@yuants/app-virtual-exchange 0.7.1 → 0.8.0
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/general.js +16 -7
- package/dist/general.js.map +1 -1
- package/dist/legacy-services.js +11 -4
- package/dist/legacy-services.js.map +1 -1
- package/dist/position.js +48 -3
- package/dist/position.js.map +1 -1
- package/lib/general.js +15 -6
- package/lib/general.js.map +1 -1
- package/lib/legacy-services.js +10 -3
- package/lib/legacy-services.js.map +1 -1
- package/lib/position.d.ts +2 -0
- package/lib/position.d.ts.map +1 -1
- package/lib/position.js +50 -4
- package/lib/position.js.map +1 -1
- package/package.json +4 -4
- package/temp/package-deps.json +9 -9
package/dist/general.js
CHANGED
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@@ -1,7 +1,7 @@
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import { cancelOrder, getOrders, getPositions, modifyOrder, submitOrder } from '@yuants/exchange';
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import { Terminal } from '@yuants/protocol';
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import { getCredentialBySecretId } from './credential';
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-
import { polyfillPosition } from './position';
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import { polyfillOrders, polyfillPosition } from './position';
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const terminal = Terminal.fromNodeEnv();
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terminal.server.provideService('VEX/GetPositions', {
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type: 'object',
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@@ -16,6 +16,9 @@ terminal.server.provideService('VEX/GetPositions', {
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if (!res.data)
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return { res };
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const positions = await polyfillPosition(res.data);
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positions.forEach((pos) => {
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pos.account_id = credential.credentialId;
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});
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return { res: { code: 0, message: 'OK', data: positions } };
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});
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terminal.server.provideService('VEX/GetOrders', {
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@@ -26,13 +29,16 @@ terminal.server.provideService('VEX/GetOrders', {
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product_id: { type: 'string' },
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},
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}, async (msg) => {
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-
var _a;
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const credential = await getCredentialBySecretId(msg.req.secret_id);
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const res = await getOrders(terminal, credential.credential, msg.req.product_id);
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(
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if (!res.data)
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return { res };
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const orders = res.data;
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orders.forEach((order) => {
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order.account_id = credential.credentialId;
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});
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-
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await polyfillOrders(orders);
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return { res: { code: 0, message: 'OK', data: orders } };
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});
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// 10. Proxy Orders
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// SubmitOrder
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@@ -45,7 +51,8 @@ terminal.server.provideService('VEX/SubmitOrder', {
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},
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}, async (msg) => {
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const credential = await getCredentialBySecretId(msg.req.secret_id);
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-
const
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const [order] = await polyfillOrders([msg.req.order]);
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const res = await submitOrder(terminal, credential.credential, order);
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return { res };
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});
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// ModifyOrder
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@@ -58,7 +65,8 @@ terminal.server.provideService('VEX/ModifyOrder', {
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},
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}, async (msg) => {
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const credential = await getCredentialBySecretId(msg.req.secret_id);
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-
const
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const [order] = await polyfillOrders([msg.req.order]);
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const res = await modifyOrder(terminal, credential.credential, order);
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return { res };
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});
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// CancelOrder
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@@ -71,7 +79,8 @@ terminal.server.provideService('VEX/CancelOrder', {
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},
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}, async (msg) => {
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const credential = await getCredentialBySecretId(msg.req.secret_id);
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-
const
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const [order] = await polyfillOrders([msg.req.order]);
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const res = await cancelOrder(terminal, credential.credential, order);
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return { res };
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});
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//# sourceMappingURL=general.js.map
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package/dist/general.js.map
CHANGED
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@@ -1 +1 @@
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1
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-
