mirror of https://github.com/ghostfolio/ghostfolio
Anatoly Popov
3 months ago
committed by
GitHub
GitHub
10 changed files with 663 additions and 12 deletions
@ -0,0 +1,606 @@ |
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import { |
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DataProviderInterface, |
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GetDividendsParams, |
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GetHistoricalParams, |
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GetQuotesParams, |
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GetSearchParams |
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} from '@ghostfolio/api/services/data-provider/interfaces/data-provider.interface'; |
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import { YahooFinanceService } from '@ghostfolio/api/services/data-provider/yahoo-finance/yahoo-finance.service'; |
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import { |
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IDataProviderHistoricalResponse, |
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IDataProviderResponse |
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} from '@ghostfolio/api/services/interfaces/interfaces'; |
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import { |
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DataProviderInfo, |
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LookupResponse |
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} from '@ghostfolio/common/interfaces'; |
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|
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import { Injectable, Logger } from '@nestjs/common'; |
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import { $Enums, SymbolProfile } from '@prisma/client'; |
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import { isISO4217CurrencyCode } from 'class-validator'; |
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import { |
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subYears, |
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format, |
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startOfYesterday, |
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subDays, |
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differenceInDays, |
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addYears, |
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differenceInMilliseconds |
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} from 'date-fns'; |
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import { createMoexCLient } from 'moex-iss-api-client'; |
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import { |
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IGetSecuritiesParams, |
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TGetSecuritiesParamsGroupBy |
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} from 'moex-iss-api-client/dist/client/security/requestTypes'; |
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import { ISecuritiesResponse } from 'moex-iss-api-client/dist/client/security/responseTypes'; |
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const moexClient = createMoexCLient(); |
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declare interface ResponseData { |
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columns: string[]; |
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data: (string | number | null)[][]; |
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} |
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declare interface Response<T> { |
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data: T; |
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issError: string; |
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} |
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function response_data_to_map( |
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response: ResponseData, |
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keyColumnName: string |
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): Map<string | number, Map<string, string | number>> { |
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const result = new Map<string | number, Map<string, string | number>>(); |
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|
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response.data.forEach((x) => { |
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const item = new Map<string, string | number>(); |
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response.columns.forEach((c, i) => item.set(c, x[i])); |
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result.set(item.get(keyColumnName), item); |
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}); |
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return result; |
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} |
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function getCurrency(currency: string): string { |
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if (currency === 'SUR' || currency === 'RUR') return 'RUB'; |
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return currency; |
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} |
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/// So, we try to guess sectors of security by looking into indexes,
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/// in which this security was put by MOEX
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const indexToSectorMapping = new Map<string, string[]>([ |
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['MOEXOG', ['Energy']], // MOEX Oil and Gas Index
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['MOEXEU', ['Utilities']], // MOEX Electric Utilities Index
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['MOEXTL', ['Communication Services']], // MOEX Telecommunication Index
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['MOEXMM', ['Basic Materials', 'Industrial']], // MOEX Metals and Mining Index
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['MOEXFN', ['Financial Services']], // MOEX Financials Index
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['MOEXCN', ['Consumer Defensive', 'Consumer Cyclical', 'Healthcare']], // MOEX Consumer Index
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['MOEXCH', ['Basic Materials']], // MOEX Chemicals Index
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['MOEXIT', ['Technology']], // MOEX Information Technologies Index
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['MOEXRE', ['Real Estate']], // MOEX Real Estate Index
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['MOEXTN', ['Consumer Cyclical', 'Industrial']] // MOEX Transportation Index
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]); |
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async function getSectors( |
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symbol: string |
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): Promise<{ name: string; weight: number }[]> { |
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const indicesResponse: Response<{ indices: ResponseData }> = |
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await moexClient.security.getSecurityIndexes({ security: symbol }); |
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const errorMessage = indicesResponse.issError; |
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if (errorMessage) { |
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Logger.warn(errorMessage, 'MoexService.getSectors'); |
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return []; |
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} |
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const indices = response_data_to_map(indicesResponse.data.indices, 'SECID'); |
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const sectorIncluded = new Set<string>(); |
