hft-js
Version:
High-Frequency Trading in Node.js
80 lines • 3.87 kB
JavaScript
/*
* utils.ts
*
* Copyright (c) 2025 Xiongfei Shi
*
* Author: Xiongfei Shi <xiongfei.shi(a)icloud.com>
* License: Apache-2.0
*
* https://github.com/shixiongfei/hft.js
*/
export const isValidPrice = (x) => x !== Number.MAX_VALUE && x !== 0;
export const isValidVolume = (x) => x !== Number.MAX_VALUE && x !== 0;
export const parseSymbol = (symbol) => {
const [instrumentId = "", exchangeId = ""] = symbol.split(".");
return [instrumentId, exchangeId];
};
export const getBarBuyVolume = (bar, price) => bar.buyVolumes[price] ?? 0;
export const getBarSellVolume = (bar, price) => bar.sellVolumes[price] ?? 0;
export const getBarVolume = (bar, price) => getBarBuyVolume(bar, price) + getBarSellVolume(bar, price);
export const mergeBarData = (bars) => {
if (bars.length === 0) {
throw new Error("Bars is empty");
}
if (bars.length === 1) {
return bars[1];
}
const bar = {
symbol: bars[0].symbol,
date: bars[0].date,
time: bars[0].time,
openInterest: bars[0].openInterest,
openPrice: bars[0].openPrice,
highPrice: bars[0].highPrice,
lowPrice: bars[0].lowPrice,
closePrice: bars[0].closePrice,
volume: bars[0].volume,
amount: bars[0].volume,
delta: bars[0].delta,
poc: bars[0].poc,
buyVolumes: { ...bars[0].buyVolumes },
sellVolumes: { ...bars[0].sellVolumes },
};
for (let i = 1; i < bars.length; ++i) {
const nextBar = bars[i];
bar.openInterest = nextBar.openInterest;
bar.closePrice = nextBar.closePrice;
bar.highPrice = Math.max(bar.highPrice, nextBar.highPrice);
bar.lowPrice = Math.min(bar.lowPrice, nextBar.lowPrice);
bar.volume += nextBar.volume;
bar.amount += nextBar.amount;
for (const price in nextBar.buyVolumes) {
const volumeDelta = nextBar.buyVolumes[price];
bar.buyVolumes[price] = volumeDelta + (bar.buyVolumes[price] ?? 0);
bar.delta += volumeDelta;
const priceVP = bar.buyVolumes[price] + (bar.sellVolumes[price] ?? 0);
const pocVP = getBarVolume(bar, bar.poc);
if (priceVP > pocVP) {
bar.poc = parseFloat(price);
}
}
for (const price in nextBar.sellVolumes) {
const volumeDelta = nextBar.sellVolumes[price];
bar.sellVolumes[price] = volumeDelta + (bar.sellVolumes[price] ?? 0);
bar.delta -= volumeDelta;
const priceVP = bar.sellVolumes[price] + (bar.buyVolumes[price] ?? 0);
const pocVP = getBarVolume(bar, bar.poc);
if (priceVP > pocVP) {
bar.poc = parseFloat(price);
}
}
}
Object.freeze(bar.buyVolumes);
Object.freeze(bar.sellVolumes);
return Object.freeze(bar);
};
export const buyOpen = (engine, strategy, symbol, volume, price, receiver, flag = "limit") => engine.placeOrder(strategy, symbol, "open", "long", volume, price, price > 0 && flag === "limit" ? "limit" : "market", receiver);
export const buyClose = (engine, strategy, symbol, volume, price, isToday, receiver, flag = "limit") => engine.placeOrder(strategy, symbol, isToday ? "close-today" : "close", "long", volume, price, price > 0 && flag === "limit" ? "limit" : "market", receiver);
export const sellOpen = (engine, strategy, symbol, volume, price, receiver, flag = "limit") => engine.placeOrder(strategy, symbol, "open", "short", volume, price, price > 0 && flag === "limit" ? "limit" : "market", receiver);
export const sellClose = (engine, strategy, symbol, volume, price, isToday, receiver, flag = "limit") => engine.placeOrder(strategy, symbol, isToday ? "close-today" : "close", "short", volume, price, price > 0 && flag === "limit" ? "limit" : "market", receiver);
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