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{"version":3,"file":"general.js","sourceRoot":"","sources":["../src/general.ts"],"names":[],"mappings":"AAEA,OAAO,EAAE,WAAW,EAAE,SAAS,EAAE,YAAY,EAAE,WAAW,EAAE,WAAW,EAAE,MAAM,kBAAkB,CAAC;AAClG,OAAO,EAAE,QAAQ,EAAE,MAAM,kBAAkB,CAAC;AAC5C,OAAO,EAAE,uBAAuB,EAAE,MAAM,cAAc,CAAC;AACvD,OAAO,EAAE,cAAc,EAAE,gBAAgB,EAAE,MAAM,YAAY,CAAC;AAE9D,MAAM,QAAQ,GAAG,QAAQ,CAAC,WAAW,EAAE,CAAC;AAExC,QAAQ,CAAC,MAAM,CAAC,cAAc,CAC5B,kBAAkB,EAClB;IACE,IAAI,EAAE,QAAQ;IACd,QAAQ,EAAE,CAAC,WAAW,CAAC;IACvB,UAAU,EAAE;QACV,SAAS,EAAE,EAAE,IAAI,EAAE,QAAQ,EAAE;QAC7B,UAAU,EAAE,EAAE,IAAI,EAAE,QAAQ,EAAE;KAC/B;CACF,EACD,KAAK,EAAE,GAAG,EAAE,EAAE;IACZ,MAAM,UAAU,GAAG,MAAM,uBAAuB,CAAC,GAAG,CAAC,GAAG,CAAC,SAAS,CAAC,CAAC;IACpE,MAAM,GAAG,GAAG,MAAM,YAAY,CAAC,QAAQ,EAAE,UAAU,CAAC,UAAU,EAAE,GAAG,CAAC,GAAG,CAAC,UAAU,CAAC,CAAC;IACpF,IAAI,CAAC,GAAG,CAAC,IAAI;QAAE,OAAO,EAAE,GAAG,EAAE,CAAC;IAC9B,MAAM,SAAS,GAAG,MAAM,gBAAgB,CAAC,GAAG,CAAC,IAAI,CAAC,CAAC;IACnD,SAAS,CAAC,OAAO,CAAC,CAAC,GAAG,EAAE,EAAE;QACxB,GAAG,CAAC,UAAU,GAAG,UAAU,CAAC,YAAY,CAAC;IAC3C,CAAC,CAAC,CAAC;IACH,OAAO,EAAE,GAAG,EAAE,EAAE,IAAI,EAAE,CAAC,EAAE,OAAO,EAAE,IAAI,EAAE,IAAI,EAAE,SAAS,EAAE,EAAE,CAAC;AAC9D,CAAC,CACF,CAAC;AAEF,QAAQ,CAAC,MAAM,CAAC,cAAc,CAC5B,eAAe,EACf;IACE,IAAI,EAAE,QAAQ;IACd,QAAQ,EAAE,CAAC,WAAW,CAAC;IACvB,UAAU,EAAE;QACV,SAAS,EAAE,EAAE,IAAI,EAAE,QAAQ,EAAE;QAC7B,UAAU,EAAE,EAAE,IAAI,EAAE,QAAQ,EAAE;KAC/B;CACF,EACD,KAAK,EAAE,GAAG,EAAE,EAAE;IACZ,MAAM,UAAU,GAAG,MAAM,uBAAuB,CAAC,GAAG,CAAC,GAAG,CAAC,SAAS,CAAC,CAAC;IACpE,MAAM,GAAG,GAAG,MAAM,SAAS,CAAC,QAAQ,EAAE,UAAU,CAAC,UAAU,EAAE,GAAG,CAAC,GAAG,CAAC,UAAU,CAAC,CAAC;IACjF,IAAI,CAAC,GAAG,CAAC,IAAI;QAAE,OAAO,EAAE,GAAG,EAAE,CAAC;IAC9B,MAAM,MAAM,GAAG,GAAG,CAAC,IAAI,CAAC;IACxB,MAAM,CAAC,OAAO,CAAC,CAAC,KAAK,EAAE,EAAE;QACvB,KAAK,CAAC,UAAU,GAAG,UAAU,CAAC,YAAY,CAAC;IAC7C,CAAC,CAAC,CAAC;IACH,MAAM,cAAc,CAAC,MAAM,CAAC,CAAC;IAC7B,OAAO,EAAE,GAAG,EAAE,EAAE,IAAI,EAAE,CAAC,EAAE,OAAO,EAAE,IAAI,EAAE,IAAI,EAAE,MAAM,EAAE,EAAE,CAAC;AAC3D,CAAC,CACF,CAAC;AAEF,mBAAmB;AACnB,cAAc;AACd,QAAQ,CAAC,MAAM,CAAC,cAAc,CAC5B,iBAAiB,EACjB;IACE,IAAI,EAAE,QAAQ;IACd,QAAQ,EAAE,CAAC,OAAO,EAAE,WAAW,CAAC;IAChC,UAAU,EAAE;QACV,KAAK,EAAE,EAAE,IAAI,EAAE,QAAQ,EAAE;QACzB,SAAS,EAAE,EAAE,IAAI,EAAE,QAAQ,EAAE;KAC9B;CACF,EACD,KAAK,EAAE,GAAG,EAAE,EAAE;IACZ,MAAM,UAAU,GAAG,MAAM,uBAAuB,CAAC,GAAG,CAAC,GAAG,CAAC,SAAS,CAAC,CAAC;IACpE,MAAM,CAAC,KAAK,CAAC,GAAG,MAAM,cAAc,CAAC,CAAC,GAAG,CAAC,GAAG,CAAC,KAAK,CAAC,CAAC,CAAC;IACtD,MAAM,GAAG,GAAG,MAAM,WAAW,CAAC,QAAQ,EAAE,UAAU,CAAC,UAAU,EAAE,KAAK,CAAC,CAAC;IACtE,OAAO,EAAE,GAAG,EAAE,CAAC;AACjB,CAAC,CACF,CAAC;AAEF,cAAc;AACd,QAAQ,CAAC,MAAM,CAAC,cAAc,CAC5B,iBAAiB,EACjB;IACE,IAAI,EAAE,QAAQ;IACd,QAAQ,EAAE,CAAC,OAAO,EAAE,WAAW,CAAC;IAChC,UAAU,EAAE;QACV,KAAK,EAAE,EAAE,IAAI,EAAE,QAAQ,EAAE;QACzB,SAAS,EAAE,EAAE,IAAI,EAAE,QAAQ,EAAE;KAC9B;CACF,EACD,KAAK,EAAE,GAAG,EAAE,EAAE;IACZ,MAAM,UAAU,GAAG,MAAM,uBAAuB,CAAC,GAAG,CAAC,GAAG,CAAC,SAAS,CAAC,CAAC;IACpE,MAAM,CAAC,KAAK,CAAC,GAAG,MAAM,cAAc,CAAC,CAAC,GAAG,CAAC,GAAG,CAAC,KAAK,CAAC,CAAC,CAAC;IACtD,MAAM,GAAG,GAAG,MAAM,WAAW,CAAC,QAAQ,EAAE,UAAU,CAAC,UAAU,EAAE,KAAK,CAAC,CAAC;IACtE,OAAO,EAAE,GAAG,EAAE,CAAC;AACjB,CAAC,CACF,CAAC;AAEF,cAAc;AACd,QAAQ,CAAC,MAAM,CAAC,cAAc,CAC5B,iBAAiB,EACjB;IACE,IAAI,EAAE,QAAQ;IACd,QAAQ,EAAE,CAAC,OAAO,EAAE,WAAW,CAAC;IAChC,UAAU,EAAE;QACV,KAAK,EAAE,EAAE,IAAI,EAAE,QAAQ,EAAE;QACzB,SAAS,EAAE,EAAE,IAAI,EAAE,QAAQ,EAAE;KAC9B;CACF,EACD,KAAK,EAAE,GAAG,EAAE,EAAE;IACZ,MAAM,UAAU,GAAG,MAAM,uBAAuB,CAAC,GAAG,CAAC,GAAG,CAAC,SAAS,CAAC,CAAC;IACpE,MAAM,CAAC,KAAK,CAAC,GAAG,MAAM,cAAc,CAAC,CAAC,GAAG,CAAC,GAAG,CAAC,KAAK,CAAC,CAAC,CAAC;IACtD,MAAM,GAAG,GAAG,MAAM,WAAW,CAAC,QAAQ,EAAE,UAAU,CAAC,UAAU,EAAE,KAAK,CAAC,CAAC;IACtE,OAAO,EAAE,GAAG,EAAE,CAAC;AACjB,CAAC,CACF,CAAC","sourcesContent":["import { IPosition } from '@yuants/data-account';\nimport { IOrder } from '@yuants/data-order';\nimport { cancelOrder, getOrders, getPositions, modifyOrder, submitOrder } from '@yuants/exchange';\nimport { Terminal } from '@yuants/protocol';\nimport { getCredentialBySecretId } from './credential';\nimport { polyfillOrders, polyfillPosition } from './position';\n\nconst terminal = Terminal.fromNodeEnv();\n\nterminal.server.provideService<{ secret_id: string; product_id?: string }, IPosition[]>(\n 'VEX/GetPositions',\n {\n type: 'object',\n required: ['secret_id'],\n properties: {\n secret_id: { type: 'string' },\n product_id: { type: 'string' },\n },\n },\n async (msg) => {\n const credential = await getCredentialBySecretId(msg.req.secret_id);\n const res = await getPositions(terminal, credential.credential, msg.req.product_id);\n if (!res.data) return { res };\n const positions = await polyfillPosition(res.data);\n positions.forEach((pos) => {\n pos.account_id = credential.credentialId;\n });\n return { res: { code: 0, message: 'OK', data: positions } };\n },\n);\n\nterminal.server.provideService<{ secret_id: string; product_id?: string }, IOrder[]>(\n 'VEX/GetOrders',\n {\n type: 'object',\n required: ['secret_id'],\n properties: {\n secret_id: { type: 'string' },\n product_id: { type: 'string' },\n },\n },\n async (msg) => {\n const credential = await getCredentialBySecretId(msg.req.secret_id);\n const res = await getOrders(terminal, credential.credential, msg.req.product_id);\n if (!res.data) return { res };\n const orders = res.data;\n orders.forEach((order) => {\n order.account_id = credential.credentialId;\n });\n await polyfillOrders(orders);\n return { res: { code: 0, message: 'OK', data: orders } };\n },\n);\n\n// 10. Proxy Orders\n// SubmitOrder\nterminal.server.provideService<{ order: IOrder; secret_id: string }, { order_id: string }>(\n 'VEX/SubmitOrder',\n {\n type: 'object',\n required: ['order', 'secret_id'],\n properties: {\n order: { type: 'object' },\n secret_id: { type: 'string' },\n },\n },\n async (msg) => {\n const credential = await getCredentialBySecretId(msg.req.secret_id);\n const [order] = await polyfillOrders([msg.req.order]);\n const res = await submitOrder(terminal, credential.credential, order);\n return { res };\n },\n);\n\n// ModifyOrder\nterminal.server.provideService<{ order: IOrder; secret_id: string }, void>(\n 'VEX/ModifyOrder',\n {\n type: 'object',\n required: ['order', 'secret_id'],\n properties: {\n order: { type: 'object' },\n secret_id: { type: 'string' },\n },\n },\n async (msg) => {\n const credential = await getCredentialBySecretId(msg.req.secret_id);\n const [order] = await polyfillOrders([msg.req.order]);\n const res = await modifyOrder(terminal, credential.credential, order);\n return { res };\n },\n);\n\n// CancelOrder\nterminal.server.provideService<{ order: IOrder; secret_id: string }, void>(\n 'VEX/CancelOrder',\n {\n type: 'object',\n required: ['order', 'secret_id'],\n properties: {\n order: { type: 'object' },\n secret_id: { type: 'string' },\n },\n },\n async (msg) => {\n const credential = await getCredentialBySecretId(msg.req.secret_id);\n const [order] = await polyfillOrders([msg.req.order]);\n const res = await cancelOrder(terminal, credential.credential, order);\n return { res };\n },\n);\n"]}
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package/dist/legacy-services.js
CHANGED
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@@ -5,7 +5,7 @@ import { Terminal } from '@yuants/protocol';