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const sectors = new Array<{ name: string; weight: number }>(); |
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for (const [indexCode, indexSectors] of indexToSectorMapping.entries()) { |
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const index = indices.get(indexCode); |
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if (!index) { |
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continue; |
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} |
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if (sectorIncluded.has(indexCode)) { |
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continue; |
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} |
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sectorIncluded.add(indexCode); |
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indexSectors.forEach((x) => sectors.push({ name: x, weight: 1.0 })); |
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} |
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return sectors; |
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} |
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async function getDividendsFromMoex({ |
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from, |
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symbol, |
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to |
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}: GetDividendsParams): Promise<{ |
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[date: string]: IDataProviderHistoricalResponse; |
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}> { |
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const response: Response<{ dividends: ResponseData }> = |
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await moexClient.request(`securities/${symbol}/dividends`); |
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if (response.issError) { |
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Logger.warn(response.issError, 'MoexService.getDividends'); |
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return {}; |
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} |
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const dividends = response_data_to_map( |
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response.data.dividends, |
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'registryclosedate' |
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); |
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const result: { |
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[date: string]: IDataProviderHistoricalResponse; |
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} = {}; |
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for (const [key, value] of dividends.entries()) { |
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const date = new Date(key); |
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if (date < from || date > to) { |
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continue; |
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} |
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const price = value.get('value'); |
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if (typeof price === 'number') result[key] = { marketPrice: price }; |
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} |
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return result; |
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} |
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async function readBatchedResponse<T>( |
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getNextBatch: (start: number) => Promise<Response<T>>, |
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extractor: (batch: Response<T>) => ResponseData, |
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max_items?: number |
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): Promise<ResponseData> { |
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let batch: ResponseData; |
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const wholeResponse: ResponseData = { columns: [], data: [] }; |
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do { |
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const response: Response<T> = await getNextBatch(wholeResponse.data.length); |
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if (response === undefined) { |
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break; |
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} |
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if (response.issError) { |
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Logger.warn(response.issError, 'MoexService.readBatchedResponse'); |
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break; |
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} |
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batch = extractor(response); |
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if (wholeResponse.columns.length === 0) { |
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wholeResponse.columns = batch.columns; |
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} |
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wholeResponse.data = [...wholeResponse.data, ...batch.data]; |
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} while ( |
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batch.data.length > 0 && |
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(!max_items || wholeResponse.data.length <= max_items) |
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); |
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return wholeResponse; |
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} |
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function getYahooSymbolFromMoex(symbol: string): string { |
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return `${symbol}.ME`; |
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} |
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async function getAssetUrlFromYahoo( |
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yahooFinanceService: YahooFinanceService, |
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symbol: string |
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): Promise<string> { |
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try { |
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const profile = await yahooFinanceService.getAssetProfile({ |
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symbol: getYahooSymbolFromMoex(symbol) |
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}); |
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return profile?.url; |
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} catch (e) { |
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Logger.warn(`Can't get url for symbol ${symbol} from YAHOO, error is ${e}`); |
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return null; |
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} |
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} |
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async function getSecuritySpecification( |
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symbol: string, |
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dataSectionName: string, |
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key: string |
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): Promise<Map<string | number, Map<string, string | number>>> { |
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const securitySpecificationResponse = |
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await moexClient.security.getSecuritySpecification({ security: symbol }); |
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const errorMessage = securitySpecificationResponse.issError; |
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if (errorMessage) { |
