Initial Commit
This commit is contained in:
Senofy
@@ -0,0 +1,45 @@
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import { TradovateClient } from './tradovate-class';
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import { getFirms } from './db';
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// Use global to persist the client pool across HMR reloads in dev mode
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const g = global as typeof globalThis & {
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__tradovateClients?: Map<number, TradovateClient>;
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__tradovateClientsInitialized?: boolean;
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};
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function ensureMap(): Map<number, TradovateClient> {
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if (!g.__tradovateClients) {
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g.__tradovateClients = new Map();
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}
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return g.__tradovateClients;
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}
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export function initClient(id: number, username: string, password: string, firmName: string): TradovateClient {
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const map = ensureMap();
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const client = new TradovateClient(username, password, async () => {
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console.log(`[${firmName}] sync complete — ${client.accountList.length} account(s)`);
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});
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map.set(id, client);
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return client;
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}
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export function removeClient(id: number): void {
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ensureMap().delete(id);
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}
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export function getClients(): Map<number, TradovateClient> {
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const map = ensureMap();
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if (!g.__tradovateClientsInitialized) {
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g.__tradovateClientsInitialized = true;
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try {
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const firms = getFirms();
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for (const firm of firms) {
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initClient(firm.id, firm.username, firm.password, firm.name);
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}
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console.log(`[clients] Initialized ${firms.length} Tradovate client(s)`);
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} catch (err) {
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console.error('[clients] Failed to initialize clients', err);
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}
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}
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return map;
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}
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@@ -0,0 +1,87 @@
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import Database from 'better-sqlite3';
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import path from 'path';
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const db = new Database(path.join(process.cwd(), 'autotrader.sqlite'));
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db.pragma('foreign_keys = ON');
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db.exec(`
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CREATE TABLE IF NOT EXISTS firms (
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id INTEGER PRIMARY KEY AUTOINCREMENT,
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name TEXT NOT NULL UNIQUE,
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username TEXT NOT NULL,
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password TEXT NOT NULL
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);
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CREATE TABLE IF NOT EXISTS account_configs (
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id INTEGER PRIMARY KEY AUTOINCREMENT,
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firm_id INTEGER NOT NULL REFERENCES firms(id) ON DELETE CASCADE,
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prefix TEXT NOT NULL,
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profit_target REAL NOT NULL DEFAULT 3000,
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consistency REAL NOT NULL DEFAULT 0.5,
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min_day_pnl REAL NOT NULL DEFAULT -999,
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min_trading_days INTEGER NOT NULL DEFAULT 5
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);
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`);
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// Seed default data if empty
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const firmCount = (db.prepare('SELECT COUNT(*) as count FROM firms').get() as { count: number }).count;
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if (firmCount === 0) {
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const insertFirm = db.prepare('INSERT INTO firms (name, username, password) VALUES (?, ?, ?)');
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const insertAccount = db.prepare(
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'INSERT INTO account_configs (firm_id, prefix, profit_target, consistency, min_day_pnl, min_trading_days) VALUES (?, ?, ?, ?, ?, ?)'