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import { listWatch, newError } from '@yuants/utils';
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import { map, Observable } from 'rxjs';
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import { validCredentials$ } from './credential';
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import { polyfillPosition } from './position';
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import { polyfillOrders, polyfillPosition } from './position';
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const terminal = Terminal.fromNodeEnv();
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validCredentials$
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.pipe(map((x) => Array.from(x.entries())), listWatch(([id]) => id, ([credential_id, credential]) => new Observable((sub) => {
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throw newError('FETCH_POSITIONS_FAILED', { credential_id, res });
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const polyfilledPositions = await polyfillPosition(res.data);
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polyfilledPositions.forEach((pos) => {
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pos.account_id = credential_id;
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});
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return polyfilledPositions;
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}, {
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await polyfillOrders(res.data);
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}, {
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}, async (msg) => {
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const
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const [order] = await polyfillOrders([msg.req]);
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const res = await submitOrder(terminal, credential, order);
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}, async (msg) => {
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const
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const [order] = await polyfillOrders([msg.req]);
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const res = await modifyOrder(terminal, credential, order);
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account_id: { type: 'string', const: credential_id },
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}, async (msg) => {
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const
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const [order] = await polyfillOrders([msg.req]);
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const res = await cancelOrder(terminal, credential, order);
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+
{"version":3,"file":"legacy-services.js","sourceRoot":"","sources":["../src/legacy-services.ts"],"names":[],"mappings":"AAAA,OAAO,EAAE,yBAAyB,EAAE,MAAM,sBAAsB,CAAC;AACjE,OAAO,EAAU,2BAA2B,EAAE,MAAM,oBAAoB,CAAC;AACzE,OAAO,EAAE,WAAW,EAAE,SAAS,EAAE,YAAY,EAAE,WAAW,EAAE,WAAW,EAAE,MAAM,kBAAkB,CAAC;AAClG,OAAO,EAAE,QAAQ,EAAE,MAAM,kBAAkB,CAAC;AAC5C,OAAO,EAAE,SAAS,EAAE,QAAQ,EAAE,MAAM,eAAe,CAAC;AACpD,OAAO,EAAE,GAAG,EAAE,UAAU,EAAE,MAAM,MAAM,CAAC;AACvC,OAAO,EAAE,iBAAiB,EAAE,MAAM,cAAc,CAAC;AACjD,OAAO,EAAE,cAAc,EAAE,gBAAgB,EAAE,MAAM,YAAY,CAAC;AAE9D,MAAM,QAAQ,GAAG,QAAQ,CAAC,WAAW,EAAE,CAAC;AAExC,iBAAiB;KACd,IAAI,CACH,GAAG,CAAC,CAAC,CAAC,EAAE,EAAE,CAAC,KAAK,CAAC,IAAI,CAAC,CAAC,CAAC,OAAO,EAAE,CAAC,CAAC,EACnC,SAAS,CACP,CAAC,CAAC,EAAE,CAAC,EAAE,EAAE,CAAC,EAAE,EACZ,CAAC,CAAC,aAAa,EAAE,UAAU,CAAC,EAAE,EAAE,CAC9B,IAAI,UAAU,CAAC,CAAC,GAAG,EAAE,EAAE;IACrB,OAAO,CAAC,IAAI,CAAC,2CAA2C,aAAa,EAAE,CAAC,CAAC;IACzE,4BAA4B;IAC5B;QACE,MAAM,OAAO,GAAG,yBAAyB,CACvC,QAAQ,EACR,aAAa,EACb,KAAK,IAAI,EAAE;YACT,MAAM,GAAG,GAAG,MAAM,YAAY,CAAC,QAAQ,EAAE,UAAU,CAAC,CAAC;YACrD,IAAI,CAAC,GAAG,CAAC,IAAI;gBAAE,MAAM,QAAQ,CAAC,wBAAwB,EAAE,EAAE,aAAa,EAAE,GAAG,EAAE,CAAC,CAAC;YAChF,MAAM,mBAAmB,GAAG,MAAM,gBAAgB,CAAC,GAAG,CAAC,IAAI,CAAC,CAAC;YAC7D,mBAAmB,CAAC,OAAO,CAAC,CAAC,GAAG,EAAE,EAAE;gBAClC,GAAG,CAAC,UAAU,GAAG,aAAa,CAAC;YACjC,CAAC,CAAC,CAAC;YACH,OAAO,mBAAmB,CAAC;QAC7B,CAAC,EACD;YACE,qBAAqB,EAAE,IAAI;SAC5B,CACF,CAAC;QACF,GAAG,CAAC,GAAG,CAAC,GAAG,EAAE;YACX,OAAO,CAAC,QAAQ,CAAC,IAAI,EAAE,CAAC;QAC1B,CAAC,CAAC,CAAC;KACJ;IACD,+BAA+B;IAC/B;QACE,MAAM,OAAO,GAAG,2BAA2B,CACzC,QAAQ,EACR,aAAa,EACb,KAAK,IAAI,EAAE;YACT,MAAM,GAAG,GAAG,MAAM,SAAS,CAAC,QAAQ,EAAE,UAAU,CAAC,CAAC;YAClD,IAAI,CAAC,GAAG,CAAC,IAAI;gBAAE,MAAM,QAAQ,CAAC,qBAAqB,EAAE,EAAE,aAAa,EAAE,GAAG,EAAE,CAAC,CAAC;YAE7E,GAAG,CAAC,IAAI,CAAC,OAAO,CAAC,CAAC,KAAK,EAAE,EAAE;gBACzB,KAAK,CAAC,UAAU,GAAG,aAAa,CAAC;YACnC,CAAC,CAAC,CAAC;YAEH,MAAM,cAAc,CAAC,GAAG,CAAC,IAAI,CAAC,CAAC;YAE/B,OAAO,GAAG,CAAC,IAAI,CAAC;QAClB,CAAC,EACD;YACE,qBAAqB,EAAE,KAAK;SAC7B,CACF,CAAC;QACF,GAAG,CAAC,GAAG,CAAC,GAAG,EAAE;YACX,OAAO,CAAC,QAAQ,CAAC,IAAI,EAAE,CAAC;QAC1B,CAAC,CAAC,CAAC;KACJ;IACD,4BAA4B;IAC5B;QACE,MAAM,OAAO,GAAG,QAAQ,CAAC,MAAM,CAAC,cAAc,CAC5C,aAAa,EACb;YACE,IAAI,EAAE,QAAQ;YACd,QAAQ,EAAE,CAAC,YAAY,CAAC;YACxB,UAAU,EAAE;gBACV,UAAU,EAAE,EAAE,IAAI,EAAE,QAAQ,EAAE,KAAK,EAAE,aAAa,EAAE;aACrD;SACF,EACD,KAAK,EAAE,GAAG,EAAE,EAAE;YACZ,MAAM,CAAC,KAAK,CAAC,GAAG,MAAM,cAAc,CAAC,CAAC,GAAG,CAAC,GAAG,CAAC,CAAC,CAAC;YAChD,MAAM,GAAG,GAAG,MAAM,WAAW,CAAC,QAAQ,EAAE,UAAU,EAAE,KAAK,CAAC,CAAC;YAC3D,OAAO,EAAE,GAAG,EAAE,CAAC;QACjB,CAAC,CACF,CAAC;QACF,GAAG,CAAC,GAAG,CAAC,GAAG,EAAE;YACX,OAAO,CAAC,OAAO,EAAE,CAAC;QACpB,CAAC,CAAC,CAAC;KACJ;IAED,4BAA4B;IAC5B;QACE,MAAM,OAAO,GAAG,QAAQ,CAAC,MAAM,CAAC,cAAc,CAC5C,aAAa,EACb;YACE,IAAI,EAAE,QAAQ;YACd,QAAQ,EAAE,CAAC,YAAY,CAAC;YACxB,UAAU,EAAE;gBACV,UAAU,EAAE,EAAE,IAAI,EAAE,QAAQ,EAAE,KAAK,EAAE,aAAa,EAAE;aACrD;SACF,EACD,KAAK,EAAE,GAAG,EAAE,EAAE;YACZ,MAAM,CAAC,KAAK,CAAC,GAAG,MAAM,cAAc,CAAC,CAAC,GAAG,CAAC,GAAG,CAAC,CAAC,CAAC;YAChD,MAAM,GAAG,GAAG,MAAM,WAAW,CAAC,QAAQ,EAAE,UAAU,EAAE,KAAK,CAAC,CAAC;YAC3D,OAAO,EAAE,GAAG,EAAE,CAAC;QACjB,CAAC,CACF,CAAC;QACF,GAAG,CAAC,GAAG,CAAC,GAAG,EAAE;YACX,OAAO,CAAC,OAAO,EAAE,CAAC;QACpB,CAAC,CAAC,CAAC;KACJ;IAED,4BAA4B;IAC5B;QACE,MAAM,OAAO,GAAG,QAAQ,CAAC,MAAM,CAAC,cAAc,CAC5C,aAAa,EACb;YACE,IAAI,EAAE,QAAQ;YACd,QAAQ,EAAE,CAAC,YAAY,CAAC;YACxB,UAAU,EAAE;gBACV,UAAU,EAAE,EAAE,IAAI,EAAE,QAAQ,EAAE,KAAK,EAAE,aAAa,EAAE;aACrD;SACF,EACD,KAAK,EAAE,GAAG,EAAE,EAAE;YACZ,MAAM,CAAC,KAAK,CAAC,GAAG,MAAM,cAAc,CAAC,CAAC,GAAG,CAAC,GAAG,CAAC,CAAC,CAAC;YAChD,MAAM,GAAG,GAAG,MAAM,WAAW,CAAC,QAAQ,EAAE,UAAU,EAAE,KAAK,CAAC,CAAC;YAC3D,OAAO,EAAE,GAAG,EAAE,CAAC;QACjB,CAAC,CACF,CAAC;QACF,GAAG,CAAC,GAAG,CAAC,GAAG,EAAE;YACX,OAAO,CAAC,OAAO,EAAE,CAAC;QACpB,CAAC,CAAC,CAAC;KACJ;AACH,CAAC,CAAC,CACL,CACF;KACA,SAAS,EAAE,CAAC","sourcesContent":["import { provideAccountInfoService } from '@yuants/data-account';\nimport { IOrder, providePendingOrdersService } from '@yuants/data-order';\nimport { cancelOrder, getOrders, getPositions, modifyOrder, submitOrder } from '@yuants/exchange';\nimport { Terminal } from '@yuants/protocol';\nimport { listWatch, newError } from '@yuants/utils';\nimport { map, Observable } from 'rxjs';\nimport { validCredentials$ } from './credential';\nimport { polyfillOrders, polyfillPosition } from './position';\n\nconst terminal = Terminal.fromNodeEnv();\n\nvalidCredentials$\n .pipe(\n map((x) => Array.from(x.entries())),\n listWatch(\n ([id]) => id,\n ([credential_id, credential]) =>\n new Observable((sub) => {\n console.info(`Setting up VEX services for credential: ${credential_id}`);\n // Setup AccountInfo Service\n {\n const service = provideAccountInfoService(\n terminal,\n credential_id,\n async () => {\n const res = await getPositions(terminal, credential);\n if (!res.data) throw newError('FETCH_POSITIONS_FAILED', { credential_id, res });\n const polyfilledPositions = await polyfillPosition(res.data);\n polyfilledPositions.forEach((pos) => {\n pos.account_id = credential_id;\n });\n return polyfilledPositions;\n },\n {\n auto_refresh_interval: 1000,\n },\n );\n sub.add(() => {\n service.dispose$.next();\n });\n }\n // Setup Pending Orders Service\n {\n const service = providePendingOrdersService(\n terminal,\n credential_id,\n async () => {\n const res = await getOrders(terminal, credential);\n if (!res.data) throw newError('FETCH_ORDERS_FAILED', { credential_id, res });\n\n res.data.forEach((order) => {\n order.account_id = credential_id;\n });\n\n await polyfillOrders(res.data);\n\n return res.data;\n },\n {\n auto_refresh_interval: 10000,\n },\n );\n sub.add(() => {\n service.dispose$.next();\n });\n }\n // Setup SubmitOrder Service\n {\n const service = terminal.server.provideService<IOrder, { order_id: string }>(\n 'SubmitOrder',\n {\n type: 'object',\n required: ['account_id'],\n properties: {\n account_id: { type: 'string', const: credential_id },\n },\n },\n async (msg) => {\n const [order] = await polyfillOrders([msg.req]);\n const res = await submitOrder(terminal, credential, order);\n return { res };\n },\n );\n sub.add(() => {\n service.dispose();\n });\n }\n\n // Setup ModifyOrder Service\n {\n const service = terminal.server.provideService<IOrder, void>(\n 'ModifyOrder',\n {\n type: 'object',\n required: ['account_id'],\n properties: {\n account_id: { type: 'string', const: credential_id },\n },\n },\n async (msg) => {\n const [order] = await polyfillOrders([msg.req]);\n const res = await modifyOrder(terminal, credential, order);\n return { res };\n },\n );\n sub.add(() => {\n service.dispose();\n });\n }\n\n // Setup CancelOrder Service\n {\n const service = terminal.server.provideService<IOrder, void>(\n 'CancelOrder',\n {\n type: 'object',\n required: ['account_id'],\n properties: {\n account_id: { type: 'string', const: credential_id },\n },\n },\n async (msg) => {\n const [order] = await polyfillOrders([msg.req]);\n const res = await cancelOrder(terminal, credential, order);\n return { res };\n },\n );\n sub.add(() => {\n service.dispose();\n });\n }\n }),\n ),\n )\n .subscribe();\n"]}
|
package/dist/position.js
CHANGED
|
@@ -2,6 +2,7 @@ import { createCache } from '@yuants/cache';
|
|
|
2
2
|
import { createClientProductCache } from '@yuants/data-product';
|
|
3
3
|
import { Terminal } from '@yuants/protocol';
|
|
4
4
|
import { escapeSQL, requestSQL } from '@yuants/sql';
|
|
5
|
+
import { newError } from '@yuants/utils';
|
|
5
6
|
const terminal = Terminal.fromNodeEnv();
|
|
6
7
|
const productCache = createClientProductCache(terminal);
|
|
7
8
|
const quoteCache = createCache(async (product_id) => {
|
|
@@ -14,8 +15,15 @@ const interestRateIntervalCache = createCache(async (product_id) => {
|
|
|
14
15
|
const rates = await requestSQL(terminal, sql);
|
|
15
16
|
if (rates.length < 2)
|
|
16
17
|
return undefined;
|
|
17
|
-
|
|
18
|
-
|
|
18
|
+
const prev = new Date(rates[0].created_at).getTime();
|
|
19
|
+
const prevOfPrev = new Date(rates[1].created_at).getTime();
|
|
20
|
+
const interval = prev - prevOfPrev;
|
|
21
|
+
return {
|
|
22
|
+
prev,
|
|
23
|
+
prevOfPrev,
|
|
24
|
+
interval,
|
|
25
|
+
};
|
|
26
|
+
}, { swrAfter: 3600000, expire: 8 * 3600000 });
|
|
19
27
|
export const polyfillPosition = async (positions) => {
|
|
20
28
|
// TODO: 使用 batch query SQL 优化 product / quote 查询性能
|
|
21
29
|
for (const pos of positions) {
|
|
@@ -44,8 +52,15 @@ export const polyfillPosition = async (positions) => {
|
|
|
44
52
|
// 利率相关信息的追加
|
|
45
53
|
if (quote) {
|
|
46
54
|
if (quote.interest_rate_next_settled_at !== null) {
|
|
55
|
+
// 优先使用行情数据中的下一个结算时间
|
|
47
56
|
pos.settlement_scheduled_at = new Date(quote.interest_rate_next_settled_at).getTime();
|
|
48
57
|
}
|
|
58
|
+
else if (quote.interest_rate_next_settled_at === null && interestRateInterval !== undefined) {
|
|
59
|
+
// 估算下一个结算时间
|
|
60
|
+
// 找到 prev + k * interval > now 的最小 k，则下一个结算时间为 prev + k * interval
|
|
61
|
+
const k = Math.ceil((Date.now() - interestRateInterval.prev) / interestRateInterval.interval);
|
|
62
|
+
pos.settlement_scheduled_at = interestRateInterval.prev + k * interestRateInterval.interval;
|
|
63
|
+
}
|
|
49
64
|
if (pos.direction === 'LONG') {
|
|
50
65
|
if (quote.interest_rate_long !== null) {
|
|
51
66
|
pos.interest_to_settle = +quote.interest_rate_long * pos.valuation;
|
|
@@ -58,9 +73,39 @@ export const polyfillPosition = async (positions) => {
|
|
|
58
73
|
}
|
|
59
74
|
}
|
|
60
75
|
if (interestRateInterval) {
|
|
61
|
-
pos.settlement_interval = interestRateInterval;
|
|
76
|
+
pos.settlement_interval = interestRateInterval.interval;
|
|
62
77
|
}
|
|
63
78
|
}
|
|
64
79
|
return positions;
|
|
65
80
|
};
|
|
81
|
+
export const polyfillOrders = async (orders) => {
|
|
82
|
+
for (const order of orders) {
|
|
83
|
+
const theProduct = await productCache.query(order.product_id);
|
|
84
|
+
if (theProduct) {
|
|
85
|
+
if (order.size !== undefined) {
|
|
86
|
+
const sizeNum = +order.size;
|
|
87
|
+
const sizeStep = theProduct.volume_step * theProduct.value_scale;
|
|
88
|
+
if (!(sizeStep > 0))
|
|
89
|
+
throw newError('INVALID_SIZE_STEP', { product: theProduct, sizeStep });
|
|
90
|
+
// check size is multiple of sizeStep
|
|
91
|
+
if (Math.abs(sizeNum - Math.round(sizeNum / sizeStep) * sizeStep) > 1e-16) {
|
|
92
|
+
throw newError('INVALID_ORDER_SIZE_NOT_MULTIPLE_OF_SIZE_STEP', {
|
|
93
|
+
order,
|
|
94
|
+
sizeStep,
|
|
95
|
+
sizeNum,
|
|
96
|
+
product: theProduct,
|
|
97
|
+
});
|
|
98
|
+
}
|
|
99
|
+
if (sizeNum >= 0) {
|
|
100
|
+
order.order_direction = order.is_close ? 'CLOSE_SHORT' : 'OPEN_LONG';
|
|
101
|
+
}
|
|
102
|
+
else {
|
|
103
|
+
order.order_direction = order.is_close ? 'CLOSE_LONG' : 'OPEN_SHORT';
|
|
104
|
+
}
|
|
105
|
+
order.volume = Math.abs(sizeNum) / theProduct.value_scale;
|
|
106
|
+
}
|
|
107
|
+
}
|
|
108
|
+
}
|
|
109
|
+
return orders;
|
|
110
|
+
};
|
|
66
111
|
//# sourceMappingURL=position.js.map
|
package/dist/position.js.map
CHANGED
|
@@ -1 +1 @@
|
|
|
1
|
-
{"version":3,"file":"position.js","sourceRoot":"","sources":["../src/position.ts"],"names":[],"mappings":"AAAA,OAAO,EAAE,WAAW,EAAE,MAAM,eAAe,CAAC;
|
|
1
|
+
