mirror of
https://github.com/caty21/forex-dashboard.git
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feat: replace rateprobability.com with CME FedWatch + Investing.com scrapers
- fetch-rate-data.mjs: CME FedWatch (USD), Investing.com rate monitors (all CBs), InvestingLive (fallback) — plus aucune dépendance à rateprobability.com - lib/rateprobability.ts: suppression des appels live rateprobability.com, source unique = cache GitHub Actions (data/rate-probabilities.json) - Logs détaillés pour debugger le premier run GitHub Actions Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
This commit is contained in:
caty21
@@ -1,82 +1,456 @@
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// Runs in GitHub Actions (not Vercel) — fetches from rateprobability.com
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// GitHub Actions IPs are not blocked by the site.
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// Sources (in priority order):
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// 1. CME FedWatch API — USD seul, JSON officieux, fiable
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// 2. Investing.com monitors — toutes CBs, HTML scraped (Cloudflare possible)
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// 3. InvestingLive fallback — articles Giuseppe Dellamotta, hebdo, toutes CBs
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import { writeFileSync, mkdirSync, readFileSync } from "fs";
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const CB_KEYS = [
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["USD", "fed"],
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["EUR", "ecb"],
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["GBP", "boe"],
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["JPY", "boj"],
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["CAD", "boc"],
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["AUD", "rba"],
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["NZD", "rbnz"],
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["CHF", "snb"], // BNS — essai, null si l'endpoint n'existe pas sur rateprobability.com
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];
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// ── Helpers ───────────────────────────────────────────────────────────────────
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const HEADERS = {
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const MONTHS = { Jan:"01",Feb:"02",Mar:"03",Apr:"04",May:"05",Jun:"06",
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Jul:"07",Aug:"08",Sep:"09",Oct:"10",Nov:"11",Dec:"12" };
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function normalizeDate(raw) {
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if (!raw) return null;
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if (/^\d{8}$/.test(raw))
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return `${raw.slice(0,4)}-${raw.slice(4,6)}-${raw.slice(6,8)}`;
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if (/^\d{4}-\d{2}-\d{2}$/.test(raw)) return raw;
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const m = raw.match(/([A-Z][a-z]{2})\s+(\d{1,2}),?\s+(\d{4})/);
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if (m) return `${m[3]}-${MONTHS[m[1]]??'01'}-${m[2].padStart(2,'0')}`;
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return null;
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}
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const CHROME_HEADERS = {
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"User-Agent": "Mozilla/5.0 (Macintosh; Intel Mac OS X 10_15_7) AppleWebKit/537.36 (KHTML, like Gecko) Chrome/125.0.0.0 Safari/537.36",
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"Accept": "application/json, text/plain, */*",
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"Accept": "text/html,application/xhtml+xml,application/xml;q=0.9,image/avif,image/webp,*/*;q=0.8",
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"Accept-Language": "en-US,en;q=0.9",
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"sec-ch-ua": '"Chromium";v="125", "Not.A/Brand";v="24"',
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"sec-ch-ua-mobile":"?0",
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"sec-fetch-dest": "empty",
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"sec-fetch-mode": "cors",
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"sec-fetch-site": "same-origin",
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"Cache-Control": "no-cache",
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"Pragma": "no-cache",
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"Sec-Fetch-Dest": "document",
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"Sec-Fetch-Mode": "navigate",
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"Sec-Fetch-Site": "none",
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"Sec-Fetch-User": "?1",
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"Upgrade-Insecure-Requests": "1",
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};
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async function fetchCB(ccy, slug) {
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try {
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const res = await fetch(`https://rateprobability.com/api/${slug}/latest`, {
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headers: { ...HEADERS, "Referer": `https://rateprobability.com/${slug}`, "Origin": "https://rateprobability.com" },
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// ── 1. CME FedWatch (USD) ─────────────────────────────────────────────────────
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async function fetchCMEFedWatch() {
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const year = new Date().getFullYear();
