Add volume-based contract auto-resolver and CLAUDE.md
- New lib/contract-resolver.ts: picks the best contract month for each symbol by comparing Yahoo Finance volume between the front month (Tradovate suggest API) and the roll target (rollcontract API) - lib/clients.ts: auto-resolves all enabled instruments 15s after startup and again daily at midnight via a setInterval check - lib/tradovate-class.ts: findFrontMonthContract checks resolver cache first before falling back to the suggest API - app/api/instruments/contracts/route.ts: GET returns cached contracts, POST triggers a fresh resolve - app/settings/page.tsx: shows active contract + rolled badge per symbol; auto-resolves on load if cache is empty; removed manual Resolve button - app/api/debug/route.ts: include entity data in recentEntityEvents - CLAUDE.md: instructs Claude to always work on main Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
This commit is contained in:
Senofy
co-authored by
Claude Sonnet 4.6
Claude Sonnet 4.6
parent
881c210366
commit
d945e0038f
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/**
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* Contract Resolver
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*
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* Determines the best contract for each symbol by combining:
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* 1. Tradovate's suggest API (front month)
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* 2. Tradovate's rollcontract API (next month)
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* 3. Yahoo Finance volume data (pick whichever has more volume)
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*
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* Results are cached and refreshed periodically (default: every 30 minutes).
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*/
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import axios from 'axios';
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interface ContractInfo {
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id: number;
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name: string;
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tickSize: number;
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contractMaturityId?: number;
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}
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export interface ResolvedContract extends ContractInfo {
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/** The other candidate contract that lost the volume comparison (if any) */
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alternative?: string;
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frontVolume?: number;
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rolledVolume?: number;
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}
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// ── Yahoo Finance ticker mapping ─────────────────────────────────────────────
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const EXCHANGE_MAP: Record<string, string> = {
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NQ: 'CME', MNQ: 'CME', ES: 'CME', MES: 'CME',
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YM: 'CBT', MYM: 'CBT', RTY: 'CME', M2K: 'CME',
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GC: 'CMX', MGC: 'CMX',
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SI: 'CMX', SIL: 'CMX',
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CL: 'NYM', MCL: 'NYM', NG: 'NYM',
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ZB: 'CBT', ZN: 'CBT', ZF: 'CBT',
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'6E': 'CME', '6J': 'CME', '6B': 'CME',
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};
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/** Convert Tradovate name to Yahoo ticker, e.g. "GCH6" → "GCH26.CMX" */
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function toYahoo(tvName: string): string {
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const yearDigit = tvName.slice(-1);
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const monthLetter = tvName.slice(-2, -1);
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const product = tvName.slice(0, -2);
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const year2d = '2' + yearDigit; // assumes 2020s
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const exchange = EXCHANGE_MAP[product] ?? 'CME';
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return `${product}${monthLetter}${year2d}.${exchange}`;
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}
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// ── Cache ────────────────────────────────────────────────────────────────────
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const cache = new Map<string, { contract: ResolvedContract; resolvedAt: number }>();
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const CACHE_TTL_MS = 30 * 60 * 1000; // 30 minutes
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export function getCachedContract(symbol: string): ResolvedContract | null {
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const entry = cache.get(symbol);
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if (!entry) return null;
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if (Date.now() - entry.resolvedAt > CACHE_TTL_MS) {
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cache.delete(symbol);
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return null;
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}
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return entry.contract;
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}
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export function getAllCachedContracts(): Record<string, ResolvedContract | null> {
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const result: Record<string, ResolvedContract | null> = {};
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for (const [symbol, entry] of cache) {
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if (Date.now() - entry.resolvedAt > CACHE_TTL_MS) {
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cache.delete(symbol);
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result[symbol] = null;
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} else {
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result[symbol] = entry.contract;
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}
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}
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return result;
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}
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// ── Volume lookup via Yahoo Finance REST API ────────────────────────────────
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async function getVolume(tvName: string): Promise<number> {
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try {
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const ticker = toYahoo(tvName);
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const res = await axios.get(
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`https://query1.finance.yahoo.com/v8/finance/chart/${encodeURIComponent(ticker)}`,
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{ params: { range: '1d', interval: '1d' } }
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);
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const meta = res.data?.chart?.result?.[0]?.meta;
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return meta?.regularMarketVolume ?? 0;
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} catch {
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return 0;
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}
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}
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// ── Main resolver ────────────────────────────────────────────────────────────
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/**
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* Resolve the best contract for a list of symbols using a Tradovate access token.
