// Create a class with a constructor that takes a username and password and sets the credentials import axios from 'axios'; import type { AccountItem, AuthLoginResponse, Contract } from './tradovate-helpers'; import { computeSec, randomUUIDV4 } from './tradovate-helpers'; export class TradovateClient { private name: string; private password: string; private accessInfo: AuthLoginResponse; private deviceId = randomUUIDV4(); public accountList: AccountItem[] = []; public accountCashBalances: { [accountId: number]: { amount: number; realizedPnL: number; }; } = {}; public positions: { [accountId: number]: { contractId: number; netPos: number; netPrice: number; timestamp: Date; }; } = {}; public daysTraded: { [accountId: number]: number } = {}; public dailyPnL: { [accountId: number]: { date: string; pnl: number }[] } = {}; /** Balance floor set by the prop firm — account is blown when amount <= this value (0 = not set) */ public autoLiqThresholds: { [accountId: number]: number } = {}; public products: { id: number; name: string }[] = []; private ws: WebSocket; private callbackOnSyncRequest: () => Promise; // Events that we sent out, and tradovate gives us a response for the id we sent out private directEventCallbacks: { [id: number]: (response: any) => void; } = {}; private indirectEventCallbacks: { entityType: | 'order' | 'orderVersion' | 'auditUserAction' | 'command' | 'commandReport' | 'fill' | 'fillFee' | 'executionReport' | 'cashBalance'; eventType: 'Created' | 'Updated'; // Since the entity is not always the same, we need a validator to check if the response is the one we are looking for validator: (response: any) => boolean; callback: (response: any) => void; }[] = []; constructor( name: string, password: string, callbackOnSyncRequest: () => Promise ) { this.name = name; this.password = password; this.callbackOnSyncRequest = callbackOnSyncRequest; this.login().then((res) => { if (!res?.accessToken) { console.log('Failed to login', res); return; } console.log('Logged in', res); // check every 2 minutes if the access token is expired setInterval(() => { // If we are within 15 minutes of the expiration time, renew the access token if ( new Date(res.expirationTime).getTime() < new Date().getTime() + 15 * 60 * 1000 ) { this.renewAccessToken(); } }, 2 * 60 * 1000); this.accessInfo = res; const randomnumber = Math.random().toString(36).substring(2, 15); this.ws = new WebSocket(`wss://demo.tradovateapi.com/v1/websocket?r=${randomnumber}`); this.ws.onopen = () => { console.log('Connected to websocket'); this.ws.send('authorize\n2\n\n' + this.accessInfo.accessToken); this.directEventCallbacks[2] = (response: any) => { this.requestSync(); setInterval(() => this.requestSync(), 60000); // Every 2.5 seconds send a heartbeat setInterval(() => { this.ws.send('[]'); }, 2500); }; }; this.ws.onmessage = (event) => { if (event.data[0] === 'a') { const dataString = event.data.slice(1); const data: ( | { i?: number; // Id s?: number; // Status d?: any; // Data } | { e?: string; d?: { entityType: | 'order' | 'orderVersion' | 'auditUserAction' | 'command' | 'commandReport'; eventType: 'Created' | 'Updated'; entity: any; }; } )[] = JSON.parse(dataString); for (const response of data) { if ( 'i' in response && response.i && this.directEventCallbacks[response.i] ) { this.directEventCallbacks[response.i](response.d); } if ('e' in response && response.e) { // Handle callbacks for (const info of this.indirectEventCallbacks) { if ( response.d?.entityType === info?.entityType && response.d?.eventType === info?.eventType && info?.validator(response.d.entity) ) { info?.callback(response.d.entity); } } // console.log('No callback found', response.d); } } } else if (event.data[0] === 'h') { // Heartbeat response } }; this.ws.onerror = (event) => { console.error('Error on websocket', event); }; }); } private requestSync(): void { this.directEventCallbacks[3] = (response: any) => { try { if (!response) { console.error('[requestSync] Received null/undefined response — auth may have failed'); return; } // liquidateOnly flag lives in accountRiskStatuses const riskStatusById: { [accountId: number]: { liquidateOnly?: string } } = ( response.accountRiskStatuses || [] ).reduce((acc: any, item: any) => { const key = item.accountId ?? item.id; acc[key] = item; return acc; }, {}); // Auto-liquidation balance floor lives in userAccountAutoLiqs. // item.id IS the account ID. The floor is: trailingMaxDrawdownLimit - trailingMaxDrawdown. // Tradovate uses 999999999 as a sentinel for "no limit" — skip those. for (const item of (response.userAccountAutoLiqs ?? [])) { const accountId: number = item.id; const limit: number = item.trailingMaxDrawdownLimit ?? 0; const drawdown: number = item.trailingMaxDrawdown ?? 