autofirmer-expanded/lib/instruments.ts

/**
 * The instruments each firm trades, and the futures Auto draw — the one
 * module every trading path asks.
 *
 * A firm's list comes from the master's catalog (`instruments`); against a
 * master from before the lists, from the old rules (this machine's enabled
 * instruments less the firm's bans; a DXtrade firm's symbol map). Futures
 * "Auto" draws one listed root per batch, weighted by lib/instrument-specs'
 * drawChances: cheap-per-move with a floor early in the session, the fastest
 * near the last entry, nothing expected to hold 12 hours or more.
 *
 * Movement comes from Yahoo's hourly candles (7 days, measured once per trade
 * date); the spread is live off one futures client's quotes (lib/live-quotes)
 * when a fresh one is at hand, else the typical one tick. Commissions play no
 * part — they barely differ between instruments.
 *
 * No entry pays more than the master's max entry spread (its Settings page)
 * to cross the book: an instrument over it is out of the draw, and every
 * entry path asks spreadBlock before sending.
 */

import axios from 'axios';
import { getInstruments, getSetting } from './db';
import { getTradableFirms, getTradingSettings } from './firm-catalog';
import { entrySpread, quoteSource } from './live-quotes';
import { getCachedContract } from './contract-resolver';
import { currentTradeDateCT } from './trading-logic';
import { errorMessage } from './platform-client';
import type { InstrumentStats } from './master-protocol';
import {
    CME_SPECS, CME_ROOTS, dailyMoveDollars, futuresContracts, expectedHoldHours, sessionProgress,
    drawChances, pickByChance, resolveAllowlist, spreadTooWide, MAX_HOLD_HOURS, type DrawCandidate,
} from './instrument-specs';

export interface FirmLike {
    id?: string;
    platform: string;
    instruments?: string[];
    instrumentLimits?: Record<string, number>;
    bannedSymbols?: string[];
    symbolMap?: Record<string, { symbol: string }[]>;
}

function localEnabled(): string[] {
    return getInstruments().filter((i) => i.enabled).map((i) => i.symbol);
}

/** What the firm trades (see resolveAllowlist). */
export function firmInstruments(firm: FirmLike): string[] {
    return resolveAllowlist(firm, localEnabled()).roots;
}

/** Whether the list came from the master or the pre-list fallback. */
export function instrumentsSource(firm: FirmLike): 'master' | 'legacy' {
    return resolveAllowlist(firm, localEnabled()).source;
}

export function isFuturesFirm(firm: { platform: string }): boolean {
    return firm.platform !== 'dxtrade';
}

/** Every root a futures firm on this machine lists, in CME order — what the
 *  master's trade bar may send here. */
export function futuresRootsHere(): string[] {
    const listed = new Set(getTradableFirms().filter(isFuturesFirm).flatMap((f) => firmInstruments(f)));
    return CME_ROOTS.filter((root) => listed.has(root));
}

// ── market data (Yahoo hourly candles) ─────────────────────────────────────

interface Market {
    tradeDate: string;
    price: number | null;
    dailyMove: number | null;
    at: number;
    error: string | null;
}

const RETRY_MS = 15 * 60_000;
const FETCH_TIMEOUT_MS = 10_000;
const CONCURRENCY = 4;

const g = globalThis as typeof globalThis & {
    __futuresMarket?: Map<string, Market>;
    __futuresMarketInflight?: Map<string, Promise<void>>;
};
const market = (g.__futuresMarket ??= new Map());
const inflight = (g.__futuresMarketInflight ??= new Map());

function isFresh(m: Market | undefined): boolean {
    if (!m || m.tradeDate !== currentTradeDateCT()) return false;
    return m.error === null || Date.now() - m.at < RETRY_MS;
}

async function fetchMarket(root: string): Promise<void> {
    const spec = CME_SPECS[root];
    const tradeDate = currentTradeDateCT();
    try {
        const res = await axios.get(`https://query1.finance.yahoo.com/v8/finance/chart/${encodeURIComponent(spec.yahoo)}`, {
            params: { interval: '60m', range: '7d' },
            headers: { 'User-Agent': 'Mozilla/5.0' },
            timeout: FETCH_TIMEOUT_MS,
            signal: AbortSignal.timeout(FETCH_TIMEOUT_MS + 5_000),
        });
        const raw: unknown[] = res.data?.chart?.result?.[0]?.indicators?.quote?.[0]?.close ?? [];
        const closes = raw.filter((c): c is number => typeof c === 'number' && Number.isFinite(c) && c > 0);
        const dailyMove = dailyMoveDollars(closes, spec.pointValue);
        market.set(root, {
            tradeDate, price: closes.at(-1) ?? null, dailyMove, at: Date.now(),
            error: dailyMove === null ? `only ${closes.length} hourly closes` : null,
        });
    } catch (err) {
        market.set(root, { tradeDate, price: null, dailyMove: null, at: Date.now(), error: errorMessage(err) });
    }
}