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const candidates = [
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// API officieuse FedWatch — essai sur SR3 (SOFR) et ZQ (30-day FF)
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`https://www.cmegroup.com/CmeWS/mvc/MeetingCalendar/V1/getMeetingCalendarByYear.json?marketCode=SR3&year=${year}`,
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`https://www.cmegroup.com/CmeWS/mvc/MeetingCalendar/V1/getMeetingCalendarByYear.json?marketCode=FF&year=${year}`,
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`https://www.cmegroup.com/CmeWS/mvc/MeetingCalendar/V1/getMeetingCalendarByYear.json?marketCode=ZQ&year=${year}`,
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];
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for (const url of candidates) {
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try {
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const res = await fetch(url, {
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headers: {
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...CHROME_HEADERS,
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"Accept": "application/json, text/plain, */*",
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"Referer": "https://www.cmegroup.com/markets/interest-rates/cme-fedwatch-tool.html",
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"Origin": "https://www.cmegroup.com",
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"Sec-Fetch-Dest": "empty",
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"Sec-Fetch-Mode": "cors",
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"Sec-Fetch-Site": "same-origin",
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}
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});
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console.log(`[CME] ${url.split('?')[1]} → ${res.status}`);
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if (!res.ok) continue;
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const body = await res.json();
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console.log(`[CME] keys: ${Object.keys(body).join(", ")}`);
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console.log(`[CME] preview: ${JSON.stringify(body).slice(0, 600)}`);
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const parsed = parseCMEBody(body);
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if (parsed) { console.log(`[CME] ✓ ${parsed.today.rows.length} meetings`); return parsed; }
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} catch (e) {
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console.error(`[CME] error: ${e.message}`);
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}
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}
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return null;
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}
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function parseCMEBody(body) {
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// Format A : { meetings: [{ date|meetingDate, currentProbs:{minus25,unch,plus25,...}, impliedRate }] }
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const arr = body.meetings ?? body.data ?? (Array.isArray(body) ? body : null);
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if (!arr?.length) return null;
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const nowIso = new Date().toISOString().slice(0,10);
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let currentRate = null;
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const rows = [];
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for (const m of arr) {
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const dateIso = normalizeDate(
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m.date ?? m.meetingDate ?? m.meetDate ?? m.meeting_date ?? ""
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);
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if (!dateIso || dateIso < nowIso) continue;
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const probs = m.currentProbs ?? m.probs ?? m.probabilities ?? m.probability ?? {};
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const probCut = parseFloat(probs.minus25 ?? probs.cut25 ?? probs["-25"] ?? probs.minus50 ?? 0)
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+ parseFloat(probs.minus50 ?? probs.cut50 ?? probs["-50"] ?? 0);
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const probHike = parseFloat(probs.plus25 ?? probs.hike25 ?? probs["+25"] ?? probs.plus50 ?? 0)
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+ parseFloat(probs.plus50 ?? probs.hike50 ?? probs["+50"] ?? 0);
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const probHold = parseFloat(probs.unch ?? probs.hold ?? probs.unchanged ?? 0);
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const probIsCut = probCut >= probHike;
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const probMovePct = probIsCut ? probCut : probHike;
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const impliedRate = parseFloat(
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m.impliedRate ?? m.implied_rate ?? m.rate ?? m.impliedFedFunds ?? 0
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);
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if (currentRate === null)
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currentRate = parseFloat(m.priorRate ?? m.currentRate ?? m.prior_rate ?? impliedRate ?? 0);
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const changeBps = (impliedRate - (currentRate ?? 0)) * 100;
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const dateLabel = new Date(dateIso + "T12:00:00Z")
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.toLocaleDateString("en-US", { month:"short", day:"numeric" });
