hft-js/lib/tape.js

High-Frequency Trading in Node.js

/*
 * 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
 */
const calcTapeType = (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";
};
const calcTapeDirection = (tick, preTick) => {
    const lastPrice = tick.lastPrice;
    if (preTick) {
        const preAskPrice1 = preTick.orderBook.asks.price[0] ?? Number.MAX_VALUE;
        if (lastPrice >= preAskPrice1) {
            return "up";
        }
        const preBidPrice1 = preTick.orderBook.bids.price[0] ?? Number.MIN_VALUE;
        if (lastPrice <= preBidPrice1) {
            return "down";
        }
        const askPrice1 = tick.orderBook.asks.price[0] ?? Number.MAX_VALUE;
        if (lastPrice >= askPrice1) {
            return "up";
        }
        const bidPrice1 = tick.orderBook.bids.price[0] ?? Number.MIN_VALUE;
        if (lastPrice <= bidPrice1) {
            return "down";
        }
        const 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 {
        const askPrice1 = tick.orderBook.asks.price[0] ?? Number.MAX_VALUE;
        if (lastPrice >= askPrice1) {
            return "up";
        }
        const bidPrice1 = tick.orderBook.bids.price[0] ?? Number.MIN_VALUE;
        if (lastPrice <= bidPrice1) {
            return "down";
        }
        if (lastPrice > tick.preClose) {
            return "up";
        }
        if (lastPrice < tick.preClose) {
            return "down";
        }
        return "none";
    }
};
const calcTapeStatus = (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";
};
export const calcTapeData = (tick, preTick) => {
    const volumeDelta = preTick ? tick.volume - preTick.volume : tick.volume;
    const amountDelta = preTick ? tick.amount - preTick.amount : tick.amount;
    const interestDelta = preTick
        ? tick.openInterest - preTick.openInterest
        : tick.openInterest - tick.preOpenInterest;
    const tapeType = calcTapeType(volumeDelta, interestDelta);
    const tapeDirection = calcTapeDirection(tick, preTick);
    const tapeStatus = calcTapeStatus(tapeType, tapeDirection);
    return Object.freeze({
        type: tapeType,
        direction: tapeDirection,
        status: tapeStatus,
        interestDelta: interestDelta,
        volumeDelta: volumeDelta,
        amountDelta: amountDelta,
    });
};
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