/** Refresh whichever roots aren't measured for today, waiting at most
 *  `deadlineMs` — a draw never stalls on Yahoo. */
export async function ensureMarket(roots: readonly string[], deadlineMs = 4_000): Promise<void> {
    const stale = [...new Set(roots)].filter((r) => CME_SPECS[r] && !isFresh(market.get(r)));
    if (stale.length === 0) return;
    const run = (async () => {
        for (let i = 0; i < stale.length; i += CONCURRENCY) {
            await Promise.all(stale.slice(i, i + CONCURRENCY).map((root) => {
                let p = inflight.get(root);
                if (!p) {
                    p = fetchMarket(root).finally(() => inflight.delete(root));
                    inflight.set(root, p);
                }
                return p;
            }));
        }
    })();
    await Promise.race([run, new Promise((r) => setTimeout(r, deadlineMs))]);
}

/** Measure every root in the background — at boot and at the midnight
 *  contract resolve — so the stats cover unlisted instruments too. */
export function prewarmMarket(): void {
    void ensureMarket(CME_ROOTS, 120_000).then(() => {
        const measured = CME_ROOTS.filter((r) => market.get(r)?.dailyMove != null).length;
        console.log(`[instruments] measured ${measured}/${CME_ROOTS.length} futures from hourly closes`);
    });
}

export function marketOf(root: string): { price: number | null; dailyMove: number | null; error: string | null } | null {
    const m = market.get(root);
    return m ? { price: m.price, dailyMove: m.dailyMove, error: m.error } : null;
}

// ── the draw ────────────────────────────────────────────────────────────────

/** The batch's leg, for the hold estimate: its dollars, its stop (Infinity =
 *  none) and the account type's max contracts. */
export interface LegShape {
    leg: number;
    stopDollars: number;
    maxPositionSize: number;
    /** The firm's most contracts per instrument, by root (absent = none). */
    limits?: Record<string, number>;
}

function progressNow(now: Date): number | null {
    return sessionProgress(now, getSetting('trading_hours') ?? 'full_cme');
}

/** The master's limit on what an entry pays to cross the spread (0 = none). */
export function maxEntrySpread(): number {
    return getTradingSettings().maxEntrySpreadDollars;
}

/**
 * Why an entry on `root` can't go out right now — its spread (live, else the
 * typical tick) is over the master's limit — or null when it can. Every
 * futures entry asks this before sending.
 */
export function spreadBlock(root: string): string | null {
    if (!CME_SPECS[root]) return null;
    const max = maxEntrySpread();
    const spread = entrySpread(root);
    if (!spreadTooWide(spread.dollars, max)) return null;
    return `${root} spread $${spread.dollars.toFixed(2)} (${spread.ticks} tick${spread.ticks === 1 ? '' : 's'}${spread.live ? '' : ', typical'})`
        + ` is over the $${max} entry limit`;
}

/** Every root sized for the leg, and the draw's chances. */
export function futuresBoard(roots: readonly string[], leg: LegShape | null, now = new Date()): {
    progress: number | null;
    candidates: (DrawCandidate & { spreadLive: boolean })[];
    chances: { symbol: string; chance: number }[];
    disabled: string[];
    wide: string[];
} {
    const max = maxEntrySpread();
    const candidates = roots.filter((r) => CME_SPECS[r]).map((root) => {
        const dailyMove = market.get(root)?.dailyMove ?? null;
        const spread = entrySpread(root, now.getTime());
        // The size this leg would trade on this root: a firm's cap on the
        // instrument slows it, and may push it past the hold cap.
        const contracts = leg ? futuresContracts(leg.leg, leg.maxPositionSize, leg.limits?.[root] ?? 0) : 1;
        return {
            symbol: root,
            spreadDollars: spread.dollars,
            spreadLive: spread.live,
            dailyMove,
            holdHours: leg ? expectedHoldHours({ leg: leg.leg, stopDollars: leg.stopDollars, contracts, dailyMove }) : null,
            micro: CME_SPECS[root].micro === true,
            wide: spreadTooWide(spread.dollars, max),
        };
    });
    const progress = progressNow(now);
    const { chances, disabled, wide } = drawChances(candidates, progress);
    return { progress, candidates, chances, disabled, wide };
}

