hft-js/lib/interfaces.d.ts

High-Frequency Trading in Node.js

import type { BarData, CommissionRate, InstrumentData, MarginRate, OffsetType, OrderData, OrderFlag, OrderStatistic, PositionData, PositionDetail, ProductType, SideType, TapeData, TickData, TradeData, TradingAccount } from "./typedef.js";
export type RiskType = "place-order-risk" | "cancel-order-risk";
export interface IPlaceOrderRiskManager {
    onPlaceOrder: (symbol: string, offset: OffsetType, side: SideType, volume: number, price: number, flag: OrderFlag) => boolean | string;
}
export interface ICancelOrderRiskManager {
    onCancelOrder: (order: OrderData) => boolean | string;
}
export interface IRiskManagerReceiver {
    onRisk: (type: RiskType, reason?: string) => void;
}
export type ErrorType = "login-error" | "query-order-error" | "query-trade-error" | "query-instrument-error" | "query-margin-rate-error" | "query-commission-rate-error" | "query-accounts-error" | "query-positions-error" | "query-position-details-error" | "query-depth-market-data-error";
export interface IErrorReceiver {
    onError: (error: ErrorType, message: string) => void;
}
export interface ILifecycleListener extends IErrorReceiver {
    onOpen: () => void;
    onClose: () => void;
}
export interface IOrderReceiver {
    onEntrust: (order: OrderData) => void;
    onTrade: (order: OrderData, trade: TradeData) => void;
    onCancel: (order: OrderData) => void;
    onReject: (order: OrderData) => void;
}
export interface IOrdersReceiver {
    onOrders: (orders: OrderData[]) => void;
}
export interface ITickReceiver {
    onTick: (tick: TickData, tape: TapeData) => void;
}
export interface ITickSubscriber {
    subscribe: (symbols: string[], receiver: ITickReceiver) => void;
}
export interface ITickUnsubscriber {
    unsubscribe: (symbols: string[], receiver: ITickReceiver) => void;
}
export interface IBarReceiver {
    onBar: (bar: BarData) => void;
    onUpdateBar?: (bar: BarData, tick: TickData, tape: TapeData) => void;
}
export interface IBarSubscriber {
    subscribeBar: (symbols: string[], receiver: IBarReceiver) => void;
}
export interface IBarUnsubscriber {
    unsubscribeBar: (symbols: string[], receiver: IBarReceiver) => void;
}
export interface IStrategy extends IRiskManagerReceiver, IOrderReceiver {
    onInit: () => void;
    onDestroy: () => void;
}
export interface ICommissionRateReceiver {
    onCommissionRate: (rate: CommissionRate | undefined) => void;
}
export interface IMarginRateReceiver {
    onMarginRate: (rate: MarginRate | undefined) => void;
}
export interface IInstrumentReceiver {
    onInstrument: (instrument: InstrumentData | undefined) => void;
}
export interface IInstrumentsReceiver {
    onInstruments: (instruments: InstrumentData[] | undefined) => void;
}
export interface ITradingAccountsReceiver {
    onTradingAccounts: (accounts: TradingAccount[] | undefined) => void;
}
export interface IPositionReceiver {
    onPosition: (position: PositionData | undefined) => void;
}
export interface IPositionsReceiver {
    onPositions: (positions: PositionData[] | undefined) => void;
}
export interface IPositionDetailsReceiver {
    onPositionDetails: (positionDetails: PositionDetail[] | undefined) => void;
}
export interface IProvider {
    open: (lifecycle: ILifecycleListener) => boolean;
    close: (lifecycle: ILifecycleListener) => void;
}
export interface IOrderEmitter {
    addOrderReceiver: (receiver: IOrderReceiver) => void;
    removeOrderReceiver: (receiver: IOrderReceiver) => void;
}
export interface IQueryProvider {
    getTradingDay: () => number;
    getOrderStatistics: () => OrderStatistic[];
    getOrderStatistic: (symbol: string) => OrderStatistic;
    queryCommissionRate: (symbol: string, receiver: ICommissionRateReceiver) => void;
    queryMarginRate: (symbol: string, receiver: IMarginRateReceiver) => void;
    queryInstrument: (symbol: string, receiver: IInstrumentReceiver) => void;
    queryPosition: (symbol: string, receiver: IPositionReceiver) => void;
    queryInstruments: (receiver: IInstrumentsReceiver, type?: ProductType) => void;
    queryTradingAccounts: (receiver: ITradingAccountsReceiver) => void;
    queryPositions: (receiver: IPositionsReceiver) => void;
    queryPositionDetails: (receiver: IPositionDetailsReceiver) => void;
    queryOrders: (receiver: IOrdersReceiver) => void;
}
export interface IMarketRecorderReceiver {
    onMarketData: (marketData: any) => void;
}
export type IMarketRecorderSymbols = (instrument: InstrumentData[]) => string[];
export interface IMarketRecorderProvider {
    isRecorderReady: () => boolean;
    setRecorder: (receiver: IMarketRecorderReceiver, symbols: IMarketRecorderSymbols) => void;
    startRecorder: (instrument: InstrumentData[]) => void;
    stopRecorder: () => void;
}
export interface IMarketProvider extends IProvider, ITickSubscriber, ITickUnsubscriber {
    getRecorder: () => IMarketRecorderProvider | undefined;
}
export type IPlaceOrderResultReceiver = {
    onPlaceOrderSent: (receiptId: string) => void;
    onPlaceOrderError: (reason: string) => void;
};
export type ICancelOrderResultReceiver = {
    onCancelOrderSent: () => void;
    onCancelOrderError: (reason: string) => void;
};
export interface ITraderProvider extends IProvider, IOrderEmitter, IQueryProvider {
    placeOrder: (symbol: string, offset: OffsetType, side: SideType, volume: number, price: number, flag: OrderFlag, receiver: IPlaceOrderResultReceiver) => void;
    cancelOrder: (order: OrderData, receiver: ICancelOrderResultReceiver) => void;
}
export interface IRuntimeEngine extends IQueryProvider, ITickSubscriber, ITickUnsubscriber, IBarSubscriber, IBarUnsubscriber {
    addStrategy: (strategy: IStrategy) => void;
    removeStrategy: (strategy: IStrategy) => void;
    addPlaceOrderRiskManager: (riskMgr: IPlaceOrderRiskManager) => void;
    addCancelOrderRiskManager: (riskMgr: ICancelOrderRiskManager) => void;
    placeOrder: (strategy: IStrategy, symbol: string, offset: OffsetType, side: SideType, volume: number, price: number, flag: OrderFlag, receiver: IPlaceOrderResultReceiver) => void;
    cancelOrder: (strategy: IStrategy, order: OrderData, receiver: ICancelOrderResultReceiver) => void;
}