Sergey Krylov
60e456fbb5
Three optimizations: 1. Merge getBondData + getBondMarketData into single batch call (same endpoint, parse both tables) 2. Remove redundant getSecurityDescription for shortName (shortName already in market data responses) 3. Batch by market: 1 call for all shares, 1 call for all bonds (instead of N individual calls) Before: 298 API calls for 104 positions -> ~29.8s After: 2 API calls for 104 positions -> ~0.3s
415 lines
17 KiB
TypeScript
415 lines
17 KiB
TypeScript
import { Injectable, Logger } from '@nestjs/common';
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import { ConfigService } from '@nestjs/config';
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import axios, { AxiosInstance } from 'axios';
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import PQueue from 'p-queue';
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import {
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MoexSecurityDescription,
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MoexShareMarketData,
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MoexBondData,
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MoexBondMarketData,
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MoexBondPositionData,
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MoexDividend,
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MoexCandle,
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MoexHistoryEntry,
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MoexBondHistoryEntry,
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} from './moex-client.types';
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@Injectable()
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export class MoexClientService {
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private readonly logger = new Logger(MoexClientService.name);
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private readonly client: AxiosInstance;
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private readonly queue: PQueue;
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private circuitOpen = false;
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private circuitErrorCount = 0;
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private readonly threshold: number;
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private readonly resetMs: number;
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constructor(private configService: ConfigService) {
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const baseUrl = this.configService.get<string>('app.moex.baseUrl')!;
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this.threshold = this.configService.get<number>('app.moex.circuitBreakerThreshold', 5);
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this.resetMs = this.configService.get<number>('app.moex.circuitBreakerResetSeconds', 30) * 1000;
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const rateLimit = this.configService.get<number>('app.moex.rateLimit', 10);
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this.client = axios.create({
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baseURL: baseUrl,
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timeout: 10000,
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paramsSerializer: { indexes: null },
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});
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this.queue = new PQueue({
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interval: 1000,
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intervalCap: rateLimit,
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});
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}
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private async request<T>(path: string, params?: Record<string, string>): Promise<T> {
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if (this.circuitOpen) {
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throw new Error('Circuit breaker is open — MOEX requests paused');
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}
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return this.queue.add(async () => {
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try {
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const jsonPath = path + '.json';
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const response = await this.client.get(jsonPath, {
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params: { ...params, 'iss.meta': 'off' },
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});
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this.circuitErrorCount = 0;
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return response.data as T;
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} catch (error) {
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this.circuitErrorCount++;
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if (this.circuitErrorCount >= this.threshold) {
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this.circuitOpen = true;
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this.logger.warn(`Circuit breaker opened after ${this.threshold} errors`);
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setTimeout(() => {
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this.circuitOpen = false;
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this.circuitErrorCount = 0;
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this.logger.log('Circuit breaker reset');
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}, this.resetMs);
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}
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throw error;
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}
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}) as Promise<T>;
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}
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private extractTable(data: Record<string, unknown>, name: string): Record<string, unknown>[] {
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const table = data[name] as Record<string, unknown> | undefined;
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if (!table || !table.columns || !table.data) return [];
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const columns = table.columns as string[];
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const rows = table.data as unknown[][];
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return rows.map((row) => {
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const obj: Record<string, unknown> = {};
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columns.forEach((col, i) => {
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obj[col] = row[i];
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});
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return obj;
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});
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}
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async searchSecurities(query: string): Promise<MoexSecurityDescription[]> {
