autofirmer-expanded/lib/instrument-specs.ts

/**
 * Contract specs for the CME futures the bot trades, and the pure maths of
 * choosing between them — the session-aware Auto draw, the 12-hour hold cap,
 * the legs that always trade a micro — plus reading a firm's instrument list
 * off the catalog.
 *
 * Specs live here, not on the master: point value and tick size size real
 * orders, so they aren't editable remotely. The master only knows the names.
 *
 * No imports: scripts/check-instruments.mjs loads this file directly.
 */

export interface CmeSpec {
    name: string;
    /** Dollars per 1.0 of price, per contract. */
    pointValue: number;
    tickSize: number;
    /** Typical bid/ask spread in ticks — a liquid front month is one tick
     *  wide. Used when no live quote is at hand (lib/live-quotes.ts). */
    spreadTicks: number;
    /** Yahoo's continuous-contract ticker, for hourly candles. */
    yahoo: string;
    micro?: boolean;
}

const spec = (name: string, pointValue: number, tickSize: number, yahoo: string, micro = false): CmeSpec =>
    ({ name, pointValue, tickSize, spreadTicks: 1, yahoo, ...(micro ? { micro } : {}) });

export const CME_SPECS: Readonly<Record<string, CmeSpec>> = {
    NQ: spec('Nasdaq-100', 20, 0.25, 'NQ=F'),
    MNQ: spec('Micro Nasdaq-100', 2, 0.25, 'MNQ=F', true),
    ES: spec('S&P 500', 50, 0.25, 'ES=F'),
    MES: spec('Micro S&P 500', 5, 0.25, 'MES=F', true),
    YM: spec('Dow', 5, 1, 'YM=F'),
    MYM: spec('Micro Dow', 0.5, 1, 'MYM=F', true),
    RTY: spec('Russell 2000', 50, 0.1, 'RTY=F'),
    M2K: spec('Micro Russell 2000', 5, 0.1, 'M2K=F', true),
    GC: spec('Gold', 100, 0.1, 'GC=F'),
    MGC: spec('Micro Gold', 10, 0.1, 'MGC=F', true),
    SI: spec('Silver', 5000, 0.005, 'SI=F'),
    CL: spec('Crude Oil', 1000, 0.01, 'CL=F'),
    MCL: spec('Micro Crude Oil', 100, 0.01, 'MCL=F', true),
    NG: spec('Natural Gas', 10000, 0.001, 'NG=F'),
    ZB: spec('30-Year T-Bond', 1000, 1 / 32, 'ZB=F'),
    ZN: spec('10-Year T-Note', 1000, 1 / 64, 'ZN=F'),
    ZF: spec('5-Year T-Note', 1000, 1 / 128, 'ZF=F'),
    '6E': spec('Euro FX', 125000, 0.00005, '6E=F'),
    '6J': spec('Japanese Yen', 12500000, 0.0000005, '6J=F'),
    '6B': spec('British Pound', 62500, 0.0001, '6B=F'),
};

export const CME_ROOTS: readonly string[] = Object.keys(CME_SPECS);

/** $ per point, per contract — the table the engine has always used. */
export const POINT_VALUES: Readonly<Record<string, number>> = Object.fromEntries(
    CME_ROOTS.map((root) => [root, CME_SPECS[root].pointValue]),
);

/** Each full-size contract's micro. */
export const MICRO_OF: Readonly<Record<string, string>> = { NQ: 'MNQ', ES: 'MES', YM: 'MYM', RTY: 'M2K', GC: 'MGC', CL: 'MCL' };

export function tickValue(root: string): number {
    const s = CME_SPECS[root];
    return s ? s.tickSize * s.pointValue : NaN;
}

/** One contract crossing the typical spread, in dollars. */
export function spreadDollars(root: string): number {
    const s = CME_SPECS[root];
    return s ? s.spreadTicks * s.tickSize * s.pointValue : NaN;
}

/** The most an entry may pay to cross the spread, per contract, when the
 *  master's catalog doesn't say (its Settings page sets it). */
export const DEFAULT_MAX_ENTRY_SPREAD = 15;

/** Whether a spread is over the entry limit. A limit of 0 or less is off. */
export function spreadTooWide(spreadDollars: number, maxDollars: number): boolean {
    return maxDollars > 0 && Number.isFinite(spreadDollars) && spreadDollars > maxDollars + 1e-9;
}

/** Hold cap: an instrument whose next leg is expected to take this long or
 *  longer is out of the draw. */
export const MAX_HOLD_HOURS = 12;
/** Every drawable instrument's minimum share at the session's open; it fades
 *  to nothing by the last entry. */
export const DRAW_FLOOR = 0.10;
/** How hard the end of the session leans on the fastest instruments. */
export const LATE_SHARPNESS = 8;
/** Hourly bars in a CME trading day (23 of 24 hours trade). */
export const BARS_PER_DAY = 23;
const MIN_CLOSES = 25;

