Загрузка данных
import type { Candle as MoexChartCandle } from 'moex-chart';
import type { Candle as ApiCandle } from 'types/Candles';
const getCandleStartTime = (time: string): number => Math.floor(Date.parse(`${time}Z`) / 1000);
export const candleToBar = ({ open, close, high, low, volume, begin }: ApiCandle): MoexChartCandle => ({
open,
close,
high,
low,
// TODO временное решение по просьбе PO обнулять volume для прайм инструментов на графике
// В котировках volume и value значения всегда null
volume: volume || 0,
time: getCandleStartTime(begin),
});
import { Timeframes } from 'moex-chart';
// 1 = 1 минута
// 5 = 1 минут
// 10 = 10 минут
// 15 = 15 минут
// 30 = 30 минут
// 45 = 45 минут
// 60 = 1 час
// 240 = 4 часа
// 24 = 1 день
// 7 = 1 неделя
// 31 = 1 месяц
// 4 = 1 квартал
const MOEX_CHART_TIMEFRAMES_INTO_INTERVALS: Record<string, string> = {
[Timeframes['1m']]: '1',
[Timeframes['5m']]: '1',
[Timeframes['10m']]: '1',
[Timeframes['15m']]: '1',
[Timeframes['30m']]: '1',
[Timeframes['45m']]: '1',
[Timeframes['1h']]: '60',
[Timeframes['4h']]: '60',
[Timeframes['1d']]: '24',
[Timeframes['1w']]: '7',
[Timeframes['1M']]: '31',
};
const MOEX_CHART_TIMEFRAMES_TO_ISS_POSSIBLE_TIMEFRAMES: Record<string, Timeframes> = {
[Timeframes['1m']]: Timeframes['1m'],
[Timeframes['5m']]: Timeframes['1m'],
[Timeframes['10m']]: Timeframes['1m'],
[Timeframes['15m']]: Timeframes['1m'],
[Timeframes['30m']]: Timeframes['1m'],
[Timeframes['45m']]: Timeframes['1m'],
[Timeframes['1h']]: Timeframes['1h'],
[Timeframes['4h']]: Timeframes['1h'],
[Timeframes['1d']]: Timeframes['1d'],
[Timeframes['1w']]: Timeframes['1w'],
[Timeframes['1M']]: Timeframes['1M'],
};
const INTERVALS: Record<string, string> = {
'1': '1',
'5': '5',
'10': '10',
'15': '15',
'30': '30',
'45': '45',
'60': '60',
'240': '240',
'1D': '24',
'7D': '7',
'1M': '31',
'3M': '4',
};
export const chartToReqTimeConverter = (value: string) => INTERVALS[value];
export const moexChartTimeConverter = (timeframe: string) => MOEX_CHART_TIMEFRAMES_INTO_INTERVALS[timeframe];
export const moexChartToIssTimeframe = (timeframe: string) =>
MOEX_CHART_TIMEFRAMES_TO_ISS_POSSIBLE_TIMEFRAMES[timeframe];
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);
interface HistoryRequestState {
untilTime?: number;
request: Promise<Candle[] | null> | null;
}
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 getBucketStart(time: number, timeframeSeconds: number, alignmentOffset: number): number {
return Math.floor((time - alignmentOffset) / timeframeSeconds) * timeframeSeconds + alignmentOffset;
}
// По хорошему - класс должен быть синглтоном, чтобы кормить MoexChart одинаковой датой,
// и не плодить несколько подключений на одни символа
class DataSourceProvider {
private prevRealtimeDataArr: Candle[] = [];
private prevRealtimeData: Candle | undefined;
private realtimeShouldBeConvoluted = false;
private realtimeTimeframeSeconds = 0;
private realtimeAlignmentOffset = 0;
private realtimeTimer: ReturnType<typeof setInterval> | null = null;
private historyRequests = new Map<string, HistoryRequestState>();
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();
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;
}
if (!this.realtimeShouldBeConvoluted) {
update(symbol, data);
return;
}
this.realtimeConvolution(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: Date.now(),
countBack: 2000,
},
ticker: symbol,
indicativeData,
});
if (data.length === 0) {
return null;
}