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const data = await this.request<Record<string, unknown>>('/securities', {
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q: query,
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});
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return this.extractTable(data, 'securities').map((s) => ({
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secid: s.secid as string,
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isin: s.isin as string,
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name: s.name as string,
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shortName: s.shortName as string,
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latName: (s.latName as string) || null,
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listLevel: parseInt(s.listLevel as string, 10) || 0,
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issueSize: parseInt(s.issuesize as string, 10) || 0,
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faceValue: parseFloat(s.facevalue as string) || 0,
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faceUnit: (s.faceunit as string) || '',
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issueDate: (s.issuedate as string) || '',
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typeName: (s.typename as string) || '',
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group: (s.group as string) || '',
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type: (s.type as string) || '',
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isQualifiedInvestors: (s.isqualifiedinvestors as string) === '1',
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morningSession: (s.morningsession as string) === '1',
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eveningSession: (s.eveningsession as string) === '1',
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}));
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}
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async getSecurityDescription(secid: string): Promise<MoexSecurityDescription | null> {
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const data = await this.request<Record<string, unknown>>(`/securities/${secid}`);
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const rows = this.extractTable(data, 'description');
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if (rows.length === 0) return null;
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const map = new Map(rows.map((r) => [r.name, r.value]));
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return {
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secid,
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isin: (map.get('ISIN') as string) || '',
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name: (map.get('NAME') as string) || '',
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shortName: (map.get('SHORTNAME') as string) || '',
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latName: (map.get('LATNAME') as string) || null,
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listLevel: parseInt((map.get('LISTLEVEL') as string) || '0', 10),
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issueSize: parseInt((map.get('ISSUESIZE') as string) || '0', 10),
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faceValue: parseFloat((map.get('FACEVALUE') as string) || '0'),
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faceUnit: (map.get('FACEUNIT') as string) || '',
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issueDate: (map.get('ISSUEDATE') as string) || '',
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typeName: (map.get('TYPENAME') as string) || '',
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group: (map.get('GROUP') as string) || '',
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type: (map.get('TYPE') as string) || '',
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isQualifiedInvestors: (map.get('ISQUALIFIEDINVESTORS') as string) === '1',
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morningSession: (map.get('MORNINGSESSION') as string) === '1',
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eveningSession: (map.get('EVENINGSESSION') as string) === '1',
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};
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}
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async getShareMarketData(secid: string, boardId = 'TQBR'): Promise<MoexShareMarketData | null> {
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const data = await this.request<Record<string, unknown>>(
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`/engines/stock/markets/shares/securities/${secid}`,
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{ boards: boardId },
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);
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const rows = this.extractTable(data, 'securities');
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const share = rows.find((r) => r.BOARDID === boardId);
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if (!share) return null;
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const mktRows = this.extractTable(data, 'marketdata');
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const mkt = mktRows.find((r) => r.BOARDID === boardId);
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return {
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secid,
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boardid: boardId,
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shortName: (share?.SHORTNAME as string) || '',
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bid: mkt ? parseFloat((mkt.BID as string) || '') : null,
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offer: mkt ? parseFloat((mkt.OFFER as string) || '') : null,
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open: mkt ? parseFloat((mkt.OPEN as string) || '') : null,
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low: mkt ? parseFloat((mkt.LOW as string) || '') : null,
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high: mkt ? parseFloat((mkt.HIGH as string) || '') : null,
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last: mkt
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? parseFloat((mkt.LAST as string) || '')
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: parseFloat((share.PREVPRICE as string) || ''),
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lastChange: mkt ? parseFloat((mkt.LASTCHANGE as string) || '') : null,
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lastChangePrcnt: mkt ? parseFloat((mkt.LASTCHANGEPRCNT as string) || '') : null,
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volume: mkt ? parseInt((mkt.VOLTODAY as string) || '0', 10) : 0,
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value: mkt ? parseFloat((mkt.VALTODAY as string) || '0') : 0,
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waprice: mkt ? parseFloat((mkt.WAPRICE as string) || '') : null,
