hft-js 0.1.9 → 0.3.0

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Files changed (43) hide show
  1. package/lib/bar.d.ts +2 -2
  2. package/lib/bar.js +42 -66
  3. package/lib/bar.js.map +1 -1
  4. package/lib/broker.d.ts +2 -2
  5. package/lib/broker.js +89 -95
  6. package/lib/broker.js.map +1 -1
  7. package/lib/index.js +8 -24
  8. package/lib/index.js.map +1 -1
  9. package/lib/index.test.d.ts +1 -1
  10. package/lib/index.test.js +78 -126
  11. package/lib/index.test.js.map +1 -1
  12. package/lib/interfaces.d.ts +1 -1
  13. package/lib/interfaces.js +1 -2
  14. package/lib/interfaces.js.map +1 -1
  15. package/lib/market.d.ts +25 -4
  16. package/lib/market.js +133 -158
  17. package/lib/market.js.map +1 -1
  18. package/lib/provider.d.ts +3 -3
  19. package/lib/provider.js +36 -81
  20. package/lib/provider.js.map +1 -1
  21. package/lib/tape.d.ts +1 -1
  22. package/lib/tape.js +18 -23
  23. package/lib/tape.js.map +1 -1
  24. package/lib/trader.d.ts +10 -4
  25. package/lib/trader.js +532 -511
  26. package/lib/trader.js.map +1 -1
  27. package/lib/typedef.d.ts +5 -1
  28. package/lib/typedef.js +1 -2
  29. package/lib/typedef.js.map +1 -1
  30. package/lib/utils.d.ts +2 -2
  31. package/lib/utils.js +27 -77
  32. package/lib/utils.js.map +1 -1
  33. package/package.json +9 -8
  34. package/src/bar.ts +6 -12
  35. package/src/broker.ts +2 -2
  36. package/src/index.test.ts +33 -47
  37. package/src/interfaces.ts +1 -1
  38. package/src/market.ts +31 -16
  39. package/src/provider.ts +12 -5
  40. package/src/tape.ts +1 -1
  41. package/src/trader.ts +206 -89
  42. package/src/typedef.ts +5 -1
  43. package/src/utils.ts +24 -34
package/lib/bar.d.ts CHANGED
@@ -1,5 +1,5 @@
1
- import { BarData, TapeData, TickData, Writeable } from "./typedef.js";
2
- import { IBarReceiver, ITickReceiver } from "./interfaces.js";
1
+ import type { BarData, TapeData, TickData, Writeable } from "./typedef.js";
2
+ import type { IBarReceiver, ITickReceiver } from "./interfaces.js";
3
3
  export type BarInfo = Writeable<BarData>;
4
4
  export declare class BarGenerator implements ITickReceiver {
5
5
  private readonly receivers;
package/lib/bar.js CHANGED
@@ -1,4 +1,3 @@
1
- "use strict";
2
1
  /*
3
2
  * bar.ts
4
3
  *
@@ -9,67 +8,54 @@
9
8
  *
10
9
  * https://github.com/shixiongfei/hft.js
11
10
  */
12
- var __assign = (this && this.__assign) || function () {
13
- __assign = Object.assign || function(t) {
14
- for (var s, i = 1, n = arguments.length; i < n; i++) {
15
- s = arguments[i];
16
- for (var p in s) if (Object.prototype.hasOwnProperty.call(s, p))
17
- t[p] = s[p];
18
- }
19
- return t;
20
- };
21
- return __assign.apply(this, arguments);
22
- };
23
- Object.defineProperty(exports, "__esModule", { value: true });
24
- exports.createBarGenerator = exports.BarGenerator = void 0;
25
- var utils_js_1 = require("./utils.js");
26
- var BarGenerator = /** @class */ (function () {
27
- function BarGenerator(symbol, maxVolume) {
28
- if (maxVolume === void 0) { maxVolume = 0; }
11
+ import { getBarVolume } from "./utils.js";
12
+ export class BarGenerator {
13
+ receivers;
14
+ symbol;
