@yuants/app-virtual-exchange 0.8.0 → 0.9.0

package/dist/credential.js

@@ -1,35 +1,61 @@
 import { createCache } from '@yuants/cache';
 import { getCredentialId } from '@yuants/exchange';
 import { Terminal } from '@yuants/protocol';
-import { readSecret, writeSecret } from '@yuants/secret';
+import { listSecrets, readSecret, writeSecret } from '@yuants/secret';
 import { escapeSQL, requestSQL } from '@yuants/sql';
 import { newError } from '@yuants/utils';
 import { defer, firstValueFrom, map, repeat, retry, shareReplay } from 'rxjs';
 const terminal = Terminal.fromNodeEnv();
 const credentialReader = process.env.NODE_UNIT_PUBLIC_KEY || terminal.keyPair.public_key;
+/**
+ * 根据 secret sign 解析出对应的 exchange credential
+ * 此处可以做缓存，因为同一个 secret sign 对应的 credential 信息永远不会变化，可以节约解密和后续 SQL 查询的开销
+ * 得到 credential 后，此 credential 不一定是有效的，因为可能凭证信息已经过期或被撤销
+ */
+const secretSignToCredentialIdCache = createCache(async (sign) => {
+    const sql = `SELECT * FROM secret WHERE sign = ${escapeSQL(sign)} LIMIT 1;`;
+    const res = await requestSQL(terminal, sql);
+    if (res.length === 0)
+        throw newError('SECRET_NOT_FOUND', { sign });
+    const secret = res[0];
+    const decrypted = await readSecret(terminal, secret);
+    const credential = JSON.parse(new TextDecoder().decode(decrypted));
+    return credential;
+});
+/**
+ * 根据 credential 信息解析出对应的 credential ID
+ * 此处可以做缓存，因为同一个 credential 永远对应同一个 credential ID，可以节约后续 SQL 查询的开销
+ * 但是需要注意的是，credential ID 可能会因为凭证被撤销而失效，但是可以在下游调用其他服务时感知到，因此可以永久缓存
+ */
 const credentialIdCache = createCache(async (credentialKey) => {
     const credential = JSON.parse(credentialKey);
     const res = await getCredentialId(terminal, credential);
     return res.data;
 });
-export const listAllCredentials = async () => {
-    const secrets = await requestSQL(terminal, `select * from secret where tags->>'type' = 'exchange_credential' and reader = ${escapeSQL(credentialReader)}`);
-    const results = secrets.map((secret) => ({ secret }));
-    await Promise.all(results.map(async (result) => {
-        try {
-            const decrypted = await readSecret(terminal, result.secret);
-            const credential = JSON.parse(new TextDecoder().decode(decrypted));
-            result.credential = credential;
-            const res = await credentialIdCache.query(JSON.stringify(credential));
-            if (res) {
-                result.credentialId = res;
-            }
+const listAllCredentials = async () => {
+    const secrets = await listSecrets(terminal, {
+        reader: credentialReader,
+        tags: { type: 'exchange_credential' },
+    });
+    const results = await Promise.allSettled(secrets.map((secret) => getCredentialBySecretId(secret.sign)));
+    return results.map((result, index) => {
+        if (result.status === 'fulfilled') {
+            return {
+                sign: secrets[index].sign,
+                credential: result.value.credential,
+                credentialId: result.value.credentialId,
+                error: null,
+            };
         }
-        catch (e) {
-            result.reason = `${e}`;
+        else {
+            return {
