@stoqey/ibkr
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NodeJS Interactive Brokers wrapper & utilities using @stoqey/ib
420 lines • 26 kB
JavaScript
"use strict";
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};
var __importDefault = (this && this.__importDefault) || function (mod) {
return (mod && mod.__esModule) ? mod : { "default": mod };
};
Object.defineProperty(exports, "__esModule", { value: true });
exports.MarketDataManager = void 0;
var moment_1 = __importDefault(require("moment"));
var rxjs_1 = require("rxjs");
var IBKRConnection_1 = __importDefault(require("../connection/IBKRConnection"));
var awaitP_1 = __importDefault(require("../utils/awaitP"));
var log_1 = require("../utils/log");
var events_1 = require("../events");
var Portfolios_1 = __importDefault(require("../portfolios/Portfolios"));
var isEmpty_1 = __importDefault(require("lodash/isEmpty"));
var time_utils_1 = require("../utils/time.utils");
var instrument_utils_1 = require("../utils/instrument.utils");
var data_utils_1 = require("../utils/data.utils");
var chart_1 = require("../utils/chart");
var sortBy_1 = __importDefault(require("lodash/sortBy"));
var appEvents = events_1.IBKREvents.Instance;
var logsNames = 'MkdMgr';
var MarketDataManager = /** @class */ (function () {
function MarketDataManager() {
var _this = this;
this.marketData = {};
this.GetHistoricalDataUpdates = new Map();
this.getSymbolKey = function (contract) {
return (0, instrument_utils_1.getSymbolKey)(contract);
};
// TODO api data
this.historicalData = function (contract, startDate, endDate, interval) { return __awaiter(_this, void 0, void 0, function () {
var symbol, instrumentData, dataArray, filteredData, first, last;
return __generator(this, function (_a) {
// throw new Error("Method not implemented.");
// i have the data as this.marketData: Record<string, { [date: string]: MarketData }> = {};
// convert to array using key as the date, then filter by start and end date
if (!contract) {
(0, log_1.log)("instrument not found", contract);
return [2 /*return*/, []];
}
symbol = this.getSymbolKey(contract);
instrumentData = this.marketData[symbol];
if (!instrumentData) {
(0, log_1.log)("instrument data not found", symbol);
return [2 /*return*/, []];
}
dataArray = Object.keys(instrumentData).filter(function (date) {
var dataDate = new Date(date);
return dataDate >= new Date(startDate) && dataDate <= new Date(endDate);
}).map(function (date) { return instrumentData[date]; });
filteredData = dataArray.filter(function (data) {
var dataDate = new Date(data.date);
return dataDate >= new Date(startDate) && dataDate <= new Date(endDate);
});
first = filteredData && filteredData[0];
last = (filteredData || [])[(filteredData === null || filteredData === void 0 ? void 0 : filteredData.length) - 1];
(0, chart_1.plotMkdCli)(filteredData);
(0, log_1.log)("".concat(logsNames, ".historicalData"), "".concat(filteredData.length, " data points for ").concat(symbol, " from ").concat((0, time_utils_1.formatDateStr)(first.date), " to ").concat((0, time_utils_1.formatDateStr)(last.date), " @").concat((0, data_utils_1.formatDec)(first.close), " -> @").concat((0, data_utils_1.formatDec)(last.close)));
return [2 /*return*/, filteredData];
});
}); };
// TODO api data
this.getQuote = function (contract, date) { return __awaiter(_this, void 0, void 0, function () {
var symbol;
return __generator(this, function (_a) {
try {
symbol = this.getSymbolKey(contract);
return [2 /*return*/, this.marketData[symbol] ? this.marketData[symbol][date.toISOString()] : null];
}
catch (e) {
(0, log_1.log)("error getting quote ".concat(JSON.stringify(contract || {})), e);
return [2 /*return*/, null];
}
