,GAAG,CAAC,eAAe,CAAC,CAAC;QAC7B,OAAO,CAAC,GAAG,CAAC,aAAa,EAAE,IAAI,CAAC,MAAM,CAAC,aAAa,EAAE,CAAC,CAAC;QAExD,IAAI,CAAC,MAAM,CAAC,eAAe,CAAC,IAAI,CAAC,MAAM,EAAE;YACvC,YAAY,EAAE,UAAC,UAAU;gBACvB,IAAI,CAAC,UAAU,EAAE,CAAC;oBAChB,OAAO,CAAC,KAAK,CAAC,QAAQ,EAAE,KAAI,CAAC,MAAM,EAAE,OAAO,CAAC,CAAC;oBAC9C,IAAA,mBAAI,EAAC,CAAC,CAAC,CAAC;gBACV,CAAC;gBAED,OAAO,CAAC,GAAG,CAAC,YAAY,EAAE,UAAU,CAAC,CAAC;YACxC,CAAC;SACF,CAAC,CAAC;QAEH,IAAI,CAAC,MAAM,CAAC,mBAAmB,CAAC,IAAI,CAAC,MAAM,EAAE;YAC3C,gBAAgB,EAAE,UAAC,IAAI;gBACrB,OAAO,CAAC,GAAG,CAAC,iBAAiB,EAAE,IAAI,CAAC,CAAC;YACvC,CAAC;SACF,CAAC,CAAC;QAEH,IAAI,CAAC,MAAM,CAAC,eAAe,CAAC,IAAI,CAAC,MAAM,EAAE;YACvC,YAAY,EAAE,UAAC,IAAI;gBACjB,OAAO,CAAC,GAAG,CAAC,aAAa,EAAE,IAAI,CAAC,CAAC;YACnC,CAAC;SACF,CAAC,CAAC;QAEH,IAAI,CAAC,MAAM,CAAC,oBAAoB,CAAC;YAC/B,iBAAiB,EAAE,UAAC,QAAQ;gBAC1B,OAAO,CAAC,GAAG,CAAC,kBAAkB,EAAE,QAAQ,CAAC,CAAC;YAC5C,CAAC;SACF,CAAC,CAAC;QAEH,IAAI,CAAC,MAAM,CAAC,WAAW,CAAC;YACtB,QAAQ,EAAE,UAAC,MAAM;gBACf,OAAO,CAAC,GAAG,CAAC,QAAQ,EAAE,MAAM,CAAC,CAAC;YAChC,CAAC;SACF,CAAC,CAAC;QAEH,IAAI,CAAC,MAAM,CAAC,oBAAoB,CAAC;YAC/B,iBAAiB,EAAE,UAAC,eAAe;gBACjC,OAAO,CAAC,GAAG,CAAC,kBAAkB,EAAE,eAAe,CAAC,CAAC;YACnD,CAAC;SACF,CAAC,CAAC;QAEH,IAAI,CAAC,MAAM,CAAC,cAAc,CAAC;YACzB,WAAW,EAAE,UAAC,SAAS;gBACrB,OAAO,CAAC,GAAG,CAAC,WAAW,EAAE,SAAS,CAAC,CAAC;YACtC,CAAC;SACF,CAAC,CAAC;QAEH,UAAU,CAAC;YACT,IAAI,CAAC,KAAI,CAAC,QAAQ,EAAE,CAAC;gBACnB,OAAO,CAAC,KAAK,CAAC,0BAA0B,CAAC,CAAC;gBAC1C,OAAO;YACT,CAAC;YAED,IAAI,KAAI,CAAC,OAAO,EAAE,CAAC;gBACjB,OAAO,CAAC,GAAG,CAAC,KAAI,CAAC,OAAO,CAAC,CAAC;YAC5B,CAAC;YAED,GAAG,CAAC,OAAO,CACT,KAAI,CAAC,MAAM,EACX,KAAI,EACJ,KAAI,CAAC,MAAM,EACX,CAAC,EACD,KAAI,CAAC,QAAQ,CAAC,SAAS,CAAC,IAAI,CAAC,KAAK,CAAC,CAAC,CAAC,EACrC;gBACE,gBAAgB,EAAE,UAAC,SAAS;oBAC1B,OAAO,CAAC,GAAG,CAAC,6BAA6B,EAAE,SAAS,CAAC,CAAC;gBACxD,CAAC;gBAED,iBAAiB,EAAE,UAAC,MAAM;oBACxB,OAAO,CAAC,KAAK,CAAC,wBAAwB,EAAE,MAAM,CAAC,CAAC;gBAClD,CAAC;aACF,CACF,CAAC;QACJ,CAAC,EAAE,EAAE,GAAG,IAAI,CAAC,CAAC;IAChB,CAAC;IAED,4BAAS,GAAT;QACE,IAAI,CAAC,MAAM,CAAC,cAAc,CAAC,CAAC,IAAI,CAAC,MAAM,CAAC,EAAE,IAAI,CAAC,CAAC;QAChD,IAAI,CAAC,MAAM,CAAC,WAAW,CAAC,CAAC,IAAI,CAAC,MAAM,CAAC,EAAE,IAAI,CAAC,CAAC;QAC7C,OAAO,CAAC,GAAG,CAAC,kBAAkB,CAAC,CAAC;IAClC,CAAC;IAED,yBAAM,GAAN,UAAO,IAAkB,EAAE,MAAe;QACxC,OAAO,CAAC,GAAG,CAAC,sBAAsB,EAAE,IAAI,EAAE,MAAM,CAAC,CAAC;IACpD,CAAC;IAED,4BAAS,GAAT,UAAU,KAAoB;QAC5B,OAAO,CAAC,GAAG,CAAC,eAAe,EAAE,KAAK,CAAC,CAAC;IACtC,CAAC;IAED,0BAAO,GAAP,UAAQ,KAAoB,EAAE,KAAoB;QAAlD,iBAyCC;QAxCC,OAAO,CAAC,GAAG,CAAC,OAAO,EAAE,KAAK,EAAE,QAAQ,EAAE,KAAK,CAAC,CAAC;QAE7C,IAAI,KAAK,CAAC,MAAM,KAAK,QAAQ,EAAE,CAAC;YAC9B,UAAU,CAAC;gBACT,KAAI,CAAC,MAAM,CAAC,aAAa,CAAC,KAAI,CAAC,MAAM,EAAE;oBACrC,UAAU,EAAE,UAAC,QAAQ;wBACnB,IAAI,CAAC,QAAQ,IAAI,CAAC,KAAI,CAAC,QAAQ,EAAE,CAAC;4BAChC,OAAO;wBACT,CAAC;wBAED,IAAM,SAAS,GACb,QAAQ,CAAC,KAAK,CAAC,IAAI,CAAC,QAAQ,GAAG,QAAQ,CAAC,KAAK,CAAC,IAAI,CAAC,MAAM,CAAC;wBAE5D,IAAI,SAAS,GAAG,CAAC,EAAE,CAAC;4BAClB,IAAI,KAAI,CAAC,OAAO,EAAE,CAAC;gCACjB,OAAO,CAAC,GAAG,CAAC,KAAI,CAAC,OAAO,CAAC,CAAC;4BAC5B,CAAC;4BAED,GAAG,CAAC,SAAS,CACX,KAAI,CAAC,MAAM,EACX,KAAI,EACJ,KAAI,CAAC,MAAM,EACX,SAAS,EACT,CAAC,EACD,IAAI,EACJ;gCACE,gBAAgB,EAAE,UAAC,SAAS;oCAC1B,OAAO,CAAC,GAAG,CAAC,8BAA8B,EAAE