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);
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const alpha = insertFirm.run('Alpha', 'brandonsenoli72786', '-Z2kPm7nBg');
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insertAccount.run(alpha.lastInsertRowid, 'AFSTDEV', 9000, 0.51, -999, 5);
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insertAccount.run(alpha.lastInsertRowid, 'AFSTDQA', 4500, 0.40, -999, 7);
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insertAccount.run(alpha.lastInsertRowid, 'AFZEROEV', 3000, 0.50, -999, 5);
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insertAccount.run(alpha.lastInsertRowid, 'AFZEROQA', 3000, 0.50, -999, 5);
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insertAccount.run(alpha.lastInsertRowid, 'AF', 3000, 0.50, -999, 5);
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const tpt = insertFirm.run('TakeProfitTrader', 'BRANDONLI1', 'W4592F5512U2817tv=');
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insertAccount.run(tpt.lastInsertRowid, 'TAKEPROFIT', 9000, 0.50, -999, 5);
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console.log('[db] Seeded default firms.');
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}
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export interface AccountConfigRow {
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id: number;
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firm_id: number;
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prefix: string;
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profit_target: number;
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consistency: number;
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min_day_pnl: number;
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min_trading_days: number;
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}
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export interface FirmRow {
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id: number;
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name: string;
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username: string;
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password: string;
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}
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export interface FirmWithAccounts extends FirmRow {
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accounts: AccountConfigRow[];
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}
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export function getFirms(): FirmWithAccounts[] {
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const firms = db.prepare('SELECT * FROM firms ORDER BY id').all() as FirmRow[];
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const getAccounts = db.prepare('SELECT * FROM account_configs WHERE firm_id = ? ORDER BY id');
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return firms.map((firm) => ({
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...firm,
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accounts: getAccounts.all(firm.id) as AccountConfigRow[],
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}));
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}
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export function createFirm(name: string, username: string, password: string): FirmRow {
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const stmt = db.prepare('INSERT INTO firms (name, username, password) VALUES (?, ?, ?)');
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const result = stmt.run(name, username, password);
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return db.prepare('SELECT * FROM firms WHERE id = ?').get(result.lastInsertRowid) as FirmRow;
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}
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export function deleteFirm(id: number): boolean {
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const result = db.prepare('DELETE FROM firms WHERE id = ?').run(id);
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return result.changes > 0;
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}
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@@ -0,0 +1,403 @@
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// Create a class with a constructor that takes a username and password and sets the credentials
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import axios from 'axios';
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import type { AccountItem, AuthLoginResponse, Contract } from './tradovate-helpers';
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import { computeSec, randomUUIDV4 } from './tradovate-helpers';
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export class TradovateClient {
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private name: string;
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private password: string;
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private accessInfo: AuthLoginResponse;
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private deviceId = randomUUIDV4();
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public accountList: AccountItem[] = [];
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public accountCashBalances: {
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[accountId: number]: {
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amount: number;
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realizedPnL: number;
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};
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} = {};
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public positions: {
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[accountId: number]: {
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contractId: number;
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netPos: number;
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netPrice: number;
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timestamp: Date;
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};
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} = {};
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public daysTraded: { [accountId: number]: number } = {};
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private ws: WebSocket;
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private callbackOnSyncRequest: () => Promise<void>;
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// Events that we sent out, and tradovate gives us a response for the id we sent out
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private directEventCallbacks: {
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[id: number]: (response: any) => void;
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} = {};
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private indirectEventCallbacks: {
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entityType:
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| 'order'
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| 'orderVersion'
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| 'auditUserAction'
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| 'command'
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| 'commandReport'
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| 'fill'
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| 'fillFee'
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| 'executionReport'
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| 'cashBalance';
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eventType: 'Created' | 'Updated';
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// Since the entity is not always the same, we need a validator to check if the response is the one we are looking for
