diff --git a/.github/workflows/binance-strategy27-events.yml b/.github/workflows/binance-strategy27-events.yml new file mode 100644 index 0000000..5cb75f7 --- /dev/null +++ b/.github/workflows/binance-strategy27-events.yml @@ -0,0 +1,56 @@ +name: Binance Strategy 27 Events + +on: + pull_request: + paths: + - ".github/workflows/binance-strategy27-events.yml" + - "package.json" + - "package-lock.json" + - "scripts/build-userscript.mjs" + - "scripts/userscript-release-contract.mjs" + - "src/binance-strategy27-events/**" + - "src/shared/binance-futures-route.js" + - "src/shared/spa-route-change.js" + - "scripts/binance-strategy27-events.user.js" + - "test/unit/binance-strategy27-events/**" + - "test/dom/binance-strategy27-events/**" + - "test/unit/userscript-metadata-icons.test.js" + - "test/unit/userscript-release-contract.test.js" + push: + branches: + - main + paths: + - ".github/workflows/binance-strategy27-events.yml" + - "package.json" + - "package-lock.json" + - "scripts/build-userscript.mjs" + - "scripts/userscript-release-contract.mjs" + - "src/binance-strategy27-events/**" + - "src/shared/binance-futures-route.js" + - "src/shared/spa-route-change.js" + - "scripts/binance-strategy27-events.user.js" + - "test/unit/binance-strategy27-events/**" + - "test/dom/binance-strategy27-events/**" + - "test/unit/userscript-metadata-icons.test.js" + - "test/unit/userscript-release-contract.test.js" + +permissions: + contents: read + +jobs: + verify: + runs-on: ubuntu-latest + timeout-minutes: 10 + steps: + - uses: actions/checkout@v4 + - uses: actions/setup-node@v4 + with: + node-version: 22 + cache: npm + - run: npm ci + - run: npm run test:binance-strategy27-events + - run: npm run build:binance-strategy27-events + - run: git diff --exit-code -- scripts/binance-strategy27-events.user.js + - run: npm run check:binance-userscripts + - run: node scripts/userscript-release-contract.mjs scripts/binance-strategy27-events.user.js + diff --git a/AGENTS.md b/AGENTS.md index 6bfc4f5..a4e1131 100644 --- a/AGENTS.md +++ b/AGENTS.md @@ -6,8 +6,9 @@ - `src/binance-orderbook-trade/` 是 `scripts/binance-orderbook-trade.user.js` 的开发真源。 - `src/binance-trading-data/` 是 `scripts/binance-trading-data.user.js` 的开发真源。 - `src/binance-coinmarketcap-data/` 是 `scripts/binance-coinmarketcap-data.user.js` 的开发真源。 +- `src/binance-strategy27-events/` 是 `scripts/binance-strategy27-events.user.js` 的开发真源。 - `src/m3u8-downloader/` 是 `scripts/m3u8-downloader.user.js` 的开发真源。 -- `scripts/binance-orderbook-trade.user.js`、`scripts/binance-trading-data.user.js`、`scripts/binance-coinmarketcap-data.user.js`、`scripts/m3u8-downloader.user.js` 是生成后的单文件安装/更新入口，必须保持可读、非压缩、非混淆。 +- `scripts/binance-orderbook-trade.user.js`、`scripts/binance-trading-data.user.js`、`scripts/binance-coinmarketcap-data.user.js`、`scripts/binance-strategy27-events.user.js`、`scripts/m3u8-downloader.user.js` 是生成后的单文件安装/更新入口，必须保持可读、非压缩、非混淆。 - 其它 userscript 在迁移前仍以 `scripts/*.user.js` 为真源。 - `README.md` 只维护安装入口、真源说明和发布约束，不承载开发细节。 - 非真源仓库不复制脚本源码，只放安装链接。 @@ -20,6 +21,8 @@ Binance 合约交易数据面板，核心风险在 5 分钟调度、缓存回退、前后台切换。 - `scripts/binance-coinmarketcap-data.user.js` Binance CoinMarketCap 数据面板，核心风险在 symbol 解析、CMC 资产映射、跨页误注入。 +- `scripts/binance-strategy27-events.user.js` + Binance Strategy 27 图表标注，核心风险在网关 cursor / epoch、symbol / 秒坐标、生命周期和脚本实体归属。 - `scripts/m3u8-downloader.user.js` m3u8 下载增强脚本，核心风险在通用 m3u8 拦截、Brooks 媒体索引、失败重试、暂停/继续状态、active runtime 计时和 Bunny caption URL 推导。 - `scripts/auto_refresh.user.js` @@ -37,6 +40,7 @@ - 修改 `src/binance-orderbook-trade/**` 后必须运行 `npm run build:binance-orderbook-trade` 生成 `scripts/binance-orderbook-trade.user.js`。 - 修改 `src/binance-trading-data/**`、`src/binance-coinmarketcap-data/**` 或 `src/shared/**` 后必须运行 `npm run build:binance-userscripts` 或对应单脚本 build 命令生成 `scripts/*.user.js`。 +- 修改 `src/binance-strategy27-events/**` 后必须运行 `npm run build:binance-strategy27-events` 生成 `scripts/binance-strategy27-events.user.js`。 - 修改 `src/m3u8-downloader/**` 后必须运行 `npm run build:m3u8-downloader` 生成 `scripts/m3u8-downloader.user.js`。 - 修改已迁移的 `src/binance-*`、`src/m3u8-downloader/**` 或 `src/shared/**` 且改变行为时，必须同步 bump 对应生成 userscript 头部 `@version`。 - 修改尚未迁移的 `scripts/` 下任意 userscript，必须同步 bump 该文件头部 `@version`。 diff --git a/README.md b/README.md index f80fd15..57f94fb 100644 --- a/README.md +++ b/README.md @@ -40,6 +40,7 @@ This repository is the source of truth and distribution point for the scripts. G | Binance orderbook one-click order entry | Binance Futures | Click an orderbook price, infer the current open/close tab, fill quantity, and submit an order with a multiplier panel | This repository | [Install][install-binance-orderbook-trade] | | Binance Futures data panel | Binance Futures | Overlay open interest, long/short ratios, funding rate, basis, and directional signals | This repository | [Install][install-binance-trading-data] | | Binance CoinMarketCap data panel | Binance Futures | Show CoinMarketCap valuation, supply, and liquidity data for the current symbol | This repository | [Install][install-binance-coinmarketcap-data] | +| Binance Strategy 27 event annotations | Binance Futures | Draw VPS-computed Strategy 27 event markers and outcome notes on the matching one-second chart | This repository | [Install][install-binance-strategy27-events] | | Auto refresh | Any page | Refresh selected pages on a configurable schedule | This repository | [Install][install-auto-refresh] | | CoinMarketCap valuation labels | CoinMarketCap | Label and highlight circulating market cap and FDV / total valuation in the Chinese UI | This repository | [Install][install-coinmarketcap-valuation-helper] | | m3u8 downloader | Video pages | Enhanced m3u8 detection and export workflow for allowlisted video sites | This repository | [Install][install-m3u8] | @@ -59,6 +60,12 @@ This repository is the source of truth and distribution point for the scripts. G - Displays values and simple directional signals inside the trading page. - Reduces context switching between Binance and external data pages. +### Binance Strategy 27 event annotations + +- Reads only the authenticated loopback gateway through an SSH local forward. +- Adds no Binance market-data WebSocket or Binance API key to Chrome. +- Draws bounded, transient event markers and objective four-force notes on the matching one-second chart. + ### m3u8 downloader - Detects and exports m3u8 media sources for allowlisted sites. @@ -87,7 +94,7 @@ npm run build:binance-userscripts ## Maintenance Rules 1. Each script has exactly one source of truth. -2. `src/binance-orderbook-trade/`, `src/binance-trading-data/`, `src/binance-coinmarketcap-data/`, and `src/m3u8-downloader/` are source directories for the corresponding generated scripts. +2. `src/binance-orderbook-trade/`, `src/binance-trading-data/`, `src/binance-coinmarketcap-data/`, `src/binance-strategy27-events/`, and `src/m3u8-downloader/` are source directories for the corresponding generated scripts. 3. Public install entry points remain generated files under `scripts/*.user.js`. 4. Do not copy script source into secondary repositories. 5. Bump `@version` when behavior changes. @@ -96,6 +103,7 @@ npm run build:binance-userscripts ## Documentation - [Binance orderbook trade development](docs/binance-orderbook-trade-development.md) +- [Binance Strategy 27 event annotations](docs/binance-strategy27-events-development.md) - [Brooks media sync workflow](docs/brooks-media-sync-workflow.md) ## License @@ -105,6 +113,7 @@ MIT. See [LICENSE](LICENSE). [install-binance-orderbook-trade]: https://raw.githubusercontent.com/jackhai9/userscripts/main/scripts/binance-orderbook-trade.user.js [install-binance-trading-data]: https://raw.githubusercontent.com/jackhai9/userscripts/main/scripts/binance-trading-data.user.js [install-binance-coinmarketcap-data]: https://raw.githubusercontent.com/jackhai9/userscripts/main/scripts/binance-coinmarketcap-data.user.js +[install-binance-strategy27-events]: https://raw.githubusercontent.com/jackhai9/userscripts/main/scripts/binance-strategy27-events.user.js [install-auto-refresh]: https://raw.githubusercontent.com/jackhai9/userscripts/main/scripts/auto_refresh.user.js [install-coinmarketcap-valuation-helper]: https://raw.githubusercontent.com/jackhai9/userscripts/main/scripts/coinmarketcap-valuation-helper.user.js [install-m3u8]: https://raw.githubusercontent.com/jackhai9/userscripts/main/scripts/m3u8-downloader.user.js diff --git a/README.zh-CN.md b/README.zh-CN.md index 2031bf2..77df1d5 100644 --- a/README.zh-CN.md +++ b/README.zh-CN.md @@ -38,6 +38,7 @@ | 【自写】Binance 订单簿单击下单 | Binance Futures | 单击订单簿价格，按当前开仓/平仓 tab 自动填数量并执行下单，内置数量倍率面板 | 本仓库 | [`点击安装`][install-binance-orderbook-trade] | | 【自写】Binance 合约交易数据面板 | Binance Futures | 在合约交易页面叠加浮动面板，定时拉取交易数据（持仓量、多空比、资金费率等）并显示当前值 + 多空信号 | 本仓库 | [`点击安装`][install-binance-trading-data] | | 【自写】Binance CoinMarketCap 数据面板 | Binance Futures | 在 Binance 合约页面显示当前币种的 CoinMarketCap 估值、供应量和流动性数据 | 本仓库 | [`点击安装`][install-binance-coinmarketcap-data] | +| 【自写】Binance Strategy 27 事件标注 | Binance Futures | 在匹配币种的一秒图表标注 VPS 已计算的 Strategy 27 事件和后续结果 | 本仓库 | [`点击安装`][install-binance-strategy27-events] | | 【自写】定时刷新指定页面 | Any page | 指定页面按设定时间自动刷新 | 本仓库 | [`点击安装`][install-auto-refresh] | | 【自写】CoinMarketCap 估值口径命名 | CoinMarketCap | 在中文币种页面左上角统计区标注并高亮流通市值和 FDV / 总估值 | 本仓库 | [`点击安装`][install-coinmarketcap-valuation-helper] | | 【改写】m3u8-downloader | Video pages | m3u8 下载增强脚本，仅在白名单视频站启用 | 本仓库 | [`点击安装`][install-m3u8] | @@ -57,6 +58,12 @@ - 使用浮动面板展示当前值和多空信号。 - 适合在交易页面内快速判断市场结构，不需要频繁切换数据网站。 +### Binance Strategy 27 事件标注 + +- 只通过 SSH 本地转发读取带认证的本机网关。 +- 不在 Chrome 中新增 Binance 行情 WebSocket，也不使用 Binance API Key。 +- 在匹配币种的一秒图表上绘制数量和保留时间均受限的事件标记及四力客观备注。 + ### m3u8-downloader - 针对白名单视频站增强 m3u8 识别和导出。 @@ -85,7 +92,7 @@ npm run build:binance-userscripts ## 维护规则 1. 同一脚本只允许一个真源仓库改代码。 -2. `src/binance-orderbook-trade/`、`src/binance-trading-data/`、`src/binance-coinmarketcap-data/`、`src/m3u8-downloader/` 是对应脚本的开发真源。 +2. `src/binance-orderbook-trade/`、`src/binance-trading-data/`、`src/binance-coinmarketcap-data/`、`src/binance-strategy27-events/`、`src/m3u8-downloader/` 是对应脚本的开发真源。 3. 公开安装入口仍是生成后的 `scripts/*.user.js`；修改对应 `src/` 后运行 `npm run build:binance-userscripts` 或单脚本 build 命令。 4. 非真源仓库只放安装链接，不复制脚本源码。 5. 每次发布递增 `@version`，并保留 `@updateURL/@downloadURL` 指向真源 raw 地址。 @@ -94,11 +101,13 @@ npm run build:binance-userscripts 开发手册： - [Binance orderbook trade development](docs/binance-orderbook-trade-development.md) +- [Binance Strategy 27 event annotations](docs/binance-strategy27-events-development.md) - [Brooks media sync workflow](docs/brooks-media-sync-workflow.md) [install-binance-orderbook-trade]: https://raw.githubusercontent.com/jackhai9/userscripts/main/scripts/binance-orderbook-trade.user.js [install-binance-trading-data]: https://raw.githubusercontent.com/jackhai9/userscripts/main/scripts/binance-trading-data.user.js [install-binance-coinmarketcap-data]: https://raw.githubusercontent.com/jackhai9/userscripts/main/scripts/binance-coinmarketcap-data.user.js +[install-binance-strategy27-events]: https://raw.githubusercontent.com/jackhai9/userscripts/main/scripts/binance-strategy27-events.user.js [install-auto-refresh]: https://raw.githubusercontent.com/jackhai9/userscripts/main/scripts/auto_refresh.user.js [install-coinmarketcap-valuation-helper]: https://raw.githubusercontent.com/jackhai9/userscripts/main/scripts/coinmarketcap-valuation-helper.user.js [install-m3u8]: https://raw.githubusercontent.com/jackhai9/userscripts/main/scripts/m3u8-downloader.user.js diff --git a/docs/binance-strategy27-events-development.md b/docs/binance-strategy27-events-development.md new file mode 100644 index 0000000..c805c0a --- /dev/null +++ b/docs/binance-strategy27-events-development.md @@ -0,0 +1,65 @@ +# Binance Strategy 27 Event Annotations + +## Purpose + +`binance-strategy27-events.user.js` is a rendering client for the Strategy 27 +V10 live projection. The VPS remains the only market-data and event-analysis +authority. The userscript opens no Binance market-data WebSocket, uses no +Binance API key, and does not recalculate the four force groups. + +The script reads an authenticated, loopback-only long-poll endpoint through an +SSH local forward. It draws transient entities only when the Binance route, +TradingView symbol, and `1S` chart interval all match the requested Strategy 27 +symbol. + +## Operator Setup + +1. Keep an SSH local forward open from `127.0.0.1:` to the VPS + Strategy 27 gateway on `127.0.0.1:8765`. +2. Install `scripts/binance-strategy27-events.user.js` in Tampermonkey. +3. Use the userscript menu to set the loopback gateway origin. The default is + `http://127.0.0.1:18765`. +4. Use the userscript menu to set the gateway installation secret. Tampermonkey + stores it in this script's private value storage; it is never embedded in + source, URL parameters, chart text, console messages, or status text. +5. Open the matching Binance futures route and select the one-second chart. + +## Rendering Contract + +- `event_opened` creates one marker. +- `event_updated` updates that marker and the compact status strip without + creating a note. +- `event_closed` creates or updates one objective note with the event interval, + four-force facts, immediate price response, trigger reasons, and close reason. +- `event_outcome` updates that same note with the ordered outcome horizons. +- Incomplete or input-gap facts are marked as incomplete and carry no + directional conclusion. + +Every created entity uses the second obtained by flooring the projection's +`event_time_ms`. The script reads the entity point back after each create or +update. If TradingView shifts the point to a different bar, the entity is +removed and visualization stops with an alignment error. + +The script stores only its own returned entity IDs. Route, symbol, interval, +epoch, cursor, or sequence discontinuities abort the request and remove only +those transient entities. Event count and age are bounded in memory and on the +chart. + +## Development + +Source lives under `src/binance-strategy27-events/`; the generated installable +artifact is `scripts/binance-strategy27-events.user.js`. + +```bash +npm run test:binance-strategy27-events +npm run build:binance-strategy27-events +npm run check:binance-userscripts +node scripts/userscript-release-contract.mjs scripts/binance-strategy27-events.user.js +git diff --check +``` + +Live validation must confirm the current Binance main-world chart API, exact +`1S` resolution, exact route symbol, successful create/readback/remove behavior, +Tampermonkey source readback, and the actually loaded source after a hard +reload. A source-level method name alone is not end-to-end proof. + diff --git a/package.json b/package.json index ff62a26..786a04e 100644 --- a/package.json +++ b/package.json @@ -3,24 +3,27 @@ "type": "module", "scripts": { "build:userscripts": "node scripts/build-userscript.mjs", - "build:binance-userscripts": "node scripts/build-userscript.mjs binance-orderbook-trade binance-trading-data binance-coinmarketcap-data", + "build:binance-userscripts": "node scripts/build-userscript.mjs binance-orderbook-trade binance-trading-data binance-coinmarketcap-data binance-strategy27-events", "build:binance-orderbook-trade": "node scripts/build-userscript.mjs binance-orderbook-trade", "build:binance-trading-data": "node scripts/build-userscript.mjs binance-trading-data", "build:binance-coinmarketcap-data": "node scripts/build-userscript.mjs binance-coinmarketcap-data", + "build:binance-strategy27-events": "node scripts/build-userscript.mjs binance-strategy27-events", "build:m3u8-downloader": "node scripts/build-userscript.mjs m3u8-downloader", "audit:brooks-media": "node scripts/brooks-media-audit.mjs", "import:brooks-media-index": "node scripts/brooks-media-import-index.mjs", "download:brooks-media": "node scripts/brooks-media-download.mjs", "inspect:binance-orderbook-trade": "node scripts/userscript-release-contract.mjs scripts/binance-orderbook-trade.user.js", + "inspect:binance-strategy27-events": "node scripts/userscript-release-contract.mjs scripts/binance-strategy27-events.user.js", "verify:binance-orderbook-stage3": "node scripts/binance-stage3-evidence.mjs", "assemble:binance-orderbook-live": "node scripts/binance-live-capture.mjs", "summarize:binance-orderbook-live": "node scripts/binance-live-performance.mjs", - "check:binance-userscripts": "node --check scripts/binance-orderbook-trade.user.js && node --check scripts/binance-trading-data.user.js && node --check scripts/binance-coinmarketcap-data.user.js", + "check:binance-userscripts": "node --check scripts/binance-orderbook-trade.user.js && node --check scripts/binance-trading-data.user.js && node --check scripts/binance-coinmarketcap-data.user.js && node --check scripts/binance-strategy27-events.user.js", "check:binance-orderbook-trade": "node --check scripts/binance-orderbook-trade.user.js", "check:m3u8-downloader": "node --check scripts/m3u8-downloader.user.js", "test": "node --test", "test:binance-orderbook-trade": "node --test