Загрузка данных
import dayjs from 'dayjs';
import duration from 'dayjs/plugin/duration';
import { parseTimeframe } from 'moex-chart';
import { moexChartTimeConverter, moexChartToIssTimeframe } from '@utils/chartToReqTimeConverter';
import { DEFAULT_SYMBOL } from '@widgets/Chart/const';
import { requestBars, requestRealtimeBars } from '../../requestBars';
import { ChartIndicativeData } from '../../types';
import type { Candle, Timeframes } from 'moex-chart';
dayjs.extend(duration);
const DAY_SECONDS = 24 * 60 * 60;
interface HistoryRequestState {
untilTime?: number;
request: Promise<Candle[] | null> | null;
}
interface RealtimeState {
prevRealtimeDataArr: Candle[];
prevRealtimeData?: Candle;
}
function getRequestSymbol(symbolRaw?: string): string | undefined {
const symbol = String(symbolRaw ?? '').trim();
if (!symbol || symbol === DEFAULT_SYMBOL) {
return undefined;
}
return symbol;
}
function getTimeframeSeconds(timeframe: Timeframes): number {
const { candleWidth, dayjsUnit } = parseTimeframe(timeframe);
return dayjs.duration(candleWidth, dayjsUnit).asSeconds();
}
function getSessionOffset(data: Candle[]): number {
const firstCandle = data[0];
if (!firstCandle) {
return 0;
}
return data.reduce((minOffset, candle) => {
const offset = ((candle.time % DAY_SECONDS) + DAY_SECONDS) % DAY_SECONDS;
return Math.min(minOffset, offset);
}, ((firstCandle.time % DAY_SECONDS) + DAY_SECONDS) % DAY_SECONDS);
}
function getBucketStart(time: number, timeframeSeconds: number, sessionOffset: number): number {
const dayStart = Math.floor(time / DAY_SECONDS) * DAY_SECONDS;
let sessionStart = dayStart + sessionOffset;
if (time < sessionStart) {
sessionStart -= DAY_SECONDS;
}
return sessionStart + Math.floor((time - sessionStart) / timeframeSeconds) * timeframeSeconds;
}
function aggregateCandles(candles: Candle[], time: number): Candle | undefined {
const firstCandle = candles[0];
const lastCandle = candles[candles.length - 1];
if (!firstCandle || !lastCandle) {
return undefined;
}
return {
time,
open: firstCandle.open,
high: Math.max(...candles.map(({ high }) => high)),
low: Math.min(...candles.map(({ low }) => low)),
close: lastCandle.close,
volume: candles.reduce((total, candle) => total + (candle.volume ?? 0), 0),
};
}
// По хорошему - класс должен быть синглтоном, чтобы кормить MoexChart одинаковой датой,
// и не плодить несколько подключений на одни символа
class DataSourceProvider {
private realtimeTimer: ReturnType<typeof setInterval> | null = null;
private historyRequests = new Map<string, HistoryRequestState>();
private realtimeStates = new Map<string, RealtimeState>();
private sessionOffset: number | null = null;
public getDataSource =
(indicativeData?: ChartIndicativeData, cb?: (timeframe: Timeframes) => void) =>
async (timeframe: Timeframes, symbolId: string, until?: Candle): Promise<Candle[] | null> => {
const symbol = getRequestSymbol(symbolId);
if (!symbol) {
return null;
}
const historyRequestKey = `${symbol}:${timeframe}`;
const historyRequestState = this.historyRequests.get(historyRequestKey);
if (historyRequestState && historyRequestState.untilTime === until?.time) {
if (historyRequestState.request) {
return historyRequestState.request;
}
if (until) {
return null;
}
}
cb?.(timeframe);
const historyRequest = this.requestHistoryData({
timeframe,
symbol,
until,
indicativeData,
});
this.historyRequests.set(historyRequestKey, {
untilTime: until?.time,
request: historyRequest,
});
try {
return await historyRequest;
} finally {
if (this.historyRequests.get(historyRequestKey)?.request === historyRequest) {
if (until) {
this.historyRequests.set(historyRequestKey, {
untilTime: until.time,
request: null,
});
} else {
this.historyRequests.delete(historyRequestKey);
}
}
}
};
public startRealtime({
getSymbols,
getTimeframe,
update,
periodMs = 5000,
indicativeData,
}: {
getSymbols: () => string[];
getTimeframe: () => Timeframes;
update: (symbolId: string, candle: Candle) => void;
periodMs?: number;
indicativeData?: ChartIndicativeData;
}): () => void {
if (this.realtimeTimer) {
clearInterval(this.realtimeTimer);
}
this.realtimeTimer = setInterval(() => {
const timeframe = getTimeframe();
const symbolIds = getSymbols();
const shouldConvolute = moexChartToIssTimeframe(timeframe) !== timeframe;
Promise.all(
symbolIds.map(async (symbolId) => {
const symbol = getRequestSymbol(symbolId);
if (!symbol) {
return;
}
const data = await requestRealtimeBars({
currencyPair: symbol.replaceAll(':', '.'),
interval: moexChartTimeConverter(timeframe),
ticker: symbol,
indicativeData,
});
if (!data) {
return;
}
const realtimeState = this.getRealtimeState(symbol, timeframe);
if (
realtimeState.prevRealtimeData &&
JSON.stringify(data) === JSON.stringify(realtimeState.prevRealtimeData)
) {
return;
}
if (!shouldConvolute) {
realtimeState.prevRealtimeData = data;
