@yuants/exchange 0.8.0 → 0.8.1

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Files changed (25) hide show
  1. package/dist/exchange.d.ts +2 -4
  2. package/dist/interest_rate.js +3 -4
  3. package/dist/interest_rate.js.map +1 -1
  4. package/dist/interest_rate.test.js +1 -1
  5. package/dist/interest_rate.test.js.map +1 -1
  6. package/dist/ohlc.js +6 -5
  7. package/dist/ohlc.js.map +1 -1
  8. package/dist/ohlc.test.js +1 -1
  9. package/dist/ohlc.test.js.map +1 -1
  10. package/lib/interest_rate.d.ts +1 -2
  11. package/lib/interest_rate.d.ts.map +1 -1
  12. package/lib/interest_rate.js +3 -4
  13. package/lib/interest_rate.js.map +1 -1
  14. package/lib/interest_rate.test.js +1 -1
  15. package/lib/interest_rate.test.js.map +1 -1
  16. package/lib/ohlc.d.ts +1 -2
  17. package/lib/ohlc.d.ts.map +1 -1
  18. package/lib/ohlc.js +5 -4
  19. package/lib/ohlc.js.map +1 -1
  20. package/lib/ohlc.test.js +1 -1
  21. package/lib/ohlc.test.js.map +1 -1
  22. package/package.json +1 -1
  23. package/temp/exchange.api.json +2 -56
  24. package/temp/exchange.api.md +2 -6
  25. package/temp/package-deps.json +8 -8
package/dist/exchange.d.ts CHANGED
@@ -130,9 +130,8 @@ export declare interface IExchange<T = any> {
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  */
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  export declare interface IIngestInterestRateRequest {
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  product_id: string;
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- limit?: number;
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  direction: SeriesFetchDirection;
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- time: string;
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+ time: number;
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  }
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  /**
@@ -142,9 +141,8 @@ export declare interface IIngestInterestRateRequest {
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  export declare interface IIngestOHLCRequest {
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  product_id: string;
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  duration: string;
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- limit?: number;
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  direction: SeriesFetchDirection;
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- time: string;
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+ time: number;
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  }
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  /**
package/dist/interest_rate.js CHANGED
@@ -29,10 +29,9 @@ const schemaValidator = createValidator({
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  },
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  time: {
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  type: 'object',
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- required: ['type', 'format'],
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+ required: ['type'],
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  properties: {
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- type: { type: 'string', const: 'string' },
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- format: { type: 'string', const: 'date-time' },
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+ type: { type: 'string', const: 'number' },
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  },
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  },
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  },
@@ -91,7 +90,7 @@ export const provideInterestRateService = (terminal, metadata, fetchPage, servic
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  properties: {
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  product_id: { type: 'string', pattern: `^${metadata.product_id_prefix}` },
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  direction: { const: metadata.direction },
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- time: { type: 'string', format: 'date-time' },
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+ time: { type: 'number' },
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  },
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  }, async (msg) => {
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  try {
package/dist/interest_rate.js.map CHANGED
@@ -1 +1 @@
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{ IInterestRate } from '@yuants/data-interest-rate';\nimport { IServiceOptions, Terminal } from '@yuants/protocol';\nimport { createValidator } from '@yuants/protocol/lib/schema';\nimport { buildInsertManyIntoTableSQL, requestSQL } from '@yuants/sql';\nimport { encodePath } from '@yuants/utils';\nimport { newError } from '../../utils/lib';\nimport { ISeriesIngestResult, SeriesFetchDirection } from './types';\n\n/**\n * Interest Rate Service Metadata\n * @public\n */\nexport interface IInterestRateServiceMetadata {\n product_id_prefix: string;\n direction: SeriesFetchDirection;\n}\n\n/**\n * Interest Rate Service Request from VEX to Vendor\n * @public\n */\nexport interface IIngestInterestRateRequest {\n product_id: string;\n limit?: number;\n direction: SeriesFetchDirection;\n time: string;\n}\n\nconst schemaValidator = createValidator({\n type: 'object',\n required: ['type', 'properties'],\n properties: {\n type: { type: 'string', const: 'object' },\n required: { type: 'array', const: ['product_id', 'direction', 'time'] },\n properties: {\n type: 'object',\n required: ['product_id', 'direction', 'time'],\n properties: {\n product_id: {\n type: 'object',\n required: ['type', 'pattern'],\n properties: {\n type: { type: 'string', const: 'string' },\n pattern: { type: 'string', pattern: '^\\\\^' },\n },\n },\n direction: {\n type: 'object',\n required: ['const'],\n properties: {\n const: { type: 'string', enum: ['backward', 'forward'] },\n },\n },\n time: {\n type: 'object',\n required: ['type', 'format'],\n properties: {\n type: { type: 'string', const: 'string' },\n format: { type: 'string', const: 'date-time' },\n },\n },\n },\n },\n },\n});\n\n/**\n * @public\n */\nexport const parseInterestRateServiceMetadataFromSchema = (schema: any): IInterestRateServiceMetadata => {\n if (!schema) throw newError('INTEREST_RATE_SERVICE_SCHEMA_MISSING', { schema });\n if (!schemaValidator(schema)) throw newError('INTEREST_RATE_SERVICE_SCHEMA_INVALID', { schema });\n return {\n product_id_prefix: