@yuants/app-virtual-exchange 0.9.3 → 0.10.0

package/dist/quote/upstream-routing.js

@@ -0,0 +1,300 @@
+import { parseQuoteServiceMetadataFromSchema, } from '@yuants/exchange';
+import { Terminal } from '@yuants/protocol';
+import { encodePath, formatTime, listWatch, newError } from '@yuants/utils';
+import { EMPTY, filter, firstValueFrom, from, map, mergeMap, of, tap, toArray } from 'rxjs';
+import { createSortedPrefixMatcher } from './prefix-matcher';
+import { fnv1a64HexFromStrings } from './request-key';
+const terminal = Terminal.fromNodeEnv();
+const quoteServiceInfos$ = terminal.terminalInfos$.pipe(mergeMap((infos) => from(infos).pipe(
+//
+mergeMap((info) => {
+    var _a;
+    return from(Object.values((_a = info.serviceInfo) !== null && _a !== void 0 ? _a : {})).pipe(filter((serviceInfo) => serviceInfo.method === 'GetQuotes'), map((serviceInfo) => ({
+        terminal_id: info.terminal_id,
+        serviceInfo,
+    })), toArray());
+}))));
+const mapGroupIdToGroup = new Map();
+/**
+ * Build provider groups from runtime terminal infos.
+ *
+ * Note: `fields` is schema `const`, so VEX must keep a stable order (lexicographical sort).
+ */
+quoteServiceInfos$
+    .pipe(listWatch((v) => v.serviceInfo.service_id, (v) => {
+    var _a;
+    console.info(formatTime(Date.now()), `[VEX][QUOTE]DiscoveringGetQuotesProvider...`, `from terminal ${v.terminal_id}`, `service ${v.serviceInfo.service_id}`, `schema:  ${JSON.stringify(v.serviceInfo.schema)}`);
+    try {
+        const metadata = parseQuoteServiceMetadataFromSchema(v.serviceInfo.schema);
+        const fields = [...metadata.fields].sort();
+        const group_id = encodePath(metadata.product_id_prefix, fields.join(','), (_a = metadata.max_products_per_request) !== null && _a !== void 0 ? _a : '');
+        const provider = {
+            terminal_id: v.terminal_id,
+            service_id: v.serviceInfo.service_id || v.serviceInfo.method,
+        };
+        if (mapGroupIdToGroup.get(group_id)) {
+            mapGroupIdToGroup.get(group_id).mapTerminalIdToInstance.set(provider.terminal_id, provider);
+        }
+        else {
+            const next = {
+                group_id,
+                meta: metadata,
+                mapTerminalIdToInstance: new Map([[provider.terminal_id, provider]]),
+            };
+            mapGroupIdToGroup.set(group_id, next);
+            console.info('11111111', [...mapGroupIdToGroup.values()]);
+        }
+        return of(void 0).pipe(
+        //
+        tap({
+            unsubscribe: () => {
+                var _a, _b;
+                (_a = mapGroupIdToGroup.get(group_id)) === null || _a === void 0 ? void 0 : _a.mapTerminalIdToInstance.delete(v.terminal_id);
+                if (((_b = mapGroupIdToGroup.get(group_id)) === null || _b === void 0 ? void 0 : _b.mapTerminalIdToInstance.size) === 0) {
+                    mapGroupIdToGroup.delete(group_id);
+                }
+            },
+        }));
+    }
+    catch (_b) {
+        // Ignore invalid schemas/providers
+        console.info(`[VEX][Quote] Ignored GetQuotes provider from terminal ${v.terminal_id} `, `service ${v.serviceInfo.service_id} due to invalid schema.`);
+        return EMPTY;
+    }
+}))
+    .subscribe();
+// -----------------------------------------------------------------------------
+// Load balancing & upstream request execution
+// -----------------------------------------------------------------------------
+const mapGroupIdToRoundRobinIndex = new Map();
+const pickInstance = (group_id, instances) => {
+    var _a;
+    if (instances.length === 0)
+        throw newError('VEX_QUOTE_PROVIDER_INSTANCE_EMPTY', { group_id });
+    const nextIndex = ((_a = mapGroupIdToRoundRobinIndex.get(group_id)) !== null && _a !== void 0 ? _a : 0) % instances.length;
+    mapGroupIdToRoundRobinIndex.set(group_id, nextIndex + 1);
+    return instances[nextIndex];
+};
+/**
+ * Call a specified vendor terminal + service instance.
+ *
+ * Any non-0 response is treated as fatal (strict freshness requirement).
+ */
+const requestGetQuotes = async (terminal, instance, req) => {
+    const res = await firstValueFrom(terminal.client
+        .request('GetQuotes', instance.terminal_id, req, instance.service_id)
+        .pipe(map((msg) => msg.res), filter((v) => v !== undefined)));
+    if (res.code !== 0) {
+        throw newError('VEX_QUOTE_PROVIDER_ERROR', { instance, res });
+    }
+    if (res.data === undefined) {
+        throw newError('VEX_QUOTE_PROVIDER_DATA_MISSING', { instance, res });
+    }
+    return res.data;
+};
+/**
+ * Per-provider (group_id) concurrency limit: 1.
+ * Implemented as a per-group promise tail.
+ */
+const mapGroupIdToTailPromise = new Map();
+const runWithProviderGroupConcurrencyLimit1 = async (group_id, fn) => {
+    var _a;
+    const prev = (_a = mapGroupIdToTailPromise.get(group_id)) !== null && _a !== void 0 ? _a : Promise.resolve();
+    let resolveCurrent = () => { };
+    const current = new Promise((resolve) => {
+        resolveCurrent = resolve;
+    });
+    mapGroupIdToTailPromise.set(group_id, prev.then(() => current));
+    await prev;
+    try {
+        return await fn();
+    }
+    finally {
+        resolveCurrent();
+    }
+};
+/**
+ * A tiny async limiter: used as a global concurrency cap to avoid request explosions.
+ */
+const createConcurrencyLimiter = (concurrency) => {
+    const queue = [];
+    let active = 0;
+    const next = () => {
+        if (active >= concurrency)
+            return;
+        const task = queue.shift();
+        if (!task)
+            return;
+        active++;
+        task();
+    };
+    return async (fn) => {
+        return await new Promise((resolve, reject) => {
+            queue.push(async () => {
+                try {
+                    resolve(await fn());
+                }
+                catch (e) {
+                    reject(e);
+                }
+                finally {
+                    active--;
+                    next();
+                }
+            });
+            next();
+        });
+    };
+};
+// Global concurrency cap for upstream `GetQuotes` calls (provider-level cap is handled separately).
+const limitGetQuotes = createConcurrencyLimiter(32);
+/**
+ * In-flight dedup:
+ * Same (provider group + product batch) should share a single upstream request promise.
+ */
+const mapKeyToInFlightGetQuotesPromise = new Map();
+const requestGetQuotesInFlight = (terminal, key, planned) => {
+    const existing = mapKeyToInFlightGetQuotesPromise.get(key);
+    if (existing)
+        return existing;
+    const promise = limitGetQuotes(() => runWithProviderGroupConcurrencyLimit1(planned.group_id, async () => {
+        const instance = pickInstance(planned.group_id, planned.instances);
+        return await requestGetQuotes(terminal, instance, planned.req);
+    })).finally(() => {
+        mapKeyToInFlightGetQuotesPromise.delete(key);
+    });
+    mapKeyToInFlightGetQuotesPromise.set(key, promise);
+    return promise;
+};
+const buildProviderIndices = (groups) => {
+    const mapGroupIdToGroup = new Map(groups.map((x) => [x.group_id, x]));
+    const prefixMatcher = createSortedPrefixMatcher(groups.map((group) => ({ prefix: group.meta.product_id_prefix, value: group.group_id })));
+    const mapFieldToGroupIds = new Map();
+    for (const group of groups) {
+        for (const field of group.meta.fields) {
+            let groupIds = mapFieldToGroupIds.get(field);
+            if (!groupIds) {
+                groupIds = new Set();
+                mapFieldToGroupIds.set(field, groupIds);
+            }
+            groupIds.add(group.group_id);
+        }
+    }
+    return { mapGroupIdToGroup, prefixMatcher, mapFieldToGroupIds };
+};
+/**
+ * L1 quote routing (per `docs/zh-Hans/code-guidelines/exchange.md`):
+ * For each missed (product_id, field), route to `S_product_id ∩ S_field`.
+ */
+const routeMisses = (cacheMissed, indices, updated_at) => {
+    const { prefixMatcher, mapFieldToGroupIds } = indices;
+    const mapProductIdToGroupIds = new Map();
+    const productsByGroupId = new Map();
+    const unroutableProducts = new Set();
+    // Field unavailable: return "" but keep updated_at satisfied to avoid repeated misses.