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rows.push({
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meeting: dateLabel,
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meeting_iso: dateIso,
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implied_rate_post_meeting: impliedRate,
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prob_move_pct: probMovePct,
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prob_is_cut: probIsCut,
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change_bps: changeBps,
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num_moves: changeBps / 25,
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});
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if (!res.ok) { console.error(`[${ccy}] HTTP ${res.status}`); return null; }
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const body = await res.json();
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console.log(`[${ccy}] OK — meetings: ${body?.today?.rows?.length ?? "?"}`);
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return body;
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}
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if (!rows.length) return null;
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return { today: { midpoint: currentRate ?? 0, rows } };
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}
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// ── 2. Investing.com Rate Monitors (all CBs) ──────────────────────────────────
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const IC_SLUGS = {
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USD: "fed-rate-monitor",
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EUR: "ecb-rate-monitor",
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GBP: "boe-rate-monitor",
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JPY: "boj-rate-monitor",
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CAD: "boc-rate-monitor",
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AUD: "rba-rate-monitor",
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NZD: "rbnz-rate-monitor",
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CHF: "snb-rate-monitor",
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};
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// Taux directeurs actuels — fallback si non trouvés dans le HTML
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const FALLBACK_RATES = {
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USD: 4.33, EUR: 2.40, GBP: 4.25, JPY: 0.50,
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CAD: 2.75, AUD: 4.10, NZD: 3.25, CHF: 0.00,
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};
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async function fetchInvestingCom(ccy) {
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const slug = IC_SLUGS[ccy];
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const url = `https://www.investing.com/central-banks/${slug}`;
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try {
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const res = await fetch(url, {
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headers: { ...CHROME_HEADERS, "Referer": "https://www.investing.com/central-banks/" }
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});
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console.log(`[IC/${ccy}] ${res.status}`);
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if (!res.ok) return null;
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const html = await res.text();
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console.log(`[IC/${ccy}] html ${html.length} chars`);
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if (/just a moment|cf-browser-verification|enable javascript/i.test(html)) {
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console.error(`[IC/${ccy}] Cloudflare challenge`);
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return null;
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}
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return parseInvestingComHtml(ccy, html);
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} catch (e) {
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console.error(`[${ccy}] Error: ${e.message}`);
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console.error(`[IC/${ccy}] error: ${e.message}`);
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return null;
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}
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}
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const results = {};
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for (const [ccy, slug] of CB_KEYS) {
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const data = await fetchCB(ccy, slug);
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if (data) results[ccy] = data;
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await new Promise(r => setTimeout(r, 300)); // 300ms entre requêtes
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function parseInvestingComHtml(ccy, html) {
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// ── Attempt A: __NEXT_DATA__ (Next.js SSR) ────────────────────────────────
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const ndMatch = html.match(/<script id="__NEXT_DATA__"[^>]*>([\s\S]*?)<\/script>/);
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if (ndMatch) {
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try {
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const nd = JSON.parse(ndMatch[1]);
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console.log(`[IC/${ccy}] __NEXT_DATA__ found`);
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const result = parseNextData(ccy, nd);
