@yuants/app-virtual-exchange 0.9.4 → 0.10.1

package/dist/quote/service.js.map

@@ -1 +1 @@
-{"version":3,"file":"service.js","sourceRoot":"","sources":["../../src/quote/service.ts"],"names":[],"mappings":"AAAA,OAAO,EAAE,QAAQ,EAAE,MAAM,kBAAkB,CAAC;AAC5C,OAAO,EAAE,QAAQ,EAAE,MAAM,eAAe,CAAC;AACzC,OAAO,EAAE,gBAAgB,EAAE,MAAM,SAAS,CAAC;AAE3C,OAAO,EAAE,0BAA0B,EAAc,MAAM,oBAAoB,CAAC;AAE5E,MAAM,QAAQ,GAAG,QAAQ,CAAC,WAAW,EAAE,CAAC;AAExC,MAAM,UAAU,GAAG,gBAAgB,EAAE,CAAC;AAEtC,MAAM,wBAAwB,GAAG,CAC/B,IAAwB,EACxB,MAA0E,EAC1E,EAAE;;IACF,OAAO,CAAC,IAAI,CACV,kEAAkE,EAClE,IAAI,CAAC,SAAS,CAAC,MAAM,CAAC,EACtB,IAAI,CAAC,SAAS,CAAC,IAAI,CAAC,CACrB,CAAC;IACF,MAAM,EAAE,WAAW,EAAE,MAAM,EAAE,UAAU,EAAE,GAAG,MAAM,CAAC;IACnD,MAAM,WAAW,GAAoD,EAAE,CAAC;IACxE,KAAK,MAAM,UAAU,IAAI,WAAW,EAAE;QACpC,KAAK,MAAM,KAAK,IAAI,MAAM,EAAE;YAC1B,IAAI,CAAC,CAAA,MAAA,IAAI,CAAC,UAAU,CAAC,0CAAG,KAAK,CAAC,CAAA,EAAE;gBAC9B,WAAW,CAAC,IAAI,CAAC,EAAE,UAAU,EAAE,KAAK,EAAE,CAAC,CAAC;aACzC;SACF;KACF;IACD,IAAI,WAAW,CAAC,MAAM,GAAG,CAAC,EAAE;QAC1B,MAAM,QAAQ,CAAC,mCAAmC,EAAE;YAClD,UAAU;YACV,MAAM,EAAE,WAAW,CAAC,KAAK,CAAC,CAAC,EAAE,GAAG,CAAC;YACjC,YAAY,EAAE,WAAW,CAAC,MAAM;SACjC,CAAC,CAAC;KACJ;AACH,CAAC,CAAC;AAEF,QAAQ,CAAC,MAAM,CAAC,cAAc,CAAqB,kBAAkB,EAAE,EAAE,EAAE,KAAK,EAAE,GAAG,EAAE,EAAE;IACvF,UAAU,CAAC,MAAM,CAAC,GAAG,CAAC,GAAG,CAAC,CAAC;IAC3B,OAAO,EAAE,GAAG,EAAE,EAAE,IAAI,EAAE,CAAC,EAAE,OAAO,EAAE,IAAI,EAAE,EAAE,CAAC;AAC7C,CAAC,CAAC,CAAC;AAEH,QAAQ,CAAC,MAAM,CAAC,cAAc,CAAyB,oBAAoB,EAAE,EAAE,EAAE,KAAK,IAAI,EAAE;IAC1F,OAAO,EAAE,GAAG,EAAE,EAAE,IAAI,EAAE,CAAC,EAAE,OAAO,EAAE,IAAI,EAAE,IAAI,EAAE,UAAU,CAAC,YAAY,EAAE,EAAE,EAAE,CAAC;AAC9E,CAAC,CAAC,CAAC;AAEH,MAAM,kBAAkB,GAAG,CACzB,UAAuB,EACvB,WAAqB,EACrB,MAAmB,EACnB,UAAkB,EACJ,EAAE;IAChB,MAAM,WAAW,GAAiB,EAAE,CAAC;IACrC,KAAK,MAAM,UAAU,IAAI,WAAW,EAAE;QACpC,KAAK,MAAM,KAAK,IAAI,MAAM,EAAE;YAC1B,MAAM,KAAK,GAAG,UAAU,CAAC,aAAa,CAAC,UAAU,EAAE,KAAK,CAAC,CAAC;YAC1D,IAAI,KAAK,KAAK,SAAS,IAAI,KAAK,CAAC,CAAC,CAAC,GAAG,UAAU,EAAE;gBAChD,WAAW,CAAC,IAAI,CAAC,EAAE,UAAU,EAAE,KAAK,EAAE,CAAC,CAAC;aACzC;SACF;KACF;IACD,OAAO,WAAW,CAAC;AACrB,CAAC,CAAC;AAEF,QAAQ,CAAC,MAAM,CAAC,cAAc,CAI5B,iBAAiB,EACjB;IACE,IAAI,EAAE,QAAQ;IACd,QAAQ,EAAE,CAAC,aAAa,EAAE,QAAQ,EAAE,YAAY,CAAC;IACjD,UAAU,EAAE;QACV,WAAW,EAAE;YACX,IAAI,EAAE,OAAO;YACb,KAAK,EAAE,EAAE,IAAI,EAAE,QAAQ,EAAE;SAC1B;QACD,MAAM,EAAE;YACN,IAAI,EAAE,OAAO;YACb,KAAK,EAAE,EAAE,IAAI,EAAE,QAAQ,EAAE;SAC1B;QACD,UAAU,EAAE,EAAE,IAAI,EAAE,QAAQ,EAAE;KAC/B;CACF,EACD,KAAK,EAAE,GAAG,EAAE,EAAE;IACZ,MAAM,EAAE,WAAW,EAAE,MAAM,EAAE,UAAU,EAAE,GAAG,GAAG,CAAC,GAAG,CAAC;IAEpD,MAAM,WAAW,GAAG,kBAAkB,CAAC,UAAU,EAAE,WAAW,EAAE,MAAM,EAAE,UAAU,CAAC,CAAC;IACpF,MAAM,0BAA0B,CAAC,EAAE,QAAQ,EAAE,UAAU,EAAE,WAAW,EAAE,UAAU,EAAE,CAAC,CAAC;IAEpF,MAAM,IAAI,GAAG,UAAU,CAAC,MAAM,CAAC,WAAW,EAAE,MAAM,EAAE,UAAU,CAAC,CAAC;IAChE,wBAAwB,CAAC,IAAI,EAAE,EAAE,WAAW,EAAE,MAAM,EAAE,UAAU,EAAE,CAAC,CAAC;IACpE,OAAO,EAAE,GAAG,EAAE,EAAE,IAAI,EAAE,CAAC,EAAE,OAAO,EAAE,IAAI,EAAE,IAAI,EAAE,EAAE,CAAC;AACnD,CAAC,CACF,CAAC","sourcesContent":["import { Terminal } from '@yuants/protocol';\nimport { newError } from '@yuants/utils';\nimport { createQuoteState } from './state';\nimport { IQuoteKey, IQuoteState, IQuoteUpdateAction } from './types';\nimport { fillQuoteStateFromUpstream, IQuoteMiss } from './upstream-routing';\n\nconst terminal = Terminal.fromNodeEnv();\n\nconst quoteState = createQuoteState();\n\nconst assertFreshnessSatisfied = (\n  data: IQuoteUpdateAction,\n  params: { product_ids: string[]; fields: IQuoteKey[]; updated_at: number },\n) => {\n  console.info(\n    '[VEX][Quote] Asserting freshness satisfied for requested quotes.',\n    JSON.stringify(params),\n    JSON.stringify(data),\n  );\n  const { product_ids, fields, updated_at } = params;\n  const stillMissed: Array<{ product_id: string; field: IQuoteKey }> = [];\n  for (const product_id of product_ids) {\n    for (const field of fields) {\n      if (!data[product_id]?.[field]) {\n        stillMissed.push({ product_id, field });\n      }\n    }\n  }\n  if (stillMissed.length > 0) {\n    throw newError('VEX_QUOTE_FRESHNESS_NOT_SATISFIED', {\n      updated_at,\n      missed: stillMissed.slice(0, 200),\n      missed_total: stillMissed.length,\n    });\n  }\n};\n\nterminal.server.provideService<IQuoteUpdateAction>('VEX/UpdateQuotes', {}, async (msg) => {\n  quoteState.update(msg.req);\n  return { res: { code: 0, message: 'OK' } };\n});\n\nterminal.server.provideService<{}, IQuoteUpdateAction>('VEX/DumpQuoteState', {}, async () => {\n  return { res: { code: 0, message: 'OK', data: quoteState.dumpAsObject() } };\n});\n\nconst computeCacheMissed = (\n  quoteState: IQuoteState,\n  product_ids: string[],\n  fields: IQuoteKey[],\n  updated_at: number,\n): IQuoteMiss[] => {\n  const cacheMissed: IQuoteMiss[] = [];\n  for (const product_id of product_ids) {\n    for (const field of fields) {\n      const tuple = quoteState.getValueTuple(product_id, field);\n      if (tuple === undefined || tuple[1] < updated_at) {\n        cacheMissed.push({ product_id, field });\n      }\n    }\n  }\n  return cacheMissed;\n};\n\nterminal.server.provideService<\n  { product_ids: string[]; fields: IQuoteKey[]; updated_at: number },\n  IQuoteUpdateAction\n>(\n  'VEX/QueryQuotes',\n  {\n    type: 'object',\n    required: ['product_ids', 'fields', 'updated_at'],\n    properties: {\n      product_ids: {\n        type: 'array',\n        items: { type: 'string' },\n      },\n      fields: {\n        type: 'array',\n        items: { type: 'string' },\n      },\n      updated_at: { type: 'number' },\n    },\n  },\n  async (msg) => {\n    const { product_ids, fields, updated_at } = msg.req;\n\n    const cacheMissed = computeCacheMissed(quoteState, product_ids, fields, updated_at);\n    await fillQuoteStateFromUpstream({ terminal, quoteState, cacheMissed, updated_at });\n\n    const data = quoteState.filter(product_ids, fields, updated_at);\n    assertFreshnessSatisfied(data, { product_ids, fields, updated_at });\n    return { res: { code: 0, message: 'OK', data } };\n  },\n);\n"]}