+    const unavailableAction = {};
+    for (const miss of cacheMissed) {
+        const { product_id, field } = miss;
+        let productGroupIds = mapProductIdToGroupIds.get(product_id);
+        if (!productGroupIds) {
+            productGroupIds = prefixMatcher.match(product_id);
+            mapProductIdToGroupIds.set(product_id, productGroupIds);
+        }
+        if (productGroupIds.length === 0) {
+            unroutableProducts.add(product_id);
+            continue;
+        }
+        const fieldGroupIds = mapFieldToGroupIds.get(field);
+        if (!fieldGroupIds) {
+            if (!unavailableAction[product_id])
+                unavailableAction[product_id] = {};
+            unavailableAction[product_id][field] = ['', updated_at];
+            continue;
+        }
+        let matched = false;
+        for (const group_id of productGroupIds) {
+            if (!fieldGroupIds.has(group_id))
+                continue;
+            matched = true;
+            let productIds = productsByGroupId.get(group_id);
+            if (!productIds) {
+                productIds = new Set();
+                productsByGroupId.set(group_id, productIds);
+            }
+            productIds.add(product_id);
+        }
+        if (!matched) {
+            if (!unavailableAction[product_id])
+                unavailableAction[product_id] = {};
+            unavailableAction[product_id][field] = ['', updated_at];
+        }
+    }
+    return { productsByGroupId, unavailableAction, unroutableProducts };
+};
+const createRequestKey = (group_id, batchProductIds) => encodePath(group_id, fnv1a64HexFromStrings(batchProductIds));
+const planRequests = (productsByGroupId, mapGroupIdToGroup) => {
+    var _a;
+    const plannedRequests = [];
+    for (const [group_id, productIdSet] of productsByGroupId) {
+        const group = mapGroupIdToGroup.get(group_id);
+        if (!group)
+            continue;
+        const sortedProductIds = [...productIdSet].sort();
+        const max = (_a = group.meta.max_products_per_request) !== null && _a !== void 0 ? _a : sortedProductIds.length;
+        for (let i = 0; i < sortedProductIds.length; i += max) {
+            const batchProductIds = sortedProductIds.slice(i, i + max);
+            const key = createRequestKey(group_id, batchProductIds);
+            plannedRequests.push({
+                key,
+                planned: {
+                    group_id,
+                    instances: Array.from(group.mapTerminalIdToInstance.values()),
+                    req: { product_ids: batchProductIds, fields: group.meta.fields },
+                },
+            });
+        }
+    }
+    return plannedRequests;
+};
+export const fillQuoteStateFromUpstream = async (params) => {
+    const { terminal, quoteState, cacheMissed, updated_at } = params;
+    if (cacheMissed.length === 0)
+        return;
+    const providerGroups = Array.from(mapGroupIdToGroup.values());
+    console.info(formatTime(Date.now()), `[VEX][Quote]UpstreamProviderDiscovery`, ` Discovered ${providerGroups.length} GetQuotes provider groups from terminal infos.`, JSON.stringify(providerGroups));
+    if (providerGroups.length === 0) {
+        throw newError('VEX_QUOTE_PROVIDER_NOT_FOUND', { method: 'GetQuotes' });
+    }
+    const indices = buildProviderIndices(providerGroups);
+    const { productsByGroupId, unavailableAction, unroutableProducts } = routeMisses(cacheMissed, indices, updated_at);
+    console.info(formatTime(Date.now()), `[VEX][Quote]RouteDispatched`, ` Routed ${cacheMissed.length} missed quotes to ${productsByGroupId.size} provider groups, ` +
+        `${unroutableProducts.size} unroutable products.`, JSON.stringify({
+        productsByGroupId: [...productsByGroupId.entries()].map(([group_id, productIds]) => ({
+            group_id,
+            product_ids: [...productIds],
+        })),
+        unroutable_products: [...unroutableProducts],
+        unavailable_action: unavailableAction,
+    }));
+    if (unroutableProducts.size !== 0) {
+        throw newError('VEX_QUOTE_PRODUCT_UNROUTABLE', {
+            updated_at,
+            unroutable_products: [...unroutableProducts].slice(0, 200),
+            unroutable_products_total: unroutableProducts.size,
+        });
+    }
+    quoteState.update(unavailableAction);
+    const plannedRequests = planRequests(productsByGroupId, indices.mapGroupIdToGroup);
+    console.info(formatTime(Date.now()), `[VEX][Quote]RequestPlanned`, `Planned ${plannedRequests.length} upstream GetQuotes requests.`, JSON.stringify(plannedRequests.map(({ key, planned }) => ({
+        key,
+        group_id: planned.group_id,
+        product_ids: planned.req.product_ids,
+        fields: planned.req.fields,
+    }))));
+    const actions = await Promise.all(plannedRequests.map(async ({ key, planned }) => await requestGetQuotesInFlight(terminal, key, planned)));
+    console.debug(formatTime(Date.now()), `[VEX][Quote]RequestReceived`, `Received ${actions.length} upstream GetQuotes responses.`);
+    for (const action of actions) {
+        quoteState.update(action);
+    }
+};
+//# sourceMappingURL=upstream-routing.js.map

package/dist/quote/upstream-routing.js.map

@@ -0,0 +1 @@