return [2 /*return*/];
});
}); };
this.removeHistoricalDataUpdates = function (contract) {
var symbolId = _this.getSymbolKey(contract);
var subscription = _this.GetHistoricalDataUpdates.get(symbolId);
if (subscription) {
subscription.unsubscribe();
_this.GetHistoricalDataUpdates.delete(symbolId);
}
};
this.getHistoricalDataUpdates = function (contract, barSizeSetting, whatToShow) { return __awaiter(_this, void 0, void 0, function () {
var portfoliosManager_1, symbolId_1, getMarketDataLast30Minutes, e_1;
var _this = this;
return __generator(this, function (_a) {
switch (_a.label) {
case 0:
_a.trys.push([0, 4, , 5]);
portfoliosManager_1 = Portfolios_1.default.Instance;
if (!(!contract.conId || !contract.exchange)) return [3 /*break*/, 2];
return [4 /*yield*/, this.getContract(contract)];
case 1:
contract = _a.sent();
_a.label = 2;
case 2:
symbolId_1 = this.getSymbolKey(contract);
if (this.GetHistoricalDataUpdates.has(symbolId_1)) {
(0, log_1.warn)("".concat(logsNames, ".getHistoricalDataUpdates"), "Already subscribed to ".concat(symbolId_1));
return [2 /*return*/];
}
getMarketDataLast30Minutes = function () { return __awaiter(_this, void 0, void 0, function () {
var endDateTime, durationStr, barSizeSetting5Sec, historicalData, first, last, lastMarketData;
var _this = this;
return __generator(this, function (_a) {
switch (_a.label) {
case 0:
(0, log_1.log)("".concat(logsNames, ".getHistoricalDataUpdates.getMarketDataLast30Minutes"), "".concat(symbolId_1));
endDateTime = (0, moment_1.default)().format('YYYYMMDD HH:mm:ss');
durationStr = '3600 S';
barSizeSetting5Sec = '5 secs';
return [4 /*yield*/, (0, awaitP_1.default)(this.getHistoricalData(contract, endDateTime, durationStr, barSizeSetting5Sec, whatToShow))];
case 1:
historicalData = (_a.sent())[0];
// set market data
if (!(0, isEmpty_1.default)(historicalData)) {
first = historicalData && historicalData[0];
last = (historicalData || [])[historicalData.length - 1];
(0, chart_1.plotMkdCli)(historicalData);
(0, log_1.log)("".concat(logsNames, ".getHistoricalDataUpdates.getMarketDataLast30Minutes.length"), "".concat(historicalData === null || historicalData === void 0 ? void 0 : historicalData.length, " data points for ").concat(symbolId_1, " from ").concat((0, time_utils_1.formatDateStr)(first === null || first === void 0 ? void 0 : first.date), " to ").concat((0, time_utils_1.formatDateStr)(last === null || last === void 0 ? void 0 : last.date), " @").concat((0, data_utils_1.formatDec)(first === null || first === void 0 ? void 0 : first.close), " -> @").concat((0, data_utils_1.formatDec)(last === null || last === void 0 ? void 0 : last.close), " whatToShow=").concat(whatToShow));
if (!this.marketData[symbolId_1]) {
this.marketData[symbolId_1] = {};
}
historicalData.forEach(function (marketDataItem) {
var _a;
var dateIso = marketDataItem.date.toISOString();
_this.marketData[symbolId_1] = __assign(__assign({}, _this.marketData[symbolId_1]), (_a = {}, _a[dateIso] = marketDataItem, _a));
});
lastMarketData = historicalData[historicalData.length - 1];
if (lastMarketData) {
portfoliosManager_1.updateMarketPrice(contract.conId, lastMarketData.close);
}
}
return [2 /*return*/];
}
});
}); };
return [4 /*yield*/, getMarketDataLast30Minutes()];
case 3:
_a.sent();
(0, log_1.log)("".concat(logsNames, ".getHistoricalDataUpdates"), "Subscribing to ".concat(symbolId_1));
this.GetHistoricalDataUpdates.set(symbolId_1, IBKRConnection_1.default.Instance.ib.getHistoricalDataUpdates(contract, barSizeSetting, whatToShow, 2)
// .pipe(
// catchError((error) => {
// log(`${logsNames}.HDU`, `Error fetching historical data for ${symbolId}: ${error.message}`);
// return of(); // Return an empty observable to complete the stream