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Logger.warn(errorMessage, 'MoexService.getAssetProfile'); |
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return new Map<string | number, Map<string, string | number>>(); |
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} |
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return response_data_to_map( |
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securitySpecificationResponse.data[dataSectionName], |
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key |
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); |
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} |
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interface SecurityTypeMap { |
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[key: string]: [$Enums.AssetClass?, $Enums.AssetSubClass?]; |
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} |
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/// MOEX security types were obtained here: https://iss.moex.com/iss/index.json (add `?lang=en` for english)
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/// | id | security_type_name | ghostfolio_assetclass | ghostfolio_assetsubclass |
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/// | ---- | --------------------- | --------------------- | ------------------------ |
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/// | 1 | preferred_share | EQUITY | STOCK |
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/// | 2 | corporate_bond | FIXED_INCOME | BOND |
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/// | 3 | common_share | EQUITY | STOCK |
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/// | 4 | cb_bond | FIXED_INCOME | BOND |
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/// | 5 | currency | LIQUIDITY | CASH |
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/// | 6 | futures | COMMODITY | |
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/// | 7 | public_ppif | EQUITY | MUTUALFUND |
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/// | 8 | interval_ppif | EQUITY | MUTUALFUND |
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/// | 9 | private_ppif | EQUITY | MUTUALFUND |
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/// | 10 | state_bond | FIXED_INCOME | BOND |
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/// | 41 | subfederal_bond | FIXED_INCOME | BOND |
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/// | 42 | ifi_bond | FIXED_INCOME | BOND |
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/// | 43 | exchange_bond | FIXED_INCOME | BOND |
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/// | 44 | stock_index | | |
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/// | 45 | municipal_bond | FIXED_INCOME | BOND |
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/// | 51 | depositary_receipt | EQUITY | STOCK |
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/// | 52 | option | COMMODITY | |
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/// | 53 | rts_index | | |
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/// | 54 | ofz_bond | FIXED_INCOME | BOND |
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/// | 55 | etf_ppif | EQUITY | ETF |
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/// | 57 | stock_mortgage | REAL_ESTATE | |
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/// | 58 | gold_metal | LIQUIDITY | PRECIOUS_METAL |
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/// | 59 | silver_metal | LIQUIDITY | PRECIOUS_METAL |
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/// | 60 | euro_bond | FIXED_INCOME | BOND |
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/// | 62 | currency_futures | LIQUIDITY | CASH |
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/// | 63 | stock_deposit | LIQUIDITY | CASH |
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/// | 73 | currency_fixing | LIQUIDITY | CASH |
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/// | 74 | exchange_ppif | EQUITY | ETF |
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/// | 75 | currency_index | LIQUIDITY | CASH |
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/// | 76 | currency_wap | LIQUIDITY | CASH |
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/// | 78 | non_exchange_bond | FIXED_INCOME | BOND |
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/// | 84 | stock_index_eq | | |
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/// | 85 | stock_index_fi | | |
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/// | 86 | stock_index_mx | | |
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/// | 87 | stock_index_ie | | |
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/// | 88 | stock_index_if | | |
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/// | 89 | stock_index_ci | | |
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/// | 90 | stock_index_im | | |
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/// | 1030 | stock_index_namex | | |
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/// | 1031 | option_on_shares | EQUITY | STOCK |
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/// | 1034 | stock_index_rusfar | | |
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/// | 1155 | stock_index_pf | | |
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/// | 1291 | option_on_currency | | |
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/// | 1293 | option_on_indices | | |
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/// | 1295 | option_on_commodities | COMMODITY | |
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/// | 1337 | futures_spread | COMMODITY | |
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/// | 1338 | futures_collateral | COMMODITY | |
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/// | 1347 | currency_otcindices | LIQUIDITY | CASH |
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/// | 1352 | other_metal | COMMODITY | PRECIOUS_METAL |
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/// | 1403 | stock_index_ri | | |
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const securityTypeMap: SecurityTypeMap = { |
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preferred_share: [$Enums.AssetClass.EQUITY, $Enums.AssetSubClass.STOCK], |
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corporate_bond: [$Enums.AssetClass.FIXED_INCOME, $Enums.AssetSubClass.BOND], |
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common_share: [$Enums.AssetClass.EQUITY, $Enums.AssetSubClass.STOCK], |
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cb_bond: [$Enums.AssetClass.FIXED_INCOME, $Enums.AssetSubClass.BOND], |
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currency: [$Enums.AssetClass.LIQUIDITY, $Enums.AssetSubClass.CASH], |
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futures: [$Enums.AssetClass.COMMODITY], |
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public_ppif: [$Enums.AssetClass.EQUITY, $Enums.AssetSubClass.MUTUALFUND], |
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interval_ppif: [$Enums.AssetClass.EQUITY, $Enums.AssetSubClass.MUTUALFUND], |
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private_ppif: [$Enums.AssetClass.EQUITY, $Enums.AssetSubClass.MUTUALFUND], |
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state_bond: [$Enums.AssetClass.FIXED_INCOME, $Enums.AssetSubClass.BOND], |
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subfederal_bond: [$Enums.AssetClass.FIXED_INCOME, $Enums.AssetSubClass.BOND], |
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ifi_bond: [$Enums.AssetClass.FIXED_INCOME, $Enums.AssetSubClass.BOND], |
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exchange_bond: [$Enums.AssetClass.FIXED_INCOME, $Enums.AssetSubClass.BOND], |
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municipal_bond: [$Enums.AssetClass.FIXED_INCOME, $Enums.AssetSubClass.BOND], |
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depositary_receipt: [$Enums.AssetClass.EQUITY, $Enums.AssetSubClass.STOCK], |
