@yuants/app-virtual-exchange 0.11.1 → 0.11.2
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- package/dist/position.js +7 -15
- package/dist/position.js.map +1 -1
- package/lib/position.d.ts.map +1 -1
- package/lib/position.js +7 -15
- package/lib/position.js.map +1 -1
- package/package.json +1 -1
- package/temp/package-deps.json +4 -4
package/dist/position.js
CHANGED
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@@ -1,22 +1,14 @@
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1
1
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import { createCache } from '@yuants/cache';
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2
2
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import { createClientProductCache } from '@yuants/data-product';
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3
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-
import { queryQuotes } from '@yuants/data-quote';
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4
3
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import { Terminal } from '@yuants/protocol';
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import { escapeSQL, requestSQL } from '@yuants/sql';
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5
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import { newError } from '@yuants/utils';
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7
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const terminal = Terminal.fromNodeEnv();
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const productCache = createClientProductCache(terminal);
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const quoteCache = createCache(async (product_id) => {
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10
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-
const
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11
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-
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-
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'last_price',
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14
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-
'interest_rate_long',
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15
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-
'interest_rate_short',
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16
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-
'interest_rate_prev_settled_at',
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17
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-
'interest_rate_next_settled_at',
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18
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-
], Date.now());
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-
return quoteRecord[product_id];
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9
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+
const sql = `select * from quote where product_id = ${escapeSQL(product_id)}`;
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10
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+
const [quote] = await requestSQL(terminal, sql);
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return quote;
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}, { expire: 30000 });
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const interestRateIntervalCache = createCache(async (product_id) => {
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const sql = `select created_at from interest_rate where series_id = ${escapeSQL(product_id)} order by created_at desc limit 2`;
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@@ -76,7 +68,7 @@ export const polyfillPosition = async (positions) => {
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}
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// 利率相关信息的追加
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if (quote) {
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79
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-
if (quote.interest_rate_next_settled_at
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if (quote.interest_rate_next_settled_at !== null) {
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const nextSettledAt = new Date(quote.interest_rate_next_settled_at).getTime();
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// 优先使用行情数据中的下一个结算时间
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pos.settlement_scheduled_at = nextSettledAt;