schema.properties.product_id.pattern.slice(1),\n direction: schema.properties.direction.const,\n };\n};\n\nconst INTEREST_RATE_INSERT_COLUMNS: Array<keyof IInterestRate> = [\n 'series_id',\n 'created_at',\n 'datasource_id',\n 'product_id',\n 'long_rate',\n 'short_rate',\n 'settlement_price',\n];\n\nconst computeInterestRatePageRange = (\n items: IInterestRate[],\n): { start_time: string; end_time: string } | undefined => {\n if (items.length === 0) return undefined;\n\n let start = items[0];\n let startMs = Date.parse(start.created_at);\n let end = items[0];\n let endMs = Date.parse(end.created_at);\n\n for (const item of items) {\n const createdAtMs = Date.parse(item.created_at);\n if (!isNaN(createdAtMs) && (isNaN(startMs) || createdAtMs < startMs)) {\n start = item;\n startMs = createdAtMs;\n }\n if (!isNaN(createdAtMs) && (isNaN(endMs) || createdAtMs > endMs)) {\n end = item;\n endMs = createdAtMs;\n }\n }\n\n return { start_time: start.created_at, end_time: end.created_at };\n};\n\n/**\n * @public\n */\nexport const provideInterestRateService = (\n terminal: Terminal,\n metadata: IInterestRateServiceMetadata,\n fetchPage: (request: IIngestInterestRateRequest & { series_id: string }) => Promise<IInterestRate[]>,\n serviceOptions?: IServiceOptions,\n) => {\n return terminal.server.provideService<IIngestInterestRateRequest, ISeriesIngestResult>(\n 'IngestInterestRate',\n {\n type: 'object',\n required: ['product_id', 'direction', 'time'],\n properties: {\n product_id: { type: 'string', pattern: `^${metadata.product_id_prefix}` },\n direction: { const: metadata.direction },\n time: { type: 'string', format: 'date-time' },\n },\n },\n async (msg) => {\n try {\n const series_id = encodePath(msg.req.product_id);\n\n const items = await fetchPage({ ...msg.req, series_id });\n\n const normalized: IInterestRate[] = items.map((x) => ({\n ...x,\n series_id,\n datasource_id: '',\n product_id: msg.req.product_id,\n }));\n\n if (normalized.length > 0) {\n await requestSQL(\n terminal,\n buildInsertManyIntoTableSQL(normalized, 'interest_rate', {\n columns: INTEREST_RATE_INSERT_COLUMNS,\n conflictKeys: ['series_id', 'created_at'],\n }),\n );\n }\n\n const range = computeInterestRatePageRange(normalized);\n if (range) {\n await requestSQL(\n terminal,\n buildInsertManyIntoTableSQL(\n [\n {\n series_id,\n table_name: 'interest_rate',\n start_time: range.start_time,\n end_time: range.end_time,\n },\n ],\n 'series_data_range',\n {\n columns: ['series_id', 'table_name', 'start_time', 'end_time'],\n ignoreConflict: true,\n },\n ),\n );\n }\n\n return { res: { code: 0, message: 'OK', data: { wrote_count: normalized.length, range } } };\n } catch (error) {\n const message = error instanceof Error ? error.message : `${error}`;\n return { res: { code: 1, message } };\n }\n },\n serviceOptions,\n );\n};\n"]}
1
+ 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{ IInterestRate } from '@yuants/data-interest-rate';\nimport { IServiceOptions, Terminal } from '@yuants/protocol';\nimport { createValidator } from '@yuants/protocol/lib/schema';\nimport { buildInsertManyIntoTableSQL, requestSQL } from '@yuants/sql';\nimport { encodePath } from '@yuants/utils';\nimport { newError } from '../../utils/lib';\nimport { ISeriesIngestResult, SeriesFetchDirection } from './types';\n\n/**\n * Interest Rate Service Metadata\n * @public\n */\nexport interface IInterestRateServiceMetadata {\n product_id_prefix: string;\n direction: SeriesFetchDirection;\n}\n\n/**\n * Interest Rate Service Request from VEX to Vendor\n * @public\n */\nexport interface IIngestInterestRateRequest {\n product_id: string;\n direction: SeriesFetchDirection;\n time: number;\n}\n\nconst schemaValidator = createValidator({\n type: 'object',\n required: ['type', 'properties'],\n properties: {\n type: { type: 'string', const: 'object' },\n required: { type: 'array', const: ['product_id', 'direction', 'time'] },\n properties: {\n type: 'object',\n required: ['product_id', 'direction', 'time'],\n properties: {\n product_id: {\n type: 'object',\n required: ['type', 'pattern'],\n properties: {\n type: { type: 'string', const: 'string' },\n pattern: { type: 'string', pattern: '^\\\\^' },\n },\n },\n direction: {\n type: 'object',\n required: ['const'],\n properties: {\n const: { type: 'string', enum: ['backward', 'forward'] },\n },\n },\n time: {\n type: 'object',\n required: ['type'],\n properties: {\n type: { type: 'string', const: 'number' },\n },\n },\n },\n },\n },\n});\n\n/**\n * @public\n */\nexport const parseInterestRateServiceMetadataFromSchema = (schema: any): IInterestRateServiceMetadata => {\n if (!schema) throw newError('INTEREST_RATE_SERVICE_SCHEMA_MISSING', { schema });\n if (!schemaValidator(schema)) throw newError('INTEREST_RATE_SERVICE_SCHEMA_INVALID', { schema });\n return {\n product_id_prefix: schema.properties.product_id.pattern.slice(1),\n direction: schema.properties.direction.const,\n };\n};\n\nconst INTEREST_RATE_INSERT_COLUMNS: Array<keyof IInterestRate> = [\n 'series_id',\n 'created_at',\n 'datasource_id',\n 'product_id',\n 'long_rate',\n 'short_rate',\n 'settlement_price',\n];\n\nconst computeInterestRatePageRange = (\n items: IInterestRate[],\n): { start_time: string; end_time: string } | undefined => {\n if (items.length === 0) return undefined;\n\n let start = items[0];\n let startMs = Date.parse(start.created_at);\n let end = items[0];\n let endMs = Date.parse(end.created_at);\n\n for (const item of items) {\n const createdAtMs = Date.parse(item.created_at);\n if (!isNaN(createdAtMs) && (isNaN(startMs) || createdAtMs < startMs)) {\n start = item;\n startMs = createdAtMs;\n }\n if (!isNaN(createdAtMs) && (isNaN(endMs) || createdAtMs > endMs)) {\n end = item;\n endMs = createdAtMs;\n }\n }\n\n return { start_time: start.created_at, end_time: end.created_at };\n};\n\n/**\n * @public\n */\nexport const provideInterestRateService = (\n terminal: Terminal,\n metadata: IInterestRateServiceMetadata,\n fetchPage: (request: IIngestInterestRateRequest & { series_id: string }) => Promise<IInterestRate[]>,\n serviceOptions?: IServiceOptions,\n) => {\n return terminal.server.provideService<IIngestInterestRateRequest, ISeriesIngestResult>(\n 'IngestInterestRate',\n {\n type: 'object',\n required: ['product_id', 'direction', 'time'],\n properties: {\n product_id: { type: 'string', pattern: `^${metadata.product_id_prefix}` },\n direction: { const: metadata.direction },\n time: { type: 'number' },\n },\n },\n async (msg) => {\n try {\n const