@yuants/exchange 0.2.1 → 0.3.1

package/dist/index.js

@@ -1,3 +1,6 @@
+import { createCache } from '@yuants/cache';
+import { createClientProductCache } from '@yuants/data-product';
+import { escapeSQL, requestSQL } from '@yuants/sql';
 const makeCredentialSchema = (type, payloadSchema) => {
     return {
         type: 'object',
@@ -15,6 +18,12 @@ const makeCredentialSchema = (type, payloadSchema) => {
  */
 export const provideExchangeServices = (terminal, exchange) => {
     const { name: type, credentialSchema } = exchange;
+    const quoteCache = createCache(async (product_id) => {
+        const sql = `select * from quote where product_id = ${escapeSQL(product_id)}`;
+        const [quote] = await requestSQL(terminal, sql);
+        return quote;
+    }, { expire: 30000 });
+    const productCache = createClientProductCache(terminal, { expire: 3600000 });
     // GetCredentialId
     terminal.server.provideService('GetCredentialId', {
         type: 'object',
@@ -51,6 +60,32 @@ export const provideExchangeServices = (terminal, exchange) => {
             return { res: { code: 0, message: 'OK', data: positions } };
         }
         const positions = await exchange.getPositions(msg.req.credential.payload);
+        for (const pos of positions) {
+            const [theProduct, quote] = await Promise.all([
+                productCache.query(pos.product_id),
+                quoteCache.query(pos.product_id),
+            ]);
+            // 估值 = value_scale * volume * closable_price
+            if (theProduct) {
+                pos.valuation = Math.abs((theProduct.value_scale || 1) * pos.volume * pos.closable_price);
+            }
+            // 利率相关信息的追加
+            if (quote) {
+                if (quote.interest_rate_next_settled_at !== null) {
+                    pos.settlement_scheduled_at = new Date(quote.interest_rate_next_settled_at).getTime();
+                }
+                if (pos.direction === 'LONG') {
+                    if (quote.interest_rate_long !== null) {
+                        pos.interest_to_settle = +quote.interest_rate_long * pos.valuation;
+                    }
+                }
+                if (pos.direction === 'SHORT') {
+                    if (quote.interest_rate_short !== null) {
+                        pos.interest_to_settle = +quote.interest_rate_short * pos.valuation;
+                    }
+                }
+            }
+        }
         return { res: { code: 0, message: 'OK', data: positions } };
     });
     // GetOrders

package/dist/index.js.map

@@ -1 +1 @@
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{ IPosition } from '@yuants/data-account';\nimport { IOrder } from '@yuants/data-order';\nimport { IProduct } from '@yuants/data-product';\nimport { IResponse, Terminal } from '@yuants/protocol';\nimport { JSONSchema7 } from 'json-schema';\n\n/**\n * Exchange Interface\n *\n * @public\n */\nexport interface IExchange<T = any> {\n  /**\n   * Exchange name / type (e.g. 'Binance', 'OKX')\n   */\n  name: string;\n\n  /**\n   * JSON Schema for the credential payload\n   */\n  credentialSchema: JSONSchema7;\n\n  /**\n   * Get credential ID from credential\n   *\n   * @param credential - The credential object\n   */\n  getCredentialId(credential: T): Promise<string>;\n\n  /**\n   * List all products\n   */\n  listProducts(): Promise<IProduct[]>;\n\n  /**\n   * Get all positions\n   *\n   * @param credential - The credential object\n   */\n  getPositions(credential: T): Promise<IPosition[]>;\n\n  /**\n   * Get all orders\n   *\n   * @param credential - The credential object\n   */\n  getOrders(credential: T): Promise<IOrder[]>;\n\n  /**\n   * Get positions by product_id\n   *\n   * @param credential - The credential object\n   * @param product_id - The product ID\n   */\n  getPositionsByProductId(credential: T, product_id: string): Promise<IPosition[]>;\n\n  /**\n   * Get orders by product_id\n   *\n   * @param credential - The credential object\n   * @param product_id - The product ID\n   */\n  getOrdersByProductId(credential: T, product_id: string): Promise<IOrder[]>;\n\n  /**\n   * Submit an order\n   *\n   * @param credential - The credential object\n   * @param order - The order object\n   */\n  submitOrder(credential: T, order: IOrder): Promise<{ order_id: string }>;\n\n  /**\n   * Modify an order\n   *\n   * @param credential - The credential object\n   * @param order - The order object\n   */\n  modifyOrder(credential: T, order: IOrder): Promise<void>;\n\n  /**\n   * Cancel an order\n   *\n   * @param credential - The credential object\n   * @param order - The order object\n   */\n  cancelOrder(credential: T, order: IOrder): Promise<void>;\n}\n\nconst makeCredentialSchema = (type: string, payloadSchema: JSONSchema7): JSONSchema7 => {\n  return {\n    type: 'object',\n    required: ['type', 'payload'],\n    properties: {\n      type: { type: 'string', const: type },\n      payload: payloadSchema,\n    },\n  };\n};\n\n/**\n * Provide exchange services\n *\n * @public\n */\nexport const provideExchangeServices = <T>(terminal: Terminal, exchange: IExchange<T>) => {\n  const { name: type, credentialSchema } = exchange;\n\n  // GetCredentialId\n  terminal.server.provideService<{ credential: { type: string; payload: T } }, string>(\n    'GetCredentialId',\n    {\n      type: 'object',\n      required: ['credential'],\n      properties: {\n        credential: makeCredentialSchema(type, credentialSchema),\n      },\n    },\n    async (msg) => {\n      const credentialId = await exchange.getCredentialId(msg.req.credential.payload);\n      