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@@ -86,7 +78,7 @@ export const polyfillPosition = async (positions) => {
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pos.settlement_interval = interval;
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}
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}
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-
else if (quote.interest_rate_next_settled_at
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else if (quote.interest_rate_next_settled_at === null && interestRateInterval !== undefined) {
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// 估算下一个结算时间
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// 找到 prev + k * interval > now 的最小 k，则下一个结算时间为 prev + k * interval
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const k = Math.ceil((Date.now() - interestRateInterval.prev) / interestRateInterval.interval);
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@@ -97,12 +89,12 @@ export const polyfillPosition = async (positions) => {
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pos.settlement_interval = interestRateInterval.interval;
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}
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if (pos.direction === 'LONG') {
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-
if (quote.interest_rate_long
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if (quote.interest_rate_long !== null) {
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pos.interest_to_settle = +quote.interest_rate_long * pos.valuation;
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}
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}
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if (pos.direction === 'SHORT') {
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105
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-
if (quote.interest_rate_short
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97
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+
if (quote.interest_rate_short !== null) {
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pos.interest_to_settle = +quote.interest_rate_short * pos.valuation;
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}
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}
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package/dist/position.js.map
CHANGED
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@@ -1 +1 @@
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1
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-
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{ createCache } from '@yuants/cache';\nimport { IPosition } from '@yuants/data-account';\nimport { IOrder } from '@yuants/data-order';\nimport { createClientProductCache } from '@yuants/data-product';\nimport { IQuote, queryQuotes } from '@yuants/data-quote';\nimport { Terminal } from '@yuants/protocol';\nimport { escapeSQL, requestSQL } from '@yuants/sql';\nimport { newError } from '@yuants/utils';\n\nconst terminal = Terminal.fromNodeEnv();\nconst productCache = createClientProductCache(terminal);\n\nconst quoteCache = createCache<Partial<IQuote> | undefined>(\n async (product_id) => {\n const quoteRecord = await queryQuotes(\n terminal,\n [product_id],\n [\n 'ask_price',\n 'bid_price',\n 'last_price',\n 'interest_rate_long',\n 'interest_rate_short',\n 'interest_rate_prev_settled_at',\n 'interest_rate_next_settled_at',\n ],\n Date.now(),\n );\n return quoteRecord[product_id];\n },\n { expire: 30_000 },\n);\n\nconst interestRateIntervalCache = createCache(\n async (product_id: string) => {\n const sql = `select created_at from interest_rate where series_id = ${escapeSQL(\n product_id,\n )} order by created_at desc limit 2`;\n const rates = await requestSQL<{ created_at: string }[]>(terminal, sql);\n if (rates.length < 2) return undefined;\n const prev = new Date(rates[0].created_at).getTime();\n const prevOfPrev = new Date(rates[1].created_at).getTime();\n const interval = prev - prevOfPrev;\n return {\n prev,\n prevOfPrev,\n interval,\n };\n },\n { swrAfter: 60_000, expire: 3600_000 },\n);\n\nexport const polyfillPosition = async (positions: IPosition[]): Promise<IPosition[]> => {\n // TODO: 使用 batch query SQL 优化 product / quote 查询性能\n for (const pos of positions) {\n const [theProduct, quote, interestRateInterval] = await Promise.all([\n productCache.query(pos.product_id),\n quoteCache.query(pos.product_id),\n interestRateIntervalCache.query(pos.product_id),\n ]);\n\n // 估值 = value_scale * volume * closable_price\n if (theProduct) {\n if (theProduct.base_currency) {\n pos.base_currency = theProduct.base_currency;\n }\n if (theProduct.quote_currency) {\n pos.quote_currency = theProduct.quote_currency;\n }\n if (pos.size === undefined && pos.volume !