+                sign: secrets[index].sign,
+                credential: null,
+                credentialId: null,
+                error: `${result.reason}`,
+            };
         }
-    }));
-    return results;
+    });
 };
 terminal.server.provideService('VEX/RegisterExchangeCredential', {
     type: 'object',
@@ -44,6 +70,7 @@ terminal.server.provideService('VEX/RegisterExchangeCredential', {
     const secret = await writeSecret(terminal, credentialReader, { type: 'exchange_credential' }, secretData);
     return { res: { code: 0, message: 'OK', data: secret } };
 });
+// For Debugging Purpose
 terminal.server.provideService('VEX/ListExchangeCredential', {}, async () => {
     return { res: { code: 0, message: 'OK', data: await listAllCredentials() } };
 });
@@ -51,8 +78,7 @@ terminal.server.provideService('VEX/ListCredentials', {}, async () => {
     const credentials = await firstValueFrom(validCredentials$);
     return { res: { code: 0, message: 'OK', data: [...credentials.keys()] } };
 });
-const credentialCache = createCache(() => listAllCredentials(), { swrAfter: 10000, expire: 3600000 });
-export const validCredentials$ = defer(() => credentialCache.query('')).pipe(map((x) => {
+export const validCredentials$ = defer(() => listAllCredentials()).pipe(map((x) => {
     const map = new Map();
     if (!x)
         return map;
@@ -70,26 +96,21 @@ export const validCredentialTypes$ = validCredentials$.pipe(map((credentials) =>
     });
     return Array.from(types);
 }));
-export const getCredentialById = async (credential_id) => {
-    const credentials = await firstValueFrom(validCredentials$);
-    return credentials.get(credential_id);
-};
-export const getCredentialBySecretId = async (secret_id) => {
-    const allCredentials = await credentialCache.query('');
-    const theCredential = allCredentials === null || allCredentials === void 0 ? void 0 : allCredentials.find((x) => x.secret.sign === secret_id);
-    if (!theCredential) {
-        throw newError('CREDENTIAL_NOT_FOUND', { secret_id });
-    }
-    if (!theCredential.credential) {
-        throw newError('CREDENTIAL_NOT_RESOLVED', { secret_id });
-    }
-    if (!theCredential.credentialId) {
-        throw newError('CREDENTIAL_ID_NOT_RESOLVED', { secret_id });
-    }
-    return {
-        secret: theCredential.secret,
-        credential: theCredential.credential,
-        credentialId: theCredential.credentialId,
-    };
+/**
+ * 根据 secret sign 解析出对应的 credential 以及 credential ID
+ * @param sign - secret sign
+ * @returns 解析得到的 credential 以及对应的 credential ID
+ * @throws 如果无法解析出对应的 credential 或 credential ID，则抛出异常
+ *
+ * 不依赖 List Credential 服务，可以及时感知凭证的新增和变更
+ */
+export const getCredentialBySecretId = async (sign) => {
+    const credential = await secretSignToCredentialIdCache.query(sign);
+    if (!credential)
+        throw newError('CREDENTIAL_NOT_RESOLVED', { sign });
+    const credentialId = await credentialIdCache.query(JSON.stringify(credential));
+    if (!credentialId)
+        throw newError('CREDENTIAL_ID_NOT_RESOLVED', { sign });
+    return { sign, credential, credentialId };
 };
 //# sourceMappingURL=credential.js.map

