372 lines
14 KiB
JavaScript
372 lines
14 KiB
JavaScript
// 美股 11 大板塊（SPDR 行業 ETF）— 熱力圖、輪動、資金流向、ETF 規模（機構被動配置 proxy）
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import { getHistory } from './marketdata.js';
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import { yahooQuoteSummary, resetYahooAuth, sleep as yahooSleep } from './yahoo-session.js';
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const UA = 'Mozilla/5.0 (Macintosh; Intel Mac OS X 10_15_7) AppleWebKit/537.36 (KHTML, like Gecko) Chrome/124 Safari/537.36';
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export const SECTOR_ETFS = [
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{ etf: 'XLK', nameZh: '科技', nameEn: 'Technology', group: 'growth' },
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{ etf: 'XLC', nameZh: '通訊服務', nameEn: 'Communication', group: 'growth' },
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{ etf: 'XLY', nameZh: '非必需消費', nameEn: 'Cons. Discretionary', group: 'cyclical' },
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{ etf: 'XLP', nameZh: '必需消費', nameEn: 'Cons. Staples', group: 'defensive' },
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{ etf: 'XLE', nameZh: '能源', nameEn: 'Energy', group: 'cyclical' },
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{ etf: 'XLF', nameZh: '金融', nameEn: 'Financials', group: 'cyclical' },
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{ etf: 'XLV', nameZh: '醫療保健', nameEn: 'Health Care', group: 'defensive' },
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{ etf: 'XLI', nameZh: '工業', nameEn: 'Industrials', group: 'cyclical' },
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{ etf: 'XLB', nameZh: '原物料', nameEn: 'Materials', group: 'cyclical' },
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{ etf: 'XLRE', nameZh: '房地產', nameEn: 'Real Estate', group: 'rate_sensitive' },
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{ etf: 'XLU', nameZh: '公用事業', nameEn: 'Utilities', group: 'defensive' },
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];
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const BENCHMARK = 'SPY';
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/** Yahoo 限流時的示意持股（僅 SPY；板塊 ETF 仍嘗試即時抓取） */
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const TOP_HOLDINGS_FALLBACK = {
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SPY: [
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{ symbol: 'NVDA', name: 'NVIDIA Corp', pct: 7.85, pctFmt: '7.85%' },
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{ symbol: 'AAPL', name: 'Apple Inc', pct: 6.45, pctFmt: '6.45%' },
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{ symbol: 'MSFT', name: 'Microsoft Corp', pct: 4.9, pctFmt: '4.90%' },
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{ symbol: 'AMZN', name: 'Amazon.com Inc', pct: 3.8, pctFmt: '3.80%' },
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{ symbol: 'META', name: 'Meta Platforms Inc', pct: 3.2, pctFmt: '3.20%' },
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{ symbol: 'GOOGL', name: 'Alphabet Inc Class A', pct: 2.9, pctFmt: '2.90%' },
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{ symbol: 'GOOG', name: 'Alphabet Inc Class C', pct: 2.5, pctFmt: '2.50%' },
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{ symbol: 'BRK-B', name: 'Berkshire Hathaway Inc Class B', pct: 2.4, pctFmt: '2.40%' },
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{ symbol: 'AVGO', name: 'Broadcom Inc', pct: 2.3, pctFmt: '2.30%' },
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{ symbol: 'TSLA', name: 'Tesla Inc', pct: 2.1, pctFmt: '2.10%' },
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],
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};
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function closeAt(points, idx) {
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if (!points?.length) return null;
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const i = idx < 0 ? points.length + idx : idx;
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const p = points[i];
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if (!p) return null;
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return p.adjclose ?? p.close;
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}
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function returnOver(points, days) {
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if (!points?.length || points.length <= days) return null;
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const last = closeAt(points, -1);
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const prev = closeAt(points, -1 - days);
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if (last == null || prev == null || !prev) return null;
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return ((last / prev) - 1) * 100;
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}
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function avgVolume(points, days) {
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const slice = points.slice(-days).map(p => p.volume).filter(v => v != null && v > 0);
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if (!slice.length) return null;
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return slice.reduce((a, b) => a + b, 0) / slice.length;
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}
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async function fetchEtfTopHoldings(symbols, limit = 10) {
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const out = {};
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for (const sym of symbols) {
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try {
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const r = await yahooQuoteSummary(sym, 'topHoldings');
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const list = r?.topHoldings?.holdings || [];
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out[sym] = list.slice(0, limit).map(h => ({
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symbol: (h.symbol || '').toUpperCase(),
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name: h.holdingName || h.symbol,
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pct: h.holdingPercent?.raw != null ? h.holdingPercent.raw * 100 : null,
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pctFmt: h.holdingPercent?.fmt || null,
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})).filter(h => h.symbol);
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} catch { /* skip */ }
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await new Promise(r => setTimeout(r, 120));
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}
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return out;
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}
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function mergeHoldingsWithFallback(fetched, symbols) {
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const out = { ...fetched };
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let usedFallback = false;
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for (const sym of symbols) {
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if (out[sym]?.length) continue;
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if (TOP_HOLDINGS_FALLBACK[sym]) {
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out[sym] = TOP_HOLDINGS_FALLBACK[sym];
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usedFallback = true;
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}
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}
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return { out, usedFallback };