/**
 * One contract's typical daily move (1σ), in dollars, from hourly closes
 * oldest first: σ of the hourly log returns × √(bars per day) × the last
 * price × the point value. null on too few closes.
 */
export function dailyMoveDollars(closes: number[], pointValue: number, barsPerDay = BARS_PER_DAY): number | null {
    const clean = closes.filter((c) => Number.isFinite(c) && c > 0);
    if (clean.length < MIN_CLOSES || !(pointValue > 0)) return null;
    const r: number[] = [];
    for (let i = 1; i < clean.length; i++) r.push(Math.log(clean[i] / clean[i - 1]));
    const mean = r.reduce((s, x) => s + x, 0) / r.length;
    const sd = Math.sqrt(r.reduce((s, x) => s + (x - mean) ** 2, 0) / (r.length - 1));
    return sd * Math.sqrt(barsPerDay) * clean[clean.length - 1] * pointValue;
}

/** Contracts a futures leg trades: one per $1,000, capped by the account
 *  type's max contracts (0 = no cap) — the rule fireLeg sizes by. */
export function futuresContracts(leg: number, maxPositionSize: number): number {
    const raw = Math.max(1, Math.ceil(leg / 1000));
    return maxPositionSize > 0 ? Math.min(raw, maxPositionSize) : raw;
}

/**
 * Expected hours for a leg to reach its take-profit or stop, as a fair walk:
 * (A / move)(B / move) days, with the move scaled by the contracts. A
 * stopless leg is taken as B = A. null without a move.
 */
export function expectedHoldHours(o: { leg: number; stopDollars: number; contracts: number; dailyMove: number | null }): number | null {
    if (o.dailyMove === null || !(o.dailyMove > 0) || !(o.leg > 0)) return null;
    const move = o.dailyMove * Math.max(1, o.contracts);
    const b = Number.isFinite(o.stopDollars) && o.stopDollars > 0 ? o.stopDollars : o.leg;
    return (o.leg / move) * (b / move) * 24;
}

function centralMinutes(now: Date): { day: string; minutes: number } {
    const parts = new Intl.DateTimeFormat('en-US', {
        timeZone: 'America/Chicago', weekday: 'short', hour: '2-digit', minute: '2-digit', hourCycle: 'h23',
    }).formatToParts(now);
    const get = (type: string) => parts.find((p) => p.type === type)?.value ?? '';
    return { day: get('weekday'), minutes: (parseInt(get('hour'), 10) % 24) * 60 + parseInt(get('minute'), 10) };
}

/**
 * How far through the trading session `now` is: 0 at the open, 1 at the last
 * entry. full_cme runs 17:45 → 14:55 CT the next day (trading-logic's
 * CME_EVENING_OPEN_MIN — no imports here); equity_hours 8:35 → 14:55. null
 * outside the session.
 */
export function sessionProgress(now: Date, mode: string): number | null {
    const { day, minutes } = centralMinutes(now);
    if (mode === 'equity_hours') {
        if (day === 'Sat' || day === 'Sun' || minutes < 515 || minutes > 895) return null;
        return (minutes - 515) / (895 - 515);
    }
    const open = 17 * 60 + 45;
    const length = 24 * 60 - open + 14 * 60 + 55; // 21h10m
    const since = (minutes - open + 1440) % 1440;
    if (since > length) return null;
    if (day === 'Sat' || (day === 'Fri' && minutes > 895) || (day === 'Sun' && minutes < open)) return null;
    return since / length;
}

export interface DrawCandidate {
    symbol: string;
    spreadDollars: number;
    /** One contract's daily move in dollars; null = not measured. */
    dailyMove: number | null;
    /** The next leg's expected hold on it; null = unknown. */
    holdHours: number | null;
    micro?: boolean;
    /** Its live spread is over the entry limit right now. */
    wide?: boolean;
}

/**
 * Each instrument's share of the Auto draw at session progress `p`.
 *
 * Efficiency = daily move ÷ spread: movement per dollar paid to cross the
 * spread (commissions don't count). Speed ∝ move², since a fair walk's hold
 * time goes with 1/move². With q = p², the weight slides from efficiency
 * early to a sharp preference for the fastest late:
 *     weight = efficiency^(1−q) × move^(sharpness·q)
 * and every drawable instrument gets a floor of DRAW_FLOOR × (1−q).
 *
 * Out of the draw: anything whose expected hold is MAX_HOLD_HOURS or more
 * (`disabled`), anything whose live spread is over the entry limit (`wide`),
 * and micros unless nothing else is left. An unmeasured instrument gets the
 * median weight; if none are measured, the draw is even.
 */
export function drawChances(
    candidates: DrawCandidate[],
    p: number | null,
    opts: { floor?: number; sharpness?: number; maxHoldHours?: number } = {},
): { chances: { symbol: string; chance: number }[]; disabled: string[]; wide: string[] } {
    const floorBase = opts.floor ?? DRAW_FLOOR;
    const sharpness = opts.sharpness ?? LATE_SHARPNESS;
    const maxHold = opts.maxHoldHours ?? MAX_HOLD_HOURS;
    const progress = p === null ? 0 : Math.min(1, Math.max(0, p));
    const q = progress * progress;