package/dist/credential.js.map

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{ createCache } from '@yuants/cache';\nimport { getCredentialId } from '@yuants/exchange';\nimport { Terminal } from '@yuants/protocol';\nimport { ISecret, readSecret, writeSecret } from '@yuants/secret';\nimport { escapeSQL, requestSQL } from '@yuants/sql';\nimport { newError } from '@yuants/utils';\nimport { defer, firstValueFrom, map, repeat, retry, shareReplay } from 'rxjs';\n\nexport interface IExchangeCredential {\n  type: string;\n  payload: any;\n}\n\nconst terminal = Terminal.fromNodeEnv();\n\nconst credentialReader = process.env.NODE_UNIT_PUBLIC_KEY || terminal.keyPair.public_key;\n\ninterface ICredentialResolvedStatus {\n  secret: ISecret;\n  credential?: IExchangeCredential;\n  credentialId?: string;\n  reason?: string;\n}\n\nconst credentialIdCache = createCache(async (credentialKey: string) => {\n  const credential = JSON.parse(credentialKey) as IExchangeCredential;\n  const res = await getCredentialId(terminal, credential);\n  return res.data;\n});\n\nexport const listAllCredentials = async () => {\n  const secrets = await requestSQL<ISecret[]>(\n    terminal,\n    `select * from secret where tags->>'type' = 'exchange_credential' and reader = ${escapeSQL(\n      credentialReader,\n    )}`,\n  );\n\n  const results = secrets.map((secret): ICredentialResolvedStatus => ({ secret }));\n\n  await Promise.all(\n    results.map(async (result) => {\n      try {\n        const decrypted = await readSecret(terminal, result.secret);\n        const credential = JSON.parse(new TextDecoder().decode(decrypted)) as IExchangeCredential;\n        result.credential = credential;\n\n        const res = await credentialIdCache.query(JSON.stringify(credential));\n        if (res) {\n          result.credentialId = res;\n        }\n      } catch (e) {\n        result.reason = `${e}`;\n      }\n    }),\n  );\n\n  return results;\n};\n\nterminal.server.provideService<IExchangeCredential, ISecret>(\n  'VEX/RegisterExchangeCredential',\n  {\n    type: 'object',\n    required: ['type', 'payload'],\n    properties: {\n      type: { type: 'string' },\n      payload: { type: 'object' },\n    },\n  },\n  async (msg) => {\n    const credential = msg.req;\n    const secretData = new TextEncoder().encode(JSON.stringify(credential));\n    const secret = await writeSecret(terminal, credentialReader, { type: 'exchange_credential' }, secretData);\n    return { res: { code: 0, message: 'OK', data: secret } };\n  },\n);\n\nterminal.server.provideService<void, ICredentialResolvedStatus[]>(\n  'VEX/ListExchangeCredential',\n  {},\n  async () => {\n    return { res: { code: 0, message: 'OK', data: await listAllCredentials() } };\n  },\n);\n\nterminal.server.provideService<void, string[]>('VEX/ListCredentials', {}, async () => {\n  const credentials = await firstValueFrom(validCredentials$);\n  return { res: { code: 0, message: 'OK', data: [...credentials.keys()] } };\n});\n\nconst credentialCache = createCache(() => listAllCredentials(), { swrAfter: 10_000, expire: 3600_000 });\n\nexport const validCredentials$ = defer(() => credentialCache.query('')).pipe(\n  map((x) => {\n    const map = new Map<string, IExchangeCredential>();\n    if (!x) return