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}
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async function fetchEtfAum(symbols) {
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const out = {};
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for (const sym of symbols) {
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try {
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const r = await yahooQuoteSummary(sym, 'defaultKeyStatistics');
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const raw = r?.defaultKeyStatistics?.totalAssets?.raw;
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if (raw != null) out[sym] = raw;
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} catch { /* skip symbol */ }
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await new Promise(r => setTimeout(r, 100));
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}
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return out;
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}
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function rotationQuadrant(rs20, momentum) {
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// 類 RRG：X=相對大盤強度，Y=短期動能（5日減20日）
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if (rs20 >= 0 && momentum >= 0) return { key: 'leading', labelZh: '領漲', tone: 'good' };
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if (rs20 >= 0 && momentum < 0) return { key: 'weakening', labelZh: '轉弱', tone: 'warn' };
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if (rs20 < 0 && momentum >= 0) return { key: 'improving', labelZh: '改善', tone: 'good' };
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return { key: 'lagging', labelZh: '落後', tone: 'bad' };
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}
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function buildSectorRow(meta, points, spyPoints, aum) {
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const ret1d = returnOver(points, 1);
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const ret5d = returnOver(points, 5);
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const ret20d = returnOver(points, 20);
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const ret60d = returnOver(points, 60);
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const spy20 = returnOver(spyPoints, 20);
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const spy5 = returnOver(spyPoints, 5);
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const rs20 = ret20d != null && spy20 != null ? ret20d - spy20 : null;
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const rs5 = ret5d != null && spy5 != null ? ret5d - spy5 : null;
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const momentum = rs5 != null && rs20 != null ? rs5 - rs20 : null;
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const volToday = points.at(-1)?.volume;
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const avgVol = avgVolume(points, 20);
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const volRatio = volToday && avgVol ? volToday / avgVol : null;
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const flowScore = volRatio != null && ret5d != null
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? volRatio * (ret5d >= 0 ? 1 : -1) * Math.min(Math.abs(ret5d), 8)
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: null;
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const quad = rs20 != null && momentum != null ? rotationQuadrant(rs20, momentum) : null;
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const price = closeAt(points, -1);
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return {
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...meta,
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price,
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ret1d, ret5d, ret20d, ret60d,
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rs20, rs5, momentum,
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volRatio,
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flowScore,
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aum,
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aumB: aum != null ? aum / 1e9 : null,
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quadrant: quad,
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};
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}
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function summarizeRotation(rows) {
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const ranked = [...rows].filter(r => r.rs20 != null).sort((a, b) => b.rs20 - a.rs20);
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const leader = ranked[0];
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const laggard = ranked[ranked.length - 1];
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const byQuad = { leading: [], weakening: [], improving: [], lagging: [] };
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for (const r of rows) {
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if (r.quadrant?.key) byQuad[r.quadrant.key].push(r.etf);
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}
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const cyclicalAvg = avgOf(rows.filter(r => r.group === 'cyclical' || r.group === 'growth'), 'rs20');
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const defensiveAvg = avgOf(rows.filter(r => r.group === 'defensive' || r.group === 'rate_sensitive'), 'rs20');
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let regime = '均衡輪動';
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let regimeNote = '景氣敏感與防禦板塊表現接近，資金未明顯單邊押注。';
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if (cyclicalAvg != null && defensiveAvg != null) {
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const spread = cyclicalAvg - defensiveAvg;
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if (spread > 1.5) {
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regime = '偏景氣／成長';
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regimeNote = `循環型板塊 20 日相對強度平均較防禦型高 ${spread.toFixed(1)} 個百分點，資金偏向風險與景氣復甦敘事。`;
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} else if (spread < -1.5) {
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regime = '偏防禦';
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regimeNote = `防禦型板塊相對較強（差距約 ${Math.abs(spread).toFixed(1)} pct），市場偏避險或降風險偏好。`;
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}
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}
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return {
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leader: leader ? { etf: leader.etf, nameZh: leader.nameZh, rs20: leader.rs20 } : null,
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laggard: laggard ? { etf: laggard.etf, nameZh: laggard.nameZh, rs20: laggard.rs20 } : null,
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ranked: ranked.map(r => ({ etf: r.etf, nameZh: r.nameZh, rs20: r.rs20, quadrant: r.quadrant?.labelZh })),
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byQuadrant: byQuad,
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regime,
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regimeNote,
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cyclicalAvg,
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defensiveAvg,
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};
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}
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function avgOf(rows, field) {
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const vals = rows.map(r => r[field]).filter(v => v != null);
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if (!vals.length) return null;
