autofirmer-expanded/lib/tradovate-class.ts

// Create a class with a constructor that takes a username and password and sets the credentials

import axios from 'axios';
import type { AccountItem, AuthLoginResponse, Contract } from './tradovate-helpers';
import { computeSec, randomUUIDV4 } from './tradovate-helpers';

export class TradovateClient {
    private name: string;
    private password: string;
    private accessInfo: AuthLoginResponse;
    private deviceId = randomUUIDV4();

    public accountList: AccountItem[] = [];
    public accountCashBalances: {
        [accountId: number]: {
            amount: number;
            realizedPnL: number;
        };
    } = {};
    public positions: {
        [accountId: number]: {
            contractId: number;
            netPos: number;
            netPrice: number;
            timestamp: Date;
        };
    } = {};

    public daysTraded: { [accountId: number]: number } = {};
    public dailyPnL: { [accountId: number]: { date: string; pnl: number }[] } = {};
    /** Balance floor set by the prop firm — account is blown when amount <= this value (0 = not set) */
    public autoLiqThresholds: { [accountId: number]: number } = {};

    public products: { id: number; name: string }[] = [];

    private ws: WebSocket;
    private callbackOnSyncRequest: () => Promise<void>;

    // Events that we sent out, and tradovate gives us a response for the id we sent out
    private directEventCallbacks: {
        [id: number]: (response: any) => void;
    } = {};
    private indirectEventCallbacks: {
        entityType:
            | 'order'
            | 'orderVersion'
            | 'auditUserAction'
            | 'command'
            | 'commandReport'
            | 'fill'
            | 'fillFee'
            | 'executionReport'
            | 'cashBalance';
        eventType: 'Created' | 'Updated';
        // Since the entity is not always the same, we need a validator to check if the response is the one we are looking for
        validator: (response: any) => boolean;
        callback: (response: any) => void;
    }[] = [];


    constructor(
        name: string,
        password: string,
        callbackOnSyncRequest: () => Promise<void>
    ) {
        this.name = name;
        this.password = password;
        this.callbackOnSyncRequest = callbackOnSyncRequest;

        this.login().then((res) => {
            if (!res?.accessToken) {
                console.log('Failed to login', res);
                return;
            }

            console.log('Logged in', res);

            // check every 2 minutes if the access token is expired
            setInterval(() => {
                // If we are within 15 minutes of the expiration time, renew the access token
                if (
                    new Date(res.expirationTime).getTime() <
                    new Date().getTime() + 15 * 60 * 1000
                ) {
                    this.renewAccessToken();
                }
            }, 2 * 60 * 1000);

            this.accessInfo = res;

            const randomnumber = Math.random().toString(36).substring(2, 15);
            this.ws = new WebSocket(`wss://demo.tradovateapi.com/v1/websocket?r=${randomnumber}`);

            this.ws.onopen = () => {
                console.log('Connected to websocket');
                this.ws.send('authorize\n2\n\n' + this.accessInfo.accessToken);
                this.directEventCallbacks[2] = (response: any) => {
                    this.requestSync();
                    setInterval(() => this.requestSync(), 60000);

                    // Every 2.5 seconds send a heartbeat
                    setInterval(() => {
                        this.ws.send('[]');
                    }, 2500);
                };
            };

            this.ws.onmessage = (event) => {
                if (event.data[0] === 'a') {
                    const dataString = event.data.slice(1);

                    const data: (
                        | {
                              i?: number; // Id
                              s?: number; // Status
                              d?: any; // Data
                          }
                        | {
                              e?: string;
                              d?: {
                                  entityType:
                                      | 'order'
                                      | 'orderVersion'
                                      | 'auditUserAction'
                                      | 'command'
                                      | 'commandReport';
                                  eventType: 'Created' | 'Updated';
                                  entity: any;
                              };
                          }
                    )[] = JSON.parse(dataString);

                    for (const response of data) {
                        if (
                            'i' in response &&
                            response.i &&
                            this.directEventCallbacks[response.i]
                        ) {
                            this.directEventCallbacks[response.i](response.d);
                        }

                        if ('e' in response && response.e) {
                            // Handle callbacks
                            for (const info of this.indirectEventCallbacks) {
                                if (
                                    response.d?.entityType === info?.entityType &&
                                    response.d?.eventType === info?.eventType &&
                                    info?.validator(response.d.entity)
                                ) {
                                    info?.callback(response.d.entity);
                                }
                            }

                            // console.log('No callback found', response.d);
                        }
                    }
                } else if (event.data[0] === 'h') {
                    // Heartbeat response
                }
            };

            this.ws.onerror = (event) => {
                console.error('Error on websocket', event);
            };
        });
    }

    private requestSync(): void {
        this.directEventCallbacks[3] = (response: any) => {
            try {
                if (!response) {
                    console.error('[requestSync] Received null/undefined response — auth may have failed');
                    return;
                }

