10000 [WIP] Adds Futures support (alpha) by justinpolygon · Pull Request #212 · polygon-io/client-js · GitHub
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[WIP] Adds Futures support (alpha) #212

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Adds Futures support (alpha)
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@justinpolygon
justinpolygon committed Feb 28, 2025
commit e46e33c75086ae0b0fa7b9282e515d6005f72e56
252 changes: 252 additions & 0 deletions src/rest/futures/index.ts
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import { IGet, IPolygonQuery, IRequestOptions, getWithGlobals } from "../transport/request.js";

// ### Futures Aggregates
export interface IFuturesAggsQuery extends IPolygonQuery {
resolution?: string;
"window_start"?: string;
"window_start.gt"?: string;
"window_start.gte"?: string;
"window_start.lt"?: string;
"window_start.lte"?: string;
order?: "asc" | "desc";
limit?: number;
sort?: string;
}

export interface IFuturesAgg {
ticker: string;
open: number;
high: number;
low: number;
close: number;
volume: number;
window_start: number;
window_end: number;
}

export interface IFuturesAggs {
status: string;
request_id: string;
results?: IFuturesAgg[];
}

export const listFuturesAggs = async (
get: IGet,
ticker: string,
query?: IFuturesAggsQuery,
options?: IRequestOptions
): Promise<IFuturesAggs> =>
get(`/futures/vX/aggs/${ticker}`, query, options);

// ### Futures Contracts
export interface IFuturesContract {
ticker: string;
name: string;
product_code: string;
expiration_date: string;
}

export interface IFuturesContracts {
status: string;
request_id: string;
results?: IFuturesContract[];
}

export const listFuturesContracts = async (
get: IGet,
query?: IPolygonQuery,
options?: IRequestOptions
): Promise<IFuturesContracts> =>
get(`/futures/vX/contracts`, query, options);

export const getFuturesContract = async (
get: IGet,
ticker: string,
options?: IRequestOptions
): Promise<IFuturesContract> =>
get(`/futures/vX/contracts/${ticker}`, undefined, options);

// ### Futures Market Status
export interface IFuturesMarketStatus {
status: string;
timestamp: number;
}

export const listFuturesMarketStatuses = async (
get: IGet,
options?: IRequestOptions
): Promise<IFuturesMarketStatus> =>
get(`/futures/vX/market-status`, undefined, options);

// ### Futures Products
export interface IFuturesProduct {
product_code: string;
name: string;
description?: string;
}

export interface IFuturesProducts {
status: string;
request_id: string;
results?: IFuturesProduct[];
}

export const listFuturesProducts = async (
get: IGet,
query?: IPolygonQuery,
options?: IRequestOptions
): Promise<IFuturesProducts> =>
get(`/futures/vX/products`, query, options);

export const getFuturesProduct = async (
get: IGet,
product_code: string,
options?: IRequestOptions
): Promise<IFuturesProduct> =>
get(`/futures/vX/products/${product_code}`, undefined, options);

// ### Futures Schedules
export interface IFuturesSchedule {
product_code?: string;
start_date: string;
end_date: string;
open_time: string;
close_time: string;
}

export interface IFuturesSchedules {
status: string;
request_id: string;
results?: IFuturesSchedule[];
}

export const listFuturesSchedules = async (
get: IGet,
query?: IPolygonQuery,
options?: IRequestOptions
): Promise<IFuturesSchedules> =>
get(`/futures/vX/schedules`, query, options);

export const listFuturesProductSchedules = async (
get: IGet,
product_code: string,
query?: IPolygonQuery,
options?: IRequestOptions
): Promise<IFuturesSchedules> =>
get(`/futures/vX/products/${product_code}/schedules`, query, options);

// ### Futures Trades
export interface IFuturesTrade {
price: number;
size: number;
timestamp: number;
}

export interface IFuturesTrades {
next_url?: string;
request_id?: string;
results?: IFuturesTrade[];
status?: string;
}

export const listFuturesTrades = async (
get: IGet,
ticker: string,
query?: IPolygonQuery,
options?: IRequestOptions
): Promise<IFuturesTrades> =>
get(`/futures/vX/trades/${ticker}`, query, options);

// ### Futures Quotes
export interface IFuturesQuote {
ask_price: number;
ask_size: number;
bid_price: number;
bid_size: number;
timestamp: number;
}

export interface IFuturesQuotes {
next_url?: string;
request_id?: string;
results?: IFuturesQuote[];
status?: string;
}

export const listFuturesQuotes = async (
get: IGet,
ticker: string,
query?: IPolygonQuery,
options?: IRequestOptions
): Promise<IFuturesQuotes> =>
get(`/futures/vX/quotes/${ticker}`, query, options);

// ### Futures Client Interface
export interface IFuturesClient {
listFuturesAggs: (
ticker: string,
query?: IFuturesAggsQuery,
options?: IRequestOptions
) => Promise<IFuturesAggs>;
listFuturesContracts: (
query?: IPolygonQuery,
options?: IRequestOptions
) => Promise<IFuturesContracts>;
getFuturesContract: (
ticker: string,
options?: IRequestOptions
) => Promise<IFuturesContract>;
listFuturesMarketStatuses: (
options?: IRequestOptions
) => Promise<IFuturesMarketStatus>;
listFuturesProducts: (
query?: IPolygonQuery,
options?: IRequestOptions
) => Promise<IFuturesProducts>;
getFuturesProduct: (
product_code: string,
options?: IRequestOptions
) => Promise<IFuturesProduct>;
listFuturesSchedules: (
query?: IPolygonQuery,
options?: IRequestOptions
) => Promise<IFuturesSchedules>;
listFuturesProductSchedules: (
product_code: string,
query?: IPolygonQuery,
options?: IRequestOptions
) => Promise<IFuturesSchedules>;
listFuturesTrades: (
ticker: string,
query?: IPolygonQuery,
options?: IRequestOptions
) => Promise<IFuturesTrades>;
listFuturesQuotes: (
ticker: string,
query?: IPolygonQuery,
options?: IRequestOptions
) => Promise<IFuturesQuotes>;
}

