autofirmer-expanded/lib/contract-resolver.ts

/**
 * Contract Resolver
 *
 * Determines the active contract for each symbol by:
 * 1. Asking Yahoo Finance's continuous contract ({PRODUCT}=F) for the exchange suffix
 * 2. Probing Yahoo for several near-month tickers and ranking them by volume
 * 3. Looking up the highest-volume contract on Tradovate via /contract/suggest
 *
 * Volume is the trader-standard definition of "front month": liquidity has
 * migrated to whichever contract is most actively traded on any given day.
 *
 * Results are cached and refreshed periodically (default: every 30 minutes).
 */

import axios from 'axios';

interface ContractInfo {
    id: number;
    name: string;
    tickSize: number;
    contractMaturityId?: number;
}

export interface ResolvedContract extends ContractInfo {
    /** The other candidate contracts that were not selected */
    alternative?: string;
}

const MONTH_CODES_ORDERED = ['F', 'G', 'H', 'J', 'K', 'M', 'N', 'Q', 'U', 'V', 'X', 'Z'];
const PROBE_WINDOW = 6;

// ── Cache ────────────────────────────────────────────────────────────────────

const cache = new Map<string, { contract: ResolvedContract; resolvedAt: number }>();
const CACHE_TTL_MS = 30 * 60 * 1000; // 30 minutes

export function getCachedContract(symbol: string): ResolvedContract | null {
    const entry = cache.get(symbol);
    if (!entry) return null;
    if (Date.now() - entry.resolvedAt > CACHE_TTL_MS) {
        cache.delete(symbol);
        return null;
    }
    return entry.contract;
}

export function getAllCachedContracts(): Record<string, ResolvedContract | null> {
    const result: Record<string, ResolvedContract | null> = {};
    for (const [symbol, entry] of cache) {
        if (Date.now() - entry.resolvedAt > CACHE_TTL_MS) {
            cache.delete(symbol);
            result[symbol] = null;
        } else {
            result[symbol] = entry.contract;
        }
    }
    return result;
}

// ── Yahoo Finance lookups ────────────────────────────────────────────────────

/** Fetch the continuous contract's exchange suffix (e.g. "NQ=F" → "CME"). */
async function getContinuousExchange(product: string): Promise<string | null> {
    try {
        const res = await axios.get(
            `https://query1.finance.yahoo.com/v8/finance/chart/${encodeURIComponent(product + '=F')}`,
            { params: { range: '1d', interval: '1d' }, headers: { 'User-Agent': 'Mozilla/5.0' } }
        );
        const meta = res.data?.chart?.result?.[0]?.meta;
        if (!meta) return null;
        return meta.exchangeName ?? 'CME';
    } catch {
        return null;
    }
}

/**
 * Probe Yahoo for the next PROBE_WINDOW month codes starting from the current
 * calendar month. Returns the candidate with the highest recent volume, plus
 * the earliest other candidate with non-zero volume (used as the "rolled from"
 * label). Quarterly products naturally skip their unused months — Yahoo has
 * no data for them.
 */
async function findHighestVolumeContract(
    product: string,
    exchange: string,
): Promise<{ chosen: string; runnerUp: string | null } | null> {
    const now = new Date();
    const startMonthIdx = now.getUTCMonth();
    const startYear = now.getUTCFullYear();

    const probes = await Promise.all(
        Array.from({ length: PROBE_WINDOW }, (_, offset) => offset).map(async (offset) => {
            const flat = startMonthIdx + offset;
            const monthCode = MONTH_CODES_ORDERED[flat % 12];
            const year = startYear + Math.floor(flat / 12);
            const yy = (year % 100).toString().padStart(2, '0');
            const ticker = `${product}${monthCode}${yy}.${exchange}`;
            try {
                const res = await axios.get(
                    `https://query1.finance.yahoo.com/v8/finance/chart/${encodeURIComponent(ticker)}`,
                    { params: { range: '1d', interval: '1d' }, headers: { 'User-Agent': 'Mozilla/5.0' } }
                );
                const result = res.data?.chart?.result?.[0];
                const meta = result?.meta;
                if (!meta?.shortName) return null;
                const volume: number =
                    meta.regularMarketVolume
                    ?? result?.indicators?.quote?.[0]?.volume?.at(-1)
                    ?? 0;
                return {
                    name: `${product}${monthCode}${(year % 10).toString()}`,
                    offset,
                    volume,
                };
            } catch {
                return null;
            }
        })
    );

