Brandon LiandClaude Fable 5
fc65b4340d
TopstepX never reports the Maximum Loss Limit, but it's deterministic: floor = min(0, eodBalanceHigh − trailingDrawdown), locking at the $0 starting balance. The EOD curve rebuilds from daily P&L + fund events, with off-book fee drift spread across days proportionally to reported fees (validated against a platform-reported MLL to ~$0.10). Stored in autoLiqThresholds — negative, or +$0.01 once locked — so dead detection, dashboards, and the ruin model's startThreshold all use the real room. Guards move from '> 0' to '!== 0'; 0 still means no floor. canTrade=false accounts are skipped. daily_pnl gains a fees column for the weighting. Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
918 lines
42 KiB
TypeScript
918 lines
42 KiB
TypeScript
/**
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* Auto-trade scheduler
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*
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* When a trade is triggered (POST /api/trade), the scheduler stores the
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* action + symbol and fires the same trade logic every 60 seconds to pick
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* up accounts that were busy (in a position) at the time of the original
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* signal but have since exited and are now eligible.
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*/
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import { getInstruments } from './db';
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import { getClients } from './clients';
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import { getTradableFirms } from './firm-catalog';
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import { getAccountConfig } from './account-type-resolver';
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import {
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combineCmeSessions, computeDayPlan, groupLegFraction, pickLegAmount, resolveEffectiveConfig, currentTradeDateCT,
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BIG_DAY_THRESHOLD, LEG_COMPLETION_EPSILON, MAX_LEGS_PER_DAY, POINT_VALUES,
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FIRST_DAY_STOP, MIN_DAY_STOP_MULT,
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type DayPlan,
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} from './trading-logic';
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import { getSetting, setSetting } from './db';
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// ── helpers ──────────────────────────────────────────────────────────────────
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function isAccountDead(amount: number, autoLiqThreshold: number): boolean {
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// Tradovate floors are positive balances; reconstructed TopstepX MLL
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// floors are negative (or +$0.01 once locked at breakeven). 0 = no floor.
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return autoLiqThreshold !== 0 && amount <= autoLiqThreshold;
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}
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// In-memory runaway guard: legs fired per account per trade date, plus the sum
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// of their targets — realized P&L falling short of that sum is how a stop-out
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// is detected. Resets on restart, which is fine — day completion is derived
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// from realized PnL, not from this counter.
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const _legCounts = new Map<number, { date: string; count: number; sum: number }>();
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function legsToday(accountId: number, tradeDate: string): number {
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const entry = _legCounts.get(accountId);
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return entry && entry.date === tradeDate ? entry.count : 0;
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}
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function legSumToday(accountId: number, tradeDate: string): number {
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const entry = _legCounts.get(accountId);
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return entry && entry.date === tradeDate ? entry.sum : 0;
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}
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function recordLeg(accountId: number, tradeDate: string, legAmount: number): void {
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_legCounts.set(accountId, {
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date: tradeDate,
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count: legsToday(accountId, tradeDate) + 1,
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sum: Math.round((legSumToday(accountId, tradeDate) + legAmount) * 100) / 100,
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});
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}
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/** Obfuscation stop for the current leg, in dollars. Infinity = no stop.
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* Day 1 of a cycle carries the $1,000 account stop (firstDayStop), min-day
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* (small) trades a 2×-target stop (minDayStop) — and the day after a losing
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* day always rides stopless, the make-back day. */
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function obfuscationStopDollars(
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cfg: { firstDayStop: boolean; minDayStop: boolean },
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dailyPnL: { date: string; pnl: number }[],
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plan: DayPlan,
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tradeDate: string,
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legAmount: number,
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): number {
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if (!cfg.firstDayStop && !cfg.minDayStop) return Infinity;
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const prior = dailyPnL
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.filter((d) => d.date < tradeDate && d.pnl !== 0)
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.sort((a, b) => a.date.localeCompare(b.date));
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if (prior.length > 0 && prior[prior.length - 1].pnl < 0) return Infinity;
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let stop = Infinity;
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const realizedToday = Math.round((plan.dayTarget - plan.remainingToday) * 100) / 100;
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if (cfg.firstDayStop && prior.length === 0) stop = Math.max(0, FIRST_DAY_STOP + realizedToday);
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if (cfg.minDayStop && plan.dayTarget <= BIG_DAY_THRESHOLD) stop = Math.min(stop, MIN_DAY_STOP_MULT * legAmount);
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return stop;
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}
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/** The instrument a leg actually trades: drain legs go on MNQ, hardcoded
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* (like the extra-day path) — tiny targets belong on the micro regardless of
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* the batch symbol. */
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async function legInstrument(
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// eslint-disable-next-line @typescript-eslint/no-explicit-any
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client: any,
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drain: boolean,
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batchContract: { name: string; tickSize: number },
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batchPointValue: number,
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): Promise<{ contract: { name: string; tickSize: number }; pointValue: number }> {
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if (!drain) return { contract: batchContract, pointValue: batchPointValue };
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const mnq = await client.findFrontMonthContract('MNQ');
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if (!mnq) throw new Error('MNQ contract not found for drain trade');
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return { contract: mnq, pointValue: POINT_VALUES['MNQ'] };
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}
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// ── per-account trade evaluation (shared by runTrade / copyTrade / hasRemaining…) ──
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interface AccountEvaluation {
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eligible: boolean;
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reason: string;
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plan: DayPlan | null;
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isExtraDay: boolean;
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/** Current stage is a drain stage — the leg trades MNQ regardless of the batch symbol. */
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drain: boolean;
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cash: { amount: number; realizedPnL: number };
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dailyPnL: { date: string; pnl: number }[];
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daysTraded: number;
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}
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/**
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* Evaluate whether an account can trade right now. Returns null when the account has no
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* matching config (not ours). Split-allowed accounts stay eligible mid-day until
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* remainingToday drops to LEG_COMPLETION_EPSILON or the leg cap is hit; extra-day and
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* strict-consistency (past day 1) accounts keep the legacy one-trade-per-day gate.