,SAAS,CAAC,CAAC;gCACzD,CAAC;gCAED,iBAAiB,EAAE,UAAC,MAAM;oCACxB,OAAO,CAAC,KAAK,CAAC,yBAAyB,EAAE,MAAM,CAAC,CAAC;gCACnD,CAAC;6BACF,CACF,CAAC;wBACJ,CAAC;oBACH,CAAC;iBACF,CAAC,CAAC;YACL,CAAC,EAAE,EAAE,GAAG,IAAI,CAAC,CAAC;QAChB,CAAC;IACH,CAAC;IAED,2BAAQ,GAAR,UAAS,KAAoB;QAC3B,OAAO,CAAC,GAAG,CAAC,cAAc,EAAE,KAAK,CAAC,CAAC;IACrC,CAAC;IAED,2BAAQ,GAAR,UAAS,KAAoB;QAC3B,OAAO,CAAC,GAAG,CAAC,cAAc,EAAE,KAAK,CAAC,CAAC;IACrC,CAAC;IAED,yBAAM,GAAN,UAAO,IAAkB,EAAE,IAAkB;QAC3C,oBAAoB;QACpB,oBAAoB;QAEpB,IAAI,CAAC,QAAQ,GAAG,IAAI,CAAC;IACvB,CAAC;IAED,wBAAK,GAAL,UAAM,GAAgB;QACpB,OAAO,CAAC,GAAG,CAAC,GAAG,CAAC,CAAC;QAEjB,IAAI,CAAC,OAAO,GAAG,GAAG,CAAC;IACrB,CAAC;IACH,eAAC;AAAD,CAAC,AA1KD,IA0KC;AAED,IAAM,MAAM,GAAG,GAAG,CAAC,YAAY,CAC7B,MAAM,CAAC,UAAU,EACjB,MAAM,CAAC,YAAY,EACnB,MAAM,CAAC,QAAQ,CAChB,CAAC;AAEF,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|
package/lib/interfaces.d.ts
CHANGED
|
@@ -9,7 +9,7 @@ export interface ICancelOrderRiskManager {
|
|
|
9
9
|
export interface IRiskManagerReceiver {
|
|
10
10
|
onRisk: (type: RiskType, reason?: string) => void;
|
|
11
11
|
}
|
|
12
|
-
export type ErrorType = "login-error" | "query-order-error" | "query-trade-error" | "query-instrument-error" | "query-margin-rate-error" | "query-commission-rate-error" | "query-accounts-error" | "query-positions-error" | "query-position-details-error";
|
|
12
|
+
export type ErrorType = "login-error" | "query-order-error" | "query-trade-error" | "query-instrument-error" | "query-margin-rate-error" | "query-commission-rate-error" | "query-accounts-error" | "query-positions-error" | "query-position-details-error" | "query-depth-market-data-error";
|
|
13
13
|
export interface IErrorReceiver {
|
|
14
14
|
onError: (error: ErrorType, message: string) => void;
|
|
15
15
|
}
|
|
@@ -127,8 +127,4 @@ export interface IRuntimeEngine extends IQueryProvider, ITickSubscriber, ITickUn
|
|
|
127
127
|
addCancelOrderRiskManager: (riskMgr: ICancelOrderRiskManager) => void;
|
|
128
128
|
placeOrder: (strategy: IStrategy, symbol: string, offset: OffsetType, side: SideType, volume: number, price: number, flag: OrderFlag, receiver: IPlaceOrderResultReceiver) => void;
|
|
129
129
|
cancelOrder: (strategy: IStrategy, order: OrderData, receiver: ICancelOrderResultReceiver) => void;
|
|
130
|
-
buyOpen: (strategy: IStrategy, symbol: string, volume: number, price: number, receiver: IPlaceOrderResultReceiver) => void;
|
|
131
|
-
buyClose: (strategy: IStrategy, symbol: string, volume: number, price: number, isToday: boolean, receiver: IPlaceOrderResultReceiver) => void;
|
|
132
|
-
sellOpen: (strategy: IStrategy, symbol: string, volume: number, price: number, receiver: IPlaceOrderResultReceiver) => void;
|
|
133
|
-
sellClose: (strategy: IStrategy, symbol: string, volume: number, price: number, isToday: boolean, receiver: IPlaceOrderResultReceiver) => void;
|
|
134
130
|
}
|
package/lib/market.js
CHANGED
|
@@ -40,10 +40,8 @@ Object.defineProperty(exports, "__esModule", { value: true });
|
|
|
40
40
|
exports.createMarket = exports.Market = void 0;
|
|
41
41
|
var napi_ctp_1 = __importDefault(require("napi-ctp"));
|
|
42
42
|