+{"version":3,"file":"upstream-routing.js","sourceRoot":"","sources":["../../src/quote/upstream-routing.ts"],"names":[],"mappings":"AAAA,OAAO,EAIL,mCAAmC,GACpC,MAAM,kBAAkB,CAAC;AAC1B,OAAO,EAAE,QAAQ,EAAE,MAAM,kBAAkB,CAAC;AAC5C,OAAO,EAAE,UAAU,EAAE,UAAU,EAAE,SAAS,EAAE,QAAQ,EAAE,MAAM,eAAe,CAAC;AAC5E,OAAO,EAAE,KAAK,EAAE,MAAM,EAAE,cAAc,EAAE,IAAI,EAAE,GAAG,EAAE,QAAQ,EAAE,EAAE,EAAE,GAAG,EAAS,OAAO,EAAE,MAAM,MAAM,CAAC;AACnG,OAAO,EAAE,yBAAyB,EAAE,MAAM,kBAAkB,CAAC;AAC7D,OAAO,EAAE,qBAAqB,EAAE,MAAM,eAAe,CAAC;AAiCtD,MAAM,QAAQ,GAAG,QAAQ,CAAC,WAAW,EAAE,CAAC;AAExC,MAAM,kBAAkB,GAAG,QAAQ,CAAC,cAAc,CAAC,IAAI,CACrD,QAAQ,CAAC,CAAC,KAAK,EAAE,EAAE,CACjB,IAAI,CAAC,KAAK,CAAC,CAAC,IAAI;AACd,EAAE;AACF,QAAQ,CAAC,CAAC,IAAI,EAAE,EAAE;;IAChB,OAAA,IAAI,CAAC,MAAM,CAAC,MAAM,CAAC,MAAA,IAAI,CAAC,WAAW,mCAAI,EAAE,CAAC,CAAC,CAAC,IAAI,CAC9C,MAAM,CAAC,CAAC,WAAW,EAAE,EAAE,CAAC,WAAW,CAAC,MAAM,KAAK,WAAW,CAAC,EAC3D,GAAG,CAAC,CAAC,WAAW,EAAE,EAAE,CAAC,CAAC;QACpB,WAAW,EAAE,IAAI,CAAC,WAAW;QAC7B,WAAW;KACZ,CAAC,CAAC,EACH,OAAO,EAAE,CACV,CAAA;CAAA,CACF,CACF,CACF,CACF,CAAC;AAEF,MAAM,iBAAiB,GAAG,IAAI,GAAG,EAA+B,CAAC;AAEjE;;;;GAIG;AACH,kBAAkB;KACf,IAAI,CACH,SAAS,CACP,CAAC,CAAC,EAAE,EAAE,CAAC,CAAC,CAAC,WAAW,CAAC,UAAU,EAC/B,CAAC,CAAC,EAAE,EAAE;;IACJ,OAAO,CAAC,IAAI,CACV,UAAU,CAAC,IAAI,CAAC,GAAG,EAAE,CAAC,EACtB,6CAA6C,EAC7C,iBAAiB,CAAC,CAAC,WAAW,EAAE,EAChC,WAAW,CAAC,CAAC,WAAW,CAAC,UAAU,EAAE,EACrC,YAAY,IAAI,CAAC,SAAS,CAAC,CAAC,CAAC,WAAW,CAAC,MAAM,CAAC,EAAE,CACnD,CAAC;IACF,IAAI;QACF,MAAM,QAAQ,GAAG,mCAAmC,CAAC,CAAC,CAAC,WAAW,CAAC,MAAM,CAAC,CAAC;QAC3E,MAAM,MAAM,GAAG,CAAC,GAAI,QAAQ,CAAC,MAAiC,CAAC,CAAC,IAAI,EAAE,CAAC;QACvE,MAAM,QAAQ,GAAG,UAAU,CACzB,QAAQ,CAAC,iBAAiB,EAC1B,MAAM,CAAC,IAAI,CAAC,GAAG,CAAC,EAChB,MAAA,QAAQ,CAAC,wBAAwB,mCAAI,EAAE,CACxC,CAAC;QACF,MAAM,QAAQ,GAA2B;YACvC,WAAW,EAAE,CAAC,CAAC,WAAW;YAC1B,UAAU,EAAE,CAAC,CAAC,WAAW,CAAC,UAAU,IAAI,CAAC,CAAC,WAAW,CAAC,MAAM;SAC7D,CAAC;QACF,IAAI,iBAAiB,CAAC,GAAG,CAAC,QAAQ,CAAC,EAAE;YACnC,iBAAiB,CAAC,GAAG,CAAC,QAAQ,CAAE,CAAC,uBAAuB,CAAC,GAAG,CAAC,QAAQ,CAAC,WAAW,EAAE,QAAQ,CAAC,CAAC;SAC9F;aAAM;YACL,MAAM,IAAI,GAAwB;gBAChC,QAAQ;gBACR,IAAI,EAAE,QAAQ;gBACd,uBAAuB,EAAE,IAAI,GAAG,CAAC,CAAC,CAAC,QAAQ,CAAC,WAAW,EAAE,QAAQ,CAAC,CAAC,CAAC;aACrE,CAAC;YACF,iBAAiB,CAAC,GAAG,CAAC,QAAQ,EAAE,IAAI,CAAC,CAAC;YACtC,OAAO,CAAC,IAAI,CAAC,UAAU,EAAE,CAAC,GAAG,iBAAiB,CAAC,MAAM,EAAE,CAAC,CAAC,CAAC;SAC3D;QACD,OAAO,EAAE,CAAC,KAAK,CAAC,CAAC,CAAC,IAAI;QACpB,EAAE;QACF,GAAG,CAAC;YACF,WAAW,EAAE,GAAG,EAAE;;gBAChB,MAAA,iBAAiB,CAAC,GAAG,CAAC,QAAQ,CAAC,0CAAE,uBAAuB,CAAC,MAAM,CAAC,CAAC,CAAC,WAAW,CAAC,CAAC;gBAC/E,IAAI,CAAA,MAAA,iBAAiB,CAAC,GAAG,CAAC,QAAQ,CAAC,0CAAE,uBAAuB,CAAC,IAAI,MAAK,CAAC,EAAE;oBACvE,iBAAiB,CAAC,MAAM,CAAC,QAAQ,CAAC,CAAC;iBACpC;YACH,CAAC;SACF,CAAC,CACH,CAAC;KACH;IAAC,WAAM;QACN,mCAAmC;QACnC,OAAO,CAAC,IAAI,CACV,yDAAyD,CAAC,CAAC,WAAW,GAAG,EACzE,WAAW,CAAC,CAAC,WAAW,CAAC,UAAU,yBAAyB,CAC7D,CAAC;QACF,OAAO,KAAK,CAAC;KACd;AACH,CAAC,CACF,CACF;KACA,SAAS,EAAE,CAAC;AAEf,gFAAgF;AAChF,8CAA8C;AAC9C,gFAAgF;AAEhF,MAAM,2BAA2B,GAAG,IAAI,GAAG,EAAkB,CAAC;AAC9D,MAAM,YAAY,GAAG,CAAC,QAAgB,EAAE,SAAmC,EAA0B,EAAE;;IACrG,IAAI,SAAS,CAAC,MAAM,KAAK,CAAC;QAAE,MAAM,QAAQ,CAAC,mCAAmC,EAAE,EAAE,QAAQ,EAAE,CAAC,CAAC;IAC9F,MAAM,SAAS,GAAG,CAAC,MAAA,2BAA2B,CAAC,GAAG,CAAC,QAAQ,CAAC,mCAAI,CAAC,CAAC,GAAG,SAAS,CAAC,MAAM,CAAC;IACtF,2BAA2B,CAAC,GAAG,CAAC,QAAQ,EAAE,SAAS,GAAG,CAAC,CAAC,CAAC;IACzD,OAAO,SAAS,CAAC,SAAS,CAAC,CAAC;AAC9B,CAAC,CAAC;AAEF;;;;GAIG;AACH,MAAM,gBAAgB,GAAG,KAAK,EAC5B,QAAkB,EAClB,QAAgC,EAChC,GAA8B,EACO,EAAE;IACvC,MAAM,GAAG,GAAG,MAAM,cAAc,CAC9B,QAAQ,CAAC,MAAM;SACZ,OAAO,CACN,WAAW,EACX,QAAQ,CAAC,WAAW,EACpB,GAAG,EACH,QAAQ,CAAC,UAAU,CACpB;SACA,IAAI,CACH,GAAG,CAAC,CAAC,GAAG,EAAE,EAAE,CAAC,GAAG,CAAC,GAAG,CAAC,EACrB,MAAM,CAAC,CAAC,CAAC,EAAqC,EAAE,CAAC,CAAC,KAAK,SAAS,CAAC,CAClE,CACJ,CAAC;IACF,IAAI,GAAG,CAAC,IAAI,KAAK,CAAC,EAAE;QAClB,MAAM,QAAQ,CAAC,0BAA0B,EAAE,EAAE,QAAQ,EAAE,GAAG,EAAE,CAAC,CAAC;KAC/D;IACD,IAAI,GAAG,CAAC,IAAI,KAAK,SAAS,EAAE;QAC1B,MAAM,QAAQ,CAAC,iCAAiC,EAAE,EAAE,QAAQ,EAAE,GAAG,EAAE,CAAC,CAAC;KACtE;IACD,OAAO,GAAG,CAAC,IAAW,CAAC;AACzB,CAAC,CAAC;AAEF;;;GAGG;AACH,MAAM,uBAAuB,GAAG,IAAI,GAAG,EAAyB,CAAC;AACjE,MAAM,qCAAqC,GAAG,KAAK,EACjD,QAAgB,EAChB,EAAoB,EACR,EAAE;;IACd,MAAM,IAAI,GAAG,MAAA,uBAAuB,CAAC,GAAG,CAAC,QAAQ,CAAC,mCAAI,OAAO,CAAC,OAAO,EAAE,CAAC;IACxE,IAAI,cAAc,GAAe,GAAG,EAAE,GAAE,CAAC,CAAC;IAC1C,MAAM,OAAO,GAAG,IAAI,OAAO,CAAO,CAAC,OAAO,EAAE,EAAE;QAC5C,cAAc,GAAG,OAAO,CAAC;IAC3B,CAAC,CAAC,CAAC;IACH,uBAAuB,CAAC,GAAG,CACzB,QAAQ,EACR,IAAI,CAAC,IAAI,CAAC,GAAG,EAAE,CAAC,OAAO,CAAC,CACzB,CAAC;IACF,MAAM,IAAI,CAAC;IACX,IAAI;QACF,OAAO,MAAM,EAAE,EAAE,CAAC;KACnB;YAAS;QACR,cAAc,EAAE,CAAC;KAClB;AACH,CAAC,CAAC;AAEF;;GAEG;AACH,MAAM,wBAAwB,GAAG,CAAC,WAAmB,EAAE,EAAE;IACvD,MAAM,KAAK,GAAsB,EAAE,CAAC;IACpC,IAAI,MAAM,GAAG,CAAC,CAAC;IACf,MAAM,IAAI,GAAG,GAAG,EAAE;QAChB,IAAI,MAAM,IAAI,WAAW;YAAE,OAAO;QAClC,MAAM,IAAI,GAAG,KAAK,CAAC,KAAK,EAAE,CAAC;QAC3B,IAAI,CAAC,IAAI;YAAE,OAAO;QAClB,MAAM,EAAE,CAAC;QACT,IAAI,EAAE,CAAC;IACT,CAAC,CAAC;IACF,OAAO,KAAK,EAAK,EAAoB,EAAc,EAAE;QACnD,OAAO,MAAM,IAAI,OAAO,CAAI,CAAC,OAAO,EAAE,MAAM,EAAE,EAAE;YAC9C,KAAK,CAAC,IAAI,CAAC,KAAK,IAAI,EAAE;gBACpB,IAAI;oBACF,OAAO,CAAC,MAAM,EAAE,EAAE,CAAC,CAAC;iBACrB;gBAAC,OAAO,CAAC,EAAE;oBACV,MAAM,CAAC,CAAC,CAAC,CAAC;iBACX;wBAAS;oBACR,MAAM,EAAE,CAAC;oBACT,IAAI,EAAE,CAAC;iBACR;YACH,CAAC,CAAC,CAAC;YACH,IAAI,EAAE,CAAC;QACT,CAAC,CAAC,CAAC;IACL,CAAC,CAAC;AACJ,CAAC,CAAC;AAEF,oGAAoG;AACpG,MAAM,cAAc,GAAG,wBAAwB,CAAC,EAAE,CAAC,CAAC;AAEpD;;;GAGG;AACH,MAAM,gCAAgC,GAAG,IAAI,GAAG,EAA+C,CAAC;AAChG,MAAM,wBAAwB,GAAG,CAAC,QAAkB,EAAE,GAAW,EAAE,OAAwB,EAAE,EAAE;IAC7F,MAAM,QAAQ,GAAG,gCAAgC,CAAC,GAAG,CAAC,GAAG,CAAC,CAAC;IAC3D,IAAI,QAAQ;QAAE,OAAO,QAAQ,CAAC;IAC9B,MAAM,OAAO,GAAG,cAAc,CAAC,GAAG,EAAE,CAClC,qCAAqC,CAAC,OAAO,CAAC,QAAQ,EAAE,KAAK,IAAI,EAAE;QACjE,MAAM,QAAQ,GAAG,YAAY,CAAC,OAAO,CAAC,QAAQ,EAAE,OAAO,CAAC,SAAS,CAAC,CAAC;QACnE,OAAO,MAAM,gBAAgB,CAAC,QAAQ,EAAE,QAAQ,EAAE,OAAO,CAAC,GAAG,CAAC,CAAC;IACjE,CAAC,CAAC,CACH,CAAC,OAAO,CAAC,GAAG,EAAE;QACb,gCAAgC,CAAC,MAAM,CAAC,GAAG,CAAC,CAAC;IAC/C,CAAC,CAAC,CAAC;IACH,gCAAgC,CAAC,GAAG,CAAC,GAAG,EAAE,OAAO,CAAC,CAAC;IACnD,OAAO,OAAO,CAAC;AACjB,CAAC,CAAC;AAQF,MAAM,oBAAoB,GAAG,CAAC,MAA6B,EAAE,EAAE;IAC7D,MAAM,iBAAiB,GAAG,IAAI,GAAG,CAAC,MAAM,CAAC,GAAG,CAAC,CAAC,CAAC,EAAE,EAAE,CAAC,CAAC,CAAC,CAAC,QAAQ,EAAE,CAAC,CAAU,CAAC,CAAC,CAAC;IAC/E,MAAM,aAAa,GAAG,yBAAyB,CAC7C,MAAM,CAAC,GAAG,CAAC,CAAC,KAAK,EAAE,EAAE,CAAC,CAAC,EAAE,MAAM,EAAE,KAAK,CAAC,IAAI,CAAC,iBAAiB,EAAE,KAAK,EAAE,KAAK,CAAC,QAAQ,EAAE,CAAC,CAAC,CACzF,CAAC;IACF,MAAM,kBAAkB,GAAG,IAAI,GAAG,EAA0B,CAAC;IAC7D,KAAK,MAAM,KAAK,IAAI,MAAM,EAAE;QAC1B,KAAK,MAAM,KAAK,IAAI,KAAK,CAAC,IAAI,CAAC,MAAM,EAAE;YACrC,IAAI,QAAQ,GAAG,kBAAkB,CAAC,GAAG,CAAC,KAAK,CAAC,CAAC;YAC7C,IAAI,CAAC,QAAQ,EAAE;gBACb,QAAQ,GAAG,IAAI,GAAG,EAAU,CAAC;gBAC7B,kBAAkB,CAAC,GAAG,CAAC,KAAK,EAAE,QAAQ,CAAC,CAAC;aACzC;YACD,QAAQ,CAAC,GAAG,CAAC,KAAK,CAAC,QAAQ,CAAC,CAAC;SAC9B;KACF;IACD,OAAO,EAAE,iBAAiB,EAAE,aAAa,EAAE,kBAAkB,EAAE,CAAC;AAClE,CAAC,CAAC;AAEF;;;GAGG;AACH,MAAM,WAAW,GAAG,CAClB,WAAyB,EACzB,OAAyB,EACzB,UAAkB,EAKlB,EAAE;IACF,MAAM,EAAE,aAAa,EAAE,kBAAkB,EAAE,GAAG,OAAO,CAAC;IAEtD,MAAM,sBAAsB,GAAG,IAAI,GAAG,EAAoB,CAAC;IAE3D,MAAM,iBAAiB,GAAG,IAAI,GAAG,EAAuB,CAAC;IACzD,MAAM,kBAAkB,GAAG,IAAI,GAAG,EAAU,CAAC;IAC7C,uFAAuF;IACvF,MAAM,iBAAiB,GAAuB,EAAE,CAAC;IAEjD,KAAK,MAAM,IAAI,IAAI,WAAW,EAAE;QAC9B,MAAM,EAAE,UAAU,EAAE,KAAK,EAAE,GAAG,IAAI,CAAC;QAEnC,IAAI,eAAe,GAAG,sBAAsB,CAAC,GAAG,CAAC,UAAU,CAAC,CAAC;QAC7D,IAAI,CAAC,eAAe,EAAE;YACpB,eAAe,GAAG,aAAa,CAAC,KAAK,CAAC,UAAU,CAAC,CAAC;YAClD,sBAAsB,CAAC,GAAG,CAAC,UAAU,EAAE,eAAe,CAAC,CAAC;SACzD;QACD,IAAI,eAAe,CAAC,MAAM,KAAK,CAAC,EAAE;YAChC,kBAAkB,CAAC,GAAG,CAAC,UAAU,CAAC,CAAC;YACnC,SAAS;SACV;QAED,MAAM,aAAa,GAAG,kBAAkB,CAAC,GAAG,CAAC,KAAK,CAAC,CAAC;QACpD,IAAI,CAAC,aAAa,EAAE;YAClB,IAAI,CAAC,iBAAiB,CAAC,UAAU,CAAC;gBAAE,iBAAiB,CAAC,UAAU,CAAC,GAAG,EAAE,CAAC;YACvE,iBAAiB,CAAC,UAAU,CAAE,CAAC,KAAK,CAAC,GAAG,CAAC,EAAE,EAAE,UAAU,CAAC,CAAC;YACzD,SAAS;SACV;QAED,IAAI,OAAO,GAAG,KAAK,CAAC;QACpB,KAAK,MAAM,QAAQ,IAAI,eAAe,EAAE;YACtC,IAAI,CAAC,aAAa,CAAC,GAAG,CAAC,QAAQ,CAAC;gBAAE,SAAS;YAC3C,OAAO,GAAG,IAAI,CAAC;YACf,IAAI,UAAU,GAAG,iBAAiB,CAAC,GAAG,CAAC,QAAQ,CAAC,CAAC;YACjD,IAAI,CAAC,UAAU,EAAE;gBACf,UAAU,GAAG,IAAI,GAAG,EAAU,CAAC;gBAC/B,iBAAiB,CAAC,GAAG,CAAC,QAAQ,EAAE,UAAU,CAAC,CAAC;aAC7C;YACD,UAAU,CAAC,GAAG,CAAC,UAAU,CAAC,CAAC;SAC5B;QAED,IAAI,CAAC,OAAO,EAAE;YACZ,IAAI,CAAC,iBAAiB,CAAC,UAAU,CAAC;gBAAE,iBAAiB,CAAC,UAAU,CAAC,GAAG,EAAE,CAAC;YACvE,iBAAiB,CAAC,UAAU,CAAE,CAAC,KAAK,CAAC,GAAG,CAAC,EAAE,EAAE,UAAU,CAAC,CAAC;SAC1D;KACF;IAED,OAAO,EAAE,iBAAiB,EAAE,iBAAiB,EAAE,kBAAkB,EAAE,CAAC;AACtE,CAAC,CAAC;AAEF,MAAM,gBAAgB,GAAG,CAAC,QAAgB,EAAE,eAAyB,EAAE,EAAE,CACvE,UAAU,CAAC,QAAQ,EAAE,qBAAqB,CAAC,eAAe,CAAC,CAAC,CAAC;AAE/D,MAAM,YAAY,GAAG,CACnB,iBAA2C,EAC3C,iBAAmD,EACD,EAAE;;IACpD,MAAM,eAAe,GAAqD,EAAE,CAAC;IAC7E,KAAK,MAAM,CAAC,QAAQ,EAAE,YAAY,CAAC,IAAI,iBAAiB,EAAE;QACxD,MAAM,KAAK,GAAG,iBAAiB,CAAC,GAAG,CAAC,QAAQ,CAAC,CAAC;QAC9C,IAAI,CAAC,KAAK;YAAE,SAAS;QACrB,MAAM,gBAAgB,GAAG,CAAC,GAAG,YAAY,CAAC,CAAC,IAAI,EAAE,CAAC;QAClD,MAAM,GAAG,GAAG,MAAA,KAAK,CAAC,IAAI,CAAC,wBAAwB,mCAAI,gBAAgB,CAAC,MAAM,CAAC;QAC3E,KAAK,IAAI,CAAC,GAAG,CAAC,EAAE,CAAC,GAAG,gBAAgB,CAAC,MAAM,EAAE,CAAC,IAAI,GAAG,EAAE;YACrD,MAAM,eAAe,GAAG,gBAAgB,CAAC,KAAK,CAAC,CAAC,EAAE,CAAC,GAAG,GAAG,CAAC,CAAC;YAC3D,MAAM,GAAG,GAAG,gBAAgB,CAAC,QAAQ,EAAE,eAAe,CAAC,CAAC;YACxD,eAAe,CAAC,IAAI,CAAC;gBACnB,GAAG;gBACH,OAAO,EAAE;oBACP,QAAQ;oBACR,SAAS,EAAE,KAAK,CAAC,IAAI,CAAC,KAAK,CAAC,uBAAuB,CAAC,MAAM,EAAE,CAAC;oBAC7D,GAAG,EAAE,EAAE,WAAW,EAAE,eAAe,EAAE,MAAM,EAAE,KAAK,CAAC,IAAI,CAAC,MAAa,EAAE;iBACxE;aACF,CAAC,CAAC;SACJ;KACF;IACD,OAAO,eAAe,CAAC;AACzB,CAAC,CAAC;AAEF,MAAM,CAAC,MAAM,0BAA0B,GAAG,KAAK,EAAE,MAKhD,EAAiB,EAAE;IAClB,MAAM,EAAE,QAAQ,EAAE,UAAU,EAAE,WAAW,EAAE,UAAU,EAAE,GAAG,MAAM,CAAC;IACjE,IAAI,WAAW,CAAC,MAAM,KAAK,CAAC;QAAE,OAAO;IAErC,MAAM,cAAc,GAAG,KAAK,CAAC,IAAI,CAAC,iBAAiB,CAAC,MAAM,EAAE,CAAC,CAAC;IAC9D,OAAO,CAAC,IAAI,CACV,UAAU,CAAC,IAAI,CAAC,GAAG,EAAE,CAAC,EACtB,uCAAuC,EACvC,eAAe,cAAc,CAAC,MAAM,iDAAiD,EACrF,IAAI,CAAC,SAAS,CAAC,cAAc,CAAC,CAC/B,CAAC;IACF,IAAI,cAAc,CAAC,MAAM,KAAK,CAAC,EAAE;QAC/B,MAAM,QAAQ,CAAC,8BAA8B,EAAE,EAAE,MAAM,EAAE,WAAW,EAAE,CAAC,CAAC;KACzE;IAED,MAAM,OAAO,GAAG,oBAAoB,CAAC,cAAc,CAAC,CAAC;IACrD,MAAM,EAAE,iBAAiB,EAAE,iBAAiB,EAAE,kBAAkB,EAAE,GAAG,WAAW,CAC9E,WAAW,EACX,OAAO,EACP,UAAU,CACX,CAAC;IAEF,OAAO,CAAC,IAAI,CACV,UAAU,CAAC,IAAI,CAAC,GAAG,EAAE,CAAC,EACtB,6BAA6B,EAC7B,WAAW,WAAW,CAAC,MAAM,qBAAqB,iBAAiB,CAAC,IAAI,oBAAoB;QAC1F,GAAG,kBAAkB,CAAC,IAAI,uBAAuB,EACnD,IAAI,CAAC,SAAS,CAAC;QACb,iBAAiB,EAAE,CAAC,GAAG,iBAAiB,CAAC,OAAO,EAAE,CAAC,CAAC,GAAG,CAAC,CAAC,CAAC,QAAQ,EAAE,UAAU,CAAC,EAAE,EAAE,CAAC,CAAC;YACnF,QAAQ;YACR,WAAW,EAAE,CAAC,GAAG,UAAU,CAAC;SAC7B,CAAC,CAAC;QACH,mBAAmB,EAAE,CAAC,GAAG,kBAAkB,CAAC;QAC5C,kBAAkB,EAAE,iBAAiB;KACtC,CAAC,CACH,CAAC;IAEF,IAAI,kBAAkB,CAAC,IAAI,KAAK,CAAC,EAAE;QACjC,MAAM,QAAQ,CAAC,8BAA8B,EAAE;YAC7C,UAAU;YACV,mBAAmB,EAAE,CAAC,GAAG,kBAAkB,CAAC,CAAC,KAAK,CAAC,CAAC,EAAE,GAAG,CAAC;YAC1D,yBAAyB,EAAE,kBAAkB,CAAC,IAAI;SACnD,CAAC,CAAC;KACJ;IAED,UAAU,CAAC,MAAM,CAAC,iBAAiB,CAAC,CAAC;IAErC,MAAM,eAAe,GAAG,YAAY,CAAC,iBAAiB,EAAE,OAAO,CAAC,iBAAiB,CAAC,CAAC;IAEnF,OAAO,CAAC,IAAI,CACV,UAAU,CAAC,IAAI,CAAC,GAAG,EAAE,CAAC,EACtB,4BAA4B,EAC5B,WAAW,eAAe,CAAC,MAAM,+BAA+B,EAChE,IAAI,CAAC,SAAS,CACZ,eAAe,CAAC,GAAG,CAAC,CAAC,EAAE,GAAG,EAAE,OAAO,EAAE,EAAE,EAAE,CAAC,CAAC;QACzC,GAAG;QACH,QAAQ,EAAE,OAAO,CAAC,QAAQ;QAC1B,WAAW,EAAE,OAAO,CAAC,GAAG,CAAC,WAAW;QACpC,MAAM,EAAE,OAAO,CAAC,GAAG,CAAC,MAAM;KAC3B,CAAC,CAAC,CACJ,CACF,CAAC;IAEF,MAAM,OAAO,GAAG,MAAM,OAAO,CAAC,GAAG,CAC/B,eAAe,CAAC,GAAG,CAAC,KAAK,EAAE,EAAE,GAAG,EAAE,OAAO,EAAE,EAAE,EAAE,CAAC,MAAM,wBAAwB,CAAC,QAAQ,EAAE,GAAG,EAAE,OAAO,CAAC,CAAC,CACxG,CAAC;IAEF,OAAO,CAAC,KAAK,CACX,UAAU,CAAC,IAAI,CAAC,GAAG,EAAE,CAAC,EACtB,6BAA6B,EAC7B,YAAY,OAAO,CAAC,MAAM,gCAAgC,CAE3D,CAAC;IAEF,KAAK,MAAM,MAAM,IAAI,OAAO,EAAE;QAC5B,UAAU,CAAC,MAAM,CAAC,MAAuC,CAAC,CAAC;KAC5D;AACH,CAAC,CAAC","sourcesContent":["import {\n  IQuoteUpdateAction as IExchangeQuoteUpdateAction,\n  IQuoteServiceMetadata,\n  IQuoteServiceRequestByVEX,\n  parseQuoteServiceMetadataFromSchema,\n} from '@yuants/exchange';\nimport { Terminal } from '@yuants/protocol';\nimport { encodePath, formatTime, listWatch, newError } from '@yuants/utils';\nimport { EMPTY, filter, firstValueFrom, from, map, mergeMap, of, tap, timer, toArray } from 'rxjs';\nimport { createSortedPrefixMatcher } from './prefix-matcher';\nimport { fnv1a64HexFromStrings } from './request-key';\nimport { IQuoteKey, IQuoteState, IQuoteUpdateAction } from './types';\n\nexport interface IQuoteMiss {\n  product_id: string;\n  field: IQuoteKey;\n}\n\n// -----------------------------------------------------------------------------\n// Provider discovery (schema-driven)\n// -----------------------------------------------------------------------------\n\ninterface IQuoteProviderInstance {\n  terminal_id: string;\n  service_id: string;\n}\n\n/**\n * A \"provider group\" is a capability signature of `GetQuotes`.\n * Multiple vendor terminals may provide the same capability; VEX load-balances across instances.