@yuants/exchange 0.3.0 → 0.4.0

This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
Files changed (7) hide show
  1. package/dist/index.js +14 -1
  2. package/dist/index.js.map +1 -1
  3. package/lib/index.d.ts.map +1 -1
  4. package/lib/index.js +15 -2
  5. package/lib/index.js.map +1 -1
  6. package/package.json +3 -2
  7. package/temp/package-deps.json +7 -6
package/dist/index.js CHANGED
@@ -1,6 +1,6 @@
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+ import { createCache } from '@yuants/cache';
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  import { createClientProductCache } from '@yuants/data-product';
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  import { escapeSQL, requestSQL } from '@yuants/sql';
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- import { createCache } from '../../cache/lib';
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  const makeCredentialSchema = (type, payloadSchema) => {
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  return {
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  type: 'object',
@@ -67,6 +67,19 @@ export const provideExchangeServices = (terminal, exchange) => {
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  ]);
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  // 估值 = value_scale * volume * closable_price
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  if (theProduct) {
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+ if (theProduct.base_currency) {
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+ pos.base_currency = theProduct.base_currency;
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+ }
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+ if (theProduct.quote_currency) {
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+ pos.quote_currency = theProduct.quote_currency;
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+ }
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+ if (pos.size === undefined && pos.volume !== undefined && pos.direction !== undefined) {
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+ pos.size = (pos.direction === 'LONG' ? 1 : -1) * pos.volume * (theProduct.value_scale || 1) + '';
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+ }
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+ if (pos.free_size === undefined && pos.free_volume !== undefined && pos.direction !== undefined) {
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+ pos.free_size =
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+ (pos.direction === 'LONG' ? 1 : -1) * pos.free_volume * (theProduct.value_scale || 1) + '';
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+ }
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  pos.valuation = Math.abs((theProduct.value_scale || 1) * pos.volume * pos.closable_price);
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  }
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  // 利率相关信息的追加
package/dist/index.js.map CHANGED
@@ -1 +1 @@
1
- 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{ 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';\nimport { createCache } from '../../cache/lib';\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"]}
1
+ 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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 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 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"]}
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package/lib/index.js CHANGED
@@ -1,9 +1,9 @@
1
1
  "use strict";
2
2
  Object.defineProperty(exports, "__esModule", { value: true });
3
3
  exports.cancelOrder = exports.modifyOrder = exports.submitOrder = exports.getOrders = exports.getPositions = exports.listProducts = exports.getCredentialId = exports.provideExchangeServices = void 0;
4
+ const cache_1 = require("@yuants/cache");
4
5
  const data_product_1 = require("@yuants/data-product");
5
6
  const sql_1 = require("@yuants/sql");
6
- const lib_1 = require("../../cache/lib");
7
7
  const makeCredentialSchema = (type, payloadSchema) => {
8
8
  return {
9
9
  type: 'object',
@@ -21,7 +21,7 @@ const makeCredentialSchema = (type, payloadSchema) => {
21
21
  */
22
22
  const provideExchangeServices = (terminal, exchange) => {
23
23
  const { name: type, credentialSchema } = exchange;
24
- const quoteCache = (0, lib_1.createCache)(async (product_id) => {
24
+ const quoteCache = (0, cache_1.createCache)(async (product_id) => {
25
25
  const sql = `select * from quote where product_id = ${(0, sql_1.escapeSQL)(product_id)}`;