var provider_js_1 = require("./provider.js");
|
|
43
|
-
var tape_js_1 = require("./tape.js");
|
|
44
43
|
var utils_js_1 = require("./utils.js");
|
|
45
|
-
var
|
|
46
|
-
var isValidVolume = function (x) { return x !== Number.MAX_VALUE && x !== 0; };
|
|
44
|
+
var tape_js_1 = require("./tape.js");
|
|
47
45
|
var Market = /** @class */ (function (_super) {
|
|
48
46
|
__extends(Market, _super);
|
|
49
47
|
function Market(flowMdPath, frontMdAddrs, listener) {
|
|
@@ -123,24 +121,24 @@ var Market = /** @class */ (function (_super) {
|
|
|
123
121
|
asks: { price: [], volume: [] },
|
|
124
122
|
bids: { price: [], volume: [] },
|
|
125
123
|
};
|
|
126
|
-
if (isValidPrice(depthMarketData.AskPrice1) &&
|
|
127
|
-
isValidVolume(depthMarketData.AskVolume1)) {
|
|
124
|
+
if ((0, utils_js_1.isValidPrice)(depthMarketData.AskPrice1) &&
|
|
125
|
+
(0, utils_js_1.isValidVolume)(depthMarketData.AskVolume1)) {
|
|
128
126
|
orderBook.asks.price.push(depthMarketData.AskPrice1);
|
|
129
127
|
orderBook.asks.volume.push(depthMarketData.AskVolume1);
|
|
130
|
-
if (isValidPrice(depthMarketData.AskPrice2) &&
|
|
131
|
-
isValidVolume(depthMarketData.AskVolume2)) {
|
|
128
|
+
if ((0, utils_js_1.isValidPrice)(depthMarketData.AskPrice2) &&
|
|
129
|
+
(0, utils_js_1.isValidVolume)(depthMarketData.AskVolume2)) {
|
|
132
130
|
orderBook.asks.price.push(depthMarketData.AskPrice2);
|
|
133
131
|
orderBook.asks.volume.push(depthMarketData.AskVolume2);
|
|
134
|
-
if (isValidPrice(depthMarketData.AskPrice3) &&
|
|
135
|
-
isValidVolume(depthMarketData.AskVolume3)) {
|
|
132
|
+
if ((0, utils_js_1.isValidPrice)(depthMarketData.AskPrice3) &&
|
|
133
|
+
(0, utils_js_1.isValidVolume)(depthMarketData.AskVolume3)) {
|
|
136
134
|
orderBook.asks.price.push(depthMarketData.AskPrice3);
|
|
137
135
|
orderBook.asks.volume.push(depthMarketData.AskVolume3);
|
|
138
|
-
if (isValidPrice(depthMarketData.AskPrice4) &&
|
|
139
|
-
isValidVolume(depthMarketData.AskVolume4)) {
|
|
136
|
+
if ((0, utils_js_1.isValidPrice)(depthMarketData.AskPrice4) &&
|
|
137
|
+
(0, utils_js_1.isValidVolume)(depthMarketData.AskVolume4)) {
|
|
140
138
|
orderBook.asks.price.push(depthMarketData.AskPrice4);
|
|
141
139
|
orderBook.asks.volume.push(depthMarketData.AskVolume4);
|
|
142
|
-
if (isValidPrice(depthMarketData.AskPrice5) &&
|
|
143
|
-
isValidVolume(depthMarketData.AskVolume5)) {
|
|
140
|
+
if ((0, utils_js_1.isValidPrice)(depthMarketData.AskPrice5) &&
|
|
141
|
+
(0, utils_js_1.isValidVolume)(depthMarketData.AskVolume5)) {
|
|
144
142
|
orderBook.asks.price.push(depthMarketData.AskPrice5);
|
|
145
143
|
orderBook.asks.volume.push(depthMarketData.AskVolume5);
|
|
146
144
|
}
|
|
@@ -148,24 +146,24 @@ var Market = /** @class */ (function (_super) {
|
|
|
148
146
|
}
|
|
149
147
|
}
|
|
150
148
|
}
|
|
151
|
-
if (isValidPrice(depthMarketData.BidPrice1) &&
|
|
152
|
-
isValidVolume(depthMarketData.BidVolume1)) {
|
|
149
|
+
if ((0, utils_js_1.isValidPrice)(depthMarketData.BidPrice1) &&
|
|
150
|
+
(0, utils_js_1.isValidVolume)(depthMarketData.BidVolume1)) {
|
|
153
151
|
orderBook.bids.price.push(depthMarketData.BidPrice1);