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*/
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// eslint-disable-next-line @typescript-eslint/no-explicit-any
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function evaluateAccountForTrade(client: any, acc: { id: number; name: string; active: boolean }, tradeDate: string): AccountEvaluation | null {
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const cfg = getAccountConfig(acc.id).accountType;
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if (!cfg) return null;
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const cash = client.accountCashBalances[acc.id] ?? { amount: 0, realizedPnL: 0 };
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const autoLiqThreshold = client.autoLiqThresholds[acc.id] ?? 0;
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// A combining firm records holiday sessions with the next full trading day,
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// so the plan and the already-traded gates below must see the whole stretch
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// as one day: Sunday's booked P&L folds into Tuesday's realized, and the
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// day target stays anchored to the combined (clearing) trade date. `cash`
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// itself stays raw — the commission delta in the fire path compares live
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// Tradovate values.
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const combined = combineCmeSessions(
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cfg.combineCmeHolidays, client.dailyPnL[acc.id] ?? [], tradeDate, cash.realizedPnL,
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);
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const dailyPnL = combined.dailyPnL;
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const daysTraded = combined.daysTraded;
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const base = { plan: null, isExtraDay: false, drain: false, cash, dailyPnL, daysTraded };
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if (isAccountDead(cash.amount, autoLiqThreshold)) return { ...base, eligible: false, reason: 'dead' };
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if (!acc.active) return { ...base, eligible: false, reason: 'inactive (DLL)' };
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if (client.positions[acc.id]) return { ...base, eligible: false, reason: 'already in trade' };
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// Obfuscation stops: a stop-out shows as realized P&L falling short of the
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// legs fired today — the day is booked; the make-back ride is tomorrow.
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// The plain negative-realized check is what survives a restart, when the
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// in-memory leg counter has forgotten the morning's stop-out.
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if (cfg.firstDayStop || cfg.minDayStop) {
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if (combined.realizedPnL <= -25) {
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return { ...base, eligible: false, reason: 'red day booked — make-back rides tomorrow' };
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}
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if (legsToday(acc.id, tradeDate) > 0
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&& combined.realizedPnL < legSumToday(acc.id, tradeDate) - 25) {
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return { ...base, eligible: false, reason: 'stopped out — day booked' };
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}
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}
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const priorProfit = client.priorProfit?.[acc.id] ?? 0;
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const allFundTxns = client.fundTransactions?.[acc.id] ?? [];
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const effective = resolveEffectiveConfig(
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cfg.profitTarget, cfg.consistency, cfg.minTradingDays, cfg.targetSameEquity, cfg.withdrawalStages, priorProfit, allFundTxns,
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cfg.minDayPnL
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);
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const equityProfit = cash.amount - cfg.accountSize;
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const plan = computeDayPlan(
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acc.id, combined.tradeDate, effective.profitTarget, effective.consistency,
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dailyPnL, effective.minDayPnL, effective.minTradingDays, equityProfit, combined.realizedPnL,
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cfg.splitEnabled, effective.drain
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);
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if (!plan) return { ...base, eligible: false, reason: 'invalid balance' };
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const totalProfit = dailyPnL.reduce((sum, d) => sum + d.pnl, 0);
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const isExtraDay = !effective.drain
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&& effective.minDayPnL <= 0
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&& effective.minTradingDays > daysTraded
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&& totalProfit >= effective.profitTarget;
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const evaluated = { plan, isExtraDay, drain: effective.drain, cash, dailyPnL, daysTraded };
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if (isExtraDay || !plan.splitAllowed) {
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// Legacy one-and-done gate: any realized PnL today means this account is
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// finished — for a combining account, "today" spans the holiday stretch.
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if (combined.realizedPnL !== 0) {
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return { ...evaluated, eligible: false, reason: `already traded today (realizedPnL=${combined.realizedPnL})` };
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}
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if (!isExtraDay && plan.remainingToday <= 0) {
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const reason = effective.drain && plan.dayTarget === 0
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? 'drain days booked — waiting for withdrawal'
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: `target=$${plan.dayTarget} (challenge complete)`;
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return { ...evaluated, eligible: false, reason };
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}
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} else {
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// Split-leg mode: keep trading until the day's remaining target is used up.
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// The epsilon only applies once a leg has completed, so tiny day-start targets still trade.
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const doneThreshold = combined.realizedPnL === 0 ? 0 : LEG_COMPLETION_EPSILON;
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if (plan.remainingToday <= doneThreshold) {
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const reason = combined.realizedPnL === 0
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? `target=$${plan.dayTarget} (challenge complete)`
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: `day done ($${plan.remainingToday} left of $${plan.dayTarget})`;
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return { ...evaluated, eligible: false, reason };
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}
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if (legsToday(acc.id, tradeDate) >= MAX_LEGS_PER_DAY) {
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return { ...evaluated, eligible: false, reason: `leg cap reached (${MAX_LEGS_PER_DAY} today)` };
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}
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}
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return { ...evaluated, eligible: true, reason: '' };
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}
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// ── helpers ───────────────────────────────────────────────────────────────────
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// Random 1–20 minute delay added to the session open, picked once per Central
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// calendar day. Re-rolling on every check would move the open boundary between
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// polls, letting a trade slip through a moment the next check would reject.
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const sessionOpenJitter = new Map<string, number>();
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function openJitterMinutes(centralDay: string): number {
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let jitter = sessionOpenJitter.get(centralDay);
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if (jitter === undefined) {
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jitter = 1 + Math.floor(Math.random() * 20); // 1–20 inclusive
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sessionOpenJitter.clear(); // only today's entry is ever needed
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sessionOpenJitter.set(centralDay, jitter);
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console.log(`[trading-hours] session open delayed ${jitter} min today`);
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}
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return jitter;
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}
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/** Today's session-open delay in minutes, for reporting to the master. */
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export function todaysSessionOpenDelay(): number {
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const centralDay = new Intl.DateTimeFormat('en-CA', {
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timeZone: 'America/Chicago',
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}).format(new Date());
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return openJitterMinutes(centralDay);
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}
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/**
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* Returns true when trading is not allowed based on the trading_hours setting.