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{ Terminal } from '@yuants/protocol';\nimport { formatTime, newError } from '@yuants/utils';\nimport { Subject, concatMap, defer } from 'rxjs';\nimport { createQuoteState } from './state';\nimport { IQuoteKey, IQuoteRequire, IQuoteState, IQuoteUpdateAction } from './types';\nimport { createQuoteProviderRegistry } from './upstream';\n\nconst terminal = Terminal.fromNodeEnv();\n\nconst quoteState = createQuoteState();\nconst quoteProviderRegistry = createQuoteProviderRegistry(terminal);\n\ntype UpdateTask = { product_ids: string[]; fields: IQuoteKey[]; updated_at: number };\n\ntype IQuoteUpdateQueueStatus = {\n  pending: number;\n  in_flight: number;\n  queued_total: number;\n  started_total: number;\n  processed_total: number;\n  last_enqueued_at?: number;\n  last_started_at?: number;\n  last_processed_at?: number;\n  last_error?: { at: number; code?: string; message?: string };\n};\n\nconst normalizeStrings = (values: string[]) => [...new Set(values)].sort();\nconst normalizeFields = (values: IQuoteKey[]) => [...new Set(values)].sort();\n\nconst analyzeRequestedQuotes = (\n  quoteState: IQuoteState,\n  product_ids: string[],\n  fields: IQuoteKey[],\n  updated_at: number,\n): { missing: IQuoteRequire[]; needUpdate: IQuoteRequire[] } => {\n  const missing: IQuoteRequire[] = [];\n  const needUpdate: IQuoteRequire[] = [];\n  for (const product_id of product_ids) {\n    for (const field of fields) {\n      const tuple = quoteState.getValueTuple(product_id, field);\n      if (tuple === undefined) {\n        missing.push({ product_id, field });\n        needUpdate.push({ product_id, field });\n        continue;\n      }\n      if (tuple[1] < updated_at) {\n        needUpdate.push({ product_id, field });\n      }\n    }\n  }\n  return { missing, needUpdate };\n};\n\nconst filterLatest = (\n  quoteState: IQuoteState,\n  product_ids: string[],\n  fields: IQuoteKey[],\n): IQuoteUpdateAction => {\n  const result: IQuoteUpdateAction = {};\n  for (const product_id of product_ids) {\n    result[product_id] = {};\n    for (const field of fields) {\n      const tuple = quoteState.getValueTuple(product_id, field);\n      if (tuple) {\n        result[product_id][field] = tuple;\n      }\n    }\n  }\n  return result;\n};\n\nconst assertNotMissing = (missing: IQuoteRequire[], updated_at: number) => {\n  if (missing.length > 0) {\n    throw newError('VEX_QUOTE_FRESHNESS_NOT_SATISFIED', {\n      updated_at,\n      missed: missing.slice(0, 200),\n      missed_total: missing.length,\n    });\n  }\n};\n\nconst updateQueue$ = new Subject<UpdateTask>();\nconst updateQueueStats: Omit<IQuoteUpdateQueueStatus, 'pending' | 'in_flight'> = {\n  queued_total: 0,\n  started_total: 0,\n  processed_total: 0,\n};\n\nconst getQueueStatus = (): IQuoteUpdateQueueStatus => {\n  const pending = updateQueueStats.queued_total - updateQueueStats.started_total;\n  const in_flight = updateQueueStats.started_total - updateQueueStats.processed_total;\n  return {\n    pending,\n    in_flight,\n    ...updateQueueStats,\n  };\n};\n\nconst enqueueUpdateTask = (task: UpdateTask) => {\n  updateQueueStats.queued_total++;\n  updateQueueStats.last_enqueued_at = Date.now();\n  updateQueue$.next(task);\n};\n\nconst summarizeError = (error: unknown): { code?: string; message?: string } => {\n  if (typeof error === 'object' && error !== null) {\n    const code = 'code' in error ? (error as any).code : undefined;\n    const message = 'message' in error ? (error as any).message : undefined;\n    return {\n      code: typeof code === 'string' ? code : undefined,\n      message: typeof message === 'string' ? message : undefined,\n    };\n  }\n  return {};\n};\n\nconst processUpdateTask = async (task: UpdateTask) => {\n  const { needUpdate } = analyzeRequestedQuotes(quoteState, task.product_ids, task.fields, task.updated_at);\n  await quoteProviderRegistry.fillQuoteStateFromUpstream({\n    quoteState,\n    cacheMissed: needUpdate,\n    updated_at: task.updated_at,\n  });\n};\n\nupdateQueue$\n  .pipe(\n    concatMap((task) =>\n      defer(async () => {\n        updateQueueStats.started_total++;\n        updateQueueStats.last_started_at = Date.now();\n\n        try {\n          await processUpdateTask(task);\n        } catch (error) {\n          const summary = summarizeError(error);\n          updateQueueStats.last_error = { at: Date.now(), ...summary };\n          console.info(\n            formatTime(Date.now()),\n            `[VEX][Quote]UpdateQueueTaskFailed`,\n            `product_ids=${task.product_ids.length} fields=${task.fields.length} updated_at=${task.updated_at}`,\n            JSON.stringify(summary),\n          );\n        } finally {\n          updateQueueStats.processed_total++;\n          updateQueueStats.last_processed_at = Date.now();\n        }\n      }),\n    ),\n  )\n  .subscribe();\n\nterminal.server.provideService<IQuoteUpdateAction>('VEX/UpdateQuotes', {}, async (msg) => {\n  quoteState.update(msg.req);\n  return { res: { code: 0, message: 'OK' } };\n});\n\nterminal.server.provideService<{}, IQuoteUpdateAction>('VEX/DumpQuoteState', {}, async () => {\n  return { res: { code: 0, message: 'OK', data: quoteState.dumpAsObject() } };\n});\n\nterminal.server.provideService<\n  { product_ids: string[]; fields: IQuoteKey[]; updated_at: number },\n  IQuoteUpdateAction\n>(\n  'VEX/QueryQuotes/C1',\n  {\n    type: 'object',\n    required: ['product_ids', 'fields', 'updated_at'],\n    properties: {\n      product_ids: {\n        type: 'array',\n        items: { type: 'string' },\n      },\n      fields: {\n        type: 'array',\n        items: { type: 'string' },\n      },\n      updated_at: { type: 'number' },\n    },\n  },\n  async (msg) => {\n    const product_ids = normalizeStrings(msg.req.product_ids);\n    const fields = normalizeFields(msg.req.fields);\n    const { updated_at } = msg.req;\n\n    const { missing, needUpdate } = analyzeRequestedQuotes(quoteState, product_ids, fields, updated_at);\n    if (needUpdate.length > 0) {\n      enqueueUpdateTask({ product_ids, fields, updated_at });\n    }\n\n    const data = filterLatest(quoteState, product_ids, fields);\n    assertNotMissing(missing, updated_at);\n    return { res: { code: 0, message: 'OK', data } };\n  },\n);\n\nterminal.server.provideService<{}, IQuoteUpdateQueueStatus>('VEX/QuoteUpdateQueueStatus', {}, async () => {\n  return { res: { code: 0, message: 'OK', data: getQueueStatus() } };\n});\n"]}

