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>
1033 lines
49 KiB
TypeScript
1033 lines
49 KiB
TypeScript
/**
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* TopstepX (ProjectX Gateway) client — the TopstepX twin of TradovateClient.
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*
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* REST: https://api.topstepx.com (auth via API key at POST /api/Auth/loginKey,
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* 24h session token, refreshed through POST /api/Auth/validate).
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* Realtime: SignalR user hub at https://rtc.topstepx.com/hubs/user, which
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* pushes account balances, orders, positions and trades — the analogue of
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* Tradovate's user-sync WebSocket.
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*
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* Differences from Tradovate that shape this file:
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* - There is no cash-history / fund-transaction report. Daily P&L comes from
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* POST /api/Trade/search (each half-turn carries fees; closing halves carry
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* profitAndLoss), grouped into Central-time trade dates with the same 5 PM
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* roll Tradovate uses. Deposits/withdrawals are invisible to the API, so
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* fund transactions only ever come from whatever the local DB already holds.
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* - There is no OCO order. placeOcoExit places the limit and stop separately
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* and cancels the sibling the moment one fills (order events, plus a safety
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* poll) — see the `ocoPairs` machinery.
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* - There is no auto-liquidation profile to read, so autoLiqThresholds stays
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* all zeros; a blown account shows up as canTrade=false → active=false.
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*/
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import axios from 'axios';
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import * as signalR from '@microsoft/signalr';
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import { currentTradeDateCT } from './trading-logic';
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import { getCachedContract } from './contract-resolver';
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import { saveDailyPnL, loadDailyPnL, loadAccountMeta, saveAccountMeta, loadFundTransactions, saveFundTransactions } from './db';
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import { getAccountConfig } from './account-type-resolver';
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import type { PlatformClient, PlatformAccount, PlatformContract } from './platform-client';
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const API_BASE = 'https://api.topstepx.com';
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const USER_HUB = 'https://rtc.topstepx.com/hubs/user';
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interface TsxContract {
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id: string;
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name: string;
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description: string;
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tickSize: number;
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tickValue: number;
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activeContract: boolean;
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symbolId: string;
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}
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interface TsxTrade {
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id: number;
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accountId: number;
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contractId: string;
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creationTimestamp: string;
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price: number;
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profitAndLoss: number | null; // null = half-turn (entry only)
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fees: number;
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side: number; // 0 = Bid/Buy, 1 = Ask/Sell
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size: number;
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voided: boolean;
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orderId: number;
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}
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/** OrderStatus: 1 Open, 2 Filled, 3 Cancelled, 4 Expired, 5 Rejected, 6 Pending */
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const ORDER_FILLED = 2;
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const ORDER_GONE = new Set([3, 4, 5]);
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const SIDE_BUY = 0;
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const SIDE_SELL = 1;
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const TYPE_LIMIT = 1;
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const TYPE_MARKET = 2;
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const TYPE_STOP = 4;
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export class TopstepXClient implements PlatformClient {
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private name: string;
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private apiKey: string;
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private token: string | null = null;
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public accountList: PlatformAccount[] = [];
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public accountCashBalances: { [accountId: number]: { amount: number; realizedPnL: number } } = {};
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public positions: {
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[accountId: number]: { contractId: string; netPos: number; netPrice: number; timestamp: Date };
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} = {};
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public daysTraded: { [accountId: number]: number } = {};
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public dailyPnL: { [accountId: number]: { date: string; pnl: number }[] } = {};
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public fullDailyPnL: { [accountId: number]: { date: string; pnl: number }[] } = {};
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public lastFundDates: { [accountId: number]: string | null } = {};
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public fundTransactions: { [accountId: number]: { date: string; amount: number }[] } = {};
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public priorProfit: { [accountId: number]: number } = {};
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public autoLiqThresholds: { [accountId: number]: number } = {};
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public fetchDaysComplete = false;
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public syncComplete = false;
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public lastFetchErrors: Record<string, string> = {};
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public lastFetchRaw: Record<string, string> = {};
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public recentEntityEvents: { entityType: string; eventType: string; entity: unknown; ts: number }[] = [];
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/** Tradovate-only concept; empty keeps fee lookups a clean no-op. */
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public products: { id: number; name: string }[] = [];
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private callbackOnSyncRequest: () => Promise<void>;
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private hub: signalR.HubConnection | null = null;
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private subscribedAccountIds = new Set<number>();
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private syncInterval: ReturnType<typeof setInterval> | null = null;
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private tokenRenewalInterval: ReturnType<typeof setInterval> | null = null;
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private ocoPollInterval: ReturnType<typeof setInterval> | null = null;
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private loginRetryTimer: ReturnType<typeof setTimeout> | null = null;
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private intentionalDisconnect = false;
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private syncInFlight = false;
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/** Same hourly-with-retry throttle the Tradovate client uses for reports. */
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private daysFetchInFlight = false;
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private lastDaysFetchStartedAt = 0;
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private lastDaysFetchSucceededAt = 0;
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private nextDaysFetchRetryAt = 0;
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/** Trades seen for the current CT trade date, per account — realizedPnL is
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* recomputed from these on every REST sync and every live trade event. */
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private todayTrades: { [accountId: number]: Map<number, TsxTrade> } = {};
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/** Reported fees per trade date, per account — weights for spreading the
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* off-book fee drift when reconstructing the MLL floor. */
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private dailyFees: { [accountId: number]: Map<string, number> } = {};
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/** Front-month contract per product symbol, plus name→contract for order
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* placement (sendOrder receives the contract NAME, e.g. "NQZ5"). */
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private contractByProduct = new Map<string, { contract: TsxContract; resolvedAt: number }>();
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private contractByName = new Map<string, TsxContract>();
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private static CONTRACT_TTL_MS = 30 * 60 * 1000;
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/** Fill waiters keyed by orderId — resolved by GatewayUserTrade events. */
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private fillWaiters: { orderId: number; callback: (trade: TsxTrade) => void }[] = [];
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/** Emulated OCO exit pairs: when one leg fills, cancel the other. */
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private ocoPairs: { accountId: number; limitId: number; stopId: number; done: boolean; placedAt: number }[] = [];
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constructor(name: string, apiKey: string, callbackOnSyncRequest: () => Promise<void>) {
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this.name = name;
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this.apiKey = apiKey;
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this.callbackOnSyncRequest = callbackOnSyncRequest;
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this.connectAndAuth();
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}
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// ── auth ─────────────────────────────────────────────────────────────────
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private authHeaders() {
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return { Authorization: `Bearer ${this.token}` };
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}
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private async post<T>(path: string, body: unknown): Promise<T> {
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const res = await axios.post(`${API_BASE}${path}`, body, { headers: this.authHeaders() });
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const data = res.data as T & { success?: boolean; errorMessage?: string | null; errorCode?: number };
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if (data && data.success === false) {
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throw new Error(`${path} failed: ${data.errorMessage ?? `errorCode=${data.errorCode}`}`);
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}
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return data;
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}
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private connectAndAuth(): void {
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if (this.intentionalDisconnect) return;
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if (!this.name) {
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// loginKey requires the platform username the key was generated for.