return { res: { code: 0, message: 'OK', data: credentialId } };\n    },\n  );\n\n  // ListProducts\n  terminal.server.provideService<void, IProduct[]>(\n    'ListProducts',\n    {\n      type: 'object',\n      required: ['type'],\n      properties: {\n        type: { const: exchange.name },\n      },\n    },\n    async () => {\n      const products = await exchange.listProducts();\n      return { res: { code: 0, message: 'OK', data: products } };\n    },\n  );\n\n  // GetPositions\n  terminal.server.provideService<\n    { credential: { type: string; payload: T }; product_id?: string },\n    IPosition[]\n  >(\n    'GetPositions',\n    {\n      type: 'object',\n      required: ['credential'],\n      properties: {\n        credential: makeCredentialSchema(type, credentialSchema),\n        product_id: { type: 'string' },\n      },\n    },\n    async (msg) => {\n      if (msg.req.product_id) {\n        const positions = await exchange.getPositionsByProductId(\n          msg.req.credential.payload,\n          msg.req.product_id,\n        );\n        return { res: { code: 0, message: 'OK', data: positions } };\n      }\n      const positions = await exchange.getPositions(msg.req.credential.payload);\n      return { res: { code: 0, message: 'OK', data: positions } };\n    },\n  );\n\n  // GetOrders\n  terminal.server.provideService<{ credential: { type: string; payload: T }; product_id?: string }, IOrder[]>(\n    'GetOrders',\n    {\n      type: 'object',\n      required: ['credential'],\n      properties: {\n        credential: makeCredentialSchema(type, credentialSchema),\n        product_id: { type: 'string' },\n      },\n    },\n    async (msg) => {\n      if (msg.req.product_id) {\n        const orders = await exchange.getOrdersByProductId(msg.req.credential.payload, msg.req.product_id);\n        return { res: { code: 0, message: 'OK', data: orders } };\n      }\n      const orders = await exchange.getOrders(msg.req.credential.payload);\n      return { res: { code: 0, message: 'OK', data: orders } };\n    },\n  );\n\n  // SubmitOrder\n  terminal.server.provideService<\n    { credential: { type: string; payload: T }; order: IOrder },\n    { order_id: string }\n  >(\n    'SubmitOrder',\n    {\n      type: 'object',\n      required: ['credential', 'order'],\n      properties: {\n        credential: makeCredentialSchema(type, credentialSchema),\n        order: { type: 'object' },\n      },\n    },\n    async (msg) => {\n      const result = await exchange.submitOrder(msg.req.credential.payload, msg.req.order);\n      return { res: { code: 0, message: 'OK', data: result } };\n    },\n  );\n\n  // ModifyOrder\n  terminal.server.provideService<{ credential: { type: string; payload: T }; order: IOrder }, void>(\n    'ModifyOrder',\n    {\n      type: 'object',\n      required: ['credential', 'order'],\n      properties: {\n        credential: makeCredentialSchema(type, credentialSchema),\n        order: { type: 'object' },\n      },\n    },\n    async (msg) => {\n      await exchange.modifyOrder(msg.req.credential.payload, msg.req.order);\n      return { res: { code: 0, message: 'OK' } };\n    },\n  );\n\n  // CancelOrder\n  terminal.server.provideService<{ credential: { type: string; payload: T }; order: IOrder }, void>(\n    'CancelOrder',\n    {\n      type: 'object',\n      required: ['credential', 'order'],\n      properties: {\n        credential: makeCredentialSchema(type, credentialSchema),\n        order: { type: 'object' },\n      },\n    },\n    async (msg) => {\n      await exchange.cancelOrder(msg.req.credential.payload, msg.req.order);\n      return { res: { code: 0, message: 'OK' } };\n    },\n  );\n};\n\n/**\n * Get credential ID\n *\n * @public\n */\nexport const getCredentialId = async <T>(\n  terminal: Terminal,\n  credential: { type: string; payload: T },\n): Promise<IResponse<string>> => {\n  return terminal.client.requestForResponse('GetCredentialId', { credential });\n};\n\n/**\n * List products\n *\n * @public\n */\nexport const listProducts = async (terminal: Terminal, type: string): Promise<IResponse<IProduct[]>> => {\n  return terminal.client.requestForResponse('ListProducts', { type });\n};\n\n/**\n * Get positions\n *\n * @public\n */\nexport const getPositions = async <T>(\n  terminal: Terminal,\n  credential: { type: string; payload: T },\n  product_id?: string,\n): Promise<IResponse<IPosition[]>> => {\n  return terminal.client.requestForResponse('GetPositions', { credential, product_id });\n};\n\n/**\n * Get orders\n *\n * @public\n */\nexport const getOrders = async <T>(\n  terminal: Terminal,\n  credential: { type: string; payload: T },\n  product_id?: string,\n): Promise<IResponse<IOrder[]>> => {\n  return terminal.client.requestForResponse('GetOrders', { credential, product_id });\n};\n\n/**\n * Submit order\n *\n * @public\n */\nexport const submitOrder = async <T>(\n  terminal: Terminal,\n  credential: { type: string; payload: T },\n  order: IOrder,\n): Promise<IResponse<{ order_id: string }>> => {\n  return terminal.client.requestForResponse('SubmitOrder', { credential, order });\n};\n\n/**\n * Modify order\n *\n * @public\n */\nexport const modifyOrder = async <T>(\n  terminal: Terminal,\n  credential: { type: string; payload: T },\n  order: IOrder,\n): Promise<IResponse<void>> => {\n  return terminal.client.requestForResponse('ModifyOrder', { credential, order });\n};\n\n/**\n * Cancel order\n *\n * @public\n */\nexport const cancelOrder = async <T>(\n  terminal: Terminal,\n  credential: { type: string; payload: T },\n  order: IOrder,\n): Promise<IResponse<void>> => {\n  return terminal.client.requestForResponse('CancelOrder', { credential, order });\n};\n"]}