// ### Futures Client Factory
export const futuresClient = (
apiKey: string,
apiBase = "https://api.polygon.io",
options?: IRequestOptions
): IFuturesClient => {
const get = getWithGlobals(apiKey, apiBase, options);
return {
listFuturesAggs: (...args) => listFuturesAggs(get, ...args),
listFuturesContracts: (...args) => listFuturesContracts(get, ...args),
getFuturesContract: (...args) => getFuturesContract(get, ...args),
listFuturesMarketStatuses: (...args) => listFuturesMarketStatuses(get, ...args),
listFuturesProducts: (...args) => listFuturesProducts(get, ...args),
getFuturesProduct: (...args) => getFuturesProduct(get, ...args),
listFuturesSchedules: (...args) => listFuturesSchedules(get, ...args),
listFuturesProductSchedules: (...args) => listFuturesProductSchedules(get, ...args),
listFuturesTrades: (...args) => listFuturesTrades(get, ...args),
listFuturesQuotes: (...args) => listFuturesQuotes(get, ...args),
};
};

export default futuresClient;
4 changes: 4 additions & 0 deletions src/rest/index.ts
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Expand Up @@ -4,13 +4,15 @@ import { referenceClient, IReferenceClient } from "./reference/index.js";
import { optionsClient, IOptionsClient } from "./options/index.js";
import { stocksClient, IStocksClient } from "./stocks/index.js";
import { indicesClient, IIndicesClient } from "./indices/index.js";
import { futuresClient, IFuturesClient } from "./futures/index.js";
import { IRequestOptions } from "./transport/request.js";
export * from "./crypto/index.js";
export * from "./forex/index.js";
export * from "./reference/index.js";
export * from "./options/index.js";
export * from "./stocks/index.js";
export * from "./indices/index.js";
export * from "./futures/index.js";
export * from "./universal/universalSnapshot.js";
export * from "./transport/request.js"; // ensure types are exported

Expand All @@ -21,6 +23,7 @@ export interface IRestClient {
options: IOptionsClient;
stocks: IStocksClient;
indices: IIndicesClient;
futures: IFuturesClient;
}

export const restClient = (apiKey, apiBase?: string, options?: IRequestOptions): IRestClient => ({
Expand All @@ -30,6 +33,7 @@ export const restClient = (apiKey, apiBase?: string, options?: IRequestOptions):
options: optionsClient(apiKey, apiBase, options),
stocks: stocksClient(apiKey, apiBase, options),
indices: indicesClient(apiKey, apiBase, options),
futures: futuresClient(apiKey, apiBase, options),
});

export default restClient;
45 changes: 45 additions & 0 deletions src/websockets/futures/index.ts
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import * as websocket from "websocket";
import { getWsClient } from "../transport/index.js";

// Futures Trade Event
export interface IFuturesTradeEvent {
ev: string; // e.g., "T"
sym: string; // Symbol (e.g., "F:ESZ4")
p: number; // Price
s: number; // Size
t: number; // Timestamp (Unix MS)
c?: number[]; // Conditions
x?: number; // Exchange ID
}

// Futures Quote Event
export interface IFuturesQuoteEvent {
ev: string; // e.g., "Q"
sym: string; // Symbol
bp: number; // Bid Price
bs: number; // Bid Size
ap: number; // Ask Price
as: number; // Ask Size
t: number; // Timestamp (Unix MS)
x?: number; // Exchange ID
}

// Futures Aggregate Event
export interface IFuturesAggregateEvent {
ev: string; // e.g., "A" (second) or "AM" (minute)
sym: string; // Symbol
o: number; // Open Price
c: number; // Close Price
h: number; // High Price
l: number; // Low Price
v: number; // Volume
s: number; // Start Timestamp (Unix MS)
e: number; // End Timestamp (Unix MS)
}

export const getFuturesWebsocket = (
apiKey: string,
apiBase = "wss://socket.polygon.io"
): websocket.w3cwebsocket => getWsClient(`${apiBase}/futures`, apiKey);

export default getFuturesWebsocket;
4 changes: 4 additions & 0 deletions src/websockets/index.ts
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Expand Up @@ -4,19 +4,22 @@ import { getForexWebsocket } from "./forex/index.js";
import { getIndicesWebsocket } from "./indices/index.js";
import { getOptionsWebsocket } from "./options/index.js";
import { getStocksWebsocket } from "./stocks/index.js";
import { getFuturesWebsocket } from "./futures/index.js";

export * from "./forex/index.js";
export * from "./indices/index.js";
export * from "./stocks/index.js";
export * from "./crypto/index.js";
export * from "./options/index.js";
export * from "./futures/index.js";

export interface IWebsocketClient {
crypto: () => websocket.w3cwebsocket;
forex: () => websocket.w3cwebsocket;
indices: () => websocket.w3cwebsocket;
options: () => websocket.w3cwebsocket;
stocks: () => websocket.w3cwebsocket;
futures: () => websocket.w3cwebsocket;
}

export const websocketClient = (
Expand All @@ -28,6 +31,7 @@ export const websocketClient = (
indices: () => getIndicesWebsocket(apiKey, apiBase),
options: () => getOptionsWebsocket(apiKey, apiBase),
stocks: () => getStocksWebsocket(apiKey, apiBase),
futures: () => getFuturesWebsocket(apiKey, apiBase),
});

export default websocketClient;
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