series_id = encodePath(msg.req.product_id);\n\n const items = await fetchPage({ ...msg.req, series_id });\n\n const normalized: IInterestRate[] = items.map((x) => ({\n ...x,\n series_id,\n datasource_id: '',\n product_id: msg.req.product_id,\n }));\n\n if (normalized.length > 0) {\n await requestSQL(\n terminal,\n buildInsertManyIntoTableSQL(normalized, 'interest_rate', {\n columns: INTEREST_RATE_INSERT_COLUMNS,\n conflictKeys: ['series_id', 'created_at'],\n }),\n );\n }\n\n const range = computeInterestRatePageRange(normalized);\n if (range) {\n await requestSQL(\n terminal,\n buildInsertManyIntoTableSQL(\n [\n {\n series_id,\n table_name: 'interest_rate',\n start_time: range.start_time,\n end_time: range.end_time,\n },\n ],\n 'series_data_range',\n {\n columns: ['series_id', 'table_name', 'start_time', 'end_time'],\n ignoreConflict: true,\n },\n ),\n );\n }\n\n return { res: { code: 0, message: 'OK', data: { wrote_count: normalized.length, range } } };\n } catch (error) {\n const message = error instanceof Error ? error.message : `${error}`;\n return { res: { code: 1, message } };\n }\n },\n serviceOptions,\n );\n};\n"]}
package/dist/interest_rate.test.js CHANGED
@@ -7,7 +7,7 @@ describe('parseInterestRateServiceMetadataFromSchema', () => {
7
7
  properties: {
8
8
  product_id: { type: 'string', pattern: '^BINANCE/' },
9
9
  direction: { const: 'forward' },
10
- time: { type: 'string', format: 'date-time' },
10
+ time: { type: 'number' },
11
11
  },
12
12
  };
13
13
  const meta = parseInterestRateServiceMetadataFromSchema(schema);
package/dist/interest_rate.test.js.map CHANGED
@@ -1 +1 @@
1
- {"version":3,"file":"interest_rate.test.js","sourceRoot":"","sources":["../src/interest_rate.test.ts"],"names":[],"mappings":"AAAA,OAAO,EAAE,0CAA0C,EAAE,MAAM,iBAAiB,CAAC;AAE7E,QAAQ,CAAC,4CAA4C,EAAE,GAAG,EAAE;IAC1D,EAAE,CAAC,qCAAqC,EAAE,GAAG,EAAE;QAC7C,MAAM,MAAM,GAAG;YACb,IAAI,EAAE,QAAQ;YACd,QAAQ,EAAE,CAAC,YAAY,EAAE,WAAW,EAAE,MAAM,CAAC;YAC7C,UAAU,EAAE;gBACV,UAAU,EAAE,EAAE,IAAI,EAAE,QAAQ,EAAE,OAAO,EAAE,WAAW,EAAE;gBACpD,SAAS,EAAE,EAAE,KAAK,EAAE,SAAS,EAAE;gBAC/B,IAAI,EAAE,EAAE,IAAI,EAAE,QAAQ,EAAE,MAAM,EAAE,WAAW,EAAE;aAC9C;SACF,CAAC;QAEF,MAAM,IAAI,GAAG,0CAA0C,CAAC,MAAM,CAAC,CAAC;QAChE,MAAM,CAAC,IAAI,CAAC,CAAC,OAAO,CAAC;YACnB,iBAAiB,EAAE,UAAU;YAC7B,SAAS,EAAE,SAAS;SACrB,CAAC,CAAC;IACL,CAAC,CAAC,CAAC;IAEH,EAAE,CAAC,oCAAoC,EAAE,GAAG,EAAE;QAC5C,MAAM,CAAC,GAAG,EAAE,CAAC,0CAA0C,CAAC,SAAS,CAAC,CAAC,CAAC,OAAO,CACzE,sCAAsC,CACvC,CAAC;QACF,MAAM,CAAC,GAAG,EAAE,CAAC,0CAA0C,CAAC,EAAE,CAAC,CAAC,CAAC,OAAO,CAClE,sCAAsC,CACvC,CAAC;IACJ,CAAC,CAAC,CAAC;AACL,CAAC,CAAC,CAAC","sourcesContent":["import { parseInterestRateServiceMetadataFromSchema } from './interest_rate';\n\ndescribe('parseInterestRateServiceMetadataFromSchema', () => {\n it('parses interest rate service schema', () => {\n const schema = {\n type: 'object',\n required: ['product_id', 'direction', 'time'],\n properties: {\n product_id: { type: 'string', pattern: '^BINANCE/' },\n direction: { const: 'forward' },\n time: { type: 'string', format: 'date-time' },\n },\n };\n\n const meta = parseInterestRateServiceMetadataFromSchema(schema);\n expect(meta).toEqual({\n product_id_prefix: 'BINANCE/',\n direction: 'forward',\n });\n });\n\n it('throws when schema missing/invalid', () => {\n expect(() => parseInterestRateServiceMetadataFromSchema(undefined)).toThrow(\n 'INTEREST_RATE_SERVICE_SCHEMA_MISSING',\n );\n expect(() => parseInterestRateServiceMetadataFromSchema({})).toThrow(\n 'INTEREST_RATE_SERVICE_SCHEMA_INVALID',\n );\n });\n});\n"]}
1
+ {"version":3,"file":"interest_rate.test.js","sourceRoot":"","sources":["../src/interest_rate.test.ts"],"names":[],"mappings":"AAAA,OAAO,EAAE,0CAA0C,EAAE,MAAM,iBAAiB,CAAC;AAE7E,QAAQ,CAAC,4CAA4C,EAAE,GAAG,EAAE;IAC1D,EAAE,CAAC,qCAAqC,EAAE,GAAG,EAAE;QAC7C,MAAM,MAAM,GAAG;YACb,IAAI,EAAE,QAAQ;YACd,QAAQ,EAAE,CAAC,YAAY,EAAE,WAAW,EAAE,MAAM,CAAC;YAC7C,UAAU,EAAE;gBACV,UAAU,EAAE,EAAE,IAAI,EAAE,QAAQ,EAAE,OAAO,EAAE,WAAW,EAAE;gBACpD,SAAS,EAAE,EAAE,KAAK,EAAE,SAAS,EAAE;gBAC/B,IAAI,EAAE,EAAE,IAAI,EAAE,QAAQ,EAAE;aACzB;SACF,CAAC;QAEF,MAAM,IAAI,GAAG,0CAA0C,CAAC,MAAM,CAAC,CAAC;QAChE,MAAM,CAAC,IAAI,CAAC,CAAC,OAAO,CAAC;YACnB,iBAAiB,EAAE,UAAU;YAC7B,SAAS,EAAE,SAAS;SACrB,CAAC,CAAC;IACL,CAAC,CAAC,CAAC;IAEH,EAAE,CAAC,oCAAoC,EAAE,GAAG,EAAE;QAC5C,MAAM,CAAC,GAAG,EAAE,CAAC,0CAA0C,CAAC,SAAS,CAAC,CAAC,CAAC,OAAO,CACzE,sCAAsC,CACvC,CAAC;QACF,MAAM,CAAC,GAAG,EAAE,CAAC,0CAA0C,CAAC,EAAE,CAAC,CAAC,CAAC,OAAO,CAClE,sCAAsC,CACvC,CAAC;IACJ,CAAC,CAAC,CAAC;AACL,CAAC,CAAC,CAAC","sourcesContent":["import { parseInterestRateServiceMetadataFromSchema } from './interest_rate';\n\ndescribe('parseInterestRateServiceMetadataFromSchema', () => {\n it('parses interest rate service schema', () => {\n const schema = {\n type: 'object',\n required: ['product_id', 'direction', 'time'],\n properties: {\n product_id: { type: 'string', pattern: '^BINANCE/' },\n direction: { const: 'forward' },\n time: { type: 'number' },\n },\n };\n\n const meta = parseInterestRateServiceMetadataFromSchema(schema);\n expect(meta).toEqual({\n product_id_prefix: 'BINANCE/',\n direction: 'forward',\n });\n });\n\n it('throws when schema missing/invalid', () => {\n expect(() => parseInterestRateServiceMetadataFromSchema(undefined)).toThrow(\n 'INTEREST_RATE_SERVICE_SCHEMA_MISSING',\n );\n expect(() => parseInterestRateServiceMetadataFromSchema({})).toThrow(\n 'INTEREST_RATE_SERVICE_SCHEMA_INVALID',\n );\n });\n});\n"]}
package/dist/ohlc.js CHANGED
@@ -1,6 +1,6 @@
1
1
  import { createValidator } from '@yuants/protocol/lib/schema';
2
2
  import { buildInsertManyIntoTableSQL, requestSQL } from '@yuants/sql';
3
- import { encodePath } from '@yuants/utils';
3
+ import { encodePath, formatTime } from '@yuants/utils';
4
4
  import { newError } from '../../utils/lib';
5
5
  const schemaValidator = createValidator({
6
6
  type: 'object',
@@ -37,10 +37,9 @@ const schemaValidator = createValidator({
37
37
  },
38
38
  time: {
39
39
  type: 'object',
40
- required: ['type', 'format'],
40
+ required: ['type'],
41
41
  properties: {
42
- type: { type: 'string', const: 'string' },
43
- format: { type: 'string', const: 'date-time' },
42
+ type: { type: 'string', const: 'number' },
44
43
  },
45
44
  },
46
45
  },
@@ -111,12 +110,13 @@ export const provideOHLCService = (terminal, metadata, fetchPage, serviceOptions
111
110
  product_id: { type: 'string', pattern: `^${metadata.product_id_prefix}` },
112
111
  duration: { type: 'string', enum: metadata.duration_list },
113
112
  direction: { const: metadata.direction },
114