/**
 * Draw one of `roots` for a batch whose leg is `leg`. null when nothing
 * listed fits (all over the hold cap) — the batch sits this tick out.
 */
export async function drawFuturesInstrument(roots: readonly string[], leg: LegShape | null, rand: () => number = Math.random): Promise<string | null> {
    await ensureMarket(roots);
    const board = futuresBoard(roots, leg);
    const root = pickByChance(board.chances, rand());
    const cand = (s: string) => board.candidates.find((c) => c.symbol === s);
    const parts = board.chances.map((c) => `${c.symbol} ${Math.round(c.chance * 100)}%`).join(' · ');
    const off = board.disabled.map((s) => `${s} (~${Math.round(cand(s)?.holdHours ?? 0)}h)`).join(', ');
    const wide = board.wide.map((s) => `${s} $${cand(s)?.spreadDollars.toFixed(2)}`).join(', ');
    const live = board.candidates.filter((c) => c.spreadLive).length;
    console.log(`[instruments] futures: ${root ? `drew ${root}` : 'nothing fits'} — ${parts || 'none drawable'}`
        + `${off ? `; over ${MAX_HOLD_HOURS}h: ${off}` : ''}`
        + `${wide ? `; spread over $${maxEntrySpread()}: ${wide}` : ''}`
        + ` (${live}/${board.candidates.length} live spreads`
        + `${board.progress !== null ? `, session ${Math.round(board.progress * 100)}%` : ''})`);
    return root;
}

/** The draw's odds over `n` simulated batches — the real draw code, no
 *  orders — for GET /api/instruments?simulate=. */
export function simulateDraws(roots: readonly string[], leg: LegShape | null, n: number): Record<string, number> {
    const board = futuresBoard(roots, leg);
    const counts: Record<string, number> = {};
    for (let i = 0; i < n; i++) {
        const s = pickByChance(board.chances, Math.random());
        if (s) counts[s] = (counts[s] ?? 0) + 1;
    }
    return counts;
}

// ── stats for the master and the Settings page ─────────────────────────────

/**
 * A futures firm's instruments as the draw sees them right now: every CME
 * root with its spread, movement and contract, and — sized for `lead`'s
 * next leg — the listed ones' holds, the ones over the cap, and each one's
 * chance.
 */
export function instrumentStatsFor(
    firm: FirmLike & { id: string },
    lead: (LegShape & { account: string }) | null,
): InstrumentStats {
    const listed = firmInstruments(firm);
    const limits = firm.instrumentLimits ?? {};
    const board = futuresBoard(listed, lead ? { ...lead, limits } : null);
    const disabled = new Set(board.disabled);
    const max = maxEntrySpread();
    return {
        at: new Date().toISOString(),
        account: lead?.account ?? null,
        leg: lead?.leg ?? null,
        sessionProgress: board.progress,
        maxHoldHours: MAX_HOLD_HOURS,
        maxEntrySpreadDollars: max,
        quoteSource: quoteSource(),
        instruments: CME_ROOTS.map((root) => {
            const dailyMove = market.get(root)?.dailyMove ?? null;
            const holdHours = lead
                ? expectedHoldHours({
                    leg: lead.leg, stopDollars: lead.stopDollars, dailyMove,
                    contracts: futuresContracts(lead.leg, lead.maxPositionSize, limits[root] ?? 0),
                })
                : null;
            const spread = entrySpread(root);
            return {
                symbol: root,
                listed: listed.includes(root),
                contract: getCachedContract(root)?.name ?? null,
                spreadDollars: spread.dollars,
                spreadLive: spread.live,
                spreadBlocked: spreadTooWide(spread.dollars, max),
                dailyMoveDollars: dailyMove === null ? null : Math.round(dailyMove),
                holdHours: holdHours === null ? null : Math.round(holdHours * 10) / 10,
                disabled: listed.includes(root) ? disabled.has(root) : holdHours !== null && holdHours >= MAX_HOLD_HOURS,
                chance: board.chances.find((c) => c.symbol === root)?.chance ?? null,
            };
        }),
    };
}