package/dist/quote/types.js.map

@@ -1 +1 @@
-{"version":3,"file":"types.js","sourceRoot":"","sources":["../../src/quote/types.ts"],"names":[],"mappings":"","sourcesContent":["import { IQuote } from '@yuants/data-quote';\n\nexport type IQuoteKey = Exclude<keyof IQuote, 'datasource_id' | 'product_id' | 'updated_at'>;\n\n/**\n * 用于批量更新的数据结构\n * 结构为：\n * product_id -> field_name (keyof IQuote) -> [value: string, updated_at: number]\n * 这样设计的目的是为了减少更新的数据量，同时保留每个字段的更新时间\n *\n * 例如：\n * ```json\n * {\n *   \"product_123\": {\n *     \"last_price\": [\"100.5\", 1627890123456],\n *     \"volume\": [\"1500\", 1627890123456]\n *   },\n *   \"product_456\": {\n *     \"last_price\": [\"200.0\", 1627890123456]\n *   }\n * }\n * ```\n * @public\n */\nexport type IQuoteUpdateAction = Record<\n  string,\n  Partial<Record<IQuoteKey, [value: string, updated_at: number]>>\n>;\nexport interface IQuoteState {\n  update: (action: IQuoteUpdateAction) => void;\n  dumpAsObject: () => IQuoteUpdateAction;\n  getValueTuple: (product_id: string, field: IQuoteKey) => [string, number] | undefined;\n  filter: (product_ids: string[], fields: IQuoteKey[], updated_at: number) => IQuoteUpdateAction;\n}\n"]}
+{"version":3,"file":"types.js","sourceRoot":"","sources":["../../src/quote/types.ts"],"names":[],"mappings":"","sourcesContent":["import { IQuote } from '@yuants/data-quote';\nimport { IQuoteServiceMetadata } from '@yuants/exchange';\n\nexport type IQuoteKey = Exclude<keyof IQuote, 'datasource_id' | 'product_id' | 'updated_at'>;\n\n/**\n * 用于批量更新的数据结构\n * 结构为：\n * product_id -> field_name (keyof IQuote) -> [value: string, updated_at: number]\n * 这样设计的目的是为了减少更新的数据量，同时保留每个字段的更新时间\n *\n * 例如：\n * ```json\n * {\n *   \"product_123\": {\n *     \"last_price\": [\"100.5\", 1627890123456],\n *     \"volume\": [\"1500\", 1627890123456]\n *   },\n *   \"product_456\": {\n *     \"last_price\": [\"200.0\", 1627890123456]\n *   }\n * }\n * ```\n * @public\n */\nexport type IQuoteUpdateAction = Record<\n  string,\n  Partial<Record<IQuoteKey, [value: string, updated_at: number]>>\n>;\nexport interface IQuoteState {\n  update: (action: IQuoteUpdateAction) => void;\n  dumpAsObject: () => IQuoteUpdateAction;\n  getValueTuple: (product_id: string, field: IQuoteKey) => [string, number] | undefined;\n  filter: (product_ids: string[], fields: IQuoteKey[], updated_at: number) => IQuoteUpdateAction;\n}\n\nexport interface 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 */\nexport interface IQuoteProviderGroup {\n  group_id: string;\n  meta: IQuoteServiceMetadata;\n  mapTerminalIdToInstance: Map<string, IQuoteProviderInstance>;\n}\n\nexport interface IQuoteRequire {\n  product_id: string;\n  field: IQuoteKey;\n}\n"]}

package/dist/quote/upstream/executor.js

@@ -0,0 +1,98 @@
+import { newError } from '@yuants/utils';
+import { filter, firstValueFrom, map } from 'rxjs';
+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) => await new Promise((resolve, reject) => {
+        queue.push(async () => {
+            try {
+                resolve(await fn());
+            }
+            catch (e) {
+                reject(e);
+            }
+            finally {
+                active--;
+                next();
+            }
+        });
+        next();
+    });
+};
+const pickInstance = (params) => {
+    var _a;
+    const { group_id, instances, mapGroupIdToRoundRobinIndex } = params;
+    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];
+};
+const requestGetQuotes = async (params) => {
+    const { terminal, instance, req } = params;
+    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;
+};
+const runWithProviderGroupConcurrencyLimit1 = async (params) => {
+    var _a;
+    const { group_id, mapGroupIdToTailPromise, fn } = params;
+    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();
+    }
+};
+export const createGetQuotesExecutor = (terminal) => {
+    const mapGroupIdToRoundRobinIndex = new Map();
+    const mapGroupIdToTailPromise = new Map();
+    const limitGetQuotes = createConcurrencyLimiter(32);
+    const mapKeyToInFlightGetQuotesPromise = new Map();
+    const requestGetQuotesInFlight = (key, planned) => {
+        const existing = mapKeyToInFlightGetQuotesPromise.get(key);
+        if (existing)
+            return existing;
+        const promise = limitGetQuotes(() => runWithProviderGroupConcurrencyLimit1({
+            group_id: planned.group_id,
+            mapGroupIdToTailPromise,
+            fn: async () => {
+                const instance = pickInstance({
+                    group_id: planned.group_id,
+                    instances: planned.instances,
+                    mapGroupIdToRoundRobinIndex,
+                });
+                return await requestGetQuotes({ terminal, instance, req: planned.req });
+            },
+        })).finally(() => {
+            mapKeyToInFlightGetQuotesPromise.delete(key);
+        });
+        mapKeyToInFlightGetQuotesPromise.set(key, promise);
+        return promise;
+    };
+    return {
+        execute: async (requests) => await Promise.all(requests.map(async ({ key, planned }) => await requestGetQuotesInFlight(key, planned))),
+    };
+};
+//# sourceMappingURL=executor.js.map