// })
// )
.subscribe(function (bar) {
var _a;
var date = new Date(+bar.time * 1000);
var dateIso = date.toISOString();
var marketDataItem = {
instrument: contract,
date: date,
open: bar.open,
high: bar.high,
low: bar.low,
close: bar.close,
volume: bar.volume,
wap: bar.WAP,
vwap: bar.WAP, // same as wap
count: bar === null || bar === void 0 ? void 0 : bar.count,
};
if (!_this.marketData[symbolId_1]) {
_this.marketData[symbolId_1] = {};
}
_this.marketData[symbolId_1] = __assign(__assign({}, _this.marketData[symbolId_1]), (_a = {}, _a[dateIso] = marketDataItem, _a));
if (bar === null || bar === void 0 ? void 0 : bar.close) {
portfoliosManager_1.updateMarketPrice(contract.conId, bar.close);
}
appEvents.emit(events_1.IBKREVENTS.IBKR_BAR, marketDataItem);
(0, log_1.log)("".concat(logsNames, ".HDU"), "bar for ".concat(symbolId_1, " at ").concat((0, time_utils_1.formatDateStr)(new Date(dateIso)), " @").concat(bar.close, " ").concat(bar.volume ? "vol=".concat(bar.volume) : ''));
}));
return [3 /*break*/, 5];
case 4:
e_1 = _a.sent();
(0, log_1.warn)("getHistoricalDataUpdates error", e_1);
return [2 /*return*/];
case 5: return [2 /*return*/];
}
});
}); };
this.getHistoricalData = function (contract_1, endDateTime_1, durationStr_1, barSizeSetting_1, whatToShow_1) {
var args_1 = [];
for (var _i = 5; _i < arguments.length; _i++) {
args_1[_i - 5] = arguments[_i];
}
return __awaiter(_this, __spreadArray([contract_1, endDateTime_1, durationStr_1, barSizeSetting_1, whatToShow_1], args_1, true), void 0, function (contract, endDateTime, durationStr, barSizeSetting, whatToShow, useRTH) {
var _a, contractInstrument, errContract, symbol, _b, bars, err, mkd;
if (useRTH === void 0) { useRTH = false; }
return __generator(this, function (_c) {
switch (_c.label) {
case 0: return [4 /*yield*/, (0, awaitP_1.default)(this.getContract(contract))];
case 1:
_a = _c.sent(), contractInstrument = _a[0], errContract = _a[1];
if (errContract) {
(0, log_1.warn)("getHistoricalData contract err", errContract);
return [2 /*return*/, null];
}
if (!contractInstrument) {
(0, log_1.warn)("getHistoricalData contract not found", contract);
return [2 /*return*/, null];
}
symbol = this.getSymbolKey(contractInstrument);
return [4 /*yield*/, (0, awaitP_1.default)(IBKRConnection_1.default.Instance.ib.getHistoricalData(contractInstrument, endDateTime, durationStr, barSizeSetting, whatToShow, useRTH, 2))];
case 2:
_b = _c.sent(), bars = _b[0], err = _b[1];
if (bars && bars.length > 0) {
mkd = bars.map(function (bar) {
var date = new Date(+bar.time * 1000);
var marketDataItem = {
instrument: contractInstrument === null || contractInstrument === void 0 ? void 0 : contractInstrument.contract,
date: date,
open: bar.open,
high: bar.high,
low: bar.low,
close: bar.close,
volume: bar.volume,
wap: bar.WAP,
vwap: bar.WAP, // same as wap
count: bar === null || bar === void 0 ? void 0 : bar.count,
};
return marketDataItem;
});
return [2 /*return*/, (0, sortBy_1.default)(mkd, 'date')];
}
if (err) {
(0, log_1.warn)("getHistoricalData err ".concat(symbol), err);
}
return [2 /*return*/, null];
}
});
});
};
this.getHistoricalTicksLast = function (contract_1, startDate_1, endDate_1) {
var args_1 = [];
for (var _i = 3; _i < arguments.length; _i++) {
args_1[_i - 3] = arguments[_i];
}
return __awaiter(_this, __spreadArray([contract_1, startDate_1, endDate_1], args_1, true), void 0, function (contract, startDate, endDate, numberOfTicks, useRTH) {
var startDateTime, endDateTime, _a, contractInstrument, errContract, symbol, _b, ticks, err, mkd;
if (numberOfTicks === void 0) { numberOfTicks = 1000; }
if (useRTH === void 0) { useRTH = false; }
return __generator(this, function (_c) {
