Sergey Krylov
75fead68b8
- MoexHttpClient: infrastructure (axios, rate limiter, circuit breaker) - MoexSecuritiesClient: search and security descriptions - MoexMarketDataClient: share/bond market data and batch queries - MoexCandlesClient: candle data - MoexHistoryClient: share/bond history - MoexDividendsClient: dividend data - Removed @Global() from MoexClientModule - Updated all 7 consumers with explicit DI - All 141 tests passing
220 lines
9.8 KiB
TypeScript
220 lines
9.8 KiB
TypeScript
import { Injectable } from '@nestjs/common';
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import { MoexHttpClient } from './moex-http.client';
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import {
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MoexShareMarketData,
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MoexBondData,
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MoexBondMarketData,
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MoexBondPositionData,
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} from './moex-client.types';
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@Injectable()
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export class MoexMarketDataClient {
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constructor(private readonly http: MoexHttpClient) {}
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async getShareMarketData(secid: string, boardId = 'TQBR'): Promise<MoexShareMarketData | null> {
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const data = await this.http.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.http.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.http.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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const params: Record<string, string> = { boards: boardId };
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if (secids.length > 0) {
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params.securities = secids.join(',');
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}
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const data = await this.http.request<Record<string, unknown>>(
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`/engines/stock/markets/shares/securities`,
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params,
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);
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const securities = this.http.extractTable(data, 'securities');
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const marketdata = this.http.extractTable(data, 'marketdata');
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const secidSet = secids.length > 0 ? new Set(secids) : null;
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const filteredSecurities = secidSet
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? securities.filter((r) => secidSet.has(r.SECID as string))
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: securities;
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return filteredSecurities.map((sec) => {
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const secid = sec.SECID as string;
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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 getBondData(secid: string, boardId = 'TQCB'): Promise<MoexBondData | null> {
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const data = await this.http.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.http.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.http.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.http.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 getBondPositionDataBatch(
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secids: string[],
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boardId = 'TQCB',
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): Promise<MoexBondPositionData[]> {
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const params: Record<string, string> = { boards: boardId };
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if (secids.length > 0) {
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params.securities = secids.join(',');
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}
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const data = await this.http.request<Record<string, unknown>>(
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`/engines/stock/markets/bonds/securities`,
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params,
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);
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const securities = this.http.extractTable(data, 'securities');
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const marketdata = this.http.extractTable(data, 'marketdata');
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const secidSet = secids.length > 0 ? new Set(secids) : null;
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const filteredSecurities = secidSet
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? securities.filter((r) => secidSet.has(r.SECID as string))
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: securities;
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return filteredSecurities.map((bond) => {
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const secid = bond.SECID as string;
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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.SECID === secid && 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: (bond.BOARDID as string) || 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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}
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