- time: { type: 'string', format: 'date-time' },
113
+ time: { type: 'number' },
115
114
  },
116
115
  }, async (msg) => {
117
116
  try {
118
117
  const series_id = encodePath(msg.req.product_id, msg.req.duration);
119
118
  const items = await fetchPage(Object.assign(Object.assign({}, msg.req), { series_id }));
119
+ console.info(formatTime(Date.now()), 'IngestOHLC', msg.req.product_id, msg.req.duration, 'fetched', items.length, 'bars');
120
120
  const normalized = items.map((x) => {
121
121
  var _a;
122
122
  return (Object.assign(Object.assign({}, x), { series_id, datasource_id: '', product_id: msg.req.product_id, duration: msg.req.duration, open_interest: (_a = x.open_interest) !== null && _a !== void 0 ? _a : '0' }));
@@ -145,6 +145,7 @@ export const provideOHLCService = (terminal, metadata, fetchPage, serviceOptions
145
145
  }
146
146
  catch (error) {
147
147
  const message = error instanceof Error ? error.message : `${error}`;
148
+ console.error(formatTime(Date.now()), 'IngestOHLC error:', error);
148
149
  return { res: { code: 1, message } };
149
150
  }
150
151
  }, serviceOptions);
package/dist/ohlc.js.map CHANGED
@@ -1 +1 @@
1
- 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{ IOHLC } from '@yuants/data-ohlc';\nimport { IServiceOptions, Terminal } from '@yuants/protocol';\nimport { createValidator } from '@yuants/protocol/lib/schema';\nimport { buildInsertManyIntoTableSQL, requestSQL } from '@yuants/sql';\nimport { encodePath } from '@yuants/utils';\nimport { newError } from '../../utils/lib';\nimport { ISeriesIngestResult, SeriesFetchDirection } from './types';\n\n/**\n * OHLC Service Metadata\n * @public\n */\nexport interface IOHLCServiceMetadata {\n product_id_prefix: string;\n duration_list: string[];\n direction: SeriesFetchDirection;\n}\n\n/**\n * OHLC Service Request from VEX to Vendor\n * @public\n */\nexport interface IIngestOHLCRequest {\n product_id: string;\n duration: string;\n limit?: number;\n direction: SeriesFetchDirection;\n time: string;\n}\n\nconst schemaValidator = createValidator({\n type: 'object',\n required: ['type', 'properties'],\n properties: {\n type: { type: 'string', const: 'object' },\n required: { type: 'array', const: ['product_id', 'duration', 'direction', 'time'] },\n properties: {\n type: 'object',\n required: ['product_id', 'duration', 'direction', 'time'],\n properties: {\n product_id: {\n type: 'object',\n required: ['type', 'pattern'],\n properties: {\n type: { type: 'string', const: 'string' },\n pattern: { type: 'string', pattern: '^\\\\^' },\n },\n },\n duration: {\n type: 'object',\n required: ['type', 'enum'],\n properties: {\n type: { type: 'string', const: 'string' },\n enum: { type: 'array', items: { type: 'string' } },\n },\n },\n direction: {\n type: 'object',\n required: ['const'],\n properties: {\n const: { type: 'string', enum: ['backward', 'forward'] },\n },\n },\n time: {\n type: 'object',\n required: ['type', 'format'],\n properties: {\n type: { type: 'string', const: 'string' },\n format: { type: 'string', const: 'date-time' },\n },\n },\n },\n },\n },\n});\n\n/**\n * @public\n */\nexport const parseOHLCServiceMetadataFromSchema = (schema: any): IOHLCServiceMetadata => {\n if (!schema) throw newError('OHLC_SERVICE_SCHEMA_MISSING', { schema });\n if (!schemaValidator(schema)) throw newError('OHLC_SERVICE_SCHEMA_INVALID', { schema });\n return {\n product_id_prefix: schema.properties.product_id.pattern.slice(1),\n duration_list: schema.properties.duration.enum,\n direction: schema.properties.direction.const,\n };\n};\n\nconst OHLC_INSERT_COLUMNS: Array<keyof IOHLC> = [\n 'series_id',\n 'created_at',\n 'datasource_id',\n 'product_id',\n 'duration',\n 'closed_at',\n 'open',\n 'high',\n 'low',\n 'close',\n 'volume',\n 'open_interest',\n];\n\nconst computeOHLCPageRange = (items: IOHLC[]): { start_time: string; end_time: string } | undefined => {\n if (items.length === 0) return undefined;\n\n let start = items[0];\n let startMs = Date.parse(start.created_at);\n let end = items[0];\n let endMs = Date.parse(end.closed_at) || Date.parse(end.created_at);\n\n for (const item of items) {\n const createdAtMs = Date.parse(item.created_at);\n if (!isNaN(createdAtMs) && (isNaN(startMs) || createdAtMs < startMs)) {\n start = item;\n startMs = createdAtMs;\n }\n const closedAtMs = Date.parse(item.closed_at);\n const candidateEndMs = !isNaN(closedAtMs) ? closedAtMs : createdAtMs;\n if (!isNaN(candidateEndMs) && (isNaN(endMs) || candidateEndMs > endMs)) {\n end = item;\n endMs = candidateEndMs;\n }\n }\n\n return {\n start_time: start.created_at,\n end_time: end.closed_at || end.created_at,\n };\n};\n\n/**\n * @public\n */\nexport const provideOHLCService = (\n terminal: Terminal,\n metadata: IOHLCServiceMetadata,\n fetchPage: (request: IIngestOHLCRequest & { series_id: string }) => Promise<IOHLC[]>,\n serviceOptions?: IServiceOptions,\n) => {\n return terminal.server.provideService<IIngestOHLCRequest, ISeriesIngestResult>(\n 'IngestOHLC',\n {\n type: 'object',\n required: ['product_id', 'duration', 'direction', 'time'],\n properties: {\n product_id: { type: 'string', pattern: `^${metadata.product_id_prefix}` },\n duration: { type: 'string', enum: metadata.duration_list },\n direction: { const: metadata.direction },\n time: { type: 'string', format: 'date-time' },\n },\n },\n async (msg) => {\n try {\n const series_id = encodePath(msg.req.product_id, msg.req.duration);\n\n const items = await fetchPage({ ...msg.req, series_id });\n\n const normalized: IOHLC[] = items.map((x) => ({\n ...x,\n series_id,\n datasource_id: '',\n product_id: msg.req.product_id,\n duration: msg.req.duration,\n open_interest: x.open_interest ?? '0',\n }));\n\n if (normalized.length > 0) {\n await requestSQL(\n terminal,\n buildInsertManyIntoTableSQL(normalized, 'ohlc', {\n columns: OHLC_INSERT_COLUMNS,\n conflictKeys: ['series_id', 'created_at'],\n }),\n );\n }\n\n const range = computeOHLCPageRange(normalized);\n if (range) {\n await requestSQL(\n terminal,\n buildInsertManyIntoTableSQL(\n [\n {\n series_id,\n table_name: 'ohlc',\n start_time: range.start_time,\n end_time: range.end_time,\n },\n ],\n 'series_data_range',\n {\n columns: ['series_id', 'table_name', 'start_time', 'end_time'],\n ignoreConflict: true,\n },\n ),\n );\n }\n\n return { res: { code: 0, message: 'OK', data: { wrote_count: normalized.length, range } } };\n } catch (error) {\n const message = error instanceof Error ? error.message : `${error}`;\n return { res: { code: 1, message } };\n }\n },\n serviceOptions,\n );\n};\n"]}