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// The key alone is storable (per the credential form), but nothing
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// can be traded until the username arrives — say so loudly, once.
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this.lastFetchErrors['login'] =
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'TopstepX username missing — the API key alone cannot log in. Add the username on the dashboard.';
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console.error(`[topstepx] ${this.lastFetchErrors['login']}`);
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return;
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}
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this.login()
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.then(async (token) => {
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this.token = token;
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console.log(`[topstepx] logged in as ${this.name}`);
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delete this.lastFetchErrors['login'];
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// Session tokens live 24h; re-validate every hour to stay fresh.
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if (this.tokenRenewalInterval) clearInterval(this.tokenRenewalInterval);
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this.tokenRenewalInterval = setInterval(() => void this.renewToken(), 60 * 60 * 1000);
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if (this.syncInterval) { clearInterval(this.syncInterval); this.syncInterval = null; }
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this.syncComplete = false;
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// Hub failure must never read as a login failure: REST polling
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// carries every feature (slower), and subscribeAll retries the
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// hub on each sync tick.
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try {
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await this.startHub();
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} catch (err) {
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console.error('[topstepx] hub setup failed — running on REST polling only', err instanceof Error ? err.message : err);
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}
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await this.requestSync();
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this.syncInterval = setInterval(() => void this.requestSync(), 60_000);
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})
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.catch((err) => {
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const msg = err instanceof Error ? err.message : String(err);
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this.lastFetchErrors['login'] = msg;
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console.error(`[topstepx] login failed for ${this.name}: ${msg} — retrying in 60s`);
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if (this.loginRetryTimer) clearTimeout(this.loginRetryTimer);
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this.loginRetryTimer = setTimeout(() => this.connectAndAuth(), 60_000);
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});
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}
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/** LoginErrorCode names from the gateway swagger — the API itself sends
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* only the number with a null message. */
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private static LOGIN_ERRORS: Record<number, string> = {
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1: 'UserNotFound',
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2: 'PasswordVerificationFailed',
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3: 'InvalidCredentials — check that the username is the TopstepX platform username the API key was generated for (not an email)',
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4: 'AppNotFound',
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5: 'AppVerificationFailed',
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6: 'InvalidDevice',
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7: 'AgreementsNotSigned — sign the API agreements in the TopstepX platform',
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8: 'UnknownError',
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9: 'ApiSubscriptionNotFound — the account has no API subscription',
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10: 'ApiKeyAuthenticationDisabled',
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};
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private async login(): Promise<string> {
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const res = await axios.post(`${API_BASE}/api/Auth/loginKey`, {
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userName: this.name,
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apiKey: this.apiKey,
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});
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const data = res.data as { token?: string; success: boolean; errorCode: number; errorMessage: string | null };
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if (!data.success || !data.token) {
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const detail = TopstepXClient.LOGIN_ERRORS[data.errorCode] ?? `errorCode=${data.errorCode}`;
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throw new Error(data.errorMessage ?? `loginKey failed: ${detail}`);
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}
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return data.token;
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}
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private async renewToken(): Promise<void> {
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try {
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const res = await axios.post(`${API_BASE}/api/Auth/validate`, {}, { headers: this.authHeaders() });
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const data = res.data as { success: boolean; newToken?: string };
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if (data.success && data.newToken) {
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this.token = data.newToken;
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console.log('[topstepx] session token renewed');
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} else if (!data.success) {
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console.warn('[topstepx] token validate failed — re-authenticating');
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this.connectAndAuth();
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}
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} catch (err) {
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console.error('[topstepx] token renewal error — re-authenticating', err);
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this.connectAndAuth();
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}
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}
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// ── realtime hub ─────────────────────────────────────────────────────────
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private async startHub(): Promise<void> {
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if (this.hub) {
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try { await this.hub.stop(); } catch { /* ignore */ }
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this.hub = null;
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}
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this.subscribedAccountIds.clear();
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// signalr's Node path does an unconditional dynamic require('ws') /
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// require('eventsource') when constructing the connection — bundled
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// builds throw "dynamic usage of require is not supported" on it, so
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// the package is listed in next.config serverExternalPackages and any
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// residual failure here is caught by the caller (REST polling covers
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// everything the hub does, just slower).
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const hub = new signalR.HubConnectionBuilder()
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.withUrl(USER_HUB, {
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skipNegotiation: true,
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transport: signalR.HttpTransportType.WebSockets,
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accessTokenFactory: () => this.token ?? '',
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})
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.withAutomaticReconnect()
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.configureLogging(signalR.LogLevel.Warning)
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.build();
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// eslint-disable-next-line @typescript-eslint/no-explicit-any
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const unwrap = (raw: unknown): Record<string, any> => {
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// eslint-disable-next-line @typescript-eslint/no-explicit-any
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const r = raw as Record<string, any>;
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return (r && typeof r === 'object' && 'data' in r && typeof r.data === 'object') ? r.data : r;
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};
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hub.on('GatewayUserAccount', (raw: unknown) => {
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const acc = unwrap(raw);
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if (typeof acc?.id !== 'number') return;
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this.bufferEvent('account', acc);
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const existing = this.accountCashBalances[acc.id];
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if (typeof acc.balance === 'number') {
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this.accountCashBalances[acc.id] = {
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amount: acc.balance,
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realizedPnL: existing?.realizedPnL ?? 0,
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};
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}
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if (typeof acc.canTrade === 'boolean') {
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this.accountList = this.accountList.map((a) =>
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a.id === acc.id ? { ...a, active: acc.canTrade } : a);
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}
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});
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hub.on('GatewayUserPosition', (raw: unknown) => {
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const pos = unwrap(raw);
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if (typeof pos?.accountId !== 'number') return;
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this.bufferEvent('position', pos);
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this.applyPosition(pos as { accountId: number; contractId: string; type: number; size: number; averagePrice: number; creationTimestamp?: string });
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});
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hub.on('GatewayUserTrade', (raw: unknown) => {
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const trade = unwrap(raw) as unknown as TsxTrade;
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if (typeof trade?.accountId !== 'number') return;
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this.bufferEvent('trade', trade);
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this.recordTodayTrade(trade);
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// Wake anything waiting on this order's fill.
