@stoqey/ibkr
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NodeJS Interactive Brokers wrapper & utilities using @stoqey/ib
291 lines • 14.7 kB
JavaScript
"use strict";
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s = arguments[i];
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});
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function verb(n) { return function (v) { return step([n, v]); }; }
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var __spreadArray = (this && this.__spreadArray) || function (to, from, pack) {
if (pack || arguments.length === 2) for (var i = 0, l = from.length, ar; i < l; i++) {
if (ar || !(i in from)) {
if (!ar) ar = Array.prototype.slice.call(from, 0, i);
ar[i] = from[i];
}
}
return to.concat(ar || Array.prototype.slice.call(from));
};
var __importDefault = (this && this.__importDefault) || function (mod) {
return (mod && mod.__esModule) ? mod : { "default": mod };
};
Object.defineProperty(exports, "__esModule", { value: true });
exports.MkdManager = void 0;
var instrument_utils_1 = require("../utils/instrument.utils");
var chart_1 = require("../utils/chart");
var log_1 = require("../utils/log");
var time_utils_1 = require("../utils/time.utils");
var data_utils_1 = require("../utils/data.utils");
var mkd_utils_1 = require("../utils/mkd.utils");
var omit_1 = __importDefault(require("lodash/omit"));
var isEmpty_1 = __importDefault(require("lodash/isEmpty"));
var MKD_CLEAN_UP_INTERVAL = process.env.MKD_CLEAN_UP_INTERVAL ? parseInt(process.env.MKD_CLEAN_UP_INTERVAL) : 1000 * 60 * 30; // 30 minutes
var MkdManager = /** @class */ (function () {
function MkdManager() {
var _this = this;
this.logsNames = MkdManager.name;
this.marketData = {};
this._cleanUp = {}; // symbol, last cleaned up date
this.doCleanUp = function (symbol, data, buffer) {
if ((0, isEmpty_1.default)(symbol) || (0, isEmpty_1.default)(data) || (0, isEmpty_1.default)(buffer)) {
return;
}
var now = data.date;
var lastCleanUp = _this._cleanUp[symbol];
if (lastCleanUp && now.getTime() - lastCleanUp.getTime() > MKD_CLEAN_UP_INTERVAL) {
_this._cleanUp[symbol] = now;
// MarketData = [dateOld, ..., dateNew] (chronological order)
// slice items before CLEAN_UP_INTERVAL,
// aggregate the sliced items by minute,
// add them back to the marketData
var lastCleanUpTimestamp = now.getTime() - MKD_CLEAN_UP_INTERVAL;
var oldItemsIndex = _this.findIndex(symbol, lastCleanUpTimestamp, false);
var oldItems = buffer.slice(0, oldItemsIndex);
var lastNewItem = buffer.slice(oldItemsIndex);
var aggregatedData = (0, mkd_utils_1.createAggregator)(oldItems, "1m", {
vwap: 'sum',
volume: 'sum',
close: 'last',
open: 'first',
high: 'max',
low: 'min'
});
_this.marketData[symbol] = __spreadArray(__spreadArray([], aggregatedData, true), lastNewItem, true);
}
};
}
MkdManager.prototype.getSymbolKey = function (instrument) {
return (0, instrument_utils_1.getSymbolKey)(instrument);
};
;
MkdManager.prototype.cacheBar = function (data) {
var _a, _b, _c, _d, _e;
var symbol = (0, instrument_utils_1.getSymbolKey)(data === null || data === void 0 ? void 0 : data.instrument);
if ((0, isEmpty_1.default)(symbol) || (0, isEmpty_1.default)(data)) {
return;
}
if (!this.marketData[symbol]) {
this.marketData[symbol] = [];
this._cleanUp[symbol] = data.date;
}
var buffer = this.marketData[symbol];
var ts = new Date(data.date).getTime();
var bar = __assign(__assign({}, (0, omit_1.default)(data, ['instrument'])), { timestamp: ts, date: data.date, open: (_a = data.open) !== null && _a !== void 0 ? _a : data.close, high: (_b = data.high) !== null && _b !== void 0 ? _b : data.close, low: (_c = data.low) !== null && _c !== void 0 ? _c : data.close, close: data.close, volume: (_d = data.volume) !== null && _d !== void 0 ? _d : 0, vwap: (_e = data.vwap) !== null && _e !== void 0 ? _e : data.close });
// Fast append if in order
if (buffer.length === 0 || buffer[buffer.length - 1].timestamp <= ts) {
buffer.push(bar);
this.doCleanUp(symbol, data, buffer);
return;
}
// Otherwise insert at correct index using binary search
var idx = this.findIndex(symbol, ts);
if (idx === -1) {
buffer.push(bar);
}
else {
buffer.splice(idx, 0, bar);
}
this.doCleanUp(symbol, data, buffer);
};
MkdManager.prototype.findIndex = function (symbol, targetTimestamp, last) {
if (last === void 0) { last = false; }
var data = this.marketData[symbol];
if (!data || data.length === 0)
return -1;
var left = 0;
var right = data.length - 1;
var result = -1;
while (left <= right) {
var mid = Math.floor((left + right) / 2);
if (last) {
if (data[mid].timestamp <= targetTimestamp) {
result = mid;
left = mid + 1;
}
else {
right = mid - 1;
}
}