1
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{ IOHLC } from '@yuants/data-ohlc';\nimport { IServiceOptions, Terminal } from '@yuants/protocol';\nimport { createValidator } from '@yuants/protocol/lib/schema';\nimport { buildInsertManyIntoTableSQL, requestSQL } from '@yuants/sql';\nimport { encodePath, formatTime } from '@yuants/utils';\nimport { newError } from '../../utils/lib';\nimport { ISeriesIngestResult, SeriesFetchDirection } from './types';\n\n/**\n * OHLC Service Metadata\n * @public\n */\nexport interface IOHLCServiceMetadata {\n product_id_prefix: string;\n duration_list: string[];\n direction: SeriesFetchDirection;\n}\n\n/**\n * OHLC Service Request from VEX to Vendor\n * @public\n */\nexport interface IIngestOHLCRequest {\n product_id: string;\n duration: string;\n direction: SeriesFetchDirection;\n time: number;\n}\n\nconst schemaValidator = createValidator({\n type: 'object',\n required: ['type', 'properties'],\n properties: {\n type: { type: 'string', const: 'object' },\n required: { type: 'array', const: ['product_id', 'duration', 'direction', 'time'] },\n properties: {\n type: 'object',\n required: ['product_id', 'duration', 'direction', 'time'],\n properties: {\n product_id: {\n type: 'object',\n required: ['type', 'pattern'],\n properties: {\n type: { type: 'string', const: 'string' },\n pattern: { type: 'string', pattern: '^\\\\^' },\n },\n },\n duration: {\n type: 'object',\n required: ['type', 'enum'],\n properties: {\n type: { type: 'string', const: 'string' },\n enum: { type: 'array', items: { type: 'string' } },\n },\n },\n direction: {\n type: 'object',\n required: ['const'],\n properties: {\n const: { type: 'string', enum: ['backward', 'forward'] },\n },\n },\n time: {\n type: 'object',\n required: ['type'],\n properties: {\n type: { type: 'string', const: 'number' },\n },\n },\n },\n },\n },\n});\n\n/**\n * @public\n */\nexport const parseOHLCServiceMetadataFromSchema = (schema: any): IOHLCServiceMetadata => {\n if (!schema) throw newError('OHLC_SERVICE_SCHEMA_MISSING', { schema });\n if (!schemaValidator(schema)) throw newError('OHLC_SERVICE_SCHEMA_INVALID', { schema });\n return {\n product_id_prefix: schema.properties.product_id.pattern.slice(1),\n duration_list: schema.properties.duration.enum,\n direction: schema.properties.direction.const,\n };\n};\n\nconst OHLC_INSERT_COLUMNS: Array<keyof IOHLC> = [\n 'series_id',\n 'created_at',\n 'datasource_id',\n 'product_id',\n 'duration',\n 'closed_at',\n 'open',\n 'high',\n 'low',\n 'close',\n 'volume',\n 'open_interest',\n];\n\nconst computeOHLCPageRange = (items: IOHLC[]): { start_time: string; end_time: string } | undefined => {\n if (items.length === 0) return undefined;\n\n let start = items[0];\n let startMs = Date.parse(start.created_at);\n let end = items[0];\n let endMs = Date.parse(end.closed_at) || Date.parse(end.created_at);\n\n for (const item of items) {\n const createdAtMs = Date.parse(item.created_at);\n if (!isNaN(createdAtMs) && (isNaN(startMs) || createdAtMs < startMs)) {\n start = item;\n startMs = createdAtMs;\n }\n const closedAtMs = Date.parse(item.closed_at);\n const candidateEndMs = !isNaN(closedAtMs) ? closedAtMs : createdAtMs;\n if (!isNaN(candidateEndMs) && (isNaN(endMs) || candidateEndMs > endMs)) {\n end = item;\n endMs = candidateEndMs;\n }\n }\n\n return {\n start_time: start.created_at,\n end_time: end.closed_at || end.created_at,\n };\n};\n\n/**\n * @public\n */\nexport const provideOHLCService = (\n terminal: Terminal,\n metadata: IOHLCServiceMetadata,\n fetchPage: (request: IIngestOHLCRequest & { series_id: string }) => Promise<IOHLC[]>,\n serviceOptions?: IServiceOptions,\n) => {\n return terminal.server.provideService<IIngestOHLCRequest, ISeriesIngestResult>(\n 'IngestOHLC',\n {\n type: 'object',\n required: ['product_id', 'duration', 'direction', 'time'],\n properties: {\n product_id: { type: 'string', pattern: `^${metadata.product_id_prefix}` },\n duration: { type: 'string', enum: metadata.duration_list },\n direction: { const: metadata.direction },\n time: { type: 'number' },\n },\n },\n async (msg) => {\n try {\n const series_id = encodePath(msg.req.product_id, msg.req.duration);\n\n const items = await fetchPage({ ...msg.req, series_id });\n\n console.info(\n formatTime(Date.now()),\n 'IngestOHLC',\n msg.req.product_id,\n msg.req.duration,\n 'fetched',\n items.length,\n 'bars',\n );\n\n const normalized: IOHLC[] = items.map((x) => ({\n ...x,\n series_id,\n datasource_id: '',\n product_id: msg.req.product_id,\n duration: msg.req.duration,\n open_interest: x.open_interest ?? '0',\n }));\n\n if (normalized.length > 0) {\n await requestSQL(\n terminal,\n buildInsertManyIntoTableSQL(normalized, 'ohlc', {\n columns: OHLC_INSERT_COLUMNS,\n conflictKeys: ['series_id', 'created_at'],\n }),\n );\n }\n\n const range = computeOHLCPageRange(normalized);\n if (range) {\n await requestSQL(\n terminal,\n buildInsertManyIntoTableSQL(\n [\n {\n series_id,\n table_name: 'ohlc',\n start_time: range.start_time,\n end_time: range.end_time,\n },\n ],\n 'series_data_range',\n {\n columns: ['series_id', 'table_name', 'start_time', 'end_time'],\n ignoreConflict: true,\n },\n ),\n );\n }\n\n return { res: { code: 0, message: 'OK', data: { wrote_count: normalized.length, range } } };\n } catch (error) {\n const message = error instanceof Error ? error.message : `${error}`;\n console.error(formatTime(Date.now()), 'IngestOHLC error:', error);\n return { res: { code: 1, message } };\n }\n },\n serviceOptions,\n );\n};\n"]}
package/dist/ohlc.test.js CHANGED
@@ -8,7 +8,7 @@ describe('parseOHLCServiceMetadataFromSchema', () => {
8
8
  product_id: { type: 'string', pattern: '^BINANCE/USDT-FUTURE' },
9
9
  duration: { type: 'string', enum: ['PT1M', 'PT5M'] },
10
10
  direction: { const: 'backward' },
11
- time: { type: 'string', format: 'date-time' },
11
+ time: { type: 'number' },
12
12
  },
13
13
  };
14
14
  const meta = parseOHLCServiceMetadataFromSchema(schema);
package/dist/ohlc.test.js.map CHANGED
@@ -1 +1 @@
1