0; const isSentinel = limit >= 999999999; const floor = (!isSentinel && limit > 0 && drawdown > 0) ? limit - drawdown : 0; this.autoLiqThresholds[accountId] = floor; if (floor > 0) { console.log(`[autoLiq] account ${accountId} → floor $${floor} (hwm=$${limit} drawdown=$${drawdown})`); } } this.accountList = ((response.accounts ?? []) as AccountItem[]).map((account) => { if (riskStatusById[account.id]?.liquidateOnly) { return { ...account, active: false }; } return account; }); this.accountCashBalances = (response.cashBalances ?? []).reduce( ( acc: { [accountId: number]: { amount: number; realizedPnL: number } }, item: { accountId: number; amount: number; realizedPnL: number } ) => { acc[item.accountId] = { amount: item.amount, realizedPnL: item.realizedPnL }; return acc; }, {} as { [accountId: number]: { amount: number; realizedPnL: number } } ); this.positions = (response.positions ?? []) .filter((item: any) => item.netPos !== 0) .reduce( ( acc: { [accountId: number]: { contractId: number; netPos: number; netPrice: number; timestamp: Date } }, item: { accountId: number; contractId: number; netPos: number; netPrice: number; timestamp: Date } ) => { acc[item.accountId] = { contractId: item.contractId, netPos: item.netPos, netPrice: item.netPrice, timestamp: new Date(item.timestamp), }; return acc; }, {} as { [accountId: number]: { contractId: number; netPos: number; netPrice: number; timestamp: Date } } ); console.log(`[requestSync] ${this.accountList.length} account(s), ${Object.keys(this.accountCashBalances).length} balance(s)`); this.fetchDaysTraded(); if (this.products.length > 0) { this.callbackOnSyncRequest(); return; } this.directEventCallbacks[30] = (products: any) => { if (Array.isArray(products) && products.length > 0) { this.products = products.map((p: any) => ({ id: p.id, name: p.name })); console.log(`Loaded ${this.products.length} products`); } this.callbackOnSyncRequest(); }; this.ws.send('product/list\n30\n\n'); } catch (err) { console.error('[requestSync] Error processing sync response:', err); } }; this.ws.send('user/syncrequest\n3\n\n{"splitResponses":false}'); } private async fetchDaysTraded(): Promise { if (!this.accessInfo?.accessToken) return; const now = new Date(); const start = new Date(); start.setDate(start.getDate() - 28); const fmtDate = (d: Date) => { const m = String(d.getMonth() + 1).padStart(2, '0'); const day = String(d.getDate()).padStart(2, '0'); return `${m}/${day}/${d.getFullYear()}`; }; for (const account of this.accountList) { try { const res = await axios.post( 'https://rpt-demo.tradovateapi.com/v1/reports/requestreport', { name: 'Fills', params: [ { name: 'startDate', value: fmtDate(start) }, { name: 'endDate', value: fmtDate(now) }, { name: 'startTime', value: '00:00:00' }, { name: 'endTime', value: '00:00:00' }, { name: 'account', value: account.name }, ], representationType: 'json', timezone: 0, }, { headers: { Authorization: `Bearer ${this.accessInfo.accessToken}` } } ); // _tradeDate is unquoted in the response (invalid JSON), but the "Date" field // ("M/D/YY") is a valid quoted string that already reflects CME trade date. const raw: string = (res.data?.data ?? '[]') .replace(/"_tradeDate":\s*(\d{4}-\d{2}-\d{2})/g, '"_tradeDate": "$1"'); type Fill = { _tradeDate: string; _timestamp: string; _action: number; // 0 = Buy, 1 = Sell _qty: number; _price: number; Product: string; commission: number; }; const fills: Fill[] = JSON.parse(raw); const uniqueDays = new Set(fills.map(f => f._tradeDate)); this.daysTraded[account.id] = uniqueDays.size; // Dollar-per-point map for common futures products const POINT_VALUES: { [product: string]: number } = { NQ: 20, MNQ: 2, ES: 50, MES: 5, YM: 5, MYM: 0.5, RTY: 50, M2K: 10, GC: 100, MGC: 10, SI: 50, CL: 1000, MCL: 100, NG: 10000, ZB: 1000, ZN: 1000, ZF: 1000, '6E': 125000, '6J': 12500000, '6B': 62500, }; // FIFO P&L computation: match buy/sell fills into round-trips // Both the opening and closing commissions are deducted on close. const sorted = [...fills].sort((a, b) => a._timestamp.localeCompare(b._timestamp)); interface Lot { price: number; qty: number; commPerUnit: number } const longBook: Lot[] = []; const shortBook: Lot[] = []; const dailyMap: { [date: string]: number } = {}; for (const fill of sorted) { const pointValue = POINT_VALUES[fill.Product] ?? 1; const isBuy = fill._action === 0; let remaining = fill._qty; const commPerUnit = fill._qty > 0 ? fill.commission / fill._qty : 0; if (isBuy) { // Close any short lots first (FIFO), then open long while (remaining > 0 && shortBook.length > 0) { const lot = shortBook[0]; const closed = Math.min(lot.qty, remaining); const pnl = (lot.price - fill._price) * closed * pointValue - (commPerUnit * closed) // closing fill commission - (lot.commPerUnit * closed); // opening fill commission dailyMap[fill._tradeDate] = (dailyMap[fill._tradeDate] ?? 