== undefined && pos.direction !== undefined) {\n pos.size = (pos.direction === 'LONG' ? 1 : -1) * pos.volume * (theProduct.value_scale || 1) + '';\n }\n if (pos.free_size === undefined && pos.free_volume !== undefined && pos.direction !== undefined) {\n pos.free_size =\n (pos.direction === 'LONG' ? 1 : -1) * pos.free_volume * (theProduct.value_scale || 1) + '';\n }\n pos.valuation = Math.abs((theProduct.value_scale || 1) * pos.volume * pos.closable_price);\n }\n\n if (quote && pos.size) {\n const sizeNum = +pos.size;\n if (pos.current_price === undefined) {\n if (sizeNum > 0) {\n // 多头头寸使用买一价作为可平仓价格，如果没有买一价则使用最新价\n pos.current_price = (quote.ask_price || quote.last_price) + '';\n } else {\n // 空头头寸使用卖一价作为可平仓价格，如果没有卖一价则使用最新价\n pos.current_price = (quote.bid_price || quote.last_price) + '';\n }\n }\n\n // 计算名义价值\n if (pos.notional === undefined) {\n pos.notional = sizeNum * (+pos.current_price || 0) + '';\n }\n }\n\n // 利率相关信息的追加\n if (quote) {\n if (quote.interest_rate_next_settled_at != null) {\n const nextSettledAt = new Date(quote.interest_rate_next_settled_at).getTime();\n // 优先使用行情数据中的下一个结算时间\n pos.settlement_scheduled_at = nextSettledAt;\n // 优先使用下一个结算时间推算结算间隔\n if (interestRateInterval !== undefined) {\n const interval = nextSettledAt - interestRateInterval.prev;\n pos.settlement_interval = interval;\n }\n } else if (quote.interest_rate_next_settled_at == null && interestRateInterval !== undefined) {\n // 估算下一个结算时间\n // 找到 prev + k * interval > now 的最小 k，则下一个结算时间为 prev + k * interval\n const k = Math.ceil((Date.now() - interestRateInterval.prev) / interestRateInterval.interval);\n pos.settlement_scheduled_at = interestRateInterval.prev + k * interestRateInterval.interval;\n }\n\n // 如果还没有结算间隔，则使用 interest rate 表的时间间隔作为结算间隔\n if (pos.settlement_interval === undefined && interestRateInterval) {\n pos.settlement_interval = interestRateInterval.interval;\n }\n\n if (pos.direction === 'LONG') {\n if (quote.interest_rate_long != null) {\n pos.interest_to_settle = +quote.interest_rate_long * pos.valuation;\n }\n }\n if (pos.direction === 'SHORT') {\n if (quote.interest_rate_short != null) {\n pos.interest_to_settle = +quote.interest_rate_short * pos.valuation;\n }\n }\n }\n }\n return positions;\n};\n\nexport const polyfillOrders = async (orders: IOrder[]): Promise<IOrder[]> => {\n for (const order of orders) {\n const theProduct = await productCache.query(order.product_id);\n if (theProduct) {\n if (order.size !== undefined) {\n const sizeNum = +order.size;\n const sizeStep = theProduct.volume_step * theProduct.value_scale;\n if (!(sizeStep > 0)) throw newError('INVALID_SIZE_STEP', { product: theProduct, sizeStep });\n // check size is multiple of sizeStep\n if (Math.abs(sizeNum - Math.round(sizeNum / sizeStep) * sizeStep) > 1e-16) {\n throw newError('INVALID_ORDER_SIZE_NOT_MULTIPLE_OF_SIZE_STEP', {\n order,\n sizeStep,\n sizeNum,\n product: theProduct,\n });\n }\n\n if (sizeNum >= 0) {\n order.order_direction = order.is_close ? 'CLOSE_SHORT' : 'OPEN_LONG';\n } else {\n order.order_direction = order.is_close ? 'CLOSE_LONG' : 'OPEN_SHORT';\n }\n order.volume = Math.abs(sizeNum) / theProduct.value_scale;\n }\n }\n }\n return orders;\n};\n"]}
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+
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{ createCache } from '@yuants/cache';\nimport { IPosition } from '@yuants/data-account';\nimport { IOrder } from '@yuants/data-order';\nimport { createClientProductCache } from '@yuants/data-product';\nimport { IQuote } from '@yuants/data-quote';\nimport { Terminal } from '@yuants/protocol';\nimport { escapeSQL, requestSQL } from '@yuants/sql';\nimport { newError } from '@yuants/utils';\n\nconst terminal = Terminal.fromNodeEnv();\nconst productCache = createClientProductCache(terminal);\nconst quoteCache = createCache<IQuote>(\n async (product_id) => {\n const sql = `select * from quote where product_id = ${escapeSQL(product_id)}`;\n const [quote] = await requestSQL<IQuote[]>(terminal, sql);\n return quote;\n },\n { expire: 30_000 },\n);\n\nconst interestRateIntervalCache = createCache(\n async (product_id: string) => {\n const sql = `select created_at from interest_rate where series_id = ${escapeSQL(\n product_id,\n )} order by created_at desc limit 