\n */\ninterface IQuoteProviderGroup {\n  group_id: string;\n  meta: IQuoteServiceMetadata;\n  mapTerminalIdToInstance: Map<string, IQuoteProviderInstance>;\n}\n\ntype IPlannedRequest = {\n  group_id: string;\n  instances: IQuoteProviderInstance[];\n  req: IQuoteServiceRequestByVEX;\n};\n\nconst terminal = Terminal.fromNodeEnv();\n\nconst quoteServiceInfos$ = terminal.terminalInfos$.pipe(\n  mergeMap((infos) =>\n    from(infos).pipe(\n      //\n      mergeMap((info) =>\n        from(Object.values(info.serviceInfo ?? {})).pipe(\n          filter((serviceInfo) => serviceInfo.method === 'GetQuotes'),\n          map((serviceInfo) => ({\n            terminal_id: info.terminal_id,\n            serviceInfo,\n          })),\n          toArray(),\n        ),\n      ),\n    ),\n  ),\n);\n\nconst mapGroupIdToGroup = new Map<string, IQuoteProviderGroup>();\n\n/**\n * Build provider groups from runtime terminal infos.\n *\n * Note: `fields` is schema `const`, so VEX must keep a stable order (lexicographical sort).\n */\nquoteServiceInfos$\n  .pipe(\n    listWatch(\n      (v) => v.serviceInfo.service_id,\n      (v) => {\n        console.info(\n          formatTime(Date.now()),\n          `[VEX][QUOTE]DiscoveringGetQuotesProvider...`,\n          `from terminal ${v.terminal_id}`,\n          `service ${v.serviceInfo.service_id}`,\n          `schema:  ${JSON.stringify(v.serviceInfo.schema)}`,\n        );\n        try {\n          const metadata = parseQuoteServiceMetadataFromSchema(v.serviceInfo.schema);\n          const fields = [...(metadata.fields as unknown as IQuoteKey[])].sort();\n          const group_id = encodePath(\n            metadata.product_id_prefix,\n            fields.join(','),\n            metadata.max_products_per_request ?? '',\n          );\n          const provider: IQuoteProviderInstance = {\n            terminal_id: v.terminal_id,\n            service_id: v.serviceInfo.service_id || v.serviceInfo.method,\n          };\n          if (mapGroupIdToGroup.get(group_id)) {\n            mapGroupIdToGroup.get(group_id)!.mapTerminalIdToInstance.set(provider.terminal_id, provider);\n          } else {\n            const next: IQuoteProviderGroup = {\n              group_id,\n              meta: metadata,\n              mapTerminalIdToInstance: new Map([[provider.terminal_id, provider]]),\n            };\n            mapGroupIdToGroup.set(group_id, next);\n            console.info('11111111', [...mapGroupIdToGroup.values()]);\n          }\n          return of(void 0).pipe(\n            //\n            tap({\n              unsubscribe: () => {\n                mapGroupIdToGroup.get(group_id)?.mapTerminalIdToInstance.delete(v.terminal_id);\n                if (mapGroupIdToGroup.get(group_id)?.mapTerminalIdToInstance.size === 0) {\n                  mapGroupIdToGroup.delete(group_id);\n                }\n              },\n            }),\n          );\n        } catch {\n          // Ignore invalid schemas/providers\n          console.info(\n            `[VEX][Quote] Ignored GetQuotes provider from terminal ${v.terminal_id} `,\n            `service ${v.serviceInfo.service_id} due to invalid schema.`,\n          );\n          return EMPTY;\n        }\n      },\n    ),\n  )\n  .subscribe();\n\n// -----------------------------------------------------------------------------\n// Load balancing & upstream request execution\n// -----------------------------------------------------------------------------\n\nconst mapGroupIdToRoundRobinIndex = new Map<string, number>();\nconst pickInstance = (group_id: string, instances: IQuoteProviderInstance[]): IQuoteProviderInstance => {\n  if (instances.length === 0) throw newError('VEX_QUOTE_PROVIDER_INSTANCE_EMPTY', { group_id });\n  const nextIndex = (mapGroupIdToRoundRobinIndex.get(group_id) ?? 0) % instances.length;\n  mapGroupIdToRoundRobinIndex.set(group_id, nextIndex + 1);\n  return instances[nextIndex];\n};\n\n/**\n * Call a specified vendor terminal + service instance.\n *\n * Any non-0 response is treated as fatal (strict freshness requirement).\n */\nconst requestGetQuotes = async (\n  terminal: Terminal,\n  instance: IQuoteProviderInstance,\n  req: IQuoteServiceRequestByVEX,\n): Promise<IExchangeQuoteUpdateAction> => {\n  const res = await firstValueFrom(\n    terminal.client\n      .request<IQuoteServiceRequestByVEX, IExchangeQuoteUpdateAction>(\n        'GetQuotes',\n        instance.terminal_id,\n        req,\n        instance.service_id,\n      )\n      .pipe(\n        map((msg) => msg.res),\n        filter((v): v is Exclude<typeof v, undefined> => v !== undefined),\n      ),\n  );\n  if (res.code !== 0) {\n    throw newError('VEX_QUOTE_PROVIDER_ERROR', { instance, res });\n  }\n  if (res.data === undefined) {\n    throw newError('VEX_QUOTE_PROVIDER_DATA_MISSING', { instance, res });\n  }\n  return res.data as any;\n};\n\n/**\n * Per-provider (group_id) concurrency limit: 1.\n * Implemented as a per-group promise tail.\n */\nconst mapGroupIdToTailPromise = new Map<string, Promise<void>>();\nconst runWithProviderGroupConcurrencyLimit1 = async <T>(\n  group_id: string,\n  fn: () => Promise<T>,\n): Promise<T> => {\n  const prev = mapGroupIdToTailPromise.get(group_id) ?? Promise.resolve();\n  let resolveCurrent: () => void = () => {};\n  const current = new Promise<void>((resolve) => {\n    resolveCurrent = resolve;\n  });\n  mapGroupIdToTailPromise.set(\n    group_id,\n    prev.then(() => current),\n  );\n  await prev;\n  try {\n    return await fn();\n  } finally {\n    resolveCurrent();\n  }\n};\n\n/**\n * A tiny async limiter: used as a global concurrency cap to avoid request explosions.\n */\nconst createConcurrencyLimiter = (concurrency: number) => {\n  const queue: Array<() => void> = [];\n  let active = 0;\n  const next = () => {\n    if (active >= concurrency) return;\n    const task = queue.shift();\n    if (!task) return;\n    active++;\n    task();\n  };\n  return async <T>(fn: () => Promise<T>): Promise<T> => {\n    return await new Promise<T>((resolve, reject) => {\n      queue.push(async () => {\n        try {\n          resolve(await fn());\n        } catch (e) {\n          reject(e);\n        } finally {\n          active--;\n          next();\n        }\n      });\n      next();\n    });\n  };\n};\n\n// Global concurrency cap for upstream `GetQuotes` calls (provider-level cap is handled separately).