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/provider.js.map
CHANGED
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@@ -1 +1 @@
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1
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-
{"version":3,"file":"provider.js","sourceRoot":"","sources":["../src/provider.ts"],"names":[],"mappings":"
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1
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{"version":3,"file":"provider.js","sourceRoot":"","sources":["../src/provider.ts"],"names":[],"mappings":"AAAA;;;;;;;;;GASG;AAEH,OAAO,EAAE,MAAM,SAAS,CAAC;AACzB,OAAO,GAAG,EAAE,EAAwB,MAAM,UAAU,CAAC;AAGrD,MAAM,OAAO,WAAW;IACH,QAAQ,CAAS;IACjB,UAAU,CAAoB;IAEjD,YAAY,QAAgB,EAAE,UAA6B;QACzD,IAAI,CAAC,QAAQ,GAAG,QAAQ,CAAC;QACzB,IAAI,CAAC,UAAU,GAAG,UAAU,CAAC;QAE7B,IAAI,CAAC;YACH,EAAE,CAAC,UAAU,CAAC,IAAI,CAAC,QAAQ,CAAC,CAAC;QAC/B,CAAC;QAAC,MAAM,CAAC;YACP,EAAE,CAAC,SAAS,CAAC,IAAI,CAAC,QAAQ,EAAE,EAAE,SAAS,EAAE,IAAI,EAAE,CAAC,CAAC;QACnD,CAAC;IACH,CAAC;IAEO,MAAM,CAAC,EAAU;QACvB,OAAO,IAAI,OAAO,CAAO,CAAC,OAAO,EAAE,EAAE;YACnC,UAAU,CAAC,OAAO,EAAE,EAAE,CAAC,CAAC;QAC1B,CAAC,CAAC,CAAC;IACL,CAAC;IAES,KAAK,CAAC,UAAU,CAAC,OAAiC,EAAE,EAAE,GAAG,GAAG;QACpE,SAAS,CAAC;YACR,MAAM,MAAM,GAAG,OAAO,EAAE,CAAC;YAEzB,IAAI,MAAM,KAAK,CAAC,EAAE,CAAC;gBACjB,OAAO,GAAG,CAAC,gBAAgB,EAAE,CAAC;YAChC,CAAC;YAED,IAAI,CAAC,CAAC,KAAK,MAAM,IAAI,CAAC,CAAC,KAAK,MAAM,EAAE,CAAC;gBACnC,MAAM,IAAI,CAAC,MAAM,CAAC,EAAE,CAAC,CAAC;gBACtB,SAAS;YACX,CAAC;YAED,OAAO,MAAM,CAAC;QAChB,CAAC;IACH,CAAC;IAES,YAAY,CACpB,SAA6B,EAC7B,OAAwB,EACxB,KAAgB;QAEhB,IAAI,CAAC,OAAO,CAAC,OAAO,EAAE,CAAC;YACrB,OAAO,KAAK,CAAC;QACf,CAAC;QAED,SAAS,CAAC,OAAO,CACf,KAAK,EACL,GAAG,OAAO,CAAC,OAAO,CAAC,OAAO,IAAI,OAAO,CAAC,OAAO,CAAC,QAAQ,EAAE,CACzD,CAAC;QAEF,OAAO,IAAI,CAAC;IACd,CAAC;IAES,UAAU,CAAC,IAAY;QAC/B,MAAM,CAAC,EAAE,GAAG,CAAC,EAAE,EAAE,GAAG,CAAC,EAAE,EAAE,GAAG,CAAC,CAAC,GAAG,IAAI,CAAC,KAAK,CAAC,GAAG,CAAC,CAAC,GAAG,CAAC,CAAC,CAAC,EAAE,EAAE,CAAC,QAAQ,CAAC,CAAC,CAAC,CAAC,CAAC;QACzE,OAAO,EAAE,GAAG,KAAK,GAAG,EAAE,GAAG,GAAG,GAAG,EAAE,CAAC;IACpC,CAAC;CACF"}
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package/lib/tape.d.ts
CHANGED
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@@ -1,2 +1,2 @@
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import { TapeData, TickData } from "./typedef.js";
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import type { TapeData, TickData } from "./typedef.js";
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export declare const calcTapeData: (tick: TickData, preTick?: TickData) => TapeData;
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package/lib/tape.js
CHANGED
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@@ -1,4 +1,3 @@
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"use strict";
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/*
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* tape.ts
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*
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@@ -9,9 +8,7 @@
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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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exports.calcTapeData = void 0;
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var calcTapeType = function (volumeDelta, interestDelta) {
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const calcTapeType = (volumeDelta, interestDelta) => {
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if (interestDelta > 0) {
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return volumeDelta === interestDelta ? "dual-open" : "open";
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}
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@@ -23,27 +20,26 @@ var calcTapeType = function (volumeDelta, interestDelta) {
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}
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return "no-deal";
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};
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-
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-