    const valid = probes.filter((p): p is NonNullable<typeof p> => p !== null);
    if (valid.length === 0) return null;

    const byVolume = [...valid].sort((a, b) => b.volume - a.volume);
    const chosen = byVolume[0];
    console.log(
        `[contract-resolver] ${product}: volume ranking — ${byVolume.map((c) => `${c.name}=${c.volume}`).join(', ')}`
    );

    const earlierWithVolume = valid
        .filter((p) => p.offset < chosen.offset && p.volume > 0)
        .sort((a, b) => a.offset - b.offset)[0];

    return {
        chosen: chosen.name,
        runnerUp: earlierWithVolume?.name ?? null,
    };
}

// ── Main resolver ────────────────────────────────────────────────────────────

/**
 * Resolve the active contract for a list of symbols.
 * For each symbol:
 *   1. Fetch {PRODUCT}=F from Yahoo to learn the exchange suffix
 *   2. Probe near-month Yahoo tickers and pick the highest-volume contract
 *   3. Look up the chosen name on Tradovate to get the contract ID
 */
export async function resolveContracts(
    symbols: string[],
    accessToken: string,
): Promise<Record<string, ResolvedContract | null>> {
    const headers = { Authorization: `Bearer ${accessToken}` };
    const results: Record<string, ResolvedContract | null> = {};

    await Promise.all(symbols.map(async (sym) => {
        let chosenName: string | null = null;
        let rolledFrom: string | null = null;

        const exchange = await getContinuousExchange(sym);
        if (exchange) {
            const winner = await findHighestVolumeContract(sym, exchange);
            if (winner) {
                chosenName = winner.chosen;
                rolledFrom = winner.runnerUp;
            }
        } else {
            console.log(`[contract-resolver] ${sym}: Yahoo continuous contract lookup failed`);
        }

        try {
            const res = await axios.get(
                `https://demo.tradovateapi.com/v1/contract/suggest?t=${encodeURIComponent(chosenName ?? sym)}&l=10`,
                { headers }
            );
            const contracts: ContractInfo[] = res.data ?? [];

            const exactMatch = chosenName ? contracts.find((c) => c.name === chosenName) : null;
            const fallbackMatch = contracts.find((c) => {
                if (!c.name.startsWith(sym)) return false;
                return /^[A-Z]\d/.test(c.name.slice(sym.length));
            });
            const match = exactMatch ?? fallbackMatch;

            if (!match) {
                console.log(`[contract-resolver] ${sym}: no matching contract found on Tradovate`);
                results[sym] = null;
                return;
            }

            const contract: ResolvedContract = {
                id: match.id,
                name: match.name,
                tickSize: (match as any).providerTickSize ?? 0.25,
                contractMaturityId: (match as any).contractMaturityId,
                alternative: rolledFrom ?? undefined,
            };
            results[sym] = contract;
            cache.set(sym, { contract, resolvedAt: Date.now() });

            if (rolledFrom) {
                console.log(`[contract-resolver] ${sym}: ${rolledFrom} → ${match.name} ROLLED (by volume)`);
            } else {
                console.log(`[contract-resolver] ${sym}: ${match.name} resolved`);
            }
        } catch (err) {
            console.error(`[contract-resolver] ${sym}: Tradovate lookup failed`, err);
            results[sym] = null;
        }
    }));

    return results;
}