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validator: (response: any) => boolean;
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callback: (response: any) => void;
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}[] = [];
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constructor(name: string, password: string, callbackOnSyncRequest: () => Promise<void>) {
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this.name = name;
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this.password = password;
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this.callbackOnSyncRequest = callbackOnSyncRequest;
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this.login().then((res) => {
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if (!res?.accessToken) {
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console.log('Failed to login', res);
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return;
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}
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console.log('Logged in', res);
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// check every 2 minutes if the access token is expired
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setInterval(() => {
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// If we are within 15 minutes of the expiration time, renew the access token
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if (
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new Date(res.expirationTime).getTime() <
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new Date().getTime() + 15 * 60 * 1000
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) {
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this.renewAccessToken();
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}
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}, 2 * 60 * 1000);
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this.accessInfo = res;
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const randomnumber = Math.random().toString(36).substring(2, 15);
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this.ws = new WebSocket(`wss://demo.tradovateapi.com/v1/websocket?r=${randomnumber}`);
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this.ws.onopen = () => {
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console.log('Connected to websocket');
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this.ws.send('authorize\n2\n\n' + this.accessInfo.accessToken);
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this.directEventCallbacks[2] = (response: any) => {
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// Once authorize, start syncing every 60 seconds
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this.requestAccountUpdates();
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setInterval(() => this.requestAccountUpdates(), 60000);
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// Every 2.5 seconds send a heartbeat
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setInterval(() => {
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this.ws.send('[]');
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}, 2500);
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};
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};
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this.ws.onmessage = (event) => {
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if (event.data[0] === 'a') {
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const dataString = event.data.slice(1);
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const data: (
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| {
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i?: number; // Id
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s?: number; // Status
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d?: any; // Data
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}
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| {
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e?: string;
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d?: {
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entityType:
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| 'order'
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| 'orderVersion'
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| 'auditUserAction'
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| 'command'
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| 'commandReport';
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eventType: 'Created' | 'Updated';
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entity: any;
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};
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}
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)[] = JSON.parse(dataString);
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for (const response of data) {
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if (
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'i' in response &&
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response.i &&
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this.directEventCallbacks[response.i]
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) {
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this.directEventCallbacks[response.i](response.d);
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}
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if ('e' in response && response.e) {
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// Handle callbacks
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for (const info of this.indirectEventCallbacks) {
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if (
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response.d?.entityType === info?.entityType &&
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response.d?.eventType === info?.eventType &&
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info?.validator(response.d.entity)
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) {
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info?.callback(response.d.entity);
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}
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}
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// console.log('No callback found', response.d);
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}
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}
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} else if (event.data[0] === 'h') {
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// Heartbeat response
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}
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};
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this.ws.onerror = (event) => {
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console.error('Error on websocket', event);
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};
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});
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}
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private async requestAccountUpdates(): Promise<void> {
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this.directEventCallbacks[3] = (response: any) => {
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// Syncing DLL or MLL hit
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const riskStatusById: { [id: number]: { liquidateOnly?: string } } = (
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response.accountRiskStatuses || []
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).reduce((acc: any, item: any) => {
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acc[item.id] = item;
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return acc;