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{ createCache } from '@yuants/cache';\nimport { IPosition } from '@yuants/data-account';\nimport { IOrder } from '@yuants/data-order';\nimport { createClientProductCache, IProduct } from '@yuants/data-product';\nimport { IQuote } from '@yuants/data-quote';\nimport { IResponse, Terminal } from '@yuants/protocol';\nimport { escapeSQL, requestSQL } from '@yuants/sql';\nimport { JSONSchema7 } from 'json-schema';\n\n/**\n * Exchange Interface\n *\n * @public\n */\nexport interface IExchange<T = any> {\n  /**\n   * Exchange name / type (e.g. 'Binance', 'OKX')\n   */\n  name: string;\n\n  /**\n   * JSON Schema for the credential payload\n   */\n  credentialSchema: JSONSchema7;\n\n  /**\n   * Get credential ID from credential\n   *\n   * @param credential - The credential object\n   */\n  getCredentialId(credential: T): Promise<string>;\n\n  /**\n   * List all products\n   */\n  listProducts(): Promise<IProduct[]>;\n\n  /**\n   * Get all positions\n   *\n   * @param credential - The credential object\n   */\n  getPositions(credential: T): Promise<IPosition[]>;\n\n  /**\n   * Get all orders\n   *\n   * @param credential - The credential object\n   */\n  getOrders(credential: T): Promise<IOrder[]>;\n\n  /**\n   * Get positions by product_id\n   *\n   * @param credential - The credential object\n   * @param product_id - The product ID\n   */\n  getPositionsByProductId(credential: T, product_id: string): Promise<IPosition[]>;\n\n  /**\n   * Get orders by product_id\n   *\n   * @param credential - The credential object\n   * @param product_id - The product ID\n   */\n  getOrdersByProductId(credential: T, product_id: string): Promise<IOrder[]>;\n\n  /**\n   * Submit an order\n   *\n   * @param credential - The credential object\n   * @param order - The order object\n   */\n  submitOrder(credential: T, order: IOrder): Promise<{ order_id: string }>;\n\n  /**\n   * Modify an order\n   *\n   * @param credential - The credential object\n   * @param order - The order object\n   */\n  modifyOrder(credential: T, order: IOrder): Promise<void>;\n\n  /**\n   * Cancel an order\n   *\n   * @param credential - The credential object\n   * @param order - The order object\n   */\n  cancelOrder(credential: T, order: IOrder): Promise<void>;\n}\n\nconst makeCredentialSchema = (type: string, payloadSchema: JSONSchema7): JSONSchema7 => {\n  return {\n    type: 'object',\n    required: ['type', 'payload'],\n    properties: {\n      type: { type: 'string', const: type },\n      payload: payloadSchema,\n    },\n  };\n};\n\n/**\n * Provide exchange services\n *\n * @public\n */\nexport const provideExchangeServices = <T>(terminal: Terminal, exchange: IExchange<T>) => {\n  const { name: type, credentialSchema } = exchange;\n\n  const 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\n  const productCache = createClientProductCache(terminal, { expire: 3600_000 });\n\n  // GetCredentialId\n  terminal.server.provideService<{ credential: { type: string; payload: T } }, string>(\n    'GetCredentialId',\n    {\n      type: 'object',\n      required: ['credential'],\n      properties: {\n        credential: makeCredentialSchema(type, credentialSchema),\n      },\n    },\n    async (msg) => {\n      const credentialId = await exchange.getCredentialId(msg.req.credential.payload);\n      return { res: { code: 0, message: 'OK', data: credentialId } };\n    },\n  );\n\n  // ListProducts\n  terminal.server.provideService<void, IProduct[]>(\n    'ListProducts',\n    {\n      type: 'object',\n      required: ['type'],\n      properties: {\n        type: { const: exchange.name },\n      },\n    },\n    async () => {\n      const products = await exchange.listProducts();\n      return { res: { code: 0, message: 'OK', data: products } };\n    },\n  );\n\n  // GetPositions\n  terminal.server.provideService<\n    { credential: { type: string; payload: T }; product_id?: string },\n    IPosition[]\n  >(\n    'GetPositions',\n    {\n      type: 'object',\n      required: ['credential'],\n      properties: {\n        credential: makeCredentialSchema(type, credentialSchema),\n        product_id: { type: 'string' },\n      },\n    },\n    async (msg) => {\n      if (msg.req.product_id) {\n        const positions = await exchange.getPositionsByProductId(\n          msg.req.credential.payload,\n          msg.req.product_id,\n        );\n        return { res: { code: 0, message: 'OK', data: positions } };\n      }\n      const positions = await exchange.getPositions(msg.req.credential.payload);\n      for (const pos of positions) {\n        const [theProduct, quote] = await Promise.all([\n          productCache.query(pos.product_id),\n          quoteCache.query(pos.product_id),\n        ]);\n\n        // 估值 = value_scale * volume * closable_price\n        if (theProduct) {\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            pos.settlement_scheduled_at = new Date(quote.interest_rate_next_settled_at).getTime();\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 { res: { code: 0, message: 'OK', data: positions } };\n    },\n  );\n\n  // GetOrders\n  terminal.server.provideService<{ credential: { type: string; payload: T }; product_id?: string }, IOrder[]>(\n    'GetOrders',\n    {\n      type: 'object',\n      required: ['credential'],\n      properties: {\n        credential: makeCredentialSchema(type, credentialSchema),\n        product_id: { type: 'string' },\n      },\n    },\n    