597 lines
17 KiB
TypeScript
597 lines
17 KiB
TypeScript
import {
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ChannelCredentials,
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Client,
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ClientUnaryCall,
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loadPackageDefinition,
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Metadata,
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ServiceError,
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status,
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} from '@grpc/grpc-js';
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import { loadSync } from '@grpc/proto-loader';
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import {
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Injectable,
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NotFoundException,
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ServiceUnavailableException,
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} from '@nestjs/common';
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import { ConfigService } from '@nestjs/config';
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import { readFileSync } from 'node:fs';
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import { join } from 'node:path';
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import type {
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TbankBond,
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TbankCandle,
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TbankCoupon,
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TbankFundamentals,
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TbankLastPrice,
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TbankShare,
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} from './tbank-market.types';
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import { StructuredLogger } from '../../common/logging/structured-logger.service';
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import { MILLISECONDS_PER_SECOND } from '../../common/time';
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import { Environment } from '../../config/env.validation';
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import { TbankErrorCode } from './tbank-error-code';
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import {
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InstrumentIdType,
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TbankAccountStatus,
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TbankCandleInterval,
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TbankInstrumentStatus,
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TbankInstrumentType,
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TbankOperationState,
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} from './tbank-protocol';
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const INITIAL_REQUEST_COUNT = 0;
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const MIN_RATE_DELAY_MS = 1;
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const FIRST_ATTEMPT = 1;
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const ATTEMPT_INCREMENT = 1;
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const NO_RPC_ATTEMPTS = 0;
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const NEXT_DAY_OFFSET = 1;
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const RATE_WINDOW_MS = 1_000;
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const RPC_MAX_ATTEMPTS = 2;
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const MAX_QUEUE_SIZE = 50;
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const RPC_RETRY_DELAY_MS = 1_000;
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const requestDeadlineMs = 15_000;
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type Unary<Request, Response> = (
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request: Request,
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metadata: Metadata,
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options: { deadline: Date },
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callback: (error: null | ServiceError, response: Response) => void,
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) => ClientUnaryCall;
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type TbankClientService = Client & Record<string, Unary<never, never>>;
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export type TbankDecimal = { nano?: number | string; units?: number | string };
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export type TbankMoney = TbankDecimal & { currency?: string };
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export type TbankAccount = {
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id: string;
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name: string;
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openedDate?: { seconds?: number | string };
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type: string;
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};
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export type TbankPortfolio = {
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positions?: {
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averagePositionPrice?: TbankMoney;
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currentPrice?: TbankMoney;
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figi?: string;
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instrumentType?: string;
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instrumentUid?: string;
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quantity?: TbankDecimal;
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ticker?: string;
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}[];
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};
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export type TbankPositions = { money?: TbankMoney[] };
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export type TbankInstrument = {
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brand?: { logoName?: null | string };
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figi?: string;
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instrumentType?: string;
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isin?: string;
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name?: string;
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ticker?: string;
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uid?: string;
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};
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export type TbankDividend = {
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dividendNet?: TbankMoney;
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dividendType?: string;
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lastBuyDate?: TbankTimestamp;
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paymentDate?: TbankTimestamp;
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recordDate?: TbankTimestamp;
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};
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export type TbankTimestamp = { nanos?: number; seconds?: number | string };
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export type TbankOperationItem = {
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accruedInt?: TbankMoney;
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commission?: TbankMoney;
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cursor?: string;
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date?: TbankTimestamp;
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description?: string;
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figi?: string;
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id?: string;
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instrumentType?: string;
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instrumentUid?: string;
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name?: string;
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payment?: TbankMoney;
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price?: TbankMoney;
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quantity?: number | string;
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quantityDone?: number | string;
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state?: string;
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ticker?: string;
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type?: string;
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};
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export type TbankOperationsByCursorRequest = {
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accountId: string;
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cursor?: string;
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from?: TbankTimestamp;
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instrumentId?: string;
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limit?: number;
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state: TbankOperationState.Executed;
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to?: TbankTimestamp;
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};
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export type TbankOperationsByCursorResponse = {
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hasNext?: boolean;
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items?: TbankOperationItem[];
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nextCursor?: string;
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};
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type TbankNamespace = {
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tinkoff: {
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public: { invest: { api: { contract: { v1: Record<string, unknown> } } } };
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};
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};
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class RateLimiter {
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private readonly waiting: (() => void)[] = [];
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private starts = INITIAL_REQUEST_COUNT;
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private windowStartedAt = Date.now();
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constructor(private readonly perSecond: number) {}
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get size(): number {