2`;\n const rates = await requestSQL<{ created_at: string }[]>(terminal, sql);\n if (rates.length < 2) return undefined;\n const prev = new Date(rates[0].created_at).getTime();\n const prevOfPrev = new Date(rates[1].created_at).getTime();\n const interval = prev - prevOfPrev;\n return {\n prev,\n prevOfPrev,\n interval,\n };\n },\n { swrAfter: 60_000, expire: 3600_000 },\n);\n\nexport const polyfillPosition = async (positions: IPosition[]): Promise<IPosition[]> => {\n // TODO: 使用 batch query SQL 优化 product / quote 查询性能\n for (const pos of positions) {\n const [theProduct, quote, interestRateInterval] = await Promise.all([\n productCache.query(pos.product_id),\n quoteCache.query(pos.product_id),\n interestRateIntervalCache.query(pos.product_id),\n ]);\n\n // 估值 = value_scale * volume * closable_price\n if (theProduct) {\n if (theProduct.base_currency) {\n pos.base_currency = theProduct.base_currency;\n }\n if (theProduct.quote_currency) {\n pos.quote_currency = theProduct.quote_currency;\n }\n if (pos.size === undefined && pos.volume !== undefined && pos.direction !== undefined) {\n pos.size = (pos.direction === 'LONG' ? 1 : -1) * pos.volume * (theProduct.value_scale || 1) + '';\n }\n if (pos.free_size === undefined && pos.free_volume !== undefined && pos.direction !== undefined) {\n pos.free_size =\n (pos.direction === 'LONG' ? 1 : -1) * pos.free_volume * (theProduct.value_scale || 1) + '';\n }\n pos.valuation = Math.abs((theProduct.value_scale || 1) * pos.volume * pos.closable_price);\n }\n\n if (quote && pos.size) {\n const sizeNum = +pos.size;\n if (pos.current_price === undefined) {\n if (sizeNum > 0) {\n // 多头头寸使用买一价作为可平仓价格，如果没有买一价则使用最新价\n pos.current_price = (quote.ask_price || quote.last_price) + '';\n } else {\n // 空头头寸使用卖一价作为可平仓价格，如果没有卖一价则使用最新价\n pos.current_price = (quote.bid_price || quote.last_price) + '';\n }\n }\n\n // 计算名义价值\n if (pos.notional === undefined) {\n pos.notional = sizeNum * (+pos.current_price || 0) + '';\n }\n }\n\n // 利率相关信息的追加\n if (quote) {\n if (quote.interest_rate_next_settled_at !== null) {\n const nextSettledAt = new Date(quote.interest_rate_next_settled_at).getTime();\n // 优先使用行情数据中的下一个结算时间\n pos.settlement_scheduled_at = nextSettledAt;\n // 优先使用下一个结算时间推算结算间隔\n if (interestRateInterval !== undefined) {\n const interval = nextSettledAt - interestRateInterval.prev;\n pos.settlement_interval = interval;\n }\n } else if (quote.interest_rate_next_settled_at === null && interestRateInterval !== undefined) {\n // 估算下一个结算时间\n // 找到 prev + k * interval > now 的最小 k，则下一个结算时间为 prev + k * interval\n const k = Math.ceil((Date.now() - interestRateInterval.prev) / interestRateInterval.interval);\n pos.settlement_scheduled_at = interestRateInterval.prev + k * interestRateInterval.interval;\n }\n\n // 如果还没有结算间隔，则使用 interest rate 表的时间间隔作为结算间隔\n if (pos.settlement_interval === undefined && interestRateInterval) {\n pos.settlement_interval = interestRateInterval.interval;\n }\n\n if (pos.direction === 'LONG') {\n if (quote.interest_rate_long !== null) {\n pos.interest_to_settle = +quote.interest_rate_long * pos.valuation;\n }\n }\n if (pos.direction === 'SHORT') {\n if (quote.interest_rate_short !== null) {\n pos.interest_to_settle = +quote.interest_rate_short * pos.valuation;\n }\n }\n }\n }\n return positions;\n};\n\nexport const polyfillOrders = async (orders: IOrder[]): Promise<IOrder[]> => {\n for (const order of orders) {\n const theProduct = await productCache.query(order.product_id);\n if (theProduct) {\n if (order.size !== undefined) {\n const sizeNum = +order.size;\n const sizeStep = theProduct.volume_step * theProduct.value_scale;\n if (!(sizeStep > 0)) throw newError('INVALID_SIZE_STEP', { product: theProduct, sizeStep });\n // check size is multiple of sizeStep\n if (Math.abs(sizeNum - Math.round(sizeNum / sizeStep) * sizeStep) > 1e-16) {\n throw newError('INVALID_ORDER_SIZE_NOT_MULTIPLE_OF_SIZE_STEP', {\n order,\n sizeStep,\n sizeNum,\n product: theProduct,\n });\n }\n\n if (sizeNum >= 0) {\n order.order_direction = order.is_close ? 'CLOSE_SHORT' : 'OPEN_LONG';\n } else {\n order.order_direction = order.is_close ? 'CLOSE_LONG' : 'OPEN_SHORT';\n }\n order.volume = Math.abs(sizeNum) / theProduct.value_scale;\n }\n }\n }\n return orders;\n};\n"]}
|
package/lib/position.d.ts.map
CHANGED
|
@@ -1 +1 @@
|
|
|
1
|
-
{"version":3,"file":"position.d.ts","sourceRoot":"","sources":["../src/position.ts"],"names":[],"mappings":"AACA,OAAO,EAAE,SAAS,EAAE,MAAM,sBAAsB,CAAC;AACjD,OAAO,EAAE,MAAM,EAAE,MAAM,oBAAoB,CAAC;
|
|
1
|
+
