import yahooFinance from 'yahoo-finance2';
import _ from 'lodash';
import axios from 'axios';
import { marketQueryConfig, weight } from '../config.js';
import { Conditions } from './Conditions.js';
import { Evaluator } from './Evaluator.js';
import {
Candle,
ConditionOptionsWithSrc,
FearGreedData,
Interval,
MarketData,
QuoteSummary,
} from '../types.js';
yahooFinance.setGlobalConfig({
validation: { _internalThrowOnAdditionalProperties: false, logErrors: false },
});
yahooFinance.suppressNotices(['yahooSurvey']);
export enum EconomicIndicator {
GDP = 'GDP',
Inflation = 'Inflation',
Unemployment = 'Unemployment',
FedFundsRate = 'FedFundsRate',
CPI = 'CPI',
RetailSales = 'RetailSales',
}
export class MarketQuery {
topGainers: string[] = [];
topTrending: string[] = [];
ALPHA_VANTAGE_URL = 'https://www.alphavantage.co/query';
private _innerQuotesSummaries: QuoteSummary[] = [];
/**
* Get trending stocks
* @param options
*/
async getTrendingStocks(options = marketQueryConfig) {
const symbols = await yahooFinance.trendingSymbols('US', options);
const quotesSummaries: QuoteSummary[] = [];
for (const quote of symbols.quotes) {
// ignore BTC and ETH
if (quote.symbol === 'BTC-USD' || quote.symbol === 'ETH-USD') {
continue;
}
const quoteSummary = await this.queryDetails(quote.symbol);
quotesSummaries.push(quoteSummary);
}
this.topTrending = symbols.quotes.map(quote => quote.symbol);
console.log(`Top ${options.count} trending today:`, this.topTrending);
const trendQuotesSummaries = quotesSummaries.filter(
quoteSummary => !!quoteSummary
);
this._innerQuotesSummaries.push(...trendQuotesSummaries);
return trendQuotesSummaries;
}
/**
* Query by different scrIds
* @param scrIds
* @param defaultConfig
*/
async queryByScrIds(scrIds: string, defaultConfig = marketQueryConfig) {
const queryOptions = {
scrIds: scrIds,
...defaultConfig,
} as any;
try {
const result = await yahooFinance.screener(queryOptions, {
validateResult: false,
});
if (result && result.quotes && result.quotes.length > 0) {
const symbols = result.quotes.map(quote => quote.symbol);
console.log(`Top ${queryOptions.count} ${scrIds} today:`, symbols);
return symbols;
} else {
console.log(`No ${scrIds} found.`);
}
} catch (error) {
console.error(`Error fetching ${scrIds}:`, error);
}
}
/**
* Rank the filtered top gainers and trending stocks by sorting them with scores
*/
async rankTopGainersAndTrending(config: ConditionOptionsWithSrc) {
const evaluator = new Evaluator();
await this.getDailyGainers();
await this.getTrendingStocks();
await this.scanWholeMarket(config.sourceIds);
// remove duplicates, by its stock code
const sortedQuotesSummaries = _.uniqWith(
this._innerQuotesSummaries,
(a, b) => a.stockCode === b.stockCode
);
const conditions = new Conditions();
const filteredSummary = await conditions.goThroughConditions(
config,
sortedQuotesSummaries
);
return evaluator.sortStocks(
evaluator.calculateScores(filteredSummary, weight)
);
}
/**
* Rank the whole stocks by sorting them with scores and dump the highlighted stock codes to a file
* @param config
*/
async fetchWholeMarketData(
config: ConditionOptionsWithSrc
): Promise<QuoteSummary[]> {
return await this.rankTopGainersAndTrending(config);
}
/**