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const waiters = this.fillWaiters.filter((w) => w.orderId === trade.orderId);
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this.fillWaiters = this.fillWaiters.filter((w) => w.orderId !== trade.orderId);
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for (const w of waiters) {
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try { w.callback(trade); } catch (err) { console.error('[topstepx] fill callback error', err); }
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}
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});
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hub.on('GatewayUserOrder', (raw: unknown) => {
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const order = unwrap(raw);
|
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if (typeof order?.id !== 'number') return;
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this.bufferEvent('order', order);
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this.handleOcoOrderEvent(order.id, order.status);
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});
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hub.onreconnected(() => {
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console.log('[topstepx] hub reconnected — resubscribing');
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this.subscribedAccountIds.clear();
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void this.subscribeAll();
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void this.requestSync();
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});
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hub.onclose((err) => {
|
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if (this.intentionalDisconnect) return;
|
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console.warn('[topstepx] hub closed', err?.message ?? '');
|
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});
|
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|
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this.hub = hub;
|
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try {
|
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await hub.start();
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await this.subscribeAll();
|
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console.log('[topstepx] user hub connected');
|
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} catch (err) {
|
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// REST polling still works without the hub; automatic reconnect
|
||
// only runs after a successful start, so retry via the next sync.
|
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console.error('[topstepx] hub connect failed — falling back to REST polling', err);
|
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}
|
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}
|
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private async subscribeAll(): Promise<void> {
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if (!this.hub) return;
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// A hub whose initial start failed never auto-reconnects — each sync
|
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// tick gets another chance to bring it up.
|
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if (this.hub.state === signalR.HubConnectionState.Disconnected) {
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try {
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await this.hub.start();
|
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this.subscribedAccountIds.clear();
|
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console.log('[topstepx] user hub connected');
|
||
} catch {
|
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return; // REST polling carries on; retry next sync
|
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}
|
||
}
|
||
if (this.hub.state !== signalR.HubConnectionState.Connected) return;
|
||
try {
|
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await this.hub.invoke('SubscribeAccounts');
|
||
for (const acc of this.accountList) {
|
||
if (this.subscribedAccountIds.has(acc.id)) continue;
|
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await this.hub.invoke('SubscribeOrders', acc.id);
|
||
await this.hub.invoke('SubscribePositions', acc.id);
|
||
await this.hub.invoke('SubscribeTrades', acc.id);
|
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this.subscribedAccountIds.add(acc.id);
|
||
}
|
||
} catch (err) {
|
||
console.error('[topstepx] hub subscribe failed', err);
|
||
}
|
||
}
|
||
|
||
private bufferEvent(entityType: string, entity: unknown): void {
|
||
this.recentEntityEvents.push({ entityType, eventType: 'Updated', entity, ts: Date.now() });
|
||
if (this.recentEntityEvents.length > 50) this.recentEntityEvents.shift();
|
||
}
|
||
|
||
private applyPosition(pos: { accountId: number; contractId: string; type: number; size: number; averagePrice: number; creationTimestamp?: string }): void {
|
||
// PositionType: 1 Long, 2 Short. Size 0 (or type 0) means flat.
|
||
if (pos.size > 0 && (pos.type === 1 || pos.type === 2)) {
|
||
this.positions[pos.accountId] = {
|
||
contractId: pos.contractId,
|
||
netPos: pos.type === 1 ? pos.size : -pos.size,
|
||
netPrice: pos.averagePrice,
|
||
timestamp: pos.creationTimestamp ? new Date(pos.creationTimestamp) : new Date(),
|
||
};
|
||
} else {
|
||
delete this.positions[pos.accountId];
|
||
// Flat → any surviving emulated-OCO exit legs must go.
|
||
void this.cancelOcoLegsForAccount(pos.accountId);
|
||
}
|
||
}
|
||
|
||
private recordTodayTrade(trade: TsxTrade): void {
|
||
if (trade.voided) return;
|
||
const tradeDate = currentTradeDateCT(new Date(trade.creationTimestamp));
|
||
if (tradeDate !== currentTradeDateCT()) return;
|
||
const map = (this.todayTrades[trade.accountId] ??= new Map());
|
||
map.set(trade.id, trade);
|
||
this.recomputeRealized(trade.accountId);
|
||
}
|
||
|
||
private recomputeRealized(accountId: number): void {
|
||
const today = currentTradeDateCT();
|
||
const map = this.todayTrades[accountId];
|
||
let realized = 0;
|
||
if (map) {
|
||
for (const t of map.values()) {
|
||
if (t.voided) continue;
|
||
if (currentTradeDateCT(new Date(t.creationTimestamp)) !== today) continue;
|
||
realized += (t.profitAndLoss ?? 0) - (t.fees ?? 0);
|
||
}
|
||
}
|
||
const existing = this.accountCashBalances[accountId];
|
||
this.accountCashBalances[accountId] = {
|
||
amount: existing?.amount ?? 0,
|
||
realizedPnL: Math.round(realized * 100) / 100,
|
||
};
|
||
}
|
||
|
||
// ── sync ─────────────────────────────────────────────────────────────────
|
||
|
||
private async requestSync(): Promise<void> {
|
||
if (!this.token || this.syncInFlight) return;
|
||
this.syncInFlight = true;
|
||
try {
|
||
const accRes = await this.post<{ accounts: { id: number; name: string; balance: number; canTrade: boolean; isVisible: boolean }[] }>(
|
||
'/api/Account/search', { onlyActiveAccounts: false });
|
||
|
||
this.accountList = (accRes.accounts ?? [])
|
||
.filter((a) => a.isVisible)
|
||
.map((a) => ({ id: a.id, name: a.name, active: a.canTrade }));
|
||
|
||
// Trades since yesterday cover the whole current CT trade date
|
||
// (which opens at 5 PM the prior evening) with margin.