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option: [$Enums.AssetClass.COMMODITY], |
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etf_ppif: [$Enums.AssetClass.EQUITY, $Enums.AssetSubClass.ETF], |
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stock_mortgage: [$Enums.AssetClass.REAL_ESTATE], |
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gold_metal: [ |
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$Enums.AssetClass.LIQUIDITY, |
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$Enums.AssetSubClass.PRECIOUS_METAL |
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], |
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silver_metal: [ |
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$Enums.AssetClass.LIQUIDITY, |
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$Enums.AssetSubClass.PRECIOUS_METAL |
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], |
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currency_futures: [$Enums.AssetClass.LIQUIDITY, $Enums.AssetSubClass.CASH], |
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stock_deposit: [$Enums.AssetClass.LIQUIDITY, $Enums.AssetSubClass.CASH], |
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currency_fixing: [$Enums.AssetClass.LIQUIDITY, $Enums.AssetSubClass.CASH], |
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exchange_ppif: [$Enums.AssetClass.EQUITY, $Enums.AssetSubClass.ETF], |
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currency_index: [$Enums.AssetClass.LIQUIDITY, $Enums.AssetSubClass.CASH], |
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currency_wap: [$Enums.AssetClass.LIQUIDITY, $Enums.AssetSubClass.CASH], |
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non_exchange_bond: [ |
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$Enums.AssetClass.FIXED_INCOME, |
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$Enums.AssetSubClass.BOND |
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], |
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option_on_shares: [$Enums.AssetClass.EQUITY, $Enums.AssetSubClass.STOCK], |
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option_on_commodities: [$Enums.AssetClass.COMMODITY], |
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futures_spread: [$Enums.AssetClass.COMMODITY], |
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futures_collateral: [$Enums.AssetClass.COMMODITY], |
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currency_otcindices: [$Enums.AssetClass.LIQUIDITY, $Enums.AssetSubClass.CASH], |
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other_metal: [ |
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$Enums.AssetClass.COMMODITY, |
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$Enums.AssetSubClass.PRECIOUS_METAL |
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] |
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}; |
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@Injectable() |
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export class MoexService implements DataProviderInterface { |
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public constructor( |
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private readonly yahooFinanceService: YahooFinanceService |
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) {} |
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canHandle(): boolean { |
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return true; |
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} |
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async getAssetProfile({ |
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symbol |
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}: { |
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symbol: string; |
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}): Promise<Partial<SymbolProfile>> { |
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const securitySpecification = await getSecuritySpecification( |
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symbol, |
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'description', |
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'name' |
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); |
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const issueDate = securitySpecification.get('ISSUEDATE'); |
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const faceunit = securitySpecification.get('FACEUNIT'); |
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const isin = securitySpecification.get('ISIN'); |
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const latname = securitySpecification.get('LATNAME'); |
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const shortname = securitySpecification.get('SHORTNAME'); |
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const name = securitySpecification.get('NAME'); |
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const secid = securitySpecification.get('SECID'); |
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const type = securitySpecification.get('TYPE'); |
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const [assetClass, assetSubClass] = |
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securityTypeMap[type.get('value').toString()] ?? []; |
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let currency = faceunit |
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? getCurrency(faceunit.get('value').toString().toUpperCase()) |
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: 'RUB'; |
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if (!isISO4217CurrencyCode(currency)) { |
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currency = 'RUB'; |
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} |
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return { |
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assetClass: assetClass, |
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assetSubClass: assetSubClass, |
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createdAt: issueDate ? new Date(issueDate.get('value')) : new Date(), |
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currency, |
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dataSource: this.getName(), |
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id: symbol, |
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isin: isin ? isin.get('value').toString() : null, |
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name: (latname ?? shortname ?? name ?? secid).get('value').toString(), |
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sectors: await getSectors(symbol), |
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symbol: symbol, |
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countries: isin |
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? [ |
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{ |
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code: isin.get('value').toString().substring(0, 2), |
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weight: 1 |
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} |
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] |
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: null, |
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url: await getAssetUrlFromYahoo(this.yahooFinanceService, symbol) |
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}; |
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} |
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getDataProviderInfo(): DataProviderInfo { |
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return { |
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isPremium: false |
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}; |
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} |
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// MOEX endpoint for dividends isn't documented and sometimes doesn't return newer dividends.