test/unit/binance-orderbook-trade/*.test.js test/dom/binance-orderbook-trade/*.test.js", "test:binance-orderbook-ui-toolchain": "node --test test/unit/binance-orderbook-trade/*.test.js test/dom/binance-orderbook-trade/*.test.js test/unit/binance-*.test.js", + "test:binance-strategy27-events": "node --test test/unit/binance-strategy27-events/*.test.js test/dom/binance-strategy27-events/*.test.js test/unit/userscript-metadata-icons.test.js test/unit/userscript-release-contract.test.js", "test:ui": "playwright test", "test:ui:headed": "playwright test --headed", "test:ui:debug": "playwright test --debug" diff --git a/scripts/binance-strategy27-events.user.js b/scripts/binance-strategy27-events.user.js new file mode 100644 index 0000000..bc30ff9 --- /dev/null +++ b/scripts/binance-strategy27-events.user.js @@ -0,0 +1,1086 @@ +// ==UserScript== +// @name 【自写】Binance Strategy 27 事件标注 +// @namespace binance.strategy27.events +// @icon data:image/svg+xml,%3Csvg%20xmlns%3D%22http%3A%2F%2Fwww.w3.org%2F2000%2Fsvg%22%20viewBox%3D%220%200%2064%2064%22%3E%3Crect%20width%3D%2264%22%20height%3D%2264%22%20rx%3D%2214%22%20fill%3D%22%23f0b90b%22%2F%3E%3Ctext%20x%3D%2232%22%20y%3D%2249%22%20text-anchor%3D%22middle%22%20font-family%3D%22Arial%2C%20sans-serif%22%20font-size%3D%2242%22%20font-weight%3D%22800%22%20fill%3D%22%23111827%22%3EJ%3C%2Ftext%3E%3C%2Fsvg%3E +// @icon64 data:image/svg+xml,%3Csvg%20xmlns%3D%22http%3A%2F%2Fwww.w3.org%2F2000%2Fsvg%22%20viewBox%3D%220%200%2064%2064%22%3E%3Crect%20width%3D%2264%22%20height%3D%2264%22%20rx%3D%2214%22%20fill%3D%22%23f0b90b%22%2F%3E%3Ctext%20x%3D%2232%22%20y%3D%2249%22%20text-anchor%3D%22middle%22%20font-family%3D%22Arial%2C%20sans-serif%22%20font-size%3D%2242%22%20font-weight%3D%22800%22%20fill%3D%22%23111827%22%3EJ%3C%2Ftext%3E%3C%2Fsvg%3E +// @version 0.1.0 +// @author jackhai9 +// @description 在 Binance 一秒图表标注 VPS Strategy 27 的实时订单流事件和后续结果 +// @match https://www.binance.com/*/futures/* +// @match https://www.binance.com/futures/* +// @exclude https://www.binance.com/*/my/wallet/futures/* +// @exclude https://www.binance.com/my/wallet/futures/* +// @connect 127.0.0.1 +// @updateURL https://raw.githubusercontent.com/jackhai9/userscripts/main/scripts/binance-strategy27-events.user.js +// @downloadURL https://raw.githubusercontent.com/jackhai9/userscripts/main/scripts/binance-strategy27-events.user.js +// @run-at document-idle +// @grant unsafeWindow +// @grant GM_xmlhttpRequest +// @grant GM_getValue +// @grant GM_setValue +// @grant GM_registerMenuCommand +// ==/UserScript== +(() => { + // src/binance-strategy27-events/core/live-event-contract.js + var CANONICAL_SYMBOL_PATTERN = /^([A-Z0-9]+)\/USDT:USDT$/; + var ROUTE_SYMBOL_PATTERN = /^([A-Z0-9]+)USDT$/; + var STREAM_ID_PATTERN = /^(0|[1-9]\d*)-(0|[1-9]\d*)$/; + var EPOCH_PATTERN = /^[0-9a-f]{32}$/; + var EVENT_ID_PATTERN = /^[0-9a-f]{64}$/; + var DECIMAL_PATTERN = /^-?(?:0|[1-9]\d*)(?:\.\d+)?$/; + var MESSAGE_KINDS = /* @__PURE__ */ new Set([ + "stream_state", + "event_opened", + "event_updated", + "event_closed", + "event_outcome" + ]); + var DATA_STATUSES = /* @__PURE__ */ new Set(["ready", "active", "complete", "incomplete", "input_gap", "terminated"]); + var EVENT_KINDS = /* @__PURE__ */ new Set(["orderflow_event", "price_response_event"]); + var EVENT_STATUSES = /* @__PURE__ */ new Set(["active", "complete", "incomplete"]); + var OUTCOME_STATUSES = /* @__PURE__ */ new Set(["complete", "input_gap", "terminated"]); + var IMPULSE_DIRECTIONS = /* @__PURE__ */ new Set(["up", "down", "flat"]); + var DIRECTIONAL_OUTCOMES = /* @__PURE__ */ new Set([ + "continuation", + "recovery", + "reversal", + "partial_retracement", + "not_applicable" + ]); + function assertCondition(condition, message) { + if (!condition) throw new Error(message); + } + function assertExactKeys(value, keys, label) { + assertCondition(value && typeof value === "object" && !Array.isArray(value), `${label} must be an object`); + const actual = Object.keys(value).sort(); + const expected = [...keys].sort(); + assertCondition( + actual.length === expected.length && actual.every((key, index) => key === expected[index]), + `${label} must contain exact keys: ${expected.join(", ")}` + ); + } + function assertInteger(value, label, { minimum = 0 } = {}) { + assertCondition(Number.isInteger(value) && value >= minimum, `${label} must be an integer >= ${minimum}`); + } + function assertNullableInteger(value, label) { + if (value !== null) assertInteger(value, label); + } + function assertDecimal(value, label, { positive = false, nonNegative = false } = {}) { + assertCondition(typeof value === "string" && DECIMAL_PATTERN.test(value), `${label} must be a canonical decimal string`); + assertCondition(value !== "-0", `${label} must be a canonical decimal string`); + const numeric = Number(value); + assertCondition(Number.isFinite(numeric), `${label} must be a finite canonical decimal string`); + if (positive) assertCondition(numeric > 0, `${label} must be positive`); + if (nonNegative) assertCondition(numeric >= 0, `${label} must be non-negative`); + } + function assertNullableDecimal(value, label) { + if (value !== null) assertDecimal(value, label); + } + function assertSortedUniqueStrings(value, label, { nonEmpty = false } = {}) { + assertCondition(Array.isArray(value), `${label} must be an array`); + assertCondition(value.every((item) => typeof item === "string" && item.length > 0), `${label} must contain non-empty strings`); + const sorted = [...new Set(value)].sort(); + assertCondition(sorted.length === value.length && sorted.every((item, index) => item === value[index]), `${label} must be sorted and unique`); + if (nonEmpty) assertCondition(value.length > 0, `${label} must not be empty`); + } + function validateAggressiveSide(value, label) { + assertExactKeys(value, ["notional", "trade_count", "to_opposite_depth"], label); + assertDecimal(value.notional, `${label}.notional`, { nonNegative: true }); + assertInteger(value.trade_count, `${label}.trade_count`); + assertDecimal(value.to_opposite_depth, `${label}.to_opposite_depth`, { nonNegative: true }); + } + function validateBookSide(value, label) { + assertExactKeys(value, [ + "observed_addition_notional", + "observed_decrease_notional", + "best_price_migration_bps", + "addition_to_depth", + "decrease_to_depth" + ], label); + assertDecimal(value.observed_addition_notional, `${label}.observed_addition_notional`, { nonNegative: true }); + assertDecimal(value.observed_decrease_notional, `${label}.observed_decrease_notional`, { nonNegative: true }); + assertDecimal(value.best_price_migration_bps, `${label}.best_price_migration_bps`); + assertDecimal(value.addition_to_depth, `${label}.addition_to_depth`, { nonNegative: true }); + assertDecimal(value.decrease_to_depth, `${label}.decrease_to_depth`, { nonNegative: true }); + } + function validatePriceResponse(value, label) { + assertExactKeys(value, ["mid", "mid_return_bps", "spread_bps", "spread_change_bps"], label); + assertDecimal(value.mid, `${label}.mid`, { positive: true }); + assertDecimal(value.mid_return_bps, `${label}.mid_return_bps`); + assertDecimal(value.spread_bps, `${label}.spread_bps`, { nonNegative: true }); + assertDecimal(value.spread_change_bps, `${label}.spread_change_bps`); + } + function validateSnapshot(value, label) { + assertExactKeys(value, [ + "bucket_start_ms", + "bucket_end_ms", + "bucket_trigger_reasons", + "aggressive_buy", + "aggressive_sell", + "bid", + "ask", + "price_response" + ], label); + assertInteger(value.bucket_start_ms, `${label}.bucket_start_ms`); + assertInteger(value.bucket_end_ms, `${label}.bucket_end_ms`); + assertCondition(value.bucket_end_ms > value.bucket_start_ms, `${label} bucket end must follow start`); + assertSortedUniqueStrings(value.bucket_trigger_reasons, `${label}.bucket_trigger_reasons`); + validateAggressiveSide(value.aggressive_buy, `${label}.aggressive_buy`); + validateAggressiveSide(value.aggressive_sell, `${label}.aggressive_sell`); + validateBookSide(value.bid, `${label}.bid`); + validateBookSide(value.ask, `${label}.ask`); + validatePriceResponse(value.price_response, `${label}.price_response`); + } + function validateEvent(value) { + assertExactKeys(value, [ + "event_kind", + "analysis_start_at_ms", + "triggered_at_ms", + "active_end_at_ms", + "event_status", + "close_reason", + "trigger_reasons", + "trigger_snapshot", + "latest_snapshot" + ], "payload.event"); + assertCondition(EVENT_KINDS.has(value.event_kind), "payload.event.event_kind is invalid"); + assertInteger(value.analysis_start_at_ms, "payload.event.analysis_start_at_ms"); + assertInteger(value.triggered_at_ms, "payload.event.triggered_at_ms"); + assertCondition(value.analysis_start_at_ms <= value.triggered_at_ms, "event analysis must not start after trigger"); + assertNullableInteger(value.active_end_at_ms, "payload.event.active_end_at_ms"); + assertCondition(EVENT_STATUSES.has(value.event_status), "payload.event.event_status is invalid"); + assertSortedUniqueStrings(value.trigger_reasons, "payload.event.trigger_reasons", { nonEmpty: true }); + validateSnapshot(value.trigger_snapshot, "payload.event.trigger_snapshot"); + validateSnapshot(value.latest_snapshot, "payload.event.latest_snapshot"); + assertCondition(value.trigger_snapshot.bucket_end_ms === value.triggered_at_ms, "trigger snapshot must end at triggered_at_ms"); + if (value.event_status === "active") { + assertCondition(value.active_end_at_ms === null && value.close_reason === null, "active event close fields must be null"); + } else { + assertInteger(value.active_end_at_ms, "payload.event.active_end_at_ms"); + assertCondition(value.active_end_at_ms >= value.triggered_at_ms, "event active end must not precede trigger"); + assertCondition([ + "quiet_period", + "maximum_duration", + "input_gap", + "universe_removed", + "monitor_stopped" + ].includes(value.close_reason), "closed event close_reason is invalid"); + assertCondition(value.latest_snapshot.bucket_end_ms === value.active_end_at_ms, "closed latest snapshot must end at active_end_at_ms"); + } + } + function validateOutcome(value) { + assertExactKeys(value, [ + "window_seconds", + "outcome_boundary_at_ms", + "outcome_status", + "terminated_at_ms", + "termination_reason", + "boundary_mid", + "return_from_trigger_bps", + "return_from_active_end_bps", + "maximum_upward_excursion_bps", + "maximum_downward_excursion_bps", + "pre_event_range_break_up", + "pre_event_range_break_down", + "spread_change_from_active_end_bps", + "eligible_orderbook_observation_count", + "impulse_direction", + "directional_outcome" + ], "payload.outcome"); + assertInteger(value.window_seconds, "payload.outcome.window_seconds", { minimum: 1 }); + assertInteger(value.outcome_boundary_at_ms, "payload.outcome.outcome_boundary_at_ms"); + assertCondition(OUTCOME_STATUSES.has(value.outcome_status), "payload.outcome.outcome_status is invalid"); + assertNullableInteger(value.terminated_at_ms, "payload.outcome.terminated_at_ms"); + assertCondition(value.termination_reason === null || ["universe_removed", "monitor_stopped"].includes(value.termination_reason), "payload.outcome.termination_reason is invalid"); + if (value.boundary_mid !== null) assertDecimal(value.boundary_mid, "payload.outcome.boundary_mid", { positive: true }); + assertNullableDecimal(value.return_from_trigger_bps, "payload.outcome.return_from_trigger_bps"); + assertNullableDecimal(value.return_from_active_end_bps, "payload.outcome.return_from_active_end_bps"); + if (value.maximum_upward_excursion_bps !== null) assertDecimal(value.maximum_upward_excursion_bps, "payload.outcome.maximum_upward_excursion_bps", { nonNegative: true }); + if (value.maximum_downward_excursion_bps !== null) assertDecimal(value.maximum_downward_excursion_bps, "payload.outcome.maximum_downward_excursion_bps", { nonNegative: true }); + assertCondition(value.pre_event_range_break_up === null || typeof value.pre_event_range_break_up === "boolean", "payload.outcome.pre_event_range_break_up is invalid"); + assertCondition(value.pre_event_range_break_down === null || typeof value.pre_event_range_break_down === "boolean", "payload.outcome.pre_event_range_break_down is invalid"); + assertNullableDecimal(value.spread_change_from_active_end_bps, "payload.outcome.spread_change_from_active_end_bps"); + assertInteger(value.eligible_orderbook_observation_count, "payload.outcome.eligible_orderbook_observation_count"); + assertCondition(value.impulse_direction === null || IMPULSE_DIRECTIONS.has(value.impulse_direction), "payload.outcome.impulse_direction is invalid"); + assertCondition(value.directional_outcome === null || DIRECTIONAL_OUTCOMES.has(value.directional_outcome), "payload.outcome.directional_outcome is invalid"); + if (value.outcome_status === "complete") { + for (const field of [ + "boundary_mid", + "return_from_trigger_bps", + "return_from_active_end_bps", + "maximum_upward_excursion_bps", + "maximum_downward_excursion_bps", + "pre_event_range_break_up", + "pre_event_range_break_down", + "spread_change_from_active_end_bps", + "impulse_direction", + "directional_outcome" + ]) { + assertCondition(value[field] !== null, `complete outcome requires ${field}`); + } + assertCondition(value.terminated_at_ms === null && value.termination_reason === null, "complete outcome cannot contain termination fields"); + } else { + assertCondition(value.directional_outcome === null, "incomplete outcome cannot have a directional conclusion"); + if (value.outcome_status === "terminated") { + assertInteger(value.terminated_at_ms, "payload.outcome.terminated_at_ms"); + assertCondition(["universe_removed", "monitor_stopped"].includes(value.termination_reason), "terminated outcome requires termination_reason"); + } else { + assertCondition(value.terminated_at_ms === null && value.termination_reason === null, "input-gap outcome cannot contain termination fields"); + } + } + } + function routeSymbolToCanonical(routeSymbol) { + const match = String(routeSymbol).match(ROUTE_SYMBOL_PATTERN); + assertCondition(match && match[1].length > 0, "Invalid Binance futures route symbol"); + return `${match[1]}/USDT:USDT`; + } + function canonicalSymbolToRoute(canonicalSymbol) { + const match = String(canonicalSymbol).match(CANONICAL_SYMBOL_PATTERN); + assertCondition(match && match[1].length > 0, "Invalid canonical Strategy 27 symbol"); + const routeSymbol = `${match[1]}USDT`; + assertCondition(routeSymbolToCanonical(routeSymbol) === canonicalSymbol, "Canonical Strategy 27 symbol does not round-trip"); + return routeSymbol; + } + function eventTimeToChartSecond(eventTimeMs) { + assertCondition(Number.isInteger(eventTimeMs) && eventTimeMs >= 0, "Event time must be non-negative integer milliseconds"); + return Math.floor(eventTimeMs / 1e3); + } + function validateLiveEnvelope(value) { + assertExactKeys(value, [ + "schema_version", + "strategy_id", + "spec_version", + "runtime_epoch", + "sequence", + "message_kind", + "symbol", + "event_id", + "observed_at_ms", + "event_time_ms", + "data_status", + "payload" + ], "live envelope"); + assertCondition(value.schema_version === 1, "Live envelope schema_version must be 1"); + assertCondition(value.strategy_id === "27", "Live envelope strategy_id must be 27"); + assertCondition(value.spec_version === "27_2_spec_v10", "Live envelope spec_version is invalid"); + assertCondition(typeof value.runtime_epoch === "string" && EPOCH_PATTERN.test(value.runtime_epoch), "Live envelope runtime_epoch is invalid"); + assertInteger(value.sequence, "Live envelope sequence", { minimum: 1 }); + assertCondition(MESSAGE_KINDS.has(value.message_kind), "Live envelope message_kind is invalid"); + assertInteger(value.observed_at_ms, "Live envelope observed_at_ms"); + assertInteger(value.event_time_ms, "Live envelope event_time_ms"); + assertCondition(DATA_STATUSES.has(value.data_status), "Live envelope data_status is invalid"); + if (value.message_kind === "stream_state") { + assertCondition(value.symbol === null && value.event_id === null, "stream_state identity must be null"); + assertCondition(value.data_status === "ready", "stream_state data_status must be ready"); + assertCondition(value.event_time_ms === value.observed_at_ms, "stream_state event time must equal observation time"); + assertExactKeys(value.payload, ["state", "reason"], "stream_state payload"); + assertCondition(value.payload.state === "ready", "stream_state payload.state must be ready"); + assertCondition(["startup", "transport_recovered", "queue_recovered"].includes(value.payload.reason), "stream_state reason is invalid"); + return value; + } + canonicalSymbolToRoute(value.symbol); + assertCondition(typeof value.event_id === "string" && EVENT_ID_PATTERN.test(value.event_id), "Live envelope event_id is invalid"); + const payloadKeys = value.message_kind === "event_outcome" ? ["event", "outcome"] : ["event"]; + assertExactKeys(value.payload, payloadKeys, "event payload"); + validateEvent(value.payload.event); + if (value.message_kind === "event_opened" || value.message_kind === "event_updated") { + assertCondition(value.data_status === "active" && value.payload.event.event_status === "active", "active message status is invalid"); + } else { + assertCondition(value.payload.event.event_status !