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numtrades: mkt ? parseInt((mkt.NUMTRADES as string) || '0', 10) : 0,
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issueCapitalization: mkt ? parseFloat((mkt.ISSUECAPITALIZATION as string) || '') : null,
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tradingStatus: (mkt?.TRADINGSTATUS as string) || '',
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updateTime: (mkt?.UPDATETIME as string) || '',
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};
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}
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async getShareMarketDataBatch(
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secids: string[],
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boardId = 'TQBR',
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): Promise<MoexShareMarketData[]> {
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if (secids.length === 0) return [];
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const data = await this.request<Record<string, unknown>>(
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`/engines/stock/markets/shares/securities`,
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{ securities: secids.join(','), boards: boardId },
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);
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const securities = this.extractTable(data, 'securities');
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const marketdata = this.extractTable(data, 'marketdata');
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return secids.map((secid) => {
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const sec =
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securities.find((r) => r.SECID === secid && r.BOARDID === boardId) ||
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securities.find((r) => r.SECID === secid);
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const mkt =
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marketdata.find((r) => r.SECID === secid && r.BOARDID === boardId) ||
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marketdata.find((r) => r.SECID === secid);
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return {
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secid,
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boardid: boardId,
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shortName: (sec?.SHORTNAME as string) || '',
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bid: mkt ? parseFloat((mkt.BID as string) || '') : null,
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offer: mkt ? parseFloat((mkt.OFFER as string) || '') : null,
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open: mkt ? parseFloat((mkt.OPEN as string) || '') : null,
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low: mkt ? parseFloat((mkt.LOW as string) || '') : null,
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high: mkt ? parseFloat((mkt.HIGH as string) || '') : null,
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last: mkt
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? parseFloat((mkt.LAST as string) || '')
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: parseFloat((sec?.PREVPRICE as string) || ''),
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lastChange: mkt ? parseFloat((mkt.LASTCHANGE as string) || '') : null,
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lastChangePrcnt: mkt ? parseFloat((mkt.LASTCHANGEPRCNT as string) || '') : null,
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volume: mkt ? parseInt((mkt.VOLTODAY as string) || '0', 10) : 0,
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value: mkt ? parseFloat((mkt.VALTODAY as string) || '0') : 0,
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waprice: mkt ? parseFloat((mkt.WAPRICE as string) || '') : null,
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numtrades: mkt ? parseInt((mkt.NUMTRADES as string) || '0', 10) : 0,
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issueCapitalization: mkt ? parseFloat((mkt.ISSUECAPITALIZATION as string) || '') : null,
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tradingStatus: (mkt?.TRADINGSTATUS as string) || '',
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updateTime: (mkt?.UPDATETIME as string) || '',
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};
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});
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}
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async getBondPositionDataBatch(
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secids: string[],
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boardId = 'TQCB',
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): Promise<MoexBondPositionData[]> {
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if (secids.length === 0) return [];
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const data = await this.request<Record<string, unknown>>(
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`/engines/stock/markets/bonds/securities`,
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{ securities: secids.join(','), boards: boardId },
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);
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const securities = this.extractTable(data, 'securities');
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const marketdata = this.extractTable(data, 'marketdata');
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return secids.map((secid) => {
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const bond =
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securities.find(
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(r) => r.SECID === secid && r.BOARDID === boardId && r.PREVWAPRICE != null,
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) ||
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securities.find((r) => r.SECID === secid && r.PREVWAPRICE != null) ||
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securities.find((r) => r.SECID === secid);
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const mkt =
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marketdata.find((r) => r.SECID === secid && r.BOARDID === boardId && r.LAST != null) ||
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marketdata.find((r) => r.LAST != null) ||
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marketdata.find((r) => r.SECID === secid);
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return {
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secid,
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boardid: boardId,
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shortName: (bond?.SHORTNAME as string) || '',
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price: mkt?.LAST != null ? parseFloat(mkt.LAST as string) : null,
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yieldToMaturity: mkt?.YIELD != null ? parseFloat(mkt.YIELD as string) : null,