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var lastPrice = tick.lastPrice;
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const calcTapeDirection = (tick, preTick) => {
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const lastPrice = tick.lastPrice;
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if (preTick) {
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-
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const preAskPrice1 = preTick.orderBook.asks.price[0] ?? Number.MAX_VALUE;
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if (lastPrice >= preAskPrice1) {
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return "up";
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}
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-
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const preBidPrice1 = preTick.orderBook.bids.price[0] ?? Number.MIN_VALUE;
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if (lastPrice <= preBidPrice1) {
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return "down";
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}
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-
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const askPrice1 = tick.orderBook.asks.price[0] ?? Number.MAX_VALUE;
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if (lastPrice >= askPrice1) {
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return "up";
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}
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const bidPrice1 = tick.orderBook.bids.price[0] ?? Number.MIN_VALUE;
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if (lastPrice <= bidPrice1) {
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return "down";
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}
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-
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const prePrice = preTick.lastPrice;
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if (lastPrice > prePrice) {
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return "up";
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}
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@@ -59,11 +55,11 @@ var calcTapeDirection = function (tick, preTick) {
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return "none";
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}
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else {
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-
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const askPrice1 = tick.orderBook.asks.price[0] ?? Number.MAX_VALUE;
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if (lastPrice >= askPrice1) {
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return "up";
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}
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const bidPrice1 = tick.orderBook.bids.price[0] ?? Number.MIN_VALUE;
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if (lastPrice <= bidPrice1) {
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return "down";
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}
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@@ -76,7 +72,7 @@ var calcTapeDirection = function (tick, preTick) {
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return "none";
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}
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};
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-
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const calcTapeStatus = (tapeType, tapeDirection) => {
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if (tapeType === "open" && tapeDirection === "up") {
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return "open-long";
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}
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@@ -103,15 +99,15 @@ var calcTapeStatus = function (tapeType, tapeDirection) {
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}
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return "invalid";