package/dist/quote/upstream/executor.js.map

@@ -0,0 +1 @@
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{\n  IQuoteUpdateAction as IExchangeQuoteUpdateAction,\n  IQuoteServiceRequestByVEX,\n} from '@yuants/exchange';\nimport { Terminal } from '@yuants/protocol';\nimport { newError } from '@yuants/utils';\nimport { filter, firstValueFrom, map } from 'rxjs';\nimport { IQuoteProviderInstance } from '../types';\nimport { IPlannedRequestWithKey } from './router';\n\ntype IPlannedRequest = IPlannedRequestWithKey['planned'];\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    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\nconst pickInstance = (params: {\n  group_id: string;\n  instances: IQuoteProviderInstance[];\n  mapGroupIdToRoundRobinIndex: Map<string, number>;\n}): IQuoteProviderInstance => {\n  const { group_id, instances, mapGroupIdToRoundRobinIndex } = params;\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\nconst requestGetQuotes = async (params: {\n  terminal: Terminal;\n  instance: IQuoteProviderInstance;\n  req: IQuoteServiceRequestByVEX;\n}): Promise<IExchangeQuoteUpdateAction> => {\n  const { terminal, instance, req } = params;\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) throw newError('VEX_QUOTE_PROVIDER_ERROR', { instance, res });\n  if (res.data === undefined) throw newError('VEX_QUOTE_PROVIDER_DATA_MISSING', { instance, res });\n  return res.data as any;\n};\n\nconst runWithProviderGroupConcurrencyLimit1 = async <T>(params: {\n  group_id: string;\n  mapGroupIdToTailPromise: Map<string, Promise<void>>;\n  fn: () => Promise<T>;\n}): Promise<T> => {\n  const { group_id, mapGroupIdToTailPromise, fn } = params;\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\nexport interface IGetQuotesExecutor {\n  execute: (requests: IPlannedRequestWithKey[]) => Promise<IExchangeQuoteUpdateAction[]>;\n}\n\nexport const createGetQuotesExecutor = (terminal: Terminal): IGetQuotesExecutor => {\n  const mapGroupIdToRoundRobinIndex = new Map<string, number>();\n  const mapGroupIdToTailPromise = new Map<string, Promise<void>>();\n  const limitGetQuotes = createConcurrencyLimiter(32);\n\n  const mapKeyToInFlightGetQuotesPromise = new Map<string, Promise<IExchangeQuoteUpdateAction>>();\n  const requestGetQuotesInFlight = (key: string, planned: IPlannedRequest) => {\n    const existing = mapKeyToInFlightGetQuotesPromise.get(key);\n    if (existing) return existing;\n    const promise = limitGetQuotes(() =>\n      runWithProviderGroupConcurrencyLimit1({\n        group_id: planned.group_id,\n        mapGroupIdToTailPromise,\n        fn: async () => {\n          const instance = pickInstance({\n            group_id: planned.group_id,\n            instances: planned.instances,\n            mapGroupIdToRoundRobinIndex,\n          });\n          return await requestGetQuotes({ terminal, instance, req: planned.req });\n        },\n      }),\n    ).finally(() => {\n      mapKeyToInFlightGetQuotesPromise.delete(key);\n    });\n    mapKeyToInFlightGetQuotesPromise.set(key, promise);\n    return promise;\n  };\n\n  return {\n    execute: async (requests) =>\n      await Promise.all(\n        requests.map(async ({ key, planned }) => await requestGetQuotesInFlight(key, planned)),\n      ),\n  };\n};\n"]}

package/dist/quote/upstream/index.js

@@ -0,0 +1,2 @@
+export { createQuoteProviderRegistry } from './registry';
+//# sourceMappingURL=index.js.map

package/dist/quote/upstream/index.js.map

@@ -0,0 +1 @@
+{"version":3,"file":"index.js","sourceRoot":"","sources":["../../../src/quote/upstream/index.ts"],"names":[],"mappings":"AAAA,OAAO,EAAE,2BAA2B,EAAE,MAAM,YAAY,CAAC","sourcesContent":["export { createQuoteProviderRegistry } from './registry';\nexport type { IQuoteProviderRegistry } from './registry';\n"]}

package/dist/quote/upstream/prefix-matcher.js.map

@@ -0,0 +1 @@
+{"version":3,"file":"prefix-matcher.js","sourceRoot":"","sources":["../../../src/quote/upstream/prefix-matcher.ts"],"names":[],"mappings":"AAIA,MAAM,CAAC,MAAM,yBAAyB,GAAG,CACvC,OAA4C,EACzB,EAAE;IACrB,MAAM,MAAM,GAAG,CAAC,GAAG,OAAO,CAAC,CAAC,IAAI,CAAC,CAAC,CAAC,EAAE,CAAC,EAAE,EAAE,CAAC,CAAC,CAAC,MAAM,CAAC,MAAM,GAAG,CAAC,CAAC,MAAM,CAAC,MAAM,CAAC,CAAC;IAC9E,OAAO;QACL,KAAK,EAAE,CAAC,KAAa,EAAO,EAAE,CAAC,MAAM,CAAC,MAAM,CAAC,CAAC,CAAC,EAAE,EAAE,CAAC,KAAK,CAAC,UAAU,CAAC,CAAC,CAAC,MAAM,CAAC,CAAC,CAAC,GAAG,CAAC,CAAC,CAAC,EAAE,EAAE,CAAC,CAAC,CAAC,KAAK,CAAC;KACpG,CAAC;AACJ,CAAC,CAAC","sourcesContent":["export interface IPrefixMatcher<T> {\n  match: (value: string) => T[];\n}\n\nexport const createSortedPrefixMatcher = <T>(\n  entries: Array<{ prefix: string; value: T }>,\n): IPrefixMatcher<T> => {\n  const sorted = [...entries].sort((a, b) => b.prefix.length - a.prefix.length);\n  return {\n    match: (value: string): T[] => sorted.filter((x) => value.startsWith(x.prefix)).map((x) => x.value),\n  };\n};\n"]}

