autofirmer-expanded/lib/contract-resolver.ts

/**
 * Contract Resolver
 *
 * Determines the active contract for each symbol by:
 * 1. Asking Yahoo Finance which month the continuous contract ({PRODUCT}=F) maps to
 * 2. Looking up that specific contract on Tradovate via /contract/suggest
 *
 * Results are cached and refreshed periodically (default: every 30 minutes).
 */

import axios from 'axios';

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

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

// ── Month code mapping ──────────────────────────────────────────────────────

const MONTH_TO_CODE: Record<string, string> = {
    Jan: 'F', Feb: 'G', Mar: 'H', Apr: 'J', May: 'K', Jun: 'M',
    Jul: 'N', Aug: 'Q', Sep: 'U', Oct: 'V', Nov: 'X', Dec: 'Z',
    January: 'F', February: 'G', March: 'H', April: 'J',
    June: 'M', July: 'N', August: 'Q', September: 'U',
    October: 'V', November: 'X', December: 'Z',
};

/**
 * Parse Yahoo's shortName to extract month code and year digit.
 * Formats seen: "Euro FX Futures,Jun-2026", "Gold Jun 26", "Nasdaq 100 Jun 26"
 * Returns e.g. { monthCode: 'M', yearDigit: '6' } or null.
 */
function parseShortName(shortName: string): { monthCode: string; yearDigit: string } | null {
    // Try patterns: "Mon-YYYY", "Mon YY", "Mon YYYY", "Month-YYYY"
    const match = shortName.match(/\b(Jan(?:uary)?|Feb(?:ruary)?|Mar(?:ch)?|Apr(?:il)?|May|Jun(?:e)?|Jul(?:y)?|Aug(?:ust)?|Sep(?:tember)?|Oct(?:ober)?|Nov(?:ember)?|Dec(?:ember)?)[- ](\d{2,4})\b/i);
    if (!match) return null;
    const monthCode = MONTH_TO_CODE[match[1]];
    if (!monthCode) return null;
    const yearStr = match[2];
    const yearDigit = yearStr.length === 4 ? yearStr.slice(-1) : yearStr.slice(-1);
    return { monthCode, yearDigit };
}

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

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

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

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

// ── Yahoo Finance lookup ─────────────────────────────────────────────────────

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

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

/**
 * Resolve the active contract for a list of symbols using Yahoo Finance + Tradovate.
 * For each symbol:
 *   1. Fetch {PRODUCT}=F from Yahoo → parse shortName for month/year
 *   2. Construct the Tradovate contract name (e.g. "GCM6")
 *   3. Look it up on Tradovate via /contract/suggest to get the contract ID
 *   4. Fallback: if Yahoo fails, use Tradovate suggest directly (front month)
 */
export async function resolveContracts(
    symbols: string[],
    accessToken: string,
): Promise<Record<string, ResolvedContract | null>> {
    const headers = { Authorization: `Bearer ${accessToken}` };
    const results: Record<string, ResolvedContract | null> = {};

    // Step 1: Ask Yahoo for the active contract month for each symbol
    const yahooResults: Record<string, { monthCode: string; yearDigit: string } | null> = {};
    await Promise.all(symbols.map(async (sym) => {
        const meta = await getContinuousMeta(sym);
        if (meta) {
            const parsed = parseShortName(meta.shortName);
            console.log(`[contract-resolver] ${sym}: Yahoo says "${meta.shortName}" → ${parsed ? `${sym}${parsed.monthCode}${parsed.yearDigit}` : 'parse failed'}`);
            yahooResults[sym] = parsed;
        } else {
            console.log(`[contract-resolver] ${sym}: Yahoo continuous contract lookup failed`);
            yahooResults[sym] = null;
        }
    }));

    // Step 2: Look up the specific contract on Tradovate
    await Promise.all(symbols.map(async (sym) => {
        const yahoo = yahooResults[sym];
        // Build the target Tradovate name from Yahoo's answer (e.g. "GCM6")
        const targetName = yahoo ? `${sym}${yahoo.monthCode}${yahoo.yearDigit}` : null;

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

            // Find exact match for the Yahoo-derived name, or first matching contract as fallback
            const exactMatch = targetName
                ? contracts.find((c) => c.name === targetName)
                : null;
            const fallbackMatch = contracts.find((c) => {
                if (!c.name.startsWith(sym)) return false;
                const rest = c.name.slice(sym.length);
                return /^[A-Z]\d/.test(rest);
            });

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

                if (exactMatch && fallbackMatch && exactMatch.name !== fallbackMatch.name) {
                    console.log(`[contract-resolver] ${sym}: ${fallbackMatch.name} → ${exactMatch.name} (Yahoo) ROLLED`);
                } else {
                    console.log(`[contract-resolver] ${sym}: ${match.name} resolved`);
                }
            } else {
                console.log(`[contract-resolver] ${sym}: no matching contract found on Tradovate`);
                results[sym] = null;
            }
        } catch (err) {
            console.error(`[contract-resolver] ${sym}: Tradovate lookup failed`, err);
            results[sym] = null;
        }
    }));

    return results;
}