    const disabled = candidates.filter((c) => c.holdHours !== null && c.holdHours >= maxHold).map((c) => c.symbol);
    const wide = candidates.filter((c) => c.wide === true).map((c) => c.symbol);
    let pool = candidates.filter((c) => !disabled.includes(c.symbol) && !wide.includes(c.symbol));
    if (pool.some((c) => !c.micro)) pool = pool.filter((c) => !c.micro);
    if (pool.length === 0) return { chances: [], disabled, wide };

    const logWeight = (c: DrawCandidate): number | null => (c.dailyMove !== null && c.dailyMove > 0 && c.spreadDollars > 0
        ? (1 - q) * Math.log(c.dailyMove / c.spreadDollars) + sharpness * q * Math.log(c.dailyMove)
        : null);
    const measured = pool.map(logWeight).filter((w): w is number => w !== null).sort((a, b) => a - b);
    const median = measured.length === 0 ? 0 : measured.length % 2
        ? measured[(measured.length - 1) / 2]
        : (measured[measured.length / 2 - 1] + measured[measured.length / 2]) / 2;
    const logs = pool.map((c) => logWeight(c) ?? median);
    const top = Math.max(...logs);
    const weights = logs.map((l) => Math.exp(l - top));
    const total = weights.reduce((s, w) => s + w, 0);
    const n = pool.length;
    const floor = Math.min(floorBase * (1 - q), 1 / n);
    return {
        chances: pool.map((c, i) => ({ symbol: c.symbol, chance: floor + (1 - n * floor) * (weights[i] / total) })),
        disabled,
        wide,
    };
}

/** The instrument a uniform random number in [0, 1) lands on. */
export function pickByChance(chances: { symbol: string; chance: number }[], rand: number): string | null {
    let acc = 0;
    for (const c of chances) {
        acc += c.chance;
        if (rand < acc) return c.symbol;
    }
    return chances.length > 0 ? chances[chances.length - 1].symbol : null;
}

/**
 * What a firm's drain and extra-day legs trade — tiny, so a micro: MNQ when
 * NQ or MNQ is listed (as always), else the micro of a listed full-size
 * contract, else a listed micro, else the listed root with the smallest tick
 * value. null for an empty list.
 */
export function housekeepingRoot(listed: readonly string[]): string | null {
    const roots = listed.filter((r) => CME_SPECS[r]);
    if (roots.length === 0) return null;
    if (roots.includes('NQ') || roots.includes('MNQ')) return 'MNQ';
    const twin = roots.find((r) => MICRO_OF[r]);
    if (twin) return MICRO_OF[twin];
    const micro = roots.find((r) => CME_SPECS[r].micro);
    if (micro) return micro;
    return [...roots].sort((a, b) => tickValue(a) - tickValue(b))[0];
}

const DXTRADE_SYMBOL = /^[A-Za-z0-9./_:-]{1,32}$/;

/** A catalog list, cleaned for the firm's family: CME roots this build has
 *  specs for, or valid DXtrade symbols. Deduplicated, in order. */
export function sanitizeInstruments(platform: string, raw: unknown): string[] {
    if (!Array.isArray(raw)) return [];
    const futures = platform !== 'dxtrade';
    const out: string[] = [];
    for (const value of raw) {
        if (typeof value !== 'string') continue;
        const symbol = futures ? value.trim().toUpperCase() : value.trim();
        const ok = futures ? Boolean(CME_SPECS[symbol]) : DXTRADE_SYMBOL.test(symbol);
        if (ok && !out.includes(symbol)) out.push(symbol);
    }
    return out;
}

/**
 * The instruments a firm trades. The master's list when the catalog carries
 * one; otherwise (a master from before the lists) the old rules: a futures
 * firm trades this machine's enabled instruments less its banned symbols; a
 * DXtrade firm every symbol in its map, the '*' row first.
 */
export function resolveAllowlist(
    firm: { platform: string; instruments?: string[]; bannedSymbols?: string[]; symbolMap?: Record<string, { symbol: string }[]> },
    localEnabled: readonly string[],
): { roots: string[]; source: 'master' | 'legacy' } {
    if (Array.isArray(firm.instruments)) return { roots: sanitizeInstruments(firm.platform, firm.instruments), source: 'master' };
    if (firm.platform === 'dxtrade') {
        const map = firm.symbolMap ?? {};
        const keys = Object.keys(map).sort((a, b) => (a === '*' ? -1 : b === '*' ? 1 : a.localeCompare(b)));
        return { roots: sanitizeInstruments('dxtrade', keys.flatMap((k) => (map[k] ?? []).map((c) => c.symbol))), source: 'legacy' };
    }
    const banned = new Set(firm.bannedSymbols ?? []);
    return { roots: sanitizeInstruments(firm.platform, localEnabled.filter((r) => !banned.has(r))), source: 'legacy' };
}