mirror of
https://github.com/caty21/forex-dashboard.git
synced 2026-08-12 20:18:05 +00:00
feat: OISEnhancedBlock — rate curve, implied pts, scénarios charts per CB
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
This commit is contained in:
caty21
co-authored by
Claude Sonnet 4.6
Claude Sonnet 4.6
parent
a3d847ce59
commit
9da463a424
+106
-56
@@ -1,44 +1,39 @@
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import { NextResponse } from "next/server";
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import { inflateRawSync } from "zlib";
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import { COT_CODES } from "@/lib/constants";
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import type { Currency, CotEntry } from "@/lib/types";
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// ── CFTC Traders in Financial Futures (TFF) — format legacy CSV sans header ──
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// URL : https://www.cftc.gov/dea/newcot/FinFutWk.txt (mis à jour chaque vendredi)
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// ── CFTC Traders in Financial Futures (TFF) — fichier annuel ZIP ──────────────
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// URL : https://www.cftc.gov/files/dea/history/fut_fin_txt_YYYY.zip
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// Contient toutes les semaines de l'année en ordre décroissant.
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// On extrait les 2 dernières semaines par devise pour calculer les deltas.
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//
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// Colonnes (0-based, séparées par virgule) :
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// 0 Market_and_Exchange_Names
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// 1 As_of_Date_In_Form_YYMMDD
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// 2 Report_Date_as_YYYY-MM-DD
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// 3 CFTC_Contract_Market_Code
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// 4 CFTC_Market_Code
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// 5 CFTC_Region_Code
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// 6 CFTC_Commodity_Code
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// 7 Open_Interest_All
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// 8 Dealer_Positions_Long_All
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// 9 Dealer_Positions_Short_All
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// 10 Dealer_Positions_Spreading_All
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// 11 Asset_Mgr_Positions_Long_All
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// 12 Asset_Mgr_Positions_Short_All
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// 13 Asset_Mgr_Positions_Spreading_All
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// 14 Lev_Money_Positions_Long_All ← hedge funds (positions spéculatives)
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// 14 Lev_Money_Positions_Long_All ← hedge funds
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// 15 Lev_Money_Positions_Short_All
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// 16 Lev_Money_Positions_Spreading_All
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// ...
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const CFTC_URL = "https://www.cftc.gov/dea/newcot/FinFutWk.txt";
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const IDX_CODE = 3;
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const IDX_CODE = 3;
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const IDX_DATE = 2;
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const IDX_AM_LONG = 11;
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const IDX_AM_SHORT = 12;
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const IDX_LEV_LONG = 14;
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const IDX_LEV_SHORT = 15;
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const IDX_DATE = 2;
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function cftcZipUrl(): string {
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return `https://www.cftc.gov/files/dea/history/fut_fin_txt_${new Date().getFullYear()}.zip`;
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}
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// In-memory cache — expire le vendredi suivant à 15h30 UTC (publication CFTC)
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// TTL max 4 jours pour garantir refresh chaque semaine
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let _cache: { data: Record<string, unknown>; ts: number; weekDate: string } | null = null;
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let _cache: { data: Record<string, unknown>; ts: number } | null = null;
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function nextCftcRelease(): number {
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const now = new Date();
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const d = new Date(now);
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// Prochain vendredi 15:30 UTC
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const d = new Date();
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const daysUntilFriday = (5 - d.getUTCDay() + 7) % 7 || 7;
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d.setUTCDate(d.getUTCDate() + daysUntilFriday);
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d.setUTCHours(15, 30, 0, 0);
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@@ -46,9 +41,7 @@ function nextCftcRelease(): number {
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}
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function cacheTtl(): number {
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const ttlToRelease = nextCftcRelease() - Date.now();
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// max 4 jours pour éviter de bloquer sur de vieilles données
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return Math.min(ttlToRelease, 4 * 24 * 3600_000);
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return Math.min(nextCftcRelease() - Date.now(), 4 * 24 * 3600_000);
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}
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export type { CotEntry } from "@/lib/types";
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@@ -59,81 +52,138 @@ export async function GET() {
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}
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try {
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const res = await fetch(CFTC_URL, {
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next: { revalidate: 86400 }, // revalidate quotidien — CFTC sort chaque vendredi
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const res = await fetch(cftcZipUrl(), {
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cache: "no-store",
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headers: { "User-Agent": "Mozilla/5.0 (compatible; ForexDashboard/1.0)" },
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cache: "no-store", // forcer fetch frais pour l'in-memory cache ci-dessus
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});
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if (!res.ok) {
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return NextResponse.json({ error: `CFTC fetch failed: ${res.status}` }, { status: 502 });
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}
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const text = await res.text();
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const result = parseCOT(text);
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const zipBuf = Buffer.from(await res.arrayBuffer());
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const text = extractFirstFileFromZip(zipBuf);
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if (!text) return NextResponse.json({ error: "ZIP parse failed" }, { status: 502 });
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const weekDate = Object.values(result as Record<string, CotEntry>)[0]?.weekDate ?? "";
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_cache = { data: result, ts: Date.now(), weekDate };
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const result = parseCOT(text);
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_cache = { data: result, ts: Date.now() };
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return NextResponse.json(result);
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} catch (err) {
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return NextResponse.json({ error: String(err) }, { status: 502 });
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}
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}
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// ── ZIP parser minimal (format PKZIP, méthode 8 = deflate) ───────────────────
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function extractFirstFileFromZip(buf: Buffer): string | null {
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try {
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// Find End-of-Central-Directory (PK\x05\x06)
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let eocd = -1;
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for (let i = buf.length - 22; i >= 0; i--) {
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if (buf[i] === 0x50 && buf[i + 1] === 0x4b && buf[i + 2] === 0x05 && buf[i + 3] === 0x06) {
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eocd = i; break;
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}
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}
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if (eocd < 0) return null;