== "active", "closed message requires a closed event"); + assertCondition(value.data_status === value.payload.event.event_status || value.message_kind === "event_outcome", "closed message data_status is invalid"); + } + if (value.message_kind === "event_opened") { + assertCondition(value.event_time_ms === value.payload.event.triggered_at_ms, "event_opened time is invalid"); + } else if (value.message_kind === "event_updated") { + assertCondition(value.event_time_ms === value.payload.event.latest_snapshot.bucket_end_ms, "event_updated time is invalid"); + } else if (value.message_kind === "event_closed") { + assertCondition(value.event_time_ms === value.payload.event.active_end_at_ms, "event_closed time is invalid"); + } else { + validateOutcome(value.payload.outcome); + assertCondition(value.data_status === value.payload.outcome.outcome_status, "event_outcome data_status is invalid"); + assertCondition(value.event_time_ms === value.payload.outcome.outcome_boundary_at_ms, "event_outcome time is invalid"); + } + return value; + } + function validateGatewayResponse(value, httpStatus) { + if (value?.status === "ok") { + assertCondition(httpStatus === 200, "Gateway success must use HTTP 200"); + assertExactKeys(value, ["schema_version", "status", "requested_cursor", "next_cursor", "messages"], "gateway success response"); + assertCondition(value.schema_version === 1, "Gateway response schema_version must be 1"); + assertCondition(typeof value.requested_cursor === "string" && STREAM_ID_PATTERN.test(value.requested_cursor), "Gateway requested_cursor is invalid"); + assertCondition(typeof value.next_cursor === "string" && STREAM_ID_PATTERN.test(value.next_cursor), "Gateway next_cursor is invalid"); + assertCondition(Array.isArray(value.messages), "Gateway messages must be an array"); + value.messages.forEach(validateLiveEnvelope); + return value; + } + if (value?.status === "reset") { + assertExactKeys(value, ["schema_version", "status", "reason", "requested_cursor", "next_cursor", "messages"], "gateway reset response"); + assertCondition(value.schema_version === 1, "Gateway response schema_version must be 1"); + assertCondition(["initial_cursor", "stale_cursor"].includes(value.reason), "Gateway reset reason is invalid"); + assertCondition(httpStatus === (value.reason === "initial_cursor" ? 200 : 409), "Gateway reset HTTP status is invalid"); + assertCondition(value.reason === "initial_cursor" ? value.requested_cursor === null : typeof value.requested_cursor === "string" && STREAM_ID_PATTERN.test(value.requested_cursor), "Gateway reset requested_cursor is invalid"); + assertCondition(typeof value.next_cursor === "string" && STREAM_ID_PATTERN.test(value.next_cursor), "Gateway reset next_cursor is invalid"); + assertCondition(Array.isArray(value.messages) && value.messages.length === 0, "Gateway reset messages must be empty"); + return value; + } + if (value?.status === "error") { + assertExactKeys(value, ["schema_version", "status", "error_code"], "gateway error response"); + assertCondition(value.schema_version === 1, "Gateway response schema_version must be 1"); + const expected = { 400: "invalid_request", 401: "unauthorized", 503: "redis_unavailable" }[httpStatus]; + assertCondition(value.error_code === expected, "Gateway error status and code do not match"); + return value; + } + throw new Error("Gateway response status is invalid"); + } + var LiveEventLifecycle = class { + constructor(canonicalSymbol, { maxEvents, maxAgeMs }) { + canonicalSymbolToRoute(canonicalSymbol); + assertCondition(Number.isInteger(maxEvents) && maxEvents >= 1, "Lifecycle maxEvents is invalid"); + assertCondition(Number.isInteger(maxAgeMs) && maxAgeMs >= 1, "Lifecycle maxAgeMs is invalid"); + this.canonicalSymbol = canonicalSymbol; + this.maxEvents = maxEvents; + this.maxAgeMs = maxAgeMs; + this.reset("initial_cursor"); + } + reset(reason) { + assertCondition(["initial_cursor", "stale_cursor", "route_changed", "interval_changed"].includes(reason), "Lifecycle reset reason is invalid"); + this.runtimeEpoch = null; + this.lastSequence = null; + this.epochEnvelopeAccepted = false; + this.events = /* @__PURE__ */ new Map(); + this.evictedEvents = /* @__PURE__ */ new Map(); + this.allowUnknownRehydrate = true; + this.rehydrationCutoffMs = null; + } + rememberEviction(eventId, observedAtMs) { + this.evictedEvents.delete(eventId); + this.evictedEvents.set(eventId, observedAtMs); + while (this.evictedEvents.size > this.maxEvents) { + this.evictedEvents.delete(this.evictedEvents.keys().next().value); + } + } + evict(eventId, observedAtMs) { + if (!this.events.delete(eventId)) return false; + this.rememberEviction(eventId, observedAtMs); + return true; + } + prune(observedAtMs) { + assertInteger(observedAtMs, "Lifecycle prune observedAtMs"); + const evictedEventIds = []; + for (const [eventId, state] of this.events) { + if (observedAtMs - state.observedAtMs > this.maxAgeMs && this.evict(eventId, observedAtMs)) { + evictedEventIds.push(eventId); + } + } + for (const [eventId, evictedAtMs] of this.evictedEvents) { + if (observedAtMs - evictedAtMs > this.maxAgeMs) this.evictedEvents.delete(eventId); + } + return evictedEventIds; + } + makeRoomForNewEvent(observedAtMs) { + const evictedEventIds = []; + while (this.events.size >= this.maxEvents) { + const eventId = this.events.keys().next().value; + if (this.evict(eventId, observedAtMs)) evictedEventIds.push(eventId); + } + return evictedEventIds; + } + apply(rawEnvelope) { + const envelope = validateLiveEnvelope(rawEnvelope); + if (envelope.message_kind !== "stream_state") { + assertCondition(envelope.symbol === this.canonicalSymbol, "Envelope symbol does not match requested symbol"); + } + let epochChanged = false; + if (this.runtimeEpoch === null) { + this.runtimeEpoch = envelope.runtime_epoch; + this.lastSequence = envelope.sequence; + this.rehydrationCutoffMs = envelope.observed_at_ms; + } else if (envelope.runtime_epoch !== this.runtimeEpoch) { + assertCondition(envelope.message_kind === "stream_state", "Runtime epoch changed without stream_state"); + this.runtimeEpoch = envelope.runtime_epoch; + this.lastSequence = envelope.sequence; + this.events.clear(); + this.evictedEvents.clear(); + this.allowUnknownRehydrate = true; + this.rehydrationCutoffMs = envelope.observed_at_ms; + epochChanged = true; + } else { + assertCondition(envelope.sequence > this.lastSequence, "Live projection sequence regression"); + this.lastSequence = envelope.sequence; + } + if (envelope.message_kind === "stream_state") { + assertCondition(epochChanged || !this.epochEnvelopeAccepted, "Unexpected stream_state inside an active epoch"); + this.epochEnvelopeAccepted = true; + return { type: "stream_reset", envelope }; + } + this.epochEnvelopeAccepted = true; + const evictedEventIds = this.prune(envelope.observed_at_ms); + if (this.evictedEvents.has(envelope.event_id)) { + assertCondition(envelope.message_kind !== "event_opened", "Duplicate event_opened for an evicted event"); + return { + type: "event_evicted", + eventId: envelope.event_id, + evictedEventIds + }; + } + const existing = this.events.get(envelope.event_id); + let rehydrated = false; + if (!existing) { + if (envelope.message_kind !== "event_opened") { + assertCondition(this.allowUnknownRehydrate, "Received an unknown event lifecycle transition without reset"); + assertCondition( + envelope.payload.event.triggered_at_ms <= this.rehydrationCutoffMs, + "Received an unknown event lifecycle transition without reset" + ); + rehydrated = true; + } + evictedEventIds.push(...this.makeRoomForNewEvent(envelope.observed_at_ms)); + this.events.set(envelope.event_id, { + phase: envelope.message_kind === "event_opened" || envelope.message_kind === "event_updated" ? "active" : "closed", + event: envelope.payload.event, + outcomes: /* @__PURE__ */ new Map(), + rehydrated, + observedAtMs: envelope.observed_at_ms + }); + } else { + assertCondition(envelope.message_kind !== "event_opened", "Duplicate event_opened"); + assertCondition(existing.phase !== "closed" || envelope.message_kind === "event_outcome", "Closed event received an invalid lifecycle transition"); + assertCondition(envelope.message_kind !== "event_closed" || existing.phase === "active", "Duplicate event_closed"); + existing.event = envelope.payload.event; + existing.observedAtMs = envelope.observed_at_ms; + if (envelope.message_kind === "event_closed") existing.phase = "closed"; + } + const current = this.events.get(envelope.event_id); + if (envelope.message_kind === "event_outcome") { + assertCondition(current.phase === "closed", "event_outcome requires a closed event"); + const horizon = envelope.payload.outcome.window_seconds; + const previousHorizons = [...current.outcomes.keys()]; + assertCondition(!current.outcomes.has(horizon), "Duplicate event outcome horizon"); + assertCondition(previousHorizons.length === 0 || horizon > Math.max(...previousHorizons), "Event outcome horizons must increase"); + current.outcomes.set(horizon, envelope.payload.outcome); + } + return { + type: "event", + phase: current.phase, + messageKind: envelope.message_kind, + eventId: envelope.event_id, + eventTimeMs: envelope.event_time_ms, + observedAtMs: envelope.observed_at_ms, + event: current.event, + outcomes: [...current.outcomes.values()], + rehydrated: current.rehydrated, + evictedEventIds + }; + } + get size() { + return this.events.size; + } + }; + + // src/binance-strategy27-events/core/live-event-client.js + function abortError() { + return new DOMException("Strategy 27 gateway request aborted", "AbortError"); + } + function normalizeGatewayBaseUrl(value) { + const url = new URL(String(value)); + if (url.protocol !== "http:" || url.hostname !== "127.0.0.1") { + throw new Error("Strategy 27 gateway must use an explicit HTTP loopback address"); + } + if (!url.port || url.username || url.password || url.search || url.hash) { + throw new Error("Strategy 27 gateway must be a loopback origin only"); + } + if (url.pathname !== "/" && url.pathname !== "") { + throw new Error("Strategy 27 gateway must be a loopback origin only"); + } + return url.origin; + } + function createGmJsonRequest(gmRequest) { + if (typeof gmRequest !== "function") throw new Error("GM request adapter is unavailable"); + return ({ url, authSecret, signal }) => new Promise((resolve, reject) => { + if (signal.aborted) { + reject(abortError()); + return; + } + let settled = false; + const settle = (callback) => (value) => { + if (settled) return; + settled = true; + signal.removeEventListener("abort", abort); + callback(value); + }; + const resolveOnce = settle(resolve); + const rejectOnce = settle(reject); + const handle = gmRequest({ + method: "GET", + url, + headers: { Authorization: `Bearer ${authSecret}` }, + timeout: 25e3, + onload: resolveOnce, + onerror: () => rejectOnce(new Error("Strategy 27 gateway request failed")), + ontimeout: () => rejectOnce(new Error("Strategy 27 gateway request timed out")), + onabort: () => rejectOnce(abortError()) + }); + function abort() { + handle.abort(); + } + signal.addEventListener("abort", abort, { once: true }); + }); + } + function parseResponseJson(response) { + if (!Number.isInteger(response?.status) || typeof response.responseText !== "string") { + throw new Error("Strategy 27 gateway returned an invalid GM response"); + } + let payload; + try { + payload = JSON.parse(response.responseText); + } catch { + throw new Error("Strategy 27 gateway returned invalid JSON"); + } + return validateGatewayResponse(payload, response.status); + } + function compareStreamIds(left, right) { + const [leftMs, leftSequence] = left.split("-").map(BigInt); + const [rightMs, rightSequence] = right.split("-").map(BigInt); + if (leftMs !== rightMs) return leftMs > rightMs ? 1 : -1; + if (leftSequence === rightSequence) return 0; + return leftSequence > rightSequence ? 1 : -1; + } + function assertCursorContract(payload, cursor) { + if (payload.status === "error") return; + if (payload.requested_cursor !== cursor) { + throw new Error("Strategy 27 gateway response cursor does not match the request"); + } + if (cursor !== null && compareStreamIds(payload.next_cursor, cursor) < 0) { + throw new Error("Strategy 27 gateway cursor regressed"); + } + } + function createLiveEventClient({ + request, + gatewayBaseUrl, + authSecret, + canonicalSymbol, + onResponse + }) { + if (typeof request !== "function") throw new Error("Strategy 27 request function is required"); + if (typeof authSecret !== "string" || authSecret.length === 0) throw new Error("Strategy 27 gateway secret is not configured"); + if (typeof canonicalSymbol !== "string" || canonicalSymbol.length === 0) throw new Error("Strategy 27 canonical symbol is required"); + if (typeof onResponse !== "function") throw new Error("Strategy 27 response listener is required"); + const origin = normalizeGatewayBaseUrl(gatewayBaseUrl); + let cursor = null; + return Object.freeze({ + async run(signal) { + while (!signal.aborted) { + const url = new URL("/v1/strategy27/events", origin); + url.searchParams.set("symbol", canonicalSymbol); + if (cursor !== null) url.searchParams.set("cursor", cursor); + const response = await request({ + url: url.href, + authSecret, + signal + }); + const payload = parseResponseJson(response); + assertCursorContract(payload, cursor); + if (payload.status === "error") { + throw new Error(`Strategy 27 gateway error: ${payload.error_code}`); + } + await onResponse(payload); + cursor = payload.next_cursor; + } + } + }); + } + + // src/binance-strategy27-events/core/event-annotation.js + var OUTCOME_LABELS = { + continuation: "延续", + recovery: "恢复", + reversal: "反转", + partial_retracement: "部分回撤", + not_applicable: "不适用" + }; + function signedDecimal(value) { + const numeric = Number(value); + if (numeric > 0) return `+${value}`; + return value; + } + function formatForce(name, force) { + return `${name} ${force.notional} USDT/${force.trade_count} 笔，吃对手深度 ${force.to_opposite_depth}`; + } + function formatBook(name, side) { + return `${name} 增 ${side.observed_addition_notional} 减 ${side.observed_decrease_notional}，最优价迁移 ${signedDecimal(side.best_price_migration_bps)} bps`; + } + function outcomeLine(outcome) { + if (outcome.outcome_status !== "complete") return `${outcome.window_seconds} 秒：数据不完整`; + const directional = OUTCOME_LABELS[outcome.directional_outcome] ?? "无方向结论"; + return `${outcome.window_seconds} 秒：${directional}，收盘响应 ${signedDecimal(outcome.return_from_active_end_bps)} bps`; + } + function buildEventAnnotation({ + event, + outcomes, + rehydrated, + eventTimeMs = event.triggered_at_ms, + messageKind = event.event_status === "active" ? "event_updated" : "event_closed" + }) { + const snapshot = messageKind === "event_opened" ? event.trigger_snapshot : event.latest_snapshot; + const response = snapshot.price_response; + const midReturn = Number(response.mid_return_bps); + const markerShape = midReturn > 0 ? "arrow_up" : midReturn < 0 ? "arrow_down" : "flag"; + const markerColor = midReturn > 0 ? "#0ECB81" : midReturn < 0 ? "#F6465D" : "#F0B90B"; + const incomplete = event.event_status === "incomplete" || outcomes.some((item) => item.outcome_status !== "complete"); + const lines = [ + `Strategy 27 ${event.event_kind === "orderflow_event" ? "订单流事件" : "价格响应事件"}`, + formatForce("主动买", snapshot.aggressive_buy), + formatForce("主动卖", snapshot.aggressive_sell), + formatBook("bid", snapshot.bid), + formatBook("ask", snapshot.ask), + `价格响应 ${signedDecimal(response.mid_return_bps)} bps，点差 ${response.spread_bps} bps`, + `触发：${event.trigger_reasons.join("、")}` + ]; + if (event.event_status !== "active") lines.push(`结束：${event.close_reason}`); + if (rehydrated) lines.push("此前投影历史不可用"); + if (incomplete) lines.push("数据不完整，不作方向结论"); + else lines.push(...outcomes.map(outcomeLine)); + const coordinateTime = eventTimeToChartSecond(eventTimeMs); + const coordinatePrice = Number(response.mid); + return Object.freeze({ + markerShape, + markerColor, + markerTime: coordinateTime, + markerPrice: coordinatePrice, + noteText: lines.join("\n"), + noteTime: coordinateTime, + notePrice: coordinatePrice, + liveStatus: `${lines[0]}｜${lines[5]}` + }); + } + + // src/binance-strategy27-events/dom/tradingview-event-layer.js + var CHART_ROOT_SELECTOR = ".chart-widget-root"; + var STATUS_ID = "jh-strategy27-event-status"; + function hasVisibleBox(element) { + if (!element?.getClientRects().length) return false; + const rect = element.getBoundingClientRect(); + return rect.width > 0 && rect.height > 0; + } + function routeSymbolFromChartSymbol(value) { + return String(value || "").split("@", 1)[0]; + } + function assertChartContract(chart) { + for (const method of ["createShape", "getShapeById", "removeEntity", "resolution", "symbol"]) { + if (typeof chart?.[method] !