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};
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export const calcTapeData = (tick, preTick) => {
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const volumeDelta = preTick ? tick.volume - preTick.volume : tick.volume;
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const amountDelta = preTick ? tick.amount - preTick.amount : tick.amount;
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const interestDelta = preTick
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? tick.openInterest - preTick.openInterest
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: tick.openInterest - tick.preOpenInterest;
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-
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-
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-
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const tapeType = calcTapeType(volumeDelta, interestDelta);
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const tapeDirection = calcTapeDirection(tick, preTick);
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const tapeStatus = calcTapeStatus(tapeType, tapeDirection);
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return Object.freeze({
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type: tapeType,
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direction: tapeDirection,
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@@ -121,5 +117,4 @@ var calcTapeData = function (tick, preTick) {
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amountDelta: amountDelta,
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});
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};
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exports.calcTapeData = calcTapeData;
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//# sourceMappingURL=tape.js.map
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package/lib/tape.js.map
CHANGED
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@@ -1 +1 @@
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1
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{"version":3,"file":"tape.js","sourceRoot":"","sources":["../src/tape.ts"],"names":[],"mappings":"
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{"version":3,"file":"tape.js","sourceRoot":"","sources":["../src/tape.ts"],"names":[],"mappings":"AAAA;;;;;;;;;GASG;AAUH,MAAM,YAAY,GAAG,CAAC,WAAmB,EAAE,aAAqB,EAAY,EAAE;IAC5E,IAAI,aAAa,GAAG,CAAC,EAAE,CAAC;QACtB,OAAO,WAAW,KAAK,aAAa,CAAC,CAAC,CAAC,WAAW,CAAC,CAAC,CAAC,MAAM,CAAC;IAC9D,CAAC;IAED,IAAI,aAAa,GAAG,CAAC,EAAE,CAAC;QACtB,OAAO,WAAW,GAAG,aAAa,KAAK,CAAC,CAAC,CAAC,CAAC,YAAY,CAAC,CAAC,CAAC,OAAO,CAAC;IACpE,CAAC;IAED,IAAI,WAAW,GAAG,CAAC,EAAE,CAAC;QACpB,OAAO,UAAU,CAAC;IACpB,CAAC;IAED,OAAO,SAAS,CAAC;AACnB,CAAC,CAAC;AAEF,MAAM,iBAAiB,GAAG,CACxB,IAAc,EACd,OAAkB,EACH,EAAE;IACjB,MAAM,SAAS,GAAG,IAAI,CAAC,SAAS,CAAC;IAEjC,IAAI,OAAO,EAAE,CAAC;QACZ,MAAM,YAAY,GAAG,OAAO,CAAC,SAAS,CAAC,IAAI,CAAC,KAAK,CAAC,CAAC,CAAC,IAAI,MAAM,CAAC,SAAS,CAAC;QAEzE,IAAI,SAAS,IAAI,YAAY,EAAE,CAAC;YAC9B,OAAO,IAAI,CAAC;QACd,CAAC;QAED,MAAM,YAAY,GAAG,OAAO,CAAC,SAAS,CAAC,IAAI,CAAC,KAAK,CAAC,CAAC,CAAC,IAAI,MAAM,CAAC,SAAS,CAAC;QAEzE,IAAI,SAAS,IAAI,YAAY,EAAE,CAAC;YAC9B,OAAO,MAAM,CAAC;QAChB,CAAC;QAED,MAAM,SAAS,GAAG,IAAI,CAAC,SAAS,CAAC,IAAI,CAAC,KAAK,CAAC,CAAC,CAAC,IAAI,MAAM,CAAC,SAAS,CAAC;QAEnE,IAAI,SAAS,IAAI,SAAS,EAAE,CAAC;YAC3B,OAAO,IAAI,CAAC;QACd,CAAC;QAED,MAAM,SAAS,GAAG,IAAI,CAAC,SAAS,CAAC,IAAI,CAAC,KAAK,CAAC,CAAC,CAAC,IAAI,MAAM,CAAC,SAAS,CAAC;QAEnE,IAAI,SAAS,IAAI,SAAS,EAAE,CAAC;YAC3B,OAAO,MAAM,CAAC;QAChB,CAAC;QAED,MAAM,QAAQ,GAAG,OAAO,CAAC,SAAS,CAAC;QAEnC,IAAI,SAAS,GAAG,QAAQ,EAAE,CAAC;YACzB,OAAO,IAAI,CAAC;QACd,CAAC;QAED,IAAI,SAAS,GAAG,QAAQ,EAAE,CAAC;YACzB,OAAO,MAAM,CAAC;QAChB,CAAC;QAED,IAAI,SAAS,IAAI,YAAY,EAAE,CAAC;YAC9B,OAAO,IAAI,CAAC;QACd,CAAC;QAED,IAAI,SAAS,IAAI,YAAY,EAAE,CAAC;YAC9B,OAAO,MAAM,CAAC;QAChB,CAAC;QAED,OAAO,MAAM,CAAC;IAChB,CAAC;SAAM,CAAC;QACN,MAAM,SAAS,GAAG,IAAI,CAAC,SAAS,CAAC,IAAI,CAAC,KAAK,CAAC,CAAC,CAAC,IAAI,MAAM,CAAC,SAAS,CAAC;QAEnE,IAAI,SAAS,IAAI,SAAS,EAAE,CAAC;YAC3B,OAAO,IAAI,CAAC;QACd,CAAC;QAED,MAAM,SAAS,