15
+ maxVolume;
16
+ shouldUpdate;
17
+ bar;
18
+ constructor(symbol, maxVolume = 0) {
29
19
  this.receivers = [];
30
20
  this.symbol = symbol;
31
21
  this.maxVolume = maxVolume;
32
22
  this.shouldUpdate = 0;
33
23
  }
34
- Object.defineProperty(BarGenerator.prototype, "receiverCount", {
35
- get: function () {
36
- return this.receivers.length;
37
- },
38
- enumerable: false,
39
- configurable: true
40
- });
41
- BarGenerator.prototype.addReceiver = function (receiver) {
24
+ get receiverCount() {
25
+ return this.receivers.length;
26
+ }
27
+ addReceiver(receiver) {
42
28
  if (!this.receivers.includes(receiver)) {
43
29
  if (receiver.onUpdateBar) {
44
30
  this.shouldUpdate += 1;
45
31
  }
46
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  this.receivers.push(receiver);
47
33
  }
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- };
49
- BarGenerator.prototype.removeReceiver = function (receiver) {
50
- var index = this.receivers.indexOf(receiver);
34
+ }
35
+ removeReceiver(receiver) {
36
+ const index = this.receivers.indexOf(receiver);
51
37
  if (index >= 0) {
52
38
  if (receiver.onUpdateBar) {
53
39
  this.shouldUpdate -= 1;
54
40
  }
55
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  this.receivers.splice(index, 1);
56
42
  }
57
- };
58
- BarGenerator.prototype.onTick = function (tick, tape) {
43
+ }
44
+ onTick(tick, tape) {
59
45
  if (tick.symbol !== this.symbol) {
60
46
  return;
61
47
  }
62
- var date = tick.date;
63
- var time = this.maxVolume > 0 ? tick.time : Math.floor(tick.time / 100) * 100;
48
+ const date = tick.date;
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+ const time = this.maxVolume > 0 ? tick.time : Math.floor(tick.time / 100) * 100;
64
50
  if (this.bar) {
65
- var isFinished = this.maxVolume > 0
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+ const isFinished = this.maxVolume > 0
66
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  ? this.bar.volume >= this.maxVolume
67
53
  : this.bar.date !== date || this.bar.time !== time;
68
54
  if (isFinished) {
69
- var bar_1 = Object.freeze(this.bar);
70
- Object.freeze(bar_1.buyVolumes);
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- Object.freeze(bar_1.sellVolumes);
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- this.receivers.forEach(function (receiver) { return receiver.onBar(bar_1); });
55
+ const bar = Object.freeze(this.bar);
56
+ Object.freeze(bar.buyVolumes);
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+ Object.freeze(bar.sellVolumes);
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+ this.receivers.forEach((receiver) => receiver.onBar(bar));
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  this.bar = undefined;
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  }
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  }
@@ -87,41 +73,37 @@ var BarGenerator = /** @class */ (function () {
87
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  this.bar.amount += tape.amountDelta;
88
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  switch (tape.direction) {
89
75
  case "up":
90
- if (tick.lastPrice in this.bar.buyVolumes) {