== "function") throw new Error(`TradingView chart method is unavailable: ${method}`); + } + } + function findStrategy27ChartTarget(document, expectedRouteSymbol) { + const chartRoot = findStrategy27ChartRoot(document); + if (!chartRoot) return null; + const frames = Array.from(chartRoot.querySelectorAll("iframe")).filter(hasVisibleBox); + if (!frames.length) return null; + if (frames.length !== 1) throw new Error(`Visible Strategy 27 chart frame count is invalid: ${frames.length}`); + const tradingViewApi = frames[0].contentWindow?.tradingViewApi; + const chart = tradingViewApi?.activeChart?.(); + if (!chart) return null; + assertChartContract(chart); + const resolution = chart.resolution(); + if (resolution !== "1S") throw new Error(`Strategy 27 annotations require a one-second chart, received ${resolution}`); + const routeSymbol = routeSymbolFromChartSymbol(chart.symbol()); + if (routeSymbol !== expectedRouteSymbol) { + throw new Error(`Strategy 27 chart symbol mismatch: expected ${expectedRouteSymbol}, received ${routeSymbol}`); + } + return { chartRoot, frame: frames[0], tradingViewApi, chart, resolution, routeSymbol }; + } + function findStrategy27ChartRoot(document) { + const chartRoots = Array.from(document.querySelectorAll(CHART_ROOT_SELECTOR)).filter(hasVisibleBox); + if (!chartRoots.length) return null; + if (chartRoots.length !== 1) throw new Error(`Visible Strategy 27 chart root count is invalid: ${chartRoots.length}`); + return chartRoots[0]; + } + function shapeOptions(shape, color, text = "") { + return { + shape, + text, + lock: true, + disableSave: true, + disableSelection: true, + disableUndo: true, + showInObjectsTree: false, + overrides: { + color, + fontsize: 12, + fixedSize: true, + wordWrap: true, + wordWrapWidth: 220 + } + }; + } + function verifyResolvedTime(chart, id, requestedTime) { + const shape = chart.getShapeById(id); + const points = shape?.getPoints?.(); + if (!Array.isArray(points) || points.length !== 1 || points[0].time !== requestedTime) { + throw new Error(`Strategy 27 chart time alignment failed for ${requestedTime}`); + } + return shape; + } + async function createAlignedShape(chart, point, options) { + const id = await chart.createShape(point, options); + if (typeof id !== "string" || id.length === 0) throw new Error("TradingView returned an invalid shape id"); + try { + verifyResolvedTime(chart, id, point.time); + } catch (error) { + chart.removeEntity(id); + throw error; + } + return id; + } + function updateAlignedShape(chart, id, point, properties) { + const shape = chart.getShapeById(id); + if (!shape || typeof shape.setPoints !== "function" || typeof shape.setProperties !== "function") { + throw new Error("TradingView shape update contract is unavailable"); + } + shape.setPoints([point]); + shape.setProperties(properties); + verifyResolvedTime(chart, id, point.time); + } + function createTradingViewEventLayer(target, { maxEvents, maxAgeMs }) { + if (!Number.isInteger(maxEvents) || maxEvents < 1) throw new Error("Strategy 27 maxEvents is invalid"); + if (!Number.isInteger(maxAgeMs) || maxAgeMs < 1) throw new Error("Strategy 27 maxAgeMs is invalid"); + const { chart } = target; + const registry = /* @__PURE__ */ new Map(); + function removeRecord(eventId) { + const record = registry.get(eventId); + if (!record) return; + for (const id of [record.markerId, record.noteId]) { + if (id) chart.removeEntity(id); + } + registry.delete(eventId); + } + function pruneAge(observedAtMs) { + for (const [eventId, record] of registry) { + if (observedAtMs - record.observedAtMs > maxAgeMs) removeRecord(eventId); + } + } + function ensureCapacityForNew() { + while (registry.size >= maxEvents) removeRecord(registry.keys().next().value); + } + async function ensureMarker(eventId, annotation, observedAtMs) { + let record = registry.get(eventId); + if (!record) { + pruneAge(observedAtMs); + ensureCapacityForNew(); + const markerId = await createAlignedShape(chart, { + time: annotation.markerTime, + price: annotation.markerPrice + }, shapeOptions(annotation.markerShape, annotation.markerColor)); + record = { markerId, noteId: null, observedAtMs }; + registry.set(eventId, record); + } else { + updateAlignedShape(chart, record.markerId, { + time: annotation.markerTime, + price: annotation.markerPrice + }, { color: annotation.markerColor }); + record.observedAtMs = observedAtMs; + } + return record; + } + async function ensureNote(eventId, annotation, observedAtMs) { + const record = await ensureMarker(eventId, annotation, observedAtMs); + const point = { time: annotation.noteTime, price: annotation.notePrice }; + if (!record.noteId) { + record.noteId = await createAlignedShape( + chart, + point, + shapeOptions("text", annotation.markerColor, annotation.noteText) + ); + } else { + updateAlignedShape(chart, record.noteId, point, { + color: annotation.markerColor, + text: annotation.noteText + }); + } + } + return Object.freeze({ + renderOpened: (eventId, annotation, observedAtMs) => ensureMarker(eventId, annotation, observedAtMs), + renderUpdated: (eventId, annotation, observedAtMs) => ensureMarker(eventId, annotation, observedAtMs), + renderClosed: (eventId, annotation, observedAtMs) => ensureNote(eventId, annotation, observedAtMs), + renderOutcome: (eventId, annotation, observedAtMs) => ensureNote(eventId, annotation, observedAtMs), + remove: removeRecord, + prune: pruneAge, + clear() { + for (const eventId of [...registry.keys()]) removeRecord(eventId); + }, + get size() { + return registry.size; + } + }); + } + function ensureStrategy27StatusView(document, chartRoot) { + const existing = document.getElementById(STATUS_ID); + if (existing && existing.parentElement === chartRoot) return existing; + existing?.remove(); + const status = document.createElement("div"); + status.id = STATUS_ID; + status.setAttribute("aria-live", "polite"); + Object.assign(status.style, { + position: "absolute", + zIndex: "8", + right: "84px", + top: "42px", + maxWidth: "520px", + padding: "4px 8px", + borderRadius: "6px", + background: "rgba(24, 26, 32, .82)", + color: "#EAECEF", + font: "12px/18px BinancePlex, ui-sans-serif, system-ui, sans-serif", + pointerEvents: "none", + whiteSpace: "nowrap", + overflow: "hidden", + textOverflow: "ellipsis" + }); + chartRoot.appendChild(status); + return status; + } + function setStrategy27Status(status, text, state = "normal") { + status.textContent = text; + status.title = text; + status.dataset.state = state; + status.style.color = state === "error" ? "#F6465D" : state === "inactive" ? "#848E9C" : "#EAECEF"; + } + function removeStrategy27StatusView(document) { + document.getElementById(STATUS_ID)?.remove(); + } + + // src/shared/binance-futures-route.js + var FUTURES_TRADING_PATH_RE = /^\/(?:[a-z]{2}(?:-[A-Za-z]{2})?\/)?futures\/([A-Za-z0-9_]{3,})\/?$/; + function parseFuturesTradingSymbolFromPathname(pathname) { + const normalized = String(pathname || "").split(/[?#]/, 1)[0]; + const match = normalized.match(FUTURES_TRADING_PATH_RE); + return match?.[1] ? match[1].toUpperCase() : null; + } + + // src/shared/spa-route-change.js + var ROUTE_CHANGE_EVENT = "jh-userscripts:spa-route-change"; + var ROUTE_PATCH_MARKER = Symbol.for("jh-userscripts.spa-route-change-patched"); + var ROUTE_DISPATCH_STATE = Symbol.for("jh-userscripts.spa-route-change-dispatch"); + function dispatchRouteChange(view) { + const href = view.location.href; + if (view[ROUTE_DISPATCH_STATE]?.href === href) return; + const state = { href }; + view[ROUTE_DISPATCH_STATE] = state; + view.dispatchEvent(new view.Event(ROUTE_CHANGE_EVENT)); + view.queueMicrotask(() => { + if (view[ROUTE_DISPATCH_STATE] === state) delete view[ROUTE_DISPATCH_STATE]; + }); + } + function patchHistoryMethod(view, methodName) { + const current = view.history[methodName]; + if (current[ROUTE_PATCH_MARKER]) return; + function routeAwareHistoryMethod(...args) { + const previousHref = view.location.href; + const result = Reflect.apply(current, this, args); + if (view.location.href !== previousHref) dispatchRouteChange(view); + return result; + } + Object.defineProperty(routeAwareHistoryMethod, ROUTE_PATCH_MARKER, { value: true }); + view.history[methodName] = routeAwareHistoryMethod; + } + function ensureSpaRouteChangePatched(view) { + if (!view?.history) throw new Error("SPA route patch requires a window"); + patchHistoryMethod(view, "pushState"); + patchHistoryMethod(view, "replaceState"); + } + function installSpaRouteChangeListener(view, listener) { + if (!view?.history || typeof listener !== "function") { + throw new Error("SPA route listener requires a window and callback"); + } + ensureSpaRouteChangePatched(view); + view.addEventListener(ROUTE_CHANGE_EVENT, listener); + view.addEventListener("popstate", listener); + view.addEventListener("hashchange", listener); + return () => { + view.removeEventListener(ROUTE_CHANGE_EVENT, listener); + view.removeEventListener("popstate", listener); + view.removeEventListener("hashchange", listener); + }; + } + + // src/binance-strategy27-events/index.user.js + (function() { + "use strict"; + const DEFAULT_GATEWAY_ORIGIN = "http://127.0.0.1:18765"; + const GATEWAY_ORIGIN_KEY = "strategy27GatewayOrigin"; + const GATEWAY_SECRET_KEY = "strategy27GatewayAuthSecret"; + const CONTEXT_CHECK_INTERVAL_MS = 1e3; + const MAX_RETAINED_EVENTS = 80; + const MAX_EVENT_AGE_MS = 2 * 60 * 60 * 1e3; + const page = unsafeWindow; + const pageDocument = page.document; + const request = createGmJsonRequest(GM_xmlhttpRequest); + let active = null; + let statusView = null; + function stopActive(resetReason) { + if (!active) return; + active.controller.abort(); + active.lifecycle.reset(resetReason); + active.layer.clear(); + active = null; + } + function showStatus(chartRoot, text, state = "normal") { + statusView = ensureStrategy27StatusView(pageDocument, chartRoot); + setStrategy27Status(statusView, text, state); + } + async function renderGatewayResponse(context, response) { + if (active !== context) return; + for (const eventId of context.lifecycle.prune(Date.now())) context.layer.remove(eventId); + if (response.status === "reset") { + context.lifecycle.reset(response.reason); + context.layer.clear(); + showStatus(context.target.chartRoot, "Strategy 27 已连接，等待新事件"); + return; + } + for (const message of response.messages) { + const action = context.lifecycle.apply(message); + for (const eventId of action.evictedEventIds ?? []) context.layer.remove(eventId); + if (action.type === "stream_reset") { + context.layer.clear(); + showStatus(context.target.chartRoot, "Strategy 27 数据流已恢复，等待新事件"); + continue; + } + if (action.type === "event_evicted") continue; + const annotation = buildEventAnnotation({ + event: action.event, + outcomes: action.outcomes, + rehydrated: action.rehydrated, + eventTimeMs: action.eventTimeMs, + messageKind: action.messageKind + }); + const renderMethod = { + event_opened: "renderOpened", + event_updated: "renderUpdated", + event_closed: "renderClosed", + event_outcome: "renderOutcome" + }[action.messageKind]; + await context.layer[renderMethod](action.eventId, annotation, action.observedAtMs); + showStatus(context.target.chartRoot, annotation.liveStatus); + } + } + function startContext({ routeSymbol, canonicalSymbol, target, gatewayOrigin, authSecret }) { + const context = { + signature: `${routeSymbol}|${target.resolution}`, + routeSymbol, + canonicalSymbol, + target, + controller: new AbortController(), + lifecycle: new LiveEventLifecycle(canonicalSymbol, { + maxEvents: MAX_RETAINED_EVENTS, + maxAgeMs: MAX_EVENT_AGE_MS + }), + layer: createTradingViewEventLayer(target, { + maxEvents: MAX_RETAINED_EVENTS, + maxAgeMs: MAX_EVENT_AGE_MS + }), + failed: false + }; + active = context; + showStatus(target.chartRoot, "Strategy 27 正在连接"); + const client = createLiveEventClient({ + request, + gatewayBaseUrl: gatewayOrigin, + authSecret, + canonicalSymbol, + onResponse: (response) => renderGatewayResponse(context, response) + }); + client.run(context.controller.signal).catch((error) => { + if (error.name === "AbortError" || active !== context) return; + context.failed = true; + context.layer.clear(); + showStatus(target.chartRoot, `Strategy 27 已停止：${error.message}`, "error"); + }); + } + function synchronizeContext() { + const routeSymbol = parseFuturesTradingSymbolFromPathname(page.location.pathname); + if (!routeSymbol) { + stopActive("route_changed"); + removeStrategy27StatusView(pageDocument); + statusView = null; + return; + } + const chartRoot = findStrategy27ChartRoot(pageDocument); + if (!chartRoot) return; + let canonicalSymbol; + try { + canonicalSymbol = routeSymbolToCanonical(routeSymbol); + if (canonicalSymbolToRoute(canonicalSymbol) !== routeSymbol) { + throw new Error("Binance route symbol does not round-trip"); + } + } catch (error) { + stopActive("route_changed"); + showStatus(chartRoot, `Strategy 27 已停止：${error.message}`, "error"); + return; + } + let target; + try { + target = findStrategy27ChartTarget(pageDocument, routeSymbol); + } catch (error) { + stopActive("interval_changed"); + const inactive = error.message.includes("one-second chart"); + showStatus( + chartRoot, + inactive ? "Strategy 27 仅在 1 秒图表启用" : `Strategy 27 已停止：${error.message}`, + inactive ? "inactive" : "error" + ); + return; + } + if (!target) { + stopActive("interval_changed"); + showStatus(chartRoot, "Strategy 27 正在等待图表接口", "inactive"); + return; + } + if (active && active.routeSymbol === routeSymbol && active.target.chart === target.chart && active.target.chartRoot === target.chartRoot) { + return; + } + stopActive("route_changed"); + const authSecret = GM_getValue(GATEWAY_SECRET_KEY, ""); + if (typeof authSecret !== "string" || authSecret.length === 0) { + showStatus(chartRoot, "Strategy 27 未配置网关密钥（请使用油猴菜单设置）", "inactive"); + return; + } + let gatewayOrigin; + try { + gatewayOrigin = normalizeGatewayBaseUrl(GM_getValue(GATEWAY_ORIGIN_KEY, DEFAULT_GATEWAY_ORIGIN)); + } catch (error) { + showStatus(chartRoot, `Strategy 27 已停止：${error.message}`, "error"); + return; + } + startContext({ routeSymbol, canonicalSymbol, target, gatewayOrigin, authSecret }); + } + function restart() { + stopActive("route_changed"); + synchronizeContext(); + } + GM_registerMenuCommand("设置 Strategy 27 网关密钥", () => { + const value = page.prompt("输入本机 Strategy 27 网关密钥。该值只保存在此油猴脚本的私有存储中。"); + if (value === null) return; + if (value.length === 0) throw new Error("Strategy 27 网关密钥不能为空"); + GM_setValue(GATEWAY_SECRET_KEY, value); + restart(); + }); + GM_registerMenuCommand("设置 Strategy 27 本机网关地址", () => { + const current = GM_getValue(GATEWAY_ORIGIN_KEY, DEFAULT_GATEWAY_ORIGIN); + const value = page.prompt("输入 SSH 本地转发地址（仅允许 http://127.0.0.1:<端口>）", current); + if (value === null) return; + GM_setValue(GATEWAY_ORIGIN_KEY, normalizeGatewayBaseUrl(value)); + restart(); + }); + GM_registerMenuCommand("清除 Strategy 27 图表标注", () => { + active?.layer.clear(); + if (statusView) setStrategy27Status(statusView, "Strategy 27 标注已清除，继续监听"); + }); + const removeRouteListener = installSpaRouteChangeListener(page, restart); + const contextTimer = page.setInterval(synchronizeContext, CONTEXT_CHECK_INTERVAL_MS); + page.addEventListener("beforeunload", () => { + page.clearInterval(contextTimer); + removeRouteListener(); + stopActive("route_changed"); + }, { once: true }); + synchronizeContext(); + })(); +})(); diff --git a/scripts/build-userscript.mjs b/scripts/build-userscript.mjs index 54f6e34..5f7e000 100644 --- a/scripts/build-userscript.mjs +++ b/scripts/build-userscript.mjs @@ -18,6 +18,10 @@ export const TARGETS = { entry: 'src/binance-coinmarketcap-data/index.user.js', output: 'scripts/binance-coinmarketcap-data.user.js', }, + 'binance-strategy27-events': { + entry: 'src/binance-strategy27-events/index.user.js', + output: 'scripts/binance-strategy27-events.user.js', + }, 'm3u8-downloader': { entry: 'src/m3u8-downloader/index.user.js', output: 'scripts/m3u8-downloader.user.js', diff --git a/src/binance-strategy27-events/core/event-annotation.js b/src/binance-strategy27-events/core/event-annotation.js new file mode 100644 index 0000000..8d0a910 --- /dev/null +++ b/src/binance-strategy27-events/core/event-annotation.js @@ -0,0 +1,71 @@ +import { eventTimeToChartSecond } from './live-event-contract.js'; + +const OUTCOME_LABELS = { + continuation: '延续', + recovery: '恢复', + reversal: '反转', + partial_retracement: '部分回撤', + not_applicable: '不适用', +}; + +function signedDecimal(value) { + const numeric = Number(value); + if (numeric > 0) return `+${value}`; + return value; +} + +function formatForce(name, force) { + return `${name} ${force.notional} USDT/${force.trade_count} 笔，吃对手深度 ${force.to_opposite_depth}`; +} + +function formatBook(name, side) { + return `${name} 增 ${side.observed_addition_notional} 减 ${side.observed_decrease_notional}，最优价迁移 ${signedDecimal(side.best_price_migration_bps)} bps`; +} + +function outcomeLine(outcome) { + if (outcome.outcome_status !== 'complete') return `${outcome.window_seconds} 秒：数据不完整`; + const directional = OUTCOME_LABELS[outcome.directional_outcome] ?? '无方向结论'; + return `${outcome.window_seconds} 秒：${directional}，收盘响应 ${signedDecimal(outcome.return_from_active_end_bps)} bps`; +} + +export function buildEventAnnotation({ + event, + outcomes, + rehydrated, + eventTimeMs = event.triggered_at_ms, + messageKind = event.event_status === 'active' ? 