algotrader
Version:
Algorithmically trade stocks and options using Robinhood, Yahoo Finance, and more.
253 lines (240 loc) • 7.27 kB
JavaScript
const LibraryError = require('../globals/LibraryError');
const News = require('./News');
const Quote = require('../globals/Quote');
const EventEmitter = require('events');
const request = require('request');
const socket = require('socket.io-client');
/**
* An extension of the Node.js EventEmitter that sends Quote and News objects as they arrive.
* @event Stream#quote
* @type {Quote}
* @event Stream#news
* @type {News}
* @event Stream#iex
* @type {Object}
*/
class Stream extends EventEmitter {
/**
* Creates a new Stream class.
* @author Torrey Leonard <https://github.com/Ladinn>
* @constructor
* @param {Array} symbols
* @param {Object|Null} options
* @property {Boolean} iex - Whether to include real time IEX data in stream
* @property {String} iexType - Which endpoint to use for IEX stream (tops, last, hist, deep, book, etc. See: https://iextrading.com/developer/docs/#iex-market-data)
* @property {Boolean} news - Whether to include news headlines in the stream.
* @property {Boolean} allHeadlines - If true, all U.S. business headlines will be sent in the stream. If false, only news pertaining to the given symbols will be outputted.
* @property {String} newsApiKey - If 'includeNews' is yes, this should be your API key from https://newsapi.org/register.
*/
constructor(symbols, options) {
super();
this.symbols = symbols;
if (options) {
this.iex = Boolean(options.iex) || false;
this.iexType = String(options.iexType) || "tops";
this.news = Boolean(options.news) || false;
this.allHeadlines = Boolean(options.allHeadlines) || false;
this.newsApiKey = String(options.newsApiKey) || false;
this.newsArray = [];
}
}
/**
* Start the streaming class.
* @author Torrey Leonard <https://github.com/Ladinn>
*/
start() {
const _this = this;
this.request = request.get({
uri: "https://streamerapi.finance.yahoo.com/streamer/1.0",
qs: {
s: _this.symbols.join(','),
k: _this._getYahooKeys().join(','),
callback: 'parent.yfs_u1f',
mktmcb: 'parent.yfs_mktmcb',
gencallback: 'parent.yfs_gencb',
mu: '1',
lang: 'en-US',
region: 'US',
localize: '0'
},
qsStringifyOptions: {
encode: false
},
forever: true
}).on('error', error => {
_this.emit('error', error)
}).on('response', response => {
if (response.statusCode === 404) _this.emit('error', new LibraryError("Yahoo Finance streamer responded with status code: 404.\n\tThis is typically a result of an invalid equity symbol in the query."));
else if (response.statusCode !== 200) _this.emit('error', new LibraryError("Yahoo Finance streamer responded with status code: " + response.statusCode));
else _this.emit('response', response);
}).on('data', data => {
try {
let input = data.toString().split('yfs_u1f(');
input.shift();
input.forEach(i => {
const quote = _this._createQuote(i);
_this.emit('quote', quote);
if (_this.news) {
let options = {
country: "us",
pageSize: 100,
};
if (!_this.allHeadlines) options.q = quote.getSymbol();
else options.category = "business";
News.getHeadlines(_this.newsApiKey, options).then(array => {
array.forEach(news => {
if (_this.newsArray.indexOf(news) === -1) {
_this.emit('news', news);
_this.newsArray.push(news);
}
})
}).catch(error => _this.emit('error', new LibraryError(error)));
}
});
} catch (error) {
_this.emit('error', error);
}
});
if (_this.iex) {
_this.socket = socket("https://ws-api.iextrading.com/1.0/" + _this.iexType);
_this.socket.on('connect', () => {
_this.socket.emit('subscribe', _this.symbols.join(','));
});
_this.socket.on('message', data => {
_this.emit('iex', data);
});
}
}
/**
* Stop the streaming class.