91
- this.bar.buyVolumes[tick.lastPrice] += tape.volumeDelta;
92
- }
93
- else {
94
- this.bar.buyVolumes[tick.lastPrice] = tape.volumeDelta;
95
- }
76
+ this.bar.buyVolumes[tick.lastPrice] =
77
+ tape.volumeDelta + (this.bar.buyVolumes[tick.lastPrice] ?? 0);
96
78
  this.bar.delta += tape.volumeDelta;
97
79
  break;
98
80
  case "down":
99
- if (tick.lastPrice in this.bar.sellVolumes) {
100
- this.bar.sellVolumes[tick.lastPrice] += tape.volumeDelta;
101
- }
102
- else {
103
- this.bar.sellVolumes[tick.lastPrice] = tape.volumeDelta;
104
- }
81
+ this.bar.sellVolumes[tick.lastPrice] =
82
+ tape.volumeDelta + (this.bar.sellVolumes[tick.lastPrice] ?? 0);
105
83
  this.bar.delta -= tape.volumeDelta;
106
84
  break;
107
85
  }
108
86
  if (tick.lastPrice !== this.bar.poc && tape.direction !== "none") {
109
- var tickVP = (0, utils_js_1.getBarVolume)(this.bar, tick.lastPrice);
110
- var pocVP = (0, utils_js_1.getBarVolume)(this.bar, this.bar.poc);
87
+ const tickVP = getBarVolume(this.bar, tick.lastPrice);
88
+ const pocVP = getBarVolume(this.bar, this.bar.poc);
111
89
  if (tickVP > pocVP) {
112
90
  this.bar.poc = tick.lastPrice;
113
91
  }
114
92
  }
115
93
  if (this.shouldUpdate > 0) {
116
- var bar_2 = Object.freeze(__assign(__assign({}, this.bar), { buyVolumes: Object.freeze(__assign({}, this.bar.buyVolumes)), sellVolumes: Object.freeze(__assign({}, this.bar.sellVolumes)) }));
117
- this.receivers.forEach(function (receiver) {
94
+ const bar = Object.freeze({
95
+ ...this.bar,
96
+ buyVolumes: Object.freeze({ ...this.bar.buyVolumes }),
97
+ sellVolumes: Object.freeze({ ...this.bar.sellVolumes }),
98
+ });
99
+ this.receivers.forEach((receiver) => {
118
100
  if (receiver.onUpdateBar) {
119
- receiver.onUpdateBar(bar_2, tick, tape);
101
+ receiver.onUpdateBar(bar, tick, tape);
120
102
  }
121
103
  });
122
104
  }
123
- };
124
- BarGenerator.prototype._createBar = function (date, time, tick) {
105
+ }
106
+ _createBar(date, time, tick) {
125
107
  return {
126
108
  symbol: this.symbol,
127
109
  date: date,
@@ -138,13 +120,7 @@ var BarGenerator = /** @class */ (function () {
138
120
  buyVolumes: {},
139
121
  sellVolumes: {},
140
122
  };
141
- };
142
- return BarGenerator;
143
- }());
144
- exports.BarGenerator = BarGenerator;
145
- var createBarGenerator = function (symbol, maxVolume) {
146
- if (maxVolume === void 0) { maxVolume = 0; }
147
- return new BarGenerator(symbol, maxVolume);
148
- };
149
- exports.createBarGenerator = createBarGenerator;
123
+ }
124
+ }
125
+ export const createBarGenerator = (symbol, maxVolume = 0) => new BarGenerator(symbol, maxVolume);
150
126
  //# sourceMappingURL=bar.js.map
package/lib/bar.js.map CHANGED
@@ -1 +1 @@
1
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1