GAAG,IAAI,CAAC,SAAS,CAAC,IAAI,CAAC,KAAK,CAAC,CAAC,CAAC,IAAI,MAAM,CAAC,SAAS,CAAC;QAEnE,IAAI,SAAS,IAAI,SAAS,EAAE,CAAC;YAC3B,OAAO,MAAM,CAAC;QAChB,CAAC;QAED,IAAI,SAAS,GAAG,IAAI,CAAC,QAAQ,EAAE,CAAC;YAC9B,OAAO,IAAI,CAAC;QACd,CAAC;QAED,IAAI,SAAS,GAAG,IAAI,CAAC,QAAQ,EAAE,CAAC;YAC9B,OAAO,MAAM,CAAC;QAChB,CAAC;QAED,OAAO,MAAM,CAAC;IAChB,CAAC;AACH,CAAC,CAAC;AAEF,MAAM,cAAc,GAAG,CACrB,QAAkB,EAClB,aAA4B,EAChB,EAAE;IACd,IAAI,QAAQ,KAAK,MAAM,IAAI,aAAa,KAAK,IAAI,EAAE,CAAC;QAClD,OAAO,WAAW,CAAC;IACrB,CAAC;IAED,IAAI,QAAQ,KAAK,MAAM,IAAI,aAAa,KAAK,MAAM,EAAE,CAAC;QACpD,OAAO,YAAY,CAAC;IACtB,CAAC;IAED,IAAI,QAAQ,KAAK,OAAO,IAAI,aAAa,KAAK,IAAI,EAAE,CAAC;QACnD,OAAO,aAAa,CAAC;IACvB,CAAC;IAED,IAAI,QAAQ,KAAK,OAAO,IAAI,aAAa,KAAK,MAAM,EAAE,CAAC;QACrD,OAAO,YAAY,CAAC;IACtB,CAAC;IAED,IAAI,QAAQ,KAAK,UAAU,IAAI,aAAa,KAAK,IAAI,EAAE,CAAC;QACtD,OAAO,eAAe,CAAC;IACzB,CAAC;IAED,IAAI,QAAQ,KAAK,UAAU,IAAI,aAAa,KAAK,MAAM,EAAE,CAAC;QACxD,OAAO,gBAAgB,CAAC;IAC1B,CAAC;IAED,IAAI,QAAQ,KAAK,WAAW,EAAE,CAAC;QAC7B,OAAO,WAAW,CAAC;IACrB,CAAC;IAED,IAAI,QAAQ,KAAK,YAAY,EAAE,CAAC;QAC9B,OAAO,YAAY,CAAC;IACtB,CAAC;IAED,OAAO,SAAS,CAAC;AACnB,CAAC,CAAC;AAEF,MAAM,CAAC,MAAM,YAAY,GAAG,CAAC,IAAc,EAAE,OAAkB,EAAY,EAAE;IAC3E,MAAM,WAAW,GAAG,OAAO,CAAC,CAAC,CAAC,IAAI,CAAC,MAAM,GAAG,OAAO,CAAC,MAAM,CAAC,CAAC,CAAC,IAAI,CAAC,MAAM,CAAC;IACzE,MAAM,WAAW,GAAG,OAAO,CAAC,CAAC,CAAC,IAAI,CAAC,MAAM,GAAG,OAAO,CAAC,MAAM,CAAC,CAAC,CAAC,IAAI,CAAC,MAAM,CAAC;IAEzE,MAAM,aAAa,GAAG,OAAO;QAC3B,CAAC,CAAC,IAAI,CAAC,YAAY,GAAG,OAAO,CAAC,YAAY;QAC1C,CAAC,CAAC,IAAI,CAAC,YAAY,GAAG,IAAI,CAAC,eAAe,CAAC;IAE7C,MAAM,QAAQ,GAAG,YAAY,CAAC,WAAW,EAAE,aAAa,CAAC,CAAC;IAC1D,MAAM,aAAa,GAAG,iBAAiB,CAAC,IAAI,EAAE,OAAO,CAAC,CAAC;IACvD,MAAM,UAAU,GAAG,cAAc,CAAC,QAAQ,EAAE,aAAa,CAAC,CAAC;IAE3D,OAAO,MAAM,CAAC,MAAM,CAAC;QACnB,IAAI,EAAE,QAAQ;QACd,SAAS,EAAE,aAAa;QACxB,MAAM,EAAE,UAAU;QAClB,aAAa,EAAE,aAAa;QAC5B,WAAW,EAAE,WAAW;QACxB,WAAW,EAAE,WAAW;KACzB,CAAC,CAAC;AACL,CAAC,CAAC"}
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package/lib/trader.d.ts
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import { CTPProvider } from "./provider.js";
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import { OffsetType, OrderData, OrderFlag, ProductType, SideType, TickData } from "./typedef.js";
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import { ICancelOrderResultReceiver, ICommissionRateReceiver, IInstrumentReceiver, IInstrumentsReceiver, ILifecycleListener, IMarginRateReceiver, IOrderReceiver, IOrdersReceiver, IPlaceOrderResultReceiver, IPositionDetailsReceiver, IPositionReceiver, IPositionsReceiver, ITraderProvider, ITradingAccountsReceiver } from "./interfaces.js";
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import type { OffsetType, OrderData, OrderFlag, ProductType, SideType, TickData } from "./typedef.js";
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import type { ICancelOrderResultReceiver, ICommissionRateReceiver, IInstrumentReceiver, IInstrumentsReceiver, ILifecycleListener, IMarginRateReceiver, IOrderReceiver, IOrdersReceiver, IPlaceOrderResultReceiver, IPositionDetailsReceiver, IPositionReceiver, IPositionsReceiver, ITraderProvider, ITradingAccountsReceiver } from "./interfaces.js";
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export type CTPUserInfo = {
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BrokerID: string;
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UserID: string;
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@@ -88,6 +88,7 @@ export declare class Trader extends CTPProvider implements ITraderProvider {
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private _calcOffsetType;
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private _toOffsetFlag;
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private _calcProductType;
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private _calcOptionsType;
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private _ensurePositionInfo;
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private _ensureOrderStatistic;
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private _calcPosition;
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