|
|
154
152
|
orderBook.bids.volume.push(depthMarketData.BidVolume1);
|
|
155
|
-
if (isValidPrice(depthMarketData.BidPrice2) &&
|
|
156
|
-
isValidVolume(depthMarketData.BidVolume2)) {
|
|
153
|
+
if ((0, utils_js_1.isValidPrice)(depthMarketData.BidPrice2) &&
|
|
154
|
+
(0, utils_js_1.isValidVolume)(depthMarketData.BidVolume2)) {
|
|
157
155
|
orderBook.bids.price.push(depthMarketData.BidPrice2);
|
|
158
156
|
orderBook.bids.volume.push(depthMarketData.BidVolume2);
|
|
159
|
-
if (isValidPrice(depthMarketData.BidPrice3) &&
|
|
160
|
-
isValidVolume(depthMarketData.BidVolume3)) {
|
|
157
|
+
if ((0, utils_js_1.isValidPrice)(depthMarketData.BidPrice3) &&
|
|
158
|
+
(0, utils_js_1.isValidVolume)(depthMarketData.BidVolume3)) {
|
|
161
159
|
orderBook.bids.price.push(depthMarketData.BidPrice3);
|
|
162
160
|
orderBook.bids.volume.push(depthMarketData.BidVolume3);
|
|
163
|
-
if (isValidPrice(depthMarketData.BidPrice4) &&
|
|
164
|
-
isValidVolume(depthMarketData.BidVolume4)) {
|
|
161
|
+
if ((0, utils_js_1.isValidPrice)(depthMarketData.BidPrice4) &&
|
|
162
|
+
(0, utils_js_1.isValidVolume)(depthMarketData.BidVolume4)) {
|
|
165
163
|
orderBook.bids.price.push(depthMarketData.BidPrice4);
|
|
166
164
|
orderBook.bids.volume.push(depthMarketData.BidVolume4);
|
|
167
|
-
if (isValidPrice(depthMarketData.BidPrice5) &&
|
|
168
|
-
isValidVolume(depthMarketData.BidVolume5)) {
|
|
165
|
+
if ((0, utils_js_1.isValidPrice)(depthMarketData.BidPrice5) &&
|
|
166
|
+
(0, utils_js_1.isValidVolume)(depthMarketData.BidVolume5)) {
|
|
169
167
|
orderBook.bids.price.push(depthMarketData.BidPrice5);
|
|
170
168
|
orderBook.bids.volume.push(depthMarketData.BidVolume5);
|
|
171
169
|
}
|
package/lib/market.js.map
CHANGED
|
@@ -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,uCAAsE;AACtE,qCAAyC;AAezC;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,IAAA,uBAAY,EAAC,eAAe,CAAC,SAAS,CAAC;gBACvC,IAAA,wBAAa,EAAC,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,IAAA,uBAAY,EAAC,eAAe,CAAC,SAAS,CAAC;oBACvC,IAAA,wBAAa,EAAC,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,IAAA,uBAAY,EAAC,eAAe,CAAC,SAAS,CAAC;wBACvC,IAAA,wBAAa,EAAC,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,IAAA,uBAAY,EAAC,eAAe,CAAC,SAAS,CAAC;4BACvC,IAAA,wBAAa,EAAC,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,IAAA,uBAAY,EAAC,eAAe,CAAC,SAAS,CAAC;gCACvC,IAAA,wBAAa,EAAC,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,IAAA,uBAAY,EAAC,eAAe,CAAC,SAAS,CAAC;gBACvC,IAAA,wBAAa,EAAC,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,IAAA,uBAAY,EAAC,eAAe,CAAC,SAAS,CAAC;oBACvC,IAAA,wBAAa,EAAC,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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|
package/lib/provider.js
CHANGED
|
@@ -72,15 +72,14 @@ var CTPProvider = /** @class */ (function () {
|
|
|
72
72
|
if (retval === 0) {
|
|
73
73
|
return [2 /*return*/, napi_ctp_1.default.getLastRequestId()];
|
|
74
74
|
}
|
|
75
|
-
if (-2
|
|
76
|
-
return [2 /*return*/, retval];
|
|
77
|
-
}
|
|
75
|
+
if (!(-2 === retval || -3 === retval)) return [3 /*break*/, 2];
|
|
78
76
|