const issTimeframe = moexChartToIssTimeframe(timeframe);
if (issTimeframe === timeframe) {
this.realtimeShouldBeConvoluted = false;
return data;
}
this.realtimeShouldBeConvoluted = true;
return this.timeframeConvolution(data, timeframe);
}
private timeframeConvolution(data: Candle[], requestedTimeframe: Timeframes): Candle[] {
const timeframeSeconds = getTimeframeSeconds(requestedTimeframe);
const sortedData = [...data].sort((first, second) => first.time - second.time);
const firstCandle = sortedData[0];
if (!firstCandle) {
return [];
}
const sessionStartIndex = sortedData.findIndex((candle, index) => {
const previousCandle = sortedData[index - 1];
return previousCandle && candle.time - previousCandle.time > timeframeSeconds;
});
const sessionStart = sessionStartIndex > 0 ? sortedData[sessionStartIndex] : firstCandle;
const alignmentOffset = sessionStart.time % timeframeSeconds;
this.realtimeTimeframeSeconds = timeframeSeconds;
this.realtimeAlignmentOffset = alignmentOffset;
const result: Candle[] = [];
let bucketStart: number | null = null;
let aggregatedCandle: Candle | null = null;
sortedData.forEach((candle) => {
const currentBucketStart = getBucketStart(candle.time, timeframeSeconds, alignmentOffset);
if (currentBucketStart !== bucketStart) {
if (aggregatedCandle) {
result.push(aggregatedCandle);
}
bucketStart = currentBucketStart;
aggregatedCandle = {
...candle,
time: currentBucketStart,
};
return;
}
if (aggregatedCandle) {
aggregatedCandle = {
...aggregatedCandle,
high: Math.max(aggregatedCandle.high, candle.high),
low: Math.min(aggregatedCandle.low, candle.low),
close: candle.close,
volume: (aggregatedCandle.volume ?? 0) + (candle.volume ?? 0),
};
}
});
if (aggregatedCandle) {
result.push(aggregatedCandle);
}
return result;
}
private realtimeConvolution(data: Candle, update: (candle: Candle) => void): void {
const bucketStart = getBucketStart(
data.time,
this.realtimeTimeframeSeconds,
this.realtimeAlignmentOffset,
);
if (!this.prevRealtimeData) {
this.prevRealtimeData = data;
this.prevRealtimeDataArr = [data];
update({
...data,
time: bucketStart,
});
return;
}
const previousBucketStart = getBucketStart(
this.prevRealtimeData.time,
this.realtimeTimeframeSeconds,
this.realtimeAlignmentOffset,
);
if (bucketStart !== previousBucketStart) {
this.prevRealtimeDataArr = [data];
} else {
const currentCandleIndex = this.prevRealtimeDataArr.findIndex((candle) => candle.time === data.time);
if (currentCandleIndex === -1) {
this.prevRealtimeDataArr.push(data);
} else {
this.prevRealtimeDataArr[currentCandleIndex] = data;
}
}
this.prevRealtimeData = data;
const firstCandle = this.prevRealtimeDataArr[0];
const lastCandle = this.prevRealtimeDataArr[this.prevRealtimeDataArr.length - 1];
if (!firstCandle || !lastCandle) {
return;
}
update({
time: bucketStart,
open: firstCandle.open,
high: Math.max(...this.prevRealtimeDataArr.map(({ high }) => high)),
low: Math.min(...this.prevRealtimeDataArr.map(({ low }) => low)),
close: lastCandle.close,
volume: this.prevRealtimeDataArr.reduce(
(total, candle) => total + (candle.volume ?? 0),
0,
),
});
}
}
export { DataSourceProvider };
if (customResolver) {
try {
const customBars = await customResolver({
ticker,
currencyPair,
periodParams,
interval,
});
const olderBars = customBars.filter((bar) => bar.time < periodParams.to);
onHistoryCallback?.(olderBars, {
noData: olderBars.length === 0,
});
return olderBars;
} catch (e) {
onHistoryCallback?.([], {
noData: true,
});
return [];
}
}