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*
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* "full_cme" — Sun 5:05 PM – Fri 2:55 PM Central (5 min buffer on each side)
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* "equity_hours" — 8:35 AM – 2:55 PM Central, Mon–Fri (5 min buffer on each side)
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*
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* The open side of each window is pushed back by a random 1–20 minutes per day
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* (see openJitterMinutes) so sessions never start at the exact same time.
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*/
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function isInNoTradeWindow(): boolean {
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const now = new Date();
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const centralParts = new Intl.DateTimeFormat('en-US', {
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hour: 'numeric',
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minute: 'numeric',
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hour12: false,
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timeZone: 'America/Chicago',
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}).formatToParts(now);
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const hour = parseInt(centralParts.find((p) => p.type === 'hour')!.value, 10);
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const minute = parseInt(centralParts.find((p) => p.type === 'minute')!.value, 10);
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const day = new Intl.DateTimeFormat('en-US', {
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weekday: 'short',
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timeZone: 'America/Chicago',
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}).format(now); // "Sun", "Mon", ... "Sat"
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const timeMinutes = hour * 60 + minute; // minutes since midnight
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const jitter = todaysSessionOpenDelay();
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const mode = getSetting('trading_hours') ?? 'full_cme';
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if (mode === 'equity_hours') {
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// Equity hours: 8:30 AM – 3:00 PM Central with 5 min buffer = 8:35 AM – 2:55 PM
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// Weekdays only
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if (day === 'Sat' || day === 'Sun') return true;
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const open = 8 * 60 + 35 + jitter; // 8:35 AM + daily jitter
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const close = 14 * 60 + 55; // 2:55 PM
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return timeMinutes < open || timeMinutes >= close;
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}
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// Full CME: Sun 5:00 PM – Fri 4:00 PM Central with 5 min buffer
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// Open: 5:05 PM, Close: 2:55 PM (stop early), Daily halt: 2:55 PM – 5:05 PM
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// Saturday — market closed all day
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if (day === 'Sat') return true;
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// Sunday — market opens at 5:05 PM Central (+ daily jitter)
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const cmeOpen = 17 * 60 + 5 + jitter; // 5:05 PM + daily jitter
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if (day === 'Sun') return timeMinutes < cmeOpen;
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// Friday — stop trading at 2:55 PM Central
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const cmeClose = 14 * 60 + 55; // 2:55 PM
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if (day === 'Fri' && timeMinutes >= cmeClose) return true;
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// Mon–Thu: block 2:55 PM – 5:05 PM Central (early stop + daily halt + buffer)
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if (timeMinutes >= cmeClose && timeMinutes < cmeOpen) return true;
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return false;
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}
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// ── core trade logic ──────────────────────────────────────────────────────────
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export async function runTrade(action: 'Buy' | 'Sell' | 'Auto', symbol: string) {
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if (isInNoTradeWindow()) {
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console.log('[auto-trade] CME market closed — skipping');
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return [];
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}
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// Block if any account still has an open position (same gate as the scheduler tick)
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const allClients = getClients();
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const allFirms = getTradableFirms();
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const openPositions = allFirms.reduce((count, firm) => {
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const c = allClients.get(firm.id);
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if (!c) return count;
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return count + c.accountList.filter(acc => !!c.positions[acc.id]).length;
|
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}, 0);
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if (openPositions > 0) {
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console.log(`[auto-trade] ${openPositions} position(s) still open — skipping`);
|
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return [];
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}
|
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|
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// Resolve 'Auto' symbol once per batch so all accounts trade the same symbol
|
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let resolvedSymbol = symbol;
|
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if (symbol === 'Auto') {
|
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const enabled = getInstruments().filter((i) => i.enabled).map((i) => i.symbol);
|
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resolvedSymbol = enabled.length > 0 ? enabled[Math.floor(Math.random() * enabled.length)] : 'NQ';
|
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console.log(`[auto-trade] random symbol resolved to: ${resolvedSymbol}`);
|
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}
|
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// Resolve Auto action once per batch so all accounts trade the same direction
|
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const resolvedAction: 'Buy' | 'Sell' = action === 'Auto'
|
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? (Math.random() < 0.5 ? 'Buy' : 'Sell')
|
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: action;
|
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const pointValue = POINT_VALUES[resolvedSymbol];
|
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if (!pointValue) throw new Error(`Unknown symbol: ${resolvedSymbol}`);
|
||
|
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const tradeDate = currentTradeDateCT();
|
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const maxConcurrent = parseInt(getSetting('max_concurrent_accounts') ?? '5', 10);
|
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const firms = getTradableFirms();
|
||
const clients = getClients();
|
||
|
||
// ── Phase 1: collect ALL eligible accounts across ALL firms in parallel ──
|
||
type EligibleItem = {
|
||
firmName: string;
|
||
// eslint-disable-next-line @typescript-eslint/no-explicit-any
|
||
client: any;
|
||
acc: { id: number; name: string; active: boolean };
|
||
contract: { name: string; tickSize: number };
|
||
cash: { amount: number; realizedPnL: number };
|
||
dailyPnL: { date: string; pnl: number }[];
|
||
daysTraded: number;
|
||
plan: DayPlan;
|
||
isExtraDay: boolean;
|
||
drain: boolean;
|
||
prefix: string;
|
||
};
|
||
|
||
const allEligible: EligibleItem[] = [];
|
||
|
||
await Promise.all(firms.map(async (firm) => {
|
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const client = clients.get(firm.id);
|
||
if (!client || client.accountList.length === 0) return;
|
||
|
||
// Skip this firm entirely if the symbol is banned for it
|
||
if (firm.bannedSymbols.includes(resolvedSymbol)) {
|
||
console.log(`[auto-trade] ${firm.name}: ${resolvedSymbol} is banned — skipping firm`);
|
||
return;
|
||
}
|
||
|
||
|
||
const contract = await client.findFrontMonthContract(resolvedSymbol);
|
||
if (!contract) return;
|
||
|
||
for (const acc of client.accountList) {
|
||
const ev = evaluateAccountForTrade(client, acc, tradeDate);
|
||
if (!ev || !ev.eligible || !ev.plan) continue;
|
||
|
||
allEligible.push({
|
||
firmName: firm.name, client, acc, contract,
|
||
cash: ev.cash, dailyPnL: ev.dailyPnL, daysTraded: ev.daysTraded,
|
||
plan: ev.plan, isExtraDay: ev.isExtraDay, drain: ev.drain,
|
||
prefix: getAccountConfig(acc.id).accountType?.prefix ?? '',
|
||
});
|
||
}
|
||
}));
|
||
|
||
if (allEligible.length === 0) {
|
||
console.log('[auto-trade] no eligible accounts found');
|
||
return [];
|
||
}
|
||
|
||
// Take only the first batch — all fired simultaneously, no rolling pool.