return [4 /*yield*/, this._sleep(ms)];
|
|
79
77
|
case 1:
|
|
80
78
|
_a.sent();
|
|
81
|
-
|
|
82
|
-
case 2: return [
|
|
83
|
-
case 3: return [
|
|
79
|
+
return [3 /*break*/, 3];
|
|
80
|
+
case 2: return [2 /*return*/, retval];
|
|
81
|
+
case 3: return [3 /*break*/, 0];
|
|
82
|
+
case 4: return [2 /*return*/];
|
|
84
83
|
}
|
|
85
84
|
});
|
|
86
85
|
});
|
package/lib/provider.js.map
CHANGED
|
@@ -1 +1 @@
|
|
|
1
|
-
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|
|
1
|
+
{"version":3,"file":"provider.js","sourceRoot":"","sources":["../src/provider.ts"],"names":[],"mappings":";AAAA;;;;;;;;;GASG;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;AAEH,sDAA2B;AAG3B;IAIE,qBAAY,QAAgB,EAAE,UAA6B;QACzD,IAAI,CAAC,QAAQ,GAAG,QAAQ,CAAC;QACzB,IAAI,CAAC,UAAU,GAAG,UAAU,CAAC;IAC/B,CAAC;IAEO,4BAAM,GAAd,UAAe,EAAU;QACvB,OAAO,IAAI,OAAO,CAAO,UAAC,OAAO;YAC/B,UAAU,CAAC,OAAO,EAAE,EAAE,CAAC,CAAC;QAC1B,CAAC,CAAC,CAAC;IACL,CAAC;IAEe,gCAAU,GAA1B;4DAA2B,OAAiC,EAAE,EAAQ;;YAAR,mBAAA,EAAA,QAAQ;;;;wBAE5D,MAAM,GAAG,OAAO,EAAE,CAAC;wBAEzB,IAAI,MAAM,KAAK,CAAC,EAAE,CAAC;4BACjB,sBAAO,kBAAG,CAAC,gBAAgB,EAAE,EAAC;wBAChC,CAAC;6BAEG,CAAA,CAAC,CAAC,KAAK,MAAM,IAAI,CAAC,CAAC,KAAK,MAAM,CAAA,EAA9B,wBAA8B;wBAChC,qBAAM,IAAI,CAAC,MAAM,CAAC,EAAE,CAAC,EAAA;;wBAArB,SAAqB,CAAC;wBACtB,wBAAS;4BAGX,sBAAO,MAAM,EAAC;;;;;;KAEjB;IAES,kCAAY,GAAtB,UACE,SAA6B,EAC7B,OAA4B,EAC5B,KAAgB;QAEhB,IAAI,CAAC,OAAO,CAAC,OAAO,EAAE,CAAC;YACrB,OAAO,KAAK,CAAC;QACf,CAAC;QAED,SAAS,CAAC,OAAO,CACf,KAAK,EACL,UAAG,OAAO,CAAC,OAAO,CAAC,OAAO,cAAI,OAAO,CAAC,OAAO,CAAC,QAAQ,CAAE,CACzD,CAAC;QAEF,OAAO,IAAI,CAAC;IACd,CAAC;IAES,gCAAU,GAApB,UAAqB,IAAY;QACzB,IAAA,KAAyB,IAAI,CAAC,KAAK,CAAC,GAAG,CAAC,CAAC,GAAG,CAAC,UAAC,CAAC,IAAK,OAAA,QAAQ,CAAC,CAAC,CAAC,EAAX,CAAW,CAAC,EAA/D,IAAI,QAAA,EAAE,MAAM,QAAA,EAAE,MAAM,QAA2C,CAAC;QACvE,OAAO,IAAI,GAAG,KAAK,GAAG,MAAM,GAAG,GAAG,GAAG,MAAM,CAAC;IAC9C,CAAC;IACH,kBAAC;AAAD,CAAC,AArDD,IAqDC;AArDY,kCAAW"}
|
package/lib/trader.d.ts
CHANGED
|
@@ -30,6 +30,8 @@ export declare class Trader extends CTPProvider implements ITraderProvider {
|
|
|
30
30
|
private readonly commRates;
|
|
31
31
|
private readonly placeOrders;
|
|
32
32
|
private readonly cancelOrders;
|
|
33
|
+
private readonly marketOrdersQueue;
|
|
34
|
+
private readonly priceLimit;
|
|
33
35
|
private readonly orderStatistics;
|
|
34
36
|
private readonly marginRatesQueue;
|
|
35
37
|
private readonly commRatesQueue;
|
|
@@ -66,6 +68,9 @@ export declare class Trader extends CTPProvider implements ITraderProvider {
|
|
|
66
68
|
queryPositionDetails(receiver: IPositionDetailsReceiver): void;
|
|
67
69
|
queryPositions(receiver: IPositionsReceiver): void;
|
|
68
70
|
queryOrders(receiver: IOrdersReceiver): void;
|
|
71
|
+
private _placeLimitOrder;
|
|
72
|
+
private _clearAllMarketOrders;
|
|
73
|
+
private _placeMarketOrder;
|
|
69
74
|
placeOrder(symbol: string, offset: OffsetType, side: SideType, volume: number, price: number, flag: OrderFlag, receiver: IPlaceOrderResultReceiver): void;
|
|
70
75
|
cancelOrder(order: OrderData, receiver: ICancelOrderResultReceiver): void;
|
|
71
76
|
private _toSymbol;
|
package/lib/trader.js
CHANGED
|