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return this.waiting.length;
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}
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async run<T>(operation: () => Promise<T>): Promise<T> {
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await new Promise<void>((resolve) => {
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this.waiting.push(resolve);
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this.drain();
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});
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try {
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return await operation();
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} finally {
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this.drain();
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}
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}
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private drain(): void {
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const now = Date.now();
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if (now - this.windowStartedAt >= RATE_WINDOW_MS) {
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this.windowStartedAt = now;
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this.starts = INITIAL_REQUEST_COUNT;
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}
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while (this.starts < this.perSecond && this.waiting.length) {
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this.starts++;
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this.waiting.shift()?.();
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}
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if (this.waiting.length && this.starts === this.perSecond) {
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setTimeout(
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() => this.drain(),
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Math.max(MIN_RATE_DELAY_MS, RATE_WINDOW_MS - (now - this.windowStartedAt)),
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);
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}
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}
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}
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@Injectable()
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export class TbankClient {
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private readonly queue: RateLimiter;
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private readonly users: TbankClientService;
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private readonly operations: TbankClientService;
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private readonly instruments: TbankClientService;
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private readonly sparseInstruments: TbankClientService;
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private readonly marketData: TbankClientService;
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constructor(
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config: ConfigService<Environment, true>,
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private readonly logger: StructuredLogger,
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) {
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const protoRoot = join(__dirname, 'proto/contracts');
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const definition = loadSync(
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[
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'users.proto',
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'operations.proto',
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'instruments.proto',
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'marketdata.proto',
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].map((file) => join(protoRoot, file)),
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{
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includeDirs: [protoRoot],
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keepCase: false,
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longs: String,
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enums: String,
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defaults: true,
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oneofs: true,
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},
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);
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const services = (
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loadPackageDefinition(definition) as unknown as TbankNamespace
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).tinkoff.public.invest.api.contract.v1;
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const caPath = config.get<string | undefined>('TBANK_CA_CERT_PATH');
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const credentials = caPath
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// eslint-disable-next-line security/detect-non-literal-fs-filename -- The CA path is trusted operator configuration, never supplied by an HTTP request.
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? ChannelCredentials.createSsl(readFileSync(caPath))
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: ChannelCredentials.createSsl();
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const endpoint = config.getOrThrow<string>('TBANK_GRPC_ENDPOINT');
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const create = (name: string) =>
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new (
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// eslint-disable-next-line security/detect-object-injection -- Service and method names are internal RPC selections, not request input.
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services[name] as new (
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address: string,
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credentials: ChannelCredentials,
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) => TbankClientService
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)(endpoint, credentials);
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this.users = create('UsersService');
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this.operations = create('OperationsService');
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this.instruments = create('InstrumentsService');
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this.marketData = create('MarketDataService');
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// Preserve field presence for fundamentals; the established clients retain their decoding contract.
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const sparse = (
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loadPackageDefinition(
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loadSync(join(protoRoot, 'instruments.proto'), {
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includeDirs: [protoRoot],
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keepCase: false,
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longs: String,
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enums: String,
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defaults: false,
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oneofs: true,
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}),
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) as unknown as TbankNamespace
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).tinkoff.public.invest.api.contract.v1;
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this.sparseInstruments = new (
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sparse.InstrumentsService as new (
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address: string,
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credentials: ChannelCredentials,
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) => TbankClientService
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)(endpoint, credentials);
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this.queue = new RateLimiter(
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config.getOrThrow<number>('TBANK_RATE_LIMIT_PER_SECOND'),
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);
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this.logger.info('tbank.client.configured');
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}
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validateToken(token: string): Promise<TbankAccount[]> {
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return this.getOpenAccounts(token);
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}
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getOpenAccounts(token: string): Promise<TbankAccount[]> {
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return this.call<{ accounts?: TbankAccount[] }>(
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token,
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this.users,
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'getAccounts',
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{ status: TbankAccountStatus.Open },
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).then((response) => response.accounts ?? []);
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}
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getPortfolio(token: string, accountId: string): Promise<TbankPortfolio> {
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return this.call(token, this.operations, 'getPortfolio', { accountId });
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}
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getPositions(token: string, accountId: string): Promise<TbankPositions> {
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return this.call(token, this.operations, 'getPositions', { accountId });
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}
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getOperationsByCursor(
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token: string,
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request: TbankOperationsByCursorRequest,
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): Promise<TbankOperationsByCursorResponse> {
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return this.call(token, this.operations, 'getOperationsByCursor', request);
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}
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getInstrumentByFigi(