\nconst limitGetQuotes = createConcurrencyLimiter(32);\n\n/**\n * In-flight dedup:\n * Same (provider group + product batch) should share a single upstream request promise.\n */\nconst mapKeyToInFlightGetQuotesPromise = new Map<string, Promise<IExchangeQuoteUpdateAction>>();\nconst requestGetQuotesInFlight = (terminal: Terminal, key: string, planned: IPlannedRequest) => {\n  const existing = mapKeyToInFlightGetQuotesPromise.get(key);\n  if (existing) return existing;\n  const promise = limitGetQuotes(() =>\n    runWithProviderGroupConcurrencyLimit1(planned.group_id, async () => {\n      const instance = pickInstance(planned.group_id, planned.instances);\n      return await requestGetQuotes(terminal, instance, planned.req);\n    }),\n  ).finally(() => {\n    mapKeyToInFlightGetQuotesPromise.delete(key);\n  });\n  mapKeyToInFlightGetQuotesPromise.set(key, promise);\n  return promise;\n};\n\n// -----------------------------------------------------------------------------\n// Routing indices (prefix + field inverted index)\n// -----------------------------------------------------------------------------\n\ntype IProviderIndices = ReturnType<typeof buildProviderIndices>;\n\nconst buildProviderIndices = (groups: IQuoteProviderGroup[]) => {\n  const mapGroupIdToGroup = new Map(groups.map((x) => [x.group_id, x] as const));\n  const prefixMatcher = createSortedPrefixMatcher(\n    groups.map((group) => ({ prefix: group.meta.product_id_prefix, value: group.group_id })),\n  );\n  const mapFieldToGroupIds = new Map<IQuoteKey, Set<string>>();\n  for (const group of groups) {\n    for (const field of group.meta.fields) {\n      let groupIds = mapFieldToGroupIds.get(field);\n      if (!groupIds) {\n        groupIds = new Set<string>();\n        mapFieldToGroupIds.set(field, groupIds);\n      }\n      groupIds.add(group.group_id);\n    }\n  }\n  return { mapGroupIdToGroup, prefixMatcher, mapFieldToGroupIds };\n};\n\n/**\n * L1 quote routing (per `docs/zh-Hans/code-guidelines/exchange.md`):\n * For each missed (product_id, field), route to `S_product_id ∩ S_field`.\n */\nconst routeMisses = (\n  cacheMissed: IQuoteMiss[],\n  indices: IProviderIndices,\n  updated_at: number,\n): {\n  productsByGroupId: Map<string, Set<string>>;\n  unavailableAction: IQuoteUpdateAction;\n  unroutableProducts: Set<string>;\n} => {\n  const { prefixMatcher, mapFieldToGroupIds } = indices;\n\n  const mapProductIdToGroupIds = new Map<string, string[]>();\n\n  const productsByGroupId = new Map<string, Set<string>>();\n  const unroutableProducts = new Set<string>();\n  // Field unavailable: return \"\" but keep updated_at satisfied to avoid repeated misses.\n  const unavailableAction: IQuoteUpdateAction = {};\n\n  for (const miss of cacheMissed) {\n    const { product_id, field } = miss;\n\n    let productGroupIds = mapProductIdToGroupIds.get(product_id);\n    if (!productGroupIds) {\n      productGroupIds = prefixMatcher.match(product_id);\n      mapProductIdToGroupIds.set(product_id, productGroupIds);\n    }\n    if (productGroupIds.length === 0) {\n      unroutableProducts.add(product_id);\n      continue;\n    }\n\n    const fieldGroupIds = mapFieldToGroupIds.get(field);\n    if (!fieldGroupIds) {\n      if (!unavailableAction[product_id]) unavailableAction[product_id] = {};\n      unavailableAction[product_id]![field] = ['', updated_at];\n      continue;\n    }\n\n    let matched = false;\n    for (const group_id of productGroupIds) {\n      if (!fieldGroupIds.has(group_id)) continue;\n      matched = true;\n      let productIds = productsByGroupId.get(group_id);\n      if (!productIds) {\n        productIds = new Set<string>();\n        productsByGroupId.set(group_id, productIds);\n      }\n      productIds.add(product_id);\n    }\n\n    if (!matched) {\n      if (!unavailableAction[product_id]) unavailableAction[product_id] = {};\n      unavailableAction[product_id]![field] = ['', updated_at];\n    }\n  }\n\n  return { productsByGroupId, unavailableAction, unroutableProducts };\n};\n\nconst createRequestKey = (group_id: string, batchProductIds: string[]) =>\n  encodePath(group_id, fnv1a64HexFromStrings(batchProductIds));\n\nconst planRequests = (\n  productsByGroupId: Map<string, Set<string>>,\n  mapGroupIdToGroup: Map<string, IQuoteProviderGroup>,\n): Array<{ key: string; planned: IPlannedRequest }> => {\n  const plannedRequests: Array<{ key: string; planned: IPlannedRequest }> = [];\n  for (const [group_id, productIdSet] of productsByGroupId) {\n    const group = mapGroupIdToGroup.get(group_id);\n    if (!group) continue;\n    const sortedProductIds = [...productIdSet].sort();\n    const max = group.meta.max_products_per_request ?? sortedProductIds.length;\n    for (let i = 0; i < sortedProductIds.length; i += max) {\n      const batchProductIds = sortedProductIds.slice(i, i + max);\n      const key = createRequestKey(group_id, batchProductIds);\n      plannedRequests.push({\n        key,\n        planned: {\n          group_id,\n          instances: Array.from(group.mapTerminalIdToInstance.values()),\n          req: { product_ids: batchProductIds, fields: group.meta.fields as any },\n        },\n      });\n    }\n  }\n  return plannedRequests;\n};\n\nexport const fillQuoteStateFromUpstream = async (params: {\n  terminal: Terminal;\n  quoteState: IQuoteState;\n  cacheMissed: IQuoteMiss[];\n  updated_at: number;\n}): Promise<void> => {\n  const { terminal, quoteState, cacheMissed, updated_at } = params;\n  if (cacheMissed.length === 0) return;\n\n  const providerGroups = Array.from(mapGroupIdToGroup.values());\n  console.info(\n    formatTime(Date.now()),\n    `[VEX][Quote]UpstreamProviderDiscovery`,\n    ` Discovered ${providerGroups.length} GetQuotes provider groups from terminal infos.