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if (result) return result;
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} catch (e) { console.error(`[IC/${ccy}] nextData parse: ${e.message}`); }
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}
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// ── Attempt B: JSON-LD / embedded JSON with "meetingDate" or "probability" ─
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const scripts = [...html.matchAll(/<script[^>]*>([\s\S]*?)<\/script>/g)];
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for (const [, content] of scripts) {
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if (!content.includes("meetingDate") && !content.includes("probability")) continue;
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try {
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const json = JSON.parse(content.trim());
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console.log(`[IC/${ccy}] embedded JSON found`);
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const result = parseJsonData(ccy, json);
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if (result) return result;
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} catch {}
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}
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// ── Attempt C: HTML table ──────────────────────────────────────────────────
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return parseRateMonitorTable(ccy, html);
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}
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// Rotation : si les données existantes datent de 5–9 jours → les sauvegarder comme previousWeek
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let previousWeek = null;
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let previousWeekFetchedAt = null;
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try {
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const existing = JSON.parse(readFileSync("data/rate-probabilities.json", "utf8"));
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const ageMs = Date.now() - new Date(existing.fetchedAt).getTime();
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const day = 86400000;
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if (ageMs >= 5 * day && ageMs <= 9 * day) {
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// Les données courantes datent d'une semaine → les promouvoir en previousWeek
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previousWeek = existing.data;
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previousWeekFetchedAt = existing.fetchedAt;
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console.log(`\nRotated existing data (${(ageMs / day).toFixed(1)}d old) to previousWeek`);
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} else if (existing.previousWeek && existing.previousWeekFetchedAt) {
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// Conserver le previousWeek existant s'il est encore dans la fenêtre utile (< 11 jours)
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const prevAge = Date.now() - new Date(existing.previousWeekFetchedAt).getTime();
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if (prevAge < 11 * day) {
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previousWeek = existing.previousWeek;
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previousWeekFetchedAt = existing.previousWeekFetchedAt;
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function parseNextData(ccy, nd) {
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const pageProps = nd?.props?.pageProps ?? nd?.props ?? {};
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console.log(`[IC/${ccy}] pageProps keys: ${Object.keys(pageProps).slice(0,10).join(", ")}`);
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// Navigate common paths where rate monitor data lives
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const candidates = [
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pageProps?.rateMonitorData,
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pageProps?.data?.rateMonitor,
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pageProps?.initialData,
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pageProps?.dehydratedState?.queries?.[0]?.state?.data,
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];
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for (const c of candidates) {
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if (!c) continue;
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const result = parseJsonData(ccy, c);
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if (result) return result;
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}
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// Log for debugging first run
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console.log(`[IC/${ccy}] nextData pageProps preview: ${JSON.stringify(pageProps).slice(0, 400)}`);
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return null;
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}
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function parseJsonData(ccy, json) {
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// Try to find meetings array in various shapes
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const meetings = json?.meetings ?? json?.data?.meetings ?? json?.rows ?? json?.items ?? null;
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if (!Array.isArray(meetings) || !meetings.length) return null;
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const nowIso = new Date().toISOString().slice(0,10);
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const rows = [];
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let currentRate = FALLBACK_RATES[ccy] ?? 0;