package/dist/quote/upstream/registry.js

@@ -0,0 +1,116 @@
+import { parseQuoteServiceMetadataFromSchema } from '@yuants/exchange';
+import { encodePath, formatTime, listWatch, newError } from '@yuants/utils';
+import { EMPTY, map, of, tap } from 'rxjs';
+import { createGetQuotesExecutor } from './executor';
+import { buildProviderIndices, createQuoteRouter, } from './router';
+const normalizeMetadataForGroup = (metadata) => {
+    const fields = [...metadata.fields].sort();
+    return Object.assign(Object.assign({}, metadata), { fields });
+};
+export const createQuoteProviderRegistry = (terminal) => {
+    const router = createQuoteRouter();
+    const executor = createGetQuotesExecutor(terminal);
+    const mapGroupIdToGroup = new Map();
+    let version = 0;
+    let cachedIndices;
+    const quoteServiceInfos$ = terminal.terminalInfos$.pipe(map((infos) => infos.flatMap((info) => {
+        var _a;
+        return Object.values((_a = info.serviceInfo) !== null && _a !== void 0 ? _a : {})
+            .filter((serviceInfo) => serviceInfo.method === 'GetQuotes')
+            .map((serviceInfo) => ({ terminal_id: info.terminal_id, serviceInfo }));
+    })));
+    quoteServiceInfos$
+        .pipe(listWatch((v) => v.serviceInfo.service_id, (v) => {
+        var _a, _b;
+        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 = normalizeMetadataForGroup(parseQuoteServiceMetadataFromSchema(v.serviceInfo.schema));
+            const group_id = encodePath(metadata.product_id_prefix, metadata.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,
+            };
+            const group = (_b = mapGroupIdToGroup.get(group_id)) !== null && _b !== void 0 ? _b : (() => {
+                const next = {
+                    group_id,
+                    meta: metadata,
+                    mapTerminalIdToInstance: new Map(),
+                };
+                mapGroupIdToGroup.set(group_id, next);
+                return next;
+            })();
+            group.mapTerminalIdToInstance.set(provider.terminal_id, provider);
+            version++;
+            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);
+                    }
+                    version++;
+                },
+            }));
+        }
+        catch (_c) {
+            console.info(formatTime(Date.now()), `[VEX][Quote]IgnoredGetQuotesProvider`, `Ignored GetQuotes provider from terminal ${v.terminal_id}`, `service ${v.serviceInfo.service_id} due to invalid schema.`);
+            return EMPTY;
+        }
+    }))
+        .subscribe();
+    const snapshot = () => {
+        const groups = Array.from(mapGroupIdToGroup.values());
+        if (!cachedIndices || cachedIndices.version !== version) {
+            cachedIndices = { version, indices: buildProviderIndices(groups) };
+        }
+        return { groups, indices: cachedIndices.indices };
+    };
+    const planOrThrow = (misses, updated_at) => {
+        const { groups, indices } = snapshot();
+        if (groups.length === 0)
+            throw newError('VEX_QUOTE_PROVIDER_NOT_FOUND', { method: 'GetQuotes' });
+        return router.planOrThrow(misses, indices, updated_at);
+    };
+    const execute = async (requests) => (await executor.execute(requests));
+    const fillQuoteStateFromUpstream = async (params) => {
+        const { quoteState, cacheMissed, updated_at } = params;
+        if (cacheMissed.length === 0)
+            return;
+        const { groups } = snapshot();
+        console.info(formatTime(Date.now()), `[VEX][Quote]UpstreamProviderDiscovery`, ` Discovered ${groups.length} GetQuotes provider groups from terminal infos.`, JSON.stringify(groups));
+        const plan = planOrThrow(cacheMissed, updated_at);
+        const mapGroupIdToProductIds = new Map();
+        for (const { planned } of plan.requests) {
+            let productIds = mapGroupIdToProductIds.get(planned.group_id);
+            if (!productIds) {
+                productIds = new Set();
+                mapGroupIdToProductIds.set(planned.group_id, productIds);
+            }
+            for (const product_id of planned.req.product_ids)
+                productIds.add(product_id);
+        }
+        console.info(formatTime(Date.now()), `[VEX][Quote]RouteDispatched`, ` Routed ${cacheMissed.length} missed quotes to ${mapGroupIdToProductIds.size} provider groups.`, JSON.stringify({
+            productsByGroupId: [...mapGroupIdToProductIds.entries()].map(([group_id, productIds]) => ({
+                group_id,
+                product_ids: [...productIds],
+            })),
+            default_action: plan.defaultAction,
+        }));
+        if (Object.keys(plan.defaultAction).length > 0) {
+            quoteState.update(plan.defaultAction);
+        }
+        console.info(formatTime(Date.now()), `[VEX][Quote]RequestPlanned`, `Planned ${plan.requests.length} upstream GetQuotes requests.`, JSON.stringify(plan.requests.map(({ key, planned }) => ({
+            key,
+            group_id: planned.group_id,
+            product_ids: planned.req.product_ids,
+            fields: planned.req.fields,
+        }))));
+        const actions = await execute(plan.requests);
+        console.debug(formatTime(Date.now()), `[VEX][Quote]RequestReceived`, `Received ${actions.length} upstream GetQuotes responses.`, JSON.stringify(actions));
+        for (const action of actions) {
+            quoteState.update(action);
+        }
+    };
+    return { snapshot, planOrThrow, execute, fillQuoteStateFromUpstream };
+};
+//# sourceMappingURL=registry.js.map