else {
if (data[mid].timestamp >= targetTimestamp) {
result = mid;
right = mid - 1;
}
else {
left = mid + 1;
}
}
}
// If no result found and we're looking for insertion point, return the length of the array
// This means the target timestamp is older than all existing timestamps
if (result === -1 && !last) {
return data.length;
}
return result;
};
/**
* Get historical data for a given time range using binary search
*
* @param contract - The instrument to query
* @param startDate - Start of the range
* @param endDate - End of the range
* @param interval - Optional interval for aggregation (not yet implemented)
* @returns Array of market data within the range
*
* @example
* const data = await manager.historicalData(
* instrument,
* new Date('2024-01-15T10:30:00Z'),
* new Date('2024-01-15T10:35:00Z')
* );
*/
MkdManager.prototype.historicalData = function (contract, startDate, endDate, interval) {
return __awaiter(this, void 0, void 0, function () {
var symbol, data, startTimestamp, endTimestamp, startIdx, endIdx, slicedData, first, last;
return __generator(this, function (_a) {
symbol = this.getSymbolKey(contract);
data = this.marketData[symbol];
if (!data || data.length === 0)
return [2 /*return*/, []];
startTimestamp = startDate.getTime();
endTimestamp = endDate.getTime();
// Validate timestamps
if (isNaN(startTimestamp) || isNaN(endTimestamp)) {
(0, log_1.log)("".concat(this.logsNames, ".historicalData"), "Invalid date provided for ".concat(symbol));
return [2 /*return*/, []];
}
// Validate date range
if (startTimestamp > endTimestamp) {
(0, log_1.log)("".concat(this.logsNames, ".historicalData"), "Start date is after end date for ".concat(symbol));
return [2 /*return*/, []];
}
startIdx = this.findIndex(symbol, startTimestamp);
endIdx = this.findIndex(symbol, endTimestamp, true);
// If startIdx is -1, it means startDate is before all data points
// Use first item (index 0)
if (startIdx === -1) {
startIdx = 0;
}
// If endIdx is -1, it means endDate is after all data points
// Use last item
if (endIdx === -1) {
endIdx = data.length - 1;
}
// Final validation
if (endIdx < startIdx) {
return [2 /*return*/, []];
}
slicedData = data.slice(startIdx, endIdx + 1);
first = slicedData && slicedData[0];
last = (slicedData || [])[(slicedData === null || slicedData === void 0 ? void 0 : slicedData.length) - 1];
(0, chart_1.plotMkdCli)(slicedData);
(0, log_1.log)("".concat(this.logsNames, ".historicalData"), "".concat(slicedData.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*/, slicedData];
});
});
};
;
/**
* Get quote at or before specified timestamp (point-in-time lookup)
* Returns the most recent data point at or before the requested time.
* If no data exists before the requested time, returns the first available data point.
*
* @param contract - The instrument to query
* @param date - The timestamp to query (defaults to current time)
* @returns The market data at or before the specified time, or null if no data exists
*
* @example
* // Get current quote
* const quote = await manager.getQuote(instrument);
*
* @example
* // Get historical quote at specific time
* const quote = await manager.getQuote(instrument, new Date('2024-01-15T10:32:00Z'));
*/
MkdManager.prototype.getQuote = function (contract, date) {
return __awaiter(this, void 0, void 0, function () {
var symbol, timestamp, data, closest, firstItem, lastItem;
var _a, _b;
return __generator(this, function (_c) {
symbol = this.getSymbolKey(contract);
timestamp = (_a = date === null || date === void 0 ? void 0 : date.getTime()) !== null && _a !== void 0 ? _a : Date.now();
// Validate timestamp (check for NaN from invalid Date)
if (isNaN(timestamp)) {
(0, log_1.log)("".concat(this.logsNames, ".getQuote"), "Invalid date provided for ".concat(symbol));
return [2 /*return*/, null];
}
data = this.marketData[symbol];
if (!data || data.length === 0)
return [2 /*return*/, null];
closest = this.findIndex(symbol, timestamp, true);
if (closest === -1) {
firstItem = data[0];
lastItem = data[data.length - 1];
// If query timestamp is before first item, return first item
if (firstItem && timestamp < firstItem.timestamp) {
return [2 /*return*/, firstItem];
}
// If query timestamp is at or after last item, return last item
if (lastItem && timestamp >= lastItem.timestamp) {
return [2 /*return*/, lastItem];
}
// Fallback (should not reach here)
return [2 /*return*/, lastItem !== null && lastItem !== void 0 ? lastItem : null];
}
return [2 /*return*/, (_b = data[closest]) !== null && _b !== void 0 ? _b : null];
});
});
};
return MkdManager;
}());
exports.MkdManager = MkdManager;
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