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const localHdrOffset = buf.readUInt32LE(buf.readUInt32LE(eocd + 16) + 42);
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const lfnLen = buf.readUInt16LE(localHdrOffset + 26);
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const lexLen = buf.readUInt16LE(localHdrOffset + 28);
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const dataStart = localHdrOffset + 30 + lfnLen + lexLen;
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const compSize = buf.readUInt32LE(localHdrOffset + 18);
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const method = buf.readUInt16LE(localHdrOffset + 8);
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const compressed = buf.slice(dataStart, dataStart + compSize);
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const decompressed = method === 8
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? inflateRawSync(compressed)
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: compressed; // stored (method 0)
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return decompressed.toString("utf8");
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} catch {
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return null;
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}
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}
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// ── Parseur CSV TFF ──────────────────────────────────────────────────────────
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type RawWeek = {
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hfLongs: number; hfShorts: number;
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amLongs: number; amShorts: number;
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weekDate: string;
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};
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function parseCOT(csv: string): Record<string, CotEntry> {
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const lines = csv.split("\n");
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const lines = csv.split("\n");
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const targetCodes = new Set(Object.values(COT_CODES));
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const result: Record<string, CotEntry> = {};
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const raw: Record<string, RawWeek[]> = {};
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for (const line of lines) {
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if (!line.trim()) continue;
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// Split respectant les guillemets
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const cols = splitCsvLine(line);
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if (cols.length < 16) continue;
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const code = cols[IDX_CODE]?.trim();
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if (!code || !targetCodes.has(code)) continue;
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const longs = parseInt(cols[IDX_LEV_LONG]?.trim() ?? "0", 10);
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const shorts = parseInt(cols[IDX_LEV_SHORT]?.trim() ?? "0", 10);
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if (isNaN(longs) || isNaN(shorts)) continue;
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const hfLongs = parseInt(cols[IDX_LEV_LONG]?.trim() ?? "0", 10);
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const hfShorts = parseInt(cols[IDX_LEV_SHORT]?.trim() ?? "0", 10);
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const amLongs = parseInt(cols[IDX_AM_LONG]?.trim() ?? "0", 10);
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const amShorts = parseInt(cols[IDX_AM_SHORT]?.trim() ?? "0", 10);
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if (isNaN(hfLongs) || isNaN(hfShorts) || isNaN(amLongs) || isNaN(amShorts)) continue;
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const total = longs + shorts;
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const net = longs - shorts;
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const weekDate = cols[IDX_DATE]?.trim() ?? "";
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if (!raw[code]) raw[code] = [];
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// Keep only the 2 most-recent weeks (file is in descending date order)
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if (raw[code].length < 2) raw[code].push({ hfLongs, hfShorts, amLongs, amShorts, weekDate });
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}
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const result: Record<string, CotEntry> = {};
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for (const [code, weeks] of Object.entries(raw)) {
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const currency = (Object.entries(COT_CODES) as [Currency, string][])
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.find(([, c]) => c === code)?.[0];
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if (!currency) continue;
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if (!currency || weeks.length === 0) continue;
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const cur = weeks[0];
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const prev = weeks[1] ?? null;
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const hfTotal = cur.hfLongs + cur.hfShorts;
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const hfNet = cur.hfLongs - cur.hfShorts;
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const amTotal = cur.amLongs + cur.amShorts;
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const amNet = cur.amLongs - cur.amShorts;
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result[currency] = {
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net,
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longPct: total > 0 ? Math.round((longs / total) * 100) : 50,
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shortPct: total > 0 ? Math.round((shorts / total) * 100) : 50,
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totalLev: total,
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weekDate,
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net: hfNet,
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hfLongs: cur.hfLongs,
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hfShorts: cur.hfShorts,
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longPct: hfTotal > 0 ? Math.round((cur.hfLongs / hfTotal) * 100) : 50,
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shortPct: hfTotal > 0 ? Math.round((cur.hfShorts / hfTotal) * 100) : 50,
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totalLev: hfTotal,
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amNet,
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amLongs: cur.amLongs,
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amShorts: cur.amShorts,
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amLongPct: amTotal > 0 ? Math.round((cur.amLongs / amTotal) * 100) : 50,
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amTotal,
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netDelta: prev !== null ? hfNet - (prev.hfLongs - prev.hfShorts) : null,
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longsDelta: prev !== null ? cur.hfLongs - prev.hfLongs : null,
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shortsDelta: prev !== null ? cur.hfShorts - prev.hfShorts : null,
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amNetDelta: prev !== null ? amNet - (prev.amLongs - prev.amShorts) : null,
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weekDate: cur.weekDate,
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prevWeekDate: prev?.weekDate ?? null,
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};
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}
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return result;
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}
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/** Gère les champs entourés de guillemets doubles dans un CSV */
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function splitCsvLine(line: string): string[] {
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const result: string[] = [];
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let current = "";
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let inQuotes = false;
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for (let i = 0; i < line.length; i++) {
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const ch = line[i];
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if (ch === '"') {
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inQuotes = !inQuotes;
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} else if (ch === "," && !inQuotes) {
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result.push(current);
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current = "";
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} else {
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current += ch;
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}
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if (ch === '"') { inQuotes = !inQuotes; }
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else if (ch === "," && !inQuotes) { result.push(current); current = ""; }
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else { current += ch; }
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}
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result.push(current);
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return result;
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