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token: string,
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figi: string,
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): Promise<null | TbankInstrument> {
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return this.getInstrument(token, InstrumentIdType.Figi, figi);
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}
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getInstrumentByUid(
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token: string,
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instrumentUid: string,
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): Promise<null | TbankInstrument> {
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return this.getInstrument(token, InstrumentIdType.Uid, instrumentUid);
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}
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getDividends(
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token: string,
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instrumentId: string,
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from: string,
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to: string,
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): Promise<TbankDividend[]> {
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return this.call<{ dividends?: TbankDividend[] }>(
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token,
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this.instruments,
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'getDividends',
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{
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instrumentId,
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from: { seconds: String(utcSeconds(from)) },
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to: { seconds: String(utcSeconds(to, true)) },
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},
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).then((response) => response.dividends ?? []);
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}
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findShares(token: string, query: string): Promise<TbankShare[]> {
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return this.call<{ instruments?: TbankShare[] }>(
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token,
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this.instruments,
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'findInstrument',
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{
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query,
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instrumentKind: TbankInstrumentType.Share,
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},
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).then((response) => response.instruments ?? []);
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}
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async getAllShares(token: string): Promise<TbankShare[]> {
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const response = await this.call<{ instruments?: TbankShare[] }>(
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token,
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this.instruments,
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'shares',
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{ instrumentStatus: TbankInstrumentStatus.All },
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);
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const { instruments } = response;
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if (
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!Array.isArray(instruments) ||
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!instruments.length ||
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instruments.some((item) => !item?.uid)
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) {
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this.logger.event('error', 'tbank.shares.catalog.unusable', {
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code: TbankErrorCode.Unavailable,
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operation: 'shares',
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});
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throw new ServiceUnavailableException({
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code: TbankErrorCode.Unavailable,
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});
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}
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this.logger.event('info', 'tbank.shares.catalog.fetched', {
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asOf: new Date().toISOString(),
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count: instruments.length,
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operation: 'shares',
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});
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return instruments;
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}
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findBonds(token: string, query: string): Promise<TbankBond[]> {
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return this.call<{ instruments?: TbankBond[] }>(
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token,
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this.sparseInstruments,
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'findInstrument',
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{
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query,
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instrumentKind: TbankInstrumentType.Bond,
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},
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).then((response) => response.instruments ?? []);
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}
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getBond(token: string, uid: string): Promise<null | TbankBond> {
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return this.call<{ instrument?: TbankBond }>(
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token,
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this.sparseInstruments,
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'bondBy',
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{
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idType: InstrumentIdType.Uid,
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id: uid,
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},
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).then((response) => response.instrument ?? null);
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}
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getBondCoupons(
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token: string,
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uid: string,
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from: string,
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to: string,
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): Promise<TbankCoupon[]> {
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return this.call<{ events?: TbankCoupon[] }>(
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token,
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this.sparseInstruments,
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'getBondCoupons',
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{
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instrumentId: uid,
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from: { seconds: String(utcSeconds(from)) },
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to: { seconds: String(utcSeconds(to, true)) },
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},
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).then((response) => response.events ?? []);
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}
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getShare(token: string, uid: string): Promise<null | TbankShare> {
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return this.call<{ instrument?: TbankShare }>(
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token,
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this.instruments,
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'shareBy',
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{
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idType: InstrumentIdType.Uid,
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id: uid,
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},
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).then((response) => response.instrument ?? null);
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}
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getAssetDescription(token: string, assetUid: string): Promise<null | string> {
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return this.call<{ asset?: { description?: string } }>(
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token,
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this.instruments,
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'getAssetBy',
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{
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id: assetUid,
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},
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).then((response) => response.asset?.description?.trim() || null);
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}
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getFundamentals(
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token: string,
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assetUid: string,
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): Promise<null | TbankFundamentals> {
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return this.call<{ fundamentals?: TbankFundamentals[] }>(
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token,
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this.sparseInstruments,
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'getAssetFundamentals',
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{
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assets: [assetUid],
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},
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).then(
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(response) =>
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response.fundamentals?.find((item) => item.assetUid === assetUid) ??