+ {"version":3,"file":"bar.js","sourceRoot":"","sources":["../src/bar.ts"],"names":[],"mappings":"AAAA;;;;;;;;;GASG;AAIH,OAAO,EAAE,YAAY,EAAE,MAAM,YAAY,CAAC;AAI1C,MAAM,OAAO,YAAY;IACN,SAAS,CAAiB;IAC1B,MAAM,CAAS;IACf,SAAS,CAAS;IAC3B,YAAY,CAAS;IACrB,GAAG,CAAW;IAEtB,YAAY,MAAc,EAAE,SAAS,GAAG,CAAC;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,IAAI,aAAa;QACf,OAAO,IAAI,CAAC,SAAS,CAAC,MAAM,CAAC;IAC/B,CAAC;IAED,WAAW,CAAC,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,cAAc,CAAC,QAAsB;QACnC,MAAM,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,MAAM,CAAC,IAAc,EAAE,IAAc;QACnC,IAAI,IAAI,CAAC,MAAM,KAAK,IAAI,CAAC,MAAM,EAAE,CAAC;YAChC,OAAO;QACT,CAAC;QAED,MAAM,IAAI,GAAG,IAAI,CAAC,IAAI,CAAC;QAEvB,MAAM,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,MAAM,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,MAAM,GAAG,GAAG,MAAM,CAAC,MAAM,CAAC,IAAI,CAAC,GAAG,CAAC,CAAC;gBAEpC,MAAM,CAAC,MAAM,CAAC,GAAG,CAAC,UAAU,CAAC,CAAC;gBAC9B,MAAM,CAAC,MAAM,CAAC,GAAG,CAAC,WAAW,CAAC,CAAC;gBAE/B,IAAI,CAAC,SAAS,CAAC,OAAO,CAAC,CAAC,QAAQ,EAAE,EAAE,CAAC,QAAQ,CAAC,KAAK,CAAC,GAAG,CAAC,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,CAAC,GAAG,CAAC,UAAU,CAAC,IAAI,CAAC,SAAS,CAAC;oBACjC,IAAI,CAAC,WAAW,GAAG,CAAC,IAAI,CAAC,GAAG,CAAC,UAAU,CAAC,IAAI,CAAC,SAAS,CAAC,IAAI,CAAC,CAAC,CAAC;gBAEhE,IAAI,CAAC,GAAG,CAAC,KAAK,IAAI,IAAI,CAAC,WAAW,CAAC;gBACnC,MAAM;YAER,KAAK,MAAM;gBACT,IAAI,CAAC,GAAG,CAAC,WAAW,CAAC,IAAI,CAAC,SAAS,CAAC;oBAClC,IAAI,CAAC,WAAW,GAAG,CAAC,IAAI,CAAC,GAAG,CAAC,WAAW,CAAC,IAAI,CAAC,SAAS,CAAC,IAAI,CAAC,CAAC,CAAC;gBAEjE,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,MAAM,MAAM,GAAG,YAAY,CAAC,IAAI,CAAC,GAAG,EAAE,IAAI,CAAC,SAAS,CAAC,CAAC;YACtD,MAAM,KAAK,GAAG,YAAY,CAAC,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,MAAM,GAAG,GAAY,MAAM,CAAC,MAAM,CAAC;gBACjC,GAAG,IAAI,CAAC,GAAG;gBACX,UAAU,EAAE,MAAM,CAAC,MAAM,CAAC,EAAE,GAAG,IAAI,CAAC,GAAG,CAAC,UAAU,EAAE,CAAC;gBACrD,WAAW,EAAE,MAAM,CAAC,MAAM,CAAC,EAAE,GAAG,IAAI,CAAC,GAAG,CAAC,WAAW,EAAE,CAAC;aACxD,CAAC,CAAC;YAEH,IAAI,CAAC,SAAS,CAAC,OAAO,CAAC,CAAC,QAAQ,EAAE,EAAE;gBAClC,IAAI,QAAQ,CAAC,WAAW,EAAE,CAAC;oBACzB,QAAQ,CAAC,WAAW,CAAC,GAAG,EAAE,IAAI,EAAE,IAAI,CAAC,CAAC;gBACxC,CAAC;YACH,CAAC,CAAC,CAAC;QACL,CAAC;IACH,CAAC;IAEO,UAAU,CAAC,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;CACF;AAED,MAAM,CAAC,MAAM,kBAAkB,GAAG,CAAC,MAAc,EAAE,SAAS,GAAG,CAAC,EAAE,EAAE,CAClE,IAAI,YAAY,CAAC,MAAM,EAAE,SAAS,CAAC,CAAC"}
package/lib/broker.d.ts CHANGED
@@ -1,5 +1,5 @@
1
- import { OffsetType, OrderData, OrderFlag, SideType } from "./typedef.js";
2
- import { ICancelOrderResultReceiver, ICancelOrderRiskManager, ICommissionRateReceiver, IErrorReceiver, IInstrumentReceiver, IInstrumentsReceiver, IMarginRateReceiver, IMarketProvider, IOrdersReceiver, IPlaceOrderRiskManager, IPositionsReceiver, IRuntimeEngine, IStrategy, ITickReceiver, ITraderProvider, ITradingAccountsReceiver, IPlaceOrderResultReceiver, IPositionReceiver, IPositionDetailsReceiver, IBarReceiver } from "./interfaces.js";
1
+ import type { OffsetType, OrderData, OrderFlag, SideType } from "./typedef.js";
2
+ import type { ICancelOrderResultReceiver, ICancelOrderRiskManager, ICommissionRateReceiver, IErrorReceiver, IInstrumentReceiver, IInstrumentsReceiver, IMarginRateReceiver, IMarketProvider, IOrdersReceiver, IPlaceOrderRiskManager, IPositionsReceiver, IRuntimeEngine, IStrategy, ITickReceiver, ITraderProvider, ITradingAccountsReceiver, IPlaceOrderResultReceiver, IPositionReceiver, IPositionDetailsReceiver, IBarReceiver } from "./interfaces.js";
3
3
