Stage 5: Market Data

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// WebSocket connection setup
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const ws = new WebSocket("wss://md.tradovateapi.com/v1/websocket");
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//wss://md-api.staging.ninjatrader.dev/v1/websocket for staging
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ws.onopen = function () {
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  // Send authorization message
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  const authMessage = `authorize\n1\n\n${accessToken}`;
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  ws.send(JSON.stringify(authMessage));
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};
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ws.onmessage = function (event) {
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  const message = JSON.parse(event.data);
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  if (message.i === 1 && message.s === 200) {
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    console.log("Successfully authorized for market data");
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    // Proceed with market data subscriptions
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  } else if (message.d.errorText) {
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    console.error("Authorization failed:", message.d);
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  }
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};

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// Subscribe to quotes
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function subscribeToQuotes(symbol) {
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  const subscribeMessage = {
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    "md/subscribeQuote": {
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      symbol: symbol,
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    },
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  };
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  ws.send(JSON.stringify(subscribeMessage));
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}
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// Handle incoming quote data
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ws.onmessage = function (event) {
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  const message = JSON.parse(event.data);
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  if (message.e === "md" && message.d.quotes) {
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    message.d.quotes.forEach((quote) => {
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      console.log("Quote received:", {
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        contractId: quote.contractId,
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        timestamp: quote.timestamp,
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        bid: quote.entries.Bid,
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        offer: quote.entries.Offer,
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        trade: quote.entries.Trade,
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      });
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    });
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  }
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};
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// Unsubscribe from quotes
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function unsubscribeFromQuotes(symbol) {
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  const unsubscribeMessage = {
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    "md/unsubscribeQuote": {
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      symbol: symbol,
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    },
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  };
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  ws.send(JSON.stringify(unsubscribeMessage));
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}

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// Subscribe to DOM
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function subscribeToDOM(symbol) {
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  const subscribeMessage = {
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    "md/subscribeDOM": {
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      symbol: symbol,
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    },
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  };
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  ws.send(JSON.stringify(subscribeMessage));
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}
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// Handle DOM data
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ws.onmessage = function (event) {
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  const message = JSON.parse(event.data);
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  if (message.e === "md" && message.d.doms) {
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    message.d.doms.forEach((dom) => {
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      console.log("DOM received:", {
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        contractId: dom.contractId,
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        timestamp: dom.timestamp,
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        bidLevels: dom.bids.length,
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        offerLevels: dom.offers.length,
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        bestBid: dom.bids[0],
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        bestOffer: dom.offers[0],
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      });
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    });
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  }
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};

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// Request chart data
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function requestChart(symbol, chartType = "MinuteBar", elementSize = 15) {
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  const chartRequest = {
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    "md/getChart": {
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      symbol: symbol,
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      chartDescription: {
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        underlyingType: chartType,
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        elementSize: elementSize,
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        elementSizeUnit: "UnderlyingUnits",
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        withHistogram: false,
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      },
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      timeRange: {
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        asMuchAsElements: 100,
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      },
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    },
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  };
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  ws.send(JSON.stringify(chartRequest));
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}
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// Handle chart response and data
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ws.onmessage = function (event) {
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  const message = JSON.parse(event.data);
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  if (message.s === 200 && message.d) {
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    // Store subscription IDs for later cancellation
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    const historicalId = message.d.historicalId;
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    const realtimeId = message.d.realtimeId;
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    console.log("Chart subscription IDs:", { historicalId, realtimeId });
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  }
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  if (message.e === "chart" && message.d.charts) {
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    message.d.charts.forEach((chart) => {
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      console.log("Chart data received:", {
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        subscriptionId: chart.id,
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        tradeDate: chart.td,
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        barCount: chart.bars ? chart.bars.length : 0,
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        endOfHistory: chart.eoh,
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      });
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    });
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  }
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};
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// Cancel chart subscription
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function cancelChart(subscriptionId) {
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  const cancelRequest = {
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    "md/cancelChart": {
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      subscriptionId: subscriptionId,
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    },
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  };
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  ws.send(JSON.stringify(cancelRequest));
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}

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// Request tick chart
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function requestTickChart(symbol) {
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  const tickRequest = {
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    "md/getChart": {
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      symbol: symbol,
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      chartDescription: {
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        underlyingType: "Tick",
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        elementSize: 1,
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        elementSizeUnit: "UnderlyingUnits",
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      },
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      timeRange: {
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        asMuchAsElements: 1000,
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      },
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    },
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  };
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  ws.send(JSON.stringify(tickRequest));
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}
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// Process tick chart data
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function processTickChartMessage(msg) {
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  const result = [];
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  if (msg.charts && msg.charts.length) {
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    for (let i = 0; i < msg.charts.length; ++i) {
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      const packet = msg.charts[i];
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      if (packet.eoh) {
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        console.log("End of historical ticks reached");
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      } else if (packet.tks && packet.tks.length) {
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        for (let j = 0; j < packet.tks.length; ++j) {
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          const tick = packet.tks[j];
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          const timestamp = packet.bt + tick.t; // Actual tick timestamp
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          const price = packet.bp + tick.p; // Actual tick price
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          const bid = tick.bs && packet.bp + tick.b; // Actual bid price
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          const ask = tick.as && packet.bp + tick.a; // Actual ask price
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          result.push({
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            id: tick.id,
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            timestamp: new Date(timestamp),
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            price: price * packet.ts, // Tick price as contract price
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            size: tick.s, // Tick size (volume)
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            bidPrice: bid && bid * packet.ts,
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            bidSize: tick.bs,
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            askPrice: ask && ask * packet.ts,
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            askSize: tick.as,
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          });
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        }
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      }
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    }
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  }
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  return result;
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}
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// Handle tick chart data
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ws.onmessage = function (event) {
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  const message = JSON.parse(event.data);
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  if (message.e === "chart" && message.d.charts) {
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    const processedTicks = processTickChartMessage(message.d);
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    console.log("Processed ticks:", processedTicks.length);
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  }
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};

1
// Subscribe to histogram
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function subscribeToHistogram(symbol) {
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  const subscribeMessage = {
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    "md/subscribeHistogram": {
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      symbol: symbol,
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    },
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  };
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  ws.send(JSON.stringify(subscribeMessage));
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}
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// Handle histogram data
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ws.onmessage = function (event) {
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  const message = JSON.parse(event.data);
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  if (message.e === "md" && message.d.histograms) {
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    message.d.histograms.forEach((histogram) => {
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      console.log("Histogram received:", {
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        contractId: histogram.contractId,
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        timestamp: histogram.timestamp,
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        base: histogram.base,
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        refresh: histogram.refresh,
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        itemCount: Object.keys(histogram.items).length,
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      });
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    });
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  }
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};