@stoqey/ibkr
Version:
NodeJS Interactive Brokers wrapper & utilities using @stoqey/ib
228 lines • 12.8 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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case 7: op = _.ops.pop(); _.trys.pop(); continue;
default:
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if (op[0] === 3 && (!t || (op[1] > t[0] && op[1] < t[3]))) { _.label = op[1]; break; }
if (op[0] === 6 && _.label < t[1]) { _.label = t[1]; t = op; break; }
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}
op = body.call(thisArg, _);
} 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 __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.getHistoricalData = void 0;
exports.getSecondsHistoricalDataFromIb = getSecondsHistoricalDataFromIb;
var isEmpty_1 = __importDefault(require("lodash/isEmpty"));
var moment_1 = __importDefault(require("moment"));
var differenceBy_1 = __importDefault(require("lodash/differenceBy"));
var uniqBy_1 = __importDefault(require("lodash/uniqBy"));
var ib_1 = require("@stoqey/ib");
var utils_1 = require("../utils");
var MarketDataManager_1 = __importDefault(require("./MarketDataManager"));
var instrument_utils_1 = require("../utils/instrument.utils");
/**
* IBKR Utils
* separate from db, and other modules/business logic
*/
var throttleDelay = 500;
var getHistoricalData = function (opt) { return __awaiter(void 0, void 0, void 0, function () {
var instrument, startDate, endDate, whatToShow, saveToDb, save, singleDayMkd, dayDate, endDateLoop, data, dayData;
return __generator(this, function (_a) {
switch (_a.label) {
case 0:
instrument = opt.instrument, startDate = opt.startDate, endDate = opt.endDate, whatToShow = opt.whatToShow;
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:
if (!saveToDb) return [3 /*break*/, 2];
return [4 /*yield*/, saveToDb(mkd)];
case 1:
_a.sent();
return [2 /*return*/];
case 2: return [2 /*return*/];
}
});
}); };
if (!!endDate) return [3 /*break*/, 3];
return [4 /*yield*/, getSecondsHistoricalDataFromIb(instrument, startDate, whatToShow)];
case 1:
singleDayMkd = _a.sent();
return [4 /*yield*/, save(singleDayMkd)];
case 2:
_a.sent();
return [2 /*return*/, singleDayMkd];
case 3:
dayDate = new Date(startDate);
endDateLoop = new Date(endDate);
data = [];
_a.label = 4;
case 4:
if (!(dayDate <= endDateLoop)) return [3 /*break*/, 7];
return [4 /*yield*/, getSecondsHistoricalDataFromIb(instrument, dayDate, whatToShow)];
case 5:
dayData = _a.sent();
if ((0, isEmpty_1.default)(dayData)) {
dayDate.setDate(dayDate.getDate() + 1);
return [3 /*break*/, 4];
}
return [4 /*yield*/, save(dayData)];
case 6:
_a.sent();
data = data.concat(dayData);
dayDate.setDate(dayDate.getDate() + 1);
return [3 /*break*/, 4];
case 7: return [2 /*return*/, data];
}
});
}); };
exports.getHistoricalData = getHistoricalData;
function getSecondsHistoricalDataFromIb(symbol_1, dayDate_1) {
return __awaiter(this, arguments, void 0, function (symbol, dayDate, whatToShow) {
var fetchedData, prev, marketDataManager, contract, date, count, resolve, symbolKey, _loop_1, _i, _a, x, state_1, error_1;
if (whatToShow === void 0) { whatToShow = ib_1.WhatToShow.ASK; }
return __generator(this, function (_b) {
switch (_b.label) {
case 0:
fetchedData = [];
prev = null;
_b.label = 1;
case 1:
_b.trys.push([1, 8, , 9]);
marketDataManager = MarketDataManager_1.default.Instance;
contract = symbol;
if (!(typeof symbol === 'string')) return [3 /*break*/, 3];
return [4 /*yield*/, marketDataManager.getContract({ symbol: symbol, secType: ib_1.SecType.STK, exchange: 'SMART', currency: 'USD' })];
case 2:
contract = _b.sent();
_b.label = 3;
case 3:
date = new Date(dayDate.getFullYear(), dayDate.getMonth(), dayDate.getDate(), 17, 30, 0);
count = 10;
if ((contract === null || contract === void 0 ? void 0 : contract.secType) === ib_1.SecType.FUT) {
// futures e.t.c ...
date = new Date(dayDate.getFullYear(), dayDate.getMonth(), dayDate.getDate(), 23, 59, 0);
count = 23; // 23 hours back
}
resolve = function () {
if ((0, isEmpty_1.default)(fetchedData)) {
return [];
}
var sorted = (0, uniqBy_1.default)(fetchedData, 'date').sort(function (a, b) {
if (new Date(a.time) > new Date(b.time)) {
return 1;
}
return -1;
});
return sorted;
};
symbolKey = (0, instrument_utils_1.getSymbolKey)(contract);
_loop_1 = function (x) {
var endDateTime, timeout, timeoutPromise, marketData, differences, duplicates;
return __generator(this, function (_c) {
switch (_c.label) {
case 0:
date = new Date(date.setHours(date.getHours() - 1));
endDateTime = (0, moment_1.default)(date).format('yyyyMMDD-HH:mm:ss');
(0, utils_1.log)("ibApi.reqHistoricalData -----> ".concat(symbolKey), endDateTime);
timeout = 1000 * 50;
timeoutPromise = new Promise(function (resolve, reject) {
setTimeout(function () {
resolve([]);
}, timeout);
});
return [4 /*yield*/, Promise.race([
marketDataManager.getHistoricalData(contract, endDateTime, '3600 S', ib_1.BarSizeSetting.SECONDS_FIVE, whatToShow),
timeoutPromise
])];
case 1:
marketData = _c.sent();
if (!marketData || (marketData === null || marketData === void 0 ? void 0 : marketData.length) === 0) {
(0, utils_1.log)('ibApi.reqHistoricalData -----> no data fetched', "".concat(symbolKey, " ").concat(JSON.stringify(marketData)));
return [2 /*return*/, "break"];
}
(0, utils_1.log)('ibApi.reqHistoricalData -----> fetched', "".concat(symbolKey, " ").concat(marketData && marketData.length));
fetchedData = __spreadArray(__spreadArray([], fetchedData, true), marketData, true);
return [4 /*yield*/, (0, utils_1.delay)(throttleDelay, count)];
case 2:
_c.sent();
if (prev) {
differences = (0, differenceBy_1.default)(prev, marketData, 'date');
duplicates = (0, isEmpty_1.default)(differences);
if (duplicates) {
(0, utils_1.log)('ibApi.reqHistoricalData -----> duplicates', "".concat(symbolKey, " ").concat(marketData && marketData.length));
count = 0;
return [2 /*return*/, "break"];
}
}
prev = marketData; // record prev
--count; // decrease count
return [2 /*return*/];
}
});
};
_i = 0, _a = new Array(count).fill('x');
_b.label = 4;
case 4:
if (!(_i < _a.length)) return [3 /*break*/, 7];
x = _a[_i];
return [5 /*yield**/, _loop_1(x)];
case 5:
state_1 = _b.sent();
if (state_1 === "break")
return [3 /*break*/, 7];
_b.label = 6;
case 6:
_i++;
return [3 /*break*/, 4];
case 7: return [2 /*return*/, resolve()];
case 8:
error_1 = _b.sent();
(0, utils_1.log)('error getting round trip market data', error_1);
return [2 /*return*/, []];
case 9: return [2 /*return*/];
}
});
});
}
;
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