|
||
// Remaining accounts wait for the next tick (which only fires once all positions are flat).
|
||
// Like accounts trade together: a batch is drawn from a single prefix group
|
||
// (largest group first), never mixed across prefixes — a group's remainder
|
||
// fires as a smaller batch on a later tick instead of being padded from
|
||
// another prefix. E.g. 4×FTDFY, 5×MFFUEV, 7×MFFUSF at limit 5 fires as
|
||
// batches of 5, 5, 4, 2.
|
||
const groups = new Map<string, EligibleItem[]>();
|
||
for (const item of allEligible) {
|
||
const group = groups.get(item.prefix);
|
||
if (group) group.push(item);
|
||
else groups.set(item.prefix, [item]);
|
||
}
|
||
const [batchPrefix, batchGroup] = [...groups.entries()]
|
||
.sort((a, b) => b[1].length - a[1].length || a[0].localeCompare(b[0]))[0];
|
||
const batch = batchGroup.slice(0, maxConcurrent);
|
||
console.log(`[auto-trade] ${allEligible.length} eligible account(s) across ${groups.size} prefix group(s) — firing batch of ${batch.length} ${batchPrefix || '(no prefix)'}`);
|
||
|
||
// ── Phase 2: fire the batch simultaneously ──
|
||
const tradeResults = await Promise.allSettled(batch.map(async (item) => {
|
||
const { client, acc, contract } = item;
|
||
const cfg = getAccountConfig(acc.id).accountType!;
|
||
|
||
// Extra-day mode: profit target already met, no min day P&L, days still needed.
|
||
// Just trade 1 MNQ in and out at market immediately — P&L doesn't matter.
|
||
if (item.isExtraDay) {
|
||
const mnqContract = await client.findFrontMonthContract('MNQ');
|
||
if (!mnqContract) throw new Error('MNQ contract not found for extra-day trade');
|
||
|
||
const fill = await client.sendOrder(acc.id, mnqContract.name, 1, resolvedAction, 'Market');
|
||
const exitAction: 'Buy' | 'Sell' = resolvedAction === 'Buy' ? 'Sell' : 'Buy';
|
||
const exitFill = await client.sendOrder(acc.id, mnqContract.name, 1, exitAction, 'Market');
|
||
|
||
console.log(`[auto-trade] ${acc.name} (${item.firmName}) extra-day: ${resolvedAction} 1xMNQ @ ${fill.price} | exited @ ${exitFill.price} (market)`);
|
||
|
||
return {
|
||
account: acc.name,
|
||
firm: item.firmName,
|
||
status: 'filled',
|
||
contracts: 1,
|
||
target: 0,
|
||
grossTarget: 0,
|
||
totalCommission: 0,
|
||
targetPath: 'extra_day',
|
||
entryPrice: fill.price,
|
||
exitPrice: exitFill.price,
|
||
commission: 0,
|
||
};
|
||
}
|
||
|
||
// Trade one leg toward today's remaining target. Split-allowed big days carve a
|
||
// ≥$500 piece; everything else trades the full remaining amount in one go. The
|
||
// carve fraction is seeded per (prefix, date, leg number) so like accounts in a
|
||
// batch split their targets the same way, or close to it when remainders differ.
|
||
// An account type's min-legs setting forces at least that many carves
|
||
// on BIG days only — a day at or below the threshold still trades as
|
||
// one leg. Set per prefix, so like accounts still split alike.
|
||
const minLegs = item.plan.dayTarget > BIG_DAY_THRESHOLD ? (cfg.minLegs ?? 0) : 0;
|
||
const legAmount = item.plan.splitAllowed
|
||
? pickLegAmount(
|
||
item.plan.remainingToday,
|
||
() => groupLegFraction(item.prefix, tradeDate, legsToday(acc.id, tradeDate)),
|
||
minLegs - legsToday(acc.id, tradeDate),
|
||
)
|
||
: item.plan.remainingToday;
|
||
recordLeg(acc.id, tradeDate, legAmount);
|
||
|
||
const inst = await legInstrument(client, item.drain, contract, pointValue);
|
||
const legContract = inst.contract;
|
||
const pv = inst.pointValue;
|
||
|
||
const rawContracts = Math.max(1, Math.ceil(legAmount / 1000));
|
||
const contracts = cfg.maxPositionSize > 0 ? Math.min(rawContracts, cfg.maxPositionSize) : rawContracts;
|
||
const fill = await client.sendOrder(acc.id, legContract.name, contracts, resolvedAction, 'Market');
|
||
|
||
// Wait briefly for the cash balance WebSocket update to reflect entry commission
|
||
await new Promise(r => setTimeout(r, 1000));
|
||
const updatedCash = client.accountCashBalances[acc.id] ?? { amount: 0, realizedPnL: 0 };
|
||
// After entry, realizedPnL drops by the entry commission; the delta from the
|
||
// pre-entry value is the entry fee paid (pre-entry may be nonzero mid-day).