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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: 3600_000, expire: 8 * 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 // 利率相关信息的追加\n if (quote) {\n if (quote.interest_rate_next_settled_at !== null) {\n // 优先使用行情数据中的下一个结算时间\n pos.settlement_scheduled_at = new Date(quote.interest_rate_next_settled_at).getTime();\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 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 if (interestRateInterval) {\n pos.settlement_interval = interestRateInterval.interval;\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/general.js
CHANGED
|
@@ -18,6 +18,9 @@ terminal.server.provideService('VEX/GetPositions', {
|
|
|
18
18
|
if (!res.data)
|
|
19
19
|
return { res };
|
|
20
20
|
const positions = await (0, position_1.polyfillPosition)(res.data);
|
|
21
|
+
positions.forEach((pos) => {
|
|
22
|
+
pos.account_id = credential.credentialId;
|
|
23
|
+
});
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|
21
24
|
return { res: { code: 0, message: 'OK', data: positions } };
|
|
22
25
|
});
|
|
23
26
|
terminal.server.provideService('VEX/GetOrders', {
|
|
@@ -28,13 +31,16 @@ terminal.server.provideService('VEX/GetOrders', {
|
|
|
28
31
|
product_id: { type: 'string' },
|
|
29
32
|
},
|
|
30
33
|
}, async (msg) => {
|
|
31
|
-
var _a;
|
|
32
34
|
const credential = await (0, credential_1.getCredentialBySecretId)(msg.req.secret_id);
|
|
33
35
|
const res = await (0, exchange_1.getOrders)(terminal, credential.credential, msg.req.product_id);
|
|
34
|
-
(
|
|
36
|
+
if (!res.data)
|
|
37
|
+
return { res };
|
|
38
|
+
const orders = res.data;
|
|
39
|
+
orders.forEach((order) => {
|
|
35
40
|
order.account_id = credential.credentialId;
|
|
36
41
|
});
|
|
37
|
-
|
|
42
|
+
await (0, position_1.polyfillOrders)(orders);
|
|
43
|
+
return { res: { code: 0, message: 'OK', data: orders } };
|
|
38
44
|
});
|
|
39
45
|
// 10. Proxy Orders
|
|
40
46
|
// SubmitOrder
|
|
@@ -47,7 +53,8 @@ terminal.server.provideService('VEX/SubmitOrder', {
|
|
|
47
53
|
},
|
|
48
54
|
}, async (msg) => {
|
|
49
55
|
const credential = await (0, credential_1.getCredentialBySecretId)(msg.req.secret_id);
|
|
50
|
-
const
|
|
56
|
+
const [order] = await (0, position_1.polyfillOrders)([msg.req.order]);
|
|
57
|
+
const res = await (0, exchange_1.submitOrder)(terminal, credential.credential, order);
|
|
51
58
|
return { res };
|
|
52
59
|
});
|
|
53
60
|
// ModifyOrder
|
|
@@ -60,7 +67,8 @@ terminal.server.provideService('VEX/ModifyOrder', {
|
|
|
60
67
|
},
|
|
61
68
|
}, async (msg) => {
|
|
62
69
|
const credential = await (0, credential_1.getCredentialBySecretId)(msg.req.secret_id);
|
|
63
|
-
const
|
|
70
|
+
const [order] = await (0, position_1.polyfillOrders)([msg.req.order]);
|
|
71
|
+
const res = await (0, exchange_1.modifyOrder)(terminal, credential.credential, order);
|
|
64
72
|
return { res };
|
|
65
73
|
});
|
|
66
74
|
// CancelOrder
|
|
@@ -73,7 +81,8 @@ terminal.server.provideService('VEX/CancelOrder', {
|
|
|
73
81
|
},
|
|
74
82
|
}, async (msg) => {
|
|
75
83
|
const credential = await (0, credential_1.getCredentialBySecretId)(msg.req.secret_id);
|
|
76
|
-
const
|
|
84
|
+
const [order] = await (0, position_1.polyfillOrders)([msg.req.order]);
|
|
85
|
+
const res = await (0, exchange_1.cancelOrder)(terminal, credential.credential, order);
|
|
77
86
|
return { res };
|
|
78
87
|
});
|
|
79
88
|
//# sourceMappingURL=general.js.map
|
package/lib/general.js.map
CHANGED
|
@@ -1 +1 @@
|
|
|
1
|
-
{"version":3,"file":"general.js","sourceRoot":"","sources":["../src/general.ts"],"names":[],"mappings":";;AAEA,+CAAkG;AAClG,+CAA4C;AAC5C,6CAAuD;AACvD,
|
|
1
|
+
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product_id?: string }, IPosition[]>(\n 'VEX/GetPositions',\n {\n type: 'object',\n required: ['secret_id'],\n properties: {\n secret_id: { type: 'string' },\n product_id: { type: 'string' },\n },\n },\n async (msg) => {\n const credential = await getCredentialBySecretId(msg.req.secret_id);\n const res = await getPositions(terminal, credential.credential, msg.req.product_id);\n if (!res.data) return { res };\n const positions = await polyfillPosition(res.data);\n positions.forEach((pos) => {\n pos.account_id = credential.credentialId;\n });\n return { res: { code: 0, message: 'OK', data: positions } };\n },\n);\n\nterminal.server.provideService<{ secret_id: string; product_id?: string }, IOrder[]>(\n 'VEX/GetOrders',\n {\n type: 'object',\n required: ['secret_id'],\n properties: {\n secret_id: { type: 'string' },\n product_id: { type: 'string' },\n },\n },\n async (msg) => {\n const credential = await getCredentialBySecretId(msg.req.secret_id);\n const res = await getOrders(terminal, credential.credential, msg.req.product_id);\n if (!res.data) return { res };\n const orders = res.data;\n orders.forEach((order) => {\n order.account_id = credential.credentialId;\n });\n await polyfillOrders(orders);\n return { res: { code: 0, message: 'OK', data: orders } };\n },\n);\n\n// 10. Proxy Orders\n// SubmitOrder\nterminal.server.provideService<{ order: IOrder; secret_id: string }, { order_id: string }>(\n 'VEX/SubmitOrder',\n {\n type: 'object',\n required: ['order', 'secret_id'],\n properties: {\n order: { type: 'object' },\n secret_id: { type: 'string' },\n },\n },\n async (msg) => {\n const credential = await getCredentialBySecretId(msg.req.secret_id);\n const [order] = await polyfillOrders([msg.req.order]);\n const res = await submitOrder(terminal, credential.credential, order);\n return { res };\n },\n);\n\n// ModifyOrder\nterminal.server.provideService<{ order: IOrder; secret_id: string }, void>(\n 'VEX/ModifyOrder',\n {\n type: 'object',\n required: ['order', 'secret_id'],\n properties: {\n order: { type: 'object' },\n secret_id: { type: 'string' },\n },\n },\n async (msg) => {\n const credential = await getCredentialBySecretId(msg.req.secret_id);\n const [order] = await polyfillOrders([msg.req.order]);\n const res = await modifyOrder(terminal, credential.credential, order);\n return { res };\n },\n);\n\n// CancelOrder\nterminal.server.provideService<{ order: IOrder; secret_id: string }, void>(\n 'VEX/CancelOrder',\n {\n type: 'object',\n required: ['order', 'secret_id'],\n properties: {\n order: { type: 'object' },\n secret_id: { type: 'string' },\n },\n },\n async (msg) => {\n const credential = await getCredentialBySecretId(msg.req.secret_id);\n const [order] = await polyfillOrders([msg.req.order]);\n const res = await cancelOrder(terminal, credential.credential, order);\n return { res };\n },\n);\n"]}
|
package/lib/legacy-services.js
CHANGED
|
@@ -19,6 +19,9 @@ credential_1.validCredentials$
|
|
|
19
19
|
if (!res.data)
|
|
20
20
|
throw (0, utils_1.newError)('FETCH_POSITIONS_FAILED', { credential_id, res });
|
|
21
21
|
const polyfilledPositions = await (0, position_1.polyfillPosition)(res.data);
|
|
22
|
+
polyfilledPositions.forEach((pos) => {
|
|
23
|
+
pos.account_id = credential_id;
|
|
24
|
+
});
|
|
22
25
|
return polyfilledPositions;
|
|
23
26
|
}, {
|
|
24
27
|
auto_refresh_interval: 1000,
|
|
@@ -36,6 +39,7 @@ credential_1.validCredentials$
|
|
|
36
39
|
res.data.forEach((order) => {
|
|
37
40
|
order.account_id = credential_id;
|
|
38
41
|
});
|
|
42
|
+
await (0, position_1.polyfillOrders)(res.data);
|
|
39
43
|
return res.data;
|
|
40
44
|
