@yuants/app-virtual-exchange 0.7.2 → 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 +35 -4
- 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 +37 -5
- 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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res.data.forEach((order) => {
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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) => {
|
|
@@ -17,14 +18,12 @@ const interestRateIntervalCache = createCache(async (product_id) => {
|
|
|
17
18
|
const prev = new Date(rates[0].created_at).getTime();
|
|
18
19
|
const prevOfPrev = new Date(rates[1].created_at).getTime();
|
|
19
20
|
const interval = prev - prevOfPrev;
|
|
20
|
-
const next = prev + interval;
|
|
21
21
|
return {
|
|
22
22
|
prev,
|
|
23
23
|
prevOfPrev,
|
|
24
24
|
interval,
|
|
25
|
-
next,
|
|
26
25
|
};
|
|
27
|
-
});
|
|
26
|
+
}, { swrAfter: 3600000, expire: 8 * 3600000 });
|
|
28
27
|
export const polyfillPosition = async (positions) => {
|
|
29
28
|
// TODO: 使用 batch query SQL 优化 product / quote 查询性能
|
|
30
29
|
for (const pos of positions) {
|
|
@@ -58,7 +57,9 @@ export const polyfillPosition = async (positions) => {
|
|
|
58
57
|
}
|
|
59
58
|
else if (quote.interest_rate_next_settled_at === null && interestRateInterval !== undefined) {
|
|
60
59
|
// 估算下一个结算时间
|
|
61
|
-
|
|
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;
|
|
62
63
|
}
|
|
63
64
|
if (pos.direction === 'LONG') {
|
|
64
65
|
if (quote.interest_rate_long !== null) {
|
|
@@ -77,4 +78,34 @@ export const polyfillPosition = async (positions) => {
|
|
|
77
78
|
}
|
|
78
79
|
return positions;
|
|
79
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
|
+
};
|
|
80
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) => {
|
|
@@ -20,14 +21,12 @@ const interestRateIntervalCache = (0, cache_1.createCache)(async (product_id) =>
|
|
|
20
21
|
const prev = new Date(rates[0].created_at).getTime();
|
|
21
22
|
const prevOfPrev = new Date(rates[1].created_at).getTime();
|
|
22
23
|
const interval = prev - prevOfPrev;
|
|
23
|
-
const next = prev + interval;
|
|
24
24
|
return {
|
|
25
25
|
prev,
|
|
26
26
|
prevOfPrev,
|
|
27
27
|
interval,
|
|
28
|
-
next,
|
|
29
28
|
};
|
|
30
|
-
});
|
|
29
|
+
}, { swrAfter: 3600000, expire: 8 * 3600000 });
|
|
31
30
|
const polyfillPosition = async (positions) => {
|
|
32
31
|
// TODO: 使用 batch query SQL 优化 product / quote 查询性能
|
|
33
32
|
for (const pos of positions) {
|
|
@@ -61,7 +60,9 @@ const polyfillPosition = async (positions) => {
|
|
|
61
60
|
}
|
|
62
61
|
else if (quote.interest_rate_next_settled_at === null && interestRateInterval !== undefined) {
|
|
63
62
|
// 估算下一个结算时间
|
|
64
|
-
|
|
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;
|
|
65
66
|
}
|
|
66
67
|
if (pos.direction === 'LONG') {
|
|
67
68
|
if (quote.interest_rate_long !== null) {
|
|
@@ -81,4 +82,35 @@ const polyfillPosition = async (positions) => {
|
|
|
81
82
|
return positions;
|
|
82
83
|
};
|
|
83
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;
|
|
84
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
|
+
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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"]}
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package/package.json
CHANGED
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@@ -1,6 +1,6 @@
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1
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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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12
12
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"@yuants/utils": "0.14.0",
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13
13
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"@yuants/data-product": "0.5.0",
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14
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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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14
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+
"@yuants/data-account": "0.10.1",
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15
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+
"@yuants/data-order": "0.7.0",
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16
16
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"@yuants/data-quote": "0.2.43",
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17
17
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"@yuants/secret": "0.3.13",
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18
18
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"@yuants/sql": "0.9.30",
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19
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-
"@yuants/exchange": "0.5.
|
|
19
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+
"@yuants/exchange": "0.5.1",
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20
20
|
"@yuants/cache": "0.3.3",
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21
21
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"rxjs": "~7.5.6",
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22
22
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"ajv": "~8.12.0"
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package/temp/package-deps.json
CHANGED
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@@ -1,29 +1,29 @@
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1
1
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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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5
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"apps/virtual-exchange/config/jest.config.json": "4bb17bde3ee911163a3edb36a6eb71491d80b1bd",
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6
6
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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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8
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"apps/virtual-exchange/etc/app-virtual-exchange.api.md": "6cb40ec1fa2d40a31a7b0dd3f02b8b24a4d7c4de",
|
|
9
|
-
"apps/virtual-exchange/package.json": "
|
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9
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+
"apps/virtual-exchange/package.json": "0ed67aa66e97585d7cb5c19344320e1f9b76d917",
|
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10
10
|
"apps/virtual-exchange/src/credential.ts": "f839246750fcbddd9a6a29bf3de54631a92c88b7",
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11
|
-
"apps/virtual-exchange/src/general.ts": "
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|
+
"apps/virtual-exchange/src/general.ts": "b3d0cd8c57975b9711008beaa05ad7f6812bd57e",
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12
12
|
"apps/virtual-exchange/src/index.ts": "8d7f19a07e6be09c4d8fd4a49ddb3127d3fbf3de",
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13
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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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15
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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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