SenofyandClaude Sonnet 4.6
570a54fe60
- Replace fill/ldeps and fill/list approaches with Tradovate reports API - Add bearer auth to getreport polling (root cause of prior 404s) - Use endDate = tomorrow to ensure current-session fills are included - Count all traded days when minDayPnL is 0, otherwise count days >= minDayPnL - Add PATCH /api/debug endpoint for proxying raw Tradovate API calls Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
345 lines
14 KiB
TypeScript
345 lines
14 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 { getFirms } from './db';
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import { getClients } from './clients';
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import { computeDailyTarget, POINT_VALUES } from './trading-logic';
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import { getSetting } from './db';
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import type { FirmConfig, AccountConfig } from '@/types';
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import type { FirmWithAccounts } from './db';
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// ── helpers ──────────────────────────────────────────────────────────────────
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function isAccountDead(amount: number, autoLiqThreshold: number): boolean {
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return autoLiqThreshold > 0 && amount <= autoLiqThreshold;
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}
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function getAccountConfig(name: string, firm: FirmConfig): AccountConfig | undefined {
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return [...firm.accounts]
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.sort((a, b) => b.prefix.length - a.prefix.length)
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.find((a) => name.startsWith(a.prefix));
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}
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/** Map DB row (snake_case) → FirmConfig (camelCase) to fix field-name mismatch. */
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function mapFirmConfig(firm: FirmWithAccounts): FirmConfig {
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return {
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id: firm.id,
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firm: firm.name,
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username: firm.username,
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password: firm.password,
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accounts: firm.accounts.map((a) => ({
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prefix: a.prefix,
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profitTarget: a.profit_target,
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consistency: a.consistency,
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minDayPnL: a.min_day_pnl,
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minTradingDays: a.min_trading_days,
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accountSize: a.account_size,
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maxLoss: a.max_loss,
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maxPositionSize: a.max_position_size,
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})),
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};
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}
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// ── helpers ───────────────────────────────────────────────────────────────────
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/** Returns true during the 3:00 PM – 4:59 PM Central no-trade window. */
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function isInNoTradeWindow(): boolean {
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const hour = parseInt(
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new Intl.DateTimeFormat('en-US', {
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hour: 'numeric',
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hour12: false,
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timeZone: 'America/Chicago',
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}).format(new Date()),
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10
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);
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return hour >= 15 && hour < 17;
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}
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// ── core trade logic ──────────────────────────────────────────────────────────
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export async function runTrade(action: 'Buy' | 'Sell', symbol: string) {
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if (isInNoTradeWindow()) {
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console.log('[auto-trade] no-trade window active (3–5 PM Central) — skipping');
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return [];
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}
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const pointValue = POINT_VALUES[symbol];
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if (!pointValue) throw new Error(`Unknown symbol: ${symbol}`);
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const maxConcurrent = parseInt(getSetting('max_concurrent_accounts') ?? '5', 10);
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const firms = getFirms();
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const clients = getClients();
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// ── Phase 1: collect ALL eligible accounts across ALL firms in parallel ──
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type EligibleItem = {
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firmName: string;
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// eslint-disable-next-line @typescript-eslint/no-explicit-any
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client: any;
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acc: { id: number; name: string; active: boolean };
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contract: { name: string; tickSize: number };
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firmConfig: FirmConfig;
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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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const allEligible: EligibleItem[] = [];
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await Promise.all(firms.map(async (firm) => {
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const client = clients.get(firm.id);
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if (!client || client.accountList.length === 0) return;
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const firmConfig = mapFirmConfig(firm);
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const contract = await client.findFrontMonthContract(symbol);
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if (!contract) return;
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for (const acc of client.accountList) {
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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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const dailyPnL: { date: string; pnl: number }[] = client.dailyPnL[acc.id] ?? [];
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const daysTraded: number = client.daysTraded[acc.id] ?? 0;
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if (isAccountDead(cash.amount, autoLiqThreshold)) continue;
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if (!acc.active) continue;
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if (client.positions[acc.id]) continue;
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const cfg = getAccountConfig(acc.name, firmConfig);
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if (!cfg) continue;
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const totalProfit = dailyPnL.reduce((sum, d) => sum + d.pnl, 0);
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// Only trade accounts that haven't traded yet today
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if (cash.realizedPnL !== 0) continue;
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// Use the same target formula as the dashboard — skip if $0 (challenge complete)
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const target = computeDailyTarget(cfg.profitTarget, cfg.consistency, totalProfit, dailyPnL, cfg.minDayPnL, cfg.minTradingDays);
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// Allow through if it's an MNQ extra-day trade: no min day P&L, profit done, days still needed
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const isMnqExtraDay = cfg.minDayPnL <= 0
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&& cfg.minTradingDays > daysTraded
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&& totalProfit >= cfg.profitTarget;
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if (target.amount <= 0 && !isMnqExtraDay) continue;
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allEligible.push({ firmName: firm.name, client, acc, contract, firmConfig, cash, dailyPnL, daysTraded });
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}
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}));
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if (allEligible.length === 0) {
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console.log('[auto-trade] no eligible accounts found');
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return [];
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}
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// Take only the first batch — all fired simultaneously, no rolling pool.
