hft-js/lib/tape.js

High-Frequency Trading in Node.js

"use strict";
/*
 * tape.ts
 *
 * Copyright (c) 2025 Xiongfei Shi
 *
 * Author: Xiongfei Shi <xiongfei.shi(a)icloud.com>
 * License: Apache-2.0
 *
 * https://github.com/shixiongfei/hft.js
 */
Object.defineProperty(exports, "__esModule", { value: true });
exports.calcTapeData = void 0;
var calcTapeType = function (volumeDelta, interestDelta) {
    if (interestDelta > 0) {
        return volumeDelta === interestDelta ? "dual-open" : "open";
    }
    if (interestDelta < 0) {
        return volumeDelta + interestDelta === 0 ? "dual-close" : "close";
    }
    if (volumeDelta > 0) {
        return "turnover";
    }
    return "no-deal";
};
var calcTapeDirection = function (tick, preTick) {
    var _a, _b, _c, _d, _e, _f;
    var lastPrice = tick.lastPrice;
    if (preTick) {
        var preAskPrice1 = (_a = preTick.orderBook.asks.price[0]) !== null && _a !== void 0 ? _a : Number.MAX_VALUE;
        if (lastPrice >= preAskPrice1) {
            return "up";
        }
        var preBidPrice1 = (_b = preTick.orderBook.bids.price[0]) !== null && _b !== void 0 ? _b : Number.MIN_VALUE;
        if (lastPrice <= preBidPrice1) {
            return "down";
        }
        var askPrice1 = (_c = tick.orderBook.asks.price[0]) !== null && _c !== void 0 ? _c : Number.MAX_VALUE;
        if (lastPrice >= askPrice1) {
            return "up";
        }
        var bidPrice1 = (_d = tick.orderBook.bids.price[0]) !== null && _d !== void 0 ? _d : Number.MIN_VALUE;
        if (lastPrice <= bidPrice1) {
            return "down";
        }
        var prePrice = preTick.lastPrice;
        if (lastPrice > prePrice) {
            return "up";
        }
        if (lastPrice < prePrice) {
            return "down";
        }
        if (bidPrice1 >= preAskPrice1) {
            return "up";
        }
        if (askPrice1 <= preBidPrice1) {
            return "down";
        }
        return "none";
    }
    else {
        var askPrice1 = (_e = tick.orderBook.asks.price[0]) !== null && _e !== void 0 ? _e : Number.MAX_VALUE;
        if (lastPrice >= askPrice1) {
            return "up";
        }
        var bidPrice1 = (_f = tick.orderBook.bids.price[0]) !== null && _f !== void 0 ? _f : Number.MIN_VALUE;
        if (lastPrice <= bidPrice1) {
            return "down";
        }
        if (lastPrice > tick.preClose) {
            return "up";
        }
        if (lastPrice < tick.preClose) {
            return "down";
        }
        return "none";
    }
};
var calcTapeStatus = function (tapeType, tapeDirection) {
    if (tapeType === "open" && tapeDirection === "up") {
        return "open-long";
    }
    if (tapeType === "open" && tapeDirection === "down") {
        return "open-short";
    }
    if (tapeType === "close" && tapeDirection === "up") {
        return "close-short";
    }
    if (tapeType === "close" && tapeDirection === "down") {
        return "close-long";
    }
    if (tapeType === "turnover" && tapeDirection === "up") {
        return "turnover-long";
    }
    if (tapeType === "turnover" && tapeDirection === "down") {
        return "turnover-short";
    }
    if (tapeType === "dual-open") {
        return "dual-open";
    }
    if (tapeType === "dual-close") {
        return "dual-close";
    }
    return "invalid";
};
var calcTapeData = function (tick, preTick) {
    var volumeDelta = preTick ? tick.volume - preTick.volume : tick.volume;
    var amountDelta = preTick ? tick.amount - preTick.amount : tick.amount;
    var interestDelta = preTick
        ? tick.openInterest - preTick.openInterest
        : tick.openInterest - tick.preOpenInterest;
    var tapeType = calcTapeType(volumeDelta, interestDelta);
    var tapeDirection = calcTapeDirection(tick, preTick);
    var tapeStatus = calcTapeStatus(tapeType, tapeDirection);
    return Object.freeze({
        type: tapeType,
        direction: tapeDirection,
        status: tapeStatus,
        interestDelta: interestDelta,
        volumeDelta: volumeDelta,
        amountDelta: amountDelta,
    });
};
exports.calcTapeData = calcTapeData;
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