hft-js 0.2.0 → 0.3.0
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/bar.d.ts +2 -2
- package/lib/bar.js +42 -66
- package/lib/bar.js.map +1 -1
- package/lib/broker.d.ts +2 -2
- package/lib/broker.js +89 -95
- package/lib/broker.js.map +1 -1
- package/lib/index.js +8 -24
- package/lib/index.js.map +1 -1
- package/lib/index.test.d.ts +1 -1
- package/lib/index.test.js +75 -110
- package/lib/index.test.js.map +1 -1
- package/lib/interfaces.d.ts +1 -1
- package/lib/interfaces.js +1 -2
- package/lib/interfaces.js.map +1 -1
- package/lib/market.d.ts +2 -2
- package/lib/market.js +132 -162
- package/lib/market.js.map +1 -1
- package/lib/provider.d.ts +3 -3
- package/lib/provider.js +33 -85
- package/lib/provider.js.map +1 -1
- package/lib/tape.d.ts +1 -1
- package/lib/tape.js +18 -23
- package/lib/tape.js.map +1 -1
- package/lib/trader.d.ts +3 -2
- package/lib/trader.js +500 -509
- package/lib/trader.js.map +1 -1
- package/lib/typedef.d.ts +5 -1
- package/lib/typedef.js +1 -2
- package/lib/typedef.js.map +1 -1
- package/lib/utils.d.ts +2 -2
- package/lib/utils.js +27 -77
- package/lib/utils.js.map +1 -1
- package/package.json +9 -8
- package/src/bar.ts +6 -12
- package/src/broker.ts +2 -2
- package/src/index.test.ts +20 -20
- package/src/interfaces.ts +1 -1
- package/src/market.ts +16 -12
- package/src/provider.ts +5 -5
- package/src/tape.ts +1 -1
- package/src/trader.ts +93 -45
- package/src/typedef.ts +5 -1
- package/src/utils.ts +24 -34
package/lib/index.test.js
CHANGED
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"use strict";
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/*
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* index.test.ts
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*
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@@ -9,146 +8,115 @@
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*
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* https://github.com/shixiongfei/hft.js
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*/
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}));
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var __setModuleDefault = (this && this.__setModuleDefault) || (Object.create ? (function(o, v) {
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Object.defineProperty(o, "default", { enumerable: true, value: v });
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}) : function(o, v) {
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o["default"] = v;
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});
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var __importStar = (this && this.__importStar) || (function () {
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var ownKeys = function(o) {
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ownKeys = Object.getOwnPropertyNames || function (o) {
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var ar = [];
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for (var k in o) if (Object.prototype.hasOwnProperty.call(o, k)) ar[ar.length] = k;
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return ar;
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};
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return ownKeys(o);
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};
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return function (mod) {
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if (mod && mod.__esModule) return mod;
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var result = {};
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if (mod != null) for (var k = ownKeys(mod), i = 0; i < k.length; i++) if (k[i] !== "default") __createBinding(result, mod, k[i]);
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__setModuleDefault(result, mod);
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return result;
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};
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})();
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var __importDefault = (this && this.__importDefault) || function (mod) {
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return (mod && mod.__esModule) ? mod : { "default": mod };
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};
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Object.defineProperty(exports, "__esModule", { value: true });
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var node_fs_1 = __importDefault(require("node:fs"));
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var node_process_1 = require("node:process");
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var hft = __importStar(require("."));
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var config = JSON.parse(node_fs_1.default.readFileSync("test.conf.json", "utf8"));
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var Strategy = /** @class */ (function () {
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function Strategy(engine) {
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this.symbol = config.Test.Symbol;
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import process from "node:process";
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import fs from "node:fs";
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import * as hft from "./index.js";
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const config = JSON.parse(fs.readFileSync("test.conf.json", "utf8"));
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class Strategy {
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lastTick;
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lastBar;
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engine;
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symbol = config.Test.Symbol;
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constructor(engine) {
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this.engine = engine;
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}
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var _this = this;
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onInit() {
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this.engine.subscribe([this.symbol], this);
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this.engine.subscribeBar([this.symbol], this);
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console.log("Strategy init");
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console.log("Trading Day", this.engine.getTradingDay());
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this.engine.queryInstrument(this.symbol, {
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onInstrument:
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onInstrument: (instrument) => {
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if (!instrument) {
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console.error("Symbol",
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console.error("Symbol", this.symbol, "error");
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process.exit(1);
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}
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console.log("Instrument", instrument);
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},
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});
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this.engine.queryCommissionRate(this.symbol, {
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onCommissionRate:
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onCommissionRate: (rate) => {
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console.log("Commission Rate", rate);