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// Remaining accounts wait for the next tick (which only fires once all positions are flat).
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const batch = allEligible.slice(0, maxConcurrent);
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console.log(`[auto-trade] ${allEligible.length} eligible account(s) — firing batch of ${batch.length}`);
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// ── Phase 2: fire the batch simultaneously ──
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const tradeResults = await Promise.allSettled(batch.map(async (item) => {
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const { client, acc, contract, firmConfig, dailyPnL, daysTraded } = item;
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const cfg = getAccountConfig(acc.name, firmConfig)!;
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const totalProfit = dailyPnL.reduce((sum, d) => sum + d.pnl, 0);
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// Extra-day mode: profit target already met, no min day P&L, days still needed.
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// Just trade 1 MNQ in and out at market immediately — P&L doesn't matter.
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const isExtraDay = cfg.minDayPnL <= 0
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&& cfg.minTradingDays > daysTraded
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&& totalProfit >= cfg.profitTarget;
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if (isExtraDay) {
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const mnqContract = await client.findFrontMonthContract('MNQ');
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if (!mnqContract) throw new Error('MNQ contract not found for extra-day trade');
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const fill = await client.sendOrder(acc.id, mnqContract.name, 1, action, 'Market');
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const exitAction: 'Buy' | 'Sell' = action === 'Buy' ? 'Sell' : 'Buy';
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const exitFill = await client.sendOrder(acc.id, mnqContract.name, 1, exitAction, 'Market');
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// Refresh daily P&L immediately after the extra-day round-trip completes
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client.fetchDaysTraded().catch((err) =>
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console.error('[auto-trade] post-fill fetchDaysTraded error:', err)
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);
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console.log(`[auto-trade] ${acc.name} (${item.firmName}) extra-day: ${action} 1xMNQ @ ${fill.price} | exited @ ${exitFill.price} (market)`);
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return {
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account: acc.name,
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firm: item.firmName,
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status: 'filled',
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contracts: 1,
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target: 0,
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grossTarget: 0,
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totalCommission: 0,
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targetPath: 'extra_day',
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entryPrice: fill.price,
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exitPrice: exitFill.price,
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commission: 0,
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};
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}
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const target = computeDailyTarget(cfg.profitTarget, cfg.consistency, totalProfit, dailyPnL, cfg.minDayPnL, cfg.minTradingDays);
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const rawContracts = Math.max(1, Math.ceil(target.amount / 1000));
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const contracts = cfg.maxPositionSize > 0 ? Math.min(rawContracts, cfg.maxPositionSize) : rawContracts;
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const fill = await client.sendOrder(acc.id, contract.name, contracts, action, 'Market');
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// Wait briefly for the cash balance WebSocket update to reflect entry commission
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await new Promise(r => setTimeout(r, 1000));
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const updatedCash = client.accountCashBalances[acc.id] ?? { amount: 0, realizedPnL: 0 };
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// After entry, realizedPnL = -entryCommission (was 0 before), so abs = entry fee paid.
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// Fall back to $2.50/contract if the WS hasn't updated yet (guarantees at least 1 extra tick).
