moex-vibe/apps/backend/src/modules/securities/screener.service.ts

import { Injectable } from '@nestjs/common';
import { MoexClientService } from '../moex-client/moex-client.service';
import { CacheService } from '../cache/cache.service';
import { ScreenerQueryDto, ScreenerType } from './dto/screener-query.dto';
import { ScreenerItemDto, ScreenerResultDto } from './dto/screener-response.dto';

@Injectable()
export class ScreenerService {
  constructor(
    private readonly moexClient: MoexClientService,
    private readonly cache: CacheService,
  ) {}

  async screen(q: ScreenerQueryDto): Promise<ScreenerResultDto> {
    const board = await this.fetchBoard(q.type);
    const filtered = board.filter((item) => this.matches(item, q));
    const sorted = this.sort(filtered, q.sortBy || 'price', q.sortOrder || 'asc');

    const total = sorted.length;
    const page = q.page || 1;
    const pageSize = q.pageSize || 20;
    const totalPages = Math.ceil(total / pageSize);
    const start = (page - 1) * pageSize;
    const items = sorted.slice(start, start + pageSize);

    return {
      items,
      total,
      page,
      pageSize,
      totalPages,
    };
  }

  private async fetchBoard(type: ScreenerType): Promise<ScreenerItemDto[]> {
    const { data } = await this.cache.getOrFetch(
      'screener',
      [type],
      async () => {
        if (type === ScreenerType.SHARE) {
          const shares = await this.moexClient.getShareMarketDataBatch([]);
          return shares.map(
            (s): ScreenerItemDto => ({
              secid: s.secid,
              shortName: s.shortName,
              isin: '', // MOEX batch doesn't return ISIN in securities table sometimes, but we can live without it for screener
              type: 'share',
              price: s.last,
              change: s.lastChange,
              changePercent: s.lastChangePrcnt,
              volume: s.volume,
              listLevel: 0,
              capitalization: s.issueCapitalization,
              yieldToMaturity: null,
              duration: null,
              couponValue: null,
              couponPercent: null,
              accruedInt: null,
              matDate: null,
              bondType: null,
            }),
          );
        } else {
          const bonds = await this.moexClient.getBondPositionDataBatch([]);
          return bonds.map(
            (b): ScreenerItemDto => ({
              secid: b.secid,
              shortName: b.shortName,
              isin: '',
              type: 'bond',
              price: b.price,
              change: null,
              changePercent: null,
              volume: 0,
              listLevel: 0,
              capitalization: null,
              yieldToMaturity: b.yieldToMaturity,
              duration: b.duration,
              couponValue: b.couponValue,
              couponPercent: b.couponPercent,
              accruedInt: b.accruedInt,
              matDate: b.matDate,
              bondType: b.bondType,
            }),
          );
        }
      },
      'marketDataTtl',
    );

    return data;
  }

  private matches(item: ScreenerItemDto, q: ScreenerQueryDto): boolean {
    if (q.priceMin != null && (item.price == null || item.price < q.priceMin)) return false;
    if (q.priceMax != null && (item.price == null || item.price > q.priceMax)) return false;
    if (q.volumeMin != null && item.volume < q.volumeMin) return false;
    if (q.listLevel != null && item.listLevel !== q.listLevel) return false;

    if (item.type === 'share') {
      if (
        q.changePercentMin != null &&
        (item.changePercent == null || item.changePercent < q.changePercentMin)
      )
        return false;
      if (
        q.changePercentMax != null &&
        (item.changePercent == null || item.changePercent > q.changePercentMax)
      )
        return false;
      if (
        q.capitalizationMin != null &&
        (item.capitalization == null || item.capitalization < q.capitalizationMin)
      )
        return false;
    }

    if (item.type === 'bond') {
      if (q.yieldMin != null && (item.yieldToMaturity == null || item.yieldToMaturity < q.yieldMin))
        return false;
      if (q.yieldMax != null && (item.yieldToMaturity == null || item.yieldToMaturity > q.yieldMax))
        return false;
      if (q.durationMin != null && (item.duration == null || item.duration < q.durationMin))
        return false;
      if (q.durationMax != null && (item.duration == null || item.duration > q.durationMax))
        return false;
      if (q.couponMin != null && (item.couponValue == null || item.couponValue < q.couponMin))
        return false;
      if (q.couponMax != null && (item.couponValue == null || item.couponValue > q.couponMax))
        return false;
      if (
        q.couponPercentMin != null &&
        (item.couponPercent == null || item.couponPercent < q.couponPercentMin)
      )
        return false;
      if (
        q.couponPercentMax != null &&
        (item.couponPercent == null || item.couponPercent > q.couponPercentMax)
      )
        return false;
      if (q.maturityBefore != null && (item.matDate == null || item.matDate > q.maturityBefore))
        return false;
      if (q.maturityAfter != null && (item.matDate == null || item.matDate < q.maturityAfter))
        return false;
      if (q.bondType != null && item.bondType !== q.bondType) return false;
    }

    return true;
  }

  private sort(
    items: ScreenerItemDto[],
    sortBy: string,
    sortOrder: 'asc' | 'desc',
  ): ScreenerItemDto[] {
    const allowedFields = new Set([
      'secid',
      'shortName',
      'price',
      'change',
      'changePercent',
      'volume',
      'listLevel',
      'capitalization',
      'yieldToMaturity',
      'duration',
      'couponValue',
      'couponPercent',
      'accruedInt',
      'matDate',
    ]);
    if (!allowedFields.has(sortBy)) {
      sortBy = 'price';
    }
    return [...items].sort((a, b) => {
      const aVal = (a as any)[sortBy];
      const bVal = (b as any)[sortBy];
      if (aVal == null && bVal == null) return 0;
      if (aVal == null) return 1;
      if (bVal == null) return -1;
      if (typeof aVal === 'string') {
        return sortOrder === 'asc' ? aVal.localeCompare(bVal) : bVal.localeCompare(aVal);
      }
      return sortOrder === 'asc' ? aVal - bVal : bVal - aVal;
    });
  }
}