26
26
  const [quote] = await (0, sql_1.requestSQL)(terminal, sql);
27
27
  return quote;
@@ -70,6 +70,19 @@ const provideExchangeServices = (terminal, exchange) => {
70
70
  ]);
71
71
  // 估值 = value_scale * volume * closable_price
72
72
  if (theProduct) {
73
+ if (theProduct.base_currency) {
74
+ pos.base_currency = theProduct.base_currency;
75
+ }
76
+ if (theProduct.quote_currency) {
77
+ pos.quote_currency = theProduct.quote_currency;
78
+ }
79
+ if (pos.size === undefined && pos.volume !== undefined && pos.direction !== undefined) {
80
+ pos.size = (pos.direction === 'LONG' ? 1 : -1) * pos.volume * (theProduct.value_scale || 1) + '';
81
+ }
82
+ if (pos.free_size === undefined && pos.free_volume !== undefined && pos.direction !== undefined) {
83
+ pos.free_size =
84
+ (pos.direction === 'LONG' ? 1 : -1) * pos.free_volume * (theProduct.value_scale || 1) + '';
85
+ }
73
86
  pos.valuation = Math.abs((theProduct.value_scale || 1) * pos.volume * pos.closable_price);
74
87
  }
75
88
  // 利率相关信息的追加
package/lib/index.js.map CHANGED
@@ -1 +1 @@
1
- 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{ 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';\nimport { createCache } from '../../cache/lib';\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"]}
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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 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 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 CHANGED
@@ -1,6 +1,6 @@
1
1
  {
2
2
  "name": "@yuants/exchange",
3
- "version": "0.3.0",
3
+ "version": "0.4.0",
4
4
  "main": "lib/index.js",
5
5
  "module": "dist/index.js",
6
6
  "files": [
@@ -25,10 +25,11 @@
25
25
  },
26
26
  "dependencies": {
27
27
  "@yuants/protocol": "0.53.2",
28
- "@yuants/data-account": "0.8.4",
28
+ "@yuants/data-account": "0.9.0",
29
29
  "@yuants/data-order": "0.6.6",
30
30
  "@yuants/data-product": "0.5.0",
31
31
  "@yuants/data-quote": "0.2.43",
32
+ "@yuants/cache": "0.3.3",
32
33
  "@yuants/sql": "0.9.30",
33
34
  "@yuants/utils": "0.14.0",
34
35
  "rxjs": "~7.5.6"
package/temp/package-deps.json CHANGED
@@ -1,20 +1,21 @@
1
1
  {
2
- "libraries/exchange/CHANGELOG.json": "0b84459b97e4e2142826ccacda307ea11a9ea525",
3
- "libraries/exchange/CHANGELOG.md": "bb4c69f76bcc5ba8a690ddd17ce70a64eed7da88",
2
+ "libraries/exchange/CHANGELOG.json": "623ab17c6dcd4fd23a21340cae332093dc77ed9f",
3
+ "libraries/exchange/CHANGELOG.md": "6bbf4f8f86f61da6f15a38ab3d227dbc2a80e6f7",
4
4
  "libraries/exchange/api-extractor.json": "62f4fd324425b9a235f0c117975967aab09ced0c",
5
5
  "libraries/exchange/config/jest.config.json": "4bb17bde3ee911163a3edb36a6eb71491d80b1bd",
6
6
  "libraries/exchange/config/rig.json": "f6c7b5537dc77a3170ba9f008bae3b6c3ee11956",
7
7
  "libraries/exchange/config/typescript.json": "854907e8a821f2050f6533368db160c649c25348",
8
8
  "libraries/exchange/etc/exchange.api.md": "bbd88b1f693916f855340a6af809250c3e22bf1c",
9
- "libraries/exchange/package.json": "ad503b16f08398db529d7d53d5f8637cd8f42a16",
10
- "libraries/exchange/src/index.ts": "7f552b9b5f4f2c29aabe0abd34ee508886bc28a6",
9
+ "libraries/exchange/package.json": "616aa64e878040bb9cb4c92dde3dfcab0a3be27e",
10
+ "libraries/exchange/src/index.ts": "b5451e10df217ce731bc3e1d55958c9891e8463d",
11
11
  "libraries/exchange/tsconfig.json": "22f94ca28b507f8ddcc21b9053158eefd3f726a9",
12
- "libraries/exchange/.rush/temp/shrinkwrap-deps.json": "754e65026550f83cabb4fc0c8cee727c1d51bc92",
12
+ "libraries/exchange/.rush/temp/shrinkwrap-deps.json": "f769a3dbf84c1bff16d82dcfcefa30369a27dd36",
13
13
  "libraries/protocol/temp/package-deps.json": "0bd43721e96039b52d7b59c834dc6df45cf75e3f",
14
- "libraries/data-account/temp/package-deps.json": "ae6b0c69040d0d1989525e843717b6e303d95ef2",
14
+ "libraries/data-account/temp/package-deps.json": "711aeba1f1f5f03741475a4290e56d18b39e5305",
15
15
  "libraries/data-order/temp/package-deps.json": "2adac9fc0423f9b1b7ddaa8946ab7af374cc22e1",
16
16
  "libraries/data-product/temp/package-deps.json": "a03f08f30800d5fb52c5d019bda4f8e7ec04e344",
17
17
  "libraries/data-quote/temp/package-deps.json": "34d079eab44d2bf65e07b112ac2099c6e92a015e",
18
+ "libraries/cache/temp/package-deps.json": "a4afa15e6462983f9d3735d31dc1ed8a683fb4dc",
18
19
  "libraries/sql/temp/package-deps.json": "4a9a7ec55f04b20459e664e81e76fa74b6c77b39",
19
20
  "libraries/utils/temp/package-deps.json": "6d58e9b325e8d16de8a878c32010f626b12a01da",
20
21
  "tools/toolkit/temp/package-deps.json": "23e053490eb8feade23e4d45de4e54883e322711"