update(symbol, data);
return;
}
this.realtimeConvolution(symbol, timeframe, data, (candle) => {
update(symbol, candle);
});
}),
);
}, periodMs);
return () => {
if (this.realtimeTimer) {
clearInterval(this.realtimeTimer);
}
this.realtimeTimer = null;
};
}
private async requestHistoryData({
timeframe,
symbol,
until,
indicativeData,
}: {
timeframe: Timeframes;
symbol: string;
until?: Candle;
indicativeData?: ChartIndicativeData;
}): Promise<Candle[] | null> {
const interval = moexChartTimeConverter(timeframe);
const date = until?.time ?? Math.round(Date.now() / 1000);
const data = await requestBars({
currencyPair: symbol.replaceAll(':', '.'),
interval,
periodParams: {
firstDataRequest: true,
to: date,
from: Math.round(Date.now() / 1000),
countBack: 2000,
},
ticker: symbol,
indicativeData,
});
if (data.length === 0) {
return null;
}
const issTimeframe = moexChartToIssTimeframe(timeframe);
const realtimeState = this.getRealtimeState(symbol, timeframe);
if (issTimeframe === timeframe) {
if (!until) {
realtimeState.prevRealtimeData = data[data.length - 1];
realtimeState.prevRealtimeDataArr = [];
}
return data;
}
if (this.sessionOffset === null) {
this.sessionOffset = getSessionOffset(data);
}
console.log(
'[DataSourceProvider][history-before-convolution]',
JSON.stringify(
{
symbol,
timeframe,
issTimeframe,
sessionOffset: this.sessionOffset,
sessionTime: new Date(this.sessionOffset * 1000).toISOString().slice(11, 19),
first: data.slice(0, 12).map((candle) => ({
...candle,
utc: new Date(candle.time * 1000).toISOString(),
})),
last: data.slice(-12).map((candle) => ({
...candle,
utc: new Date(candle.time * 1000).toISOString(),
})),
},
null,
2,
),
);
const result = this.timeframeConvolution(data, timeframe, symbol, !until);
console.log(
'[DataSourceProvider][history-after-convolution]',
JSON.stringify(
{
symbol,
timeframe,
sessionOffset: this.sessionOffset,
sessionTime: new Date(this.sessionOffset * 1000).toISOString().slice(11, 19),
first: result.slice(0, 12).map((candle) => ({
...candle,
utc: new Date(candle.time * 1000).toISOString(),
})),
last: result.slice(-12).map((candle) => ({
...candle,
utc: new Date(candle.time * 1000).toISOString(),
})),
},
null,
2,
),
);
return result;
}
private timeframeConvolution(
data: Candle[],
requestedTimeframe: Timeframes,
symbol: string,
syncRealtime: boolean,
): Candle[] {
const timeframeSeconds = getTimeframeSeconds(requestedTimeframe);
const sessionOffset = this.sessionOffset ?? getSessionOffset(data);
const sortedData = [...data].sort((first, second) => first.time - second.time);
const result: Candle[] = [];
let bucketStart: number | null = null;
let candleGroup: Candle[] = [];
sortedData.forEach((candle) => {
const currentBucketStart = getBucketStart(candle.time, timeframeSeconds, sessionOffset);
if (bucketStart !== null && currentBucketStart !== bucketStart) {
const aggregatedCandle = aggregateCandles(candleGroup, bucketStart);
if (aggregatedCandle) {
result.push(aggregatedCandle);
}
candleGroup = [];
}
bucketStart = currentBucketStart;
candleGroup.push(candle);
});
if (bucketStart !== null) {
const aggregatedCandle = aggregateCandles(candleGroup, bucketStart);
if (aggregatedCandle) {
result.push(aggregatedCandle);
}
}
if (syncRealtime) {
const realtimeState = this.getRealtimeState(symbol, requestedTimeframe);
realtimeState.prevRealtimeDataArr = candleGroup.slice();
realtimeState.prevRealtimeData = sortedData[sortedData.length - 1];
}
return result;
}
private realtimeConvolution(
symbol: string,
timeframe: Timeframes,
data: Candle,
update: (candle: Candle) => void,
): void {
const timeframeSeconds = getTimeframeSeconds(timeframe);
const sessionOffset = this.sessionOffset ?? getSessionOffset([data]);
const realtimeState = this.getRealtimeState(symbol, timeframe);
const bucketStart = getBucketStart(data.time, timeframeSeconds, sessionOffset);
const previousBucketStart = realtimeState.prevRealtimeData
? getBucketStart(realtimeState.prevRealtimeData.time, timeframeSeconds, sessionOffset)
: null;
if (previousBucketStart !== bucketStart) {
realtimeState.prevRealtimeDataArr = [data];
} else {
const candleIndex = realtimeState.prevRealtimeDataArr.findIndex((candle) => candle.time === data.time);
if (candleIndex === -1) {
realtimeState.prevRealtimeDataArr.push(data);
} else {
realtimeState.prevRealtimeDataArr[candleIndex] = data;
}
}
realtimeState.prevRealtimeData = data;
const candle = aggregateCandles(realtimeState.prevRealtimeDataArr, bucketStart);
if (candle) {
update(candle);
}
}
private getRealtimeState(symbol: string, timeframe: Timeframes): RealtimeState {
const key = `${symbol}:${timeframe}`;
let state = this.realtimeStates.get(key);
if (!state) {
state = {
prevRealtimeDataArr: [],
};
this.realtimeStates.set(key, state);
}
return state;
}
}
export { DataSourceProvider };