{"version":3,"file":"position.d.ts","sourceRoot":"","sources":["../src/position.ts"],"names":[],"mappings":"AACA,OAAO,EAAE,SAAS,EAAE,MAAM,sBAAsB,CAAC;AACjD,OAAO,EAAE,MAAM,EAAE,MAAM,oBAAoB,CAAC;AAqC5C,eAAO,MAAM,gBAAgB,cAAqB,SAAS,EAAE,KAAG,QAAQ,SAAS,EAAE,CAiFlF,CAAC;AAEF,eAAO,MAAM,cAAc,WAAkB,MAAM,EAAE,KAAG,QAAQ,MAAM,EAAE,CA4BvE,CAAC"}
|
package/lib/position.js
CHANGED
|
@@ -3,23 +3,15 @@ Object.defineProperty(exports, "__esModule", { value: true });
|
|
|
3
3
|
exports.polyfillOrders = exports.polyfillPosition = void 0;
|
|
4
4
|
const cache_1 = require("@yuants/cache");
|
|
5
5
|
const data_product_1 = require("@yuants/data-product");
|
|
6
|
-
const data_quote_1 = require("@yuants/data-quote");
|
|
7
6
|
const protocol_1 = require("@yuants/protocol");
|
|
8
7
|
const sql_1 = require("@yuants/sql");
|
|
9
8
|
const utils_1 = require("@yuants/utils");
|
|
10
9
|
const terminal = protocol_1.Terminal.fromNodeEnv();
|
|
11
10
|
const productCache = (0, data_product_1.createClientProductCache)(terminal);
|
|
12
11
|
const quoteCache = (0, cache_1.createCache)(async (product_id) => {
|
|
13
|
-
const
|
|
14
|
-
|
|
15
|
-
|
|
16
|
-
'last_price',
|
|
17
|
-
'interest_rate_long',
|
|
18
|
-
'interest_rate_short',
|
|
19
|
-
'interest_rate_prev_settled_at',
|
|
20
|
-
'interest_rate_next_settled_at',
|
|
21
|
-
], Date.now());
|
|
22
|
-
return quoteRecord[product_id];
|
|
12
|
+
const sql = `select * from quote where product_id = ${(0, sql_1.escapeSQL)(product_id)}`;
|
|
13
|
+
const [quote] = await (0, sql_1.requestSQL)(terminal, sql);
|
|
14
|
+
return quote;
|
|
23
15
|
}, { expire: 30000 });
|
|
24
16
|
const interestRateIntervalCache = (0, cache_1.createCache)(async (product_id) => {
|
|
25
17
|
const sql = `select created_at from interest_rate where series_id = ${(0, sql_1.escapeSQL)(product_id)} order by created_at desc limit 2`;
|
|
@@ -79,7 +71,7 @@ const polyfillPosition = async (positions) => {
|
|
|
79
71
|
}
|
|
80
72
|
// 利率相关信息的追加
|
|
81
73
|
if (quote) {
|
|
82
|
-
if (quote.interest_rate_next_settled_at
|
|
74
|
+
if (quote.interest_rate_next_settled_at !== null) {
|
|
83
75
|
const nextSettledAt = new Date(quote.interest_rate_next_settled_at).getTime();
|
|
84
76
|
// 优先使用行情数据中的下一个结算时间
|
|
85
77
|
pos.settlement_scheduled_at = nextSettledAt;
|
|
@@ -89,7 +81,7 @@ const polyfillPosition = async (positions) => {
|
|
|
89
81
|
pos.settlement_interval = interval;
|
|
90
82
|
}
|
|
91
83
|
}
|
|
92
|
-
else if (quote.interest_rate_next_settled_at
|
|
84
|
+
else if (quote.interest_rate_next_settled_at === null && interestRateInterval !== undefined) {
|
|
93
85
|
// 估算下一个结算时间
|
|
94
86
|
// 找到 prev + k * interval > now 的最小 k，则下一个结算时间为 prev + k * interval
|
|
95
87
|
const k = Math.ceil((Date.now() - interestRateInterval.prev) / interestRateInterval.interval);
|
|
@@ -100,12 +92,12 @@ const polyfillPosition = async (positions) => {
|
|
|
100
92
|
pos.settlement_interval = interestRateInterval.interval;
|
|
101
93
|
}
|
|
102
94
|
if (pos.direction === 'LONG') {
|
|
103
|
-
if (quote.interest_rate_long
|
|
95
|
+
if (quote.interest_rate_long !== null) {
|
|
104
96
|
pos.interest_to_settle = +quote.interest_rate_long * pos.valuation;
|
|
105
97
|
}
|
|
106
98
|
}
|
|
107
99
|
if (pos.direction === 'SHORT') {
|
|
108
|
-
if (quote.interest_rate_short
|
|
100
|
+
if (quote.interest_rate_short !== null) {
|
|
109
101
|
pos.interest_to_settle = +quote.interest_rate_short * pos.valuation;
|
|
110
102
|
}
|
|
111
103
|
}
|
package/lib/position.js.map
CHANGED
|
@@ -1 +1 @@
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|
|
1
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-
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{ createCache } from '@yuants/cache';\nimport { IPosition } from '@yuants/data-account';\nimport { IOrder } from '@yuants/data-order';\nimport { createClientProductCache } from '@yuants/data-product';\nimport { IQuote, queryQuotes } from '@yuants/data-quote';\nimport { Terminal } from '@yuants/protocol';\nimport { escapeSQL, requestSQL } from '@yuants/sql';\nimport { newError } from '@yuants/utils';\n\nconst terminal = Terminal.fromNodeEnv();\nconst productCache = createClientProductCache(terminal);\n\nconst quoteCache = createCache<Partial<IQuote> | undefined>(\n async (product_id) => {\n const quoteRecord = await queryQuotes(\n terminal,\n [product_id],\n [\n 'ask_price',\n 'bid_price',\n 'last_price',\n 'interest_rate_long',\n 'interest_rate_short',\n 'interest_rate_prev_settled_at',\n 'interest_rate_next_settled_at',\n ],\n