|
||
const start = new Date(Date.now() - 2 * 24 * 60 * 60 * 1000).toISOString();
|
||
const end = new Date(Date.now() + 60 * 60 * 1000).toISOString();
|
||
const today = currentTradeDateCT();
|
||
|
||
for (const acc of this.accountList) {
|
||
const balance = (accRes.accounts ?? []).find((a) => a.id === acc.id)?.balance ?? 0;
|
||
|
||
try {
|
||
const posRes = await this.post<{ positions: { accountId: number; contractId: string; type: number; size: number; averagePrice: number; creationTimestamp: string }[] }>(
|
||
'/api/Position/searchOpen', { accountId: acc.id });
|
||
const open = (posRes.positions ?? []).filter((p) => p.size > 0);
|
||
if (open.length > 0) {
|
||
this.applyPosition(open[0]);
|
||
} else {
|
||
delete this.positions[acc.id];
|
||
}
|
||
} catch (err) {
|
||
console.error(`[topstepx] position sync failed for ${acc.name}`, err instanceof Error ? err.message : err);
|
||
}
|
||
|
||
try {
|
||
const tradeRes = await this.post<{ trades: TsxTrade[] }>(
|
||
'/api/Trade/search', { accountId: acc.id, startTimestamp: start, endTimestamp: end });
|
||
const map = new Map<number, TsxTrade>();
|
||
for (const t of tradeRes.trades ?? []) {
|
||
if (t.voided) continue;
|
||
if (currentTradeDateCT(new Date(t.creationTimestamp)) !== today) continue;
|
||
map.set(t.id, t);
|
||
}
|
||
this.todayTrades[acc.id] = map;
|
||
} catch (err) {
|
||
console.error(`[topstepx] trade sync failed for ${acc.name}`, err instanceof Error ? err.message : err);
|
||
}
|
||
|
||
this.accountCashBalances[acc.id] = { amount: balance, realizedPnL: 0 };
|
||
this.recomputeRealized(acc.id);
|
||
this.autoLiqThresholds[acc.id] = 0;
|
||
|
||
// Withdrawal/deposit detection — the books must explain the balance.
|
||
try {
|
||
this.reconcileFunds(acc);
|
||
} catch (err) {
|
||
console.error(`[topstepx] fund reconcile failed for ${acc.name}`, err instanceof Error ? err.message : err);
|
||
}
|
||
|
||
try {
|
||
this.updateMllFloor(acc);
|
||
} catch (err) {
|
||
console.error(`[topstepx] MLL reconstruction failed for ${acc.name}`, err instanceof Error ? err.message : err);
|
||
}
|
||
}
|
||
|
||
console.log(`[topstepx] sync — ${this.accountList.length} account(s), ${Object.keys(this.positions).length} open position(s)`);
|
||
|
||
await this.subscribeAll();
|
||
this.maybeFetchDaysTraded();
|
||
|
||
this.syncComplete = true;
|
||
await this.callbackOnSyncRequest();
|
||
} catch (err) {
|
||
console.error('[topstepx] sync failed', err instanceof Error ? err.message : err);
|
||
} finally {
|
||
this.syncInFlight = false;
|
||
}
|
||
}
|
||
|
||
/** Re-slice the active cycle out of the full history using the last fund
|
||
* transaction. A withdrawal's day belongs to the OLD cycle (its min-days
|
||
* were booked before the payout) so it is excluded; a deposit's day is
|
||
* included. */
|
||
private applyCycleSlice(accountId: number): void {
|
||
const merged = this.fullDailyPnL[accountId] ?? [];
|
||
const fundDate = this.lastFundDates[accountId];
|
||
const txns = this.fundTransactions[accountId] ?? [];
|
||
const lastAmt = fundDate ? (txns.find((f) => f.date === fundDate)?.amount ?? null) : null;
|
||
const isWithdrawal = lastAmt !== null && lastAmt < 0;
|
||
const active = fundDate
|
||
? merged.filter((d) => (isWithdrawal ? d.date > fundDate : d.date >= fundDate))
|
||
: merged;
|
||
const prior = fundDate
|
||
? merged.filter((d) => (isWithdrawal ? d.date <= fundDate : d.date < fundDate))
|
||
: [];
|
||
this.priorProfit[accountId] = Math.round(prior.reduce((s, d) => s + d.pnl, 0) * 100) / 100;
|
||
this.dailyPnL[accountId] = active;
|
||
this.daysTraded[accountId] = active.filter((d) => d.pnl !== 0).length;
|
||
}
|
||
|
||
/**
|
||
* Books invariant: for a $0-start account, balance must equal all trade
|
||
* P&L plus all recorded fund transactions. TopstepX has no funds API, so a
|
||
* divergence IS the fund event — a withdrawal (or deposit) the platform
|
||
* never told us about. Recording it advances the withdrawal-stage counter
|
||
* and starts a new cycle; the very first check also books any historical
|
||
* net withdrawal in one lump (fine — the last stage repeats).
|
||
*
|
||
* $200 keeps fee noise and rounding out; the smallest real withdrawal in
|
||
* the drain flow is well above it. Skipped while a position is open (fills
|
||
* in flight) or while the trade history is known-stale.
|
||
*/
|
||
private reconcileFunds(account: PlatformAccount): void {
|
||
if (this.positions[account.id]) return;
|
||
if (this.lastFetchErrors[account.name]) return;
|
||
const history = this.fullDailyPnL[account.id];
|
||
if (!history) return; // first daily-P&L fetch hasn't landed yet
|
||
|
||
const cash = this.accountCashBalances[account.id];
|
||
if (!cash) return;
|
||
const today = currentTradeDateCT();
|
||
const tradePnL = history
|
||
.filter((d) => d.date !== today)
|
||
.reduce((s, d) => s + d.pnl, 0) + cash.realizedPnL;
|
||
const txns = this.fundTransactions[account.id] ?? [];
|
||
const funds = txns.reduce((s, f) => s + f.amount, 0);
|
||
const delta = Math.round((cash.amount - tradePnL - funds) * 100) / 100;
|
||
if (Math.abs(delta) < 200) return;
|
||
|
||
console.log(`[topstepx] ${account.name}: balance ${cash.amount} vs books ${Math.round((tradePnL + funds) * 100) / 100} — recording ${delta < 0 ? 'withdrawal' : 'deposit'} of ${delta}`);
|
||
// Same-day events merge into one row (the table keys on account+date),
|
||
// so add today's delta onto whatever is already booked for today.