* Scan whole market for different types of stock categories
* @param scrIds
*/
async scanWholeMarket(scrIds: string[]) {
const totalSymbols = [];
for (const scrId of scrIds) {
try {
const symbols = await this.queryByScrIds(scrId);
totalSymbols.push(...symbols);
} catch (error) {
console.error(`Error fetching ${scrId}:`, error);
}
}
const noRepeatSymbols = _.uniqWith(totalSymbols, _.isEqual);
const quotesSummaries: QuoteSummary[] = [];
for (const symbol of noRepeatSymbols) {
const quoteSummary = await this.queryDetails(symbol);
quotesSummaries.push(quoteSummary);
}
const summaries = quotesSummaries.filter(quoteSummary => !!quoteSummary);
this._innerQuotesSummaries.push(...summaries);
return summaries;
}
/**
* Get daily gainers
* @param options
*/
async getDailyGainers(options = marketQueryConfig) {
let gainers;
try {
gainers = await yahooFinance.dailyGainers(options);
} catch (error) {
gainers = error.result;
}
const quotesSummaries: QuoteSummary[] = [];
for (const gainer of gainers.quotes) {
// ignore BTC and ETH
if (gainer.symbol === 'BTC-USD' || gainer.symbol === 'ETH-USD') {
continue;
}
const quoteSummary = await this.queryDetails(gainer.symbol);
quotesSummaries.push(quoteSummary);
}
this.topGainers = gainers.quotes.map(
quote => `${quote.symbol} ${quote.regularMarketChangePercent}%`
);
console.log(
`Top ${marketQueryConfig.count} gainers today:`,
this.topGainers
);
const raisedQuotesSummaries = quotesSummaries.filter(
quoteSummary => !!quoteSummary
);
this._innerQuotesSummaries.push(...raisedQuotesSummaries);
return raisedQuotesSummaries;
}
/**
* Query details for a symbol
* @param symbol
*/
async queryDetails(symbol: string): Promise<QuoteSummary> {
const modules = {
modules: [
'price',
'summaryDetail',
'defaultKeyStatistics',
'assetProfile',
'institutionOwnership',
],
} as any;
let fullExchangeName = await this.getFullExchangeNameFromQuote(symbol);
fullExchangeName = fullExchangeName.toLowerCase().includes('nasdaq')
? 'NASDAQ'
: fullExchangeName;
let result;
try {
result = await yahooFinance.quoteSummary(symbol, modules);
} catch (error) {
result = error.result;
}
if (
result &&
result.price &&
result.summaryDetail &&
result.defaultKeyStatistics &&
result.assetProfile &&
result.institutionOwnership
) {
const volume = result.summaryDetail.volume;
const marketCap = result.summaryDetail.marketCap;
const averageVolume = result.summaryDetail.averageVolume;
const shareOutstanding = result.defaultKeyStatistics.sharesOutstanding;
const turnoverRate = parseFloat(
((volume / shareOutstanding) * 100).toFixed(2)
);
const volumeRatio = parseFloat((volume / averageVolume).toFixed(2));
const epsTrailingTwelveMonths = result.defaultKeyStatistics.trailingEps;
const epsForward = result.defaultKeyStatistics.forwardEps;
const regularMarketPrice = result.price.regularMarketPrice;
const regularMarketChangePercent =
result.price.regularMarketChangePercent;
const forwardPE = result.summaryDetail.forwardPE;
const regularMarketDayHigh = result.price.regularMarketDayHigh;
const regularMarketDayLow = result.price.regularMarketDayLow;
const regularMarketOpen = result.price.regularMarketOpen;
const industry = result.assetProfile.industry;
const sector = result.assetProfile.sector;
const ROE = parseFloat(