  export declare class Broker implements IRuntimeEngine {
4
4
  private readonly trader;
5
5
  private readonly market;
package/lib/broker.js CHANGED
@@ -1,4 +1,3 @@
1
- "use strict";
2
1
  /*
3
2
  * broker.ts
4
3
  *
@@ -9,125 +8,124 @@
9
8
  *
10
9
  * https://github.com/shixiongfei/hft.js
11
10
  */
12
- Object.defineProperty(exports, "__esModule", { value: true });
13
- exports.createBroker = exports.Broker = void 0;
14
- var bar_js_1 = require("./bar.js");
15
- var Broker = /** @class */ (function () {
16
- function Broker(trader, market, errorReceiver) {
17
- var _this = this;
18
- this.strategies = [];
19
- this.placeOrderRiskManagers = [];
20
- this.cancelOrderRiskManagers = [];
11
+ import { BarGenerator, createBarGenerator } from "./bar.js";
12
+ export class Broker {
13
+ trader;
14
+ market;
15
+ traderLifecycle;
16
+ marketLifecycle;
17
+ strategies = [];
18
+ placeOrderRiskManagers = [];
19
+ cancelOrderRiskManagers = [];
20
+ generators;
21
+ constructor(trader, market, errorReceiver) {
21
22
  this.trader = trader;
22
23
  this.market = market;
23
24
  this.generators = new Map();
24
25
  this.marketLifecycle = {
25
- onOpen: function () {
26
- var recorder = _this.market.getRecorder();
26
+ onOpen: () => {
27
+ const recorder = this.market.getRecorder();
27
28
  if (recorder && recorder.isRecorderReady()) {
28
- _this.trader.queryInstruments({
29
- onInstruments: function (instruments) {
29
+ this.trader.queryInstruments({
30
+ onInstruments: (instruments) => {
30
31
  if (instruments) {
31
32
  recorder.startRecorder(instruments);
32
33
  }
33
34
  },
34
35
  });
35
36
  }
36
- _this.strategies.forEach(function (strategy) { return strategy.onInit(); });
37
+ this.strategies.forEach((strategy) => strategy.onInit());
37
38
  },
38
- onClose: function () {
39
- _this.strategies.forEach(function (strategy) { return strategy.onDestroy(); });
40
- var recorder = _this.market.getRecorder();
39
+ onClose: () => {
40
+ this.strategies.forEach((strategy) => strategy.onDestroy());
41
+ const recorder = this.market.getRecorder();
41
42
  if (recorder) {
42
43
  recorder.stopRecorder();
43
44
  }
44
45
  },
45
- onError: function (error, message) {
46
+ onError: (error, message) => {
46
47
  if (errorReceiver) {
47
48
  errorReceiver.onError(error, message);
48
49
  }
49
50
  },
50
51
  };
51
52
  this.traderLifecycle = {
52
- onOpen: function () {
53
- _this.market.open(_this.marketLifecycle);
53
+ onOpen: () => {
54
+ this.market.open(this.marketLifecycle);
54
55
  },
55
- onClose: function () {
56
- _this.market.close(_this.marketLifecycle);
56
+ onClose: () => {
57
+ this.market.close(this.marketLifecycle);
57
58
  },
58
- onError: function (error, message) {
59
+ onError: (error, message) => {
59
60
  if (errorReceiver) {
60
61
  errorReceiver.onError(error, message);
61
62
  }
62
63
  },
63
64
  };
64
65
  }
65
- Broker.prototype.start = function () {
66
+ start() {
66
67
  return this.trader.open(this.traderLifecycle);
67
- };
68
- Broker.prototype.stop = function () {
68
+ }
69
+ stop() {
69
70
  return this.trader.close(this.traderLifecycle);
70
- };
71