}, {
|
|
41
45
|
auto_refresh_interval: 10000,
|
|
@@ -53,7 +57,8 @@ credential_1.validCredentials$
|
|
|
53
57
|
account_id: { type: 'string', const: credential_id },
|
|
54
58
|
},
|
|
55
59
|
}, async (msg) => {
|
|
56
|
-
const
|
|
60
|
+
const [order] = await (0, position_1.polyfillOrders)([msg.req]);
|
|
61
|
+
const res = await (0, exchange_1.submitOrder)(terminal, credential, order);
|
|
57
62
|
return { res };
|
|
58
63
|
});
|
|
59
64
|
sub.add(() => {
|
|
@@ -69,7 +74,8 @@ credential_1.validCredentials$
|
|
|
69
74
|
account_id: { type: 'string', const: credential_id },
|
|
70
75
|
},
|
|
71
76
|
}, async (msg) => {
|
|
72
|
-
const
|
|
77
|
+
const [order] = await (0, position_1.polyfillOrders)([msg.req]);
|
|
78
|
+
const res = await (0, exchange_1.modifyOrder)(terminal, credential, order);
|
|
73
79
|
return { res };
|
|
74
80
|
});
|
|
75
81
|
sub.add(() => {
|
|
@@ -85,7 +91,8 @@ credential_1.validCredentials$
|
|
|
85
91
|
account_id: { type: 'string', const: credential_id },
|
|
86
92
|
},
|
|
87
93
|
}, async (msg) => {
|
|
88
|
-
const
|
|
94
|
+
const [order] = await (0, position_1.polyfillOrders)([msg.req]);
|
|
95
|
+
const res = await (0, exchange_1.cancelOrder)(terminal, credential, order);
|
|
89
96
|
return { res };
|
|
90
97
|
});
|
|
91
98
|
sub.add(() => {
|
|
@@ -1 +1 @@
|
|
|
1
|
-
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|
|
1
|
+
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{ provideAccountInfoService } from '@yuants/data-account';\nimport { IOrder, providePendingOrdersService } from '@yuants/data-order';\nimport { cancelOrder, getOrders, getPositions, modifyOrder, submitOrder } from '@yuants/exchange';\nimport { Terminal } from '@yuants/protocol';\nimport { listWatch, newError } from '@yuants/utils';\nimport { map, Observable } from 'rxjs';\nimport { validCredentials$ } from './credential';\nimport { polyfillOrders, polyfillPosition } from './position';\n\nconst terminal = Terminal.fromNodeEnv();\n\nvalidCredentials$\n .pipe(\n map((x) => Array.from(x.entries())),\n listWatch(\n ([id]) => id,\n ([credential_id, credential]) =>\n new Observable((sub) => {\n console.info(`Setting up VEX services for credential: ${credential_id}`);\n // Setup AccountInfo Service\n {\n const service = provideAccountInfoService(\n terminal,\n credential_id,\n async () => {\n const res = await getPositions(terminal, credential);\n if (!res.data) throw newError('FETCH_POSITIONS_FAILED', { credential_id, res });\n const polyfilledPositions = await polyfillPosition(res.data);\n polyfilledPositions.forEach((pos) => {\n pos.account_id = credential_id;\n });\n return polyfilledPositions;\n },\n {\n auto_refresh_interval: 1000,\n },\n );\n sub.add(() => {\n service.dispose$.next();\n });\n }\n // Setup Pending Orders Service\n {\n const service = providePendingOrdersService(\n terminal,\n credential_id,\n async () => {\n const res = await getOrders(terminal, credential);\n if (!res.data) throw newError('FETCH_ORDERS_FAILED', { credential_id, res });\n\n res.data.forEach((order) => {\n order.account_id = credential_id;\n });\n\n await polyfillOrders(res.data);\n\n return res.data;\n },\n {\n auto_refresh_interval: 10000,\n },\n );\n sub.add(() => {\n service.dispose$.next();\n });\n }\n // Setup SubmitOrder Service\n {\n const service = terminal.server.provideService<IOrder, { order_id: string }>(\n 'SubmitOrder',\n {\n type: 'object',\n required: ['account_id'],\n properties: {\n account_id: { type: 'string', const: credential_id },\n },\n },\n async (msg) => {\n const [order] = await polyfillOrders([msg.req]);\n const res = await submitOrder(terminal, credential, order);\n return { res };\n },\n );\n sub.add(() => {\n service.dispose();\n });\n }\n\n // Setup ModifyOrder Service\n {\n const service = terminal.server.provideService<IOrder, void>(\n 'ModifyOrder',\n {\n type: 'object',\n required: ['account_id'],\n properties: {\n account_id: { type: 'string', const: credential_id },\n },\n },\n async (msg) => {\n const [order] = await polyfillOrders([msg.req]);\n const res = await modifyOrder(terminal, credential, order);\n return { res };\n },\n );\n sub.add(() => {\n service.dispose();\n });\n }\n\n // Setup CancelOrder Service\n {\n const service = terminal.server.provideService<IOrder, void>(\n 'CancelOrder',\n {\n type: 'object',\n required: ['account_id'],\n properties: {\n account_id: { type: 'string', const: credential_id },\n },\n },\n async (msg) => {\n const [order] = await polyfillOrders([msg.req]);\n const res = await cancelOrder(terminal, credential, order);\n return { res };\n },\n );\n sub.add(() => {\n service.dispose();\n });\n }\n }),\n ),\n )\n .subscribe();\n"]}
|
package/lib/position.d.ts
CHANGED
|
@@ -1,3 +1,5 @@
|
|
|
1
1
|
import { IPosition } from '@yuants/data-account';
|
|
2
|
+
import { IOrder } from '@yuants/data-order';
|
|
2
3
|
export declare const polyfillPosition: (positions: IPosition[]) => Promise<IPosition[]>;
|
|
4
|
+
export declare const polyfillOrders: (orders: IOrder[]) => Promise<IOrder[]>;
|
|
3
5
|
//# sourceMappingURL=position.d.ts.map
|
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;
|
|
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,CAwDlF,CAAC;AAEF,eAAO,MAAM,cAAc,WAAkB,MAAM,EAAE,KAAG,QAAQ,MAAM,EAAE,CA4BvE,CAAC"}
|
package/lib/position.js
CHANGED
|
@@ -1,10 +1,11 @@
|
|
|
1
1
|
"use strict";
|
|
2
2
|
Object.defineProperty(exports, "__esModule", { value: true });
|
|
3
|
-
exports.polyfillPosition = void 0;
|
|
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
6
|
const protocol_1 = require("@yuants/protocol");
|
|
7
7
|
const sql_1 = require("@yuants/sql");
|
|
8
|
+
const utils_1 = require("@yuants/utils");
|
|
8
9
|
const terminal = protocol_1.Terminal.fromNodeEnv();
|
|
9
10
|
const productCache = (0, data_product_1.createClientProductCache)(terminal);
|
|
10
11
|
const quoteCache = (0, cache_1.createCache)(async (product_id) => {
|
|
@@ -17,8 +18,15 @@ const interestRateIntervalCache = (0, cache_1.createCache)(async (product_id) =>
|
|
|
17
18
|
const rates = await (0, sql_1.requestSQL)(terminal, sql);
|
|
18
19
|
if (rates.length < 2)
|
|
19
20
|
return undefined;
|
|
20
|
-
|
|
21
|
-
|
|
21
|
+
const prev = new Date(rates[0].created_at).getTime();
|
|
22
|
+
const prevOfPrev = new Date(rates[1].created_at).getTime();
|
|
23
|
+
const interval = prev - prevOfPrev;
|
|
24
|
+
return {
|
|
25
|
+
prev,
|
|
26
|
+
prevOfPrev,
|
|
27
|
+
interval,
|
|
28
|
+
};
|
|
29
|
+
}, { swrAfter: 3600000, expire: 8 * 3600000 });
|
|
22
30
|
const polyfillPosition = async (positions) => {
|
|
23
31
|
// TODO: 使用 batch query SQL 优化 product / quote 查询性能
|
|
24
32
|
for (const pos of positions) {
|
|
@@ -47,8 +55,15 @@ const polyfillPosition = async (positions) => {
|
|
|
47
55
|
// 利率相关信息的追加
|
|
48
56
|
if (quote) {
|
|
49
57
|
if (quote.interest_rate_next_settled_at !== null) {
|
|
58
|
+
// 优先使用行情数据中的下一个结算时间
|
|
50
59
|
pos.settlement_scheduled_at = new Date(quote.interest_rate_next_settled_at).getTime();
|
|
51
60
|
}
|
|
61
|
+