Date.now(),\n );\n return quoteRecord[product_id];\n },\n { expire: 30_000 },\n);\n\nconst interestRateIntervalCache = createCache(\n async (product_id: string) => {\n const sql = `select created_at from interest_rate where series_id = ${escapeSQL(\n product_id,\n )} order by created_at desc limit 2`;\n const rates = await requestSQL<{ created_at: string }[]>(terminal, sql);\n if (rates.length < 2) return undefined;\n const prev = new Date(rates[0].created_at).getTime();\n const prevOfPrev = new Date(rates[1].created_at).getTime();\n const interval = prev - prevOfPrev;\n return {\n prev,\n prevOfPrev,\n interval,\n };\n },\n { swrAfter: 60_000, expire: 3600_000 },\n);\n\nexport const polyfillPosition = async (positions: IPosition[]): Promise<IPosition[]> => {\n // TODO: 使用 batch query SQL 优化 product / quote 查询性能\n for (const pos of positions) {\n const [theProduct, quote, interestRateInterval] = await Promise.all([\n productCache.query(pos.product_id),\n quoteCache.query(pos.product_id),\n interestRateIntervalCache.query(pos.product_id),\n ]);\n\n // 估值 = value_scale * volume * closable_price\n if (theProduct) {\n if (theProduct.base_currency) {\n pos.base_currency = theProduct.base_currency;\n }\n if (theProduct.quote_currency) {\n pos.quote_currency = theProduct.quote_currency;\n }\n if (pos.size === undefined && pos.volume !== undefined && pos.direction !== undefined) {\n pos.size = (pos.direction === 'LONG' ? 1 : -1) * pos.volume * (theProduct.value_scale || 1) + '';\n }\n if (pos.free_size === undefined && pos.free_volume !== undefined && pos.direction !== undefined) {\n pos.free_size =\n (pos.direction === 'LONG' ? 1 : -1) * pos.free_volume * (theProduct.value_scale || 1) + '';\n }\n pos.valuation = Math.abs((theProduct.value_scale || 1) * pos.volume * pos.closable_price);\n }\n\n if (quote && pos.size) {\n const sizeNum = +pos.size;\n if (pos.current_price === undefined) {\n if (sizeNum > 0) {\n // 多头头寸使用买一价作为可平仓价格，如果没有买一价则使用最新价\n pos.current_price = (quote.ask_price || quote.last_price) + '';\n } else {\n // 空头头寸使用卖一价作为可平仓价格，如果没有卖一价则使用最新价\n pos.current_price = (quote.bid_price || quote.last_price) + '';\n }\n }\n\n // 计算名义价值\n if (pos.notional === undefined) {\n pos.notional = sizeNum * (+pos.current_price || 0) + '';\n }\n }\n\n // 利率相关信息的追加\n if (quote) {\n if (quote.interest_rate_next_settled_at != null) {\n const nextSettledAt = new Date(quote.interest_rate_next_settled_at).getTime();\n // 优先使用行情数据中的下一个结算时间\n pos.settlement_scheduled_at = nextSettledAt;\n // 优先使用下一个结算时间推算结算间隔\n if (interestRateInterval !== undefined) {\n const interval = nextSettledAt - interestRateInterval.prev;\n pos.settlement_interval = interval;\n }\n } else if (quote.interest_rate_next_settled_at == null && interestRateInterval !== undefined) {\n // 估算下一个结算时间\n // 找到 prev + k * interval > now 的最小 k，则下一个结算时间为 prev + k * interval\n const k = Math.ceil((Date.now() - interestRateInterval.prev) / interestRateInterval.interval);\n pos.settlement_scheduled_at = interestRateInterval.prev + k * interestRateInterval.interval;\n }\n\n // 如果还没有结算间隔，则使用 interest rate 表的时间间隔作为结算间隔\n if (pos.settlement_interval === undefined && interestRateInterval) {\n pos.settlement_interval = interestRateInterval.interval;\n }\n\n if (pos.direction === 'LONG') {\n if (quote.interest_rate_long != null) {\n pos.interest_to_settle = +quote.interest_rate_long * pos.valuation;\n }\n }\n if (pos.direction === 'SHORT') {\n if (quote.interest_rate_short != null) {\n pos.interest_to_settle = +quote.interest_rate_short * pos.valuation;\n }\n }\n }\n }\n return positions;\n};\n\nexport const polyfillOrders = async (orders: IOrder[]): Promise<IOrder[]> => {\n for (const order of orders) {\n const theProduct = await productCache.query(order.product_id);\n if (theProduct) {\n if (order.size !== undefined) {\n const sizeNum = +order.size;\n const sizeStep = theProduct.volume_step * theProduct.value_scale;\n if (!(sizeStep > 0)) throw newError('INVALID_SIZE_STEP', { product: theProduct, sizeStep });\n // check size is multiple of sizeStep\n if (Math.abs(sizeNum - Math.round(sizeNum / sizeStep) * sizeStep) > 1e-16) {\n throw newError('INVALID_ORDER_SIZE_NOT_MULTIPLE_OF_SIZE_STEP', {\n order,\n sizeStep,\n sizeNum,\n product: theProduct,\n });\n }\n\n if (sizeNum >= 0) {\n order.order_direction = order.is_close ? 'CLOSE_SHORT' : 'OPEN_LONG';\n } else {\n order.order_direction = order.is_close ? 'CLOSE_LONG' : 'OPEN_SHORT';\n }\n order.volume = Math.abs(sizeNum) / theProduct.value_scale;\n }\n }\n }\n return orders;\n};\n"]}