`,\n    JSON.stringify(providerGroups),\n  );\n  if (providerGroups.length === 0) {\n    throw newError('VEX_QUOTE_PROVIDER_NOT_FOUND', { method: 'GetQuotes' });\n  }\n\n  const indices = buildProviderIndices(providerGroups);\n  const { productsByGroupId, unavailableAction, unroutableProducts } = routeMisses(\n    cacheMissed,\n    indices,\n    updated_at,\n  );\n\n  console.info(\n    formatTime(Date.now()),\n    `[VEX][Quote]RouteDispatched`,\n    ` Routed ${cacheMissed.length} missed quotes to ${productsByGroupId.size} provider groups, ` +\n      `${unroutableProducts.size} unroutable products.`,\n    JSON.stringify({\n      productsByGroupId: [...productsByGroupId.entries()].map(([group_id, productIds]) => ({\n        group_id,\n        product_ids: [...productIds],\n      })),\n      unroutable_products: [...unroutableProducts],\n      unavailable_action: unavailableAction,\n    }),\n  );\n\n  if (unroutableProducts.size !== 0) {\n    throw newError('VEX_QUOTE_PRODUCT_UNROUTABLE', {\n      updated_at,\n      unroutable_products: [...unroutableProducts].slice(0, 200),\n      unroutable_products_total: unroutableProducts.size,\n    });\n  }\n\n  quoteState.update(unavailableAction);\n\n  const plannedRequests = planRequests(productsByGroupId, indices.mapGroupIdToGroup);\n\n  console.info(\n    formatTime(Date.now()),\n    `[VEX][Quote]RequestPlanned`,\n    `Planned ${plannedRequests.length} upstream GetQuotes requests.`,\n    JSON.stringify(\n      plannedRequests.map(({ key, planned }) => ({\n        key,\n        group_id: planned.group_id,\n        product_ids: planned.req.product_ids,\n        fields: planned.req.fields,\n      })),\n    ),\n  );\n\n  const actions = await Promise.all(\n    plannedRequests.map(async ({ key, planned }) => await requestGetQuotesInFlight(terminal, key, planned)),\n  );\n\n  console.debug(\n    formatTime(Date.now()),\n    `[VEX][Quote]RequestReceived`,\n    `Received ${actions.length} upstream GetQuotes responses.`,\n    // JSON.stringify(actions),\n  );\n\n  for (const action of actions) {\n    quoteState.update(action as unknown as IQuoteUpdateAction);\n  }\n};\n"]}

package/lib/position.d.ts.map

@@ -1 +1 @@
-{"version":3,"file":"position.d.ts","sourceRoot":"","sources":["../src/position.ts"],"names":[],"mappings":"AACA,OAAO,EAAE,SAAS,EAAE,MAAM,sBAAsB,CAAC;AACjD,OAAO,EAAE,MAAM,EAAE,MAAM,oBAAoB,CAAC;AAqC5C,eAAO,MAAM,gBAAgB,cAAqB,SAAS,EAAE,KAAG,QAAQ,SAAS,EAAE,CA+DlF,CAAC;AAEF,eAAO,MAAM,cAAc,WAAkB,MAAM,EAAE,KAAG,QAAQ,MAAM,EAAE,CA4BvE,CAAC"}
+{"version":3,"file":"position.d.ts","sourceRoot":"","sources":["../src/position.ts"],"names":[],"mappings":"AACA,OAAO,EAAE,SAAS,EAAE,MAAM,sBAAsB,CAAC;AACjD,OAAO,EAAE,MAAM,EAAE,MAAM,oBAAoB,CAAC;AAqC5C,eAAO,MAAM,gBAAgB,cAAqB,SAAS,EAAE,KAAG,QAAQ,SAAS,EAAE,CAiFlF,CAAC;AAEF,eAAO,MAAM,cAAc,WAAkB,MAAM,EAAE,KAAG,QAAQ,MAAM,EAAE,CA4BvE,CAAC"}

package/lib/position.js

@@ -52,6 +52,23 @@ const polyfillPosition = async (positions) => {
             }
             pos.valuation = Math.abs((theProduct.value_scale || 1) * pos.volume * pos.closable_price);
         }
+        if (quote && pos.size) {
+            const sizeNum = +pos.size;
+            if (pos.current_price === undefined) {
+                if (sizeNum > 0) {
+                    // 多头头寸使用买一价作为可平仓价格，如果没有买一价则使用最新价
+                    pos.current_price = (quote.ask_price || quote.last_price) + '';
+                }
+                else {
+                    // 空头头寸使用卖一价作为可平仓价格，如果没有卖一价则使用最新价
+                    pos.current_price = (quote.bid_price || quote.last_price) + '';
+                }
+            }
+            // 计算名义价值
+            if (pos.notional === undefined) {
+                pos.notional = sizeNum * (+pos.current_price || 0) + '';
+            }
+        }
         // 利率相关信息的追加
         if (quote) {
             if (quote.interest_rate_next_settled_at !== null) {

package/lib/position.js.map

@@ -1 +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,KAAM,EAAE,MAAM,EAAE,OAAQ,EAAE,CACvC,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,MAAM,aAAa,GAAG,IAAI,IAAI,CAAC,KAAK,CAAC,6BAA6B,CAAC,CAAC,OAAO,EAAE,CAAC;gBAC9E,oBAAoB;gBACpB,GAAG,CAAC,uBAAuB,GAAG,aAAa,CAAC;gBAC5C,oBAAoB;gBACpB,IAAI,oBAAoB,KAAK,SAAS,EAAE;oBACtC,MAAM,QAAQ,GAAG,aAAa,GAAG,oBAAoB,CAAC,IAAI,CAAC;oBAC3D,GAAG,CAAC,mBAAmB,GAAG,QAAQ,CAAC;iBACpC;aACF;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,2CAA2C;YAC3C,IAAI,GAAG,CAAC,mBAAmB,KAAK,SAAS,IAAI,oBAAoB,EAAE;gBACjE,GAAG,CAAC,mBAAmB,GAAG,oBAAoB,CAAC,QAAQ,CAAC;aACzD;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;KACF;IACD,OAAO,SAAS,CAAC;AACnB,CAAC,CAAC;AA/DW,QAAA,gBAAgB,oBA+D3B;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: 60_000, expire: 3600_000 },\n);\n\nexport const polyfillPosition = async (positions: IPosition[]): Promise<IPosition[]> => {\n  // TODO: 使用 batch query SQL 优化 product / quote 查询性能\n  for (const pos of positions) {\n    const [theProduct, quote, interestRateInterval] = await Promise.all([\n      productCache.query(pos.product_id),\n      quoteCache.query(pos.product_id),\n      interestRateIntervalCache.query(pos.product_id),\n    ]);\n\n    // 估值 = value_scale * volume * closable_price\n    if (theProduct) {\n      if (theProduct.base_currency) {\n        pos.base_currency = theProduct.base_currency;\n      }\n      if (theProduct.quote_currency) {\n        pos.quote_currency = theProduct.quote_currency;\n      }\n      if (pos.size === undefined && pos.volume !== undefined && pos.direction !== undefined) {\n        pos.size = (pos.direction === 'LONG' ? 1 : -1) * pos.volume * (theProduct.value_scale || 1) + '';\n      }\n      if (pos.free_size === undefined && pos.free_volume !== undefined && pos.direction !== undefined) {\n        pos.free_size =\n          (pos.direction === 'LONG' ? 1 : -1) * pos.free_volume * (theProduct.value_scale || 1) + '';\n      }\n      pos.valuation = Math.abs((theProduct.value_scale || 1) * pos.volume * pos.closable_price);\n    }\n\n    // 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"]}