package/dist/quote/upstream/registry.js.map

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{ IQuoteServiceMetadata, parseQuoteServiceMetadataFromSchema } from '@yuants/exchange';\nimport { Terminal } from '@yuants/protocol';\nimport { encodePath, formatTime, listWatch, newError } from '@yuants/utils';\nimport { EMPTY, map, of, tap } from 'rxjs';\nimport {\n  IQuoteKey,\n  IQuoteProviderGroup,\n  IQuoteProviderInstance,\n  IQuoteRequire,\n  IQuoteState,\n  IQuoteUpdateAction,\n} from '../types';\nimport { createGetQuotesExecutor } from './executor';\nimport {\n  buildProviderIndices,\n  createQuoteRouter,\n  IProviderIndices,\n  IPlannedRequestWithKey,\n  QuoteUpstreamPlan,\n} from './router';\n\nexport interface IQuoteProviderRegistry {\n  snapshot: () => { groups: IQuoteProviderGroup[]; indices: IProviderIndices };\n  planOrThrow: (misses: IQuoteRequire[], updated_at: number) => QuoteUpstreamPlan;\n  execute: (requests: IPlannedRequestWithKey[]) => Promise<IQuoteUpdateAction[]>;\n  fillQuoteStateFromUpstream: (params: {\n    quoteState: IQuoteState;\n    cacheMissed: IQuoteRequire[];\n    updated_at: number;\n  }) => Promise<void>;\n}\n\nconst normalizeMetadataForGroup = (metadata: IQuoteServiceMetadata): IQuoteServiceMetadata => {\n  const fields = [...(metadata.fields as unknown as IQuoteKey[])].sort();\n  return { ...metadata, fields };\n};\n\nexport const createQuoteProviderRegistry = (terminal: Terminal): IQuoteProviderRegistry => {\n  const router = createQuoteRouter();\n  const executor = createGetQuotesExecutor(terminal);\n\n  const mapGroupIdToGroup = new Map<string, IQuoteProviderGroup>();\n  let version = 0;\n  let cachedIndices: { version: number; indices: IProviderIndices } | undefined;\n\n  const quoteServiceInfos$ = terminal.terminalInfos$.pipe(\n    map((infos) =>\n      infos.flatMap((info) =>\n        Object.values(info.serviceInfo ?? {})\n          .filter((serviceInfo) => serviceInfo.method === 'GetQuotes')\n          .map((serviceInfo) => ({ terminal_id: info.terminal_id, serviceInfo })),\n      ),\n    ),\n  );\n\n  quoteServiceInfos$\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 = normalizeMetadataForGroup(\n              parseQuoteServiceMetadataFromSchema(v.serviceInfo.schema),\n            );\n            const group_id = encodePath(\n              metadata.product_id_prefix,\n              (metadata.fields as any[]).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            const group =\n              mapGroupIdToGroup.get(group_id) ??\n              (() => {\n                const next: IQuoteProviderGroup = {\n                  group_id,\n                  meta: metadata,\n                  mapTerminalIdToInstance: new Map<string, IQuoteProviderInstance>(),\n                };\n                mapGroupIdToGroup.set(group_id, next);\n                return next;\n              })();\n            group.mapTerminalIdToInstance.set(provider.terminal_id, provider);\n            version++;\n            return of(void 0).pipe(\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                  version++;\n                },\n              }),\n            );\n          } catch {\n            console.info(\n              formatTime(Date.now()),\n              `[VEX][Quote]IgnoredGetQuotesProvider`,\n              `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  const snapshot = () => {\n    const groups = Array.from(mapGroupIdToGroup.values());\n    if (!cachedIndices || cachedIndices.version !== version) {\n      cachedIndices = { version, indices: buildProviderIndices(groups) };\n    }\n    return { groups, indices: cachedIndices.indices };\n  };\n\n  const planOrThrow = (misses: IQuoteRequire[], updated_at: number): QuoteUpstreamPlan => {\n    const { groups, indices } = snapshot();\n    if (groups.length === 0) throw newError('VEX_QUOTE_PROVIDER_NOT_FOUND', { method: 'GetQuotes' });\n    return router.planOrThrow(misses, indices, updated_at);\n  };\n\n  const execute = async (requests: IPlannedRequestWithKey[]): Promise<IQuoteUpdateAction[]> =>\n    (await executor.execute(requests)) as any;\n\n  const fillQuoteStateFromUpstream: IQuoteProviderRegistry['fillQuoteStateFromUpstream'] = async (params) => {\n    const { quoteState, cacheMissed, updated_at } = params;\n    if (cacheMissed.length === 0) return;\n\n    const { groups } = snapshot();\n    console.info(\n      formatTime(Date.now()),\n      `[VEX][Quote]UpstreamProviderDiscovery`,\n      ` Discovered ${groups.length} GetQuotes provider groups from terminal infos.`,\n      JSON.stringify(groups),\n    );\n\n    const plan = planOrThrow(cacheMissed, updated_at);\n\n    const mapGroupIdToProductIds = new Map<string, Set<string>>();\n    for (const { planned } of plan.requests) {\n      let productIds = mapGroupIdToProductIds.get(planned.group_id);\n      if (!productIds) {\n        productIds = new Set<string>();\n        mapGroupIdToProductIds.set(planned.group_id, productIds);\n      }\n      for (const product_id of planned.req.product_ids) productIds.add(product_id);\n    }\n    console.info(\n      formatTime(Date.now()),\n      `[VEX][Quote]RouteDispatched`,\n      ` Routed ${cacheMissed.length} missed quotes to ${mapGroupIdToProductIds.size} provider groups.`,\n      JSON.stringify({\n        productsByGroupId: [...mapGroupIdToProductIds.entries()].map(([group_id, productIds]) => ({\n          group_id,\n          product_ids: [...productIds],\n        })),\n        default_action: plan.defaultAction,\n      }),\n    );\n\n    if (Object.keys(plan.defaultAction).length > 0) {\n      quoteState.update(plan.defaultAction);\n    }\n\n    console.info(\n      formatTime(Date.now()),\n      `[VEX][Quote]RequestPlanned`,\n      `Planned ${plan.requests.length} upstream GetQuotes requests.`,\n      JSON.stringify(\n        plan.requests.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 execute(plan.requests);\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);\n    }\n  };\n\n  return { snapshot, planOrThrow, execute, fillQuoteStateFromUpstream };\n};\n"]}

package/dist/quote/upstream/router.js

@@ -0,0 +1,119 @@
+import { TextEncoder } from 'util';
+import { encodePath, fnv1a64Hex, newError } from '@yuants/utils';
+import { createSortedPrefixMatcher } from './prefix-matcher';
+const SEP_BYTE = new Uint8Array([0xff]);
+const encodeStrings = (parts) => {
+    const buffers = [];
+    for (const part of parts) {
+        buffers.push(new TextEncoder().encode(part));
+        buffers.push(SEP_BYTE);
+    }
+    const totalLength = buffers.reduce((sum, b) => sum + b.length, 0);
+    const result = new Uint8Array(totalLength);
+    let offset = 0;
+    for (const b of buffers) {
+        result.set(b, offset);
+        offset += b.length;
+    }
+    return result;
+};
+const fnv1a64HexFromStrings = (parts) => fnv1a64Hex(encodeStrings(parts));
+export 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 };
+};
+const createRequestKey = (group_id, batchProductIds) => encodePath(group_id, fnv1a64HexFromStrings(batchProductIds));
+const planRequests = (params) => {
+    var _a;
+    const { productsByGroupId, mapGroupIdToGroup } = params;
+    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 createQuoteRouter = () => ({
+    planOrThrow: (misses, indices, updated_at) => {
+        const { prefixMatcher, mapFieldToGroupIds, mapGroupIdToGroup } = indices;
+        const productsByGroupId = new Map();
+        const defaultAction = {};
+        const unroutableProducts = new Set();
+        const mapProductIdToGroupIds = new Map();
+        for (const miss of misses) {
+            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 (!defaultAction[product_id])
+                    defaultAction[product_id] = {};
+                defaultAction[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 (!defaultAction[product_id])
+                    defaultAction[product_id] = {};
+                defaultAction[product_id][field] = ['', updated_at];
+            }
+        }
+        if (unroutableProducts.size !== 0) {
+            throw newError('VEX_QUOTE_PRODUCT_UNROUTABLE', {
+                updated_at,
+                unroutable_products: [...unroutableProducts].slice(0, 200),
+                unroutable_products_total: unroutableProducts.size,
+            });
+        }
+        return {
+            defaultAction,
+            requests: planRequests({ productsByGroupId, mapGroupIdToGroup }),
+        };
+    },
+});
+//# sourceMappingURL=router.js.map