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return vals.reduce((a, b) => a + b, 0) / vals.length;
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}
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function institutionalView(rows) {
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let withAum = rows.filter(r => r.aumB != null).sort((a, b) => b.aumB - a.aumB);
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let aumProxy = false;
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if (!withAum.length) {
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aumProxy = true;
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withAum = [...rows]
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.filter(r => r.price != null)
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.sort((a, b) => (b.flowScore || 0) - (a.flowScore || 0))
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.map((r, i, arr) => {
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const w = Math.max(1, Math.abs(r.flowScore || 0) + Math.abs(r.rs20 || 0) + 1);
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return { etf: r.etf, nameZh: r.nameZh, aumB: w, sharePct: null, _rank: i };
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});
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const sum = withAum.reduce((s, r) => s + r.aumB, 0);
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withAum = withAum.map(r => ({ ...r, sharePct: sum ? (r.aumB / sum) * 100 : null }));
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}
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const totalAum = withAum.reduce((s, r) => s + (r.aumB || 0), 0);
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const byFlow = [...rows].filter(r => r.flowScore != null).sort((a, b) => b.flowScore - a.flowScore);
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return {
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totalAumB: totalAum || null,
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aumProxy,
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byAum: withAum.map(r => ({
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etf: r.etf,
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nameZh: r.nameZh,
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aumB: r.aumB,
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sharePct: r.sharePct ?? (totalAum ? (r.aumB / totalAum) * 100 : null),
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})),
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flowLeaders: byFlow.slice(0, 5).map(r => ({
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etf: r.etf,
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nameZh: r.nameZh,
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flowScore: r.flowScore,
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ret5d: r.ret5d,
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volRatio: r.volRatio,
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note: flowNote(r),
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})),
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flowLaggards: byFlow.slice(-3).reverse().map(r => ({
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etf: r.etf,
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nameZh: r.nameZh,
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flowScore: r.flowScore,
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ret5d: r.ret5d,
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volRatio: r.volRatio,
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note: flowNote(r),
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})),
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disclaimer: aumProxy
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? 'ETF 總資產暫時無法連線取得，下表改以「流向動能分數」相對占比示意機構資金關注度（非實際 AUM）。流向分數＝量能異常×5日報酬方向。'
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: 'ETF 總資產為被動／機構配置規模 proxy（Yahoo totalAssets）；流向分數結合近 5 日報酬與成交量異常，非官方申報流向。',
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};
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}
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function flowNote(r) {
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const parts = [];
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if (r.ret5d != null) parts.push(`5日 ${r.ret5d >= 0 ? '+' : ''}${r.ret5d.toFixed(1)}%`);
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if (r.volRatio != null) parts.push(`量能 ${r.volRatio.toFixed(2)}× 均量`);
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return parts.join(' · ');
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}
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function buildStockExposure(holdingsByEtf, rotation, rows) {
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const packs = [];
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const spy = holdingsByEtf[BENCHMARK];
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if (spy?.length) {
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packs.push({
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etf: BENCHMARK,
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nameZh: 'S&P 500 大盤',
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reason: '指數與被動基金的核心配置，代表整體機構底倉。',
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holdings: spy,
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});
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}
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const ranked = (rotation?.ranked || []).slice(0, 3);
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for (const r of ranked) {
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const list = holdingsByEtf[r.etf];
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if (!list?.length) continue;
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const meta = rows.find(x => x.etf === r.etf);
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packs.push({
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etf: r.etf,
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nameZh: meta?.nameZh || r.nameZh,
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reason: `20 日相對大盤 RS ${r.rs20 != null ? (r.rs20 >= 0 ? '+' : '') + r.rs20.toFixed(1) + '%' : '—'}，資金輪動偏強的板塊。`,
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holdings: list,
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});
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}
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const composite = {};
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for (const p of packs) {
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const w = p.etf === BENCHMARK ? 1 : 0.65;
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for (const h of p.holdings) {
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if (!composite[h.symbol]) composite[h.symbol] = { symbol: h.symbol, name: h.name, score: 0, refs: [] };
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composite[h.symbol].score += (h.pct || 0) * w;
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composite[h.symbol].refs.push(p.etf);
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}
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}
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const topStocks = Object.values(composite)
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.sort((a, b) => b.score - a.score)
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.slice(0, 12)
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.map(s => ({ ...s, refs: [...new Set(s.refs)] }));
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return {