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for (const m of meetings) {
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const dateIso = normalizeDate(
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m.meetingDate ?? m.date ?? m.meeting_date ?? m.dateIso ?? ""
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);
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if (!dateIso || dateIso < nowIso) continue;
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// Probabilities can be in many shapes
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const probCut = parseFloat(m.probCut ?? m.cut ?? m.decrease ?? m.minus25 ?? 0)
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+ parseFloat(m.probCut50 ?? m.minus50 ?? 0);
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const probHike = parseFloat(m.probHike ?? m.hike ?? m.increase ?? m.plus25 ?? 0)
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+ parseFloat(m.probHike50 ?? m.plus50 ?? 0);
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const probHold = parseFloat(m.probHold ?? m.hold ?? m.unchanged ?? 0);
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const probIsCut = probCut >= probHike;
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const probMovePct = Math.max(probCut, probHike, 0);
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const impliedRate = parseFloat(
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m.impliedRate ?? m.implied_rate ?? m.rate ?? currentRate
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);
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const changeBps = (impliedRate - currentRate) * 100;
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const dateLabel = new Date(dateIso + "T12:00:00Z")
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.toLocaleDateString("en-US", { month:"short", day:"numeric" });
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rows.push({
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meeting: dateLabel, meeting_iso: dateIso,
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implied_rate_post_meeting: impliedRate,
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prob_move_pct: probMovePct, prob_is_cut: probIsCut,
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change_bps: changeBps, num_moves: changeBps / 25,
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});
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}
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if (!rows.length) return null;
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return { today: { midpoint: currentRate, rows } };
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}
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function parseRateMonitorTable(ccy, html) {
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// Find all <table> blocks
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const tables = [...html.matchAll(/<table[\s\S]*?<\/table>/gi)];
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console.log(`[IC/${ccy}] ${tables.length} tables found`);
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for (const [table] of tables) {
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// Extract header row to detect probability columns
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const headers = [...table.matchAll(/<th[^>]*>([\s\S]*?)<\/th>/gi)]
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.map(m => m[1].replace(/<[^>]+>/g,"").trim().toLowerCase());
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const hasProbCols = headers.some(h => /cut|hike|unch|hold|basis|bps|prob|\-\d|\+\d/.test(h));
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const hasDate = headers.some(h => /meeting|date|month/.test(h));
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if (!hasProbCols || !hasDate) continue;
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console.log(`[IC/${ccy}] table headers: ${headers.join(" | ")}`);
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const dateIdx = headers.findIndex(h => /meeting|date|month/.test(h));
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const cutCols = headers.reduce((acc,h,i) => /cut|\-25|\-50|decr/.test(h) ? [...acc,i] : acc, []);
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const hikeCols = headers.reduce((acc,h,i) => /hike|\+25|\+50|incr/.test(h) ? [...acc,i] : acc, []);
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const holdCols = headers.reduce((acc,h,i) => /unch|hold|no.?change/.test(h) ? [...acc,i] : acc, []);
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const rateIdx = headers.findIndex(h => /implied|rate/.test(h));
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const rows2 = [];
|
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const nowIso = new Date().toISOString().slice(0,10);
|
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const trs = [...table.matchAll(/<tr[\s\S]*?<\/tr>/gi)].slice(1); // skip header
|
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for (const [tr] of trs) {
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const cells = [...tr.matchAll(/<td[^>]*>([\s\S]*?)<\/td>/gi)]
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.map(m => m[1].replace(/<[^>]+>/g,"").trim());
|
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if (cells.length < 2) continue;
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||||
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||||
const dateIso = normalizeDate(cells[dateIdx] ?? "");
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||||
if (!dateIso || dateIso < nowIso) continue;
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||||
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||||
const pct = s => parseFloat((s ?? "0").replace(/[^0-9.]/g,"")) || 0;
|