package/dist/quote/upstream/router.js.map

@@ -0,0 +1 @@
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{ TextEncoder } from 'util';\n\nimport { IQuoteServiceRequestByVEX } from '@yuants/exchange';\nimport { encodePath, fnv1a64Hex, newError } from '@yuants/utils';\nimport { createSortedPrefixMatcher, IPrefixMatcher } from './prefix-matcher';\nimport {\n  IQuoteKey,\n  IQuoteProviderGroup,\n  IQuoteProviderInstance,\n  IQuoteRequire,\n  IQuoteUpdateAction,\n} from '../types';\n\nconst SEP_BYTE = new Uint8Array([0xff]);\n\nconst encodeStrings = (parts: string[]): Uint8Array => {\n  const buffers: Uint8Array[] = [];\n  for (const part of parts) {\n    buffers.push(new TextEncoder().encode(part));\n    buffers.push(SEP_BYTE);\n  }\n  const totalLength = buffers.reduce((sum, b) => sum + b.length, 0);\n  const result = new Uint8Array(totalLength);\n  let offset = 0;\n  for (const b of buffers) {\n    result.set(b, offset);\n    offset += b.length;\n  }\n  return result;\n};\n\nconst fnv1a64HexFromStrings = (parts: string[]): string => fnv1a64Hex(encodeStrings(parts));\n\nexport type IPlannedRequest = {\n  group_id: string;\n  instances: IQuoteProviderInstance[];\n  req: IQuoteServiceRequestByVEX;\n};\n\nexport type IPlannedRequestWithKey = { key: string; planned: IPlannedRequest };\n\nexport type QuoteUpstreamPlan = {\n  defaultAction: IQuoteUpdateAction;\n  requests: IPlannedRequestWithKey[];\n};\n\nexport type IProviderIndices = {\n  mapGroupIdToGroup: Map<string, IQuoteProviderGroup>;\n  prefixMatcher: IPrefixMatcher<string>;\n  mapFieldToGroupIds: Map<IQuoteKey, Set<string>>;\n};\n\nexport const buildProviderIndices = (groups: IQuoteProviderGroup[]): IProviderIndices => {\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 as IQuoteKey[]) {\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\nconst createRequestKey = (group_id: string, batchProductIds: string[]) =>\n  encodePath(group_id, fnv1a64HexFromStrings(batchProductIds));\n\nconst planRequests = (params: {\n  productsByGroupId: Map<string, Set<string>>;\n  mapGroupIdToGroup: Map<string, IQuoteProviderGroup>;\n}): IPlannedRequestWithKey[] => {\n  const { productsByGroupId, mapGroupIdToGroup } = params;\n  const plannedRequests: IPlannedRequestWithKey[] = [];\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 interface IQuoteRouter {\n  planOrThrow: (misses: IQuoteRequire[], indices: IProviderIndices, updated_at: number) => QuoteUpstreamPlan;\n}\n\nexport const createQuoteRouter = (): IQuoteRouter => ({\n  planOrThrow: (misses, indices, updated_at) => {\n    const { prefixMatcher, mapFieldToGroupIds, mapGroupIdToGroup } = indices;\n    const productsByGroupId = new Map<string, Set<string>>();\n    const defaultAction: IQuoteUpdateAction = {};\n    const unroutableProducts = new Set<string>();\n\n    const mapProductIdToGroupIds = new Map<string, string[]>();\n\n    for (const miss of misses) {\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 (!defaultAction[product_id]) defaultAction[product_id] = {};\n        defaultAction[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 (!defaultAction[product_id]) defaultAction[product_id] = {};\n        defaultAction[product_id]![field] = ['', updated_at];\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    return {\n      defaultAction,\n      requests: planRequests({ productsByGroupId, mapGroupIdToGroup }),\n    };\n  },\n});\n"]}

package/lib/position.d.ts.map

@@ -1 +1 @@
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+{"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) {