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// YAHOO endpoint for dividends sometimes doesn't respect date filters.
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// So, we'll requests dividends for 2 years more from both providers and merge data.
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// If dividends date from MOEX and YAHOO differs for 2 days or less, we'll assume it's the same payout given amount is the same.
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// Payouts considered the same if they differ less that 1/100 of the currency.
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async getDividends({ from, symbol, to }: GetDividendsParams): Promise<{ |
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[date: string]: IDataProviderHistoricalResponse; |
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}> { |
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const twoYearsAgo = subYears(from, 2); |
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const twoYearsAhead = addYears(to, 2); |
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const [dividends, dividendsFromYahoo] = await Promise.all([ |
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getDividendsFromMoex({ from: twoYearsAgo, symbol, to: twoYearsAhead }), |
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this.yahooFinanceService.getDividends({ |
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from: twoYearsAgo, |
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symbol: getYahooSymbolFromMoex(symbol), |
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to: twoYearsAhead |
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}) |
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]); |
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const dateAlmostTheSame = (x: Date, y: Date) => |
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Math.abs(differenceInDays(x, y)) <= 2; |
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const payoutsAlmostTheSame = (x: number, y: number) => |
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100 * Math.abs(x - y) < 1; |
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|
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for (const [yahooDateStr, yahooDividends] of Object.entries( |
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dividendsFromYahoo |
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)) { |
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const yahooDate = new Date(yahooDateStr); |
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const sameDividendIndex = Object.entries(dividends).findIndex( |
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(x) => |
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dateAlmostTheSame(new Date(x[0]), yahooDate) && |
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payoutsAlmostTheSame(x[1].marketPrice, yahooDividends.marketPrice) |
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); |
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if (sameDividendIndex === -1) { |
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dividends[yahooDateStr] = yahooDividends; |
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} |
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} |
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|
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const result: { [date: string]: IDataProviderHistoricalResponse } = {}; |
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|
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Object.entries(dividends) |
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.map( |
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([dateStr, dividends]) => |
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[dateStr, dividends, new Date(dateStr)] as [ |
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string, |
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IDataProviderHistoricalResponse, |
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Date |
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] |
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) |
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.filter(([, , date]) => date >= from) |
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.filter(([, , date]) => date <= to) |
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.sort(([, , a], [, , b]) => differenceInMilliseconds(a, b)) |
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.forEach(([dateStr, dividends]) => (result[dateStr] = dividends)); |
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|
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return result; |
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} |
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|
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async getHistorical({ from, symbol, to }: GetHistoricalParams): Promise<{ |
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[symbol: string]: { [date: string]: IDataProviderHistoricalResponse }; |
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}> { |
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const securitySpecification = await getSecuritySpecification( |