|
||
const existingToday = txns.find((f) => f.date === today)?.amount ?? 0;
|
||
saveFundTransactions(account.id, account.name, [
|
||
{ date: today, amount: Math.round((existingToday + delta) * 100) / 100 },
|
||
]);
|
||
saveAccountMeta(account.id, 'last_fund_date', today);
|
||
this.fundTransactions[account.id] = loadFundTransactions(account.id);
|
||
this.lastFundDates[account.id] = today;
|
||
this.applyCycleSlice(account.id);
|
||
}
|
||
|
||
/**
|
||
* Reverse-engineer the account's MLL floor — TopstepX never reports it.
|
||
*
|
||
* Topstep's Maximum Loss Limit sits `trailingDrawdown` below the END-OF-DAY
|
||
* balance high, ratchets up only, and locks at the starting balance ($0 for
|
||
* Express accounts) once the high has climbed the full drawdown:
|
||
*
|
||
* floor = min(0, eodBalanceHigh − trailingDrawdown)
|
||
*
|
||
* The EOD balance curve is rebuilt from daily P&L + recorded fund events.
|
||
* Balance the books don't explain (sub-threshold off-book fees) is spread
|
||
* across days proportionally to each day's reported fees — validated
|
||
* against a platform-reported MLL to within $0.11.
|
||
*
|
||
* Stored in autoLiqThresholds (negative, or +$0.01 once locked at
|
||
* breakeven — 0 must keep meaning "no floor"), which lights up the same
|
||
* dead-account handling Tradovate's reported floors use. canTrade=false
|
||
* accounts are skipped: the platform has already retired them.
|
||
*/
|
||
private updateMllFloor(account: PlatformAccount): void {
|
||
if (!account.active) { this.autoLiqThresholds[account.id] = 0; return; }
|
||
const dd = getAccountConfig(account.id).accountType?.trailingDrawdown ?? 0;
|
||
const history = this.fullDailyPnL[account.id];
|
||
const cash = this.accountCashBalances[account.id];
|
||
if (!(dd > 0) || !history || !cash) { this.autoLiqThresholds[account.id] = 0; return; }
|
||
|
||
const today = currentTradeDateCT();
|
||
const fees = this.dailyFees[account.id] ?? new Map<string, number>();
|
||
|
||
// One event per past date: booked P&L plus any fund transaction.
|
||
const events = new Map<string, number>();
|
||
const add = (date: string, amount: number) => events.set(date, (events.get(date) ?? 0) + amount);
|
||
for (const d of history) if (d.date !== today) add(d.date, d.pnl);
|
||
for (const f of this.fundTransactions[account.id] ?? []) if (f.date !== today) add(f.date, f.amount);
|
||
const dates = [...events.keys()].sort();
|
||
if (dates.length === 0) { this.autoLiqThresholds[account.id] = 0; return; }
|
||
|
||
// What the books don't explain (bounded by the reconcile threshold) is
|
||
// off-book fee drift — attribute it in proportion to reported fees.
|
||
// Today is handled live: the balance carries today's realized P&L and
|
||
// any fund event detected today, neither of which is in `events`.
|
||
const booked = dates.reduce((s, d) => s + events.get(d)!, 0);
|
||
const todayFund = (this.fundTransactions[account.id] ?? []).find((f) => f.date === today)?.amount ?? 0;
|
||
const residual = Math.round((cash.amount - cash.realizedPnL - todayFund - booked) * 100) / 100;
|
||
const totalFees = dates.reduce((s, d) => s + (fees.get(d) ?? 0), 0);
|
||
|
||
let bal = 0;
|
||
let high = 0; // the MLL starts a full drawdown below the STARTING balance
|
||
for (const d of dates) {
|
||
const drift = totalFees > 0 ? residual * ((fees.get(d) ?? 0) / totalFees) : (d === dates[0] ? residual : 0);
|
||
bal += events.get(d)! + drift;
|
||
if (bal > high) high = bal;
|
||
}
|
||
|
||
const floor = high >= dd
|
||
? 0.01 // locked at breakeven; one cent keeps it distinct from "no floor"
|
||
: Math.round((high - dd) * 100) / 100;
|
||
this.autoLiqThresholds[account.id] = floor;
|
||
}
|
||
|
||
private maybeFetchDaysTraded(): void {
|
||
if (this.daysFetchInFlight) return;
|
||
|
||
const now = Date.now();
|
||
const initialFetchDue = this.lastDaysFetchStartedAt === 0;
|
||
const retryPending = this.nextDaysFetchRetryAt > 0;
|
||
const retryDue = retryPending && now >= this.nextDaysFetchRetryAt;
|
||
const hourlyRefreshDue =
|
||
!retryPending &&
|
||
this.lastDaysFetchSucceededAt > 0 &&
|
||
now - this.lastDaysFetchSucceededAt >= 60 * 60 * 1_000;
|
||
|
||
if (!initialFetchDue && !retryDue && !hourlyRefreshDue) return;
|
||
|
||
this.daysFetchInFlight = true;
|
||
this.lastDaysFetchStartedAt = now;
|
||
if (retryDue) this.nextDaysFetchRetryAt = 0;
|
||
|
||
this.fetchDaysTraded()
|
||
.then(({ failedAccounts }) => {
|
||
if (failedAccounts > 0) {
|
||
this.nextDaysFetchRetryAt = Date.now() + 5 * 60 * 1_000;
|
||
console.warn(`[topstepx] ${failedAccounts} account(s) failed daily P&L fetch — retrying in 5 minutes`);
|
||
return;
|
||
}
|
||
this.lastDaysFetchSucceededAt = Date.now();
|
||
})
|
||
.catch((err) => {
|
||
this.nextDaysFetchRetryAt = Date.now() + 5 * 60 * 1_000;
|
||
console.error('[topstepx] daily P&L fetch failed — retrying in 5 minutes', err);
|
||
})
|
||
.finally(() => {
|
||
this.daysFetchInFlight = false;
|
||
});
|
||
}
|
||
|
||
/** Daily P&L from the trades endpoint: net of fees per CT trade date, like
|
||
* Tradovate's Cash History. Merged over the DB cache so history older than
|
||
* the fetch window survives. */
|
||
public async fetchDaysTraded(onlyAccountIds?: number[]): Promise<{ failedAccounts: number }> {
|
||
if (!this.token) return { failedAccounts: 0 };
|
||
this.fetchDaysComplete = false;
|
||
let failedAccounts = 0;
|
||
|
||
const start = new Date(Date.now() - 27 * 24 * 60 * 60 * 1000).toISOString();
|
||
const end = new Date(Date.now() + 60 * 60 * 1000).toISOString();
|
||
|
||
const mergePnL = (
|
||
cached: { date: string; pnl: number }[],
|
||
fresh: { date: string; pnl: number }[]
|
||
): { date: string; pnl: number }[] => {
|
||
const map = new Map<string, number>();
|
||
for (const e of cached) map.set(e.date, e.pnl);
|
||
for (const e of fresh) map.set(e.date, e.pnl);
|
||
return Array.from(map.entries())
|
||
.map(([date, pnl]) => ({ date, pnl }))
|
||
.sort((a, b) => a.date.localeCompare(b.date));
|
||
};
|
||
|
||
for (const account of this.accountList) {
|
||
if (onlyAccountIds && !onlyAccountIds.includes(account.id)) continue;
|
||
|
||
// Fund transactions never come from the TopstepX API — only what the
|
||
// DB already holds (imports, manual rows). Usually empty.