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{ createCache } from '@yuants/cache';\nimport { IPosition } from '@yuants/data-account';\nimport { IOrder } from '@yuants/data-order';\nimport { createClientProductCache } from '@yuants/data-product';\nimport { IQuote } from '@yuants/data-quote';\nimport { Terminal } from '@yuants/protocol';\nimport { escapeSQL, requestSQL } from '@yuants/sql';\nimport { newError } from '@yuants/utils';\n\nconst terminal = Terminal.fromNodeEnv();\nconst productCache = createClientProductCache(terminal);\nconst quoteCache = createCache<IQuote>(\n async (product_id) => {\n const sql = `select * from quote where product_id = ${escapeSQL(product_id)}`;\n const [quote] = await requestSQL<IQuote[]>(terminal, sql);\n return quote;\n },\n { expire: 30_000 },\n);\n\nconst interestRateIntervalCache = createCache(\n async (product_id: string) => {\n const sql = `select created_at from interest_rate where series_id = ${escapeSQL(\n product_id,\n )} order by created_at desc limit 2`;\n const rates = await requestSQL<{ created_at: string }[]>(terminal, sql);\n if (rates.length < 2) return undefined;\n const prev = new Date(rates[0].created_at).getTime();\n const prevOfPrev = new Date(rates[1].created_at).getTime();\n const interval = prev - prevOfPrev;\n return {\n prev,\n prevOfPrev,\n interval,\n };\n },\n { swrAfter: 60_000, expire: 3600_000 },\n);\n\nexport const polyfillPosition = async (positions: IPosition[]): Promise<IPosition[]> => {\n // TODO: 使用 batch query SQL 优化 product / quote 查询性能\n for (const pos of positions) {\n const [theProduct, quote, interestRateInterval] = await Promise.all([\n productCache.query(pos.product_id),\n quoteCache.query(pos.product_id),\n interestRateIntervalCache.query(pos.product_id),\n ]);\n\n // 估值 = value_scale * volume * closable_price\n if (theProduct) {\n if (theProduct.base_currency) {\n pos.base_currency = theProduct.base_currency;\n }\n if (theProduct.quote_currency) {\n pos.quote_currency = theProduct.quote_currency;\n }\n if (pos.size === undefined && pos.volume !== undefined && pos.direction !== undefined) {\n pos.size = (pos.direction === 'LONG' ? 1 : -1) * pos.volume * (theProduct.value_scale || 1) + '';\n }\n if (pos.free_size === undefined && pos.free_volume !== undefined && pos.direction !== undefined) {\n pos.free_size =\n (pos.direction === 'LONG' ? 1 : -1) * pos.free_volume * (theProduct.value_scale || 1) + '';\n }\n pos.valuation = Math.abs((theProduct.value_scale || 1) * pos.volume * pos.closable_price);\n }\n\n if (quote && pos.size) {\n const sizeNum = +pos.size;\n if (pos.current_price === undefined) {\n if (sizeNum > 0) {\n // 多头头寸使用买一价作为可平仓价格，如果没有买一价则使用最新价\n pos.current_price = (quote.ask_price || quote.last_price) + '';\n } else {\n // 空头头寸使用卖一价作为可平仓价格，如果没有卖一价则使用最新价\n pos.current_price = (quote.bid_price || quote.last_price) + '';\n }\n }\n\n // 计算名义价值\n if (pos.notional === undefined) {\n pos.notional = sizeNum * (+pos.current_price || 0) + '';\n }\n }\n\n // 利率相关信息的追加\n if (quote) {\n if (quote.interest_rate_next_settled_at !== null) {\n const nextSettledAt = new Date(quote.interest_rate_next_settled_at).getTime();\n // 优先使用行情数据中的下一个结算时间\n pos.settlement_scheduled_at = nextSettledAt;\n // 优先使用下一个结算时间推算结算间隔\n if (interestRateInterval !== undefined) {\n const interval = nextSettledAt - interestRateInterval.prev;\n pos.settlement_interval = interval;\n }\n } else if (quote.interest_rate_next_settled_at === null && interestRateInterval !== undefined) {\n // 估算下一个结算时间\n // 找到 prev + k * interval > now 的最小 k，则下一个结算时间为 prev + k * interval\n const k = Math.ceil((Date.now() - interestRateInterval.prev) / interestRateInterval.interval);\n pos.settlement_scheduled_at = interestRateInterval.prev + k * interestRateInterval.interval;\n }\n\n // 如果还没有结算间隔，则使用 interest rate 表的时间间隔作为结算间隔\n if (pos.settlement_interval === undefined && interestRateInterval) {\n pos.settlement_interval = interestRateInterval.interval;\n }\n\n if (pos.direction === 'LONG') {\n if (quote.interest_rate_long !== null) {\n pos.interest_to_settle = +quote.interest_rate_long * pos.valuation;\n }\n }\n if (pos.direction === 'SHORT') {\n if (quote.interest_rate_short !== null) {\n pos.interest_to_settle = +quote.interest_rate_short * pos.valuation;\n }\n }\n }\n }\n return positions;\n};\n\nexport const polyfillOrders = async (orders: IOrder[]): Promise<IOrder[]> => {\n for (const order of orders) {\n const theProduct = await productCache.query(order.product_id);\n if (theProduct) {\n if (order.size !