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symbol, |
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'boards', |
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'is_primary' |
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); |
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const primaryBoard = securitySpecification.get(1); |
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|
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const board_id = primaryBoard.get('boardid'); |
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const market = primaryBoard.get('market'); |
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const engine = primaryBoard.get('engine'); |
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|
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const params: Record<string, any> = { |
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sort_order: 'desc', |
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marketprice_board: '1', |
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from: format(from, 'yyyy-MM-dd'), |
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to: format(to, 'yyyy-MM-dd') |
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}; |
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|
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const historyResponse = await readBatchedResponse<{ |
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history: ResponseData; |
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}>( |
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async (x) => { |
|||
params['start'] = x; |
|||
return await moexClient.request( |
|||
`history/engines/${engine}/markets/${market}/securities/${symbol}`, |
|||
params |
|||
); |
|||
}, |
|||
(x) => { |
|||
return { |
|||
columns: x.data.history.columns, |
|||
data: x.data.history.data.filter((x) => x[0] === board_id) |
|||
}; |
|||
} |
|||
); |
|||
|
|||
const history = response_data_to_map(historyResponse, 'TRADEDATE'); |
|||
|
|||
const result: { |
|||
[symbol: string]: { [date: string]: IDataProviderHistoricalResponse }; |
|||
} = {}; |
|||
result[symbol] = {}; |
|||
|
|||
for (const [key, value] of history.entries()) { |
|||
const price = value.get('LEGALCLOSEPRICE') ?? value.get('CLOSE'); |
|||
if (typeof price === 'number') |
|||
result[symbol][key] = { marketPrice: price }; |
|||
else |
|||
Logger.error( |
|||
`We have quote, but can't get price. Symbol ${symbol}, columns are [${historyResponse.columns.join(', ')}]` |
|||
); |
|||
} |
|||
|
|||
return result; |
|||
} |
|||
|
|||
getMaxNumberOfSymbolsPerRequest?(): number { |
|||
return 1; |
|||
} |
|||
|
|||
getName(): $Enums.DataSource { |
|||
return $Enums.DataSource.MOEX; |
|||
} |
|||
|
|||
async getQuotes({ |
|||
symbols |
|||
}: GetQuotesParams): Promise<{ [symbol: string]: IDataProviderResponse }> { |
|||
const result: { [symbol: string]: IDataProviderResponse } = {}; |
|||
|
|||
for (const symbol of symbols) { |
|||
const profile = await this.getAssetProfile({ symbol: symbol }); |
|||
|
|||
for ( |
|||
let date = startOfYesterday(); |
|||
!result[symbol]; |
|||
date = subDays(date, 1) |
|||
) { |
|||
const history = await this.getHistorical({ |
|||
from: date, |
|||
to: date, |
|||
symbol: symbol |
|||
}); |
|||
|
|||
for (const [, v] of Object.entries(history[symbol])) { |
|||
result[symbol] = { |
|||
currency: profile.currency, |
|||
dataSource: profile.dataSource, |
|||
marketPrice: v.marketPrice, |
|||
marketState: 'closed' |
|||
}; |
|||
} |
|||
} |
|||
} |
|||
|
|||
return result; |
|||
} |
|||
|
|||
getTestSymbol(): string { |
|||
return 'SBER'; |
|||
} |
|||
|
|||
async search({ query }: GetSearchParams): Promise<LookupResponse> { |
|||
const MAX_SEARCH_ITEMS: number = 50; |
|||
// MOEX doesn't support search for queries less than 3 symbols
|
|||
if (query.length < 3) { |
|||
return { items: [] }; |
|||
} |
|||
|
|||
const params: IGetSecuritiesParams & TGetSecuritiesParamsGroupBy = { |
|||
q: query |
|||
}; |
|||
|
|||
const searchResponse = await readBatchedResponse<ISecuritiesResponse>( |
|||
async (x) => { |
|||
params['start'] = x; |
|||
return await moexClient.security.getSecurities(params); |
|||
}, |
|||
(x) => x.data.securities, |
|||
MAX_SEARCH_ITEMS |
|||
); |
|||
|
|||
const search = response_data_to_map(searchResponse, 'secid'); |
|||
|
|||
const result: LookupResponse = { items: [] }; |
|||
for (const k of search.keys()) { |
|||
if (typeof k != 'string') { |
|||
continue; |
|||
} |
|||
const profile = await this.getAssetProfile({ symbol: k }); |
|||
const lookedup_profile = { |
|||
assetClass: profile.assetClass, |
|||
assetSubClass: profile.assetSubClass, |
|||
currency: profile.currency, |
|||
dataProviderInfo: this.getDataProviderInfo(), |
|||
dataSource: this.getName(), |
|||
name: profile.name, |
|||
symbol: k |
|||
}; |
|||
|
|||
if (k === query) { |
|||
result.items.unshift(lookedup_profile); |
|||
} else { |
|||
result.items.push(lookedup_profile); |
|||
} |
|||
} |
|||
|
|||
return result; |
|||
} |
|||
} |
|||
@ -0,0 +1,2 @@ |
|||
-- AlterEnum |
|||
ALTER TYPE "DataSource" ADD VALUE 'MOEX'; |
|||
Loading…
Reference in new issue