(
epsTrailingTwelveMonths / result.defaultKeyStatistics.bookValue
).toFixed(2)
);
const sharesOutstanding = result.defaultKeyStatistics.sharesOutstanding;
const twoHundredDayAverage = result.summaryDetail.twoHundredDayAverage;
const fiftyDayAverage = result.summaryDetail.fiftyDayAverage;
return {
symbol: symbol,
fullExchangeName: fullExchangeName,
stockCode: `${fullExchangeName}:${symbol}`,
price: {
regularMarketPrice,
regularMarketDayHigh,
regularMarketDayLow,
regularMarketOpen,
regularMarketChangePercent,
twoHundredDayAverage,
fiftyDayAverage,
},
summaryDetail: {
turnoverRate,
volumeRatio,
volume,
marketCap,
averageVolume,
ROE,
sharesOutstanding,
},
defaultKeyStatistics: {
floatShares: shareOutstanding,
trailingEps: epsTrailingTwelveMonths,
forwardEps: epsForward,
forwardPE: forwardPE,
},
assetProfile: {
industry,
sector,
},
};
} else {
console.log(`Can't get ${symbol} details`);
return null;
}
}
/**
* Get single historical data
* @param symbol
* @param startDate
* @param endDate
* @param interval
*/
async getHistoricalData(
symbol: string,
startDate: Date,
endDate: Date,
interval: Interval
): Promise<Candle[]> {
try {
const result = await yahooFinance.chart(symbol, {
period1: startDate,
period2: endDate,
interval: interval,
});
if (result && result.quotes) {
return result.quotes
.filter(quote => quote.volume != 0)
.map(quote => {
return {
symbol: symbol,
timestamp: quote.date,
open: quote.open,
high: quote.high,
low: quote.low,
close: quote.close,
volume: quote.volume,
} as Candle;
});
} else {
console.log(`未找到 ${interval} 间隔的数据.`);
return [];
}
} catch (error) {
console.error(`获取 ${interval} 数据时出错:`, error);
return [];
}
}
/**
* Get full exchange name from quote
* @param symbol
*/
async getFullExchangeNameFromQuote(symbol: string) {
try {
const result = await yahooFinance.quote(symbol, {
fields: ['fullExchangeName'],
});
if (result) {
return result.fullExchangeName; // 返回 fullExchangeName
} else {
console.log(`Can't get ${symbol} full exchange name`);
return ''; // 返回 null 表示未找到
}
} catch (e) {
console.error(
`Error occurs when getting ${symbol} full exchange name`,
e.message
);
return ''; // 返回 null 表示出错
}
}
// 1. 获取CNN恐惧贪婪指数
async getFearGreedIndex(): Promise<FearGreedData | null> {
try {
const url =
'https://production.dataviz.cnn.io/index/fearandgreed/graphdata';
const headers = {
'User-Agent':
'Mozilla/5.0 (Windows NT 10.0; Win64; x64) AppleWebKit/537.36',
};
const response = await axios.get(url, { headers });
const data = response.data;
return {
score: data.fear_and_greed.score,
rating: data.fear_and_greed.rating,
timestamp: data.fear_and_greed.timestamp,
historical: data.fear_and_greed_historical,
};
} catch (error) {
console.error(`获取恐惧贪婪指数时出错: ${error}`);
return null;
}
}
// 3. 获取市场主要指数数据
async getMarketIndices(): Promise<MarketData[] | null> {
try {
const indices = [
{ symbol: '^VIX', name: 'Volatility Index' },
{ symbol: '^GSPC', name: 'S&P 500' },
{ symbol: '^DJI', name: 'Dow Jones' },
{ symbol: '^IXIC', name: 'NASDAQ' },
{ symbol: '^RUT', name: 'Russell 2000' },
];
const indexData: MarketData[] = [];
for (const index of indices) {
const quote = await yahooFinance.quote(index.symbol);
indexData.push({
symbol: quote.symbol,
name: index.name,