else if (quote.interest_rate_next_settled_at === null && interestRateInterval !== undefined) {
|
|
62
|
+
// 估算下一个结算时间
|
|
63
|
+
// 找到 prev + k * interval > now 的最小 k，则下一个结算时间为 prev + k * interval
|
|
64
|
+
const k = Math.ceil((Date.now() - interestRateInterval.prev) / interestRateInterval.interval);
|
|
65
|
+
pos.settlement_scheduled_at = interestRateInterval.prev + k * interestRateInterval.interval;
|
|
66
|
+
}
|
|
52
67
|
if (pos.direction === 'LONG') {
|
|
53
68
|
if (quote.interest_rate_long !== null) {
|
|
54
69
|
pos.interest_to_settle = +quote.interest_rate_long * pos.valuation;
|
|
@@ -61,10 +76,41 @@ const polyfillPosition = async (positions) => {
|
|
|
61
76
|
}
|
|
62
77
|
}
|
|
63
78
|
if (interestRateInterval) {
|
|
64
|
-
pos.settlement_interval = interestRateInterval;
|
|
79
|
+
pos.settlement_interval = interestRateInterval.interval;
|
|
65
80
|
}
|
|
66
81
|
}
|
|
67
82
|
return positions;
|
|
68
83
|
};
|
|
69
84
|
exports.polyfillPosition = polyfillPosition;
|
|
85
|
+
const polyfillOrders = async (orders) => {
|
|
86
|
+
for (const order of orders) {
|
|
87
|
+
const theProduct = await productCache.query(order.product_id);
|
|
88
|
+
if (theProduct) {
|
|
89
|
+
if (order.size !== undefined) {
|
|
90
|
+
const sizeNum = +order.size;
|
|
91
|
+
const sizeStep = theProduct.volume_step * theProduct.value_scale;
|
|
92
|
+
if (!(sizeStep > 0))
|
|
93
|
+
throw (0, utils_1.newError)('INVALID_SIZE_STEP', { product: theProduct, sizeStep });
|
|
94
|
+
// check size is multiple of sizeStep
|
|
95
|
+
if (Math.abs(sizeNum - Math.round(sizeNum / sizeStep) * sizeStep) > 1e-16) {
|
|
96
|
+
throw (0, utils_1.newError)('INVALID_ORDER_SIZE_NOT_MULTIPLE_OF_SIZE_STEP', {
|
|
97
|
+
order,
|
|
98
|
+
sizeStep,
|
|
99
|
+
sizeNum,
|
|
100
|
+
product: theProduct,
|
|
101
|
+
});
|
|
102
|
+
}
|
|
103
|
+
if (sizeNum >= 0) {
|
|
104
|
+
order.order_direction = order.is_close ? 'CLOSE_SHORT' : 'OPEN_LONG';
|
|
105
|
+
}
|
|
106
|
+
else {
|
|
107
|
+
order.order_direction = order.is_close ? 'CLOSE_LONG' : 'OPEN_SHORT';
|
|
108
|
+
}
|
|
109
|
+
order.volume = Math.abs(sizeNum) / theProduct.value_scale;
|
|
110
|
+
}
|
|
111
|
+
}
|
|
112
|
+
}
|
|
113
|
+
return orders;
|
|
114
|
+
};
|
|
115
|
+
exports.polyfillOrders = polyfillOrders;
|
|
70
116
|
//# sourceMappingURL=position.js.map
|
package/lib/position.js.map
CHANGED
|
@@ -1 +1 @@
|
|
|
1
|
-
{"version":3,"file":"position.js","sourceRoot":"","sources":["../src/position.ts"],"names":[],"mappings":";;;AAAA,yCAA4C;
|
|
1
|
+
{"version":3,"file":"position.js","sourceRoot":"","sources":["../src/position.ts"],"names":[],"mappings":";;;AAAA,yCAA4C;AAG5C,uDAAgE;AAEhE,+CAA4C;AAC5C,qCAAoD;AACpD,yCAAyC;AAEzC,MAAM,QAAQ,GAAG,mBAAQ,CAAC,WAAW,EAAE,CAAC;AACxC,MAAM,YAAY,GAAG,IAAA,uCAAwB,EAAC,QAAQ,CAAC,CAAC;AACxD,MAAM,UAAU,GAAG,IAAA,mBAAW,EAC5B,KAAK,EAAE,UAAU,EAAE,EAAE;IACnB,MAAM,GAAG,GAAG,0CAA0C,IAAA,eAAS,EAAC,UAAU,CAAC,EAAE,CAAC;IAC9E,MAAM,CAAC,KAAK,CAAC,GAAG,MAAM,IAAA,gBAAU,EAAW,QAAQ,EAAE,GAAG,CAAC,CAAC;IAC1D,OAAO,KAAK,CAAC;AACf,CAAC,EACD,EAAE,MAAM,EAAE,KAAM,EAAE,CACnB,CAAC;AAEF,MAAM,yBAAyB,GAAG,IAAA,mBAAW,EAC3C,KAAK,EAAE,UAAkB,EAAE,EAAE;IAC3B,MAAM,GAAG,GAAG,0DAA0D,IAAA,eAAS,EAC7E,UAAU,CACX,mCAAmC,CAAC;IACrC,MAAM,KAAK,GAAG,MAAM,IAAA,gBAAU,EAA2B,QAAQ,EAAE,GAAG,CAAC,CAAC;IACxE,IAAI,KAAK,CAAC,MAAM,GAAG,CAAC;QAAE,OAAO,SAAS,CAAC;IACvC,MAAM,IAAI,GAAG,IAAI,IAAI,CAAC,KAAK,CAAC,CAAC,CAAC,CAAC,UAAU,CAAC,CAAC,OAAO,EAAE,CAAC;IACrD,MAAM,UAAU,GAAG,IAAI,IAAI,CAAC,KAAK,CAAC,CAAC,CAAC,CAAC,UAAU,CAAC,CAAC,OAAO,EAAE,CAAC;IAC3D,MAAM,QAAQ,GAAG,IAAI,GAAG,UAAU,CAAC;IACnC,OAAO;QACL,IAAI;QACJ,UAAU;QACV,QAAQ;KACT,CAAC;AACJ,CAAC,EACD,EAAE,QAAQ,EAAE,OAAQ,EAAE,MAAM,EAAE,CAAC,GAAG,OAAQ,EAAE,CAC7C,CAAC;AAEK,MAAM,gBAAgB,GAAG,KAAK,EAAE,SAAsB,EAAwB,EAAE;IACrF,mDAAmD;IACnD,KAAK,MAAM,GAAG,IAAI,SAAS,EAAE;QAC3B,MAAM,CAAC,UAAU,EAAE,KAAK,EAAE,oBAAoB,CAAC,GAAG,MAAM,OAAO,CAAC,GAAG,CAAC;YAClE,YAAY,CAAC,KAAK,CAAC,GAAG,CAAC,UAAU,CAAC;YAClC,UAAU,CAAC,KAAK,CAAC,GAAG,CAAC,UAAU,CAAC;YAChC,yBAAyB,CAAC,KAAK,CAAC,GAAG,CAAC,UAAU,CAAC;SAChD,CAAC,CAAC;QAEH,6CAA6C;QAC7C,IAAI,UAAU,EAAE;YACd,IAAI,UAAU,CAAC,aAAa,EAAE;gBAC5B,GAAG,CAAC,aAAa,GAAG,UAAU,CAAC,aAAa,CAAC;aAC9C;YACD,IAAI,UAAU,CAAC,cAAc,EAAE;gBAC7B,GAAG,CAAC,cAAc,GAAG,UAAU,CAAC,cAAc,CAAC;aAChD;YACD,IAAI,GAAG,CAAC,IAAI,KAAK,SAAS,IAAI,GAAG,CAAC,MAAM,KAAK,SAAS,IAAI,GAAG,CAAC,SAAS,KAAK,SAAS,EAAE;gBACrF,GAAG,CAAC,IAAI,GAAG,CAAC,GAAG,CAAC,SAAS,KAAK,MAAM,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,GAAG,GAAG,CAAC,MAAM,GAAG,CAAC,UAAU,CAAC,WAAW,IAAI,CAAC,CAAC,GAAG,EAAE,CAAC;aAClG;YACD,IAAI,GAAG,CAAC,SAAS,KAAK,SAAS,IAAI,GAAG,CAAC,WAAW,KAAK,SAAS,IAAI,GAAG,CAAC,SAAS,KAAK,SAAS,EAAE;gBAC/F,GAAG,CAAC,SAAS;oBACX,CAAC,GAAG,CAAC,SAAS,KAAK,MAAM,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,GAAG,GAAG,CAAC,WAAW,GAAG,CAAC,UAAU,CAAC,WAAW,IAAI,CAAC,CAAC,GAAG,EAAE,CAAC;aAC9F;YACD,GAAG,CAAC,SAAS,GAAG,IAAI,CAAC,GAAG,CAAC,CAAC,UAAU,CAAC,WAAW,IAAI,CAAC,CAAC,GAAG,GAAG,CAAC,MAAM,GAAG,GAAG,CAAC,cAAc,CAAC,CAAC;SAC3F;QAED,YAAY;QACZ,IAAI,KAAK,EAAE;YACT,IAAI,KAAK,CAAC,6BAA6B,KAAK,IAAI,EAAE;gBAChD,oBAAoB;gBACpB,GAAG,CAAC,uBAAuB,GAAG,IAAI,IAAI,CAAC,KAAK,CAAC,6BAA6B,CAAC,CAAC,OAAO,EAAE,CAAC;aACvF;iBAAM,IAAI,KAAK,CAAC,6BAA6B,KAAK,IAAI,IAAI,oBAAoB,KAAK,SAAS,EAAE;gBAC7F,YAAY;gBACZ,mEAAmE;gBACnE,MAAM,CAAC,GAAG,IAAI,CAAC,IAAI,CAAC,CAAC,IAAI,CAAC,GAAG,EAAE,GAAG,oBAAoB,CAAC,IAAI,CAAC,GAAG,oBAAoB,CAAC,QAAQ,CAAC,CAAC;gBAC9F,GAAG,CAAC,uBAAuB,GAAG,oBAAoB,CAAC,IAAI,GAAG,CAAC,GAAG,oBAAoB,CAAC,QAAQ,CAAC;aAC7F;YAED,IAAI,GAAG,CAAC,SAAS,KAAK,MAAM,EAAE;gBAC5B,IAAI,KAAK,CAAC,kBAAkB,KAAK,IAAI,EAAE;oBACrC,GAAG,CAAC,kBAAkB,GAAG,CAAC,KAAK,CAAC,kBAAkB,GAAG,GAAG,CAAC,SAAS,CAAC;iBACpE;aACF;YACD,IAAI,GAAG,CAAC,SAAS,KAAK,OAAO,EAAE;gBAC7B,IAAI,KAAK,CAAC,mBAAmB,KAAK,IAAI,EAAE;oBACtC,GAAG,CAAC,kBAAkB,GAAG,CAAC,KAAK,CAAC,mBAAmB,GAAG,GAAG,CAAC,SAAS,CAAC;iBACrE;aACF;SACF;QAED,IAAI,oBAAoB,EAAE;YACxB,GAAG,CAAC,mBAAmB,GAAG,oBAAoB,CAAC,QAAQ,CAAC;SACzD;KACF;IACD,OAAO,SAAS,CAAC;AACnB,CAAC,CAAC;AAxDW,QAAA,gBAAgB,oBAwD3B;AAEK,MAAM,cAAc,GAAG,KAAK,EAAE,MAAgB,EAAqB,EAAE;IAC1E,KAAK,MAAM,KAAK,IAAI,MAAM,EAAE;QAC1B,MAAM,UAAU,GAAG,MAAM,YAAY,CAAC,KAAK,CAAC,KAAK,CAAC,UAAU,CAAC,CAAC;QAC9D,IAAI,UAAU,EAAE;YACd,IAAI,KAAK,CAAC,IAAI,KAAK,SAAS,EAAE;gBAC5B,MAAM,OAAO,GAAG,CAAC,KAAK,CAAC,IAAI,CAAC;gBAC5B,MAAM,QAAQ,GAAG,UAAU,CAAC,WAAW,GAAG,UAAU,CAAC,WAAW,CAAC;gBACjE,IAAI,CAAC,CAAC,QAAQ,GAAG,CAAC,CAAC;oBAAE,MAAM,IAAA,gBAAQ,EAAC,mBAAmB,EAAE,EAAE,OAAO,EAAE,UAAU,EAAE,QAAQ,EAAE,CAAC,CAAC;gBAC5F,qCAAqC;gBACrC,IAAI,IAAI,CAAC,GAAG,CAAC,OAAO,GAAG,IAAI,CAAC,KAAK,CAAC,OAAO,GAAG,QAAQ,CAAC,GAAG,QAAQ,CAAC,GAAG,KAAK,EAAE;oBACzE,MAAM,IAAA,gBAAQ,EAAC,8CAA8C,EAAE;wBAC7D,KAAK;wBACL,QAAQ;wBACR,OAAO;wBACP,OAAO,EAAE,UAAU;qBACpB,CAAC,CAAC;iBACJ;gBAED,IAAI,OAAO,IAAI,CAAC,EAAE;oBAChB,KAAK,CAAC,eAAe,GAAG,KAAK,CAAC,QAAQ,CAAC,CAAC,CAAC,aAAa,CAAC,CAAC,CAAC,WAAW,CAAC;iBACtE;qBAAM;oBACL,KAAK,CAAC,eAAe,GAAG,KAAK,CAAC,QAAQ,CAAC,CAAC,CAAC,YAAY,CAAC,CAAC,CAAC,YAAY,CAAC;iBACtE;gBACD,KAAK,CAAC,MAAM,GAAG,IAAI,CAAC,GAAG,CAAC,OAAO,CAAC,GAAG,UAAU,CAAC,WAAW,CAAC;aAC3D;SACF;KACF;IACD,OAAO,MAAM,CAAC;AAChB,CAAC,CAAC;AA5BW,QAAA,cAAc,kBA4BzB","sourcesContent":["import { 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: 3600_000, expire: 8 * 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 // 利率相关信息的追加\n if (quote) {\n if (quote.interest_rate_next_settled_at !== null) {\n // 优先使用行情数据中的下一个结算时间\n pos.settlement_scheduled_at = new Date(quote.interest_rate_next_settled_at).getTime();\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 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 if (interestRateInterval) {\n pos.settlement_interval = interestRateInterval.interval;\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