async (msg) => {\n      if (msg.req.product_id) {\n        const orders = await exchange.getOrdersByProductId(msg.req.credential.payload, msg.req.product_id);\n        return { res: { code: 0, message: 'OK', data: orders } };\n      }\n      const orders = await exchange.getOrders(msg.req.credential.payload);\n      return { res: { code: 0, message: 'OK', data: orders } };\n    },\n  );\n\n  // SubmitOrder\n  terminal.server.provideService<\n    { credential: { type: string; payload: T }; order: IOrder },\n    { order_id: string }\n  >(\n    'SubmitOrder',\n    {\n      type: 'object',\n      required: ['credential', 'order'],\n      properties: {\n        credential: makeCredentialSchema(type, credentialSchema),\n        order: { type: 'object' },\n      },\n    },\n    async (msg) => {\n      const result = await exchange.submitOrder(msg.req.credential.payload, msg.req.order);\n      return { res: { code: 0, message: 'OK', data: result } };\n    },\n  );\n\n  // ModifyOrder\n  terminal.server.provideService<{ credential: { type: string; payload: T }; order: IOrder }, void>(\n    'ModifyOrder',\n    {\n      type: 'object',\n      required: ['credential', 'order'],\n      properties: {\n        credential: makeCredentialSchema(type, credentialSchema),\n        order: { type: 'object' },\n      },\n    },\n    async (msg) => {\n      await exchange.modifyOrder(msg.req.credential.payload, msg.req.order);\n      return { res: { code: 0, message: 'OK' } };\n    },\n  );\n\n  // CancelOrder\n  terminal.server.provideService<{ credential: { type: string; payload: T }; order: IOrder }, void>(\n    'CancelOrder',\n    {\n      type: 'object',\n      required: ['credential', 'order'],\n      properties: {\n        credential: makeCredentialSchema(type, credentialSchema),\n        order: { type: 'object' },\n      },\n    },\n    async (msg) => {\n      await exchange.cancelOrder(msg.req.credential.payload, msg.req.order);\n      return { res: { code: 0, message: 'OK' } };\n    },\n  );\n};\n\n/**\n * Get credential ID\n *\n * @public\n */\nexport const getCredentialId = async <T>(\n  terminal: Terminal,\n  credential: { type: string; payload: T },\n): Promise<IResponse<string>> => {\n  return terminal.client.requestForResponse('GetCredentialId', { credential });\n};\n\n/**\n * List products\n *\n * @public\n */\nexport const listProducts = async (terminal: Terminal, type: string): Promise<IResponse<IProduct[]>> => {\n  return terminal.client.requestForResponse('ListProducts', { type });\n};\n\n/**\n * Get positions\n *\n * @public\n */\nexport const getPositions = async <T>(\n  terminal: Terminal,\n  credential: { type: string; payload: T },\n  product_id?: string,\n): Promise<IResponse<IPosition[]>> => {\n  return terminal.client.requestForResponse('GetPositions', { credential, product_id });\n};\n\n/**\n * Get orders\n *\n * @public\n */\nexport const getOrders = async <T>(\n  terminal: Terminal,\n  credential: { type: string; payload: T },\n  product_id?: string,\n): Promise<IResponse<IOrder[]>> => {\n  return terminal.client.requestForResponse('GetOrders', { credential, product_id });\n};\n\n/**\n * Submit order\n *\n * @public\n */\nexport const submitOrder = async <T>(\n  terminal: Terminal,\n  credential: { type: string; payload: T },\n  order: IOrder,\n): Promise<IResponse<{ order_id: string }>> => {\n  return terminal.client.requestForResponse('SubmitOrder', { credential, order });\n};\n\n/**\n * Modify order\n *\n * @public\n */\nexport const modifyOrder = async <T>(\n  terminal: Terminal,\n  credential: { type: string; payload: T },\n  order: IOrder,\n): Promise<IResponse<void>> => {\n  return terminal.client.requestForResponse('ModifyOrder', { credential, order });\n};\n\n/**\n * Cancel order\n *\n * @public\n */\nexport const cancelOrder = async <T>(\n  terminal: Terminal,\n  credential: { type: string; payload: T },\n  order: IOrder,\n): Promise<IResponse<void>> => {\n  return terminal.client.requestForResponse('CancelOrder', { credential, order });\n};\n"]}

package/lib/index.d.ts.map

@@ -1 +1 @@
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package/lib/index.js

@@ -1,6 +1,9 @@
 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
 exports.cancelOrder = exports.modifyOrder = exports.submitOrder = exports.getOrders = exports.getPositions = exports.listProducts = exports.getCredentialId = exports.provideExchangeServices = void 0;
+const cache_1 = require("@yuants/cache");
+const data_product_1 = require("@yuants/data-product");
+const sql_1 = require("@yuants/sql");
 const makeCredentialSchema = (type, payloadSchema) => {
     return {
         type: 'object',
@@ -18,6 +21,12 @@ const makeCredentialSchema = (type, payloadSchema) => {
  */
 const provideExchangeServices = (terminal, exchange) => {
     const { name: type, credentialSchema } = exchange;
+    const quoteCache = (0, cache_1.createCache)(async (product_id) => {
+        const sql = `select * from quote where product_id = ${(0, sql_1.escapeSQL)(product_id)}`;
+        const [quote] = await (0, sql_1.requestSQL)(terminal, sql);
+        return quote;
+    }, { expire: 30000 });
+    const productCache = (0, data_product_1.createClientProductCache)(terminal, { expire: 3600000 });
     // GetCredentialId
     terminal.server.provideService('GetCredentialId', {
         type: 'object',
@@ -54,6 +63,32 @@ const provideExchangeServices = (terminal, exchange) => {
             return { res: { code: 0, message: 'OK', data: positions } };
         }
         const positions = await exchange.getPositions(msg.req.credential.payload);