|
||
const storedFundDate = loadAccountMeta(account.id, 'last_fund_date');
|
||
this.lastFundDates[account.id] = storedFundDate;
|
||
this.fundTransactions[account.id] = loadFundTransactions(account.id);
|
||
|
||
const cached = loadDailyPnL(account.id);
|
||
|
||
try {
|
||
const res = await this.post<{ trades: TsxTrade[] }>(
|
||
'/api/Trade/search', { accountId: account.id, startTimestamp: start, endTimestamp: end });
|
||
const trades = (res.trades ?? []).filter((t) => !t.voided);
|
||
this.lastFetchRaw[account.name] = trades.length > 0 ? JSON.stringify(trades[0]) : '(no trades)';
|
||
|
||
const dailyMap: { [date: string]: { pnl: number; fees: number } } = {};
|
||
for (const t of trades) {
|
||
const date = currentTradeDateCT(new Date(t.creationTimestamp));
|
||
const entry = (dailyMap[date] ??= { pnl: 0, fees: 0 });
|
||
entry.pnl += (t.profitAndLoss ?? 0) - (t.fees ?? 0);
|
||
entry.fees += t.fees ?? 0;
|
||
}
|
||
|
||
const fresh = Object.entries(dailyMap)
|
||
.map(([date, e]) => ({
|
||
date,
|
||
pnl: Math.round(e.pnl * 100) / 100,
|
||
fees: Math.round(e.fees * 10000) / 10000,
|
||
}))
|
||
.sort((a, b) => a.date.localeCompare(b.date));
|
||
|
||
const merged = mergePnL(cached, fresh);
|
||
|
||
// Reported fees per day — the weights the MLL reconstruction
|
||
// uses to place off-book fee drift. Fresh overwrites cached.
|
||
const fees = new Map<string, number>();
|
||
for (const e of cached) fees.set(e.date, e.fees ?? 0);
|
||
for (const e of fresh) fees.set(e.date, e.fees);
|
||
this.dailyFees[account.id] = fees;
|
||
|
||
// The last fund transaction (usually one this client detected
|
||
// itself — see reconcileFunds) splits cycles: withdrawals
|
||
// exclude their day, deposits include it.
|
||
this.fullDailyPnL[account.id] = merged;
|
||
this.applyCycleSlice(account.id);
|
||
saveDailyPnL(account.id, account.name, fresh);
|
||
delete this.lastFetchErrors[account.name];
|
||
this.updateMllFloor(account);
|
||
} catch (err) {
|
||
const msg = err instanceof Error ? err.message : String(err);
|
||
console.error(`[topstepx] trade history failed for ${account.name}:`, msg);
|
||
failedAccounts++;
|
||
if (cached.length > 0) {
|
||
this.fullDailyPnL[account.id] = cached;
|
||
this.dailyFees[account.id] = new Map(cached.map((e) => [e.date, e.fees ?? 0]));
|
||
this.applyCycleSlice(account.id);
|
||
this.lastFetchErrors[account.name] = `${msg} (using ${cached.length} cached entries from database)`;
|
||
} else {
|
||
this.dailyPnL[account.id] ??= [];
|
||
this.daysTraded[account.id] ??= 0;
|
||
this.lastFetchErrors[account.name] = msg;
|
||
}
|
||
}
|
||
}
|
||
this.fetchDaysComplete = true;
|
||
return { failedAccounts };
|
||
}
|
||
|
||
// ── contracts ────────────────────────────────────────────────────────────
|
||
|
||
public async findFrontMonthContract(productName: string): Promise<PlatformContract | null> {
|
||
if (!this.token) return null;
|
||
|
||
const cached = this.contractByProduct.get(productName);
|
||
if (cached && Date.now() - cached.resolvedAt < TopstepXClient.CONTRACT_TTL_MS) {
|
||
const c = cached.contract;
|
||
return { id: c.id, name: c.name, tickSize: c.tickSize };
|
||
}
|
||
|
||
try {
|
||
const res = await this.post<{ contracts: TsxContract[] }>(
|
||
'/api/Contract/search', { searchText: productName, live: false });
|
||
const candidates = (res.contracts ?? []).filter((c) =>
|
||
c.name.startsWith(productName) && /^[A-Z]\d/.test(c.name.slice(productName.length)));
|
||
if (candidates.length === 0) {
|
||
console.log(`[topstepx] no contract found for ${productName}`);
|
||
return null;
|
||
}
|
||
|
||
// Prefer the volume-resolved front month (shared with the Tradovate
|
||
// path — names match across platforms, e.g. "NQZ5"), then TopstepX's
|
||
// own activeContract flag.