|
||
// Fall back to $2.50/contract if the WS hasn't updated yet (guarantees at least 1 extra tick).
|
||
const entryCommission = Math.abs(updatedCash.realizedPnL - item.cash.realizedPnL) || (2.5 * contracts);
|
||
const totalCommission = entryCommission * 2; // entry + exit round-trip
|
||
const grossTarget = legAmount + totalCommission;
|
||
|
||
const targetPoints = grossTarget / (pv * contracts);
|
||
const ticks = Math.ceil(targetPoints / legContract.tickSize);
|
||
const exitPrice = resolvedAction === 'Buy'
|
||
? fill.price + (ticks * legContract.tickSize)
|
||
: fill.price - (ticks * legContract.tickSize);
|
||
|
||
const exitAction: 'Buy' | 'Sell' = resolvedAction === 'Buy' ? 'Sell' : 'Buy';
|
||
const stopDollars = obfuscationStopDollars(cfg, item.dailyPnL, item.plan, tradeDate, legAmount);
|
||
let exitOrder: { orderId?: number };
|
||
let stopPrice: number | null = null;
|
||
if (Number.isFinite(stopDollars) && stopDollars > 0) {
|
||
const stopTicks = Math.max(1, Math.ceil(stopDollars / (pv * contracts) / legContract.tickSize));
|
||
stopPrice = resolvedAction === 'Buy'
|
||
? fill.price - (stopTicks * legContract.tickSize)
|
||
: fill.price + (stopTicks * legContract.tickSize);
|
||
try {
|
||
exitOrder = await client.placeOcoExit(acc.id, legContract.name, contracts, exitAction, exitPrice, stopPrice);
|
||
} catch (err) {
|
||
// The position is already open — never leave it exit-less. Fall
|
||
// back to the classic lone limit and shout about it.
|
||
console.error(`[auto-trade] ${acc.name}: placeoco REJECTED (${err instanceof Error ? err.message : err}) — falling back to lone limit exit, NO STOP`);
|
||
stopPrice = null;
|
||
exitOrder = await client.placeOrderNoWait(acc.id, legContract.name, contracts, exitAction, 'Limit', exitPrice);
|
||
}
|
||
} else {
|
||
exitOrder = await client.placeOrderNoWait(acc.id, legContract.name, contracts, exitAction, 'Limit', exitPrice);
|
||
}
|
||
|
||
console.log(`[auto-trade] ${acc.name} (${item.firmName}) ${resolvedAction} ${contracts}x${item.drain ? legContract.name : resolvedSymbol} @ ${fill.price} | leg $${legAmount} of day $${item.plan.dayTarget} (remaining $${item.plan.remainingToday}) [${item.plan.path}${item.drain ? ' drain' : ''}] (+$${totalCommission.toFixed(2)} comm) | exit @ ${exitPrice}${stopPrice !== null ? ` / stop @ ${stopPrice}` : ''} (orderId=${exitOrder.orderId})`);
|
||
|
||
return {
|
||
account: acc.name,
|
||
firm: item.firmName,
|
||
status: 'filled',
|
||
contracts,
|
||
target: legAmount,
|
||
dayTarget: item.plan.dayTarget,
|
||
remainingBefore: item.plan.remainingToday,
|
||
grossTarget,
|
||
totalCommission,
|
||
targetPath: item.plan.path,
|
||
entryPrice: fill.price,
|
||
exitPrice,
|
||
commission: entryCommission,
|
||
};
|
||
}));
|
||
|
||
// Group results by firm for the response
|
||
const firmResultsMap = new Map<string, unknown[]>();
|
||
for (let i = 0; i < batch.length; i++) {
|
||
const firmName = batch[i].firmName;
|
||
if (!firmResultsMap.has(firmName)) firmResultsMap.set(firmName, []);
|
||
const r = tradeResults[i];
|
||
firmResultsMap.get(firmName)!.push(
|
||
r.status === 'fulfilled'
|
||
? r.value
|
||
: { status: 'error', reason: (r.reason as any)?.message ?? String(r.reason) }
|
||
);
|
||
}
|
||
|
||
return Array.from(firmResultsMap.entries()).map(([firm, results]) => ({ firm, results }));
|
||
}
|
||
|
||
// ── copy trade ───────────────────────────────────────────────────────────────
|
||
|
||
/**
|
||
* Copy the current trade direction to up to maxConcurrent accounts.
|
||
* Finds accounts with open positions, determines direction, then fires
|
||
* orders for eligible accounts that haven't traded yet.
|
||
*/
|
||
export async function copyTrade() {
|
||
console.log('[copy-trade] called');
|
||
if (isInNoTradeWindow()) {
|
||
console.log('[copy-trade] outside trading hours — skipping');
|
||
return [];
|
||
}
|
||
|
||
const firms = getTradableFirms();
|
||
const clients = getClients();
|
||
const maxConcurrent = Math.max(1, parseInt(getSetting('max_concurrent_accounts') ?? '5', 10));
|
||
|
||
// Find all accounts with open positions to determine direction + symbol
|
||
let resolvedAction: 'Buy' | 'Sell' | null = null;
|
||
// number on Tradovate, string on TopstepX — only ever compared against
|
||
// contracts from the same client, so the union stays coherent.