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@@ -1,6 +1,6 @@
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{
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"name": "@yuants/app-virtual-exchange",
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"version": "0.
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"version": "0.8.0",
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"main": "lib/index.js",
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"files": [
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"dist",
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@@ -11,12 +11,12 @@
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"@yuants/protocol": "0.53.2",
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"@yuants/utils": "0.14.0",
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"@yuants/data-product": "0.5.0",
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-
"@yuants/data-account": "0.10.
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15
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"@yuants/data-order": "0.
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+
"@yuants/data-account": "0.10.1",
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"@yuants/data-order": "0.7.0",
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"@yuants/data-quote": "0.2.43",
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"@yuants/secret": "0.3.13",
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"@yuants/sql": "0.9.30",
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19
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-
"@yuants/exchange": "0.5.
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+
"@yuants/exchange": "0.5.1",
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"@yuants/cache": "0.3.3",
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"rxjs": "~7.5.6",
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"ajv": "~8.12.0"
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package/temp/package-deps.json
CHANGED
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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": "2eff996425f4f7ead9024824f7bb4fb7717ddbe5",
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"apps/virtual-exchange/CHANGELOG.md": "cd989fdca5e96c0629ad50740eb60c9781b852ad",
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"apps/virtual-exchange/api-extractor.json": "62f4fd324425b9a235f0c117975967aab09ced0c",
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"apps/virtual-exchange/config/jest.config.json": "4bb17bde3ee911163a3edb36a6eb71491d80b1bd",
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"apps/virtual-exchange/config/rig.json": "f6c7b5537dc77a3170ba9f008bae3b6c3ee11956",
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"apps/virtual-exchange/config/typescript.json": "854907e8a821f2050f6533368db160c649c25348",
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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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+
"apps/virtual-exchange/package.json": "0ed67aa66e97585d7cb5c19344320e1f9b76d917",
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10
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"apps/virtual-exchange/src/credential.ts": "f839246750fcbddd9a6a29bf3de54631a92c88b7",
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-
"apps/virtual-exchange/src/general.ts": "
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"apps/virtual-exchange/src/general.ts": "b3d0cd8c57975b9711008beaa05ad7f6812bd57e",
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"apps/virtual-exchange/src/index.ts": "8d7f19a07e6be09c4d8fd4a49ddb3127d3fbf3de",
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"apps/virtual-exchange/src/legacy-services.ts": "
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"apps/virtual-exchange/src/position.ts": "
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"apps/virtual-exchange/src/legacy-services.ts": "a9f6b6c61b7a0efc909a443e6fde88c2766562bf",
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"apps/virtual-exchange/src/position.ts": "41aba2456041b80074801e110b0becf58bf4cc7e",
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"apps/virtual-exchange/src/product-collector.ts": "15ba0a692d694d20b607eaad0287a864577ef30c",
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"apps/virtual-exchange/tsconfig.json": "22f94ca28b507f8ddcc21b9053158eefd3f726a9",
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"apps/virtual-exchange/.rush/temp/shrinkwrap-deps.json": "2c8344167a574161e8a89138bc1eb686bf6339de",
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"libraries/protocol/temp/package-deps.json": "0bd43721e96039b52d7b59c834dc6df45cf75e3f",
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"libraries/utils/temp/package-deps.json": "6d58e9b325e8d16de8a878c32010f626b12a01da",
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"libraries/data-product/temp/package-deps.json": "a03f08f30800d5fb52c5d019bda4f8e7ec04e344",
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"libraries/data-account/temp/package-deps.json": "
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"libraries/data-order/temp/package-deps.json": "
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"libraries/data-account/temp/package-deps.json": "e6ba0067a1b68f17266564f15987936ab2672eb9",
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"libraries/data-order/temp/package-deps.json": "ccdc9819f254f37a3591bb37876a86c703df33a6",
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"libraries/data-quote/temp/package-deps.json": "34d079eab44d2bf65e07b112ac2099c6e92a015e",
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"libraries/secret/temp/package-deps.json": "d7bea10938c76e2e654781b013cc7be5eaa04ede",
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"libraries/sql/temp/package-deps.json": "4a9a7ec55f04b20459e664e81e76fa74b6c77b39",
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"libraries/exchange/temp/package-deps.json": "
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"libraries/exchange/temp/package-deps.json": "2679f6d65ffd785cbca43cfbe5b6b9a13c7c003d",
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"libraries/cache/temp/package-deps.json": "a4afa15e6462983f9d3735d31dc1ed8a683fb4dc",
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"tools/toolkit/temp/package-deps.json": "23e053490eb8feade23e4d45de4e54883e322711"
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}
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