map;\n    for (const xx of x) {\n      if (xx.credentialId && xx.credential) {\n        map.set(xx.credentialId, xx.credential);\n      }\n    }\n    return map;\n  }),\n  repeat({ delay: 10000 }),\n  retry({ delay: 5000 }),\n  shareReplay(1),\n);\n\nexport const validCredentialTypes$ = validCredentials$.pipe(\n  map((credentials) => {\n    const types = new Set<string>();\n    credentials.forEach((credential) => {\n      types.add(credential.type);\n    });\n    return Array.from(types);\n  }),\n);\n\nexport const getCredentialById = async (credential_id: string) => {\n  const credentials = await firstValueFrom(validCredentials$);\n  return credentials.get(credential_id);\n};\n\nexport const getCredentialBySecretId = async (\n  secret_id: string,\n): Promise<Required<Pick<ICredentialResolvedStatus, 'secret' | 'credential' | 'credentialId'>>> => {\n  const allCredentials = await credentialCache.query('');\n  const theCredential = allCredentials?.find((x) => x.secret.sign === secret_id);\n  if (!theCredential) {\n    throw newError('CREDENTIAL_NOT_FOUND', { secret_id });\n  }\n  if (!theCredential.credential) {\n    throw newError('CREDENTIAL_NOT_RESOLVED', { secret_id });\n  }\n  if (!theCredential.credentialId) {\n    throw newError('CREDENTIAL_ID_NOT_RESOLVED', { secret_id });\n  }\n\n  return {\n    secret: theCredential.secret,\n    credential: theCredential.credential,\n    credentialId: theCredential.credentialId,\n  };\n};\n"]}
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{ createCache } from '@yuants/cache';\nimport { getCredentialId } from '@yuants/exchange';\nimport { Terminal } from '@yuants/protocol';\nimport { ISecret, listSecrets, readSecret, writeSecret } from '@yuants/secret';\nimport { escapeSQL, requestSQL } from '@yuants/sql';\nimport { newError } from '@yuants/utils';\nimport { defer, firstValueFrom, map, repeat, retry, shareReplay } from 'rxjs';\n\ninterface IExchangeCredential {\n  type: string;\n  payload: any;\n}\n\nconst terminal = Terminal.fromNodeEnv();\n\nconst credentialReader = process.env.NODE_UNIT_PUBLIC_KEY || terminal.keyPair.public_key;\n\n/**\n * 根据 secret sign 解析出对应的 exchange credential\n * 此处可以做缓存，因为同一个 secret sign 对应的 credential 信息永远不会变化，可以节约解密和后续 SQL 查询的开销\n * 得到 credential 后，此 credential 不一定是有效的，因为可能凭证信息已经过期或被撤销\n */\nconst secretSignToCredentialIdCache = createCache(async (sign: string) => {\n  const sql = `SELECT * FROM secret WHERE sign = ${escapeSQL(sign)} LIMIT 1;`;\n  const res = await requestSQL<ISecret[]>(terminal, sql);\n  if (res.length === 0) throw newError('SECRET_NOT_FOUND', { sign });\n  const secret = res[0];\n  const decrypted = await readSecret(terminal, secret);\n  const credential = JSON.parse(new TextDecoder().decode(decrypted)) as IExchangeCredential;\n  return credential;\n});\n\n/**\n * 根据 credential 信息解析出对应的 credential ID\n * 此处可以做缓存，因为同一个 credential 永远对应同一个 credential ID，可以节约后续 SQL 查询的开销\n * 但是需要注意的是，credential ID 可能会因为凭证被撤销而失效，但是可以在下游调用其他服务时感知到，因此可以永久缓存\n */\nconst credentialIdCache = createCache(async (credentialKey: string) => {\n  const credential = JSON.parse(credentialKey) as IExchangeCredential;\n  const res = await getCredentialId(terminal, credential);\n  return res.data;\n});\n\nconst listAllCredentials = async () => {\n  const secrets = await listSecrets(terminal, {\n    reader: credentialReader,\n    tags: { type: 'exchange_credential' },\n  });\n\n  const results = await Promise.allSettled(secrets.map((secret) => getCredentialBySecretId(secret.sign)));\n  return results.map(\n    (\n      result,\n      index,\n    ): {\n      sign: string;\n      credential: IExchangeCredential | null;\n      credentialId: string | null;\n      error: any;\n    } => {\n      if (result.status === 'fulfilled') {\n        return {\n          sign: secrets[index].sign,\n          credential: result.value.credential,\n          credentialId: result.value.credentialId,\n          error: null,\n        };\n      } else {\n        return {\n          sign: secrets[index].sign,\n          credential: null,\n          credentialId: null,\n          error: `${result.reason}`,\n        };\n      }\n    },\n  );\n};\n\nterminal.server.provideService<IExchangeCredential, ISecret>(\n  'VEX/RegisterExchangeCredential',\n  {\n    type: 'object',\n    required: ['type', 'payload'],\n    properties: {\n      type: { type: 'string' },\n      payload: { type: 'object' },\n    },\n  },\n  async (msg) => {\n    const credential = msg.req;\n    const secretData = new TextEncoder().encode(JSON.stringify(credential));\n    const secret = await writeSecret(terminal, credentialReader, { type: 'exchange_credential' }, secretData);\n    return { res: { code: 0, message: 'OK', data: secret } };\n  },\n);\n\n// For Debugging Purpose\nterminal.server.provideService('VEX/ListExchangeCredential', {}, async () => {\n  return { res: { code: 0, message: 'OK', data: await listAllCredentials() } };\n});\n\nterminal.server.provideService<void, string[]>('VEX/ListCredentials', {}, async () => {\n  const credentials = await firstValueFrom(validCredentials$);\n  return { res: { code: 0, message: 'OK', data: [...credentials.keys()] } };\n});\n\nexport const validCredentials$ = defer(() => listAllCredentials()).pipe(\n  map((x) => {\n    const map = new Map<string, IExchangeCredential>();\n    if (!x) return map;\n    for (const xx of x) {\n      if (xx.credentialId && xx.credential) {\n        map.set(xx.credentialId, xx.credential);\n      }\n    }\n    return map;\n  }),\n  repeat({ delay: 10000 }),\n  retry({ delay: 5000 }),\n  shareReplay(1),\n);\n\nexport const validCredentialTypes$ = validCredentials$.pipe(\n  map((credentials) => {\n    const types = new Set<string>();\n    credentials.forEach((credential) => {\n      types.add(credential.type);\n    });\n    return Array.from(types);\n  }),\n);\n\n/**\n * 根据 secret sign 解析出对应的 credential 以及 credential ID\n * @param sign - secret sign\n * @returns 解析得到的 credential 以及对应的 credential ID\n * @throws 如果无法解析出对应的 credential 或 credential ID，则抛出异常\n *\n * 不依赖 List Credential 服务，可以及时感知凭证的新增和变更\n */\nexport const getCredentialBySecretId = async (sign: string) => {\n  const credential = await secretSignToCredentialIdCache.query(sign);\n  if (!credential) throw newError('CREDENTIAL_NOT_RESOLVED', { sign });\n  const credentialId = await credentialIdCache.query(JSON.stringify(credential));\n  if (!credentialId) throw newError('CREDENTIAL_ID_NOT_RESOLVED', { sign });\n  return { sign, credential, credentialId };\n};\n"]}