'event_updated' : 'event_closed', +}) { + const snapshot = messageKind === 'event_opened' ? event.trigger_snapshot : event.latest_snapshot; + const response = snapshot.price_response; + const midReturn = Number(response.mid_return_bps); + const markerShape = midReturn > 0 ? 'arrow_up' : midReturn < 0 ? 'arrow_down' : 'flag'; + const markerColor = midReturn > 0 ? '#0ECB81' : midReturn < 0 ? '#F6465D' : '#F0B90B'; + const incomplete = event.event_status === 'incomplete' || outcomes.some((item) => item.outcome_status !== 'complete'); + const lines = [ + `Strategy 27 ${event.event_kind === 'orderflow_event' ? '订单流事件' : '价格响应事件'}`, + formatForce('主动买', snapshot.aggressive_buy), + formatForce('主动卖', snapshot.aggressive_sell), + formatBook('bid', snapshot.bid), + formatBook('ask', snapshot.ask), + `价格响应 ${signedDecimal(response.mid_return_bps)} bps，点差 ${response.spread_bps} bps`, + `触发：${event.trigger_reasons.join('、')}`, + ]; + if (event.event_status !== 'active') lines.push(`结束：${event.close_reason}`); + if (rehydrated) lines.push('此前投影历史不可用'); + if (incomplete) lines.push('数据不完整，不作方向结论'); + else lines.push(...outcomes.map(outcomeLine)); + + const coordinateTime = eventTimeToChartSecond(eventTimeMs); + const coordinatePrice = Number(response.mid); + return Object.freeze({ + markerShape, + markerColor, + markerTime: coordinateTime, + markerPrice: coordinatePrice, + noteText: lines.join('\n'), + noteTime: coordinateTime, + notePrice: coordinatePrice, + liveStatus: `${lines[0]}｜${lines[5]}`, + }); +} + diff --git a/src/binance-strategy27-events/core/live-event-client.js b/src/binance-strategy27-events/core/live-event-client.js new file mode 100644 index 0000000..45135fb --- /dev/null +++ b/src/binance-strategy27-events/core/live-event-client.js @@ -0,0 +1,120 @@ +import { validateGatewayResponse } from './live-event-contract.js'; + +function abortError() { + return new DOMException('Strategy 27 gateway request aborted', 'AbortError'); +} + +export function normalizeGatewayBaseUrl(value) { + const url = new URL(String(value)); + if (url.protocol !== 'http:' || url.hostname !== '127.0.0.1') { + throw new Error('Strategy 27 gateway must use an explicit HTTP loopback address'); + } + if (!url.port || url.username || url.password || url.search || url.hash) { + throw new Error('Strategy 27 gateway must be a loopback origin only'); + } + if (url.pathname !== '/' && url.pathname !== '') { + throw new Error('Strategy 27 gateway must be a loopback origin only'); + } + return url.origin; +} + +export function createGmJsonRequest(gmRequest) { + if (typeof gmRequest !== 'function') throw new Error('GM request adapter is unavailable'); + return ({ url, authSecret, signal }) => new Promise((resolve, reject) => { + if (signal.aborted) { + reject(abortError()); + return; + } + let settled = false; + const settle = (callback) => (value) => { + if (settled) return; + settled = true; + signal.removeEventListener('abort', abort); + callback(value); + }; + const resolveOnce = settle(resolve); + const rejectOnce = settle(reject); + const handle = gmRequest({ + method: 'GET', + url, + headers: { Authorization: `Bearer ${authSecret}` }, + timeout: 25_000, + onload: resolveOnce, + onerror: () => rejectOnce(new Error('Strategy 27 gateway request failed')), + ontimeout: () => rejectOnce(new Error('Strategy 27 gateway request timed out')), + onabort: () => rejectOnce(abortError()), + }); + function abort() { + handle.abort(); + } + signal.addEventListener('abort', abort, { once: true }); + }); +} + +function parseResponseJson(response) { + if (!Number.isInteger(response?.status) || typeof response.responseText !== 'string') { + throw new Error('Strategy 27 gateway returned an invalid GM response'); + } + let payload; + try { + payload = JSON.parse(response.responseText); + } catch { + throw new Error('Strategy 27 gateway returned invalid JSON'); + } + return validateGatewayResponse(payload, response.status); +} + +function compareStreamIds(left, right) { + const [leftMs, leftSequence] = left.split('-').map(BigInt); + const [rightMs, rightSequence] = right.split('-').map(BigInt); + if (leftMs !== rightMs) return leftMs > rightMs ? 1 : -1; + if (leftSequence === rightSequence) return 0; + return leftSequence > rightSequence ? 1 : -1; +} + +function assertCursorContract(payload, cursor) { + if (payload.status === 'error') return; + if (payload.requested_cursor !== cursor) { + throw new Error('Strategy 27 gateway response cursor does not match the request'); + } + if (cursor !== null && compareStreamIds(payload.next_cursor, cursor) < 0) { + throw new Error('Strategy 27 gateway cursor regressed'); + } +} + +export function createLiveEventClient({ + request, + gatewayBaseUrl, + authSecret, + canonicalSymbol, + onResponse, +}) { + if (typeof request !== 'function') throw new Error('Strategy 27 request function is required'); + if (typeof authSecret !== 'string' || authSecret.length === 0) throw new Error('Strategy 27 gateway secret is not configured'); + if (typeof canonicalSymbol !== 'string' || canonicalSymbol.length === 0) throw new Error('Strategy 27 canonical symbol is required'); + if (typeof onResponse !== 'function') throw new Error('Strategy 27 response listener is required'); + const origin = normalizeGatewayBaseUrl(gatewayBaseUrl); + let cursor = null; + + return Object.freeze({ + async run(signal) { + while (!signal.aborted) { + const url = new URL('/v1/strategy27/events', origin); + url.searchParams.set('symbol', canonicalSymbol); + if (cursor !== null) url.searchParams.set('cursor', cursor); + const response = await request({ + url: url.href, + authSecret, + signal, + }); + const payload = parseResponseJson(response); + assertCursorContract(payload, cursor); + if (payload.status === 'error') { + throw new Error(`Strategy 27 gateway error: ${payload.error_code}`); + } + await onResponse(payload); + cursor = payload.next_cursor; + } + }, + }); +} diff --git a/src/binance-strategy27-events/core/live-event-contract.js b/src/binance-strategy27-events/core/live-event-contract.js new file mode 100644 index 0000000..c7d4aa3 --- /dev/null +++ b/src/binance-strategy27-events/core/live-event-contract.js @@ -0,0 +1,493 @@ +const CANONICAL_SYMBOL_PATTERN = /^([A-Z0-9]+)\/USDT:USDT$/; +const ROUTE_SYMBOL_PATTERN = /^([A-Z0-9]+)USDT$/; +const STREAM_ID_PATTERN = /^(0|[1-9]\d*)-(0|[1-9]\d*)$/; +const EPOCH_PATTERN = /^[0-9a-f]{32}$/; +const EVENT_ID_PATTERN = /^[0-9a-f]{64}$/; +const DECIMAL_PATTERN = /^-?(?:0|[1-9]\d*)(?:\.\d+)?$/; + +const MESSAGE_KINDS = new Set([ + 'stream_state', + 'event_opened', + 'event_updated', + 'event_closed', + 'event_outcome', +]); +const DATA_STATUSES = new Set(['ready', 'active', 'complete', 'incomplete', 'input_gap', 'terminated']); +const EVENT_KINDS = new Set(['orderflow_event', 'price_response_event']); +const EVENT_STATUSES = new Set(['active', 'complete', 'incomplete']); +const OUTCOME_STATUSES = new Set(['complete', 'input_gap', 'terminated']); +const IMPULSE_DIRECTIONS = new Set(['up', 'down', 'flat']); +const DIRECTIONAL_OUTCOMES = new Set([ + 'continuation', + 'recovery', + 'reversal', + 'partial_retracement', + 'not_applicable', +]); + +function assertCondition(condition, message) { + if (!condition) throw new Error(message); +} + +function assertExactKeys(value, keys, label) { + assertCondition(value && typeof value === 'object' && !Array.isArray(value), `${label} must be an object`); + const actual = Object.keys(value).sort(); + const expected = [...keys].sort(); + assertCondition( + actual.length === expected.length && actual.every((key, index) => key === expected[index]), + `${label} must contain exact keys: ${expected.join(', ')}`, + ); +} + +function assertInteger(value, label, { minimum = 0 } = {}) { + assertCondition(Number.isInteger(value) && value >= minimum, `${label} must be an integer >= ${minimum}`); +} + +function assertNullableInteger(value, label) { + if (value !== null) assertInteger(value, label); +} + +function assertDecimal(value, label, { positive = false, nonNegative = false } = {}) { + assertCondition(typeof value === 'string' && DECIMAL_PATTERN.test(value), `${label} must be a canonical decimal string`); + assertCondition(value !== '-0', `${label} must be a canonical decimal string`); + const numeric = Number(value); + assertCondition(Number.isFinite(numeric), `${label} must be a finite canonical decimal string`); + if (positive) assertCondition(numeric > 0, `${label} must be positive`); + if (nonNegative) assertCondition(numeric >= 0, `${label} must be non-negative`); +} + +function assertNullableDecimal(value, label) { + if (value !== null) assertDecimal(value, label); +} + +function assertSortedUniqueStrings(value, label, { nonEmpty = false } = {}) { + assertCondition(Array.isArray(value), `${label} must be an array`); + assertCondition(value.every((item) => typeof item === 'string' && item.length > 0), `${label} must contain non-empty strings`); + const sorted = [...new Set(value)].sort(); + assertCondition(sorted.length === value.length && sorted.every((item, index) => item === value[index]), `${label} must be sorted and unique`); + if (nonEmpty) assertCondition(value.length > 0, `${label} must not be empty`); +} + +function validateAggressiveSide(value, label) { + assertExactKeys(value, ['notional', 'trade_count', 'to_opposite_depth'], label); + assertDecimal(value.notional, `${label}.notional`, { nonNegative: true }); + assertInteger(value.trade_count, `${label}.trade_count`); + assertDecimal(value.to_opposite_depth, `${label}.to_opposite_depth`, { nonNegative: true }); +} + +function validateBookSide(value, label) { + assertExactKeys(value, [ + 'observed_addition_notional', + 'observed_decrease_notional', + 'best_price_migration_bps', + 'addition_to_depth', + 'decrease_to_depth', + ], label); + assertDecimal(value.observed_addition_notional, `${label}.observed_addition_notional`, { nonNegative: true }); + assertDecimal(value.observed_decrease_notional, `${label}.observed_decrease_notional`, { nonNegative: true }); + assertDecimal(value.best_price_migration_bps, `${label}.best_price_migration_bps`); + assertDecimal(value.addition_to_depth, `${label}.addition_to_depth`, { nonNegative: true }); + assertDecimal(value.decrease_to_depth, `${label}.decrease_to_depth`, { nonNegative: true }); +} + +function validatePriceResponse(value, label) { + assertExactKeys(value, ['mid', 'mid_return_bps', 'spread_bps', 'spread_change_bps'], label); + assertDecimal(value.mid, `${label}.mid`, { positive: true }); + assertDecimal(value.mid_return_bps, `${label}.mid_return_bps`); + assertDecimal(value.spread_bps, `${label}.spread_bps`, { nonNegative: true }); + assertDecimal(value.spread_change_bps, `${label}.spread_change_bps`); +} + +function validateSnapshot(value, label) { + assertExactKeys(value, [ + 'bucket_start_ms', + 'bucket_end_ms', + 'bucket_trigger_reasons', + 'aggressive_buy', + 'aggressive_sell', + 'bid', + 'ask', + 'price_response', + ], label); + assertInteger(value.bucket_start_ms, `${label}.bucket_start_ms`); + assertInteger(value.bucket_end_ms, `${label}.bucket_end_ms`); + assertCondition(value.bucket_end_ms > value.bucket_start_ms, `${label} bucket end must follow start`); + assertSortedUniqueStrings(value.bucket_trigger_reasons, `${label}.bucket_trigger_reasons`); + validateAggressiveSide(value.aggressive_buy, `${label}.aggressive_buy`); + validateAggressiveSide(value.aggressive_sell, `${label}.aggressive_sell`); + validateBookSide(value.bid, `${label}.bid`); + validateBookSide(value.ask, `${label}.ask`); + validatePriceResponse(value.price_response, `${label}.price_response`); +} + +function validateEvent(value) { + assertExactKeys(value, [ + 'event_kind', + 'analysis_start_at_ms', + 'triggered_at_ms', + 'active_end_at_ms', + 'event_status', + 'close_reason', + 'trigger_reasons', + 'trigger_snapshot', + 'latest_snapshot', + ], 'payload.event'); + assertCondition(EVENT_KINDS.has(value.event_kind), 'payload.event.event_kind is invalid'); + assertInteger(value.analysis_start_at_ms, 'payload.event.analysis_start_at_ms'); + assertInteger(value.triggered_at_ms, 'payload.event.triggered_at_ms'); + assertCondition(value.analysis_start_at_ms <= value.triggered_at_ms, 'event analysis must not start after trigger'); + assertNullableInteger(value.active_end_at_ms, 'payload.event.active_end_at_ms'); + assertCondition(EVENT_STATUSES.has(value.event_status), 'payload.event.event_status is invalid'); + assertSortedUniqueStrings(value.trigger_reasons, 'payload.event.trigger_reasons', { nonEmpty: true }); + validateSnapshot(value.trigger_snapshot, 'payload.event.trigger_snapshot'); + validateSnapshot(value.latest_snapshot, 'payload.event.latest_snapshot'); + assertCondition(value.trigger_snapshot.bucket_end_ms === value.triggered_at_ms, 'trigger snapshot must end at triggered_at_ms'); + if (value.event_status === 'active') { + assertCondition(value.active_end_at_ms === null && value.close_reason === null, 'active event close fields must be null'); + } else { + assertInteger(value.active_end_at_ms, 'payload.event.active_end_at_ms'); + assertCondition(value.active_end_at_ms >= value.triggered_at_ms, 'event active end must not precede trigger'); + assertCondition([ + 'quiet_period', + 'maximum_duration', + 'input_gap', + 'universe_removed', + 'monitor_stopped', + ].includes(value.close_reason), 'closed event close_reason is invalid'); + assertCondition(value.latest_snapshot.bucket_end_ms === value.active_end_at_ms, 'closed latest snapshot must end at active_end_at_ms'); + } +} + +function validateOutcome(value) { + assertExactKeys(value, [ + 'window_seconds', + 'outcome_boundary_at_ms', + 'outcome_status', + 'terminated_at_ms', + 'termination_reason', + 'boundary_mid', + 'return_from_trigger_bps', + 'return_from_active_end_bps', + 'maximum_upward_excursion_bps', + 'maximum_downward_excursion_bps', + 'pre_event_range_break_up', + 'pre_event_range_break_down', + 'spread_change_from_active_end_bps', + 'eligible_orderbook_observation_count', + 'impulse_direction', + 'directional_outcome', + ], 'payload.outcome'); + assertInteger(value.window_seconds, 'payload.outcome.window_seconds', { minimum: 1 }); + assertInteger(value.outcome_boundary_at_ms, 'payload.outcome.outcome_boundary_at_ms'); + assertCondition(OUTCOME_STATUSES.has(value.outcome_status), 'payload.outcome.outcome_status is invalid'); + assertNullableInteger(value.terminated_at_ms, 'payload.outcome.terminated_at_ms'); + assertCondition(value.termination_reason === null || ['universe_removed', 'monitor_stopped'].includes(value.termination_reason), 'payload.outcome.termination_reason is invalid'); + if (value.boundary_mid !== null) assertDecimal(value.boundary_mid, 'payload.outcome.boundary_mid', { positive: true }); + assertNullableDecimal(value.return_from_trigger_bps, 'payload.outcome.return_from_trigger_bps'); + assertNullableDecimal(value.return_from_active_end_bps, 'payload.outcome.return_from_active_end_bps'); + if (value.maximum_upward_excursion_bps !== null) assertDecimal(value.maximum_upward_excursion_bps, 'payload.outcome.maximum_upward_excursion_bps', { nonNegative: true }); + if (value.maximum_downward_excursion_bps !== null) assertDecimal(value.maximum_downward_excursion_bps, 'payload.outcome.maximum_downward_excursion_bps', { nonNegative: true }); + assertCondition(value.pre_event_range_break_up === null || typeof value.pre_event_range_break_up === 'boolean', 'payload.outcome.pre_event_range_break_up is invalid'); + assertCondition(value.pre_event_range_break_down === null || typeof value.pre_event_range_break_down === 'boolean', 'payload.outcome.pre_event_range_break_down is invalid'); + assertNullableDecimal(value.spread_change_from_active_end_bps, 'payload.outcome.spread_change_from_active_end_bps'); + assertInteger(value.eligible_orderbook_observation_count, 'payload.outcome.eligible_orderbook_observation_count'); + assertCondition(value.impulse_direction === null || IMPULSE_DIRECTIONS.has(value.impulse_direction), 'payload.outcome.impulse_direction is invalid'); + assertCondition(value.directional_outcome === null || DIRECTIONAL_OUTCOMES.has(value.directional_outcome), 'payload.outcome.directional_outcome is invalid'); + if (value.outcome_status === 'complete') { + for (const field of [ + 'boundary_mid', + 'return_from_trigger_bps', + 'return_from_active_end_bps', + 'maximum_upward_excursion_bps', + 'maximum_downward_excursion_bps', + 'pre_event_range_break_up', + 'pre_event_range_break_down', + 'spread_change_from_active_end_bps', + 'impulse_direction', + 'directional_outcome', + ]) { + assertCondition(value[field] !