turingtrader.js/dist/data/yahoo.js

A backtesting engine for Node.js

"use strict";

var _interopRequireDefault = require("@babel/runtime/helpers/interopRequireDefault");

Object.defineProperty(exports, "__esModule", {
  value: true
});
exports.loadAssetFromYahoo = void 0;

var _nodeFetch = _interopRequireDefault(require("node-fetch"));

//==============================================================================
// Name:        data/yahoo
// Project:     TuringTrader.js
// Description: data source for Yahoo! finance.
// History:     FUB, 2021v02, created
//==============================================================================
var loadAssetFromYahoo = function loadAssetFromYahoo(sim, name) {
  // TODO: we might need to do some mapping here
  var ticker = name; // NOTE: JS has epochs in milliseconds, Yahoo expects seconds

  var day = 24 * 60 * 60;
  var period1 = Math.trunc(sim.startDate.getTime() / 1000) - 5 * day;
  var period2 = Math.trunc(sim.endDate.getTime() / 1000) + 5 * day;
  var url = "http://query1.finance.yahoo.com/v8/finance/chart/".concat(ticker, "?interval=1d&period1=").concat(period1, "&period2=").concat(period2); // see https://developers.google.com/web/updates/2015/03/introduction-to-fetch

  var status = function status(response) {
    if (response.status >= 200 && response.status < 300) {
      return Promise.resolve(response);
    } else {
      return Promise.reject(new Error(response.statusText));
    }
  };

  var json = function json(response) {
    return response.json();
  };

  var promise = (0, _nodeFetch["default"])(url).then(status).then(json).then(function (response) {
    // deconstruct response from Yahoo!
    var meta = response.chart.result[0].meta;
    var rawTimestamps = response.chart.result[0].timestamp;
    var rawOpen = response.chart.result[0].indicators.quote[0].open;
    var rawHigh = response.chart.result[0].indicators.quote[0].high;
    var rawLow = response.chart.result[0].indicators.quote[0].low;
    var rawClose = response.chart.result[0].indicators.quote[0].close;
    var rawVolume = response.chart.result[0].indicators.quote[0].volume;
    var adjustedClose = response.chart.result[0].indicators.adjclose[0].adjclose; // calculate adjusted prices

    var adjustFactor = adjustedClose.map(function (element, index) {
      return element / rawClose[index];
    });
    var adjustedOpen = rawOpen.map(function (element, index) {
      return element * adjustFactor[index];
    });
    var adjustedHigh = rawHigh.map(function (element, index) {
      return element * adjustFactor[index];
    });
    var adjustedLow = rawLow.map(function (element, index) {
      return element * adjustFactor[index];
    });
    var adjustedVolume = rawVolume.map(function (element, index) {
      return element / adjustFactor[index];
    }); // convert timestamps
    // NOTE: Yahoo! timestamps are at the open (9:30 am),
    // TuringTrader.js timestamps are at the close (4:00 pm).
    // this is not an issue, because the simulator will align
    // the timestamps with the trading calendar upon load.

    var timestamps = rawTimestamps.map(function (element) {
      return new Date(element * 1000);
    });
    return {
      meta: {
        ticker: ticker,
        firstT: timestamps[0],
        lastT: timestamps[timestamps.length - 1]
      },
      t: timestamps,
      o: adjustedOpen,
      h: adjustedHigh,
      l: adjustedLow,
      c: adjustedClose,
      v: adjustedVolume
    };
  }) // FIXME: what are we doing here?
  ["catch"](function (err) {
    return sim.info(err);
  });
  return promise;
}; //==============================================================================
// end of file


exports.loadAssetFromYahoo = loadAssetFromYahoo;