@stoqey/ibkr
Version:
NodeJS Interactive Brokers wrapper & utilities using @stoqey/ib
193 lines • 12.1 kB
JavaScript
;
var __awaiter = (this && this.__awaiter) || function (thisArg, _arguments, P, generator) {
function adopt(value) { return value instanceof P ? value : new P(function (resolve) { resolve(value); }); }
return new (P || (P = Promise))(function (resolve, reject) {
function fulfilled(value) { try { step(generator.next(value)); } catch (e) { reject(e); } }
function rejected(value) { try { step(generator["throw"](value)); } catch (e) { reject(e); } }
function step(result) { result.done ? resolve(result.value) : adopt(result.value).then(fulfilled, rejected); }
step((generator = generator.apply(thisArg, _arguments || [])).next());
});
};
var __generator = (this && this.__generator) || function (thisArg, body) {
var _ = { label: 0, sent: function() { if (t[0] & 1) throw t[1]; return t[1]; }, trys: [], ops: [] }, f, y, t, g = Object.create((typeof Iterator === "function" ? Iterator : Object).prototype);
return g.next = verb(0), g["throw"] = verb(1), g["return"] = verb(2), typeof Symbol === "function" && (g[Symbol.iterator] = function() { return this; }), g;
function verb(n) { return function (v) { return step([n, v]); }; }
function step(op) {
if (f) throw new TypeError("Generator is already executing.");
while (g && (g = 0, op[0] && (_ = 0)), _) try {
if (f = 1, y && (t = op[0] & 2 ? y["return"] : op[0] ? y["throw"] || ((t = y["return"]) && t.call(y), 0) : y.next) && !(t = t.call(y, op[1])).done) return t;
if (y = 0, t) op = [op[0] & 2, t.value];
switch (op[0]) {
case 0: case 1: t = op; break;
case 4: _.label++; return { value: op[1], done: false };
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} catch (e) { op = [6, e]; y = 0; } finally { f = t = 0; }
if (op[0] & 5) throw op[1]; return { value: op[0] ? op[1] : void 0, done: true };
}
};
var __importDefault = (this && this.__importDefault) || function (mod) {
return (mod && mod.__esModule) ? mod : { "default": mod };
};
Object.defineProperty(exports, "__esModule", { value: true });
exports.getSecondsHourlyHistoricalDataTicks = exports.getHistoricalDataTicks = exports.aggregateTicksBySeconds = void 0;
var MarketDataManager_1 = __importDefault(require("./MarketDataManager"));
var time_utils_1 = require("../utils/time.utils");
var log_1 = require("../utils/log");
var isEmpty_1 = __importDefault(require("lodash/isEmpty"));
var groupBy_1 = __importDefault(require("lodash/groupBy"));
var meanBy_1 = __importDefault(require("lodash/meanBy"));
var sumBy_1 = __importDefault(require("lodash/sumBy"));
var utils_1 = require("../utils");
;
var aggregateTicksBySeconds = function (ticks) {
var marketData = [];
var groupedByHours = (0, groupBy_1.default)(ticks, function (tick) {
var date = new Date(tick.date);
return date.getHours();
});
for (var _i = 0, _a = Object.entries(groupedByHours); _i < _a.length; _i++) {
var _b = _a[_i], _1 = _b[0], valueHours = _b[1];
var groupedByMinutes = (0, groupBy_1.default)(valueHours, function (tick) {
var date = new Date(tick.date);
return date.getMinutes();
});
for (var _c = 0, _d = Object.entries(groupedByMinutes); _c < _d.length; _c++) {
var _e = _d[_c], _2 = _e[0], valueMinutes = _e[1];
var groupedBySeconds = (0, groupBy_1.default)(valueMinutes, function (tick) {
var date = new Date(tick.date);
return date.getSeconds();
});
for (var _f = 0, _g = Object.entries(groupedBySeconds); _f < _g.length; _f++) {
var _h = _g[_f], _3 = _h[0], valueSeconds = _h[1];
var date = new Date(valueSeconds[0].date);
var price = (0, meanBy_1.default)(valueSeconds, 'price');
var size = (0, sumBy_1.default)(valueSeconds, 'size');
marketData.push({ date: date, price: price, size: size, contract: valueSeconds[0].contract });
}
}
}
return marketData;
};
exports.aggregateTicksBySeconds = aggregateTicksBySeconds;
var getHistoricalDataTicks = function (opt) { return __awaiter(void 0, void 0, void 0, function () {
var instrument, startDate, endDate, saveToDb, save, dayDate, endDateLoop, data, dayEndDate, dayData;
return __generator(this, function (_a) {
switch (_a.label) {
case 0:
instrument = opt.instrument, startDate = opt.startDate, endDate = opt.endDate;
saveToDb = opt === null || opt === void 0 ? void 0 : opt.saveToDb;
save = function (mkd) { return __awaiter(void 0, void 0, void 0, function () {
return __generator(this, function (_a) {
switch (_a.label) {
case 0:
(0, utils_1.verbose)("save mkd", mkd.length);
(0, utils_1.verbose)("save mkd first", (0, time_utils_1.formatDateStr)(mkd[0].date));
(0, utils_1.verbose)("save mkd last", (0, time_utils_1.formatDateStr)(mkd[mkd.length - 1].date));
if (!saveToDb) return [3 /*break*/, 2];