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const probCut = cutCols.reduce((s,i) => s + pct(cells[i]), 0);
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const probHike = hikeCols.reduce((s,i) => s + pct(cells[i]), 0);
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const probIsCut = probCut >= probHike;
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const probMovePct = Math.max(probCut, probHike);
|
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const impliedRate = rateIdx >= 0 ? pct(cells[rateIdx]) : FALLBACK_RATES[ccy] ?? 0;
|
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const changeBps = (impliedRate - (FALLBACK_RATES[ccy] ?? 0)) * 100;
|
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const dateLabel = new Date(dateIso + "T12:00:00Z")
|
||||
.toLocaleDateString("en-US", { month:"short", day:"numeric" });
|
||||
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||||
rows2.push({
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||||
meeting: dateLabel, meeting_iso: dateIso,
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implied_rate_post_meeting: impliedRate,
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prob_move_pct: probMovePct, prob_is_cut: probIsCut,
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change_bps: changeBps, num_moves: changeBps / 25,
|
||||
});
|
||||
}
|
||||
|
||||
if (rows2.length) {
|
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console.log(`[IC/${ccy}] ✓ table parsed: ${rows2.length} rows`);
|
||||
return { today: { midpoint: FALLBACK_RATES[ccy] ?? 0, rows: rows2 } };
|
||||
}
|
||||
}
|
||||
} catch { /* pas de fichier existant */ }
|
||||
|
||||
console.warn(`[IC/${ccy}] no parseable table found`);
|
||||
return null;
|
||||
}
|
||||
|
||||
// ── 3. InvestingLive fallback (Giuseppe Dellamotta, hebdomadaire) ─────────────
|
||||
|
||||
const IL_CB_MAP = {
|
||||
fed: "USD", fomc: "USD",
|
||||
ecb: "EUR",
|
||||
boe: "GBP",
|
||||
boj: "JPY",
|
||||
boc: "CAD",
|
||||
rba: "AUD",
|
||||
rbnz: "NZD",
|
||||
snb: "CHF",
|
||||
};
|
||||
|
||||
async function fetchInvestingLive() {
|
||||
for (let daysAgo = 0; daysAgo <= 14; daysAgo++) {
|
||||
const d = new Date(Date.now() - daysAgo * 86_400_000);
|
||||
const yyyymmdd = d.toISOString().slice(0,10).replace(/-/g,"");
|
||||
const url = `https://investinglive.com/news/how-have-interest-rate-expectations-changed-after-this-weeks-event-${yyyymmdd}/`;
|
||||
try {
|
||||
const res = await fetch(url, { headers: { "User-Agent": CHROME_HEADERS["User-Agent"] } });
|
||||
if (!res.ok) continue;
|
||||
const html = await res.text();
|
||||
console.log(`[IL] found article ${yyyymmdd}`);
|
||||
return { data: parseILArticle(html), date: d.toISOString().slice(0,10) };
|
||||
} catch {}
|
||||
}
|
||||
return { data: {}, date: null };
|
||||
}
|
||||
|
||||
function parseILArticle(html) {
|
||||
const results = {};
|
||||
|
||||
// Extract articleBody from JSON-LD
|
||||
const jldMatch = html.match(/"articleBody"\s*:\s*"([\s\S]*?)(?<!\\)"/);
|
||||
const text = jldMatch
|
||||
? jldMatch[1].replace(/\\n/g," ").replace(/\\"/g,'"')
|
||||
: html.replace(/<[^>]+>/g," ");
|
||||
|
||||
// Pattern: "CB: XX bps (YY% probability of rate hike/cut/no change)"
|
||||
const re = /\b(fed|fomc|ecb|boe|boj|boc|rba|rbnz|snb)\b[\s\S]{0,150}?(\d+)\s*bps?[\s\S]{0,80}?(\d+)%\s*probability\s*of\s*(rate\s*)?(hike|cut|no.?change)/gi;
|
||||
for (const m of text.matchAll(re)) {
|
||||
const ccy = IL_CB_MAP[m[1].toLowerCase()];
|
||||
if (!ccy || results[ccy]) continue;
|
||||
const bps = parseInt(m[2]);
|
||||
const probPct = parseInt(m[3]);
|
||||
const isHike = /hike/i.test(m[5]);
|
||||
const isNoChg = /no.?change/i.test(m[5]);
|
||||
results[ccy] = { bpsYearEnd: isHike ? bps : -bps, probMovePct: isNoChg ? 0 : probPct, isCut: !isHike && !isNoChg };
|
||||
}
|
||||
|
||||
console.log(`[IL] parsed: ${Object.keys(results).join(", ")}`);
|
||||
return results;
|
||||
}
|
||||
|
||||
function buildILFallback(ccy, il) {
|
||||
const nowIso = new Date().toISOString().slice(0,10);
|
||||
const yearEnd = `${new Date().getFullYear()}-12-31`;
|
||||
const rate = FALLBACK_RATES[ccy] ?? 0;
|
||||
return {
|
||||
today: {
|
||||
midpoint: rate,
|
||||
rows: [{
|
||||
meeting: "Dec",
|
||||
meeting_iso: yearEnd,
|
||||
implied_rate_post_meeting: rate + il.bpsYearEnd / 100,
|
||||
prob_move_pct: il.probMovePct ?? 50,
|
||||
prob_is_cut: il.isCut,
|
||||
change_bps: il.bpsYearEnd,
|
||||
num_moves: Math.abs(il.bpsYearEnd) / 25,
|
||||
}]
|
||||
}
|
||||
};
|
||||
}
|
||||
|
||||
// ── Main ──────────────────────────────────────────────────────────────────────
|
||||
|
||||
const CCYS = ["USD","EUR","GBP","JPY","CAD","AUD","NZD","CHF"];
|
||||
const results = {};
|
||||
|
||||
// 1 — CME FedWatch → USD
|
||||
console.log("\n=== CME FedWatch ===");
|
||||
const cmeData = await fetchCMEFedWatch();
|
||||
if (cmeData) { results["USD"] = cmeData; console.log("[CME] USD ✓"); }
|
||||
|
||||
// 2 — Investing.com → all CBs (USD as backup if CME failed)
|
||||
console.log("\n=== Investing.com Rate Monitors ===");
|
||||
for (const ccy of CCYS) {
|
||||
if (results[ccy]) { console.log(`[IC/${ccy}] skipped (CME)`); continue; }
|
||||
const data = await fetchInvestingCom(ccy);
|
||||
if (data) results[ccy] = data;
|
||||
await new Promise(r => setTimeout(r, 600));
|
||||
}
|
||||
|
||||
// 3 — InvestingLive → fallback for any missing CB
|
||||
const missing = CCYS.filter(c => !results[c]);
|
||||
if (missing.length) {
|
||||
console.log(`\n=== InvestingLive fallback (missing: ${missing.join(", ")}) ===`);
|
||||
const { data: ilData } = await fetchInvestingLive();
|
||||
for (const ccy of missing) {
|
||||
if (ilData[ccy]) {
|
||||
results[ccy] = buildILFallback(ccy, ilData[ccy]);
|
||||
console.log(`[IL] ${ccy} ✓ (${ilData[ccy].bpsYearEnd}bps year-end)`);
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