price: quote.regularMarketPrice,
change: quote.regularMarketChange,
changePercent: `${quote.regularMarketChangePercent.toFixed(2)}%`,
timestamp: quote.regularMarketTime,
});
}
return indexData;
} catch (error) {
console.error(`获取市场指数数据时出错: ${error}`);
return null;
}
}
// 4. 获取美国国债收益率曲线
async getTreasuryYields(): Promise<any | null> {
try {
const treasuries = [
{ symbol: '^IRX', name: '13-Week' },
{ symbol: '^FVX', name: '5-Year' },
{ symbol: '^TNX', name: '10-Year' },
{ symbol: '^TYX', name: '30-Year' },
];
const result: any = {};
for (const treasury of treasuries) {
const quote = await yahooFinance.quote(treasury.symbol);
result[treasury.name] = {
yield: quote.regularMarketPrice,
change: `${quote.regularMarketChange.toFixed(2)}%`,
timestamp: quote.regularMarketTime,
};
}
return result;
} catch (error) {
console.error(`获取国债收益率数据时出错: ${error}`);
return null;
}
}
// 5. 获取商品市场数据
async getCommoditiesData(): Promise<any | null> {
try {
const commodities = [
{ symbol: 'GC=F', name: 'Gold' },
{ symbol: 'SI=F', name: 'Silver' },
{ symbol: 'CL=F', name: 'Crude Oil' },
{ symbol: 'NG=F', name: 'Natural Gas' },
{ symbol: 'ZC=F', name: 'Corn' },
{ symbol: 'ZW=F', name: 'Wheat' },
{ symbol: 'ZS=F', name: 'Soybeans' },
];
const result: any[] = [];
for (const commodity of commodities) {
const quote = await yahooFinance.quote(commodity.symbol);
result.push({
symbol: quote.symbol,
name: commodity.name,
price: quote.regularMarketPrice,
change: quote.regularMarketChange,
changePercent: quote.regularMarketChangePercent,
timestamp: quote.regularMarketTime,
});
}
return result;
} catch (error) {
console.error(`获取商品市场数据时出错: ${error}`);
return null;
}
}
// 6. 获取加密货币市场数据
async getCryptoData(): Promise<any | null> {
try {
const cryptos = [
{ symbol: 'BTC-USD', name: 'Bitcoin' },
{ symbol: 'ETH-USD', name: 'Ethereum' },
{ symbol: 'SOL-USD', name: 'Solana' },
{ symbol: 'XRP-USD', name: 'Ripple' },
{ symbol: 'ADA-USD', name: 'Cardano' },
{ symbol: 'DOGE-USD', name: 'Dogecoin' },
];
const result: any[] = [];
for (const crypto of cryptos) {
const quote = await yahooFinance.quote(crypto.symbol);
if (quote) {
result.push({
symbol: quote.symbol,
name: crypto.name,
price: quote.regularMarketPrice,
change: quote.regularMarketChange,
changePercent: quote.regularMarketChangePercent,
timestamp: quote.regularMarketTime,
});
}
}
return result;
} catch (error) {
console.error(`获取加密货币数据(Yahoo)时出错: ${error}`);
return null;
}
}
// 7. 获取外汇汇率数据
async getForexData(): Promise<any | null> {
try {
const pairs = [
{ symbol: 'EURUSD=X', name: 'EUR/USD' },
{ symbol: 'GBPUSD=X', name: 'GBP/USD' },
{ symbol: 'USDJPY=X', name: 'USD/JPY' },
{ symbol: 'USDCNY=X', name: 'USD/CNY' },
{ symbol: 'USDCHF=X', name: 'USD/CHF' },
{ symbol: 'AUDUSD=X', name: 'AUD/USD' },
{ symbol: 'USDRUB=X', name: 'USD/RUB' },
];
const result: any[] = [];
for (const pair of pairs) {
const quote = await yahooFinance.quote(pair.symbol);
if (quote) {
result.push({
symbol: quote.symbol,
name: pair.name,
price: quote.regularMarketPrice,
change: quote.regularMarketChange,
changePercent: quote.regularMarketChangePercent,
timestamp: quote.regularMarketTime,
});
}
}
return result;
} catch (error) {
console.error(`获取外汇数据时出错: ${error}`);
return null;
}
}
}
