autofirmer-expanded/lib/contract-resolver.ts

/**
 * Contract Resolver
 *
 * Determines the best contract for each symbol by combining:
 * 1. Tradovate's suggest API (front month)
 * 2. Tradovate's rollcontract API (next month)
 * 3. Yahoo Finance volume data (pick whichever has more volume)
 *
 * 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 contract that lost the volume comparison (if any) */
    alternative?: string;
    frontVolume?: number;
    rolledVolume?: number;
}

// ── Yahoo Finance ticker mapping ─────────────────────────────────────────────

const EXCHANGE_MAP: Record<string, string> = {
    NQ: 'CME', MNQ: 'CME', ES: 'CME', MES: 'CME',
    YM: 'CBT', MYM: 'CBT', RTY: 'CME', M2K: 'CME',
    GC: 'CMX', MGC: 'CMX',
    SI: 'CMX', SIL: 'CMX',
    CL: 'NYM', MCL: 'NYM', NG: 'NYM',
    ZB: 'CBT', ZN: 'CBT', ZF: 'CBT',
    '6E': 'CME', '6J': 'CME', '6B': 'CME',
};

/** Convert Tradovate name to Yahoo ticker, e.g. "GCH6" → "GCH26.CMX" */
function toYahoo(tvName: string): string {
    const yearDigit = tvName.slice(-1);
    const monthLetter = tvName.slice(-2, -1);
    const product = tvName.slice(0, -2);
    const year2d = '2' + yearDigit; // assumes 2020s
    const exchange = EXCHANGE_MAP[product] ?? 'CME';
    return `${product}${monthLetter}${year2d}.${exchange}`;
}

// ── 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;
}

// ── Volume lookup via Yahoo Finance REST API ────────────────────────────────

async function getVolume(tvName: string): Promise<number> {
    try {
        const ticker = toYahoo(tvName);
        const res = await axios.get(
            `https://query1.finance.yahoo.com/v8/finance/chart/${encodeURIComponent(ticker)}`,
            { params: { range: '1d', interval: '1d' } }
        );
        const meta = res.data?.chart?.result?.[0]?.meta;
        return meta?.regularMarketVolume ?? 0;
    } catch {
        return 0;
    }
}

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

/**
 * Resolve the best contract for a list of symbols using a Tradovate access token.
 * For each symbol:
 *   1. Get front month via /contract/suggest
 *   2. Get roll target via /contract/rollcontract
 *   3. If they differ, compare Yahoo Finance volumes and pick the winner
 */
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: Get front month for each symbol
    const frontMonths: Record<string, ContractInfo | null> = {};
    await Promise.all(symbols.map(async (sym) => {
        try {
            const res = await axios.get(
                `https://demo.tradovateapi.com/v1/contract/suggest?t=${encodeURIComponent(sym)}&l=5`,
                { headers }
            );
            const contracts: ContractInfo[] = res.data ?? [];
            const match = contracts.find((c) => c.name.startsWith(sym));
            frontMonths[sym] = match ? {
                id: match.id,
                name: match.name,
                tickSize: (match as any).providerTickSize ?? 0.25,
                contractMaturityId: (match as any).contractMaturityId,
            } : null;
        } catch {
            frontMonths[sym] = null;
        }
    }));

    // Step 2: Get roll targets
    const rollTargets: Record<string, ContractInfo | null> = {};
    await Promise.all(symbols.map(async (sym) => {
        const front = frontMonths[sym];
        if (!front) { rollTargets[sym] = null; return; }
        try {
            const res = await axios.post(
                'https://demo.tradovateapi.com/v1/contract/rollcontract',
                { name: front.name, forward: true, ifExpired: false },
                { headers }
            );
            const c = res.data?.contract;
            if (c && c.name !== front.name) {
                rollTargets[sym] = {
                    id: c.id,
                    name: c.name,
                    tickSize: c.providerTickSize ?? 0.25,
                    contractMaturityId: c.contractMaturityId,
                };
            } else {
                rollTargets[sym] = null; // Same contract or no roll available
            }
        } catch {
            rollTargets[sym] = null;
        }
    }));

    // Step 3: Fetch volumes for all contracts that need comparison
    const volumePromises: Record<string, Promise<number>> = {};
    for (const sym of symbols) {
        const front = frontMonths[sym];
        const rolled = rollTargets[sym];
        if (front && rolled) {
            if (!volumePromises[front.name]) volumePromises[front.name] = getVolume(front.name);
            if (!volumePromises[rolled.name]) volumePromises[rolled.name] = getVolume(rolled.name);
        }
    }

    // Resolve all volume lookups in parallel
    const volumeEntries = Object.entries(volumePromises);
    const volumeValues = await Promise.all(volumeEntries.map(([, p]) => p));
    const volumes: Record<string, number> = {};
    volumeEntries.forEach(([name], i) => { volumes[name] = volumeValues[i]; });

    if (Object.keys(volumes).length > 0) {
        console.log('[contract-resolver] volumes:', volumes);
    }

    // Step 4: Pick winners
    for (const sym of symbols) {
        const front = frontMonths[sym];
        const rolled = rollTargets[sym];

        if (!front) {
            results[sym] = null;
            continue;
        }

        if (!rolled) {
            // No roll target — use front month
            results[sym] = { ...front };
        } else {
            const frontVol = volumes[front.name] ?? 0;
            const rolledVol = volumes[rolled.name] ?? 0;

            if (rolledVol > frontVol) {
                // Rolled contract has more volume — use it
                results[sym] = {
                    ...rolled,
                    alternative: front.name,
                    frontVolume: frontVol,
                    rolledVolume: rolledVol,
                };
                console.log(`[contract-resolver] ${sym}: ${front.name} (vol=${frontVol}) → ${rolled.name} (vol=${rolledVol}) ROLLED`);
            } else {
                // Front month still has more volume — keep it
                results[sym] = {
                    ...front,
                    alternative: rolled.name,
                    frontVolume: frontVol,
                    rolledVolume: rolledVol,
                };
                console.log(`[contract-resolver] ${sym}: ${front.name} (vol=${frontVol}) stays (rolled ${rolled.name} vol=${rolledVol})`);
            }
        }

        // Update cache
        if (results[sym]) {
            cache.set(sym, { contract: results[sym]!, resolvedAt: Date.now() });
        }
    }

    return results;
}