// ── Previous week rotation ────────────────────────────────────────────────────
|
||||
let previousWeek = null, previousWeekFetchedAt = null;
|
||||
try {
|
||||
const existing = JSON.parse(readFileSync("data/rate-probabilities.json","utf8"));
|
||||
const ageMs = Date.now() - new Date(existing.fetchedAt).getTime();
|
||||
const day = 86400000;
|
||||
if (ageMs >= 5*day && ageMs <= 9*day) {
|
||||
previousWeek = existing.data; previousWeekFetchedAt = existing.fetchedAt;
|
||||
console.log(`\nRotated ${(ageMs/day).toFixed(1)}d-old data → previousWeek`);
|
||||
} else if (existing.previousWeek) {
|
||||
const prevAge = Date.now() - new Date(existing.previousWeekFetchedAt).getTime();
|
||||
if (prevAge < 11*day) { previousWeek = existing.previousWeek; previousWeekFetchedAt = existing.previousWeekFetchedAt; }
|
||||
}
|
||||
} catch {}
|
||||
|
||||
mkdirSync("data", { recursive: true });
|
||||
writeFileSync(
|
||||
"data/rate-probabilities.json",
|
||||
JSON.stringify({
|
||||
data: results,
|
||||
fetchedAt: new Date().toISOString(),
|
||||
...(previousWeek ? { previousWeek, previousWeekFetchedAt } : {}),
|
||||
}, null, 2)
|
||||
);
|
||||
writeFileSync("data/rate-probabilities.json", JSON.stringify({
|
||||
data: results,
|
||||
fetchedAt: new Date().toISOString(),
|
||||
...(previousWeek ? { previousWeek, previousWeekFetchedAt } : {}),
|
||||
}, null, 2));
|
||||
|
||||
console.log(`\nSaved ${Object.keys(results).length} CBs: ${Object.keys(results).join(", ")}`);
|
||||
if (previousWeek) console.log(`previousWeek preserved (${Object.keys(previousWeek).join(", ")})`);
|
||||
const saved = CCYS.filter(c => results[c]);
|
||||
const failed = CCYS.filter(c => !results[c]);
|
||||
console.log(`\n✓ Saved : ${saved.join(", ")}`);
|
||||
if (failed.length) console.log(`✗ Failed : ${failed.join(", ")}`);
|
||||
|
||||
+28
-112
@@ -1,7 +1,7 @@
|
||||
// lib/rateprobability.ts
|
||||
// Données de probabilités de taux depuis rateprobability.com (API publique OIS/futures)
|
||||
// Endpoint pattern: https://rateprobability.com/api/{cb}/latest
|
||||
// Fallback: data/rate-probabilities.json mis à jour par GitHub Actions toutes les heures
|
||||
// Données de probabilités de taux — sources : CME FedWatch + Investing.com
|
||||
// Collectées par GitHub Actions (toutes les heures) → data/rate-probabilities.json
|
||||
// InvestingLive (Giuseppe Dellamotta) en enrichissement CHF + deltas hebdo
|
||||
|
||||
import { readFileSync } from "fs";
|
||||
import { join } from "path";
|
||||
@@ -50,17 +50,9 @@ export interface CBRatePath {
|
||||
|
||||
export type RateProbData = Partial<Record<Currency, CBRatePath>>;
|
||||
|
||||
// ── Mapping CB → endpoint ──────────────────────────────────────────────────────
|
||||
// ── Currencies suivies ─────────────────────────────────────────────────────────
|
||||
|
||||
const CB_KEYS: [Currency, string][] = [
|
||||
["USD", "fed"],
|
||||
["EUR", "ecb"],
|
||||
["GBP", "boe"],
|
||||
["JPY", "boj"],
|
||||
["CAD", "boc"],
|
||||
["AUD", "rba"],
|
||||
["NZD", "rbnz"],
|
||||
];
|
||||
const CB_KEYS: Currency[] = ["USD","EUR","GBP","JPY","CAD","AUD","NZD"];
|
||||
|
||||
// Heures UTC approximatives des annonces
|
||||
const ANNOUNCE_UTC: Partial<Record<Currency, number>> = {
|
||||
@@ -99,70 +91,6 @@ function getAsOf(today: Record<string, unknown>): string {
|
||||
return raw.slice(0, 10);
|
||||
}
|
||||
|
||||
// ── Fetch une CB ───────────────────────────────────────────────────────────────
|
||||
|
||||
async function fetchCBPath(ccy: Currency, slug: string): Promise<CBRatePath | null> {
|
||||
try {
|
||||
const res = await fetch(`https://rateprobability.com/api/${slug}/latest`, {
|
||||
headers: {
|
||||
"User-Agent": "Mozilla/5.0 (Macintosh; Intel Mac OS X 10_15_7) AppleWebKit/537.36 (KHTML, like Gecko) Chrome/125.0.0.0 Safari/537.36",
|
||||
"Referer": `https://rateprobability.com/${slug}`,
|
||||
"Origin": "https://rateprobability.com",
|
||||
"Accept": "application/json, text/plain, */*",
|
||||
"Accept-Language": "en-US,en;q=0.9",
|
||||
"Accept-Encoding": "gzip, deflate, br",
|
||||
"sec-ch-ua": '"Chromium";v="125", "Not.A/Brand";v="24"',
|
||||
"sec-ch-ua-mobile":"?0",
|
||||
"sec-fetch-dest": "empty",
|
||||
"sec-fetch-mode": "cors",
|
||||
"sec-fetch-site": "same-origin",
|
||||
},
|
||||
cache: "no-store",
|
||||
});
|
||||
if (!res.ok) {
|
||||
console.error(`[rate-prob] ${slug} HTTP ${res.status} ${res.statusText}`);
|
||||
return null;
|
||||
}
|
||||
const body = await res.json() as Record<string, unknown>;
|
||||
const today = body["today"] as Record<string, unknown> | undefined;
|
||||
if (!today) return null;
|
||||
|
||||
const currentRate = getCurrentRate(ccy, today);
|
||||
const asOf = getAsOf(today);
|
||||
const nowIso = new Date().toISOString().slice(0, 10);
|
||||
const maxIso = new Date(Date.now() + 380 * 86400000).toISOString().slice(0, 10);
|
||||
|
||||
const rawRows = (today["rows"] as Array<Record<string, unknown>> | undefined) ?? [];
|
||||
const meetings: RateProbMeeting[] = rawRows
|
||||
.filter(r =>
|
||||
typeof r["meeting_iso"] === "string" &&
|
||||
(r["meeting_iso"] as string) >= nowIso &&
|
||||
(r["meeting_iso"] as string) <= maxIso
|
||||
)
|
||||
.map(r => ({
|
||||
label: (r["meeting"] as string).slice(0, 6),
|
||||
dateIso: r["meeting_iso"] as string,
|
||||
impliedRate: parseFloat(String(r["implied_rate_post_meeting"] ?? currentRate)),
|
||||
probMovePct: parseFloat(String(r["prob_move_pct"] ?? 0)),
|
||||
probIsCut: Boolean(r["prob_is_cut"]),
|
||||
changeBps: parseFloat(String(r["change_bps"] ?? 0)),
|
||||
}));
|
||||
|
||||
const peakMeeting = meetings.length > 0
|
||||
? meetings.reduce((best, m) => m.probMovePct > best.probMovePct ? m : best, meetings[0])
|
||||
: null;
|
||||
|
||||
// yearEndImplied = taux implicite à la dernière réunion de l'année en cours (pas mid-2027)