|
||
let positionContractId: number | string | null = null;
|
||
let positionedCount = 0;
|
||
// eslint-disable-next-line @typescript-eslint/no-explicit-any
|
||
let positionedClient: any = null;
|
||
const positionedPrefixes = new Set<string>();
|
||
|
||
for (const firm of firms) {
|
||
const client = clients.get(firm.id);
|
||
if (!client) continue;
|
||
for (const acc of client.accountList) {
|
||
const pos = client.positions[acc.id];
|
||
if (!pos) continue;
|
||
positionedCount++;
|
||
const prefix = getAccountConfig(acc.id).accountType?.prefix;
|
||
if (prefix) positionedPrefixes.add(prefix);
|
||
if (!resolvedAction) {
|
||
resolvedAction = pos.netPos > 0 ? 'Buy' : 'Sell';
|
||
positionContractId = pos.contractId;
|
||
positionedClient = client;
|
||
}
|
||
}
|
||
}
|
||
|
||
if (!resolvedAction || positionedCount === 0) {
|
||
console.log('[copy-trade] no open positions to copy from');
|
||
return [];
|
||
}
|
||
console.log(`[copy-trade] found ${positionedCount} open position(s), action=${resolvedAction}, contractId=${positionContractId}`);
|
||
|
||
// Resolve symbol from the positioned contract's contractId — only check the client that
|
||
// actually has the position. Iterating every firm × every symbol can take 30+ seconds.
|
||
let resolvedSymbol: string | null = null;
|
||
const instruments = getInstruments();
|
||
const enabledSymbols = instruments.filter(i => i.enabled).map(i => i.symbol);
|
||
|
||
if (positionedClient) {
|
||
for (const sym of enabledSymbols) {
|
||
const contract = await positionedClient.findFrontMonthContract(sym);
|
||
if (contract && contract.id === positionContractId) {
|
||
resolvedSymbol = sym;
|
||
break;
|
||
}
|
||
}
|
||
}
|
||
console.log(`[copy-trade] resolved symbol: ${resolvedSymbol ?? '(none, using fallback)'}`);
|
||
|
||
// Fall back to scheduler symbol or first enabled
|
||
if (!resolvedSymbol) {
|
||
const state = getState();
|
||
resolvedSymbol = state.symbol !== 'Auto' ? state.symbol : (enabledSymbols[0] ?? 'NQ');
|
||
}
|
||
|
||
const pointValue = POINT_VALUES[resolvedSymbol];
|
||
if (!pointValue) {
|
||
console.log(`[copy-trade] unknown symbol ${resolvedSymbol}`);
|
||
return [];
|
||
}
|
||
|
||
const slotsAvailable = maxConcurrent - positionedCount;
|
||
if (slotsAvailable <= 0) {
|
||
console.log(`[copy-trade] already at max concurrent (${positionedCount}/${maxConcurrent})`);
|
||
return [];
|
||
}
|
||
|
||
const tradeDate = currentTradeDateCT();
|
||
|
||
// Collect eligible accounts (same logic as Phase 1 of runTrade)
|
||
type CopyItem = {
|
||
firmName: string;
|
||
// eslint-disable-next-line @typescript-eslint/no-explicit-any
|
||
client: any;
|
||
acc: { id: number; name: string; active: boolean };
|
||
contract: { name: string; tickSize: number };
|
||
cash: { amount: number; realizedPnL: number };
|
||
dailyPnL: { date: string; pnl: number }[];
|
||
plan: DayPlan;
|
||
drain: boolean;
|
||
prefix: string;
|
||
};
|
||
const eligible: CopyItem[] = [];
|
||
|
||
await Promise.all(firms.map(async (firm) => {
|
||
const client = clients.get(firm.id);
|
||
if (!client || client.accountList.length === 0) {
|
||
console.log(`[copy-trade] ${firm.name}: no client or empty account list — skip firm`);
|
||
return;
|
||
}
|
||
if (firm.bannedSymbols.includes(resolvedSymbol!)) {
|
||
console.log(`[copy-trade] ${firm.name}: ${resolvedSymbol} is banned — skip firm`);
|
||
return;
|
||
}
|
||
|
||
const contract = await client.findFrontMonthContract(resolvedSymbol!);
|
||
if (!contract) {
|
||
console.log(`[copy-trade] ${firm.name}: cannot resolve front-month contract for ${resolvedSymbol} — skip firm`);
|
||
return;
|
||
}
|
||
|
||
for (const acc of client.accountList) {
|
||
const ev = evaluateAccountForTrade(client, acc, tradeDate);
|
||
if (!ev) { console.log(`[copy-trade] ${acc.name}: no matching config prefix — skip`); continue; }
|
||
if (!ev.eligible || !ev.plan) { console.log(`[copy-trade] ${acc.name}: ${ev.reason} — skip`); continue; }
|
||
// copyTrade has no extra-day branch — those accounts wait for the scheduler
|
||
if (ev.isExtraDay) { console.log(`[copy-trade] ${acc.name}: extra-day account — skip`); continue; }
|
||
|
||
eligible.push({
|
||
firmName: firm.name, client, acc, contract, cash: ev.cash, dailyPnL: ev.dailyPnL, plan: ev.plan,
|
||
drain: ev.drain,
|
||
prefix: getAccountConfig(acc.id).accountType?.prefix ?? '',
|
||
});
|
||
}
|
||
}));
|
||
|
||
// Fill the open slots with accounts whose prefix matches the already-positioned
|
||
// accounts before falling back to mismatched prefixes.