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},
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});
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this.engine.queryMarginRate(this.symbol, {
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onMarginRate:
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onMarginRate: (rate) => {
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console.log("Margin Rate", rate);
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},
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});
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this.engine.queryTradingAccounts({
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onTradingAccounts:
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onTradingAccounts: (accounts) => {
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console.log("Trading Accounts", accounts);
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},
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});
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this.engine.queryOrders({
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onOrders:
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onOrders: (orders) => {
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console.log("Orders", orders);
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},
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});
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this.engine.queryPositionDetails({
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onPositionDetails:
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onPositionDetails: (positionDetails) => {
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console.log("Position Details", positionDetails);
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},
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});
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this.engine.queryPositions({
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onPositions:
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onPositions: (positions) => {
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console.log("Positions", positions);
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},
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});
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setTimeout(
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if (!
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setTimeout(() => {
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if (!this.lastTick) {
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console.error("Market data is not found");
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return;
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}
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if (
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console.log(
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if (this.lastBar) {
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console.log(this.lastBar);
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}
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const price = this.lastTick.orderBook.asks.price[0];
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if (!price) {
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console.error("Invalid price");
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return;
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}
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hft.buyOpen(
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onPlaceOrderSent:
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hft.buyOpen(this.engine, this, this.symbol, 1, price, {
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onPlaceOrderSent: (receiptId) => {
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console.log("Open Place Order Receipt Id", receiptId);
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},
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onPlaceOrderError:
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onPlaceOrderError: (reason) => {
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console.error("Open Place Order Error", reason);
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},
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});
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}, 30 * 1000);
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}
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}
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onDestroy() {
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this.engine.unsubscribeBar([this.symbol], this);
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this.engine.unsubscribe([this.symbol], this);
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console.log("Strategy destroy");
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}
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}
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onRisk(type, reason) {
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console.log("Trigger Risk Control", type, reason);
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}
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}
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onEntrust(order) {
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console.log("Entrust order", order);
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}
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var _this = this;
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}
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onTrade(order, trade) {
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console.log("Order", order, "Traded", trade);
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if (order.status === "filled") {
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setTimeout(
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onPosition:
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if (!position || !
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setTimeout(() => {
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this.engine.queryPosition(this.symbol, {
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onPosition: (position) => {
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if (!position || !this.lastTick) {
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return;
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}
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const todayLong = position.today.long.position - position.today.long.frozen;
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if (todayLong > 0) {
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if (
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console.log(
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if (this.lastBar) {
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console.log(this.lastBar);
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}
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hft.sellClose(
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onPlaceOrderSent:
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hft.sellClose(this.engine, this, this.symbol, todayLong, 0, true, {
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onPlaceOrderSent: (receiptId) => {
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console.log("Close Place Order Receipt Id", receiptId);
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},
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onPlaceOrderError:
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onPlaceOrderError: (reason) => {
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console.error("Close Place Order Error", reason);
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},
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});
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});
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}, 30 * 1000);
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}
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}
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}
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onCancel(order) {
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console.log("Cancel Order", order);
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}
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}
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onReject(order) {
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console.log("Reject Order", order);
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}
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}
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onTick(tick, tape) {
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//console.log(tick);
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//console.log(tape);
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this.lastTick = tick;
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}
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}
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onBar(bar) {
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console.log(bar);
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this.lastBar = bar;
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}
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var market = hft.createMarket(config.FlowMdPath, config.FrontMdAddrs, {
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}
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}
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const market = hft.createMarket(config.FlowMdPath, config.FrontMdAddrs, {
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listener: {
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onSubscribed:
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console.log(
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onSubscribed: (symbol) => {
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console.log(`Market subscribed: ${symbol}`);
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},
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onUnsubscribed:
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console.log(
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onUnsubscribed: (symbol) => {
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console.log(`Market unsubscribed: ${symbol}`);
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},
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});
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const trader = hft.createTrader(config.FlowTdPath, config.FrontTdAddrs, config.UserInfo, { fastQueryLastTick: (instrumentId) => market.getLastTick(instrumentId) });
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const recorder = market.getRecorder();
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const enableRecorder = false;
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if (enableRecorder && recorder) {
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recorder.setRecorder({
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onMarketData:
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onMarketData: (marketData) => {
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console.log(marketData.InstrumentID, marketData.LastPrice);
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},
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},
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.map(function (instrument) { return instrument.symbol; });
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});
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}, (instruments) => instruments
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.filter((instrument) => instrument.productType === "futures")
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.map((instrument) => instrument.symbol));
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}
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onError
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const broker = hft.createBroker(trader, market, {
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onError(error, message) {
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console.error(error, message);
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},
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});
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broker.addStrategy(new Strategy(broker));
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if (!broker.start()) {
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console.error("Broker start failed");
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process.exit(1);
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}
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//# sourceMappingURL=index.test.js.map
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package/lib/index.test.js.map
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{"version":3,"file":"index.test.js","sourceRoot":"","sources":["../src/index.test.ts"],"names":[],"mappings":"
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|
+
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|
package/lib/interfaces.d.ts
CHANGED
|
@@ -1,4 +1,4 @@
|
|
|
1
|
-
import { BarData, CommissionRate, InstrumentData, MarginRate, OffsetType, OrderData, OrderFlag, OrderStatistic, PositionData, PositionDetail, ProductType, SideType, TapeData, TickData, TradeData, TradingAccount } from "./typedef.js";
|
|
1
|
+
import type { BarData, CommissionRate, InstrumentData, MarginRate, OffsetType, OrderData, OrderFlag, OrderStatistic, PositionData, PositionDetail, ProductType, SideType, TapeData, TickData, TradeData, TradingAccount } from "./typedef.js";
|
|
2
2
|
export type RiskType = "place-order-risk" | "cancel-order-risk";
|
|
3
3
|
export interface IPlaceOrderRiskManager {
|
|
4
4
|
onPlaceOrder: (symbol: string, offset: OffsetType, side: SideType, volume: number, price: number, flag: OrderFlag) => boolean | string;
|
package/lib/interfaces.js
CHANGED
package/lib/interfaces.js.map
CHANGED
|
@@ -1 +1 @@
|
|
|
1
|
-
{"version":3,"file":"interfaces.js","sourceRoot":"","sources":["../src/interfaces.ts"],"names":[],"mappings":"
|
|
1
|
+
{"version":3,"file":"interfaces.js","sourceRoot":"","sources":["../src/interfaces.ts"],"names":[],"mappings":"AAAA;;;;;;;;;GASG"}
|
package/lib/market.d.ts
CHANGED
|
@@ -1,6 +1,6 @@
|
|
|
1
1
|
import { CTPProvider } from "./provider.js";
|
|
2
|
-
import { InstrumentData, OrderBook } from "./typedef.js";
|
|
3
|
-
import { ILifecycleListener, IMarketProvider, IMarketRecorderProvider, IMarketRecorderReceiver, IMarketRecorderSymbols, ITickReceiver } from "./interfaces.js";
|
|
2
|
+
import type { InstrumentData, OrderBook } from "./typedef.js";
|
|
3
|
+
import type { ILifecycleListener, IMarketProvider, IMarketRecorderProvider, IMarketRecorderReceiver, IMarketRecorderSymbols, ITickReceiver } from "./interfaces.js";
|
|
4
4
|
export interface IMarketListener {
|
|
5
5
|
onSubscribed: (symbol: string) => void;
|
|
6
6
|
onUnsubscribed: (symbol: string) => void;
|