                // liquidateOnly flag lives in accountRiskStatuses
                const riskStatusById: { [accountId: number]: { liquidateOnly?: string } } = (
                    response.accountRiskStatuses || []
                ).reduce((acc: any, item: any) => {
                    const key = item.accountId ?? item.id;
                    acc[key] = item;
                    return acc;
                }, {});

                // Auto-liquidation balance floor lives in userAccountAutoLiqs.
                // item.id IS the account ID. The floor is: trailingMaxDrawdownLimit - trailingMaxDrawdown.
                // Tradovate uses 999999999 as a sentinel for "no limit" — skip those.
                for (const item of (response.userAccountAutoLiqs ?? [])) {
                    const accountId: number = item.id;
                    const limit: number = item.trailingMaxDrawdownLimit ?? 0;
                    const drawdown: number = item.trailingMaxDrawdown ?? 0;
                    const isSentinel = limit >= 999999999;
                    const floor = (!isSentinel && limit > 0 && drawdown > 0) ? limit - drawdown : 0;
                    this.autoLiqThresholds[accountId] = floor;
                    if (floor > 0) {
                        console.log(`[autoLiq] account ${accountId} → floor $${floor} (hwm=$${limit} drawdown=$${drawdown})`);
                    }
                }

                this.accountList = ((response.accounts ?? []) as AccountItem[]).map((account) => {
                    if (riskStatusById[account.id]?.liquidateOnly) {
                        return { ...account, active: false };
                    }
                    return account;
                });

                this.accountCashBalances = (response.cashBalances ?? []).reduce(
                    (
                        acc: { [accountId: number]: { amount: number; realizedPnL: number } },
                        item: { accountId: number; amount: number; realizedPnL: number }
                    ) => {
                        acc[item.accountId] = { amount: item.amount, realizedPnL: item.realizedPnL };
                        return acc;
                    },
                    {} as { [accountId: number]: { amount: number; realizedPnL: number } }
                );

                this.positions = (response.positions ?? [])
                    .filter((item: any) => item.netPos !== 0)
                    .reduce(
                        (
                            acc: { [accountId: number]: { contractId: number; netPos: number; netPrice: number; timestamp: Date } },
                            item: { accountId: number; contractId: number; netPos: number; netPrice: number; timestamp: Date }
                        ) => {
                            acc[item.accountId] = {
                                contractId: item.contractId,
                                netPos: item.netPos,
                                netPrice: item.netPrice,
                                timestamp: new Date(item.timestamp),
                            };
                            return acc;
                        },
                        {} as { [accountId: number]: { contractId: number; netPos: number; netPrice: number; timestamp: Date } }
                    );

                console.log(`[requestSync] ${this.accountList.length} account(s), ${Object.keys(this.accountCashBalances).length} balance(s)`);

                this.fetchDaysTraded();

                if (this.products.length > 0) {
                    this.callbackOnSyncRequest();
                    return;
                }

                this.directEventCallbacks[30] = (products: any) => {
                    if (Array.isArray(products) && products.length > 0) {
                        this.products = products.map((p: any) => ({ id: p.id, name: p.name }));
                        console.log(`Loaded ${this.products.length} products`);
                    }
                    this.callbackOnSyncRequest();
                };
                this.ws.send('product/list\n30\n\n');
            } catch (err) {
                console.error('[requestSync] Error processing sync response:', err);
            }
        };

        this.ws.send('user/syncrequest\n3\n\n{"splitResponses":false}');
    }

    private async fetchDaysTraded(): Promise<void> {
        if (!this.accessInfo?.accessToken) return;

        const now = new Date();
        const start = new Date();
        start.setDate(start.getDate() - 28);

        const fmtDate = (d: Date) => {
            const m = String(d.getMonth() + 1).padStart(2, '0');
            const day = String(d.getDate()).padStart(2, '0');
            return `${m}/${day}/${d.getFullYear()}`;
        };