|
||||
const currentYear = new Date().getFullYear();
|
||||
const yearEndIso = `${currentYear}-12-31`;
|
||||
const meetsThisYear = meetings.filter(m => m.dateIso <= yearEndIso);
|
||||
const yearEndImplied = meetsThisYear.length > 0
|
||||
? meetsThisYear[meetsThisYear.length - 1].impliedRate
|
||||
: meetings.length > 0 ? meetings[0].impliedRate : null;
|
||||
|
||||
return { currency: ccy, asOf, currentRate, meetings, peakMeeting, yearEndImplied };
|
||||
} catch { return null; }
|
||||
}
|
||||
|
||||
// ── SNB meeting dates (published par la SNB, trimestrielles) ─────────────────
|
||||
// Mise à jour annuelle : mars, juin, septembre, décembre
|
||||
@@ -229,7 +157,7 @@ function buildSNBPath(il: ILExpectationsMap, currentRate: number): CBRatePath |
|
||||
|
||||
// ── Fallback : data JSON committé par GitHub Actions ─────────────────────────
|
||||
|
||||
function loadCachedRPBody(ccy: string, slug: string): Record<string, unknown> | null {
|
||||
function loadCachedRPBody(ccy: string, _slug: string): Record<string, unknown> | null {
|
||||
try {
|
||||
const filePath = join(process.cwd(), "data", "rate-probabilities.json");
|
||||
const raw = readFileSync(filePath, "utf8");
|
||||
@@ -288,57 +216,47 @@ function parseCBBody(ccy: Currency, body: Record<string, unknown>): CBRatePath |
|
||||
return { currency: ccy, asOf, currentRate, meetings, peakMeeting, yearEndImplied };
|
||||
}
|
||||
|
||||
// ── Fetch toutes les CB en parallèle ──────────────────────────────────────────
|
||||
// ── Fetch toutes les CB — depuis le cache GitHub Actions + enrichissement IL ───
|
||||
|
||||
export async function fetchAllCBPaths(): Promise<RateProbData> {
|
||||
// rateprobability.com (7 CBs) + InvestingLive (article courant + précédent) en parallèle
|
||||
const [rpResults, ilHistory] = await Promise.all([
|
||||
Promise.allSettled(CB_KEYS.map(([ccy, slug]) => fetchCBPath(ccy, slug))),
|
||||
fetchILExpectationsWithHistory(),
|
||||
]);
|
||||
const ilData = ilHistory.current;
|
||||
const ilPrev = ilHistory.prev;
|
||||
const prevDate = ilHistory.prevDate;
|
||||
// GitHub Actions met à jour data/rate-probabilities.json toutes les heures
|
||||
// (CME FedWatch pour USD, Investing.com pour les autres, InvestingLive en fallback)
|
||||
const [ilHistory] = await Promise.all([fetchILExpectationsWithHistory()]);
|
||||
const ilData = ilHistory.current;
|
||||
const ilPrev = ilHistory.prev;
|
||||
const prevDate = ilHistory.prevDate;
|
||||
|
||||
const data: RateProbData = {};
|
||||
|
||||
// Intègre les données rateprobability.com + fallback cache GitHub Actions
|
||||
for (let i = 0; i < CB_KEYS.length; i++) {
|
||||
const [ccy, slug] = CB_KEYS[i];
|
||||
const r = rpResults[i];
|
||||
if (r.status === "fulfilled" && r.value) {
|
||||
data[ccy] = r.value;
|
||||
} else {
|
||||
// Live fetch failed → try the GitHub Actions hourly cache
|
||||
const cachedBody = loadCachedRPBody(ccy, slug);
|
||||
if (cachedBody) {
|
||||
const parsed = parseCBBody(ccy as Currency, cachedBody);
|
||||
if (parsed) data[ccy] = parsed;
|
||||
}
|
||||
// Charge depuis le cache JSON (GitHub Actions)
|
||||
for (const ccy of CB_KEYS) {
|
||||
const cachedBody = loadCachedRPBody(ccy, ccy.toLowerCase());
|
||||
if (cachedBody) {
|
||||
const parsed = parseCBBody(ccy, cachedBody);
|
||||
if (parsed) data[ccy] = parsed;
|
||||
}
|
||||
}
|
||||
|
||||
// Enrichissement prevMeetings depuis snapshot semaine précédente (GitHub Actions)
|
||||
for (const [ccy] of CB_KEYS) {
|
||||
const path = data[ccy as Currency];
|
||||
// Enrichissement prevMeetings depuis snapshot semaine précédente
|
||||
for (const ccy of CB_KEYS) {
|
||||
const path = data[ccy];
|
||||
if (!path) continue;
|
||||
const prev = loadPrevWeekCachedBody(ccy);
|
||||
if (!prev) continue;
|
||||
const prevPath = parseCBBody(ccy as Currency, prev.body);
|
||||
const prevPath = parseCBBody(ccy, prev.body);
|
||||
if (prevPath?.meetings.length) {
|
||||
data[ccy as Currency] = { ...path, prevMeetings: prevPath.meetings, prevWeekDate: prev.date };
|
||||
data[ccy] = { ...path, prevMeetings: prevPath.meetings, prevWeekDate: prev.date };
|
||||
}
|
||||
}
|
||||
|
||||
// CHF/SNB : rateprobability ne couvre pas la SNB → InvestingLive est la seule source
|
||||
// CHF/SNB : Investing.com rate monitor couvre SNB → déjà dans le JSON si dispo.
|
||||
// InvestingLive reste en backup si le JSON n'a pas CHF.
|
||||
if (!data["CHF"] && ilData["CHF"]) {
|
||||
const snbPath = buildSNBPath(ilData, 0.00); // taux actuel SNB = 0%
|
||||
const snbPath = buildSNBPath(ilData, 0.00);
|
||||
if (snbPath) data["CHF"] = snbPath;
|
||||
}
|
||||
|
||||
// IL enrichment : yearEndImplied uniquement pour CHF (RP ne couvre pas la SNB).
|
||||
// Pour les 7 autres devises, on garde yearEndImplied de rateprobability.com (données OIS live).
|
||||
// ilDelta (flèches hebdo) reste calculé pour toutes les devises via l'article IL.
|
||||
// Enrichissement IL : deltas hebdo pour toutes les devises
|
||||
for (const [ccyStr, ilEntry] of Object.entries(ilData)) {
|
||||
const ccy = ccyStr as keyof RateProbData;
|
||||
const path = data[ccy];
|
||||
@@ -346,12 +264,10 @@ export async function fetchAllCBPaths(): Promise<RateProbData> {
|
||||
if (typeof ilEntry.bpsYearEnd !== "number") continue;
|
||||
if (ilEntry.nextMeetingIsNoChange && Math.abs(ilEntry.bpsYearEnd) < 10) continue;
|
||||
|
||||
// CHF only : pas de données RP → IL est la seule source pour yearEndImplied
|
||||
const yearEndImplied = ccy === "CHF"
|
||||
? parseFloat((path.currentRate + ilEntry.bpsYearEnd / 100).toFixed(4))
|
||||
: path.yearEndImplied;
|
||||
|
||||
// Delta semaine/semaine depuis l'article précédent de Giuseppe
|
||||
let ilDelta: ILWeeklyDelta | undefined;
|
||||
const prevEntry = ilPrev[ccy];
|
||||
if (prevEntry && prevDate) {
|
||||
|
||||
Reference in New Issue
Block a user