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{ createCache } from '@yuants/cache';\nimport { IPosition } from '@yuants/data-account';\nimport { IOrder } from '@yuants/data-order';\nimport { createClientProductCache } from '@yuants/data-product';\nimport { IQuote } from '@yuants/data-quote';\nimport { Terminal } from '@yuants/protocol';\nimport { escapeSQL, requestSQL } from '@yuants/sql';\nimport { newError } from '@yuants/utils';\n\nconst terminal = Terminal.fromNodeEnv();\nconst productCache = createClientProductCache(terminal);\nconst quoteCache = createCache<IQuote>(\n  async (product_id) => {\n    const sql = `select * from quote where product_id = ${escapeSQL(product_id)}`;\n    const [quote] = await requestSQL<IQuote[]>(terminal, sql);\n    return quote;\n  },\n  { expire: 30_000 },\n);\n\nconst interestRateIntervalCache = createCache(\n  async (product_id: string) => {\n    const sql = `select created_at from interest_rate where series_id = ${escapeSQL(\n      product_id,\n    )} order by created_at desc limit 2`;\n    const rates = await requestSQL<{ created_at: string }[]>(terminal, sql);\n    if (rates.length < 2) return undefined;\n    const prev = new Date(rates[0].created_at).getTime();\n    const prevOfPrev = new Date(rates[1].created_at).getTime();\n    const interval = prev - prevOfPrev;\n    return {\n      prev,\n      prevOfPrev,\n      interval,\n    };\n  },\n  { swrAfter: 60_000, expire: 3600_000 },\n);\n\nexport const polyfillPosition = async (positions: IPosition[]): Promise<IPosition[]> => {\n  // TODO: 使用 batch query SQL 优化 product / quote 查询性能\n  for (const pos of positions) {\n    const [theProduct, quote, interestRateInterval] = await Promise.all([\n      productCache.query(pos.product_id),\n      quoteCache.query(pos.product_id),\n      interestRateIntervalCache.query(pos.product_id),\n    ]);\n\n    // 估值 = value_scale * volume * closable_price\n    if (theProduct) {\n      if (theProduct.base_currency) {\n        pos.base_currency = theProduct.base_currency;\n      }\n      if (theProduct.quote_currency) {\n        pos.quote_currency = theProduct.quote_currency;\n      }\n      if (pos.size === undefined && pos.volume !== undefined && pos.direction !== undefined) {\n        pos.size = (pos.direction === 'LONG' ? 1 : -1) * pos.volume * (theProduct.value_scale || 1) + '';\n      }\n      if (pos.free_size === undefined && pos.free_volume !== undefined && pos.direction !== undefined) {\n        pos.free_size =\n          (pos.direction === 'LONG' ? 1 : -1) * pos.free_volume * (theProduct.value_scale || 1) + '';\n      }\n      pos.valuation = Math.abs((theProduct.value_scale || 1) * pos.volume * pos.closable_price);\n    }\n\n    // 利率相关信息的追加\n    if (quote) {\n      if (quote.interest_rate_next_settled_at !== null) {\n        const nextSettledAt = new Date(quote.interest_rate_next_settled_at).getTime();\n        // 优先使用行情数据中的下一个结算时间\n        pos.settlement_scheduled_at = nextSettledAt;\n        // 优先使用下一个结算时间推算结算间隔\n        if (interestRateInterval !== undefined) {\n          const interval = nextSettledAt - interestRateInterval.prev;\n          pos.settlement_interval = interval;\n        }\n      } else if (quote.interest_rate_next_settled_at === null && interestRateInterval !== undefined) {\n        // 估算下一个结算时间\n        // 找到 prev + k * interval > now 的最小 k，则下一个结算时间为 prev + k * interval\n        const k = Math.ceil((Date.now() - interestRateInterval.prev) / interestRateInterval.interval);\n        pos.settlement_scheduled_at = interestRateInterval.prev + k * interestRateInterval.interval;\n      }\n\n      // 如果还没有结算间隔，则使用 interest rate 表的时间间隔作为结算间隔\n      if (pos.settlement_interval === undefined && interestRateInterval) {\n        pos.settlement_interval = interestRateInterval.interval;\n      }\n\n      if (pos.direction === 'LONG') {\n        if (quote.interest_rate_long !== null) {\n          pos.interest_to_settle = +quote.interest_rate_long * pos.valuation;\n        }\n      }\n      if (pos.direction === 'SHORT') {\n        if (quote.interest_rate_short !== null) {\n          pos.interest_to_settle = +quote.interest_rate_short * pos.valuation;\n        }\n      }\n    }\n  }\n  return positions;\n};\n\nexport const polyfillOrders = async (orders: IOrder[]): Promise<IOrder[]> => {\n  for (const order of orders) {\n    const theProduct = await productCache.query(order.product_id);\n    if (theProduct) {\n      if (order.size !== undefined) {\n        const sizeNum = +order.size;\n        const sizeStep = theProduct.volume_step * theProduct.value_scale;\n        if (!(sizeStep > 0)) throw newError('INVALID_SIZE_STEP', { product: theProduct, sizeStep });\n        // check size is multiple of sizeStep\n        if (Math.abs(sizeNum - Math.round(sizeNum / sizeStep) * sizeStep) > 1e-16) {\n          throw newError('INVALID_ORDER_SIZE_NOT_MULTIPLE_OF_SIZE_STEP', {\n            order,\n            sizeStep,\n            sizeNum,\n            product: theProduct,\n          });\n        }\n\n        if (sizeNum >= 0) {\n          order.order_direction = order.is_close ? 'CLOSE_SHORT' : 'OPEN_LONG';\n        } else {\n          order.order_direction = order.is_close ? 'CLOSE_LONG' : 'OPEN_SHORT';\n        }\n        order.volume = Math.abs(sizeNum) / theProduct.value_scale;\n      }\n    }\n  }\n  return orders;\n};\n"]}
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{ createCache } from '@yuants/cache';\nimport { IPosition } from '@yuants/data-account';\nimport { IOrder } from '@yuants/data-order';\nimport { createClientProductCache } from '@yuants/data-product';\nimport { IQuote } from '@yuants/data-quote';\nimport { Terminal } from '@yuants/protocol';\nimport { escapeSQL, requestSQL } from '@yuants/sql';\nimport { newError } from '@yuants/utils';\n\nconst terminal = Terminal.fromNodeEnv();\nconst productCache = createClientProductCache(terminal);\nconst quoteCache = createCache<IQuote>(\n  async (product_id) => {\n    const sql = `select * from quote where product_id = ${escapeSQL(product_id)}`;\n    const [quote] = await requestSQL<IQuote[]>(terminal, sql);\n    return quote;\n  },\n  { expire: 30_000 },\n);\n\nconst interestRateIntervalCache = createCache(\n  async (product_id: string) => {\n    const sql = `select created_at from interest_rate where series_id = ${escapeSQL(\n      product_id,\n    )} order by created_at desc limit 2`;\n    const rates = await requestSQL<{ created_at: string }[]>(terminal, sql);\n    if (rates.length < 2) return undefined;\n    const prev = new Date(rates[0].created_at).getTime();\n    const prevOfPrev = new Date(rates[1].created_at).getTime();\n    const interval = prev - prevOfPrev;\n    return {\n      prev,\n      prevOfPrev,\n      interval,\n    };\n  },\n  { swrAfter: 60_000, expire: 3600_000 },\n);\n\nexport const polyfillPosition = async (positions: IPosition[]): Promise<IPosition[]> => {\n  // TODO: 使用 batch query SQL 优化 product / quote 查询性能\n  for (const pos of positions) {\n    const [theProduct, quote, interestRateInterval] = await Promise.all([\n      productCache.query(pos.product_id),\n      quoteCache.query(pos.product_id),\n      interestRateIntervalCache.query(pos.product_id),\n    ]);\n\n    // 估值 = value_scale * volume * closable_price\n    if (theProduct) {\n      if (theProduct.base_currency) {\n        pos.base_currency = theProduct.base_currency;\n      }\n      if (theProduct.quote_currency) {\n        pos.quote_currency = theProduct.quote_currency;\n      }\n      if (pos.size === undefined && pos.volume !== undefined && pos.direction !== undefined) {\n        pos.size = (pos.direction === 'LONG' ? 1 : -1) * pos.volume * (theProduct.value_scale || 1) + '';\n      }\n      if (pos.free_size === undefined && pos.free_volume !== undefined && pos.direction !== undefined) {\n        pos.free_size =\n          (pos.direction === 'LONG' ? 1 : -1) * pos.free_volume * (theProduct.value_scale || 1) + '';\n      }\n      pos.valuation = Math.abs((theProduct.value_scale || 1) * pos.volume * pos.closable_price);\n    }\n\n    if (quote && pos.size) {\n      const sizeNum = +pos.size;\n      if (pos.current_price === undefined) {\n        if (sizeNum > 0) {\n          // 多头头寸使用买一价作为可平仓价格，如果没有买一价则使用最新价\n          pos.current_price = (quote.ask_price || quote.last_price) + '';\n        } else {\n          // 空头头寸使用卖一价作为可平仓价格，如果没有卖一价则使用最新价\n          pos.current_price = (quote.bid_price || quote.last_price) + '';\n        }\n      }\n\n      // 计算名义价值\n      if (pos.notional === undefined) {\n        pos.notional = sizeNum * (+pos.current_price || 0) + '';\n      }\n    }\n\n    // 利率相关信息的追加\n    if (quote) {\n      if (quote.interest_rate_next_settled_at !== null) {\n        const nextSettledAt = new Date(quote.interest_rate_next_settled_at).getTime();\n        // 优先使用行情数据中的下一个结算时间\n        pos.settlement_scheduled_at = nextSettledAt;\n        // 优先使用下一个结算时间推算结算间隔\n        if (interestRateInterval !== undefined) {\n          const interval = nextSettledAt - interestRateInterval.prev;\n          pos.settlement_interval = interval;\n        }\n      } else if (quote.interest_rate_next_settled_at === null && interestRateInterval !== undefined) {\n        // 估算下一个结算时间\n        // 找到 prev + k * interval > now 的最小 k，则下一个结算时间为 prev + k * interval\n        const k = Math.ceil((Date.now() - interestRateInterval.prev) / interestRateInterval.interval);\n        pos.settlement_scheduled_at = interestRateInterval.prev + k * interestRateInterval.interval;\n      }\n\n      // 如果还没有结算间隔，则使用 interest rate 表的时间间隔作为结算间隔\n      if (pos.settlement_interval === undefined && interestRateInterval) {\n        pos.settlement_interval = interestRateInterval.interval;\n      }\n\n      if (pos.direction === 'LONG') {\n        if (quote.interest_rate_long !== null) {\n          pos.interest_to_settle = +quote.interest_rate_long * pos.valuation;\n        }\n      }\n      if (pos.direction === 'SHORT') {\n        if (quote.interest_rate_short !== null) {\n          pos.interest_to_settle = +quote.interest_rate_short * pos.valuation;\n        }\n      }\n    }\n  }\n  return positions;\n};\n\nexport const polyfillOrders = async (orders: IOrder[]): Promise<IOrder[]> => {\n  for (const order of orders) {\n    const theProduct = await productCache.query(order.product_id);\n    if (theProduct) {\n      if (order.size !== undefined) {\n        const sizeNum = +order.size;\n        const sizeStep = theProduct.volume_step * theProduct.value_scale;\n        if (!(sizeStep > 0)) throw newError('INVALID_SIZE_STEP', { product: theProduct, sizeStep });\n        // check size is multiple of sizeStep\n        if (Math.abs(sizeNum - Math.round(sizeNum / sizeStep) * sizeStep) > 1e-16) {\n          throw newError('INVALID_ORDER_SIZE_NOT_MULTIPLE_OF_SIZE_STEP', {\n            order,\n            sizeStep,\n            sizeNum,\n            product: theProduct,\n          });\n        }\n\n        if (sizeNum >= 0) {\n          order.order_direction = order.is_close ? 'CLOSE_SHORT' : 'OPEN_LONG';\n        } else {\n          order.order_direction = order.is_close ? 'CLOSE_LONG' : 'OPEN_SHORT';\n        }\n        order.volume = Math.abs(sizeNum) / theProduct.value_scale;\n      }\n    }\n  }\n  return orders;\n};\n"]}

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":""}