* @author Torrey Leonard <https://github.com/Ladinn>
* @author Wyatt Calandro <https://github.com/wclandro>
*/
stop() {
this.request.abort();
if(this.iex){
this.socket.disconnect();
}
}
/**
* @author Torrey Leonard <https://github.com/Ladinn>
* @param input
* @returns {Quote}
* @private
*/
_createQuote(input) {
const yahooKeys = {
a00: 'ask',
a50: 'askSize',
b00: 'bid',
b60: 'bidSize',
c10: 'change',
c63: 'changeRealTime',
c64: 'disputedChangeRealTimeAfterHours',
c85: 'changeRealTimeAfterHours',
c86: 'percentChangeRealTimeAfterHours',
g53: 'dayLow',
h53: 'dayHigh',
j10: 'marketCap',
l84: 'priceRealTime',
l86: 'priceRealTimeAfterHours',
p20: 'percentChange',
p43: 'percentChangeRealTime',
p44: 'percentChangeRealTimeAfterHours',
t53: 'disputedTimestampForCommodities',
t54: 'disputedTimestampForStocks',
v53: 'volume',
v00: 'volume2',
l10: 'lastSalePrice',
t10: 'lastSaleTime',
l90: 'ecnQuoteLastValue'
};
for (const key in yahooKeys) {
input = input.replace(key, '"' + yahooKeys[key] + '"');
}
const json = JSON.parse(input.split(');')[0]);
const symbol = Object.keys(json)[0];
const object = json[symbol];
let quote = {
symbol: symbol,
date: new Date(),
source: "Yahoo Finance",
price: {
last: Number(object.priceRealTimeAfterHours) || Number(object.priceRealTime) || Number(object.lastSalePrice),
high: Number(object.dayHigh),
low: Number(object.dayLow)
},
dom: {
bid: {
price: Number(object.bid),
size: Number(object.bidSize)
},
ask: {
price: Number(object.ask),
size: Number(object.askSize)
}
},
meta: {
change: object.change || object.changeRealTime,
percentChange: object.percentChange || object.percentChangeRealTime,
marketCap: object.marketCap
},
original: json
};
if (object.volume) quote.price.volume = Number(object.volume.replace(/,/g, ''));
if (object.volume2) quote.price.volume = Number(object.volume2.replace(/,/g, ''));
return new Quote(quote);
}
/**
* @author Torrey Leonard <https://github.com/Ladinn>
* @returns {string[]}
* @private
*/
_getYahooKeys() {
const keys = {
Ask: 'a00',
AskSize: 'a50',
Bid: 'b00',
BidSize: 'b60',
Change: 'c10',
ChangeRealTime: 'c63',
DisputedChangeRealTimeAfterHours: 'c64',
ChangeRealTimeAfterHours: 'c85',
PercentChangeRealTimeAfterHours: 'p44',
DayLow: 'g53',
DayHigh: 'h53',
MarketCap: 'j10',
PriceRealTime: 'l84',
PriceRealTimeAfterHours: 'l86',
PercentChange: 'p20',
PercentChangeRealTime: 'p43',
DisputedTimestampForCommodities: 't53',
DisputedTimestampForStocks: 't54',
Volume: 'v53',
Volume2: 'v00',
LastSalePrice: 'l10',
LastSaleTime: 't10',
EcnQuoteLastValue: 'l90',
};
// return [
// keys.Ask,
// keys.AskSize,
// keys.Bid,
// keys.BidSize,
// keys.Change,
// keys.Volume,
// keys.Volume2,
// keys.PriceRealTime,
// keys.PriceRealTimeAfterHours,
// keys.LastSalePrice,
// keys.EcnQuoteLastValue,
// keys.LastSaleTime,
// keys.DisputedTimestampForStocks,
// keys.MarketCap
// ]
return [
'a00', 'a50', 'b00', 'b60', 'c10', 'c63', 'c64', 'c85', 'p44', 'g53', 'h53', 'j10', 'l84', 'l86', 'p20', 'p43', 't53', 't54', 'v53', 'v00', 'l10', 't10', 'l90'
]
}
}
module.exports = Stream;