+        for (const pos of positions) {
+            const [theProduct, quote] = await Promise.all([
+                productCache.query(pos.product_id),
+                quoteCache.query(pos.product_id),
+            ]);
+            // 估值 = value_scale * volume * closable_price
+            if (theProduct) {
+                pos.valuation = Math.abs((theProduct.value_scale || 1) * pos.volume * pos.closable_price);
+            }
+            // 利率相关信息的追加
+            if (quote) {
+                if (quote.interest_rate_next_settled_at !== null) {
+                    pos.settlement_scheduled_at = new Date(quote.interest_rate_next_settled_at).getTime();
+                }
+                if (pos.direction === 'LONG') {
+                    if (quote.interest_rate_long !== null) {
+                        pos.interest_to_settle = +quote.interest_rate_long * pos.valuation;
+                    }
+                }
+                if (pos.direction === 'SHORT') {
+                    if (quote.interest_rate_short !== null) {
+                        pos.interest_to_settle = +quote.interest_rate_short * pos.valuation;
+                    }
+                }
+            }
+        }
         return { res: { code: 0, message: 'OK', data: positions } };
     });
     // GetOrders

package/lib/index.js.map

@@ -1 +1 @@
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{ IPosition } from '@yuants/data-account';\nimport { IOrder } from '@yuants/data-order';\nimport { IProduct } from '@yuants/data-product';\nimport { IResponse, Terminal } from '@yuants/protocol';\nimport { JSONSchema7 } from 'json-schema';\n\n/**\n * Exchange Interface\n *\n * @public\n */\nexport interface IExchange<T = any> {\n  /**\n   * Exchange name / type (e.g. 'Binance', 'OKX')\n   */\n  name: string;\n\n  /**\n   * JSON Schema for the credential payload\n   */\n  credentialSchema: JSONSchema7;\n\n  /**\n   * Get credential ID from credential\n   *\n   * @param credential - The credential object\n   */\n  getCredentialId(credential: T): Promise<string>;\n\n  /**\n   * List all products\n   */\n  listProducts(): Promise<IProduct[]>;\n\n  /**\n   * Get all positions\n   *\n   * @param credential - The credential object\n   */\n  getPositions(credential: T): Promise<IPosition[]>;\n\n  /**\n   * Get all orders\n   *\n   * @param credential - The credential object\n   */\n  getOrders(credential: T): Promise<IOrder[]>;\n\n  /**\n   * Get positions by product_id\n   *\n   * @param credential - The credential object\n   * @param product_id - The product ID\n   */\n  getPositionsByProductId(credential: T, product_id: string): Promise<IPosition[]>;\n\n  /**\n   * Get orders by product_id\n   *\n   * @param credential - The credential object\n   * @param product_id - The product ID\n   */\n  getOrdersByProductId(credential: T, product_id: string): Promise<IOrder[]>;\n\n  /**\n   * Submit an order\n   *\n   * @param credential - The credential object\n   * @param order - The order object\n   */\n  submitOrder(credential: T, order: IOrder): Promise<{ order_id: string }>;\n\n  /**\n   * Modify an order\n   *\n   * @param credential - The credential object\n   * @param order - The order object\n   */\n  modifyOrder(credential: T, order: IOrder): Promise<void>;\n\n  /**\n   * Cancel an order\n   *\n   * @param credential - The credential object\n   * @param order - The order object\n   */\n  cancelOrder(credential: T, order: IOrder): Promise<void>;\n}\n\nconst makeCredentialSchema = (type: string, payloadSchema: JSONSchema7): JSONSchema7 => {\n  return {\n    type: 'object',\n    required: ['type', 'payload'],\n    properties: {\n      type: { type: 'string', const: type },\n      payload: payloadSchema,\n    },\n  };\n};\n\n/**\n * Provide exchange services\n *\n * @public\n */\nexport const provideExchangeServices = <T>(terminal: Terminal, exchange: IExchange<T>) => {\n  const { name: type, credentialSchema } = exchange;\n\n  // GetCredentialId\n  terminal.server.provideService<{ credential: { type: string; payload: T } }, string>(\n    'GetCredentialId',\n    {\n      type: 'object',\n      required: ['credential'],\n      properties: {\n        credential: makeCredentialSchema(type, credentialSchema),\n      },\n    },\n    async (msg) => {\n      const credentialId = await exchange.getCredentialId(msg.req.credential.payload);\n      return { res: { code: 0, message: 'OK', data: credentialId } };\n    },\n  );\n\n  // ListProducts\n  terminal.server.provideService<void, IProduct[]>(\n    'ListProducts',\n    {\n      type: 'object',\n      required: ['type'],\n      properties: {\n        type: { const: exchange.name },\n      },\n    },\n    async () => {\n      const products = await exchange.listProducts();\n      return { res: { code: 0, message: 'OK', data: products } };\n    },\n  );\n\n  // GetPositions\n  terminal.server.provideService<\n    { credential: { type: string; payload: T }; product_id?: string },\n    IPosition[]\n  >(\n    'GetPositions',\n    {\n      type: 'object',\n      required: ['credential'],\n      properties: {\n        credential: makeCredentialSchema(type, credentialSchema),\n        product_id: { type: 'string' },\n      },\n    },\n    async (msg) => {\n      if (msg.req.product_id) {\n        const positions = await exchange.getPositionsByProductId(\n          msg.req.credential.payload,\n          msg.req.product_id,\n        );\n        return { res: { code: 0, message: 'OK', data: positions } };\n      }\n      const positions = await exchange.getPositions(msg.req.credential.payload);\n      