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}, {});
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this.accountList = (response.accounts as AccountItem[]).map((account) => {
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if (riskStatusById[account.id]?.liquidateOnly) {
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return { ...account, active: false };
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}
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return account;
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});
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this.accountCashBalances = response.cashBalances.reduce(
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(
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acc: {
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[accountId: number]: { amount: number; realizedPnL: number };
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},
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item: { accountId: number; amount: number; realizedPnL: number }
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) => {
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acc[item.accountId] = {
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amount: item.amount,
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realizedPnL: item.realizedPnL,
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};
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return acc;
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},
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{} as { [accountId: number]: { amount: number; realizedPnL: number } }
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);
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this.positions = response.positions
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.filter((item) => item.netPos !== 0)
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.reduce(
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(
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acc: {
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[accountId: number]: {
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contractId: number;
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netPos: number;
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netPrice: number;
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timestamp: Date;
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};
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},
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item: {
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accountId: number;
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contractId: number;
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netPos: number;
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netPrice: number;
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timestamp: Date;
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}
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) => {
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acc[item.accountId] = {
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contractId: item.contractId,
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netPos: item.netPos,
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netPrice: item.netPrice,
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timestamp: new Date(item.timestamp),
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};
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return acc;
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},
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{} as {
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[accountId: number]: {
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contractId: number;
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netPos: number;
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netPrice: number;
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timestamp: Date;
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};
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}
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);
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this.callbackOnSyncRequest();
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this.fetchDaysTraded();
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};
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this.ws.send('user/syncrequest\n3\n\n{"splitResponses":false}');
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}
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private async fetchDaysTraded(): Promise<void> {
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if (!this.accessInfo?.accessToken) return;
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const cutoff = new Date();
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cutoff.setDate(cutoff.getDate() - 28);
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for (const account of this.accountList) {
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try {
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const res = await axios.get(
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`https://demo.tradovateapi.com/v1/fill/ldeps?masterid=${account.id}`,
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{ headers: { Authorization: `Bearer ${this.accessInfo.accessToken}` } }
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);
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const fills: { timestamp: string }[] = res.data ?? [];
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const tradingDays = new Set(
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fills
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.filter((f) => new Date(f.timestamp) >= cutoff)
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.map((f) => new Date(f.timestamp).toDateString())
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);
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this.daysTraded[account.id] = tradingDays.size;
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} catch (err) {
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console.error(`[fetchDaysTraded] account ${account.id}`, err);
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this.daysTraded[account.id] = 0;
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}
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}
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}
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private async login(): Promise<AuthLoginResponse> {
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const chl = '' + (Date.now() - 1581e9);
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const sec = computeSec(this.name, this.password, this.deviceId, chl);
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const generateEncodedPassword = (e) => {
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const { name: t, password: n } = e,
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o = t.length % n.length,
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r = (n.slice(o) + n.slice(0, o)).split('').reverse().join('');
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return btoa(r);
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};
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const res = await axios.post('https://live.tradovateapi.com/v1/auth/accesstokenrequest', {
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name: this.name,
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password: generateEncodedPassword({ name: this.name, password: this.password }),
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environment: 'demo',
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appId: 'tradovate_trader(web)',