== null, `complete outcome requires ${field}`); + } + assertCondition(value.terminated_at_ms === null && value.termination_reason === null, 'complete outcome cannot contain termination fields'); + } else { + assertCondition(value.directional_outcome === null, 'incomplete outcome cannot have a directional conclusion'); + if (value.outcome_status === 'terminated') { + assertInteger(value.terminated_at_ms, 'payload.outcome.terminated_at_ms'); + assertCondition(['universe_removed', 'monitor_stopped'].includes(value.termination_reason), 'terminated outcome requires termination_reason'); + } else { + assertCondition(value.terminated_at_ms === null && value.termination_reason === null, 'input-gap outcome cannot contain termination fields'); + } + } +} + +export function routeSymbolToCanonical(routeSymbol) { + const match = String(routeSymbol).match(ROUTE_SYMBOL_PATTERN); + assertCondition(match && match[1].length > 0, 'Invalid Binance futures route symbol'); + return `${match[1]}/USDT:USDT`; +} + +export function canonicalSymbolToRoute(canonicalSymbol) { + const match = String(canonicalSymbol).match(CANONICAL_SYMBOL_PATTERN); + assertCondition(match && match[1].length > 0, 'Invalid canonical Strategy 27 symbol'); + const routeSymbol = `${match[1]}USDT`; + assertCondition(routeSymbolToCanonical(routeSymbol) === canonicalSymbol, 'Canonical Strategy 27 symbol does not round-trip'); + return routeSymbol; +} + +export function eventTimeToChartSecond(eventTimeMs) { + assertCondition(Number.isInteger(eventTimeMs) && eventTimeMs >= 0, 'Event time must be non-negative integer milliseconds'); + return Math.floor(eventTimeMs / 1_000); +} + +export function validateLiveEnvelope(value) { + assertExactKeys(value, [ + 'schema_version', + 'strategy_id', + 'spec_version', + 'runtime_epoch', + 'sequence', + 'message_kind', + 'symbol', + 'event_id', + 'observed_at_ms', + 'event_time_ms', + 'data_status', + 'payload', + ], 'live envelope'); + assertCondition(value.schema_version === 1, 'Live envelope schema_version must be 1'); + assertCondition(value.strategy_id === '27', 'Live envelope strategy_id must be 27'); + assertCondition(value.spec_version === '27_2_spec_v10', 'Live envelope spec_version is invalid'); + assertCondition(typeof value.runtime_epoch === 'string' && EPOCH_PATTERN.test(value.runtime_epoch), 'Live envelope runtime_epoch is invalid'); + assertInteger(value.sequence, 'Live envelope sequence', { minimum: 1 }); + assertCondition(MESSAGE_KINDS.has(value.message_kind), 'Live envelope message_kind is invalid'); + assertInteger(value.observed_at_ms, 'Live envelope observed_at_ms'); + assertInteger(value.event_time_ms, 'Live envelope event_time_ms'); + assertCondition(DATA_STATUSES.has(value.data_status), 'Live envelope data_status is invalid'); + + if (value.message_kind === 'stream_state') { + assertCondition(value.symbol === null && value.event_id === null, 'stream_state identity must be null'); + assertCondition(value.data_status === 'ready', 'stream_state data_status must be ready'); + assertCondition(value.event_time_ms === value.observed_at_ms, 'stream_state event time must equal observation time'); + assertExactKeys(value.payload, ['state', 'reason'], 'stream_state payload'); + assertCondition(value.payload.state === 'ready', 'stream_state payload.state must be ready'); + assertCondition(['startup', 'transport_recovered', 'queue_recovered'].includes(value.payload.reason), 'stream_state reason is invalid'); + return value; + } + + canonicalSymbolToRoute(value.symbol); + assertCondition(typeof value.event_id === 'string' && EVENT_ID_PATTERN.test(value.event_id), 'Live envelope event_id is invalid'); + const payloadKeys = value.message_kind === 'event_outcome' ? ['event', 'outcome'] : ['event']; + assertExactKeys(value.payload, payloadKeys, 'event payload'); + validateEvent(value.payload.event); + + if (value.message_kind === 'event_opened' || value.message_kind === 'event_updated') { + assertCondition(value.data_status === 'active' && value.payload.event.event_status === 'active', 'active message status is invalid'); + } else { + assertCondition(value.payload.event.event_status !== 'active', 'closed message requires a closed event'); + assertCondition(value.data_status === value.payload.event.event_status || value.message_kind === 'event_outcome', 'closed message data_status is invalid'); + } + + if (value.message_kind === 'event_opened') { + assertCondition(value.event_time_ms === value.payload.event.triggered_at_ms, 'event_opened time is invalid'); + } else if (value.message_kind === 'event_updated') { + assertCondition(value.event_time_ms === value.payload.event.latest_snapshot.bucket_end_ms, 'event_updated time is invalid'); + } else if (value.message_kind === 'event_closed') { + assertCondition(value.event_time_ms === value.payload.event.active_end_at_ms, 'event_closed time is invalid'); + } else { + validateOutcome(value.payload.outcome); + assertCondition(value.data_status === value.payload.outcome.outcome_status, 'event_outcome data_status is invalid'); + assertCondition(value.event_time_ms === value.payload.outcome.outcome_boundary_at_ms, 'event_outcome time is invalid'); + } + return value; +} + +export function validateGatewayResponse(value, httpStatus) { + if (value?.status === 'ok') { + assertCondition(httpStatus === 200, 'Gateway success must use HTTP 200'); + assertExactKeys(value, ['schema_version', 'status', 'requested_cursor', 'next_cursor', 'messages'], 'gateway success response'); + assertCondition(value.schema_version === 1, 'Gateway response schema_version must be 1'); + assertCondition(typeof value.requested_cursor === 'string' && STREAM_ID_PATTERN.test(value.requested_cursor), 'Gateway requested_cursor is invalid'); + assertCondition(typeof value.next_cursor === 'string' && STREAM_ID_PATTERN.test(value.next_cursor), 'Gateway next_cursor is invalid'); + assertCondition(Array.isArray(value.messages), 'Gateway messages must be an array'); + value.messages.forEach(validateLiveEnvelope); + return value; + } + if (value?.status === 'reset') { + assertExactKeys(value, ['schema_version', 'status', 'reason', 'requested_cursor', 'next_cursor', 'messages'], 'gateway reset response'); + assertCondition(value.schema_version === 1, 'Gateway response schema_version must be 1'); + assertCondition(['initial_cursor', 'stale_cursor'].includes(value.reason), 'Gateway reset reason is invalid'); + assertCondition(httpStatus === (value.reason === 'initial_cursor' ? 200 : 409), 'Gateway reset HTTP status is invalid'); + assertCondition(value.reason === 'initial_cursor' ? value.requested_cursor === null : typeof value.requested_cursor === 'string' && STREAM_ID_PATTERN.test(value.requested_cursor), 'Gateway reset requested_cursor is invalid'); + assertCondition(typeof value.next_cursor === 'string' && STREAM_ID_PATTERN.test(value.next_cursor), 'Gateway reset next_cursor is invalid'); + assertCondition(Array.isArray(value.messages) && value.messages.length === 0, 'Gateway reset messages must be empty'); + return value; + } + if (value?.status === 'error') { + assertExactKeys(value, ['schema_version', 'status', 'error_code'], 'gateway error response'); + assertCondition(value.schema_version === 1, 'Gateway response schema_version must be 1'); + const expected = { 400: 'invalid_request', 401: 'unauthorized', 503: 'redis_unavailable' }[httpStatus]; + assertCondition(value.error_code === expected, 'Gateway error status and code do not match'); + return value; + } + throw new Error('Gateway response status is invalid'); +} + +export class LiveEventLifecycle { + constructor(canonicalSymbol, { maxEvents, maxAgeMs }) { + canonicalSymbolToRoute(canonicalSymbol); + assertCondition(Number.isInteger(maxEvents) && maxEvents >= 1, 'Lifecycle maxEvents is invalid'); + assertCondition(Number.isInteger(maxAgeMs) && maxAgeMs >= 1, 'Lifecycle maxAgeMs is invalid'); + this.canonicalSymbol = canonicalSymbol; + this.maxEvents = maxEvents; + this.maxAgeMs = maxAgeMs; + this.reset('initial_cursor'); + } + + reset(reason) { + assertCondition(['initial_cursor', 'stale_cursor', 'route_changed', 'interval_changed'].includes(reason), 'Lifecycle reset reason is invalid'); + this.runtimeEpoch = null; + this.lastSequence = null; + this.epochEnvelopeAccepted = false; + this.events = new Map(); + this.evictedEvents = new Map(); + this.allowUnknownRehydrate = true; + this.rehydrationCutoffMs = null; + } + + rememberEviction(eventId, observedAtMs) { + this.evictedEvents.delete(eventId); + this.evictedEvents.set(eventId, observedAtMs); + while (this.evictedEvents.size > this.maxEvents) { + this.evictedEvents.delete(this.evictedEvents.keys().next().value); + } + } + + evict(eventId, observedAtMs) { + if (!this.events.delete(eventId)) return false; + this.rememberEviction(eventId, observedAtMs); + return true; + } + + prune(observedAtMs) { + assertInteger(observedAtMs, 'Lifecycle prune observedAtMs'); + const evictedEventIds = []; + for (const [eventId, state] of this.events) { + if (observedAtMs - state.observedAtMs > this.maxAgeMs && this.evict(eventId, observedAtMs)) { + evictedEventIds.push(eventId); + } + } + for (const [eventId, evictedAtMs] of this.evictedEvents) { + if (observedAtMs - evictedAtMs > this.maxAgeMs) this.evictedEvents.delete(eventId); + } + return evictedEventIds; + } + + makeRoomForNewEvent(observedAtMs) { + const evictedEventIds = []; + while (this.events.size >= this.maxEvents) { + const eventId = this.events.keys().next().value; + if (this.evict(eventId, observedAtMs)) evictedEventIds.push(eventId); + } + return evictedEventIds; + } + + apply(rawEnvelope) { + const envelope = validateLiveEnvelope(rawEnvelope); + if (envelope.message_kind !== 'stream_state') { + assertCondition(envelope.symbol === this.canonicalSymbol, 'Envelope symbol does not match requested symbol'); + } + + let epochChanged = false; + if (this.runtimeEpoch === null) { + this.runtimeEpoch = envelope.runtime_epoch; + this.lastSequence = envelope.sequence; + this.rehydrationCutoffMs = envelope.observed_at_ms; + } else if (envelope.runtime_epoch !== this.runtimeEpoch) { + assertCondition(envelope.message_kind === 'stream_state', 'Runtime epoch changed without stream_state'); + this.runtimeEpoch = envelope.runtime_epoch; + this.lastSequence = envelope.sequence; + this.events.clear(); + this.evictedEvents.clear(); + this.allowUnknownRehydrate = true; + this.rehydrationCutoffMs = envelope.observed_at_ms; + epochChanged = true; + } else { + // The gateway omits other-symbol envelopes while advancing the Redis cursor, so a + // requested-symbol client observes a strictly increasing subsequence, not +1 adjacency. + assertCondition(envelope.sequence > this.lastSequence, 'Live projection sequence regression'); + this.lastSequence = envelope.sequence; + } + + if (envelope.message_kind === 'stream_state') { + assertCondition(epochChanged || !this.epochEnvelopeAccepted, 'Unexpected stream_state inside an active epoch'); + this.epochEnvelopeAccepted = true; + return { type: 'stream_reset', envelope }; + } + this.epochEnvelopeAccepted = true; + + const evictedEventIds = this.prune(envelope.observed_at_ms); + if (this.evictedEvents.has(envelope.event_id)) { + assertCondition(envelope.message_kind !== 'event_opened', 'Duplicate event_opened for an evicted event'); + return { + type: 'event_evicted', + eventId: envelope.event_id, + evictedEventIds, + }; + } + + const existing = this.events.get(envelope.event_id); + let rehydrated = false; + if (!existing) { + if (envelope.message_kind !== 'event_opened') { + assertCondition(this.allowUnknownRehydrate, 'Received an unknown event lifecycle transition without reset'); + assertCondition( + envelope.payload.event.triggered_at_ms <= this.rehydrationCutoffMs, + 'Received an unknown event lifecycle transition without reset', + ); + rehydrated = true; + } + evictedEventIds.push(...this.makeRoomForNewEvent(envelope.observed_at_ms)); + this.events.set(envelope.event_id, { + phase: envelope.message_kind === 'event_opened' || envelope.message_kind === 'event_updated' ? 'active' : 'closed', + event: envelope.payload.event, + outcomes: new Map(), + rehydrated, + observedAtMs: envelope.observed_at_ms, + }); + } else { + assertCondition(envelope.message_kind !== 'event_opened', 'Duplicate event_opened'); + assertCondition(existing.phase !== 'closed' || envelope.message_kind === 'event_outcome', 'Closed event received an invalid lifecycle transition'); + assertCondition(envelope.message_kind !== 'event_closed' || existing.phase === 'active', 'Duplicate event_closed'); + existing.event = envelope.payload.event; + existing.observedAtMs = envelope.observed_at_ms; + if (envelope.message_kind === 'event_closed') existing.phase = 'closed'; + } + + const current = this.events.get(envelope.event_id); + if (envelope.message_kind === 'event_outcome') { + assertCondition(current.phase === 'closed', 'event_outcome requires a closed event'); + const horizon = envelope.payload.outcome.window_seconds; + const previousHorizons = [...current.outcomes.keys()]; + assertCondition(!current.outcomes.has(horizon), 'Duplicate event outcome horizon'); + assertCondition(previousHorizons.length === 0 || horizon > Math.max(...previousHorizons), 'Event outcome horizons must increase'); + current.outcomes.set(horizon, envelope.payload.outcome); + } + + return { + type: 'event', + phase: current.phase, + messageKind: envelope.message_kind, + eventId: envelope.event_id, + eventTimeMs: envelope.event_time_ms, + observedAtMs: envelope.observed_at_ms, + event: current.event, + outcomes: [...current.outcomes.values()], + rehydrated: current.rehydrated, + evictedEventIds, + }; + } + + get size() { + return this.events.size; + } +} diff --git a/src/binance-strategy27-events/dom/tradingview-event-layer.js b/src/binance-strategy27-events/dom/tradingview-event-layer.js new file mode 100644 index 0000000..0b7f014 --- /dev/null +++ b/src/binance-strategy27-events/dom/tradingview-event-layer.js @@ -0,0 +1,211 @@ +const CHART_ROOT_SELECTOR = '.chart-widget-root'; +const STATUS_ID = 'jh-strategy27-event-status'; + +function hasVisibleBox(element) { + if (!element?.getClientRects().length) return false; + const rect = element.getBoundingClientRect(); + return rect.width > 0 && rect.height > 0; +} + +function routeSymbolFromChartSymbol(value) { + return String(value || '').split('@', 1)[0]; +} + +function assertChartContract(chart) { + for (const method of ['createShape', 'getShapeById', 'removeEntity', 'resolution', 'symbol']) { + if (typeof chart?.[method] !== 'function') throw new Error(`TradingView chart method is unavailable: ${method}`); + } +} + +export function findStrategy27ChartTarget(document, expectedRouteSymbol) { + const chartRoot = findStrategy27ChartRoot(document); + if (!chartRoot) return null; + const frames = Array.from(chartRoot.querySelectorAll('iframe')).filter(hasVisibleBox); + if (!frames.length) return null; + if (frames.length !== 1) throw new Error(`Visible Strategy 27 chart frame count is invalid: ${frames.length}`); + const tradingViewApi = frames[0].contentWindow?.tradingViewApi; + const chart = tradingViewApi?.activeChart?.(); + if (!chart) return null; + assertChartContract(chart); + const resolution = chart.resolution(); + if (resolution !== '1S') throw new Error(`Strategy 27 annotations require a one-second chart, received ${resolution}`); + const routeSymbol = routeSymbolFromChartSymbol(chart.symbol()); + if (routeSymbol !== expectedRouteSymbol) { + throw new Error(`Strategy 27 chart symbol mismatch: expected ${expectedRouteSymbol}, received ${routeSymbol}`); + } + return { chartRoot, frame: frames[0], tradingViewApi, chart, resolution, routeSymbol }; +} + +export function findStrategy27ChartRoot(document) { + const chartRoots = Array.from(document.querySelectorAll(CHART_ROOT_SELECTOR)).filter(hasVisibleBox); + if (!chartRoots.length) return null; + if (chartRoots.length !== 1) throw new Error(`Visible Strategy 27 chart root count is invalid: ${chartRoots.length}`); + return chartRoots[0]; +} + +function shapeOptions(shape, color, text = '') { + return { + shape, + text, + lock: true, + disableSave: true, + disableSelection: true, + disableUndo: true, + showInObjectsTree: false, + overrides: { + color, + fontsize: 12, + fixedSize: true, + wordWrap: true, + wordWrapWidth: 220, + }, + }; +} + +function verifyResolvedTime(chart, id, requestedTime) { + const shape = chart.getShapeById(id); + const points = shape?.getPoints?.(); + if (!Array.isArray(points) || points.length !== 1 || points[0].time !== requestedTime) { + throw new Error(`Strategy 27 chart time alignment failed for ${requestedTime}`); + } + return shape; +} + +async function createAlignedShape(chart, point, options) { + const id = await chart.createShape(point, options); + if (typeof id !== 'string' || id.length === 0) throw new Error('TradingView returned an invalid shape id'); + try { + verifyResolvedTime(chart, id, point.time); + } catch (error) { + chart.removeEntity(id); + throw error; + } + return id; +} + +function updateAlignedShape(chart, id, point, properties) { + const shape = chart.getShapeById(id); + if (!shape || typeof shape.setPoints !== 'function' || typeof shape.setProperties !