- Broker.prototype.addStrategy = function (strategy) {
71
+ }
72
+ addStrategy(strategy) {
72
73
  if (!this.strategies.includes(strategy)) {
73
74
  this.strategies.push(strategy);
74
75
  this.trader.addOrderReceiver(strategy);
75
76
  }
76
- };
77
- Broker.prototype.removeStrategy = function (strategy) {
78
- var index = this.strategies.indexOf(strategy);
77
+ }
78
+ removeStrategy(strategy) {
79
+ const index = this.strategies.indexOf(strategy);
79
80
  if (index < 0) {
80
81
  return;
81
82
  }
82
83
  this.strategies.splice(index, 1);
83
84
  this.trader.removeOrderReceiver(strategy);
84
- };
85
- Broker.prototype.addPlaceOrderRiskManager = function (riskMgr) {
85
+ }
86
+ addPlaceOrderRiskManager(riskMgr) {
86
87
  if (!this.placeOrderRiskManagers.includes(riskMgr)) {
87
88
  this.placeOrderRiskManagers.push(riskMgr);
88
89
  }
89
- };
90
- Broker.prototype.addCancelOrderRiskManager = function (riskMgr) {
90
+ }
91
+ addCancelOrderRiskManager(riskMgr) {
91
92
  if (!this.cancelOrderRiskManagers.includes(riskMgr)) {
92
93
  this.cancelOrderRiskManagers.push(riskMgr);
93
94
  }
94
- };
95
- Broker.prototype.subscribe = function (symbols, receiver) {
95
+ }
96
+ subscribe(symbols, receiver) {
96
97
  return this.market.subscribe(symbols, receiver);
97
- };
98
- Broker.prototype.unsubscribe = function (symbols, receiver) {
98
+ }
99
+ unsubscribe(symbols, receiver) {
99
100
  return this.market.unsubscribe(symbols, receiver);
100
- };
101
- Broker.prototype.subscribeBar = function (symbols, receiver) {
102
- var _this = this;
103
- symbols.forEach(function (symbol) {
104
- var generator = _this.generators.get(symbol);
101
+ }
102
+ subscribeBar(symbols, receiver) {
103
+ symbols.forEach((symbol) => {
104
+ let generator = this.generators.get(symbol);
105
105
  if (!generator) {
106
- generator = (0, bar_js_1.createBarGenerator)(symbol);
107
- _this.generators.set(symbol, generator);
108
- _this.subscribe([symbol], generator);
106
+ generator = createBarGenerator(symbol);
107
+ this.generators.set(symbol, generator);
108
+ this.subscribe([symbol], generator);
109
109
  }
110
110
  generator.addReceiver(receiver);
111
111
  });
112
- };
113
- Broker.prototype.unsubscribeBar = function (symbols, receiver) {
114
- var _this = this;
115
- symbols.forEach(function (symbol) {
116
- var generator = _this.generators.get(symbol);
112
+ }
113
+ unsubscribeBar(symbols, receiver) {
114
+ symbols.forEach((symbol) => {
115
+ const generator = this.generators.get(symbol);
117
116
  if (!generator) {
118
117
  return;
119
118
  }
120
119
  generator.removeReceiver(receiver);
121
120
  if (generator.receiverCount === 0) {
122
- _this.unsubscribe([symbol], generator);
123
- _this.generators.delete(symbol);
121
+ this.unsubscribe([symbol], generator);
122
+ this.generators.delete(symbol);
124
123
  }
125
124
  });
126
- };
127
- Broker.prototype.placeOrder = function (strategy, symbol, offset, side, volume, price, flag, receiver) {
128
- for (var _i = 0, _a = this.placeOrderRiskManagers; _i < _a.length; _i++) {
129
- var placeOrderRiskManager = _a[_i];
130
- var result = placeOrderRiskManager.onPlaceOrder(symbol, offset, side, volume, price, flag);
