npm - hft-js - Versions diffs - 0.4.0 → 0.4.1 - Mend

hft-js 0.4.0 → 0.4.1

This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.

Files changed (17) hide show

package/lib/broker.js CHANGED Viewed

@@ -26,7 +26,7 @@ export class Broker {
         this.errorReceiver = errorReceiver;
         this.marketLifecycle = {
             onOpen: () => {
-                const recorder = this.market.getRecorder();
+                const recorder = this.market.getRecorderProvider();
                 if (recorder && recorder.isRecorderReady()) {
                     this.trader.queryInstruments({
                         onInstruments: (instruments) => {
@@ -40,7 +40,7 @@ export class Broker {
             },
             onClose: () => {
                 this.strategies.forEach((strategy) => strategy.onDestroy());
-                const recorder = this.market.getRecorder();
+                const recorder = this.market.getRecorderProvider();
                 if (recorder) {
                     recorder.stopRecorder();
                 }

package/lib/broker.js.map CHANGED Viewed

	@@ -1 +1 @@
1	- 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1	+ 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package/lib/index.test.js CHANGED Viewed

@@ -153,7 +153,7 @@ const market = hft.createMarket(config.FlowMdPath, config.FrontMdAddrs, {
     },
 });
 const trader = hft.createTrader(config.FlowTdPath, config.FrontTdAddrs, config.UserInfo, { fastQueryLastTick: (instrumentId) => market.getLastTick(instrumentId) });
-const recorder = market.getRecorder();
+const recorder = market.getRecorderProvider();
 const enableRecorder = false;
 if (enableRecorder && recorder) {
     recorder.setRecorder({

package/lib/index.test.js.map CHANGED Viewed

	@@ -1 +1 @@
1	- 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package/lib/interfaces.d.ts CHANGED Viewed

@@ -106,7 +106,7 @@ export interface IMarketRecorderProvider {
     stopRecorder: () => void;
 }
 export interface IMarketProvider extends IProvider, ITickSubscriber, ITickUnsubscriber {
-    getRecorder: () => IMarketRecorderProvider | undefined;
+    getRecorderProvider: () => IMarketRecorderProvider | undefined;
 }
 export type IPlaceOrderResultReceiver = {
     onPlaceOrderSent: (receiptId: string) => void;

package/lib/market.d.ts CHANGED Viewed

@@ -1,3 +1,4 @@
+import type { DepthMarketDataField } from "@napi-ctp/types";
 import { CTPProvider } from "./provider.js";
 import type { InstrumentData, OrderBook } from "./typedef.js";
 import type { IErrorReceiver, ILifecycleListener, IMarketProvider, IMarketRecorderProvider, IMarketRecorderReceiver, IMarketRecorderSymbols, ITickReceiver } from "./interfaces.js";
@@ -19,7 +20,8 @@ export declare class Market extends CTPProvider implements IMarketProvider, IMar
     private readonly lastTicks;
     private readonly subscribers;
     constructor(flowMdPath: string, frontMdAddrs: string | string[], options?: MarketOptions);
-    getRecorder(): this;
+    getDepthMarketDataRaw(): DepthMarketDataField[];
+    getRecorderProvider(): this;
     isRecorderReady(): boolean;
     setRecorder(receiver: IMarketRecorderReceiver, symbols: IMarketRecorderSymbols): void;
     getLastTick(instrumentId: string): Readonly<{

package/lib/market.js CHANGED Viewed

@@ -33,7 +33,10 @@ export class Market extends CTPProvider {
             this.listener = options.listener;
         }
     }
-    getRecorder() {
+    getDepthMarketDataRaw() {
+        return Array.from(this.lastTicks.values().map((lastTick) => lastTick.raw));
+    }
+    getRecorderProvider() {
         return this;
     }
     isRecorderReady() {
@@ -44,7 +47,8 @@ export class Market extends CTPProvider {
         this.recorderSymbols = symbols;
     }
     getLastTick(instrumentId) {
-        return this.lastTicks.get(instrumentId);
+        const lastTick = this.lastTicks.get(instrumentId);
+        return lastTick ? lastTick.tick : undefined;
     }
     open(lifecycle, errorReceiver) {
         if (this.marketApi) {
@@ -178,11 +182,11 @@ export class Market extends CTPProvider {
                 }),
                 orderBook: Object.freeze(orderBook),
             });
-            const lastTick = this.lastTicks.get(instrumentId);
+            this.lastTicks.set(instrumentId, { tick, raw: depthMarketData });
             const receivers = this.subscribers.get(instrumentId);
-            this.lastTicks.set(instrumentId, tick);
             if (receivers && receivers.length > 0) {
-                const tape = calcTapeData(tick, lastTick);
+                const lastTick = this.lastTicks.get(instrumentId);
+                const tape = calcTapeData(tick, lastTick ? lastTick.tick : undefined);
                 receivers.forEach((receiver) => receiver.onTick(tick, tape));
             }
         });

package/lib/market.js.map CHANGED Viewed

	@@ -1 +1 @@
1	- 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package/lib/trader.d.ts CHANGED Viewed