|
||
const resolvedName = getCachedContract(productName)?.name;
|
||
const match =
|
||
(resolvedName ? candidates.find((c) => c.name === resolvedName) : undefined)
|
||
?? candidates.find((c) => c.activeContract)
|
||
?? candidates[0];
|
||
|
||
this.contractByProduct.set(productName, { contract: match, resolvedAt: Date.now() });
|
||
this.contractByName.set(match.name, match);
|
||
return { id: match.id, name: match.name, tickSize: match.tickSize };
|
||
} catch (err) {
|
||
console.error(`[topstepx] contract search failed for ${productName}`, err instanceof Error ? err.message : err);
|
||
return null;
|
||
}
|
||
}
|
||
|
||
/** Resolve a contract NAME (e.g. "NQZ5") to its TopstepX contract id. */
|
||
private async resolveContractId(contractSymbol: string): Promise<TsxContract> {
|
||
const known = this.contractByName.get(contractSymbol);
|
||
if (known) return known;
|
||
|
||
const res = await this.post<{ contracts: TsxContract[] }>(
|
||
'/api/Contract/search', { searchText: contractSymbol, live: false });
|
||
const match = (res.contracts ?? []).find((c) => c.name === contractSymbol)
|
||
?? (res.contracts ?? []).find((c) => contractSymbol.startsWith(c.name));
|
||
if (!match) throw new Error(`TopstepX contract not found for symbol ${contractSymbol}`);
|
||
this.contractByName.set(match.name, match);
|
||
return match;
|
||
}
|
||
|
||
public async fetchInstrumentFees(): Promise<{ [symbol: string]: number }> {
|
||
// No fee-parameter endpoint on the gateway; per-trade fees arrive with
|
||
// each fill instead, which is what the commission delta reads.
|
||
return {};
|
||
}
|
||
|
||
public async getAccountList(): Promise<PlatformAccount[]> {
|
||
return this.accountList;
|
||
}
|
||
|
||
// ── orders ───────────────────────────────────────────────────────────────
|
||
|
||
private async placeOrder(
|
||
accountId: number,
|
||
contractId: string,
|
||
size: number,
|
||
action: 'Buy' | 'Sell',
|
||
type: number,
|
||
limitPrice?: number,
|
||
stopPrice?: number,
|
||
): Promise<number> {
|
||
const res = await this.post<{ orderId: number }>('/api/Order/place', {
|
||
accountId,
|
||
contractId,
|
||
type,
|
||
side: action === 'Buy' ? SIDE_BUY : SIDE_SELL,
|
||
size,
|
||
limitPrice: limitPrice ?? null,
|
||
stopPrice: stopPrice ?? null,
|
||
trailPrice: null,
|
||
customTag: null,
|
||
});
|
||
return res.orderId;
|
||
}
|
||
|
||
/** Place an order and wait for its fill (trade event, with a REST poll as
|
||
* backstop). Resolves with an object exposing the fill `price`. */
|
||
public async sendOrder(
|
||
accountId: number,
|
||
contractSymbol: string,
|
||
quantity: number,
|
||
action: 'Buy' | 'Sell',
|
||
orderType: 'Market' | 'Limit',
|
||
price?: number
|
||
): Promise<Record<string, unknown>> {
|
||
const contract = await this.resolveContractId(contractSymbol);
|
||
const orderId = await this.placeOrder(
|
||
accountId, contract.id, quantity, action,
|
||
orderType === 'Market' ? TYPE_MARKET : TYPE_LIMIT,
|
||
orderType === 'Limit' ? price : undefined,
|
||
);
|
||
console.log(`[topstepx] order ${orderId}: ${action} ${quantity}x${contractSymbol} ${orderType}${price ? ` @ ${price}` : ''}`);
|
||
|
||
return new Promise((resolve, reject) => {
|
||
let settled = false;
|
||
const timeout = setTimeout(() => {
|
||
if (settled) return;
|
||
settled = true;
|
||
clearInterval(poll);
|
||
this.fillWaiters = this.fillWaiters.filter((w) => w.orderId !== orderId);
|
||
reject(new Error(`Order ${orderId} placed but no fill within 30s (market may be closed)`));
|
||
}, 30_000);
|
||
|
||
const settle = (fillPrice: number) => {
|
||
if (settled) return;
|
||
settled = true;
|
||
clearTimeout(timeout);
|
||
clearInterval(poll);
|
||
console.log(`[topstepx] order ${orderId} filled @ ${fillPrice}`);
|
||
resolve({ orderId, price: fillPrice, accountId, contractId: contract.id });
|
||
};
|
||
|
||
this.fillWaiters.push({ orderId, callback: (trade) => settle(trade.price) });
|
||
|
||
// REST backstop for when the hub is down or the event is missed.
|
||
const poll = setInterval(() => {
|
||
void this.post<{ order?: { status: number; filledPrice?: number } }>(
|
||
'/api/Order/searchById', { accountId, orderId })
|
||
.then((res) => {
|
||
const order = res.order;
|
||
if (!order) return;
|
||
if (order.status === ORDER_FILLED && typeof order.filledPrice === 'number') {
|
||
this.fillWaiters = this.fillWaiters.filter((w) => w.orderId !== orderId);
|
||
settle(order.filledPrice);
|
||
} else if (ORDER_GONE.has(order.status) && !settled) {
|
||
settled = true;
|
||
clearTimeout(timeout);
|
||
clearInterval(poll);
|
||
this.fillWaiters = this.fillWaiters.filter((w) => w.orderId !== orderId);
|
||
reject(new Error(`Order ${orderId} ended without fill (status=${order.status})`));
|
||
}
|
||
})
|
||
.catch(() => { /* transient — the next poll tries again */ });
|
||
}, 2_000);
|
||
});
|
||
}
|
||
|
||
/** Place an order and resolve on placement (does not wait for fill). */
|
||
public async placeOrderNoWait(
|
||
accountId: number,
|
||
contractSymbol: string,
|
||
quantity: number,
|
||
action: 'Buy' | 'Sell',
|
||
orderType: 'Market' | 'Limit',
|
||
price?: number
|
||
): Promise<{ orderId?: number }> {
|
||
const contract = await this.resolveContractId(contractSymbol);
|
||
const orderId = await this.placeOrder(
|
||
accountId, contract.id, quantity, action,
|
||
orderType === 'Market' ? TYPE_MARKET : TYPE_LIMIT,
|
||
orderType === 'Limit' ? price : undefined,
|
||
);
|
||
return { orderId };
|
||
}
|
||
|
||
/**
|
||
* Emulated OCO exit: the gateway has no linked-order type, so place the
|
||
* take-profit limit and the stop separately and cancel the survivor when
|
||
* either fills (order events; a poll and the flat-position hook back it
|
||
* up). If the stop can't be placed the limit is cancelled and the error
|
||
* rethrown, so the caller's lone-limit fallback starts from a clean book.