125
+ }
126
+ placeOrder(strategy, symbol, offset, side, volume, price, flag, receiver) {
127
+ for (const placeOrderRiskManager of this.placeOrderRiskManagers) {
128
+ const result = placeOrderRiskManager.onPlaceOrder(symbol, offset, side, volume, price, flag);
131
129
  if (typeof result === "boolean") {
132
130
  if (!result) {
133
131
  strategy.onRisk("place-order-risk");
@@ -142,11 +140,10 @@ var Broker = /** @class */ (function () {
142
140
  }
143
141
  }
144
142
  return this.trader.placeOrder(symbol, offset, side, volume, price, flag, receiver);
145
- };
146
- Broker.prototype.cancelOrder = function (strategy, order, receiver) {
147
- for (var _i = 0, _a = this.cancelOrderRiskManagers; _i < _a.length; _i++) {
148
- var cancelOrderRiskManager = _a[_i];
149
- var result = cancelOrderRiskManager.onCancelOrder(order);
143
+ }
144
+ cancelOrder(strategy, order, receiver) {
145
+ for (const cancelOrderRiskManager of this.cancelOrderRiskManagers) {
146
+ const result = cancelOrderRiskManager.onCancelOrder(order);
150
147
  if (typeof result === "boolean") {
151
148
  if (!result) {
152
149
  strategy.onRisk("cancel-order-risk");
@@ -161,46 +158,43 @@ var Broker = /** @class */ (function () {
161
158
  }
162
159
  }
163
160
  return this.trader.cancelOrder(order, receiver);
164
- };
165
- Broker.prototype.getTradingDay = function () {
161
+ }
162
+ getTradingDay() {
166
163
  return this.trader.getTradingDay();
167
- };
168
- Broker.prototype.getOrderStatistics = function () {
164
+ }
165
+ getOrderStatistics() {
169
166
  return this.trader.getOrderStatistics();
170
- };
171
- Broker.prototype.getOrderStatistic = function (symbol) {
167
+ }
168
+ getOrderStatistic(symbol) {
172
169
  return this.trader.getOrderStatistic(symbol);
173
- };
174
- Broker.prototype.queryCommissionRate = function (symbol, receiver) {
170
+ }
171
+ queryCommissionRate(symbol, receiver) {
175
172
  return this.trader.queryCommissionRate(symbol, receiver);
176
- };
177
- Broker.prototype.queryMarginRate = function (symbol, receiver) {
173
+ }
174
+ queryMarginRate(symbol, receiver) {
178
175
  return this.trader.queryMarginRate(symbol, receiver);
179
- };
180
- Broker.prototype.queryInstrument = function (symbol, receiver) {
176
+ }
177
+ queryInstrument(symbol, receiver) {
181
178
  return this.trader.queryInstrument(symbol, receiver);
182
- };
183
- Broker.prototype.queryPosition = function (symbol, receiver) {
179
+ }
180
+ queryPosition(symbol, receiver) {
184
181
  return this.trader.queryPosition(symbol, receiver);
185
- };
186
- Broker.prototype.queryInstruments = function (receiver) {
182
+ }
183
+ queryInstruments(receiver) {
187
184
  return this.trader.queryInstruments(receiver);
188
- };
189
- Broker.prototype.queryTradingAccounts = function (receiver) {
185
+ }
186
+ queryTradingAccounts(receiver) {
190
187
  return this.trader.queryTradingAccounts(receiver);
191
- };
192
- Broker.prototype.queryPositions = function (receiver) {
188
+ }
189
+ queryPositions(receiver) {
193
190
  return this.trader.queryPositions(receiver);
194
- };
195