return [4 /*yield*/, saveToDb(mkd)];
case 1:
_a.sent();
return [2 /*return*/];
case 2: return [2 /*return*/];
}
});
}); };
dayDate = new Date(startDate);
endDateLoop = new Date(endDate);
(0, log_1.log)("startDate", (0, time_utils_1.formatDateStr)(startDate));
(0, log_1.log)("endDate", (0, time_utils_1.formatDateStr)(endDate));
(0, log_1.log)("--------------------------------");
data = [];
_a.label = 1;
case 1:
if (!(dayDate <= endDateLoop)) return [3 /*break*/, 4];
dayDate = new Date(new Date(dayDate).setMinutes(0, 0, 0));
dayEndDate = new Date(new Date(dayDate).setMinutes(59, 59, 59));
(0, log_1.log)("dayDate", (0, time_utils_1.formatDateStr)(dayDate));
(0, log_1.log)("dayEndDate", (0, time_utils_1.formatDateStr)(dayEndDate));
return [4 /*yield*/, (0, exports.getSecondsHourlyHistoricalDataTicks)({ instrument: instrument, startDate: dayDate, endDate: dayEndDate })];
case 2:
dayData = _a.sent();
if ((0, isEmpty_1.default)(dayData)) {
dayDate.setHours(dayDate.getHours() + 1);
return [3 /*break*/, 1];
}
return [4 /*yield*/, save(dayData)];
case 3:
_a.sent();
data = data.concat(dayData);
dayDate.setHours(dayDate.getHours() + 1);
return [3 /*break*/, 1];
case 4: return [2 /*return*/, data];
}
});
}); };
exports.getHistoricalDataTicks = getHistoricalDataTicks;
var getSecondsHourlyHistoricalDataTicks = function (opt) { return __awaiter(void 0, void 0, void 0, function () {
var instrument, startDate, endDate, marketDataManager, hourDate, endDateLoop, data, isSameDatesByHoursMinutesSeconds, currentDataUnfiltered, currentData, lastDate, aggregatedData;
return __generator(this, function (_a) {
switch (_a.label) {
case 0:
instrument = opt.instrument, startDate = opt.startDate, endDate = opt.endDate;
marketDataManager = MarketDataManager_1.default.Instance;
hourDate = new Date(startDate);
endDateLoop = new Date(endDate);
data = [];
isSameDatesByHoursMinutesSeconds = function (date1, date2) {
return (date1 === null || date1 === void 0 ? void 0 : date1.getHours()) === (date2 === null || date2 === void 0 ? void 0 : date2.getHours()) && (date1 === null || date1 === void 0 ? void 0 : date1.getMinutes()) === (date2 === null || date2 === void 0 ? void 0 : date2.getMinutes()) && (date1 === null || date1 === void 0 ? void 0 : date1.getSeconds()) === (date2 === null || date2 === void 0 ? void 0 : date2.getSeconds());
};
_a.label = 1;
case 1:
if (!(hourDate <= endDateLoop)) return [3 /*break*/, 4];
return [4 /*yield*/, (0, time_utils_1.delay)(500)];
case 2:
_a.sent();
return [4 /*yield*/, marketDataManager.getHistoricalTicksLast(instrument, hourDate, endDate, 1000, false)];
case 3:
currentDataUnfiltered = _a.sent();
(0, log_1.log)("hourDate", "".concat((0, time_utils_1.formatDateStr)(hourDate), " -> ").concat((0, time_utils_1.formatDateStr)(endDate), " = ").concat(currentDataUnfiltered.length));
currentData = currentDataUnfiltered.filter(function (tick) { return tick.date.getHours() === endDateLoop.getHours(); });
// log("hourDate after filter", currentData.length);
// log("hourDate first", formatDateStr(currentData[0] && currentData[0].date));
// log("hourDate last", formatDateStr(currentData[currentData.length - 1] && currentData[currentData.length - 1].date));
data = data.concat(currentData);
lastDate = currentData[currentData.length - 1] && currentData[currentData.length - 1].date;
if (isSameDatesByHoursMinutesSeconds(lastDate, endDateLoop)) {
(0, log_1.log)("lastDate >= endDateLoop", (0, time_utils_1.formatDateStr)(lastDate), (0, time_utils_1.formatDateStr)(endDateLoop));
return [3 /*break*/, 4];
}
;
if (currentDataUnfiltered.some(function (tick) { return tick.date.getHours() !== endDateLoop.getHours(); })) {
(0, log_1.log)("hourDate has ticks from other hours", currentDataUnfiltered.length);
lastDate = currentDataUnfiltered[currentDataUnfiltered.length - 1] && currentDataUnfiltered[currentDataUnfiltered.length - 1].date;
hourDate = new Date(lastDate);
return [3 /*break*/, 1];
}
;
if ((0, isEmpty_1.default)(currentData) || (currentData === null || currentData === void 0 ? void 0 : currentData.length) === 1) {
(0, log_1.log)("hourDate has no ticks", currentDataUnfiltered.length);
lastDate = currentDataUnfiltered[currentDataUnfiltered.length - 1] && currentDataUnfiltered[currentDataUnfiltered.length - 1].date;
hourDate = new Date(lastDate);
return [3 /*break*/, 4];
}
hourDate = new Date(lastDate);
return [3 /*break*/, 1];
case 4:
aggregatedData = (0, exports.aggregateTicksBySeconds)(data);
(0, log_1.log)("--------------------------------", aggregatedData.length);
return [2 /*return*/, aggregatedData];
}
});
}); };
exports.getSecondsHourlyHistoricalDataTicks = getSecondsHourlyHistoricalDataTicks;
//# sourceMappingURL=ibkr.tick.js.map