return { res: { code: 0, message: 'OK', data: positions } };\n    },\n  );\n\n  // GetOrders\n  terminal.server.provideService<{ credential: { type: string; payload: T }; product_id?: string }, IOrder[]>(\n    'GetOrders',\n    {\n      type: 'object',\n      required: ['credential'],\n      properties: {\n        credential: makeCredentialSchema(type, credentialSchema),\n        product_id: { type: 'string' },\n      },\n    },\n    async (msg) => {\n      if (msg.req.product_id) {\n        const orders = await exchange.getOrdersByProductId(msg.req.credential.payload, msg.req.product_id);\n        return { res: { code: 0, message: 'OK', data: orders } };\n      }\n      const orders = await exchange.getOrders(msg.req.credential.payload);\n      return { res: { code: 0, message: 'OK', data: orders } };\n    },\n  );\n\n  // SubmitOrder\n  terminal.server.provideService<\n    { credential: { type: string; payload: T }; order: IOrder },\n    { order_id: string }\n  >(\n    'SubmitOrder',\n    {\n      type: 'object',\n      required: ['credential', 'order'],\n      properties: {\n        credential: makeCredentialSchema(type, credentialSchema),\n        order: { type: 'object' },\n      },\n    },\n    async (msg) => {\n      const result = await exchange.submitOrder(msg.req.credential.payload, msg.req.order);\n      return { res: { code: 0, message: 'OK', data: result } };\n    },\n  );\n\n  // ModifyOrder\n  terminal.server.provideService<{ credential: { type: string; payload: T }; order: IOrder }, void>(\n    'ModifyOrder',\n    {\n      type: 'object',\n      required: ['credential', 'order'],\n      properties: {\n        credential: makeCredentialSchema(type, credentialSchema),\n        order: { type: 'object' },\n      },\n    },\n    async (msg) => {\n      await exchange.modifyOrder(msg.req.credential.payload, msg.req.order);\n      return { res: { code: 0, message: 'OK' } };\n    },\n  );\n\n  // CancelOrder\n  terminal.server.provideService<{ credential: { type: string; payload: T }; order: IOrder }, void>(\n    'CancelOrder',\n    {\n      type: 'object',\n      required: ['credential', 'order'],\n      properties: {\n        credential: makeCredentialSchema(type, credentialSchema),\n        order: { type: 'object' },\n      },\n    },\n    async (msg) => {\n      await exchange.cancelOrder(msg.req.credential.payload, msg.req.order);\n      return { res: { code: 0, message: 'OK' } };\n    },\n  );\n};\n\n/**\n * Get credential ID\n *\n * @public\n */\nexport const getCredentialId = async <T>(\n  terminal: Terminal,\n  credential: { type: string; payload: T },\n): Promise<IResponse<string>> => {\n  return terminal.client.requestForResponse('GetCredentialId', { credential });\n};\n\n/**\n * List products\n *\n * @public\n */\nexport const listProducts = async (terminal: Terminal, type: string): Promise<IResponse<IProduct[]>> => {\n  return terminal.client.requestForResponse('ListProducts', { type });\n};\n\n/**\n * Get positions\n *\n * @public\n */\nexport const getPositions = async <T>(\n  terminal: Terminal,\n  credential: { type: string; payload: T },\n  product_id?: string,\n): Promise<IResponse<IPosition[]>> => {\n  return terminal.client.requestForResponse('GetPositions', { credential, product_id });\n};\n\n/**\n * Get orders\n *\n * @public\n */\nexport const getOrders = async <T>(\n  terminal: Terminal,\n  credential: { type: string; payload: T },\n  product_id?: string,\n): Promise<IResponse<IOrder[]>> => {\n  return terminal.client.requestForResponse('GetOrders', { credential, product_id });\n};\n\n/**\n * Submit order\n *\n * @public\n */\nexport const submitOrder = async <T>(\n  terminal: Terminal,\n  credential: { type: string; payload: T },\n  order: IOrder,\n): Promise<IResponse<{ order_id: string }>> => {\n  return terminal.client.requestForResponse('SubmitOrder', { credential, order });\n};\n\n/**\n * Modify order\n *\n * @public\n */\nexport const modifyOrder = async <T>(\n  terminal: Terminal,\n  credential: { type: string; payload: T },\n  order: IOrder,\n): Promise<IResponse<void>> => {\n  return terminal.client.requestForResponse('ModifyOrder', { credential, order });\n};\n\n/**\n * Cancel order\n *\n * @public\n */\nexport const cancelOrder = async <T>(\n  terminal: Terminal,\n  credential: { type: string; payload: T },\n  order: IOrder,\n): Promise<IResponse<void>> => {\n  return terminal.client.requestForResponse('CancelOrder', { credential, order });\n};\n"]}
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{ createCache } from '@yuants/cache';\nimport { IPosition } from '@yuants/data-account';\nimport { IOrder } from '@yuants/data-order';\nimport { createClientProductCache, IProduct } from '@yuants/data-product';\nimport { IQuote } from '@yuants/data-quote';\nimport { IResponse, Terminal } from '@yuants/protocol';\nimport { escapeSQL, requestSQL } from '@yuants/sql';\nimport { JSONSchema7 } from 'json-schema';\n\n/**\n * Exchange Interface\n *\n * @public\n */\nexport interface IExchange<T = any> {\n  /**\n   * Exchange name / type (e.g. 