|
||
const matchesPositioned = (item: CopyItem) => positionedPrefixes.has(item.prefix);
|
||
const ordered = [...eligible.filter(matchesPositioned), ...eligible.filter((i) => !matchesPositioned(i))];
|
||
const batch = ordered.slice(0, slotsAvailable);
|
||
if (batch.length === 0) {
|
||
console.log('[copy-trade] no eligible accounts to copy to');
|
||
return [];
|
||
}
|
||
|
||
console.log(`[copy-trade] copying ${resolvedAction} ${resolvedSymbol} to ${batch.length} account(s)`);
|
||
|
||
// Fire orders (same as Phase 2 of runTrade)
|
||
const tradeResults = await Promise.allSettled(batch.map(async (item) => {
|
||
const { client, acc, contract } = item;
|
||
const cfg = getAccountConfig(acc.id).accountType!;
|
||
|
||
const minLegs = item.plan.dayTarget > BIG_DAY_THRESHOLD ? (cfg.minLegs ?? 0) : 0;
|
||
const legAmount = item.plan.splitAllowed
|
||
? pickLegAmount(
|
||
item.plan.remainingToday,
|
||
() => groupLegFraction(item.prefix, tradeDate, legsToday(acc.id, tradeDate)),
|
||
minLegs - legsToday(acc.id, tradeDate),
|
||
)
|
||
: item.plan.remainingToday;
|
||
recordLeg(acc.id, tradeDate, legAmount);
|
||
|
||
const inst = await legInstrument(client, item.drain, contract, pointValue);
|
||
const legContract = inst.contract;
|
||
const pv = inst.pointValue;
|
||
|
||
const rawContracts = Math.max(1, Math.ceil(legAmount / 1000));
|
||
const contracts = cfg.maxPositionSize > 0 ? Math.min(rawContracts, cfg.maxPositionSize) : rawContracts;
|
||
const fill = await client.sendOrder(acc.id, legContract.name, contracts, resolvedAction!, 'Market');
|
||
|
||
await new Promise(r => setTimeout(r, 1000));
|
||
const updatedCash = client.accountCashBalances[acc.id] ?? { amount: 0, realizedPnL: 0 };
|
||
const entryCommission = Math.abs(updatedCash.realizedPnL - item.cash.realizedPnL) || (2.5 * contracts);
|
||
const totalCommission = entryCommission * 2;
|
||
const grossTarget = legAmount + totalCommission;
|
||
|
||
const targetPoints = grossTarget / (pv * contracts);
|
||
const ticks = Math.ceil(targetPoints / legContract.tickSize);
|
||
const exitPrice = resolvedAction === 'Buy'
|
||
? fill.price + (ticks * legContract.tickSize)
|
||
: fill.price - (ticks * legContract.tickSize);
|
||
|
||
const exitAction: 'Buy' | 'Sell' = resolvedAction === 'Buy' ? 'Sell' : 'Buy';
|
||
const stopDollars = obfuscationStopDollars(cfg, item.dailyPnL, item.plan, tradeDate, legAmount);
|
||
let exitOrder: { orderId?: number };
|
||
let stopPrice: number | null = null;
|
||
if (Number.isFinite(stopDollars) && stopDollars > 0) {
|
||
const stopTicks = Math.max(1, Math.ceil(stopDollars / (pv * contracts) / legContract.tickSize));
|
||
stopPrice = resolvedAction === 'Buy'
|
||
? fill.price - (stopTicks * legContract.tickSize)
|
||
: fill.price + (stopTicks * legContract.tickSize);
|
||
try {
|
||
exitOrder = await client.placeOcoExit(acc.id, legContract.name, contracts, exitAction, exitPrice, stopPrice);
|
||
} catch (err) {
|
||
console.error(`[copy-trade] ${acc.name}: placeoco REJECTED (${err instanceof Error ? err.message : err}) — falling back to lone limit exit, NO STOP`);
|
||
stopPrice = null;
|
||
exitOrder = await client.placeOrderNoWait(acc.id, legContract.name, contracts, exitAction, 'Limit', exitPrice);
|
||
}
|
||
} else {
|
||
exitOrder = await client.placeOrderNoWait(acc.id, legContract.name, contracts, exitAction, 'Limit', exitPrice);
|
||
}
|
||
|
||
console.log(`[copy-trade] ${acc.name} (${item.firmName}) ${resolvedAction} ${contracts}x${item.drain ? legContract.name : resolvedSymbol} @ ${fill.price} | leg $${legAmount} of day $${item.plan.dayTarget} (remaining $${item.plan.remainingToday}) [${item.plan.path}${item.drain ? ' drain' : ''}] | exit @ ${exitPrice}${stopPrice !== null ? ` / stop @ ${stopPrice}` : ''} (orderId=${exitOrder.orderId})`);
|
||
|
||
return {
|
||
account: acc.name,
|
||
firm: item.firmName,
|
||
status: 'filled',
|
||
contracts,
|
||
target: legAmount,
|
||
dayTarget: item.plan.dayTarget,
|
||
remainingBefore: item.plan.remainingToday,
|
||
grossTarget,
|
||
totalCommission,
|
||
targetPath: item.plan.path,
|
||
entryPrice: fill.price,
|
||
exitPrice,
|
||
commission: entryCommission,
|
||
};
|
||
}));
|
||
|
||
const results: unknown[] = [];
|
||
for (let i = 0; i < batch.length; i++) {
|
||
const r = tradeResults[i];
|
||
results.push(
|
||
r.status === 'fulfilled'
|
||
? r.value
|
||
: { status: 'error', reason: (r.reason as any)?.message ?? String(r.reason) }
|
||
);
|
||
}
|
||
return results;
|
||
}
|
||
|
||
// ── eligibility check ────────────────────────────────────────────────────────
|
||
|
||
/** Returns true if any configured account could still trade today (eligible for a next leg / extra-day, or has an open position). */
|
||
function hasRemainingConfiguredAccounts(): boolean {
|
||
const firms = getTradableFirms();
|
||
const clients = getClients();
|
||
const tradeDate = currentTradeDateCT();
|
||
|
||
for (const firm of firms) {
|
||
const client = clients.get(firm.id);
|
||
if (!client || client.accountList.length === 0) continue;
|
||
|
||
for (const acc of client.accountList) {
|
||
const cfg = getAccountConfig(acc.id).accountType;
|
||
if (!cfg) continue; // no config = not our account
|
||
|
||
// Account with open position = still in play
|
||
if (client.positions[acc.id]) return true;
|
||
|
||
const ev = evaluateAccountForTrade(client, acc, tradeDate);
|
||
if (ev?.eligible) return true;
|
||
}
|
||
}
|
||
|
||
return false;
|
||
}
|
||
|
||
// ── scheduler ─────────────────────────────────────────────────────────────────
|
||
|
||
interface SchedulerState {
|
||
action: 'Buy' | 'Sell' | 'Auto';
|
||
symbol: string;
|
||
intervalId: ReturnType<typeof setInterval> | null;
|
||
lastRun: Date | null;
|
||
running: boolean;
|
||
stopAfterAll: boolean;
|
||
}
|
||
|
||
// Global singleton (survives HMR in dev via module cache)
|
||
const _global = globalThis as typeof globalThis & { __autoTrader?: SchedulerState };
|
||
|
||
function getState(): SchedulerState {
|
||
if (!_global.__autoTrader) {
|
||
_global.__autoTrader = { action: 'Buy', symbol: 'NQ', intervalId: null, lastRun: null, running: false, stopAfterAll: false };
|
||
}
|
||
return _global.__autoTrader;
|
||
}
|
||
|
||
export function startScheduler(action: 'Buy' | 'Sell' | 'Auto', symbol: string, stopAfterAll: boolean = false) {
|
||
const state = getState();
|
||
|
||
// Clear any existing interval
|
||
if (state.intervalId !== null) {
|
||
clearInterval(state.intervalId);
|
||
}
|
||
|
||
state.action = action;
|
||
state.symbol = symbol;
|
||
state.running = true;
|
||
state.stopAfterAll = stopAfterAll;
|
||
|
||
// Mirror to the settings table so a restart can pick the schedule back up.