@@ -1,3 +1,4 @@
+import type { InstrumentCommissionRateField, InstrumentField, InstrumentMarginRateField, InvestorPositionDetailField, InvestorPositionField, OrderField, TradeField, TradingAccountField } from "@napi-ctp/types";
 import { CTPProvider } from "./provider.js";
 import type { OffsetType, OrderData, OrderFlag, ProductType, SideType, TickData } from "./typedef.js";
 import type { ICancelOrderResultReceiver, ICommissionRateReceiver, IErrorReceiver, IInstrumentReceiver, IInstrumentsReceiver, ILifecycleListener, IMarginRateReceiver, IOrderReceiver, IOrdersReceiver, IPlaceOrderResultReceiver, IPositionDetailsReceiver, IPositionReceiver, IPositionsReceiver, ITraderProvider, ITradingAccountsReceiver } from "./interfaces.js";
@@ -26,6 +27,7 @@ export declare class Trader extends CTPProvider implements ITraderProvider {
     private readonly userInfo;
     private readonly receivers;
     private readonly accounts;
+    private readonly investorPositions;
     private readonly positionDetails;
     private readonly instruments;
     private readonly positions;
@@ -43,6 +45,14 @@ export declare class Trader extends CTPProvider implements ITraderProvider {
     private readonly accountsQueue;
     private readonly positionDetailsQueue;
     constructor(flowTdPath: string, frontTdAddrs: string | string[], userInfo: CTPUserInfo, options?: TraderOptions);
+    getTradingAccountsRaw(): TradingAccountField[];
+    getInvestorPositionsRaw(): InvestorPositionField[];
+    getInvestorPositionDetailsRaw(): InvestorPositionDetailField[];
+    getInstrumentsRaw(): InstrumentField[];
+    getOrdersRaw(): OrderField[];
+    getTradesRaw(): TradeField[][];
+    getInstrumentMarginRatesRaw(): InstrumentMarginRateField[];
+    getInstrumentCommissionRatesRaw(): InstrumentCommissionRateField[];
     open(lifecycle: ILifecycleListener, errorReceiver: IErrorReceiver): boolean;
     close(lifecycle: ILifecycleListener, _errorReceiver: IErrorReceiver): void;
     addOrderReceiver(receiver: IOrderReceiver): void;

package/lib/trader.js CHANGED Viewed

@@ -24,6 +24,7 @@ export class Trader extends CTPProvider {
     userInfo;
     receivers;
     accounts;
+    investorPositions;
     positionDetails;
     instruments;
     positions;
@@ -51,6 +52,7 @@ export class Trader extends CTPProvider {
         this.userInfo = userInfo;
         this.receivers = [];
         this.accounts = [];
+        this.investorPositions = [];
         this.positionDetails = [];
         this.instruments = new Map();
         this.positions = new Map();
@@ -71,6 +73,30 @@ export class Trader extends CTPProvider {
             this.fastQueryLastTick = options.fastQueryLastTick;
         }
     }
+    getTradingAccountsRaw() {
+        return this.accounts;
+    }
+    getInvestorPositionsRaw() {
+        return this.investorPositions;
+    }
+    getInvestorPositionDetailsRaw() {
+        return this.positionDetails;
+    }
+    getInstrumentsRaw() {
+        return Array.from(this.instruments.values());
+    }
+    getOrdersRaw() {
+        return Array.from(this.orders.values());
+    }
+    getTradesRaw() {
+        return Array.from(this.trades.values());
+    }
+    getInstrumentMarginRatesRaw() {
+        return Array.from(this.marginRates.values());
+    }
+    getInstrumentCommissionRatesRaw() {
+        return Array.from(this.commRates.values());
+    }
     open(lifecycle, errorReceiver) {
         if (this.traderApi) {
             return true;
@@ -158,6 +184,7 @@ export class Trader extends CTPProvider {
             }
             if (options.isLast) {
                 this.positions.clear();
+                this.investorPositions.splice(0, this.investorPositions.length);
                 this._withRetry(() => this.traderApi.reqQryInvestorPosition(this.userInfo));
             }
         });
@@ -202,6 +229,7 @@ export class Trader extends CTPProvider {
                             break;
                     }
                 }
+                this.investorPositions.push(position);
             }
             if (options.isLast) {
                 if (!fired) {
@@ -209,9 +237,11 @@ export class Trader extends CTPProvider {
                     lifecycle.onOpen();
                 }
                 if (this.accountsQueue.size() > 0) {
+                    this.accounts.splice(0, this.accounts.length);
                     this._withRetry(() => this.traderApi.reqQryTradingAccount(this.userInfo));
                 }
                 if (this.positionDetailsQueue.size() > 0) {
+                    this.positionDetails.splice(0, this.positionDetails.length);
                     this._withRetry(() => this.traderApi.reqQryInvestorPositionDetail(this.userInfo));
                 }
                 this._processMarginRatesQueue();
@@ -577,8 +607,9 @@ export class Trader extends CTPProvider {
             return;
         }
         this.positionDetailsQueue.push(receiver);
-        this.positionDetails.splice(0, this.positionDetails.length);
-        this._withRetry(() => this.traderApi?.reqQryInvestorPositionDetail(this.userInfo));
+        this.investorPositions.splice(0, this.investorPositions.length);
+        this.positions.clear();
+        this._withRetry(() => this.traderApi.reqQryInvestorPosition(this.userInfo));
     }
     queryPositions(receiver) {
         const positions = [];