- Broker.prototype.queryPositionDetails = function (receiver) {
191
+ }
192
+ queryPositionDetails(receiver) {
196
193
  return this.trader.queryPositionDetails(receiver);
197
- };
198
- Broker.prototype.queryOrders = function (receiver) {
194
+ }
195
+ queryOrders(receiver) {
199
196
  return this.trader.queryOrders(receiver);
200
- };
201
- return Broker;
202
- }());
203
- exports.Broker = Broker;
204
- var createBroker = function (trader, market, errorReceiver) { return new Broker(trader, market, errorReceiver); };
205
- exports.createBroker = createBroker;
197
+ }
198
+ }
199
+ export const createBroker = (trader, market, errorReceiver) => new Broker(trader, market, errorReceiver);
206
200
  //# sourceMappingURL=broker.js.map
package/lib/broker.js.map CHANGED
@@ -1 +1 @@
1
- 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package/lib/index.js CHANGED
@@ -1,4 +1,3 @@
1
- "use strict";
2
1
  /*
3
2
  * index.ts
4
3
  *
@@ -9,27 +8,12 @@
9
8
  *
10
9
  * https://github.com/shixiongfei/hft.js
11
10
  */
12
- var __createBinding = (this && this.__createBinding) || (Object.create ? (function(o, m, k, k2) {
13
- if (k2 === undefined) k2 = k;
14
- var desc = Object.getOwnPropertyDescriptor(m, k);
15
- if (!desc || ("get" in desc ? !m.__esModule : desc.writable || desc.configurable)) {
16
- desc = { enumerable: true, get: function() { return m[k]; } };
17
- }
18
- Object.defineProperty(o, k2, desc);
19
- }) : (function(o, m, k, k2) {
20
- if (k2 === undefined) k2 = k;
21
- o[k2] = m[k];
22
- }));
23
- var __exportStar = (this && this.__exportStar) || function(m, exports) {
24
- for (var p in m) if (p !== "default" && !Object.prototype.hasOwnProperty.call(exports, p)) __createBinding(exports, m, p);
25
- };
26
- Object.defineProperty(exports, "__esModule", { value: true });
27
- __exportStar(require("./typedef.js"), exports);
28
- __exportStar(require("./interfaces.js"), exports);
29
- __exportStar(require("./broker.js"), exports);
30
- __exportStar(require("./trader.js"), exports);
31
- __exportStar(require("./market.js"), exports);
32
- __exportStar(require("./utils.js"), exports);
33
- __exportStar(require("./tape.js"), exports);
34
- __exportStar(require("./bar.js"), exports);
11
+ export * from "./typedef.js";
12
+ export * from "./interfaces.js";
13
+ export * from "./broker.js";
14
+ export * from "./trader.js";
15
+ export * from "./market.js";
16
+ export * from "./utils.js";
17
+ export * from "./tape.js";
18
+ export * from "./bar.js";
35
19
  //# sourceMappingURL=index.js.map
package/lib/index.js.map CHANGED
@@ -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;AAC3B,4CAA0B;AAC1B,2CAAyB"}
1
+ {"version":3,"file":"index.js","sourceRoot":"","sources":["../src/index.ts"],"names":[],"mappings":"AAAA;;;;;;;;;GASG;AAEH,cAAc,cAAc,CAAC;AAC7B,cAAc,iBAAiB,CAAC;AAChC,cAAc,aAAa,CAAC;AAC5B,cAAc,aAAa,CAAC;AAC5B,cAAc,aAAa,CAAC;AAC5B,cAAc,YAAY,CAAC;AAC3B,cAAc,WAAW,CAAC;AAC1B,cAAc,UAAU,CAAC"}
package/lib/index.test.d.ts CHANGED
@@ -1,4 +1,4 @@
1
- import * as hft from ".";
1
+ import * as hft from "./index.js";
2
2
  export type Configure = {
3
3
  FlowTdPath: string;
4
4
  FlowMdPath: string;