        for (const account of this.accountList) {
            try {
                const res = await axios.post(
                    'https://rpt-demo.tradovateapi.com/v1/reports/requestreport',
                    {
                        name: 'Fills',
                        params: [
                            { name: 'startDate', value: fmtDate(start) },
                            { name: 'endDate', value: fmtDate(now) },
                            { name: 'startTime', value: '00:00:00' },
                            { name: 'endTime', value: '00:00:00' },
                            { name: 'account', value: account.name },
                        ],
                        representationType: 'json',
                        timezone: 0,
                    },
                    { headers: { Authorization: `Bearer ${this.accessInfo.accessToken}` } }
                );
                // _tradeDate is unquoted in the response (invalid JSON), but the "Date" field
                // ("M/D/YY") is a valid quoted string that already reflects CME trade date.
                const raw: string = (res.data?.data ?? '[]')
                    .replace(/"_tradeDate":\s*(\d{4}-\d{2}-\d{2})/g, '"_tradeDate": "$1"');
                type Fill = {
                    _tradeDate: string;
                    _timestamp: string;
                    _action: number;   // 0 = Buy, 1 = Sell
                    _qty: number;
                    _price: number;
                    Product: string;
                    commission: number;
                };
                const fills: Fill[] = JSON.parse(raw);
                const uniqueDays = new Set(fills.map(f => f._tradeDate));
                this.daysTraded[account.id] = uniqueDays.size;

                // Dollar-per-point map for common futures products
                const POINT_VALUES: { [product: string]: number } = {
                    NQ: 20, MNQ: 2, ES: 50, MES: 5,
                    YM: 5, MYM: 0.5, RTY: 50, M2K: 10,
                    GC: 100, MGC: 10, SI: 50, CL: 1000,
                    MCL: 100, NG: 10000, ZB: 1000, ZN: 1000,
                    ZF: 1000, '6E': 125000, '6J': 12500000, '6B': 62500,
                };

                // FIFO P&L computation: match buy/sell fills into round-trips
                // Both the opening and closing commissions are deducted on close.
                const sorted = [...fills].sort((a, b) => a._timestamp.localeCompare(b._timestamp));
                interface Lot { price: number; qty: number; commPerUnit: number }
                const longBook: Lot[] = [];
                const shortBook: Lot[] = [];
                const dailyMap: { [date: string]: number } = {};

                for (const fill of sorted) {
                    const pointValue = POINT_VALUES[fill.Product] ?? 1;
                    const isBuy = fill._action === 0;
                    let remaining = fill._qty;
                    const commPerUnit = fill._qty > 0 ? fill.commission / fill._qty : 0;

                    if (isBuy) {
                        // Close any short lots first (FIFO), then open long
                        while (remaining > 0 && shortBook.length > 0) {
                            const lot = shortBook[0];
                            const closed = Math.min(lot.qty, remaining);
                            const pnl = (lot.price - fill._price) * closed * pointValue
                                - (commPerUnit * closed)       // closing fill commission
                                - (lot.commPerUnit * closed);  // opening fill commission
                            dailyMap[fill._tradeDate] = (dailyMap[fill._tradeDate] ?? 0) + pnl;
                            lot.qty -= closed;
                            remaining -= closed;
                            if (lot.qty === 0) shortBook.shift();
                        }
                        if (remaining > 0) longBook.push({ price: fill._price, qty: remaining, commPerUnit });
                    } else {
                        // Close any long lots first (FIFO), then open short
                        while (remaining > 0 && longBook.length > 0) {
                            const lot = longBook[0];
                            const closed = Math.min(lot.qty, remaining);
                            const pnl = (fill._price - lot.price) * closed * pointValue
                                - (commPerUnit * closed)       // closing fill commission
                                - (lot.commPerUnit * closed);  // opening fill commission
                            dailyMap[fill._tradeDate] = (dailyMap[fill._tradeDate] ?? 0) + pnl;
                            lot.qty -= closed;
                            remaining -= closed;
                            if (lot.qty === 0) longBook.shift();
                        }
                        if (remaining > 0) shortBook.push({ price: fill._price, qty: remaining, commPerUnit });
                    }
                }

                this.dailyPnL[account.id] = Object.entries(dailyMap)
                    .map(([date, pnl]) => ({ date, pnl: Math.round(pnl * 100) / 100 }))
                    .sort((a, b) => a.date.localeCompare(b.date));
            } catch (err) {
                console.error(`[fetchDaysTraded] ${account.name}`, err);
                this.daysTraded[account.id] ??= 0;
            }
        }
    }

    private async login(): Promise<AuthLoginResponse> {
        const chl = '' + (Date.now() - 1581e9);
        const sec = computeSec(this.name, this.password, this.deviceId, chl);

        const generateEncodedPassword = (e) => {
            const { name: t, password: n } = e,
                o = t.length % n.length,
                r = (n.slice(o) + n.slice(0, o)).split('').reverse().join('');
            return btoa(r);
        };

        const res = await axios.post('https://live.tradovateapi.com/v1/auth/accesstokenrequest', {
            name: this.name,
            password: generateEncodedPassword({ name: this.name, password: this.password }),
            environment: 'demo',
            appId: 'tradovate_trader(web)',
            appVersion: '3.251205.0',
            deviceId: this.deviceId,
            cid: '1',
            chl: chl,
            sec: sec,
            enc: true,
        });

        if (res.status !== 200) {
            console.error('Failed to login', res.data);
        }