package/dist/index.js

@@ -2,4 +2,5 @@ import './credential';
 import './general';
 import './legacy-services';
 import './product-collector';
+import './quote/service';
 //# sourceMappingURL=index.js.map

package/dist/index.js.map

@@ -1 +1 @@
-{"version":3,"file":"index.js","sourceRoot":"","sources":["../src/index.ts"],"names":[],"mappings":"AAAA,OAAO,cAAc,CAAC;AACtB,OAAO,WAAW,CAAC;AACnB,OAAO,mBAAmB,CAAC;AAC3B,OAAO,qBAAqB,CAAC","sourcesContent":["import './credential';\nimport './general';\nimport './legacy-services';\nimport './product-collector';\n"]}
+{"version":3,"file":"index.js","sourceRoot":"","sources":["../src/index.ts"],"names":[],"mappings":"AAAA,OAAO,cAAc,CAAC;AACtB,OAAO,WAAW,CAAC;AACnB,OAAO,mBAAmB,CAAC;AAC3B,OAAO,qBAAqB,CAAC;AAC7B,OAAO,iBAAiB,CAAC","sourcesContent":["import './credential';\nimport './general';\nimport './legacy-services';\nimport './product-collector';\nimport './quote/service';\n"]}

package/dist/position.js

@@ -52,8 +52,14 @@ export const polyfillPosition = async (positions) => {
         // 利率相关信息的追加
         if (quote) {
             if (quote.interest_rate_next_settled_at !== null) {
+                const nextSettledAt = new Date(quote.interest_rate_next_settled_at).getTime();
                 // 优先使用行情数据中的下一个结算时间
-                pos.settlement_scheduled_at = new Date(quote.interest_rate_next_settled_at).getTime();
+                pos.settlement_scheduled_at = nextSettledAt;
+                // 优先使用下一个结算时间推算结算间隔
+                if (interestRateInterval !== undefined) {
+                    const interval = nextSettledAt - interestRateInterval.prev;
+                    pos.settlement_interval = interval;
+                }
             }
             else if (quote.interest_rate_next_settled_at === null && interestRateInterval !== undefined) {
                 // 估算下一个结算时间
@@ -61,6 +67,10 @@ export const polyfillPosition = async (positions) => {
                 const k = Math.ceil((Date.now() - interestRateInterval.prev) / interestRateInterval.interval);
                 pos.settlement_scheduled_at = interestRateInterval.prev + k * interestRateInterval.interval;
             }
+            // 如果还没有结算间隔，则使用 interest rate 表的时间间隔作为结算间隔
+            if (pos.settlement_interval === undefined && interestRateInterval) {
+                pos.settlement_interval = interestRateInterval.interval;
+            }
             if (pos.direction === 'LONG') {
                 if (quote.interest_rate_long !== null) {
                     pos.interest_to_settle = +quote.interest_rate_long * pos.valuation;
@@ -72,9 +82,6 @@ export const polyfillPosition = async (positions) => {
                 }
             }
         }
-        if (interestRateInterval) {
-            pos.settlement_interval = interestRateInterval.interval;
-        }
     }
     return positions;
 };

package/dist/position.js.map

@@ -1 +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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{ 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        const nextSettledAt = new Date(quote.interest_rate_next_settled_at).getTime();\n        // 优先使用行情数据中的下一个结算时间\n        pos.settlement_scheduled_at = nextSettledAt;\n        // 优先使用下一个结算时间推算结算间隔\n        if (interestRateInterval !== undefined) {\n          const interval = nextSettledAt - interestRateInterval.prev;\n          pos.settlement_interval = interval;\n        }\n      } else if (quote.interest_rate_next_settled_at === null && interestRateInterval !== undefined) {\n        // 估算下一个结算时间\n        // 找到 prev + k * interval > now 的最小 k，则下一个结算时间为 prev + k * interval\n        const k = Math.ceil((Date.now() - interestRateInterval.prev) / interestRateInterval.interval);\n        pos.settlement_scheduled_at = interestRateInterval.prev + k * interestRateInterval.interval;\n      }\n\n      // 如果还没有结算间隔，则使用 interest rate 表的时间间隔作为结算间隔\n      if (pos.settlement_interval === undefined && interestRateInterval) {\n        pos.settlement_interval = interestRateInterval.interval;\n      }\n\n      if (pos.direction === 'LONG') {\n        if (quote.interest_rate_long !== null) {\n          pos.interest_to_settle = +quote.interest_rate_long * pos.valuation;\n        }\n      }\n      if (pos.direction === 'SHORT') {\n        if (quote.interest_rate_short !== null) {\n          pos.interest_to_settle = +quote.interest_rate_short * pos.valuation;\n        }\n      }\n    }\n  }\n  return positions;\n};\n\nexport const polyfillOrders = async (orders: IOrder[]): Promise<IOrder[]> => {\n  for (const order of orders) {\n    const theProduct = await productCache.query(order.product_id);\n    if (theProduct) {\n      if (order.size !== undefined) {\n        const sizeNum = +order.size;\n        const sizeStep = theProduct.volume_step * theProduct.value_scale;\n        if (!(sizeStep > 0)) throw newError('INVALID_SIZE_STEP', { product: theProduct, sizeStep });\n        // check size is multiple of sizeStep\n        if (Math.abs(sizeNum - Math.round(sizeNum / sizeStep) * sizeStep) > 1e-16) {\n          throw newError('INVALID_ORDER_SIZE_NOT_MULTIPLE_OF_SIZE_STEP', {\n            order,\n            sizeStep,\n            sizeNum,\n            product: theProduct,\n          });\n        }\n\n        if (sizeNum >= 0) {\n          order.order_direction = order.is_close ? 'CLOSE_SHORT' : 'OPEN_LONG';\n        } else {\n          order.order_direction = order.is_close ? 'CLOSE_LONG' : 'OPEN_SHORT';\n        }\n        order.volume = Math.abs(sizeNum) / theProduct.value_scale;\n      }\n    }\n  }\n  return orders;\n};\n"]}