@@ -66,6 +66,8 @@ var Trader = /** @class */ (function (_super) {
|
|
|
66
66
|
_this.commRates = new Map();
|
|
67
67
|
_this.placeOrders = new Map();
|
|
68
68
|
_this.cancelOrders = new Map();
|
|
69
|
+
_this.marketOrdersQueue = new Map();
|
|
70
|
+
_this.priceLimit = new Map();
|
|
69
71
|
_this.orderStatistics = new Map();
|
|
70
72
|
_this.marginRatesQueue = new denque_1.default();
|
|
71
73
|
_this.commRatesQueue = new denque_1.default();
|
|
@@ -83,6 +85,7 @@ var Trader = /** @class */ (function (_super) {
|
|
|
83
85
|
_this._withRetry(function () { return _this.traderApi.reqAuthenticate(_this.userInfo); });
|
|
84
86
|
});
|
|
85
87
|
this.traderApi.on(napi_ctp_1.default.TraderEvent.FrontDisconnected, function () {
|
|
88
|
+
_this._clearAllMarketOrders();
|
|
86
89
|
_this.placeOrders.clear();
|
|
87
90
|
_this.cancelOrders.clear();
|
|
88
91
|
});
|
|
@@ -104,6 +107,7 @@ var Trader = /** @class */ (function (_super) {
|
|
|
104
107
|
_this.marginRates.clear();
|
|
105
108
|
_this.commRates.clear();
|
|
106
109
|
_this.orderStatistics.clear();
|
|
110
|
+
_this.priceLimit.clear();
|
|
107
111
|
_this.tradingDay = tradingDay;
|
|
108
112
|
}
|
|
109
113
|
_this._withRetry(function () {
|
|
@@ -409,6 +413,42 @@ var Trader = /** @class */ (function (_super) {
|
|
|
409
413
|
}
|
|
410
414
|
}
|
|
411
415
|
});
|
|
416
|
+
this.traderApi.on(napi_ctp_1.default.TraderEvent.RspQryDepthMarketData, function (depthMarketData, options) {
|
|
417
|
+
if (_this._isErrorResp(lifecycle, options, "query-depth-market-data-error")) {
|
|
418
|
+
_this._clearAllMarketOrders();
|
|
419
|
+
return;
|
|
420
|
+
}
|
|
421
|
+
var isLimitPrice = !(0, utils_js_1.isValidPrice)(depthMarketData.BandingUpperPrice) ||
|
|
422
|
+
!(0, utils_js_1.isValidPrice)(depthMarketData.BandingLowerPrice);
|
|
423
|
+
if (isLimitPrice) {
|
|
424
|
+
_this.priceLimit.set(depthMarketData.InstrumentID, {
|
|
425
|
+
upper: depthMarketData.UpperLimitPrice,
|
|
426
|
+
lower: depthMarketData.LowerLimitPrice,
|
|
427
|
+
});
|
|
428
|
+
}
|
|
429
|
+
var queue = _this.marketOrdersQueue.get(depthMarketData.InstrumentID);
|
|
430
|
+
if (!queue) {
|
|
431
|
+
return;
|
|
432
|
+
}
|
|
433
|
+
var upperPrice = isLimitPrice
|
|
434
|
+
? depthMarketData.UpperLimitPrice
|
|
435
|
+
: depthMarketData.BandingUpperPrice;
|
|
436
|
+
var lowerPrice = isLimitPrice
|
|
437
|
+
? depthMarketData.LowerLimitPrice
|
|
438
|
+
: depthMarketData.BandingLowerPrice;
|
|
439
|
+
var orders = queue.toArray();
|
|
440
|
+
orders.forEach(function (order) {
|
|
441
|
+
switch (order.side) {
|
|
442
|
+
case "long":
|
|
443
|
+
_this._placeLimitOrder(order.symbol, order.offset, order.side, order.volume, upperPrice, order.receiver);
|
|
444
|
+
break;
|
|
445
|
+
case "short":
|
|
446
|
+
_this._placeLimitOrder(order.symbol, order.offset, order.side, order.volume, lowerPrice, order.receiver);
|
|
447
|
+
break;
|
|
448
|
+
}
|
|
449
|
+
});
|
|
450
|
+
_this.marketOrdersQueue.delete(depthMarketData.InstrumentID);
|
|
451
|
+
});
|
|
412
452
|
return true;
|
|
413
453
|
};
|
|
414
454
|
Trader.prototype.close = function (lifecycle) {
|
|