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duration: mkt?.DURATION != null ? parseFloat(mkt.DURATION as string) : null,
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couponValue: bond?.COUPONVALUE != null ? parseFloat(bond.COUPONVALUE as string) : null,
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couponPercent:
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bond?.COUPONPERCENT != null ? parseFloat(bond.COUPONPERCENT as string) : null,
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nextCouponDate: (bond?.NEXTCOUPON as string) || null,
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matDate: (bond?.MATDATE as string) || null,
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accruedInt: bond?.ACCRUEDINT != null ? parseFloat(bond.ACCRUEDINT as string) : null,
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faceValue: parseFloat((bond?.FACEVALUE as string) || '1000'),
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bid: mkt?.BID != null ? parseFloat(mkt.BID as string) : null,
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offer: mkt?.OFFER != null ? parseFloat(mkt.OFFER as string) : null,
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couponPeriod: parseInt((bond?.COUPONPERIOD as string) || '0', 10),
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bondType: (bond?.BONDTYPE as string) || null,
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offerDate: (bond?.OFFERDATE as string) || null,
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};
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});
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}
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async getBondData(secid: string, boardId = 'TQCB'): Promise<MoexBondData | null> {
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const data = await this.request<Record<string, unknown>>(
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`/engines/stock/markets/bonds/securities/${secid}`,
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{ boards: boardId },
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);
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const rows = this.extractTable(data, 'securities');
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const bond =
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rows.find((r) => r.BOARDID === boardId && r.PREVWAPRICE != null) ||
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rows.find((r) => r.PREVWAPRICE != null) ||
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rows[0];
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if (!bond) return null;
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return {
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secid,
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boardid: boardId,
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shortName: (bond.SHORTNAME as string) || '',
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prevWaprice: parseFloat((bond.PREVWAPRICE as string) || '') || null,
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yieldAtPrevWaprice: parseFloat((bond.YIELDATPREVWAPRICE as string) || '') || null,
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couponValue: bond.COUPONVALUE != null ? parseFloat(bond.COUPONVALUE as string) : null,
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nextCoupon: (bond.NEXTCOUPON as string) || null,
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accruedInt: bond.ACCRUEDINT != null ? parseFloat(bond.ACCRUEDINT as string) : null,
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prevPrice: parseFloat((bond.PREVPRICE as string) || '') || null,
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lotSize: parseInt((bond.LOTSIZE as string) || '1', 10),
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faceValue: parseFloat((bond.FACEVALUE as string) || '1000'),
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matDate: (bond.MATDATE as string) || '',
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couponPeriod: parseInt((bond.COUPONPERIOD as string) || '0', 10),
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issueSize: parseInt((bond.ISSUESIZE as string) || '0', 10),
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isin: (bond.ISIN as string) || '',
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couponPercent: bond.COUPONPERCENT != null ? parseFloat(bond.COUPONPERCENT as string) : null,
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offerDate: (bond.OFFERDATE as string) || null,
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buybackDate: (bond.BUYBACKDATE as string) || null,
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bondType: (bond.BONDTYPE as string) || '',
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bondSubType: (bond.BONDSUBTYPE as string) || '',
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listLevel: parseInt((bond.LISTLEVEL as string) || '0', 10),
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};
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}
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async getBondMarketData(secid: string, boardId = 'TQCB'): Promise<MoexBondMarketData | null> {
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const data = await this.request<Record<string, unknown>>(
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`/engines/stock/markets/bonds/securities/${secid}`,
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{ boards: boardId },
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);
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const mktRows = this.extractTable(data, 'marketdata');
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const mkt =
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mktRows.find((r) => r.BOARDID === boardId && r.LAST != null) ||
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mktRows.find((r) => r.LAST != null) ||
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mktRows.find((r) => r.SECID === secid);
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if (!mkt) return null;
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return {
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secid,
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bid: mkt.BID != null ? parseFloat(mkt.BID as string) : null,
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offer: mkt.OFFER != null ? parseFloat(mkt.OFFER as string) : null,
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open: mkt.OPEN != null ? parseFloat(mkt.OPEN as string) : null,
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low: mkt.LOW != null ? parseFloat(mkt.LOW as string) : null,
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high: mkt.HIGH != null ? parseFloat(mkt.HIGH as string) : null,
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last: mkt.LAST != null ? parseFloat(mkt.LAST as string) : null,
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yield: mkt.YIELD != null ? parseFloat(mkt.YIELD as string) : null,
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waprice: mkt.WAPRICE != null ? parseFloat(mkt.WAPRICE as string) : null,