        return res.data;
    }

    private async renewAccessToken(): Promise<void> {
        const res = await axios.get('https://live.tradovateapi.com/v1/auth/renewAccessToken', {
            headers: {
                Authorization: `Bearer ${this.accessInfo.accessToken}`,
            },
        });

        if (res.status !== 200) {
            console.error('Failed to renew access token', res.data);
        }

        console.log('Renewed access token');
        this.accessInfo = res.data;
    }

    async getAccountList(): Promise<AccountItem[]> {
        if (!this.accessInfo?.accessToken) {
            console.log('Not authenticated');
            return [];
        }

        const res = await axios.get('https://demo.tradovateapi.com/v1/account/list', {
            headers: {
                Authorization: `Bearer ${this.accessInfo.accessToken}`,
            },
        });

        return res.data;
    }

    async fetchInstrumentFees(symbols: string[]): Promise<{ [symbol: string]: number }> {
        if (!this.accessInfo?.accessToken || this.products.length === 0) return {};

        const productIds = symbols
            .map((sym) => this.products.find((p) => p.name === sym)?.id)
            .filter((id): id is number => id !== undefined);

        const res = await axios.post(
            'https://demo.tradovateapi.com/v1/contract/getproductfeeparams',
            { productIds },
            { headers: { Authorization: `Bearer ${this.accessInfo.accessToken}` } }
        );

        const result: { [symbol: string]: number } = {};
        for (const param of (res.data?.params ?? [])) {
            const product = this.products.find((p) => p.id === param.productId);
            if (product && symbols.includes(product.name)) {
                const raw =
                    (param.clearingFee ?? 0) +
                    (param.exchangeFee ?? 0) +
                    (param.nfaFee ?? 0) +
                    (param.brokerageFee ?? 0) +
                    (param.ipFee ?? 0) +
                    (param.commission ?? 0) +
                    (param.orderRoutingFee ?? 0);
                result[product.name] = parseFloat(raw.toFixed(4));
                console.log(
                    `[fees] ${product.name}: clearing=${param.clearingFee ?? 0}` +
                    ` exchange=${param.exchangeFee ?? 0}` +
                    ` nfa=${param.nfaFee ?? 0}` +
                    ` brokerage=${param.brokerageFee ?? 0}` +
                    ` ip=${param.ipFee ?? 0}` +
                    ` commission=${param.commission ?? 0}` +
                    ` routing=${param.orderRoutingFee ?? 0}` +
                    ` → total=${result[product.name]}`
                );
            }
        }
        return result;
    }

    async requestContractsFromSocket(names: string[]): Promise<{
        [name: string]: Contract;
    }> {
        if (!this.ws) {
            console.log('Websocket not connected');
            return {};
        }

        return new Promise((resolve) => {
            this.directEventCallbacks[10] = (response: any) => {
                resolve(
                    (response || []).reduce((acc: { [name: string]: Contract }, item: Contract) => {
                        return { ...acc, [item.name]: item };
                    }, {} as { [name: string]: Contract })
                );
            };
            this.ws.send(`contract/finds\n10\nnames=${names.join(',')}`);
        });
    }

    async sendOrder(
        accountId: number,
        contractId: number,
        quantity: number,
        action: 'Buy' | 'Sell',
        orderType: 'Market' | 'Limit',
        price?: number
    ): Promise<any> {
        if (!this.ws) {
            console.log('Websocket not connected');
            return;
        }

        this.ws.send(
            `user/registeraudituseraction\n25\n\n${JSON.stringify({
                accountId: accountId,
                actionType: action + orderType,
                details: `DOM MESZ5: Buy ${orderType}, Buy ${quantity}  ${orderType}${
                    price ? ` ${price}` : ''
                }, TIF Day`,
            })}`
        );

        return new Promise((resolve, reject) => {
            this.directEventCallbacks[26] = (response: any) => {
                // console.log('Order id', response?.orderId);
                console.log('Order placed, order id: ', response);

                // TODO: Implement for limit orders and rejected market orders

                // If we don't get a response within 5 seconds, reject the promise
                setTimeout(() => {
                    reject(new Error('No response from order placement'));
                }, 5000);

                this.indirectEventCallbacks.push({
                    entityType: 'fill',
                    eventType: 'Created',
                    validator: (item: any) => item?.orderId === response?.orderId,
                    callback: (response: any) => {
                        resolve(response);
                    },
                });
            };

            this.ws.send(
                `order/placeorder\n26\n\n${JSON.stringify({
                    accountId: accountId,
                    action: action,
                    symbol: contractId,
                    orderQty: quantity,
                    orderType: orderType,
                    price: price,
                    timeInForce: 'Day',
                    text: 'DOM',
                })}`
            );
        });
    }
}