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* For each symbol:
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* 1. Get front month via /contract/suggest
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* 2. Get roll target via /contract/rollcontract
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* 3. If they differ, compare Yahoo Finance volumes and pick the winner
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*/
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export async function resolveContracts(
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symbols: string[],
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accessToken: string,
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): Promise<Record<string, ResolvedContract | null>> {
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const headers = { Authorization: `Bearer ${accessToken}` };
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const results: Record<string, ResolvedContract | null> = {};
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// Step 1: Get front month for each symbol
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const frontMonths: Record<string, ContractInfo | null> = {};
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await Promise.all(symbols.map(async (sym) => {
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try {
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const res = await axios.get(
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`https://demo.tradovateapi.com/v1/contract/suggest?t=${encodeURIComponent(sym)}&l=5`,
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{ headers }
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);
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const contracts: ContractInfo[] = res.data ?? [];
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const match = contracts.find((c) => c.name.startsWith(sym));
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frontMonths[sym] = match ? {
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id: match.id,
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name: match.name,
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tickSize: (match as any).providerTickSize ?? 0.25,
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contractMaturityId: (match as any).contractMaturityId,
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} : null;
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} catch {
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frontMonths[sym] = null;
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}
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}));
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// Step 2: Get roll targets
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const rollTargets: Record<string, ContractInfo | null> = {};
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await Promise.all(symbols.map(async (sym) => {
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const front = frontMonths[sym];
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if (!front) { rollTargets[sym] = null; return; }
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try {
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const res = await axios.post(
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'https://demo.tradovateapi.com/v1/contract/rollcontract',
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{ name: front.name, forward: true, ifExpired: false },
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{ headers }
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);
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const c = res.data?.contract;
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if (c && c.name !== front.name) {
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rollTargets[sym] = {
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id: c.id,
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name: c.name,
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tickSize: c.providerTickSize ?? 0.25,
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contractMaturityId: c.contractMaturityId,
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};
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} else {
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rollTargets[sym] = null; // Same contract or no roll available
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}
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} catch {
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rollTargets[sym] = null;
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}
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}));
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// Step 3: Fetch volumes for all contracts that need comparison
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const volumePromises: Record<string, Promise<number>> = {};
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for (const sym of symbols) {
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const front = frontMonths[sym];
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const rolled = rollTargets[sym];
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if (front && rolled) {
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if (!volumePromises[front.name]) volumePromises[front.name] = getVolume(front.name);
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if (!volumePromises[rolled.name]) volumePromises[rolled.name] = getVolume(rolled.name);
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}
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}
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// Resolve all volume lookups in parallel
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const volumeEntries = Object.entries(volumePromises);
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const volumeValues = await Promise.all(volumeEntries.map(([, p]) => p));
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const volumes: Record<string, number> = {};
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volumeEntries.forEach(([name], i) => { volumes[name] = volumeValues[i]; });
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if (Object.keys(volumes).length > 0) {
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console.log('[contract-resolver] volumes:', volumes);
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}
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// Step 4: Pick winners
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for (const sym of symbols) {
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const front = frontMonths[sym];
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const rolled = rollTargets[sym];
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if (!front) {
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results[sym] = null;
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continue;
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}
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if (!rolled) {
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// No roll target — use front month
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results[sym] = { ...front };
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} else {
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const frontVol = volumes[front.name] ?? 0;
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const rolledVol = volumes[rolled.name] ?? 0;
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if (rolledVol > frontVol) {
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// Rolled contract has more volume — use it
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results[sym] = {
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...rolled,
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alternative: front.name,
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frontVolume: frontVol,
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rolledVolume: rolledVol,
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};
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console.log(`[contract-resolver] ${sym}: ${front.name} (vol=${frontVol}) → ${rolled.name} (vol=${rolledVol}) ROLLED`);
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} else {
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// Front month still has more volume — keep it
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results[sym] = {
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...front,
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alternative: rolled.name,
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frontVolume: frontVol,
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rolledVolume: rolledVol,
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};
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console.log(`[contract-resolver] ${sym}: ${front.name} (vol=${frontVol}) stays (rolled ${rolled.name} vol=${rolledVol})`);
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}
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}
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// Update cache
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if (results[sym]) {
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cache.set(sym, { contract: results[sym]!, resolvedAt: Date.now() });
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}
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}
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return results;
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}
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