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null,
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);
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}
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getLastPrices(token: string, uids: string[]): Promise<TbankLastPrice[]> {
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return this.call<{ lastPrices?: TbankLastPrice[] }>(
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token,
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this.marketData,
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'getLastPrices',
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{ instrumentId: uids },
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).then((response) => response.lastPrices ?? []);
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}
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getTradingStatus(token: string, uid: string): Promise<null | string> {
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return this.call<{ tradingStatus?: string }>(
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token,
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this.marketData,
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'getTradingStatus',
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{
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instrumentId: uid,
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},
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).then((response) => response.tradingStatus || null);
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}
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getCandles(
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token: string,
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uid: string,
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from: Date,
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to: Date,
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): Promise<TbankCandle[]> {
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return this.call<{ candles?: TbankCandle[] }>(
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token,
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this.marketData,
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'getCandles',
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{
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instrumentId: uid,
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from: {
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seconds: String(Math.floor(from.valueOf() / MILLISECONDS_PER_SECOND)),
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},
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to: {
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seconds: String(Math.floor(to.valueOf() / MILLISECONDS_PER_SECOND)),
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},
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interval: TbankCandleInterval.Day,
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limit: 2400,
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},
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).then((response) => response.candles ?? []);
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}
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private async getInstrument(
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token: string,
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idType: InstrumentIdType,
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id: string,
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): Promise<null | TbankInstrument> {
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try {
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const response = await this.call<{ instrument?: TbankInstrument }>(
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token,
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this.instruments,
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'getInstrumentBy',
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{ idType, id },
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);
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return response.instrument ?? null;
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} catch (error) {
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if (error instanceof NotFoundException) return null;
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throw error;
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}
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}
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private async call<Response>(
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token: string,
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client: TbankClientService,
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method: string,
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request: object,
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): Promise<Response> {
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const metadataCall = method === 'getInstrumentBy';
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for (let attempts = FIRST_ATTEMPT; attempts <= RPC_MAX_ATTEMPTS; attempts += ATTEMPT_INCREMENT) {
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const startedAt = performance.now();
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const queueFull = this.queue.size >= MAX_QUEUE_SIZE;
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try {
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if (queueFull) {
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throw new ServiceUnavailableException({ code: TbankErrorCode.Unavailable });
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}
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const response = await this.queue.run(() =>
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this.request<Response>(token, client, method, request),
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);
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this.logger.event('debug', 'tbank.rpc.completed', {
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operation: method,
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attempts,
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durationMs: Math.round(performance.now() - startedAt),
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});
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return response;
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} catch (error) {
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const grpcCode = (error as ServiceError).code;
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const failureContext = queueFull
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? { code: TbankErrorCode.Unavailable }
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: { grpcCode };
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const retryable = !queueFull && [
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status.DEADLINE_EXCEEDED,
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status.RESOURCE_EXHAUSTED,
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status.UNAVAILABLE,
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].includes(grpcCode);
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if (retryable && attempts < RPC_MAX_ATTEMPTS) {
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this.logger.event('warn', 'tbank.rpc.retry', {
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operation: method,
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...failureContext,
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attempts,
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durationMs: Math.round(performance.now() - startedAt),
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});
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await new Promise((resolve) => setTimeout(resolve, RPC_RETRY_DELAY_MS));
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continue;
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}
|
|
this.logger.event('error', 'tbank.rpc.failed', {
|
|
operation: method,
|
|
...failureContext,
|
|
attempts: queueFull ? NO_RPC_ATTEMPTS : attempts,
|
|
durationMs: Math.round(performance.now() - startedAt),
|
|
});
|
|
if (
|
|
[status.PERMISSION_DENIED, status.UNAUTHENTICATED].includes(grpcCode)
|
|
) {
|
|
// eslint-disable-next-line preserve-caught-error -- Discard raw upstream authentication errors at the integration boundary.
|
|
throw new Error(TbankErrorCode.InvalidToken);
|
|
}
|
|
if (
|
|
grpcCode === status.NOT_FOUND &&
|
|
(method === 'shareBy' || metadataCall)
|
|
) {
|
|
throw new NotFoundException();
|
|
}
|
|
throw new ServiceUnavailableException({ code: TbankErrorCode.Unavailable });
|
|
}
|
|
}
|
|
throw new ServiceUnavailableException({ code: TbankErrorCode.Unavailable });
|
|
}
|
|
|
|
private request<Response>(
|
|
token: string,
|
|
client: TbankClientService,
|
|
method: string,
|
|
request: object,
|
|
): Promise<Response> {
|
|
return new Promise((resolve, reject) => {
|
|
const metadata = new Metadata();
|
|
metadata.set('Authorization', `Bearer ${token}`);
|
|
// eslint-disable-next-line security/detect-object-injection -- Service and method names are internal RPC selections, not request input.
|
|
client[method](
|
|
request as never,
|
|
metadata,
|
|
{ deadline: new Date(Date.now() + requestDeadlineMs) },
|
|
(error, response) => (error ? reject(error) : resolve(response)),
|
|
);
|
|
});
|
|
}
|
|
}
|
|
|
|
// Calendar owners supply inclusive UTC days; RPC timestamps use [from, next(to)).
|
|
function utcSeconds(date: string, nextDay = false): number {
|
|
const instant = new Date(`${date}T00:00:00Z`);
|
|
if (nextDay) instant.setUTCDate(instant.getUTCDate() + NEXT_DAY_OFFSET);
|
|
return Math.floor(instant.valueOf() / MILLISECONDS_PER_SECOND);
|
|
}
|