|
||
// The interval itself is in-memory only; resumeSchedulerIfPersisted() recreates it.
|
||
setSetting('scheduler_running', '1');
|
||
setSetting('scheduler_action', action);
|
||
setSetting('scheduler_symbol', symbol);
|
||
setSetting('scheduler_stop_after_all', stopAfterAll ? '1' : '0');
|
||
|
||
const tick = async () => {
|
||
if (!state.running) return;
|
||
state.lastRun = new Date();
|
||
|
||
// Skip this tick until every client has completed its initial sync (positions are populated)
|
||
const clients = getClients();
|
||
const firms = getTradableFirms();
|
||
const notReady = firms.filter(f => {
|
||
const c = clients.get(f.id);
|
||
return c && !c.syncComplete;
|
||
});
|
||
if (notReady.length > 0) {
|
||
console.log(`[scheduler] waiting for sync: ${notReady.map(f => f.name).join(', ')}`);
|
||
return;
|
||
}
|
||
|
||
// Skip this tick if any account still has an open position from the previous batch
|
||
const openPositions = firms.reduce((count, firm) => {
|
||
const client = clients.get(firm.id);
|
||
if (!client) return count;
|
||
return count + client.accountList.filter(acc => !!client.positions[acc.id]).length;
|
||
}, 0);
|
||
if (openPositions > 0) {
|
||
console.log(`[scheduler] ${openPositions} position(s) still open — skipping tick`);
|
||
return;
|
||
}
|
||
|
||
try {
|
||
const results = await runTrade(state.action, state.symbol);
|
||
const filled = results.flatMap((r: any) => r.results ?? []).filter((r: any) => r.status === 'filled').length;
|
||
if (filled > 0) console.log(`[scheduler] tick: ${filled} account(s) filled`);
|
||
|
||
// Auto-stop if user opted in and no configured accounts can trade anymore
|
||
if (state.stopAfterAll && !hasRemainingConfiguredAccounts()) {
|
||
console.log('[scheduler] all configured accounts done for today — stopping');
|
||
stopScheduler();
|
||
}
|
||
} catch (err) {
|
||
console.error('[scheduler] tick error:', err);
|
||
}
|
||
};
|
||
|
||
const intervalSecs = Math.max(5, parseInt(getSetting('tick_interval_seconds') ?? '60', 10));
|
||
state.intervalId = setInterval(tick, intervalSecs * 1_000);
|
||
console.log(`[scheduler] started — ${action} ${symbol} every ${intervalSecs}s`);
|
||
}
|
||
|
||
export function stopScheduler() {
|
||
const state = getState();
|
||
if (state.intervalId !== null) {
|
||
clearInterval(state.intervalId);
|
||
state.intervalId = null;
|
||
}
|
||
state.running = false;
|
||
setSetting('scheduler_running', '0');
|
||
console.log('[scheduler] stopped');
|
||
}
|
||
|
||
/**
|
||
* Restart the schedule that was running before the process went down.
|
||
*
|
||
* No sync-wait here on purpose: tick() already skips while any client reports
|
||
* !syncComplete, and again while any account holds an open position. So the
|
||
* worst case is a few logged no-op ticks until the clients finish syncing.
|
||
*/
|
||
export function resumeSchedulerIfPersisted(): void {
|
||
if (getSetting('scheduler_running') !== '1') return;
|
||
|
||
const action = (getSetting('scheduler_action') ?? 'Buy') as 'Buy' | 'Sell' | 'Auto';
|
||
const symbol = getSetting('scheduler_symbol') ?? 'NQ';
|
||
const stopAfterAll = getSetting('scheduler_stop_after_all') === '1';
|
||
|
||
console.log(`[scheduler] resuming persisted schedule — ${action} ${symbol}`);
|
||
startScheduler(action, symbol, stopAfterAll);
|
||
}
|
||
|
||
export function getSchedulerStatus() {
|
||
const state = getState();
|
||
return {
|
||
running: state.running,
|
||
action: state.action,
|
||
symbol: state.symbol,
|
||
lastRun: state.lastRun,
|
||
intervalSeconds: parseInt(getSetting('tick_interval_seconds') ?? '60', 10),
|
||
stopAfterAll: state.stopAfterAll,
|
||
sessionOpenDelayMin: todaysSessionOpenDelay(),
|
||
};
|
||
}
|