0) + pnl; lot.qty -= closed; remaining -= closed; if (lot.qty === 0) shortBook.shift(); } if (remaining > 0) longBook.push({ price: fill._price, qty: remaining, commPerUnit }); } else { // Close any long lots first (FIFO), then open short while (remaining > 0 && longBook.length > 0) { const lot = longBook[0]; const closed = Math.min(lot.qty, remaining); const pnl = (fill._price - lot.price) * closed * pointValue - (commPerUnit * closed) // closing fill commission - (lot.commPerUnit * closed); // opening fill commission dailyMap[fill._tradeDate] = (dailyMap[fill._tradeDate] ?? 0) + pnl; lot.qty -= closed; remaining -= closed; if (lot.qty === 0) longBook.shift(); } if (remaining > 0) shortBook.push({ price: fill._price, qty: remaining, commPerUnit }); } } this.dailyPnL[account.id] = Object.entries(dailyMap) .map(([date, pnl]) => ({ date, pnl: Math.round(pnl * 100) / 100 })) .sort((a, b) => a.date.localeCompare(b.date)); } catch (err) { console.error(`[fetchDaysTraded] ${account.name}`, err); this.daysTraded[account.id] ??= 0; } } } private async login(): Promise { const chl = '' + (Date.now() - 1581e9); const sec = computeSec(this.name, this.password, this.deviceId, chl); const generateEncodedPassword = (e) => { const { name: t, password: n } = e, o = t.length % n.length, r = (n.slice(o) + n.slice(0, o)).split('').reverse().join(''); return btoa(r); }; const res = await axios.post('https://live.tradovateapi.com/v1/auth/accesstokenrequest', { name: this.name, password: generateEncodedPassword({ name: this.name, password: this.password }), environment: 'demo', appId: 'tradovate_trader(web)', appVersion: '3.251205.0', deviceId: this.deviceId, cid: '1', chl: chl, sec: sec, enc: true, }); if (res.status !== 200) { console.error('Failed to login', res.data); } return res.data; } private async renewAccessToken(): Promise { const res = await axios.get('https://live.tradovateapi.com/v1/auth/renewAccessToken', { headers: { Authorization: `Bearer ${this.accessInfo.accessToken}`, }, }); if (res.status !== 200) { console.error('Failed to renew access token', res.data); } console.log('Renewed access token'); this.accessInfo = res.data; } async getAccountList(): Promise { if (!this.accessInfo?.accessToken) { console.log('Not authenticated'); return []; } const res = await axios.get('https://demo.tradovateapi.com/v1/account/list', { headers: { Authorization: `Bearer ${this.accessInfo.accessToken}`, }, }); return res.data; } async fetchInstrumentFees(symbols: string[]): Promise<{ [symbol: string]: number }> { if (!this.accessInfo?.accessToken || this.products.length === 0) return {}; const productIds = symbols .map((sym) => this.products.find((p) => p.name === sym)?.id) .filter((id): id is number => id !== undefined); const res = await axios.post( 'https://demo.tradovateapi.com/v1/contract/getproductfeeparams', { productIds }, { headers: { Authorization: `Bearer ${this.accessInfo.accessToken}` } } ); const result: { [symbol: string]: number } = {}; for (const param of (res.data?.params ?? [])) { const product = this.products.find((p) => p.id === param.productId); if (product && symbols.includes(product.name)) { const raw = (param.clearingFee ?? 0) + (param.exchangeFee ?? 0) + (param.nfaFee ?? 0) + (param.brokerageFee ?? 0) + (param.ipFee ?? 0) + (param.commission ?? 0) + (param.orderRoutingFee ?? 0); result[product.name] = parseFloat(raw.toFixed(4)); console.log( `[fees] ${product.name}: clearing=${param.clearingFee ?? 0}` + ` exchange=${param.exchangeFee ?? 0}` + ` nfa=${param.nfaFee ?? 0}` + ` brokerage=${param.brokerageFee ?? 0}` + ` ip=${param.ipFee ?? 0}` + ` commission=${param.commission ?? 0}` + ` routing=${param.orderRoutingFee ?? 0}` + ` → total=${result[product.name]}` ); } } return result; } async requestContractsFromSocket(names: string[]): Promise<{ [name: string]: Contract; }> { if (!this.ws) { console.log('Websocket not connected'); return {}; } return new Promise((resolve) => { this.directEventCallbacks[10] = (response: any) => { resolve( (response || []).reduce((acc: { [name: string]: Contract }, item: Contract) => { return { ...acc, [item.name]: item }; }, {} as { [name: string]: Contract }) ); }; this.ws.send(`contract/finds\n10\nnames=${names.join(',')}`); }); } async sendOrder( accountId: number, contractId: number, quantity: number, action: 'Buy' | 'Sell', orderType: 'Market' | 'Limit', price?: number ): Promise { if (!this.ws) { console.log('Websocket not connected'); return; } this.ws.send( `user/registeraudituseraction\n25\n\n${JSON.stringify({ accountId: accountId, actionType: action + orderType, 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', })}` ); }); } }