feat(performance): investment performance vs Moscow Exchange index (WealthLedger/main#54) (#200)

src/integrations/moex/moex.client.ts

@@ -10,6 +10,13 @@ const EMPTY_PAGE_SIZE = 0;
 const MIN_CURSOR_VALUE = 0;
 
 const FALLBACK_PAGE_SIZE = 100;
+const INDEX_COLUMNS = ['TRADEDATE', 'CLOSE'];
+const ISO_DATE_LENGTH = 10;
+const ZERO_CLOSE = 0;
+const ISO_DATE_START = 0;
+const LAST_HISTORY_ROW = -1;
+
+const isoDayPattern = /^\d{4}-\d{2}-\d{2}$/;
 
 const baseUrl = 'https://iss.moex.com/iss';
 const timeoutMs = 10_000;
@@ -28,9 +35,64 @@ export type MoexBondYield = {
   tradeAt: string;
   value: string;
 };
+export type MoexIndexClose = { close: string; tradeDate: string };
 
 @Injectable()
 export class MoexClient {
+  async indexHistory(
+    secid: 'IMOEX' | 'MCFTRR',
+    from: string,
+    till: string,
+  ): Promise<MoexIndexClose[]> {
+    const path = `history/engines/stock/markets/index/securities/${secid}.json`;
+    const rows: MoexIndexClose[] = [];
+    let start = FIRST_PAGE_OFFSET;
+    for (;;) {
+      const query = new URLSearchParams({
+        from,
+        till,
+        'start': String(start),
+        'iss.meta': 'off',
+        'history.columns': 'TRADEDATE,CLOSE',
+      });
+      const response = await this.request(`${baseUrl}/${path}?${query}`);
+      if (!response) throw new ServiceUnavailableException({ code: MoexErrorCode.Unavailable });
+      const block = response.history;
+      if (
+        !block || !Array.isArray(block.columns) ||
+        block.columns.length !== INDEX_COLUMNS.length ||
+        // eslint-disable-next-line security/detect-object-injection -- Offset comes from a fixed-length validated columns array.
+        block.columns.some((column, offset) => column !== INDEX_COLUMNS[offset])
+      ) throw new ServiceUnavailableException({ code: MoexErrorCode.Unavailable });
+      const current = parseRows(block);
+      let previousDate = rows.at(LAST_HISTORY_ROW)?.tradeDate;
+      for (const row of current) {
+        const tradeDate = text(row.tradedate);
+        const close = numberText(row.close);
+        if (
+          !tradeDate || !isoDayPattern.test(tradeDate) ||
+          Number.isNaN(Date.parse(`${tradeDate}T00:00:00Z`)) ||
+          new Date(`${tradeDate}T00:00:00Z`).toISOString().slice(ISO_DATE_START, ISO_DATE_LENGTH) !== tradeDate ||
+            !close || Number(close) <= ZERO_CLOSE ||
+            (previousDate !== undefined && tradeDate <= previousDate)
+        ) throw new ServiceUnavailableException({ code: MoexErrorCode.Unavailable });
+        rows.push({ tradeDate, close });
+        previousDate = tradeDate;
+      }
+      const cursor = parseRows(response['history.cursor']);
+      const index = integer(cursor[0]?.index);
+      const total = integer(cursor[0]?.total);
+      const pageSize = integer(cursor[0]?.pagesize);
+      if (
+        cursor.length !== EXPECTED_CURSOR_ROWS || index !== start ||
+        total === null || pageSize === null || pageSize === EMPTY_PAGE_SIZE ||
+        current.length !== Math.min(pageSize, total - start)
+      ) throw new ServiceUnavailableException({ code: MoexErrorCode.Unavailable });
+      if (index + pageSize >= total) return rows;
+      start = index + pageSize;
+    }
+  }
+
   async bondYield(
     secid: string,
     isin: string,