'Binance', 'OKX')\n   */\n  name: string;\n\n  /**\n   * JSON Schema for the credential payload\n   */\n  credentialSchema: JSONSchema7;\n\n  /**\n   * Get credential ID from credential\n   *\n   * @param credential - The credential object\n   */\n  getCredentialId(credential: T): Promise<string>;\n\n  /**\n   * List all products\n   */\n  listProducts(): Promise<IProduct[]>;\n\n  /**\n   * Get all positions\n   *\n   * @param credential - The credential object\n   */\n  getPositions(credential: T): Promise<IPosition[]>;\n\n  /**\n   * Get all orders\n   *\n   * @param credential - The credential object\n   */\n  getOrders(credential: T): Promise<IOrder[]>;\n\n  /**\n   * Get positions by product_id\n   *\n   * @param credential - The credential object\n   * @param product_id - The product ID\n   */\n  getPositionsByProductId(credential: T, product_id: string): Promise<IPosition[]>;\n\n  /**\n   * Get orders by product_id\n   *\n   * @param credential - The credential object\n   * @param product_id - The product ID\n   */\n  getOrdersByProductId(credential: T, product_id: string): Promise<IOrder[]>;\n\n  /**\n   * Submit an order\n   *\n   * @param credential - The credential object\n   * @param order - The order object\n   */\n  submitOrder(credential: T, order: IOrder): Promise<{ order_id: string }>;\n\n  /**\n   * Modify an order\n   *\n   * @param credential - The credential object\n   * @param order - The order object\n   */\n  modifyOrder(credential: T, order: IOrder): Promise<void>;\n\n  /**\n   * Cancel an order\n   *\n   * @param credential - The credential object\n   * @param order - The order object\n   */\n  cancelOrder(credential: T, order: IOrder): Promise<void>;\n}\n\nconst makeCredentialSchema = (type: string, payloadSchema: JSONSchema7): JSONSchema7 => {\n  return {\n    type: 'object',\n    required: ['type', 'payload'],\n    properties: {\n      type: { type: 'string', const: type },\n      payload: payloadSchema,\n    },\n  };\n};\n\n/**\n * Provide exchange services\n *\n * @public\n */\nexport const provideExchangeServices = <T>(terminal: Terminal, exchange: IExchange<T>) => {\n  const { name: type, credentialSchema } = exchange;\n\n  const 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\n  const productCache = createClientProductCache(terminal, { expire: 3600_000 });\n\n  // GetCredentialId\n  terminal.server.provideService<{ credential: { type: string; payload: T } }, string>(\n    'GetCredentialId',\n    {\n      type: 'object',\n      required: ['credential'],\n      properties: {\n        credential: makeCredentialSchema(type, credentialSchema),\n      },\n    },\n    async (msg) => {\n      const credentialId = await exchange.getCredentialId(msg.req.credential.payload);\n      return { res: { code: 0, message: 'OK', data: credentialId } };\n    },\n  );\n\n  // ListProducts\n  terminal.server.provideService<void, IProduct[]>(\n    'ListProducts',\n    {\n      type: 'object',\n      required: ['type'],\n      properties: {\n        type: { const: exchange.name },\n      },\n    },\n    async () => {\n      const products = await exchange.listProducts();\n      return { res: { code: 0, message: 'OK', data: products } };\n    },\n  );\n\n  // GetPositions\n  terminal.server.provideService<\n    { credential: { type: string; payload: T }; product_id?: string },\n    IPosition[]\n  >(\n    'GetPositions',\n    {\n      type: 'object',\n      required: ['credential'],\n      properties: {\n        credential: makeCredentialSchema(type, credentialSchema),\n        product_id: { type: 'string' },\n      },\n    },\n    async (msg) => {\n      if (msg.req.product_id) {\n        const positions = await exchange.getPositionsByProductId(\n          msg.req.credential.payload,\n          msg.req.product_id,\n        );\n        return { res: { code: 0, message: 'OK', data: positions } };\n      }\n      const positions = await exchange.getPositions(msg.req.credential.payload);\n      for (const pos of positions) {\n        const [theProduct, quote] = await Promise.all([\n          productCache.query(pos.product_id),\n          quoteCache.query(pos.product_id),\n        ]);\n\n        // 估值 = value_scale * volume * closable_price\n        if (theProduct) {\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            pos.settlement_scheduled_at = new Date(quote.interest_rate_next_settled_at).getTime();\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 { res: { code: 0, message: 'OK', data: positions } };\n    },\n  );\n\n  // GetOrders\n  terminal.server.provideService<{ credential: { type: string; payload: T }; product_id?: string }, IOrder[]>(\n    'GetOrders',\n    {\n      type: 'object',\n      required: ['credential'],\n      properties: {\n        credential: makeCredentialSchema(type, credentialSchema),\n        product_id: { type: 'string' },\n      },\n    },\n    async (msg) => {\n      if (msg.req.product_id) {\n        const orders = await exchange.getOrdersByProductId(msg.req.credential.payload, msg.req.product_id);\n        return { res: { code: 0, message: 'OK', data: orders } };\n      }\n      const orders = await exchange.getOrders(msg.req.credential.payload);\n      return { res: { code: 0, message: 'OK', data: orders } };\n    },\n  );\n\n  // SubmitOrder\n  terminal.server.provideService<\n    { credential: { type: string; payload: T }; order: IOrder },\n    { order_id: string }\n  >(\n    'SubmitOrder',\n    {\n      type: 'object',\n      required: ['credential', 'order'],\n      properties: {\n        credential: makeCredentialSchema(type, credentialSchema),\n        order: { type: 'object' },\n      },\n    },\n    async (msg) => {\n      const result = await exchange.submitOrder(msg.req.credential.payload, msg.req.order);\n      return { res: { code: 0, message: 'OK', data: result } };\n    },\n  );\n\n  // ModifyOrder\n  terminal.server.provideService<{ credential: { type: string; payload: T }; order: IOrder }, void>(\n    'ModifyOrder',\n    {\n      type: 'object',\n      required: ['credential', 'order'],\n      properties: {\n        credential: makeCredentialSchema(type, credentialSchema),\n        order: { type: 'object' },\n      },\n    },\n    async (msg) => {\n      await exchange.modifyOrder(msg.req.credential.payload, msg.req.order);\n      return { res: { code: 0, message: 'OK' } };\n    },\n  );\n\n  // CancelOrder\n  terminal.server.provideService<{ credential: { type: string; payload: T }; order: IOrder }, void>(\n    'CancelOrder',\n    {\n      type: 'object',\n      required: ['credential', 'order'],\n      properties: {\n        credential: makeCredentialSchema(type, credentialSchema),\n        order: { type: 'object' },\n      },\n    },\n    async (msg) => {\n      await exchange.cancelOrder(msg.req.credential.payload, msg.req.order);\n      return { res: { code: 0, message: 'OK' } };\n    },\n  );\n};\n\n/**\n * Get credential ID\n *\n * @public\n */\nexport const getCredentialId = async <T>(\n  terminal: Terminal,\n  credential: { type: string; payload: T },\n): Promise<IResponse<string>> => {\n  return terminal.client.requestForResponse('GetCredentialId', { credential });\n};\n\n/**\n * List products\n *\n * @public\n */\nexport const listProducts = async (terminal: Terminal, type: string): Promise<IResponse<IProduct[]>> => {\n  return terminal.client.requestForResponse('ListProducts', { type });\n};\n\n/**\n * Get positions\n *\n * @public\n */\nexport const getPositions = async <T>(\n  terminal: Terminal,\n  credential: { type: string; payload: T },\n  product_id?: string,\n): Promise<IResponse<IPosition[]>> => {\n  return terminal.client.requestForResponse('GetPositions', { credential, product_id });\n};\n\n/**\n * Get orders\n *\n * @public\n */\nexport const getOrders = async <T>(\n  terminal: Terminal,\n  credential: { type: string; payload: T },\n  product_id?: string,\n): Promise<IResponse<IOrder[]>> => {\n  return terminal.client.requestForResponse('GetOrders', { credential, product_id });\n};\n\n/**\n * Submit order\n *\n * @public\n */\nexport const submitOrder = async <T>(\n  terminal: Terminal,\n  credential: { type: string; payload: T },\n  order: IOrder,\n): Promise<IResponse<{ order_id: string }>> => {\n  return terminal.client.requestForResponse('SubmitOrder', { credential, order });\n};\n\n/**\n * Modify order\n *\n * @public\n */\nexport const modifyOrder = async <T>(\n  terminal: Terminal,\n  credential: { type: string; payload: T },\n  order: IOrder,\n): Promise<IResponse<void>> => {\n  return terminal.client.requestForResponse('ModifyOrder', { credential, order });\n};\n\n/**\n * Cancel order\n *\n * @public\n */\nexport const cancelOrder = async <T>(\n  terminal: Terminal,\n  credential: { type: string; payload: T },\n  order: IOrder,\n): Promise<IResponse<void>> => {\n  return terminal.client.requestForResponse('CancelOrder', { credential, order });\n};\n"]}

package/package.json

@@ -1,6 +1,6 @@
 {
 	"name": "@yuants/exchange",
-	"version": "0.2.1",
+	"version": "0.3.1",
 	"main": "lib/index.js",
 	"module": "dist/index.js",
 	"files": [
@@ -28,6 +28,10 @@
 		"@yuants/data-account": "0.8.4",
 		"@yuants/data-order": "0.6.6",
 		"@yuants/data-product": "0.5.0",
+		"@yuants/data-quote": "0.2.43",
+		"@yuants/cache": "0.3.3",
+		"@yuants/sql": "0.9.30",
+		"@yuants/utils": "0.14.0",
 		"rxjs": "~7.5.6"
 	},
 	"scripts": {

package/temp/package-deps.json

@@ -1,18 +1,22 @@
 {
-    "libraries/exchange/CHANGELOG.json": "354a22e9cb1650390a233c1db7b2a0141da2f10d",
-    "libraries/exchange/CHANGELOG.md": "cdf530eeb67de636fb34295b31797a1b25818560",
+    "libraries/exchange/CHANGELOG.json": "a4a044688191518a8a950c5c219b2be4f6347012",
+    "libraries/exchange/CHANGELOG.md": "d437a484f3cb047648b036a89d6ac97537ee4bb1",
     "libraries/exchange/api-extractor.json": "62f4fd324425b9a235f0c117975967aab09ced0c",
     "libraries/exchange/config/jest.config.json": "4bb17bde3ee911163a3edb36a6eb71491d80b1bd",
     "libraries/exchange/config/rig.json": "f6c7b5537dc77a3170ba9f008bae3b6c3ee11956",
     "libraries/exchange/config/typescript.json": "854907e8a821f2050f6533368db160c649c25348",
     "libraries/exchange/etc/exchange.api.md": "bbd88b1f693916f855340a6af809250c3e22bf1c",
-    "libraries/exchange/package.json": "83f64ad0fa893203cead547c3ee6d246bfff38fb",
-    "libraries/exchange/src/index.ts": "4a6deaff909e26d54b5992b654c0b45d95a1b64a",
+    "libraries/exchange/package.json": "a6810b2dc61ac65eed665d275d228ac1ac33016c",
+    "libraries/exchange/src/index.ts": "be6004e00229b49c99a6d7c8f56624cf18387bc0",
     "libraries/exchange/tsconfig.json": "22f94ca28b507f8ddcc21b9053158eefd3f726a9",
-    "libraries/exchange/.rush/temp/shrinkwrap-deps.json": "fe334dae90ed51c3a990a52a0c70ad89e394ef85",
+    "libraries/exchange/.rush/temp/shrinkwrap-deps.json": "f769a3dbf84c1bff16d82dcfcefa30369a27dd36",
     "libraries/protocol/temp/package-deps.json": "0bd43721e96039b52d7b59c834dc6df45cf75e3f",
     "libraries/data-account/temp/package-deps.json": "ae6b0c69040d0d1989525e843717b6e303d95ef2",
     "libraries/data-order/temp/package-deps.json": "2adac9fc0423f9b1b7ddaa8946ab7af374cc22e1",
     "libraries/data-product/temp/package-deps.json": "a03f08f30800d5fb52c5d019bda4f8e7ec04e344",
+    "libraries/data-quote/temp/package-deps.json": "34d079eab44d2bf65e07b112ac2099c6e92a015e",
+    "libraries/cache/temp/package-deps.json": "a4afa15e6462983f9d3735d31dc1ed8a683fb4dc",
+    "libraries/sql/temp/package-deps.json": "4a9a7ec55f04b20459e664e81e76fa74b6c77b39",
+    "libraries/utils/temp/package-deps.json": "6d58e9b325e8d16de8a878c32010f626b12a01da",
     "tools/toolkit/temp/package-deps.json": "23e053490eb8feade23e4d45de4e54883e322711"
 }