== 'function') { + throw new Error('TradingView shape update contract is unavailable'); + } + shape.setPoints([point]); + shape.setProperties(properties); + verifyResolvedTime(chart, id, point.time); +} + +export function createTradingViewEventLayer(target, { maxEvents, maxAgeMs }) { + if (!Number.isInteger(maxEvents) || maxEvents < 1) throw new Error('Strategy 27 maxEvents is invalid'); + if (!Number.isInteger(maxAgeMs) || maxAgeMs < 1) throw new Error('Strategy 27 maxAgeMs is invalid'); + const { chart } = target; + const registry = new Map(); + + function removeRecord(eventId) { + const record = registry.get(eventId); + if (!record) return; + for (const id of [record.markerId, record.noteId]) { + if (id) chart.removeEntity(id); + } + registry.delete(eventId); + } + + function pruneAge(observedAtMs) { + for (const [eventId, record] of registry) { + if (observedAtMs - record.observedAtMs > maxAgeMs) removeRecord(eventId); + } + } + + function ensureCapacityForNew() { + while (registry.size >= maxEvents) removeRecord(registry.keys().next().value); + } + + async function ensureMarker(eventId, annotation, observedAtMs) { + let record = registry.get(eventId); + if (!record) { + pruneAge(observedAtMs); + ensureCapacityForNew(); + const markerId = await createAlignedShape(chart, { + time: annotation.markerTime, + price: annotation.markerPrice, + }, shapeOptions(annotation.markerShape, annotation.markerColor)); + record = { markerId, noteId: null, observedAtMs }; + registry.set(eventId, record); + } else { + updateAlignedShape(chart, record.markerId, { + time: annotation.markerTime, + price: annotation.markerPrice, + }, { color: annotation.markerColor }); + record.observedAtMs = observedAtMs; + } + return record; + } + + async function ensureNote(eventId, annotation, observedAtMs) { + const record = await ensureMarker(eventId, annotation, observedAtMs); + const point = { time: annotation.noteTime, price: annotation.notePrice }; + if (!record.noteId) { + record.noteId = await createAlignedShape( + chart, + point, + shapeOptions('text', annotation.markerColor, annotation.noteText), + ); + } else { + updateAlignedShape(chart, record.noteId, point, { + color: annotation.markerColor, + text: annotation.noteText, + }); + } + } + + return Object.freeze({ + renderOpened: (eventId, annotation, observedAtMs) => ensureMarker(eventId, annotation, observedAtMs), + renderUpdated: (eventId, annotation, observedAtMs) => ensureMarker(eventId, annotation, observedAtMs), + renderClosed: (eventId, annotation, observedAtMs) => ensureNote(eventId, annotation, observedAtMs), + renderOutcome: (eventId, annotation, observedAtMs) => ensureNote(eventId, annotation, observedAtMs), + remove: removeRecord, + prune: pruneAge, + clear() { + for (const eventId of [...registry.keys()]) removeRecord(eventId); + }, + get size() { + return registry.size; + }, + }); +} + +export function ensureStrategy27StatusView(document, chartRoot) { + const existing = document.getElementById(STATUS_ID); + if (existing && existing.parentElement === chartRoot) return existing; + existing?.remove(); + const status = document.createElement('div'); + status.id = STATUS_ID; + status.setAttribute('aria-live', 'polite'); + Object.assign(status.style, { + position: 'absolute', + zIndex: '8', + right: '84px', + top: '42px', + maxWidth: '520px', + padding: '4px 8px', + borderRadius: '6px', + background: 'rgba(24, 26, 32, .82)', + color: '#EAECEF', + font: '12px/18px BinancePlex, ui-sans-serif, system-ui, sans-serif', + pointerEvents: 'none', + whiteSpace: 'nowrap', + overflow: 'hidden', + textOverflow: 'ellipsis', + }); + chartRoot.appendChild(status); + return status; +} + +export function setStrategy27Status(status, text, state = 'normal') { + status.textContent = text; + status.title = text; + status.dataset.state = state; + status.style.color = state === 'error' ? '#F6465D' : state === 'inactive' ? '#848E9C' : '#EAECEF'; +} + +export function removeStrategy27StatusView(document) { + document.getElementById(STATUS_ID)?.remove(); +} diff --git a/src/binance-strategy27-events/index.user.js b/src/binance-strategy27-events/index.user.js new file mode 100644 index 0000000..5aeba06 --- /dev/null +++ b/src/binance-strategy27-events/index.user.js @@ -0,0 +1,244 @@ +// ==UserScript== +// @name 【自写】Binance Strategy 27 事件标注 +// @namespace binance.strategy27.events +// @icon data:image/svg+xml,%3Csvg%20xmlns%3D%22http%3A%2F%2Fwww.w3.org%2F2000%2Fsvg%22%20viewBox%3D%220%200%2064%2064%22%3E%3Crect%20width%3D%2264%22%20height%3D%2264%22%20rx%3D%2214%22%20fill%3D%22%23f0b90b%22%2F%3E%3Ctext%20x%3D%2232%22%20y%3D%2249%22%20text-anchor%3D%22middle%22%20font-family%3D%22Arial%2C%20sans-serif%22%20font-size%3D%2242%22%20font-weight%3D%22800%22%20fill%3D%22%23111827%22%3EJ%3C%2Ftext%3E%3C%2Fsvg%3E +// @icon64 data:image/svg+xml,%3Csvg%20xmlns%3D%22http%3A%2F%2Fwww.w3.org%2F2000%2Fsvg%22%20viewBox%3D%220%200%2064%2064%22%3E%3Crect%20width%3D%2264%22%20height%3D%2264%22%20rx%3D%2214%22%20fill%3D%22%23f0b90b%22%2F%3E%3Ctext%20x%3D%2232%22%20y%3D%2249%22%20text-anchor%3D%22middle%22%20font-family%3D%22Arial%2C%20sans-serif%22%20font-size%3D%2242%22%20font-weight%3D%22800%22%20fill%3D%22%23111827%22%3EJ%3C%2Ftext%3E%3C%2Fsvg%3E +// @version 0.1.0 +// @author jackhai9 +// @description 在 Binance 一秒图表标注 VPS Strategy 27 的实时订单流事件和后续结果 +// @match https://www.binance.com/*/futures/* +// @match https://www.binance.com/futures/* +// @exclude https://www.binance.com/*/my/wallet/futures/* +// @exclude https://www.binance.com/my/wallet/futures/* +// @connect 127.0.0.1 +// @updateURL https://raw.githubusercontent.com/jackhai9/userscripts/main/scripts/binance-strategy27-events.user.js +// @downloadURL https://raw.githubusercontent.com/jackhai9/userscripts/main/scripts/binance-strategy27-events.user.js +// @run-at document-idle +// @grant unsafeWindow +// @grant GM_xmlhttpRequest +// @grant GM_getValue +// @grant GM_setValue +// @grant GM_registerMenuCommand +// ==/UserScript== + +import { + canonicalSymbolToRoute, + LiveEventLifecycle, + routeSymbolToCanonical, +} from './core/live-event-contract.js'; +import { + createGmJsonRequest, + createLiveEventClient, + normalizeGatewayBaseUrl, +} from './core/live-event-client.js'; +import { buildEventAnnotation } from './core/event-annotation.js'; +import { + createTradingViewEventLayer, + ensureStrategy27StatusView, + findStrategy27ChartRoot, + findStrategy27ChartTarget, + removeStrategy27StatusView, + setStrategy27Status, +} from './dom/tradingview-event-layer.js'; +import { parseFuturesTradingSymbolFromPathname } from '../shared/binance-futures-route.js'; +import { installSpaRouteChangeListener } from '../shared/spa-route-change.js'; + +(function () { + 'use strict'; + + const DEFAULT_GATEWAY_ORIGIN = 'http://127.0.0.1:18765'; + const GATEWAY_ORIGIN_KEY = 'strategy27GatewayOrigin'; + const GATEWAY_SECRET_KEY = 'strategy27GatewayAuthSecret'; + const CONTEXT_CHECK_INTERVAL_MS = 1_000; + const MAX_RETAINED_EVENTS = 80; + const MAX_EVENT_AGE_MS = 2 * 60 * 60 * 1_000; + const page = unsafeWindow; + const pageDocument = page.document; + const request = createGmJsonRequest(GM_xmlhttpRequest); + let active = null; + let statusView = null; + + function stopActive(resetReason) { + if (!active) return; + active.controller.abort(); + active.lifecycle.reset(resetReason); + active.layer.clear(); + active = null; + } + + function showStatus(chartRoot, text, state = 'normal') { + statusView = ensureStrategy27StatusView(pageDocument, chartRoot); + setStrategy27Status(statusView, text, state); + } + + async function renderGatewayResponse(context, response) { + if (active !== context) return; + for (const eventId of context.lifecycle.prune(Date.now())) context.layer.remove(eventId); + if (response.status === 'reset') { + context.lifecycle.reset(response.reason); + context.layer.clear(); + showStatus(context.target.chartRoot, 'Strategy 27 已连接，等待新事件'); + return; + } + + for (const message of response.messages) { + const action = context.lifecycle.apply(message); + for (const eventId of action.evictedEventIds ?? []) context.layer.remove(eventId); + if (action.type === 'stream_reset') { + context.layer.clear(); + showStatus(context.target.chartRoot, 'Strategy 27 数据流已恢复，等待新事件'); + continue; + } + if (action.type === 'event_evicted') continue; + const annotation = buildEventAnnotation({ + event: action.event, + outcomes: action.outcomes, + rehydrated: action.rehydrated, + eventTimeMs: action.eventTimeMs, + messageKind: action.messageKind, + }); + const renderMethod = { + event_opened: 'renderOpened', + event_updated: 'renderUpdated', + event_closed: 'renderClosed', + event_outcome: 'renderOutcome', + }[action.messageKind]; + await context.layer[renderMethod](action.eventId, annotation, action.observedAtMs); + showStatus(context.target.chartRoot, annotation.liveStatus); + } + } + + function startContext({ routeSymbol, canonicalSymbol, target, gatewayOrigin, authSecret }) { + const context = { + signature: `${routeSymbol}|${target.resolution}`, + routeSymbol, + canonicalSymbol, + target, + controller: new AbortController(), + lifecycle: new LiveEventLifecycle(canonicalSymbol, { + maxEvents: MAX_RETAINED_EVENTS, + maxAgeMs: MAX_EVENT_AGE_MS, + }), + layer: createTradingViewEventLayer(target, { + maxEvents: MAX_RETAINED_EVENTS, + maxAgeMs: MAX_EVENT_AGE_MS, + }), + failed: false, + }; + active = context; + showStatus(target.chartRoot, 'Strategy 27 正在连接'); + const client = createLiveEventClient({ + request, + gatewayBaseUrl: gatewayOrigin, + authSecret, + canonicalSymbol, + onResponse: (response) => renderGatewayResponse(context, response), + }); + client.run(context.controller.signal).catch((error) => { + if (error.name === 'AbortError' || active !== context) return; + context.failed = true; + context.layer.clear(); + showStatus(target.chartRoot, `Strategy 27 已停止：${error.message}`, 'error'); + }); + } + + function synchronizeContext() { + const routeSymbol = parseFuturesTradingSymbolFromPathname(page.location.pathname); + if (!routeSymbol) { + stopActive('route_changed'); + removeStrategy27StatusView(pageDocument); + statusView = null; + return; + } + + const chartRoot = findStrategy27ChartRoot(pageDocument); + if (!chartRoot) return; + let canonicalSymbol; + try { + canonicalSymbol = routeSymbolToCanonical(routeSymbol); + if (canonicalSymbolToRoute(canonicalSymbol) !== routeSymbol) { + throw new Error('Binance route symbol does not round-trip'); + } + } catch (error) { + stopActive('route_changed'); + showStatus(chartRoot, `Strategy 27 已停止：${error.message}`, 'error'); + return; + } + + let target; + try { + target = findStrategy27ChartTarget(pageDocument, routeSymbol); + } catch (error) { + stopActive('interval_changed'); + const inactive = error.message.includes('one-second chart'); + showStatus( + chartRoot, + inactive ? 'Strategy 27 仅在 1 秒图表启用' : `Strategy 27 已停止：${error.message}`, + inactive ? 'inactive' : 'error', + ); + return; + } + if (!target) { + stopActive('interval_changed'); + showStatus(chartRoot, 'Strategy 27 正在等待图表接口', 'inactive'); + return; + } + + if ( + active + && active.routeSymbol === routeSymbol + && active.target.chart === target.chart + && active.target.chartRoot === target.chartRoot + ) { + return; + } + stopActive('route_changed'); + + const authSecret = GM_getValue(GATEWAY_SECRET_KEY, ''); + if (typeof authSecret !== 'string' || authSecret.length === 0) { + showStatus(chartRoot, 'Strategy 27 未配置网关密钥（请使用油猴菜单设置）', 'inactive'); + return; + } + let gatewayOrigin; + try { + gatewayOrigin = normalizeGatewayBaseUrl(GM_getValue(GATEWAY_ORIGIN_KEY, DEFAULT_GATEWAY_ORIGIN)); + } catch (error) { + showStatus(chartRoot, `Strategy 27 已停止：${error.message}`, 'error'); + return; + } + startContext({ routeSymbol, canonicalSymbol, target, gatewayOrigin, authSecret }); + } + + function restart() { + stopActive('route_changed'); + synchronizeContext(); + } + + GM_registerMenuCommand('设置 Strategy 27 网关密钥', () => { + const value = page.prompt('输入本机 Strategy 27 网关密钥。该值只保存在此油猴脚本的私有存储中。'); + if (value === null) return; + if (value.length === 0) throw new Error('Strategy 27 网关密钥不能为空'); + GM_setValue(GATEWAY_SECRET_KEY, value); + restart(); + }); + GM_registerMenuCommand('设置 Strategy 27 本机网关地址', () => { + const current = GM_getValue(GATEWAY_ORIGIN_KEY, DEFAULT_GATEWAY_ORIGIN); + const value = page.prompt('输入 SSH 本地转发地址（仅允许 http://127.0.0.1:<端口>）', current); + if (value === null) return; + GM_setValue(GATEWAY_ORIGIN_KEY, normalizeGatewayBaseUrl(value)); + restart(); + }); + GM_registerMenuCommand('清除 Strategy 27 图表标注', () => { + active?.layer.clear(); + if (statusView) setStrategy27Status(statusView, 'Strategy 27 标注已清除，继续监听'); + }); + + const removeRouteListener = installSpaRouteChangeListener(page, restart); + const contextTimer = page.setInterval(synchronizeContext, CONTEXT_CHECK_INTERVAL_MS); + page.addEventListener('beforeunload', () => { + page.clearInterval(contextTimer); + removeRouteListener(); + stopActive('route_changed'); + }, { once: true }); + synchronizeContext(); +})(); diff --git a/test/dom/binance-strategy27-events/tradingview-event-layer.test.js b/test/dom/binance-strategy27-events/tradingview-event-layer.test.js new file mode 100644 index 0000000..5252aee --- /dev/null +++ b/test/dom/binance-strategy27-events/tradingview-event-layer.test.js @@ -0,0 +1,109 @@ +import assert from 'node:assert/strict'; +import test from 'node:test'; + +import { loadFixtureDom } from '../../helpers/dom.js'; +import { + createTradingViewEventLayer, + findStrategy27ChartTarget, +} from '../../../src/binance-strategy27-events/dom/tradingview-event-layer.js'; + +function createChartDom({ resolution = '1S', symbol = 'BTRUSDT@PRICETYPE=LAST', shiftSeconds = 0 } = {}) { + const dom = loadFixtureDom('
'); + const shapes = new Map(); + const removed = []; + let nextId = 1; + const chart = { + resolution: () => resolution, + symbol: () => symbol, + async createShape(point, properties) { + const id = `shape-${nextId++}`; + let points = [{ ...point, time: point.time + shiftSeconds }]; + let currentProperties = { ...properties, text: properties.text ?? '' }; + shapes.set(id, { + id, + getPoints: () => points, + setPoints: (value) => { points = value; }, + getProperties: () => currentProperties, + setProperties: (value) => { currentProperties = { ...currentProperties, ...value }; }, + }); + return id; + }, + getShapeById: (id) => shapes.get(id), + removeEntity(id) { removed.push(id); shapes.delete(id); }, + }; + dom.window.document.querySelector('iframe').contentWindow.tradingViewApi = { + activeChart: () => chart, + }; + return { dom, chart, shapes, removed }; +} + +function annotation(overrides = {}) { + return { + markerShape: 'arrow_up', + markerColor: '#0ECB81', + markerTime: 10, + markerPrice: 1.25, + noteText: 'Strategy 27 event', + noteTime: 10, + notePrice: 1.25, + ...overrides, + }; +} + +test('requires an exact matching one-second TradingView chart', () => { + const { dom } = createChartDom(); + const target = findStrategy27ChartTarget(dom.window.document, 'BTRUSDT'); + assert.equal(target.routeSymbol, 'BTRUSDT'); + assert.equal(target.resolution, '1S'); + + const minute = createChartDom({ resolution: '1' }); + assert.throws( + () => findStrategy27ChartTarget(minute.dom.window.document, 'BTRUSDT'), + /one-second chart/, + ); + const wrongSymbol = createChartDom({ symbol: 'BTCUSDT@PRICETYPE=LAST' }); + assert.throws( + () => findStrategy27ChartTarget(wrongSymbol.dom.window.document, 'BTRUSDT'), + /chart symbol/, + ); +}); + +test('one event owns one marker and one note that outcomes update in place', async () => { + const { dom, shapes, removed } = createChartDom(); + const target = findStrategy27ChartTarget(dom.window.document, 'BTRUSDT'); + const layer = createTradingViewEventLayer(target, { maxEvents: 2, maxAgeMs: 60_000 }); + + await layer.renderOpened('event-a', annotation({ noteText: '' }), 10_000); + assert.equal(shapes.size, 1); + await layer.renderUpdated('event-a', annotation({ noteText: '' }), 11_000); + assert.equal(shapes.size, 1); + await layer.renderClosed('event-a', annotation({ noteText: 'closed' }), 12_000); + assert.equal(shapes.size, 2); + const ids = [...shapes.keys()]; + await layer.renderOutcome('event-a', annotation({ noteText: '5 秒：延续' }), 13_000); + assert.deepEqual([...shapes.keys()], ids); + assert.equal(shapes.get(ids[1]).getProperties().text, '5 秒：延续'); + + layer.remove('event-a'); + assert.equal(shapes.size, 0); + assert.equal(layer.size, 0); + + await layer.renderOpened('event-b', annotation(), 14_000); + + layer.clear(); + assert.equal(shapes.size, 0); + assert.equal(removed.length, 3); +}); + +test('removes a shifted entity and reports chart alignment failure', async () => { + const { dom, shapes, removed } = createChartDom({ shiftSeconds: -1 }); + const target = findStrategy27ChartTarget(dom.window.document, 'BTRUSDT'); + const layer = createTradingViewEventLayer(target, { maxEvents: 2, maxAgeMs: 60_000 }); + + await assert.rejects( + layer.renderOpened('event-a', annotation(), 10_000), + /chart time alignment/, + ); + assert.equal(shapes.size, 0); + assert.equal(removed.length, 1); +}); diff --git a/test/unit/binance-strategy27-events/event-annotation.test.js