@@ -582,29 +622,25 @@ var Trader = /** @class */ (function (_super) {
|
|
|
582
622
|
});
|
|
583
623
|
receiver.onOrders(orders);
|
|
584
624
|
};
|
|
585
|
-
Trader.prototype.
|
|
625
|
+
Trader.prototype._placeLimitOrder = function (symbol, offset, side, volume, price, receiver) {
|
|
586
626
|
var _this = this;
|
|
587
|
-
|
|
588
|
-
receiver.onPlaceOrderError("Only Supports Limit Order");
|
|
589
|
-
return;
|
|
590
|
-
}
|
|
591
|
-
var instrumentId = (0, utils_js_1.parseSymbol)(symbol)[0];
|
|
627
|
+
var _a = (0, utils_js_1.parseSymbol)(symbol), instrumentId = _a[0], exchangeId = _a[1];
|
|
592
628
|
var instrument = this.instruments.get(instrumentId);
|
|
593
629
|
if (!instrument) {
|
|
594
630
|
receiver.onPlaceOrderError("Instrument Not Found");
|
|
595
631
|
return;
|
|
596
632
|
}
|
|
633
|
+
if (exchangeId !== instrument.ExchangeID) {
|
|
634
|
+
receiver.onPlaceOrderError("Exchange Id Error");
|
|
635
|
+
return;
|
|
636
|
+
}
|
|
597
637
|
var orderRef = 0;
|
|
598
638
|
this._withRetry(function () {
|
|
599
639
|
var _a;
|
|
600
640
|
orderRef = ++_this.orderRef;
|
|
601
641
|
return (_a = _this.traderApi) === null || _a === void 0 ? void 0 : _a.reqOrderInsert(__assign(__assign({}, _this.userInfo), { OrderRef: "".concat(orderRef), InstrumentID: instrumentId, ExchangeID: instrument.ExchangeID, LimitPrice: price, VolumeTotalOriginal: volume, VolumeCondition: napi_ctp_1.default.VolumeConditionType.AV, TimeCondition: napi_ctp_1.default.TimeConditionType.GFD, Direction: _this._toDirection(side), OrderPriceType: napi_ctp_1.default.OrderPriceTypeType.LimitPrice, CombOffsetFlag: _this._toOffsetFlag(offset), CombHedgeFlag: napi_ctp_1.default.HedgeFlagType.Speculation, ContingentCondition: napi_ctp_1.default.ContingentConditionType.Immediately, ForceCloseReason: napi_ctp_1.default.ForceCloseReasonType.NotForceClose, IsAutoSuspend: 0, UserForceClose: 0 }));
|
|
602
642
|
}).then(function (requestId) {
|
|
603
|
-
if (!requestId) {
|
|
604
|
-
receiver.onPlaceOrderError("Request Failed");
|
|
605
|
-
return;
|
|
606
|
-
}
|
|
607
|
-
if (requestId < 0) {
|
|
643
|
+
if (!requestId || requestId < 0) {
|
|
608
644
|
receiver.onPlaceOrderError("Request Error");
|
|
609
645
|
return;
|
|
610
646
|
}
|
|
@@ -616,6 +652,72 @@ var Trader = /** @class */ (function (_super) {
|
|
|
616
652
|
return receiptId;
|
|
617
653
|
});
|
|
618
654
|
};
|
|
655
|
+
Trader.prototype._clearAllMarketOrders = function () {
|
|
656
|
+
this.marketOrdersQueue.forEach(function (queue) {
|
|
657
|
+
var orders = queue.toArray();
|
|
658
|
+
orders.forEach(function (order) {
|
|
659
|
+
order.receiver.onPlaceOrderError("Request Error");
|
|
660
|
+
});
|
|
661
|
+
});
|
|
662
|
+
this.marketOrdersQueue.clear();
|
|
663
|
+
};
|
|
664
|
+
Trader.prototype._placeMarketOrder = function (symbol, offset, side, volume, receiver) {
|
|
665
|
+
var _this = this;
|
|
666
|
+
var _a = (0, utils_js_1.parseSymbol)(symbol), instrumentId = _a[0], exchangeId = _a[1];
|
|
667
|
+
var instrument = this.instruments.get(instrumentId);
|
|
668
|
+
if (!instrument) {
|
|
669
|
+