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const entryCommission = Math.abs(updatedCash.realizedPnL) || (2.5 * contracts);
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const totalCommission = entryCommission * 2; // entry + exit round-trip
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const grossTarget = target.amount + totalCommission;
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const targetPoints = grossTarget / (pointValue * contracts);
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const ticks = Math.ceil(targetPoints / contract.tickSize);
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const exitPrice = action === 'Buy'
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? fill.price + (ticks * contract.tickSize)
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: fill.price - (ticks * contract.tickSize);
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const exitAction: 'Buy' | 'Sell' = action === 'Buy' ? 'Sell' : 'Buy';
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const exitOrder = await client.placeOrderNoWait(acc.id, contract.name, contracts, exitAction, 'Limit', exitPrice);
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// Refresh daily P&L as soon as the exit limit order fills
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if (exitOrder.orderId != null) {
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client.onFill(exitOrder.orderId, () => {
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client.fetchDaysTraded().catch((err) =>
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console.error('[auto-trade] post-fill fetchDaysTraded error:', err)
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);
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});
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}
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console.log(`[auto-trade] ${acc.name} (${item.firmName}) ${action} ${contracts}x${symbol} @ ${fill.price} | target $${target.amount} [${target.path}] (+$${totalCommission.toFixed(2)} comm) | exit @ ${exitPrice} (orderId=${exitOrder.orderId})`);
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return {
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account: acc.name,
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firm: item.firmName,
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status: 'filled',
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contracts,
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target: target.amount,
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grossTarget,
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totalCommission,
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targetPath: target.path,
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entryPrice: fill.price,
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exitPrice,
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commission: entryCommission,
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};
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}));
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// Group results by firm for the response
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const firmResultsMap = new Map<string, unknown[]>();
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for (let i = 0; i < batch.length; i++) {
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const firmName = batch[i].firmName;
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if (!firmResultsMap.has(firmName)) firmResultsMap.set(firmName, []);
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const r = tradeResults[i];
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firmResultsMap.get(firmName)!.push(
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r.status === 'fulfilled'
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? r.value
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: { status: 'error', reason: (r.reason as any)?.message ?? String(r.reason) }
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);
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}
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return Array.from(firmResultsMap.entries()).map(([firm, results]) => ({ firm, results }));
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}
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// ── scheduler ─────────────────────────────────────────────────────────────────
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interface SchedulerState {
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action: 'Buy' | 'Sell';
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symbol: string;
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intervalId: ReturnType<typeof setInterval> | null;
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lastRun: Date | null;
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running: boolean;
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}
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// Global singleton (survives HMR in dev via module cache)
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const _global = globalThis as typeof globalThis & { __autoTrader?: SchedulerState };
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function getState(): SchedulerState {
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if (!_global.__autoTrader) {
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_global.__autoTrader = { action: 'Buy', symbol: 'NQ', intervalId: null, lastRun: null, running: false };
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}
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return _global.__autoTrader;
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}
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export function startScheduler(action: 'Buy' | 'Sell', symbol: string) {
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const state = getState();
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// Clear any existing interval
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if (state.intervalId !== null) {
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clearInterval(state.intervalId);
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}
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state.action = action;
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state.symbol = symbol;
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state.running = true;
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const tick = async () => {
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if (!state.running) return;
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state.lastRun = new Date();
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// Skip this tick until every client has completed its initial sync (positions are populated)
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const clients = getClients();
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const firms = getFirms();
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const notReady = firms.filter(f => {
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const c = clients.get(f.id);
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return c && !c.syncComplete;
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});
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if (notReady.length > 0) {
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console.log(`[scheduler] waiting for sync: ${notReady.map(f => f.name).join(', ')}`);
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return;
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}
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// Skip this tick if any account still has an open position from the previous batch
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const openPositions = firms.reduce((count, firm) => {
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const client = clients.get(firm.id);
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if (!client) return count;
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return count + client.accountList.filter(acc => !!client.positions[acc.id]).length;
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}, 0);
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if (openPositions > 0) {
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console.log(`[scheduler] ${openPositions} position(s) still open — skipping tick`);
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return;
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}
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try {
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const results = await runTrade(state.action, state.symbol);
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const filled = results.flatMap((r: any) => r.results ?? []).filter((r: any) => r.status === 'filled').length;
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if (filled > 0) console.log(`[scheduler] tick: ${filled} account(s) filled`);
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} catch (err) {
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console.error('[scheduler] tick error:', err);
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}
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};
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state.intervalId = setInterval(tick, 60_000);
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console.log(`[scheduler] started — ${action} ${symbol} every 60s`);
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}
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export function stopScheduler() {
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const state = getState();
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if (state.intervalId !== null) {
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clearInterval(state.intervalId);
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state.intervalId = null;
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}
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state.running = false;
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console.log('[scheduler] stopped');
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}
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export function getSchedulerStatus() {
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const state = getState();
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return {
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running: state.running,
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action: state.action,
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symbol: state.symbol,
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lastRun: state.lastRun,
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};
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}
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