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appVersion: '3.251205.0',
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deviceId: this.deviceId,
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cid: '1',
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chl: chl,
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sec: sec,
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enc: true,
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});
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if (res.status !== 200) {
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console.error('Failed to login', res.data);
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}
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return res.data;
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}
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private async renewAccessToken(): Promise<void> {
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const res = await axios.get('https://live.tradovateapi.com/v1/auth/renewAccessToken', {
|
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headers: {
|
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Authorization: `Bearer ${this.accessInfo.accessToken}`,
|
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},
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});
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|
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if (res.status !== 200) {
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console.error('Failed to renew access token', res.data);
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}
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console.log('Renewed access token');
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this.accessInfo = res.data;
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}
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async getAccountList(): Promise<AccountItem[]> {
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if (!this.accessInfo?.accessToken) {
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console.log('Not authenticated');
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return [];
|
||||
}
|
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|
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const res = await axios.get('https://demo.tradovateapi.com/v1/account/list', {
|
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headers: {
|
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Authorization: `Bearer ${this.accessInfo.accessToken}`,
|
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},
|
||||
});
|
||||
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return res.data;
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}
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async requestContractsFromSocket(names: string[]): Promise<{
|
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[name: string]: Contract;
|
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}> {
|
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if (!this.ws) {
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console.log('Websocket not connected');
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return {};
|
||||
}
|
||||
|
||||
return new Promise((resolve) => {
|
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this.directEventCallbacks[10] = (response: any) => {
|
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resolve(
|
||||
(response || []).reduce((acc: { [name: string]: Contract }, item: Contract) => {
|
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return { ...acc, [item.name]: item };
|
||||
}, {} as { [name: string]: Contract })
|
||||
);
|
||||
};
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this.ws.send(`contract/finds\n10\nnames=${names.join(',')}`);
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});
|
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}
|
||||
|
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async sendOrder(
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accountId: number,
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contractId: number,
|
||||
quantity: number,
|
||||
action: 'Buy' | 'Sell',
|
||||
orderType: 'Market' | 'Limit',
|
||||
price?: number
|
||||
): Promise<any> {
|
||||
if (!this.ws) {
|
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console.log('Websocket not connected');
|
||||
return;
|
||||
}
|
||||
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this.ws.send(
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`user/registeraudituseraction\n25\n\n${JSON.stringify({
|
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accountId: accountId,
|
||||
actionType: action + orderType,
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||||
details: `DOM MESZ5: Buy ${orderType}, Buy ${quantity} ${orderType}${
|
||||
price ? ` ${price}` : ''
|
||||
}, TIF Day`,
|
||||
})}`
|
||||
);
|
||||
|
||||
return new Promise((resolve, reject) => {
|
||||
this.directEventCallbacks[26] = (response: any) => {
|
||||
// console.log('Order id', response?.orderId);
|
||||
console.log('Order placed, order id: ', response);
|
||||
|
||||
// TODO: Implement for limit orders and rejected market orders
|
||||
|
||||
// If we don't get a response within 5 seconds, reject the promise
|
||||
setTimeout(() => {
|
||||
reject(new Error('No response from order placement'));
|
||||
}, 5000);
|
||||
|
||||
this.indirectEventCallbacks.push({
|
||||
entityType: 'fill',
|
||||
eventType: 'Created',
|
||||
validator: (item: any) => item?.orderId === response?.orderId,
|
||||
callback: (response: any) => {
|
||||
resolve(response);
|
||||
},
|
||||
});
|
||||
};
|
||||
|
||||
this.ws.send(
|
||||
`order/placeorder\n26\n\n${JSON.stringify({
|
||||
accountId: accountId,
|
||||
action: action,
|
||||
symbol: contractId,
|
||||
orderQty: quantity,
|
||||
orderType: orderType,
|
||||
price: price,
|
||||
timeInForce: 'Day',
|
||||
text: 'DOM',
|
||||
})}`
|
||||
);
|
||||
});
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,61 @@
|
||||
import crypto from 'crypto';
|
||||
|
||||
export interface AuthLoginResponse {
|
||||
accessToken: string;
|
||||
mdAccessToken: string;
|
||||
expirationTime: string;
|
||||
userStatus: string;
|
||||
userId: number;
|
||||
name: string;
|
||||
hasLive: boolean;
|
||||
hasSimPlus: boolean;
|
||||
hasFunded: boolean;
|
||||
hasMarketData: boolean;
|
||||
requiredNonProCertification: boolean;
|
||||
outdatedSentimentPolicy: boolean;
|
||||
orgName: string;
|
||||
}
|
||||
|
||||
export interface AccountItem {
|
||||
id: number;
|
||||
name: string;
|
||||
userId: number;
|
||||
accountType: string;
|
||||
restricted: boolean;
|
||||
closed: boolean;
|
||||
clearingHouseId: number;
|
||||
riskCategoryId: number;
|
||||
autoLiqProfileId: number;
|
||||
marginAccountType: string;
|
||||
legalStatus: string;
|
||||
archived: boolean;
|
||||
timestamp: string;
|
||||
active: boolean;
|
||||
}
|
||||
|
||||
export interface Contract {
|
||||
id: number;
|
||||
name: string;
|
||||
contractMaturityId: number;
|
||||
timestamp: string;
|
||||
status: string;
|
||||
providerTickSize: number;
|
||||
}
|
||||
|
||||
export const randomUUIDV4 = () => {
|
||||
return crypto.randomUUID();
|
||||
};
|
||||
|
||||
export const computeSec = (user: string, password: string, deviceId: string, chl: string) => {
|
||||
const key = '035a1259-11e7-485a-aeae-9b6016579351';
|
||||
const Ct = ['chl', 'deviceId', 'name', 'password', 'appId'];
|
||||
const body = {
|
||||
chl: chl,
|
||||
deviceId: deviceId,
|
||||
name: user,
|
||||
password: password,
|
||||
appId: 'tradovate_trader(web)',
|
||||
};
|
||||
const msg = Ct.map((k) => body[k] ?? '').join('');
|
||||
return crypto.createHmac('sha256', key).update(msg, 'utf8').digest('hex');
|
||||
};
|
||||
Reference in New Issue
Block a user