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yieldAtWaprice: mkt.YIELDATWAPRICE != null ? parseFloat(mkt.YIELDATWAPRICE as string) : null,
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duration: mkt.DURATION != null ? parseFloat(mkt.DURATION as string) : null,
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volume: parseInt((mkt.VOLTODAY as string) || '0', 10),
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value: parseFloat((mkt.VALTODAY as string) || '0'),
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numtrades: parseInt((mkt.NUMTRADES as string) || '0', 10),
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tradingStatus: (mkt.TRADINGSTATUS as string) || '',
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updateTime: (mkt.UPDATETIME as string) || '',
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};
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}
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async getDividends(secid: string): Promise<MoexDividend[]> {
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const data = await this.request<Record<string, unknown>>(`/securities/${secid}/dividends`);
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return this.extractTable(data, 'dividends').map((d) => ({
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secid: d.secid as string,
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isin: d.isin as string,
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registryCloseDate: d.registryclosedate as string,
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value: parseFloat(d.value as string),
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currencyId: (d.currencyid as string) || 'RUB',
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}));
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}
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async getCandles(
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engine: 'stock',
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market: 'shares' | 'bonds',
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secid: string,
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interval: 1 | 10 | 60 | 24,
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from: string,
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till: string,
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): Promise<MoexCandle[]> {
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const data = await this.request<Record<string, unknown>>(
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`/engines/${engine}/markets/${market}/securities/${secid}/candles`,
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{
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interval: String(interval),
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from,
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till,
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},
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);
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return this.extractTable(data, 'candles').map((c) => ({
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open: parseFloat(c.open as string),
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close: parseFloat(c.close as string),
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high: parseFloat(c.high as string),
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low: parseFloat(c.low as string),
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value: parseFloat(c.value as string),
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volume: parseInt(c.volume as string, 10),
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begin: c.begin as string,
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end: c.end as string,
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}));
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}
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async getHistory(secid: string, from: string, till: string): Promise<MoexHistoryEntry[]> {
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const data = await this.request<Record<string, unknown>>(
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`/engines/stock/markets/shares/securities/${secid}`,
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{ from, till },
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);
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const tableName = Object.keys(data).find(
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(k) => k.startsWith('history') && !k.includes('cursor'),
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);
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if (!tableName) return [];
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return this.extractTable(data, tableName).map((h) => ({
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tradeDate: h.TRADEDATE as string,
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open: h.OPEN != null ? parseFloat(h.OPEN as string) : null,
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low: h.LOW != null ? parseFloat(h.LOW as string) : null,
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high: h.HIGH != null ? parseFloat(h.HIGH as string) : null,
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close: h.CLOSE != null ? parseFloat(h.CLOSE as string) : null,
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waprice: h.WAPRICE != null ? parseFloat(h.WAPRICE as string) : null,
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volume: parseInt((h.VOLUME as string) || '0', 10),
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value: parseFloat((h.VALUE as string) || '0'),
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numtrades: parseInt((h.NUMTRADES as string) || '0', 10),
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}));
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}
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async getBondHistory(secid: string, from: string, till: string): Promise<MoexBondHistoryEntry[]> {
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const data = await this.request<Record<string, unknown>>(
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`/engines/stock/markets/bonds/securities/${secid}`,
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{ from, till },
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);
|
|
const tableName = Object.keys(data).find(
|
|
(k) => k.startsWith('history') && !k.includes('cursor'),
|
|
);
|
|
if (!tableName) return [];
|
|
return this.extractTable(data, tableName).map((h) => ({
|
|
tradeDate: h.TRADEDATE as string,
|
|
close: h.CLOSE != null ? parseFloat(h.CLOSE as string) : null,
|
|
legalClosePrice: h.LEGALCLOSEPRICE != null ? parseFloat(h.LEGALCLOSEPRICE as string) : null,
|
|
waprice: h.WAPRICE != null ? parseFloat(h.WAPRICE as string) : null,
|
|
yieldClose: h.YIELDCLOSE != null ? parseFloat(h.YIELDCLOSE as string) : null,
|
|
duration: h.DURATION != null ? parseFloat(h.DURATION as string) : null,
|
|
accruedInt: h.ACCINT != null ? parseFloat(h.ACCINT as string) : null,
|
|
}));
|
|
}
|
|
}
|