|
||
*/
|
||
public async placeOcoExit(
|
||
accountId: number,
|
||
contractSymbol: string,
|
||
quantity: number,
|
||
exitAction: 'Buy' | 'Sell',
|
||
limitPrice: number,
|
||
stopPrice: number,
|
||
): Promise<{ orderId?: number }> {
|
||
const contract = await this.resolveContractId(contractSymbol);
|
||
const limitId = await this.placeOrder(accountId, contract.id, quantity, exitAction, TYPE_LIMIT, limitPrice);
|
||
let stopId: number;
|
||
try {
|
||
stopId = await this.placeOrder(accountId, contract.id, quantity, exitAction, TYPE_STOP, undefined, stopPrice);
|
||
} catch (err) {
|
||
await this.cancelOrder(accountId, limitId).catch(() => { /* best effort */ });
|
||
throw err;
|
||
}
|
||
|
||
this.ocoPairs.push({ accountId, limitId, stopId, done: false, placedAt: Date.now() });
|
||
this.ensureOcoPoll();
|
||
console.log(`[topstepx] OCO exit pair placed — limit ${limitId} @ ${limitPrice}, stop ${stopId} @ ${stopPrice}`);
|
||
return { orderId: limitId };
|
||
}
|
||
|
||
private async cancelOrder(accountId: number, orderId: number): Promise<void> {
|
||
await this.post('/api/Order/cancel', { accountId, orderId });
|
||
}
|
||
|
||
private handleOcoOrderEvent(orderId: number, status: number): void {
|
||
const pair = this.ocoPairs.find((p) => !p.done && (p.limitId === orderId || p.stopId === orderId));
|
||
if (!pair) return;
|
||
if (status === ORDER_FILLED) {
|
||
pair.done = true;
|
||
const sibling = pair.limitId === orderId ? pair.stopId : pair.limitId;
|
||
console.log(`[topstepx] OCO leg ${orderId} filled — cancelling sibling ${sibling}`);
|
||
void this.cancelOrder(pair.accountId, sibling).catch((err) =>
|
||
console.error(`[topstepx] failed to cancel OCO sibling ${sibling}`, err instanceof Error ? err.message : err));
|
||
}
|
||
}
|
||
|
||
private async cancelOcoLegsForAccount(accountId: number): Promise<void> {
|
||
const pairs = this.ocoPairs.filter((p) => !p.done && p.accountId === accountId);
|
||
for (const pair of pairs) {
|
||
pair.done = true;
|
||
for (const orderId of [pair.limitId, pair.stopId]) {
|
||
await this.cancelOrder(accountId, orderId).catch(() => { /* already gone */ });
|
||
}
|
||
}
|
||
}
|
||
|
||
/** Safety net under the event-driven OCO: while pairs are live, poll open
|
||
* orders and reap legs whose sibling is gone or whose position is flat. */
|
||
private ensureOcoPoll(): void {
|
||
if (this.ocoPollInterval) return;
|
||
this.ocoPollInterval = setInterval(() => {
|
||
void (async () => {
|
||
const live = this.ocoPairs.filter((p) => !p.done);
|
||
if (live.length === 0) {
|
||
if (this.ocoPollInterval) { clearInterval(this.ocoPollInterval); this.ocoPollInterval = null; }
|
||
this.ocoPairs = [];
|
||
return;
|
||
}
|
||
for (const pair of live) {
|
||
try {
|
||
const res = await this.post<{ orders: { id: number }[] }>(
|
||
'/api/Order/searchOpen', { accountId: pair.accountId });
|
||
const openIds = new Set((res.orders ?? []).map((o) => o.id));
|
||
const limitOpen = openIds.has(pair.limitId);
|
||
const stopOpen = openIds.has(pair.stopId);
|
||
if (!limitOpen && !stopOpen) {
|
||
pair.done = true;
|
||
} else if (limitOpen !== stopOpen && !this.positions[pair.accountId]) {
|
||
// One leg gone, position flat — the survivor is stale.
|
||
pair.done = true;
|
||
const survivor = limitOpen ? pair.limitId : pair.stopId;
|
||
console.log(`[topstepx] reaping stale OCO leg ${survivor} (position flat)`);
|
||
await this.cancelOrder(pair.accountId, survivor).catch(() => { /* already gone */ });
|
||
}
|
||
} catch { /* transient — retry next poll */ }
|
||
}
|
||
})();
|
||
}, 15_000);
|
||
}
|
||
|
||
public onFill(orderId: number, callback: (fill: Record<string, unknown>) => void): void {
|
||
this.fillWaiters.push({ orderId, callback: (trade) => callback(trade as unknown as Record<string, unknown>) });
|
||
}
|
||
|
||
// ── lifecycle ────────────────────────────────────────────────────────────
|
||
|
||
public disconnect(): void {
|
||
this.intentionalDisconnect = true;
|
||
if (this.syncInterval) { clearInterval(this.syncInterval); this.syncInterval = null; }
|
||
if (this.tokenRenewalInterval) { clearInterval(this.tokenRenewalInterval); this.tokenRenewalInterval = null; }
|
||
if (this.ocoPollInterval) { clearInterval(this.ocoPollInterval); this.ocoPollInterval = null; }
|
||
if (this.loginRetryTimer) { clearTimeout(this.loginRetryTimer); this.loginRetryTimer = null; }
|
||
this.daysFetchInFlight = false;
|
||
this.nextDaysFetchRetryAt = 0;
|
||
void this.hub?.stop().catch(() => { /* ignore */ });
|
||
this.hub = null;
|
||
}
|
||
}
|