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packs,
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topStocks,
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howToRead: '下方為各 ETF 最新公布的前十大持股（非即時買賣紀錄）。機構「買什麼」在實務上常透過 ETF 與指數基金間接持有；要看單一對沖基金最新建倉，需查 13F（季報、約延遲 45 天）。',
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disclaimer: '持股來自 Yahoo ETF topHoldings，更新頻率通常為每月；與 13F、Dark pool 即時流向不同。',
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usedFallback: false,
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};
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}
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export async function buildSectorFlowPayload() {
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const symbols = [...SECTOR_ETFS.map(s => s.etf), BENCHMARK];
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// 最先抓大盤持股（避免後續 Yahoo 請求過多被限流）
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let earlyHoldings = {};
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try {
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resetYahooAuth();
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earlyHoldings = await fetchEtfTopHoldings([BENCHMARK], 10);
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} catch { /* optional */ }
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const histories = await Promise.all(symbols.map(async sym => {
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try {
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const h = await getHistory(sym, '6mo', '1d');
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return [sym, h.points];
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} catch {
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return [sym, null];
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}
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}));
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const pts = Object.fromEntries(histories);
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const spyPoints = pts[BENCHMARK];
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if (!spyPoints?.length) throw new Error('無法取得 SPY 基準');
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// 先算輪動，優先抓 ETF 持股（僅 4 檔、避免在 11 次 AUM 之後被 Yahoo 限流）
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const prelimRows = SECTOR_ETFS.map(meta => {
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const points = pts[meta.etf];
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if (!points?.length) return { ...meta, error: 'no_data' };
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return buildSectorRow(meta, points, spyPoints, null);
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}).filter(Boolean);
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const rotationPre = summarizeRotation(prelimRows.filter(s => !s.error));
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const holdingEtfs = [BENCHMARK, ...(rotationPre.ranked || []).slice(0, 3).map(r => r.etf)];
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const uniqueHoldEtfs = [...new Set(holdingEtfs)];
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let stockExposure = null;
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let holdingsUsedFallback = false;
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try {
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let holdingsByEtf = { ...earlyHoldings };
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const needFetch = uniqueHoldEtfs.filter(s => !holdingsByEtf[s]);
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if (needFetch.length) {
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await yahooSleep(300);
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const more = await fetchEtfTopHoldings(needFetch, 10);
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holdingsByEtf = { ...holdingsByEtf, ...more };
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}
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const merged = mergeHoldingsWithFallback(holdingsByEtf, uniqueHoldEtfs);
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holdingsByEtf = merged.out;
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holdingsUsedFallback = merged.usedFallback;
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if (Object.keys(holdingsByEtf).length) {
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stockExposure = buildStockExposure(holdingsByEtf, rotationPre, prelimRows.filter(s => !s.error));
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if (stockExposure && holdingsUsedFallback) {
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stockExposure.disclaimer += ' SPY 持股在資料源限流時暫用近期常見權重示意。';
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stockExposure.usedFallback = true;
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}
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}
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} catch (err) {
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console.warn('[sector-flow] topHoldings:', err?.message || err);
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}
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let aumMap = {};
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try {
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await yahooSleep(400);
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aumMap = await fetchEtfAum(SECTOR_ETFS.map(s => s.etf));
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} catch { /* AUM 可缺 */ }
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const sectors = SECTOR_ETFS.map(meta => {
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const points = pts[meta.etf];
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if (!points?.length) return { ...meta, error: 'no_data' };
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return buildSectorRow(meta, points, spyPoints, aumMap[meta.etf] ?? null);
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}).filter(Boolean);
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const rotation = summarizeRotation(sectors.filter(s => !s.error));
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const okRows = sectors.filter(s => !s.error);
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const institutional = institutionalView(okRows);
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if (stockExposure && rotation?.leader) {
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stockExposure = buildStockExposure(
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Object.fromEntries((stockExposure.packs || []).map(p => [p.etf, p.holdings])),
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rotation,
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okRows,
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);
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}
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return {
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updatedAt: new Date().toISOString(),
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benchmark: BENCHMARK,
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source: 'Yahoo Finance · SPDR 行業 ETF',
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sectors,
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rotation,
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institutional,
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stockExposure,
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heatmapWindow: { d1: '1日', d5: '5日', d20: '20日', d60: '約60日' },
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};
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} |