package/lib/trader.js.map CHANGED Viewed

	@@ -1 +1 @@
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1	+ 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package/package.json CHANGED Viewed

@@ -1,6 +1,6 @@
 {
   "name": "hft-js",
-  "version": "0.4.0",
+  "version": "0.4.1",
   "description": "High-Frequency Trading in Node.js",
   "main": "./lib/index.js",
   "types": "./lib/index.d.ts",

package/src/broker.ts CHANGED Viewed

@@ -59,7 +59,7 @@ export class Broker implements IRuntimeEngine {
     this.marketLifecycle = {
       onOpen: () => {
-        const recorder = this.market.getRecorder();
+        const recorder = this.market.getRecorderProvider();
         if (recorder && recorder.isRecorderReady()) {
           this.trader.queryInstruments({
@@ -77,7 +77,7 @@ export class Broker implements IRuntimeEngine {
       onClose: () => {
         this.strategies.forEach((strategy) => strategy.onDestroy());
-        const recorder = this.market.getRecorder();
+        const recorder = this.market.getRecorderProvider();
         if (recorder) {
           recorder.stopRecorder();

package/src/index.test.ts CHANGED Viewed

@@ -218,7 +218,7 @@ const trader = hft.createTrader(
   { fastQueryLastTick: (instrumentId) => market.getLastTick(instrumentId) },
 );
-const recorder = market.getRecorder();
+const recorder = market.getRecorderProvider();
 const enableRecorder = false;
 if (enableRecorder && recorder) {

package/src/interfaces.ts CHANGED Viewed

@@ -205,7 +205,7 @@ export interface IMarketProvider
   extends IProvider,
     ITickSubscriber,
     ITickUnsubscriber {
-  getRecorder: () => IMarketRecorderProvider | undefined;
+  getRecorderProvider: () => IMarketRecorderProvider | undefined;
 }
 export type IPlaceOrderResultReceiver = {