== undefined) {\n const sizeNum = +order.size;\n const sizeStep = theProduct.volume_step * theProduct.value_scale;\n if (!(sizeStep > 0)) throw newError('INVALID_SIZE_STEP', { product: theProduct, sizeStep });\n // check size is multiple of sizeStep\n if (Math.abs(sizeNum - Math.round(sizeNum / sizeStep) * sizeStep) > 1e-16) {\n throw newError('INVALID_ORDER_SIZE_NOT_MULTIPLE_OF_SIZE_STEP', {\n order,\n sizeStep,\n sizeNum,\n product: theProduct,\n });\n }\n\n if (sizeNum >= 0) {\n order.order_direction = order.is_close ? 'CLOSE_SHORT' : 'OPEN_LONG';\n } else {\n order.order_direction = order.is_close ? 'CLOSE_LONG' : 'OPEN_SHORT';\n }\n order.volume = Math.abs(sizeNum) / theProduct.value_scale;\n }\n }\n }\n return orders;\n};\n"]}
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package/package.json
CHANGED
package/temp/package-deps.json
CHANGED
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@@ -1,17 +1,17 @@
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{
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"apps/virtual-exchange/CHANGELOG.json": "
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"apps/virtual-exchange/CHANGELOG.md": "
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"apps/virtual-exchange/CHANGELOG.json": "7024942cced3785c1eeb256a6adac0553ef33d86",
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+
"apps/virtual-exchange/CHANGELOG.md": "2c333af9ee8eda4d6e859b0476d038a1176d1823",
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4
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"apps/virtual-exchange/api-extractor.json": "62f4fd324425b9a235f0c117975967aab09ced0c",
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5
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"apps/virtual-exchange/config/jest.config.json": "4bb17bde3ee911163a3edb36a6eb71491d80b1bd",
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6
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"apps/virtual-exchange/config/rig.json": "f6c7b5537dc77a3170ba9f008bae3b6c3ee11956",
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7
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"apps/virtual-exchange/config/typescript.json": "854907e8a821f2050f6533368db160c649c25348",
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8
8
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"apps/virtual-exchange/etc/app-virtual-exchange.api.md": "6cb40ec1fa2d40a31a7b0dd3f02b8b24a4d7c4de",
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-
"apps/virtual-exchange/package.json": "
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9
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+
"apps/virtual-exchange/package.json": "06bebd0d0e46a320bff6d5dbd9055bf65e25edda",
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10
10
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"apps/virtual-exchange/src/credential.ts": "7ff9cfe06e46005b2a69e60b5596eb1f59d42bba",
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11
11
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"apps/virtual-exchange/src/general.ts": "b3d0cd8c57975b9711008beaa05ad7f6812bd57e",
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12
12
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"apps/virtual-exchange/src/index.ts": "67e1963facf0ee2aedd871496361cff90bf49356",
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13
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"apps/virtual-exchange/src/legacy-services.ts": "a9f6b6c61b7a0efc909a443e6fde88c2766562bf",
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14
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-
"apps/virtual-exchange/src/position.ts": "
|
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14
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+
"apps/virtual-exchange/src/position.ts": "df2e7fc833bad109c4939df9535577995179120f",
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15
15
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"apps/virtual-exchange/src/product-collector.ts": "15ba0a692d694d20b607eaad0287a864577ef30c",
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16
16
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"apps/virtual-exchange/src/quote/DESIGN.md": "4b952e24f77a7429fd82cdf29155a725bbebe583",
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17
17
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"apps/virtual-exchange/src/quote/QUOTE_STATE_PERFORMANCE_REPORT.md": "b90b7b77a70bb5f4b503d03ccba8f1d07edf7d37",
|