+{"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,KAAM,EAAE,MAAM,EAAE,OAAQ,EAAE,CACvC,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,IAAI,KAAK,IAAI,GAAG,CAAC,IAAI,EAAE;YACrB,MAAM,OAAO,GAAG,CAAC,GAAG,CAAC,IAAI,CAAC;YAC1B,IAAI,GAAG,CAAC,aAAa,KAAK,SAAS,EAAE;gBACnC,IAAI,OAAO,GAAG,CAAC,EAAE;oBACf,iCAAiC;oBACjC,GAAG,CAAC,aAAa,GAAG,CAAC,KAAK,CAAC,SAAS,IAAI,KAAK,CAAC,UAAU,CAAC,GAAG,EAAE,CAAC;iBAChE;qBAAM;oBACL,iCAAiC;oBACjC,GAAG,CAAC,aAAa,GAAG,CAAC,KAAK,CAAC,SAAS,IAAI,KAAK,CAAC,UAAU,CAAC,GAAG,EAAE,CAAC;iBAChE;aACF;YAED,SAAS;YACT,IAAI,GAAG,CAAC,QAAQ,KAAK,SAAS,EAAE;gBAC9B,GAAG,CAAC,QAAQ,GAAG,OAAO,GAAG,CAAC,CAAC,GAAG,CAAC,aAAa,IAAI,CAAC,CAAC,GAAG,EAAE,CAAC;aACzD;SACF;QAED,YAAY;QACZ,IAAI,KAAK,EAAE;YACT,IAAI,KAAK,CAAC,6BAA6B,KAAK,IAAI,EAAE;gBAChD,MAAM,aAAa,GAAG,IAAI,IAAI,CAAC,KAAK,CAAC,6BAA6B,CAAC,CAAC,OAAO,EAAE,CAAC;gBAC9E,oBAAoB;gBACpB,GAAG,CAAC,uBAAuB,GAAG,aAAa,CAAC;gBAC5C,oBAAoB;gBACpB,IAAI,oBAAoB,KAAK,SAAS,EAAE;oBACtC,MAAM,QAAQ,GAAG,aAAa,GAAG,oBAAoB,CAAC,IAAI,CAAC;oBAC3D,GAAG,CAAC,mBAAmB,GAAG,QAAQ,CAAC;iBACpC;aACF;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,2CAA2C;YAC3C,IAAI,GAAG,CAAC,mBAAmB,KAAK,SAAS,IAAI,oBAAoB,EAAE;gBACjE,GAAG,CAAC,mBAAmB,GAAG,oBAAoB,CAAC,QAAQ,CAAC;aACzD;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;KACF;IACD,OAAO,SAAS,CAAC;AACnB,CAAC,CAAC;AAjFW,QAAA,gBAAgB,oBAiF3B;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: 60_000, expire: 3600_000 },\n);\n\nexport const polyfillPosition = async (positions: IPosition[]): Promise<IPosition[]> => {\n  // TODO: 使用 batch query SQL 优化 product / quote 查询性能\n  for (const pos of positions) {\n    const [theProduct, quote, interestRateInterval] = await Promise.all([\n      productCache.query(pos.product_id),\n      quoteCache.query(pos.product_id),\n      interestRateIntervalCache.query(pos.product_id),\n    ]);\n\n    // 估值 = value_scale * volume * closable_price\n    if (theProduct) {\n      if (theProduct.base_currency) {\n        pos.base_currency = theProduct.base_currency;\n      }\n      if (theProduct.quote_currency) {\n        pos.quote_currency = theProduct.quote_currency;\n      }\n      if (pos.size === undefined && pos.volume !== undefined && pos.direction !== undefined) {\n        pos.size = (pos.direction === 'LONG' ? 1 : -1) * pos.volume * (theProduct.value_scale || 1) + '';\n      }\n      if (pos.free_size === undefined && pos.free_volume !== undefined && pos.direction !== undefined) {\n        pos.free_size =\n          (pos.direction === 'LONG' ? 1 : -1) * pos.free_volume * (theProduct.value_scale || 1) + '';\n      }\n      pos.valuation = Math.abs((theProduct.value_scale || 1) * pos.volume * pos.closable_price);\n    }\n\n    if (quote && pos.size) {\n      const sizeNum = +pos.size;\n      if (pos.current_price === undefined) {\n        if (sizeNum > 0) {\n          // 多头头寸使用买一价作为可平仓价格，如果没有买一价则使用最新价\n          pos.current_price = (quote.ask_price || quote.last_price) + '';\n        } else {\n          // 空头头寸使用卖一价作为可平仓价格，如果没有卖一价则使用最新价\n          pos.current_price = (quote.bid_price || quote.last_price) + '';\n        }\n      }\n\n      // 计算名义价值\n      if (pos.notional === undefined) {\n        pos.notional = sizeNum * (+pos.current_price || 0) + '';\n      }\n    }\n\n    // 利率相关信息的追加\n    if (quote) {\n      if (quote.interest_rate_next_settled_at !== null) {\n        const nextSettledAt = new Date(quote.interest_rate_next_settled_at).getTime();\n        // 优先使用行情数据中的下一个结算时间\n        pos.settlement_scheduled_at = nextSettledAt;\n        // 优先使用下一个结算时间推算结算间隔\n        if (interestRateInterval !== undefined) {\n          const interval = nextSettledAt - interestRateInterval.prev;\n          pos.settlement_interval = interval;\n        }\n      } else if (quote.interest_rate_next_settled_at === null && interestRateInterval !== undefined) {\n        // 估算下一个结算时间\n        // 找到 prev + k * interval > now 的最小 k，则下一个结算时间为 prev + k * interval\n        const k = Math.ceil((Date.now() - interestRateInterval.prev) / interestRateInterval.interval);\n        pos.settlement_scheduled_at = interestRateInterval.prev + k * interestRateInterval.interval;\n      }\n\n      // 如果还没有结算间隔，则使用 interest rate 表的时间间隔作为结算间隔\n      if (pos.settlement_interval === undefined && interestRateInterval) {\n        pos.settlement_interval = interestRateInterval.interval;\n      }\n\n      if (pos.direction === 'LONG') {\n        if (quote.interest_rate_long !== null) {\n          pos.interest_to_settle = +quote.interest_rate_long * pos.valuation;\n        }\n      }\n      if (pos.direction === 'SHORT') {\n        if (quote.interest_rate_short !== null) {\n          pos.interest_to_settle = +quote.interest_rate_short * pos.valuation;\n        }\n      }\n    }\n  }\n  return positions;\n};\n\nexport const polyfillOrders = async (orders: IOrder[]): Promise<IOrder[]> => {\n  for (const order of orders) {\n    const theProduct = await productCache.query(order.product_id);\n    if (theProduct) {\n      if (order.size !== undefined) {\n        const sizeNum = +order.size;\n        const sizeStep = theProduct.volume_step * theProduct.value_scale;\n        if (!(sizeStep > 0)) throw newError('INVALID_SIZE_STEP', { product: theProduct, sizeStep });\n        // check size is multiple of sizeStep\n        if (Math.abs(sizeNum - Math.round(sizeNum / sizeStep) * sizeStep) > 1e-16) {\n          throw newError('INVALID_ORDER_SIZE_NOT_MULTIPLE_OF_SIZE_STEP', {\n            order,\n            sizeStep,\n            sizeNum,\n            product: theProduct,\n          });\n        }\n\n        if (sizeNum >= 0) {\n          order.order_direction = order.is_close ? 'CLOSE_SHORT' : 'OPEN_LONG';\n        } else {\n          order.order_direction = order.is_close ? 'CLOSE_LONG' : 'OPEN_SHORT';\n        }\n        order.volume = Math.abs(sizeNum) / theProduct.value_scale;\n      }\n    }\n  }\n  return orders;\n};\n"]}

package/lib/quote/__tests__/implementations.test.d.ts

@@ -0,0 +1,2 @@
+export {};
+//# sourceMappingURL=implementations.test.d.ts.map

package/lib/quote/__tests__/implementations.test.d.ts.map

@@ -0,0 +1 @@
+{"version":3,"file":"implementations.test.d.ts","sourceRoot":"","sources":["../../../src/quote/__tests__/implementations.test.ts"],"names":[],"mappings":""}