receiver.onPlaceOrderError("Instrument Not Found");
|
|
670
|
+
return;
|
|
671
|
+
}
|
|
672
|
+
if (exchangeId !== instrument.ExchangeID) {
|
|
673
|
+
receiver.onPlaceOrderError("Exchange Id Error");
|
|
674
|
+
return;
|
|
675
|
+
}
|
|
676
|
+
var priceRange = this.priceLimit.get(instrumentId);
|
|
677
|
+
if (priceRange) {
|
|
678
|
+
switch (side) {
|
|
679
|
+
case "long":
|
|
680
|
+
this._placeLimitOrder(symbol, offset, side, volume, priceRange.upper, receiver);
|
|
681
|
+
break;
|
|
682
|
+
case "short":
|
|
683
|
+
this._placeLimitOrder(symbol, offset, side, volume, priceRange.lower, receiver);
|
|
684
|
+
break;
|
|
685
|
+
}
|
|
686
|
+
return;
|
|
687
|
+
}
|
|
688
|
+
var queue = this.marketOrdersQueue.get(instrumentId);
|
|
689
|
+
if (queue) {
|
|
690
|
+
queue.push({ symbol: symbol, offset: offset, side: side, volume: volume, receiver: receiver });
|
|
691
|
+
return;
|
|
692
|
+
}
|
|
693
|
+
queue = new denque_1.default();
|
|
694
|
+
this.marketOrdersQueue.set(instrumentId, queue);
|
|
695
|
+
this._withRetry(function () {
|
|
696
|
+
var _a;
|
|
697
|
+
return (_a = _this.traderApi) === null || _a === void 0 ? void 0 : _a.reqQryDepthMarketData({
|
|
698
|
+
ExchangeID: exchangeId,
|
|
699
|
+
InstrumentID: instrumentId,
|
|
700
|
+
});
|
|
701
|
+
}).then(function (requestId) {
|
|
702
|
+
if (!requestId || requestId < 0) {
|
|
703
|
+
var orders = queue.toArray();
|
|
704
|
+
orders.forEach(function (order) {
|
|
705
|
+
order.receiver.onPlaceOrderError("Request Error");
|
|
706
|
+
});
|
|
707
|
+
_this.marketOrdersQueue.delete(instrumentId);
|
|
708
|
+
return;
|
|
709
|
+
}
|
|
710
|
+
queue.push({ symbol: symbol, offset: offset, side: side, volume: volume, receiver: receiver });
|
|
711
|
+
});
|
|
712
|
+
};
|
|
713
|
+
Trader.prototype.placeOrder = function (symbol, offset, side, volume, price, flag, receiver) {
|
|
714
|
+
switch (flag) {
|
|
715
|
+
case "limit":
|
|
716
|
+
return this._placeLimitOrder(symbol, offset, side, volume, price, receiver);
|
|
717
|
+
case "market":
|
|
718
|
+
return this._placeMarketOrder(symbol, offset, side, volume, receiver);
|
|
719
|
+
}
|
|
720
|
+
};
|
|
619
721
|
Trader.prototype.cancelOrder = function (order, receiver) {
|
|
620
722
|
var _this = this;
|
|
621
723
|
var current = this.orders.get(order.id);
|
|
@@ -631,11 +733,7 @@ var Trader = /** @class */ (function (_super) {
|
|
|
631
733
|
var _a;
|
|
632
734
|
return (_a = _this.traderApi) === null || _a === void 0 ? void 0 : _a.reqOrderAction(__assign(__assign({}, _this.userInfo), { InstrumentID: current.InstrumentID, FrontID: current.FrontID, SessionID: current.SessionID, OrderRef: current.OrderRef, ExchangeID: current.ExchangeID, OrderSysID: current.OrderSysID, ActionFlag: napi_ctp_1.default.ActionFlagType.Delete }));
|
|
633
735
|
}).then(function (requestId) {
|
|
634
|
-
if (!requestId) {
|
|
635
|
-
receiver.onCancelOrderError("Request Failed");
|
|
636
|
-
return;
|
|
637
|
-
}
|
|
638
|
-
if (requestId < 0) {
|
|
736
|
+
if (!requestId || requestId < 0) {
|
|
639
737
|
receiver.onCancelOrderError("Request Error");
|
|
640
738
|
return;
|
|
641
739
|
}
|