b/test/unit/binance-strategy27-events/event-annotation.test.js new file mode 100644 index 0000000..a8c98ab --- /dev/null +++ b/test/unit/binance-strategy27-events/event-annotation.test.js @@ -0,0 +1,80 @@ +import assert from 'node:assert/strict'; +import test from 'node:test'; + +import { buildEventAnnotation } from '../../../src/binance-strategy27-events/core/event-annotation.js'; + +function snapshot(midReturn = '4.2') { + return { + bucket_start_ms: 1_000, + bucket_end_ms: 1_250, + bucket_trigger_reasons: ['aggressive_buy', 'ask_decrease'], + aggressive_buy: { notional: '1200', trade_count: 3, to_opposite_depth: '0.4' }, + aggressive_sell: { notional: '200', trade_count: 1, to_opposite_depth: '0.1' }, + bid: { + observed_addition_notional: '300', + observed_decrease_notional: '100', + best_price_migration_bps: '0.2', + addition_to_depth: '0.3', + decrease_to_depth: '0.1', + }, + ask: { + observed_addition_notional: '100', + observed_decrease_notional: '500', + best_price_migration_bps: '-0.4', + addition_to_depth: '0.1', + decrease_to_depth: '0.5', + }, + price_response: { + mid: '1.25', + mid_return_bps: midReturn, + spread_bps: '1.2', + spread_change_bps: '-0.2', + }, + }; +} + +test('formats objective four-force facts without hindsight labels', () => { + const event = { + event_kind: 'orderflow_event', + analysis_start_at_ms: 0, + triggered_at_ms: 1_000, + active_end_at_ms: 2_000, + event_status: 'complete', + close_reason: 'quiet_period', + trigger_reasons: ['aggressive_buy', 'ask_decrease'], + trigger_snapshot: snapshot(), + latest_snapshot: snapshot(), + }; + const result = buildEventAnnotation({ event, outcomes: [], rehydrated: false }); + + assert.equal(result.markerShape, 'arrow_up'); + assert.match(result.noteText, /主动买 1200 USDT\/3 笔/); + assert.match(result.noteText, /bid 增 300 减 100/); + assert.match(result.noteText, /ask 增 100 减 500/); + assert.match(result.noteText, /价格响应 \+4\.2 bps/); + assert.doesNotMatch(result.noteText, /局部高点|局部低点|阻力|支撑/); +}); + +test('marks rehydrated and input-gap events without a directional conclusion', () => { + const event = { + event_kind: 'price_response_event', + analysis_start_at_ms: 0, + triggered_at_ms: 1_000, + active_end_at_ms: 2_000, + event_status: 'incomplete', + close_reason: 'input_gap', + trigger_reasons: ['price_response'], + trigger_snapshot: snapshot('-3'), + latest_snapshot: snapshot('-3'), + }; + const result = buildEventAnnotation({ + event, + rehydrated: true, + outcomes: [{ window_seconds: 5, outcome_status: 'input_gap', directional_outcome: null }], + }); + assert.equal(result.markerShape, 'arrow_down'); + assert.match(result.noteText, /此前投影历史不可用/); + assert.match(result.noteText, /数据不完整/); + assert.doesNotMatch(result.noteText, /延续|恢复|反转|部分回撤/); +}); + diff --git a/test/unit/binance-strategy27-events/live-event-client.test.js b/test/unit/binance-strategy27-events/live-event-client.test.js new file mode 100644 index 0000000..e5d5b43 --- /dev/null +++ b/test/unit/binance-strategy27-events/live-event-client.test.js @@ -0,0 +1,102 @@ +import assert from 'node:assert/strict'; +import test from 'node:test'; + +import { + createGmJsonRequest, + createLiveEventClient, + normalizeGatewayBaseUrl, +} from '../../../src/binance-strategy27-events/core/live-event-client.js'; + +test('accepts only an explicit loopback HTTP gateway origin', () => { + assert.equal(normalizeGatewayBaseUrl('http://127.0.0.1:18765/'), 'http://127.0.0.1:18765'); + assert.throws(() => normalizeGatewayBaseUrl('https://example.com'), /loopback/); + assert.throws(() => normalizeGatewayBaseUrl('http://localhost:18765'), /loopback/); + assert.throws(() => normalizeGatewayBaseUrl('http://127.0.0.1:18765/path'), /origin only/); +}); + +test('GM JSON request sends the secret only in the authorization header and supports abort', async () => { + let captured; + let aborted = false; + const gmRequest = (options) => { + captured = options; + return { abort: () => { aborted = true; options.onabort(); } }; + }; + const request = createGmJsonRequest(gmRequest); + const controller = new AbortController(); + const pending = request({ + url: 'http://127.0.0.1:18765/v1/strategy27/events?symbol=BTR%2FUSDT%3AUSDT', + authSecret: 'local-secret', + signal: controller.signal, + }); + assert.equal(captured.method, 'GET'); + assert.deepEqual(captured.headers, { Authorization: 'Bearer local-secret' }); + assert.equal(captured.url.includes('local-secret'), false); + + controller.abort(); + await assert.rejects(pending, { name: 'AbortError' }); + assert.equal(aborted, true); +}); + +test('long polling binds each response to its requested cursor', async () => { + const urls = []; + const responses = [ + { + status: 200, + responseText: JSON.stringify({ + schema_version: 1, + status: 'reset', + reason: 'initial_cursor', + requested_cursor: null, + next_cursor: '5-0', + messages: [], + }), + }, + { + status: 200, + responseText: JSON.stringify({ + schema_version: 1, + status: 'ok', + requested_cursor: '5-0', + next_cursor: '8-0', + messages: [], + }), + }, + ]; + const controller = new AbortController(); + const client = createLiveEventClient({ + request: async ({ url }) => { + urls.push(url); + return responses.shift(); + }, + gatewayBaseUrl: 'http://127.0.0.1:18765', + authSecret: 'secret', + canonicalSymbol: 'BTR/USDT:USDT', + onResponse: async () => { + if (urls.length === 2) controller.abort(); + }, + }); + + await client.run(controller.signal); + assert.equal(new URL(urls[0]).searchParams.has('cursor'), false); + assert.equal(new URL(urls[1]).searchParams.get('cursor'), '5-0'); +}); + +test('long polling rejects a response for a different requested cursor', async () => { + const client = createLiveEventClient({ + request: async () => ({ + status: 200, + responseText: JSON.stringify({ + schema_version: 1, + status: 'ok', + requested_cursor: '9-0', + next_cursor: '10-0', + messages: [], + }), + }), + gatewayBaseUrl: 'http://127.0.0.1:18765', + authSecret: 'secret', + canonicalSymbol: 'BTR/USDT:USDT', + onResponse: async () => {}, + }); + await assert.rejects(client.run(new AbortController().signal), /response cursor/); +}); diff --git a/test/unit/binance-strategy27-events/live-event-contract.test.js b/test/unit/binance-strategy27-events/live-event-contract.test.js new file mode 100644 index 0000000..cffd4f8 --- /dev/null +++ b/test/unit/binance-strategy27-events/live-event-contract.test.js @@ -0,0 +1,275 @@ +import assert from 'node:assert/strict'; +import test from 'node:test'; + +import { + canonicalSymbolToRoute, + eventTimeToChartSecond, + LiveEventLifecycle, + routeSymbolToCanonical, + validateGatewayResponse, + validateLiveEnvelope, +} from '../../../src/binance-strategy27-events/core/live-event-contract.js'; + +const epoch = '0123456789abcdef0123456789abcdef'; +const eventId = 'a'.repeat(64); +const lifecycleOptions = { maxEvents: 80, maxAgeMs: 2 * 60 * 60 * 1_000 }; + +function snapshot({ start = 750, end = 1_000, mid = '1.25' } = {}) { + return { + bucket_start_ms: start, + bucket_end_ms: end, + bucket_trigger_reasons: ['aggressive_buy'], + aggressive_buy: { notional: '1200', trade_count: 3, to_opposite_depth: '0.4' }, + aggressive_sell: { notional: '200', trade_count: 1, to_opposite_depth: '0.1' }, + bid: { + observed_addition_notional: '300', + observed_decrease_notional: '100', + best_price_migration_bps: '0.2', + addition_to_depth: '0.3', + decrease_to_depth: '0.1', + }, + ask: { + observed_addition_notional: '100', + observed_decrease_notional: '500', + best_price_migration_bps: '-0.4', + addition_to_depth: '0.1', + decrease_to_depth: '0.5', + }, + price_response: { + mid, + mid_return_bps: '2.5', + spread_bps: '1.2', + spread_change_bps: '-0.2', + }, + }; +} + +function event({ status = 'active', activeEnd = null } = {}) { + const trigger = snapshot(); + const latest = activeEnd === null + ? trigger + : snapshot({ start: activeEnd - 250, end: activeEnd }); + return { + event_kind: 'orderflow_event', + analysis_start_at_ms: 0, + triggered_at_ms: 1_000, + active_end_at_ms: activeEnd, + event_status: status, + close_reason: status === 'active' ? null : 'quiet_period', + trigger_reasons: ['aggressive_buy'], + trigger_snapshot: trigger, + latest_snapshot: latest, + }; +} + +function envelope({ + sequence = 1, + kind = 'event_opened', + payload = { event: event() }, + symbol = 'BTR/USDT:USDT', + id = eventId, + status = 'active', + eventTime = 1_000, +} = {}) { + return { + schema_version: 1, + strategy_id: '27', + spec_version: '27_2_spec_v10', + runtime_epoch: epoch, + sequence, + message_kind: kind, + symbol, + event_id: id, + observed_at_ms: 2_000, + event_time_ms: eventTime, + data_status: status, + payload, + }; +} + +test('canonical and route symbols round-trip exactly', () => { + assert.equal(canonicalSymbolToRoute('BTR/USDT:USDT'), 'BTRUSDT'); + assert.equal(routeSymbolToCanonical('BTRUSDT'), 'BTR/USDT:USDT'); + assert.throws(() => canonicalSymbolToRoute('BTR/USDT'), /canonical Strategy 27 symbol/); + assert.throws(() => routeSymbolToCanonical('BTRUSD'), /Binance futures route symbol/); +}); + +test('event time maps by exact integer-second floor', () => { + assert.equal(eventTimeToChartSecond(1_999), 1); + assert.throws(() => eventTimeToChartSecond(1.5), /integer milliseconds/); +}); + +test('validates the exact gateway reset and success bodies', () => { + assert.deepEqual(validateGatewayResponse({ + schema_version: 1, + status: 'reset', + reason: 'initial_cursor', + requested_cursor: null, + next_cursor: '0-0', + messages: [], + }, 200), { + schema_version: 1, + status: 'reset', + reason: 'initial_cursor', + requested_cursor: null, + next_cursor: '0-0', + messages: [], + }); + + const opened = envelope(); + const response = validateGatewayResponse({ + schema_version: 1, + status: 'ok', + requested_cursor: '0-0', + next_cursor: '2-0', + messages: [opened], + }, 200); + assert.equal(response.messages[0], opened); + assert.throws(() => validateGatewayResponse({ ...response, extra: true }, 200), /exact keys/); +}); + +test('validates live envelopes without coercing decimal strings or extra keys', () => { + const opened = envelope(); + assert.equal(validateLiveEnvelope(opened), opened); + assert.throws( + () => validateLiveEnvelope({ ...opened, payload: { event: { ...opened.payload.event, extra: 1 } } }), + /exact keys/, + ); + assert.throws( + () => validateLiveEnvelope({ + ...opened, + payload: { + event: { + ...opened.payload.event, + trigger_snapshot: { + ...opened.payload.event.trigger_snapshot, + aggressive_buy: { + ...opened.payload.event.trigger_snapshot.aggressive_buy, + notional: 1200, + }, + }, + }, + }, + }), + /canonical decimal string/, + ); +}); + +test('tracks exact sequence and event lifecycle while allowing reset rehydration', () => { + const lifecycle = new LiveEventLifecycle('BTR/USDT:USDT', lifecycleOptions); + const opened = lifecycle.apply(envelope()); + assert.equal(opened.type, 'event'); + assert.equal(opened.rehydrated, false); + + const closedEvent = event({ status: 'complete', activeEnd: 2_000 }); + const closed = lifecycle.apply(envelope({ + sequence: 2, + kind: 'event_closed', + payload: { event: closedEvent }, + status: 'complete', + eventTime: 2_000, + })); + assert.equal(closed.phase, 'closed'); + + const filteredGap = lifecycle.apply(envelope({ + sequence: 4, + kind: 'event_outcome', + payload: { + event: closedEvent, + outcome: { + window_seconds: 1, + outcome_boundary_at_ms: 3_000, + outcome_status: 'complete', + terminated_at_ms: null, + termination_reason: null, + boundary_mid: '1.2', + return_from_trigger_bps: '-4', + return_from_active_end_bps: '-3', + maximum_upward_excursion_bps: '1', + maximum_downward_excursion_bps: '4', + pre_event_range_break_up: false, + pre_event_range_break_down: true, + spread_change_from_active_end_bps: '0.2', + eligible_orderbook_observation_count: 4, + impulse_direction: 'up', + directional_outcome: 'reversal', + }, + }, + status: 'complete', + eventTime: 3_000, + })); + assert.equal(filteredGap.outcomes.length, 1); + assert.throws(() => lifecycle.apply(envelope({ sequence: 4 })), /sequence regression/); + + lifecycle.reset('stale_cursor'); + const rehydrated = lifecycle.apply(envelope({ + sequence: 9, + kind: 'event_closed', + payload: { event: closedEvent }, + status: 'complete', + eventTime: 2_000, + })); + assert.equal(rehydrated.rehydrated, true); +}); + +test('rejects unknown lifecycle transitions without a reset', () => { + const lifecycle = new LiveEventLifecycle('BTR/USDT:USDT', lifecycleOptions); + lifecycle.apply(envelope()); + const lateSnapshot = snapshot({ start: 2_750, end: 3_000 }); + const lateEvent = { + ...event(), + triggered_at_ms: 3_000, + trigger_snapshot: lateSnapshot, + latest_snapshot: lateSnapshot, + }; + assert.throws( + () => lifecycle.apply(envelope({ + sequence: 2, + id: 'b'.repeat(64), + kind: 'event_updated', + payload: { event: lateEvent }, + eventTime: 3_000, + })), + /unknown event/, + ); +}); + +test('rejects a repeated stream_state inside the same epoch before any event', () => { + const lifecycle = new LiveEventLifecycle('BTR/USDT:USDT', lifecycleOptions); + const streamState = envelope({ + kind: 'stream_state', + symbol: null, + id: null, + status: 'ready', + eventTime: 2_000, + payload: { state: 'ready', reason: 'startup' }, + }); + assert.equal(lifecycle.apply(streamState).type, 'stream_reset'); + assert.throws( + () => lifecycle.apply({ ...streamState, sequence: 2 }), + /Unexpected stream_state inside an active epoch/, + ); +}); + +test('bounds retained lifecycle events and reports exact count and age evictions', () => { + const lifecycle = new LiveEventLifecycle('BTR/USDT:USDT', { maxEvents: 2, maxAgeMs: 1_000 }); + const eventB = 'b'.repeat(64); + const eventC = 'c'.repeat(64); + lifecycle.apply(envelope({ id: eventId, sequence: 1 })); + lifecycle.apply(envelope({ id: eventB, sequence: 2 })); + + const inserted = lifecycle.apply(envelope({ id: eventC, sequence: 3 })); + assert.deepEqual(inserted.evictedEventIds, [eventId]); + assert.equal(lifecycle.size, 2); + + assert.deepEqual(lifecycle.prune(3_001), [eventB, eventC]); + assert.equal(lifecycle.size, 0); + const ignored = lifecycle.apply(envelope({ + id: eventB, + sequence: 4, + kind: 'event_updated', + eventTime: 1_000, + })); + assert.equal(ignored.type, 'event_evicted'); + assert.equal(lifecycle.size, 0); +}); diff --git a/test/unit/userscript-metadata-icons.test.js b/test/unit/userscript-metadata-icons.test.js index 4b673fd..b3de790 100644 --- a/test/unit/userscript-metadata-icons.test.js +++ b/test/unit/userscript-metadata-icons.test.js @@ -9,6 +9,8 @@ const iconSources = [ 'scripts/binance-trading-data.user.js', 'src/binance-coinmarketcap-data/index.user.js', 'scripts/binance-coinmarketcap-data.user.js', + 'src/binance-strategy27-events/index.user.js', + 'scripts/binance-strategy27-events.user.js', 'src/m3u8-downloader/index.user.js', 'scripts/m3u8-downloader.user.js', 'scripts/auto_refresh.user.js', diff --git a/test/unit/userscript-release-contract.test.js b/test/unit/userscript-release-contract.test.js index 96307af..fb03cfc 100644 --- a/test/unit/userscript-release-contract.test.js +++ b/test/unit/userscript-release-contract.test.js @@ -11,6 +11,8 @@ import { const artifactPath = new URL('../../scripts/binance-orderbook-trade.user.js', import.meta.url); const source = await readFile(artifactPath, 'utf8'); +const strategy27ArtifactPath = new URL('../../scripts/binance-strategy27-events.user.js', import.meta.url); +const strategy27Source = await readFile(strategy27ArtifactPath, 'utf8'); test('release contract identifies the generated Binance orderbook artifact', () => { const contract = createUserscriptReleaseContract(source, artifactPath.pathname); @@ -29,6 +31,32 @@ test('release contract identifies the generated Binance orderbook artifact', () assert.equal(contract.characters, source.length); }); +test('release contract identifies the generated Strategy 27 annotation artifact', () => { + const contract = createUserscriptReleaseContract(strategy27Source, strategy27ArtifactPath.pathname); + const metadata = parseUserscriptMetadata(strategy27Source); + + assert.equal(contract.name, '【自写】Binance Strategy 27 事件标注'); + assert.equal(contract.namespace, 'binance.strategy27.events'); + assert.equal(contract.version, '0.1.0'); + assert.equal(contract.runAt, 'document-idle'); + assert.equal(contract.updateURL, contract.downloadURL); + assert.deepEqual(contract.matches, [ + 'https://www.binance.com/*/futures/*', + 'https://www.binance.com/futures/*', + ]); + assert.deepEqual(metadata.get('connect'), ['127.0.0.1']); + assert.deepEqual(metadata.get('grant'), [ + 'unsafeWindow', + 'GM_xmlhttpRequest', + 'GM_getValue', + 'GM_setValue', + 'GM_registerMenuCommand', + ]); + assert.equal(strategy27Source.includes('new WebSocket'), false); + assert.equal(strategy27Source.includes('wss://'), false); + assert.equal(strategy27Source.includes('apiKey'), false); +}); + test('release contract requires metadata at the first byte', () => { assert.throws( () => parseUserscriptMetadata(`\n${source}`),