switch (_c.label) {
case 0:
if (!startDate) {
(0, log_1.warn)("getHistoricalTicksLast startDate not set");
return [2 /*return*/, null];
}
if (!endDate) {
(0, log_1.warn)("getHistoricalTicksLast endDate not set");
return [2 /*return*/, null];
}
if (startDate > endDate) {
(0, log_1.warn)("getHistoricalTicksLast startDate cannot be great than endDate");
return [2 /*return*/, null];
}
startDateTime = (0, moment_1.default)(startDate).format('YYYYMMDD HH:mm:ss');
endDateTime = (0, moment_1.default)(endDate).format('YYYYMMDD HH:mm:ss');
return [4 /*yield*/, (0, awaitP_1.default)(this.getContract(contract))];
case 1:
_a = _c.sent(), contractInstrument = _a[0], errContract = _a[1];
if (errContract) {
(0, log_1.warn)("getHistoricalTicksLast contract err", errContract);
return [2 /*return*/, null];
}
if (!contractInstrument) {
(0, log_1.warn)("getHistoricalTicksLast contract not found", contract);
return [2 /*return*/, null];
}
symbol = this.getSymbolKey(contractInstrument);
return [4 /*yield*/, (0, awaitP_1.default)((0, rxjs_1.lastValueFrom)(IBKRConnection_1.default.Instance.ib.getHistoricalTicksLast(contractInstrument, startDateTime, endDateTime, numberOfTicks, useRTH)))];
case 2:
_b = _c.sent(), ticks = _b[0], err = _b[1];
if (ticks && ticks.length > 0) {
mkd = ticks.map(function (bar) {
var date = new Date(+bar.time * 1000);
var tickDataItem = {
contract: contractInstrument === null || contractInstrument === void 0 ? void 0 : contractInstrument.contract,
date: date,
price: bar.price,
size: bar.size,
exchange: bar.exchange,
specialConditions: bar.specialConditions,
};
return tickDataItem;
});
return [2 /*return*/, (0, sortBy_1.default)(mkd, 'date')];
}
if (err) {
(0, log_1.warn)("getHistoricalTicksLast err ".concat(symbol), err);
}
return [2 /*return*/, null];
}
});
});
};
this.getContract = function (contract) { return __awaiter(_this, void 0, void 0, function () {
var _a, contracts, err, firstContract;
return __generator(this, function (_b) {
switch (_b.label) {
case 0:
if (contract === null || contract === void 0 ? void 0 : contract.contract) {
return [2 /*return*/, contract];
}
;
return [4 /*yield*/, (0, awaitP_1.default)(this.ib.getContractDetails(contract))];
case 1:
_a = _b.sent(), contracts = _a[0], err = _a[1];
if (contracts && contracts.length > 0) {
firstContract = contracts[0];
return [2 /*return*/, __assign(__assign({}, firstContract), firstContract.contract)];
}
if (err) {
(0, log_1.warn)("getContract err ".concat(JSON.stringify(contract || {})), err);
}
return [2 /*return*/, null];
}
});
}); };
this.searchContracts = function (contract) { return __awaiter(_this, void 0, void 0, function () {
var _a, contracts, err;
return __generator(this, function (_b) {
switch (_b.label) {
case 0: return [4 /*yield*/, (0, awaitP_1.default)(this.ib.getContractDetails(contract))];
case 1:
_a = _b.sent(), contracts = _a[0], err = _a[1];
if (contracts && contracts.length > 0) {
return [2 /*return*/, contracts.map(function (c) {
return __assign(__assign({}, c), c.contract);
})];
}
if (err) {
(0, log_1.warn)("getContract err ".concat(JSON.stringify(contract || {})), err);
}
return [2 /*return*/, []];
}
});
}); };
this.init = function () {
var ib = IBKRConnection_1.default.Instance.ib;
if (!_this.ib) {
_this.ib = ib;
// ib.getHistoricalData // async
// ib.getHistoricalDataUpdates() // subscribe
}
};
}
Object.defineProperty(MarketDataManager, "Instance", {
get: function () {
return this._instance || (this._instance = new this());
},
enumerable: false,
configurable: true
});
return MarketDataManager;
}());
exports.MarketDataManager = MarketDataManager;
exports.default = MarketDataManager;
//# sourceMappingURL=MarketDataManager.js.map