package/src/market.ts CHANGED Viewed

@@ -29,6 +29,8 @@ import type {
   ITickReceiver,
 } from "./interfaces.js";
+type TickDataRaw = { tick: TickData; raw: DepthMarketDataField };
 export interface IMarketListener {
   onSubscribed: (symbol: string) => void;
   onUnsubscribed: (symbol: string) => void;
@@ -49,7 +51,7 @@ export class Market
   private readonly listener?: IMarketListener;
   private readonly recordings: Set<string>;
   private readonly symbols: Map<string, string>;
-  private readonly lastTicks: Map<string, TickData>;
+  private readonly lastTicks: Map<string, TickDataRaw>;
   private readonly subscribers: Map<string, ITickReceiver[]>;
   constructor(
@@ -69,7 +71,11 @@ export class Market
     }
   }
-  getRecorder() {
+  getDepthMarketDataRaw() {
+    return Array.from(this.lastTicks.values().map((lastTick) => lastTick.raw));
+  }
+  getRecorderProvider() {
     return this;
   }
@@ -86,7 +92,8 @@ export class Market
   }
   getLastTick(instrumentId: string) {
-    return this.lastTicks.get(instrumentId);
+    const lastTick = this.lastTicks.get(instrumentId);
+    return lastTick ? lastTick.tick : undefined;
   }
   open(lifecycle: ILifecycleListener, errorReceiver: IErrorReceiver) {
@@ -287,13 +294,13 @@ export class Market
           orderBook: Object.freeze(orderBook),
         });
-        const lastTick = this.lastTicks.get(instrumentId);
-        const receivers = this.subscribers.get(instrumentId);
+        this.lastTicks.set(instrumentId, { tick, raw: depthMarketData });
-        this.lastTicks.set(instrumentId, tick);
+        const receivers = this.subscribers.get(instrumentId);
         if (receivers && receivers.length > 0) {
-          const tape = calcTapeData(tick, lastTick);
+          const lastTick = this.lastTicks.get(instrumentId);
+          const tape = calcTapeData(tick, lastTick ? lastTick.tick : undefined);
           receivers.forEach((receiver) => receiver.onTick(tick, tape));
         }
       },

package/src/trader.ts CHANGED Viewed

@@ -123,6 +123,7 @@ export class Trader extends CTPProvider implements ITraderProvider {
   private readonly userInfo: CTPUserInfo;
   private readonly receivers: IOrderReceiver[];
   private readonly accounts: TradingAccountField[];
+  private readonly investorPositions: InvestorPositionField[];
   private readonly positionDetails: InvestorPositionDetailField[];
   private readonly instruments: Map<string, InstrumentField>;
   private readonly positions: Map<string, PositionInfo>;
@@ -156,6 +157,7 @@ export class Trader extends CTPProvider implements ITraderProvider {
     this.userInfo = userInfo;
     this.receivers = [];
     this.accounts = [];
+    this.investorPositions = [];
     this.positionDetails = [];
     this.instruments = new Map();
     this.positions = new Map();
@@ -178,6 +180,38 @@ export class Trader extends CTPProvider implements ITraderProvider {
     }
   }
+  getTradingAccountsRaw() {
+    return this.accounts;
+  }
+  getInvestorPositionsRaw() {
+    return this.investorPositions;
+  }
+  getInvestorPositionDetailsRaw() {
+    return this.positionDetails;
+  }
+  getInstrumentsRaw() {
+    return Array.from(this.instruments.values());
+  }
+  getOrdersRaw() {
+    return Array.from(this.orders.values());
+  }
+  getTradesRaw() {
+    return Array.from(this.trades.values());
+  }
+  getInstrumentMarginRatesRaw() {
+    return Array.from(this.marginRates.values());
+  }
+  getInstrumentCommissionRatesRaw() {
+    return Array.from(this.commRates.values());
+  }
   open(lifecycle: ILifecycleListener, errorReceiver: IErrorReceiver) {
     if (this.traderApi) {
       return true;
@@ -309,6 +343,7 @@ export class Trader extends CTPProvider implements ITraderProvider {
         if (options.isLast) {
           this.positions.clear();
+          this.investorPositions.splice(0, this.investorPositions.length);
           this._withRetry(() =>
             this.traderApi!.reqQryInvestorPosition(this.userInfo),
@@ -363,6 +398,8 @@ export class Trader extends CTPProvider implements ITraderProvider {
                 break;
             }
           }
+          this.investorPositions.push(position);
         }
         if (options.isLast) {
@@ -372,12 +409,16 @@ export class Trader extends CTPProvider implements ITraderProvider {
           }
           if (this.accountsQueue.size() > 0) {
+            this.accounts.splice(0, this.accounts.length);
             this._withRetry(() =>
               this.traderApi!.reqQryTradingAccount(this.userInfo),
             );
           }
           if (this.positionDetailsQueue.size() > 0) {
+            this.positionDetails.splice(0, this.positionDetails.length);
             this._withRetry(() =>
               this.traderApi!.reqQryInvestorPositionDetail(this.userInfo),
             );
@@ -978,10 +1019,11 @@ export class Trader extends CTPProvider implements ITraderProvider {
     }
     this.positionDetailsQueue.push(receiver);
-    this.positionDetails.splice(0, this.positionDetails.length);
+    this.investorPositions.splice(0, this.investorPositions.length);
+    this.positions.clear();
     this._withRetry(() =>
-      this.traderApi?.reqQryInvestorPositionDetail(this.userInfo),
+      this.traderApi!.reqQryInvestorPosition(this.userInfo),
     );
   }