- {"version":3,"file":"ohlc.test.js","sourceRoot":"","sources":["../src/ohlc.test.ts"],"names":[],"mappings":"AAAA,OAAO,EAAE,kCAAkC,EAAE,MAAM,QAAQ,CAAC;AAE5D,QAAQ,CAAC,oCAAoC,EAAE,GAAG,EAAE;IAClD,EAAE,CAAC,4BAA4B,EAAE,GAAG,EAAE;QACpC,MAAM,MAAM,GAAG;YACb,IAAI,EAAE,QAAQ;YACd,QAAQ,EAAE,CAAC,YAAY,EAAE,UAAU,EAAE,WAAW,EAAE,MAAM,CAAC;YACzD,UAAU,EAAE;gBACV,UAAU,EAAE,EAAE,IAAI,EAAE,QAAQ,EAAE,OAAO,EAAE,sBAAsB,EAAE;gBAC/D,QAAQ,EAAE,EAAE,IAAI,EAAE,QAAQ,EAAE,IAAI,EAAE,CAAC,MAAM,EAAE,MAAM,CAAC,EAAE;gBACpD,SAAS,EAAE,EAAE,KAAK,EAAE,UAAU,EAAE;gBAChC,IAAI,EAAE,EAAE,IAAI,EAAE,QAAQ,EAAE,MAAM,EAAE,WAAW,EAAE;aAC9C;SACF,CAAC;QAEF,MAAM,IAAI,GAAG,kCAAkC,CAAC,MAAM,CAAC,CAAC;QACxD,MAAM,CAAC,IAAI,CAAC,CAAC,OAAO,CAAC;YACnB,iBAAiB,EAAE,qBAAqB;YACxC,aAAa,EAAE,CAAC,MAAM,EAAE,MAAM,CAAC;YAC/B,SAAS,EAAE,UAAU;SACtB,CAAC,CAAC;IACL,CAAC,CAAC,CAAC;IAEH,EAAE,CAAC,oCAAoC,EAAE,GAAG,EAAE;QAC5C,MAAM,CAAC,GAAG,EAAE,CAAC,kCAAkC,CAAC,SAAS,CAAC,CAAC,CAAC,OAAO,CAAC,6BAA6B,CAAC,CAAC;QACnG,MAAM,CAAC,GAAG,EAAE,CAAC,kCAAkC,CAAC,EAAE,CAAC,CAAC,CAAC,OAAO,CAAC,6BAA6B,CAAC,CAAC;IAC9F,CAAC,CAAC,CAAC;AACL,CAAC,CAAC,CAAC","sourcesContent":["import { parseOHLCServiceMetadataFromSchema } from './ohlc';\n\ndescribe('parseOHLCServiceMetadataFromSchema', () => {\n it('parses OHLC service schema', () => {\n const schema = {\n type: 'object',\n required: ['product_id', 'duration', 'direction', 'time'],\n properties: {\n product_id: { type: 'string', pattern: '^BINANCE/USDT-FUTURE' },\n duration: { type: 'string', enum: ['PT1M', 'PT5M'] },\n direction: { const: 'backward' },\n time: { type: 'string', format: 'date-time' },\n },\n };\n\n const meta = parseOHLCServiceMetadataFromSchema(schema);\n expect(meta).toEqual({\n product_id_prefix: 'BINANCE/USDT-FUTURE',\n duration_list: ['PT1M', 'PT5M'],\n direction: 'backward',\n });\n });\n\n it('throws when schema missing/invalid', () => {\n expect(() => parseOHLCServiceMetadataFromSchema(undefined)).toThrow('OHLC_SERVICE_SCHEMA_MISSING');\n expect(() => parseOHLCServiceMetadataFromSchema({})).toThrow('OHLC_SERVICE_SCHEMA_INVALID');\n });\n});\n"]}
1
+ {"version":3,"file":"ohlc.test.js","sourceRoot":"","sources":["../src/ohlc.test.ts"],"names":[],"mappings":"AAAA,OAAO,EAAE,kCAAkC,EAAE,MAAM,QAAQ,CAAC;AAE5D,QAAQ,CAAC,oCAAoC,EAAE,GAAG,EAAE;IAClD,EAAE,CAAC,4BAA4B,EAAE,GAAG,EAAE;QACpC,MAAM,MAAM,GAAG;YACb,IAAI,EAAE,QAAQ;YACd,QAAQ,EAAE,CAAC,YAAY,EAAE,UAAU,EAAE,WAAW,EAAE,MAAM,CAAC;YACzD,UAAU,EAAE;gBACV,UAAU,EAAE,EAAE,IAAI,EAAE,QAAQ,EAAE,OAAO,EAAE,sBAAsB,EAAE;gBAC/D,QAAQ,EAAE,EAAE,IAAI,EAAE,QAAQ,EAAE,IAAI,EAAE,CAAC,MAAM,EAAE,MAAM,CAAC,EAAE;gBACpD,SAAS,EAAE,EAAE,KAAK,EAAE,UAAU,EAAE;gBAChC,IAAI,EAAE,EAAE,IAAI,EAAE,QAAQ,EAAE;aACzB;SACF,CAAC;QAEF,MAAM,IAAI,GAAG,kCAAkC,CAAC,MAAM,CAAC,CAAC;QACxD,MAAM,CAAC,IAAI,CAAC,CAAC,OAAO,CAAC;YACnB,iBAAiB,EAAE,qBAAqB;YACxC,aAAa,EAAE,CAAC,MAAM,EAAE,MAAM,CAAC;YAC/B,SAAS,EAAE,UAAU;SACtB,CAAC,CAAC;IACL,CAAC,CAAC,CAAC;IAEH,EAAE,CAAC,oCAAoC,EAAE,GAAG,EAAE;QAC5C,MAAM,CAAC,GAAG,EAAE,CAAC,kCAAkC,CAAC,SAAS,CAAC,CAAC,CAAC,OAAO,CAAC,6BAA6B,CAAC,CAAC;QACnG,MAAM,CAAC,GAAG,EAAE,CAAC,kCAAkC,CAAC,EAAE,CAAC,CAAC,CAAC,OAAO,CAAC,6BAA6B,CAAC,CAAC;IAC9F,CAAC,CAAC,CAAC;AACL,CAAC,CAAC,CAAC","sourcesContent":["import { parseOHLCServiceMetadataFromSchema } from './ohlc';\n\ndescribe('parseOHLCServiceMetadataFromSchema', () => {\n it('parses OHLC service schema', () => {\n const schema = {\n type: 'object',\n required: ['product_id', 'duration', 'direction', 'time'],\n properties: {\n product_id: { type: 'string', pattern: '^BINANCE/USDT-FUTURE' },\n duration: { type: 'string', enum: ['PT1M', 'PT5M'] },\n direction: { const: 'backward' },\n time: { type: 'number' },\n },\n };\n\n const meta = parseOHLCServiceMetadataFromSchema(schema);\n expect(meta).toEqual({\n product_id_prefix: 'BINANCE/USDT-FUTURE',\n duration_list: ['PT1M', 'PT5M'],\n direction: 'backward',\n });\n });\n\n it('throws when schema missing/invalid', () => {\n expect(() => parseOHLCServiceMetadataFromSchema(undefined)).toThrow('OHLC_SERVICE_SCHEMA_MISSING');\n expect(() => parseOHLCServiceMetadataFromSchema({})).toThrow('OHLC_SERVICE_SCHEMA_INVALID');\n });\n});\n"]}
package/lib/interest_rate.d.ts CHANGED
@@ -15,9 +15,8 @@ export interface IInterestRateServiceMetadata {
15
15
  */
16
16
  export interface IIngestInterestRateRequest {
17
17
  product_id: string;
18
- limit?: number;
19
18
  direction: SeriesFetchDirection;
20
- time: string;
19
+ time: number;
21
20
  }
22
21
  /**
23
22
  * @public
package/lib/interest_rate.d.ts.map CHANGED
@@ -1 +1 @@
1
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package/lib/interest_rate.js CHANGED
@@ -32,10 +32,9 @@ const schemaValidator = (0, schema_1.createValidator)({
32
32
  },
33
33
  time: {
34
34
  type: 'object',
35
- required: ['type', 'format'],
35
+ required: ['type'],
36
36
  properties: {
37
- type: { type: 'string', const: 'string' },
38
- format: { type: 'string', const: 'date-time' },
37
+ type: { type: 'string', const: 'number' },
39
38
  },
40
39
  },
41
40
  },
@@ -95,7 +94,7 @@ const provideInterestRateService = (terminal, metadata, fetchPage, serviceOption
95
94
  properties: {
96
95
  product_id: { type: 'string', pattern: `^${metadata.product_id_prefix}` },
97
96
  direction: { const: metadata.direction },
98
- time: { type: 'string', format: 'date-time' },
97
+ time: { type: 'number' },
99
98
  },
100
99
  }, async (msg) => {
101
100
  try {
package/lib/interest_rate.js.map CHANGED
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{ IInterestRate } from '@yuants/data-interest-rate';\nimport { IServiceOptions, Terminal } from '@yuants/protocol';\nimport { createValidator } from '@yuants/protocol/lib/schema';\nimport { buildInsertManyIntoTableSQL, requestSQL } from '@yuants/sql';\nimport { encodePath } from '@yuants/utils';\nimport { newError } from '../../utils/lib';\nimport { ISeriesIngestResult, SeriesFetchDirection } from './types';\n\n/**\n * Interest Rate Service Metadata\n * @public\n */\nexport interface IInterestRateServiceMetadata {\n product_id_prefix: string;\n direction: SeriesFetchDirection;\n}\n\n/**\n * Interest Rate Service Request from VEX to Vendor\n * @public\n */\nexport interface IIngestInterestRateRequest {\n product_id: string;\n limit?: number;\n direction: SeriesFetchDirection;\n time: string;\n}\n\nconst schemaValidator = createValidator({\n type: 'object',\n required: ['type', 'properties'],\n properties: {\n type: { type: 'string', const: 'object' },\n required: { type: 'array', const: ['product_id', 'direction', 'time'] },\n properties: {\n type: 'object',\n required: ['product_id', 'direction', 'time'],\n properties: {\n product_id: {\n type: 'object',\n required: ['type', 'pattern'],\n properties: {\n type: { type: 'string', const: 'string' },\n pattern: { type: 'string', pattern: '^\\\\^' },\n },\n },\n direction: {\n type: 'object',\n required: ['const'],\n properties: {\n const: { type: 'string', enum: ['backward', 'forward'] },\n },\n },\n time: {\n type: 'object',\n required: ['type', 'format'],\n properties: {\n type: { type: 'string', const: 'string' },\n format: { type: 'string', const: 'date-time' },\n },\n },\n },\n },\n },\n});\n\n/**\n * @public\n */\nexport const parseInterestRateServiceMetadataFromSchema = (schema: any): IInterestRateServiceMetadata => {\n if (!schema) throw newError('INTEREST_RATE_SERVICE_SCHEMA_MISSING', { schema });\n if (!schemaValidator(schema)) throw newError('INTEREST_RATE_SERVICE_SCHEMA_INVALID', { schema });\n return {\n product_id_prefix: schema.properties.product_id.pattern.slice(1),\n direction: schema.properties.direction.const,\n };\n};\n\nconst INTEREST_RATE_INSERT_COLUMNS: Array<keyof IInterestRate> = [\n 'series_id',\n 'created_at',\n 'datasource_id',\n 'product_id',\n 'long_rate',\n 'short_rate',\n 'settlement_price',\n];\n\nconst computeInterestRatePageRange = (\n items: IInterestRate[],\n): { start_time: string; end_time: string } | undefined => {\n if (items.length === 0) return undefined;\n\n let start = items[0];\n let startMs = Date.parse(start.created_at);\n let end = items[0];\n let endMs = Date.parse(end.created_at);\n\n for (const item of items) {\n const createdAtMs = Date.parse(item.created_at);\n if (!isNaN(createdAtMs) && (isNaN(startMs) || createdAtMs < startMs)) {\n start = item;\n startMs = createdAtMs;\n }\n if (!isNaN(createdAtMs) && (isNaN(endMs) || createdAtMs > endMs)) {\n end = item;\n endMs = createdAtMs;\n }\n }\n\n return { start_time: start.created_at, end_time: end.created_at };\n};\n\n/**\n * @public\n */\nexport const provideInterestRateService = (\n terminal: Terminal,\n metadata: IInterestRateServiceMetadata,\n fetchPage: (request: IIngestInterestRateRequest & { series_id: string }) => Promise<IInterestRate[]>,\n serviceOptions?: IServiceOptions,\n) => {\n return terminal.server.provideService<IIngestInterestRateRequest, ISeriesIngestResult>(\n 'IngestInterestRate',\n {\n type: 'object',\n required: ['product_id', 'direction', 'time'],\n properties: {\n product_id: { type: 'string', pattern: `^${metadata.product_id_prefix}` },\n direction: { const: metadata.direction },\n time: { type: 'string', format: 'date-time' },\n },\n },\n async (msg) => {\n try {\n const series_id = encodePath(msg.req.product_id);\n\n const items = await fetchPage({ ...msg.req, series_id });\n\n const normalized: IInterestRate[] = items.map((x) => ({\n ...x,\n series_id,\n datasource_id: '',\n product_id: msg.req.product_id,\n }));\n\n if (normalized.length > 0) {\n await requestSQL(\n terminal,\n buildInsertManyIntoTableSQL(normalized, 'interest_rate', {\n columns: INTEREST_RATE_INSERT_COLUMNS,\n conflictKeys: ['series_id', 'created_at'],\n }),\n );\n }\n\n const range = computeInterestRatePageRange(normalized);\n if (range) {\n await requestSQL(\n terminal,\n buildInsertManyIntoTableSQL(\n [\n {\n series_id,\n table_name: 'interest_rate',\n start_time: range.start_time,\n end_time: range.end_time,\n },\n ],\n 'series_data_range',\n {\n columns: ['series_id', 'table_name', 'start_time', 'end_time'],\n ignoreConflict: true,\n },\n ),\n );\n }\n\n return { res: { code: 0, message: 'OK', data: { wrote_count: normalized.length, range } } };\n } catch (error) {\n const message = error instanceof Error ? error.message : `${error}`;\n return { res: { code: 1, message } };\n }\n },\n serviceOptions,\n );\n};\n"]}
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{ IInterestRate } from '@yuants/data-interest-rate';\nimport { IServiceOptions, Terminal } from '@yuants/protocol';\nimport { createValidator } from '@yuants/protocol/lib/schema';\nimport { buildInsertManyIntoTableSQL, requestSQL } from '@yuants/sql';\nimport { encodePath } from '@yuants/utils';\nimport { newError } from '../../utils/lib';\nimport { ISeriesIngestResult, SeriesFetchDirection } from './types';\n\n/**\n * Interest Rate Service Metadata\n * @public\n */\nexport interface IInterestRateServiceMetadata {\n product_id_prefix: string;\n direction: SeriesFetchDirection;\n}\n\n/**\n * Interest Rate Service Request from VEX to Vendor\n * @public\n */\nexport interface IIngestInterestRateRequest {\n product_id: string;\n direction: SeriesFetchDirection;\n time: number;\n}\n\nconst schemaValidator = createValidator({\n type: 'object',\n required: ['type', 'properties'],\n properties: {\n type: { type: 'string', const: 'object' },\n required: { type: 'array', const: ['product_id', 'direction', 'time'] },\n properties: {\n type: 'object',\n required: ['product_id', 'direction', 'time'],\n properties: {\n product_id: {\n type: 'object',\n required: ['type', 'pattern'],\n properties: {\n type: { type: 'string', const: 'string' },\n pattern: { type: 'string', pattern: '^\\\\^' },\n },\n },\n direction: {\n type: 'object',\n required: ['const'],\n properties: {\n const: { type: 'string', enum: ['backward', 'forward'] },\n },\n },\n time: {\n type: 'object',\n required: ['type'],\n properties: {\n type: { type: 'string', const: 'number' },\n },\n },\n },\n },\n },\n});\n\n/**\n * @public\n */\nexport const parseInterestRateServiceMetadataFromSchema = (schema: any): IInterestRateServiceMetadata => {\n if (!schema) throw newError('INTEREST_RATE_SERVICE_SCHEMA_MISSING', { schema });\n if (!schemaValidator(schema)) throw newError('INTEREST_RATE_SERVICE_SCHEMA_INVALID', { schema });\n return {\n product_id_prefix: schema.properties.product_id.pattern.slice(1),\n direction: schema.properties.direction.const,\n };\n};\n\nconst INTEREST_RATE_INSERT_COLUMNS: Array<keyof IInterestRate> = [\n 'series_id',\n 'created_at',\n 'datasource_id',\n 'product_id',\n 'long_rate',\n 'short_rate',\n 'settlement_price',\n];\n\nconst computeInterestRatePageRange = (\n items: IInterestRate[],\n): { start_time: string; end_time: string } | undefined => {\n if (items.length === 0) return undefined;\n\n let start = items[0];\n let startMs = Date.parse(start.created_at);\n let end = items[0];\n let endMs = Date.parse(end.created_at);\n\n for (const item of items) {\n const createdAtMs = Date.parse(item.created_at);\n if (!isNaN(createdAtMs) && (isNaN(startMs) || createdAtMs < startMs)) {\n start = item;\n startMs = createdAtMs;\n }\n if (!isNaN(createdAtMs) && (isNaN(endMs) || createdAtMs > endMs)) {\n end = item;\n endMs = createdAtMs;\n }\n }\n\n return { start_time: start.created_at, end_time: end.created_at };\n};\n\n/**\n * @public\n */\nexport const provideInterestRateService = (\n terminal: Terminal,\n metadata: IInterestRateServiceMetadata,\n fetchPage: (request: IIngestInterestRateRequest & { series_id: string }) => Promise<IInterestRate[]>,\n serviceOptions?: IServiceOptions,\n) => {\n return terminal.server.provideService<IIngestInterestRateRequest, ISeriesIngestResult>(\n 'IngestInterestRate',\n {\n type: 'object',\n required: ['product_id', 'direction', 'time'],\n properties: {\n product_id: { type: 'string', pattern: `^${metadata.product_id_prefix}` },\n direction: { const: metadata.direction },\n time: { type: 'number' },\n },\n },\n async (msg) => {\n try {\n const series_id = encodePath(msg.req.product_id);\n\n const items = await fetchPage({ ...msg.req, series_id });\n\n const normalized: IInterestRate[] = items.map((x) => ({\n ...x,\n series_id,\n datasource_id: '',\n product_id: msg.req.product_id,\n }));\n\n if (normalized.length > 0) {\n await requestSQL(\n terminal,\n buildInsertManyIntoTableSQL(normalized, 'interest_rate', {\n columns: INTEREST_RATE_INSERT_COLUMNS,\n conflictKeys: ['series_id', 'created_at'],\n }),\n );\n }\n\n const range = computeInterestRatePageRange(normalized);\n if (range) {\n await requestSQL(\n terminal,\n buildInsertManyIntoTableSQL(\n [\n {\n series_id,\n table_name: 'interest_rate',\n start_time: range.start_time,\n end_time: range.end_time,\n },\n ],\n 'series_data_range',\n {\n columns: ['series_id', 'table_name', 'start_time', 'end_time'],\n ignoreConflict: true,\n },\n ),\n );\n }\n\n return { res: { code: 0, message: 'OK', data: { wrote_count: normalized.length, range } } };\n } catch (error) {\n const message = error instanceof Error ? error.message : `${error}`;\n return { res: { code: 1, message } };\n }\n },\n serviceOptions,\n );\n};\n"]}
package/lib/interest_rate.test.js CHANGED
@@ -9,7 +9,7 @@ describe('parseInterestRateServiceMetadataFromSchema', () => {
9
9
  properties: {
10
10
  product_id: { type: 'string', pattern: '^BINANCE/' },
11
11
  direction: { const: 'forward' },
12
- time: { type: 'string', format: 'date-time' },
12
+ time: { type: 'number' },
13
13
  },
14
14
  };
15
15
  const meta = (0, interest_rate_1.parseInterestRateServiceMetadataFromSchema)(schema);
package/lib/interest_rate.test.js.map CHANGED
@@ -1 +1 @@
1
- {"version":3,"file":"interest_rate.test.js","sourceRoot":"","sources":["../src/interest_rate.test.ts"],"names":[],"mappings":";;AAAA,mDAA6E;AAE7E,QAAQ,CAAC,4CAA4C,EAAE,GAAG,EAAE;IAC1D,EAAE,CAAC,qCAAqC,EAAE,GAAG,EAAE;QAC7C,MAAM,MAAM,GAAG;YACb,IAAI,EAAE,QAAQ;YACd,QAAQ,EAAE,CAAC,YAAY,EAAE,WAAW,EAAE,MAAM,CAAC;YAC7C,UAAU,EAAE;gBACV,UAAU,EAAE,EAAE,IAAI,EAAE,QAAQ,EAAE,OAAO,EAAE,WAAW,EAAE;gBACpD,SAAS,EAAE,EAAE,KAAK,EAAE,SAAS,EAAE;gBAC/B,IAAI,EAAE,EAAE,IAAI,EAAE,QAAQ,EAAE,MAAM,EAAE,WAAW,EAAE;aAC9C;SACF,CAAC;QAEF,MAAM,IAAI,GAAG,IAAA,0DAA0C,EAAC,MAAM,CAAC,CAAC;QAChE,MAAM,CAAC,IAAI,CAAC,CAAC,OAAO,CAAC;YACnB,iBAAiB,EAAE,UAAU;YAC7B,SAAS,EAAE,SAAS;SACrB,CAAC,CAAC;IACL,CAAC,CAAC,CAAC;IAEH,EAAE,CAAC,oCAAoC,EAAE,GAAG,EAAE;QAC5C,MAAM,CAAC,GAAG,EAAE,CAAC,IAAA,0DAA0C,EAAC,SAAS,CAAC,CAAC,CAAC,OAAO,CACzE,sCAAsC,CACvC,CAAC;QACF,MAAM,CAAC,GAAG,EAAE,CAAC,IAAA,0DAA0C,EAAC,EAAE,CAAC,CAAC,CAAC,OAAO,CAClE,sCAAsC,CACvC,CAAC;IACJ,CAAC,CAAC,CAAC;AACL,CAAC,CAAC,CAAC","sourcesContent":["import { parseInterestRateServiceMetadataFromSchema } from './interest_rate';\n\ndescribe('parseInterestRateServiceMetadataFromSchema', () => {\n it('parses interest rate service schema', () => {\n const schema = {\n type: 'object',\n required: ['product_id', 'direction', 'time'],\n properties: {\n product_id: { type: 'string', pattern: '^BINANCE/' },\n direction: { const: 'forward' },\n time: { type: 'string', format: 'date-time' },\n },\n };\n\n const meta = parseInterestRateServiceMetadataFromSchema(schema);\n expect(meta).toEqual({\n product_id_prefix: 'BINANCE/',\n direction: 'forward',\n });\n });\n\n it('throws when schema missing/invalid', () => {\n expect(() => parseInterestRateServiceMetadataFromSchema(undefined)).toThrow(\n 'INTEREST_RATE_SERVICE_SCHEMA_MISSING',\n );\n expect(() => parseInterestRateServiceMetadataFromSchema({})).toThrow(\n 'INTEREST_RATE_SERVICE_SCHEMA_INVALID',\n );\n });\n});\n"]}
1
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package/lib/ohlc.d.ts CHANGED
@@ -17,9 +17,8 @@ export interface IOHLCServiceMetadata {
17
17
  export interface IIngestOHLCRequest {
18
18
  product_id: string;
19
19
  duration: string;
20
- limit?: number;
21
20
  direction: SeriesFetchDirection;
22
- time: string;
21
+ time: number;
23
22
  }
24
23
  /**
25
24
  * @public
package/lib/ohlc.d.ts.map CHANGED
@@ -1 +1 @@
1
- {"version":3,"file":"ohlc.d.ts","sourceRoot":"","sources":["../src/ohlc.ts"],"names":[],"mappings":"AAAA,OAAO,EAAE,KAAK,EAAE,MAAM,mBAAmB,CAAC;AAC1C,OAAO,EAAE,eAAe,EAAE,QAAQ,EAAE,MAAM,kBAAkB,CAAC;AAK7D,OAAO,EAAuB,oBAAoB,EAAE,MAAM,SAAS,CAAC;AAEpE;;;GAGG;AACH,MAAM,WAAW,oBAAoB;IACnC,iBAAiB,EAAE,MAAM,CAAC;IAC1B,aAAa,EAAE,MAAM,EAAE,CAAC;IACxB,SAAS,EAAE,oBAAoB,CAAC;CACjC;AAED;;;GAGG;AACH,MAAM,WAAW,kBAAkB;IACjC,UAAU,EAAE,MAAM,CAAC;IACnB,QAAQ,EAAE,MAAM,CAAC;IACjB,KAAK,CAAC,EAAE,MAAM,CAAC;IACf,SAAS,EAAE,oBAAoB,CAAC;IAChC,IAAI,EAAE,MAAM,CAAC;CACd;AAgDD;;GAEG;AACH,eAAO,MAAM,kCAAkC,WAAY,GAAG,KAAG,oBAQhE,CAAC;AA6CF;;GAEG;AACH,eAAO,MAAM,kBAAkB,aACnB,QAAQ,YACR,oBAAoB,uBACT,kBAAkB,GAAG;IAAE,SAAS,EAAE,MAAM,CAAA;CAAE,KAAK,QAAQ,KAAK,EAAE,CAAC,mBACnE,eAAe;;CAqEjC,CAAC"}
1
+ {"version":3,"file":"ohlc.d.ts","sourceRoot":"","sources":["../src/ohlc.ts"],"names":[],"mappings":"AAAA,OAAO,EAAE,KAAK,EAAE,MAAM,mBAAmB,CAAC;AAC1C,OAAO,EAAE,eAAe,EAAE,QAAQ,EAAE,MAAM,kBAAkB,CAAC;AAK7D,OAAO,EAAuB,oBAAoB,EAAE,MAAM,SAAS,CAAC;AAEpE;;;GAGG;AACH,MAAM,WAAW,oBAAoB;IACnC,iBAAiB,EAAE,MAAM,CAAC;IAC1B,aAAa,EAAE,MAAM,EAAE,CAAC;IACxB,SAAS,EAAE,oBAAoB,CAAC;CACjC;AAED;;;GAGG;AACH,MAAM,WAAW,kBAAkB;IACjC,UAAU,EAAE,MAAM,CAAC;IACnB,QAAQ,EAAE,MAAM,CAAC;IACjB,SAAS,EAAE,oBAAoB,CAAC;IAChC,IAAI,EAAE,MAAM,CAAC;CACd;AA+CD;;GAEG;AACH,eAAO,MAAM,kCAAkC,WAAY,GAAG,KAAG,oBAQhE,CAAC;AA6CF;;GAEG;AACH,eAAO,MAAM,kBAAkB,aACnB,QAAQ,YACR,oBAAoB,uBACT,kBAAkB,GAAG;IAAE,SAAS,EAAE,MAAM,CAAA;CAAE,KAAK,QAAQ,KAAK,EAAE,CAAC,mBACnE,eAAe;;CAgFjC,CAAC"}
package/lib/ohlc.js CHANGED
@@ -40,10 +40,9 @@ const schemaValidator = (0, schema_1.createValidator)({
40
40
  },
41
41
  time: {
42
42
  type: 'object',
43
- required: ['type', 'format'],
43
+ required: ['type'],
44
44
  properties: {
45
- type: { type: 'string', const: 'string' },
46
- format: { type: 'string', const: 'date-time' },
45
+ type: { type: 'string', const: 'number' },
47
46
  },
48
47
  },
49
48
  },
@@ -115,12 +114,13 @@ const provideOHLCService = (terminal, metadata, fetchPage, serviceOptions) => {
115
114
  product_id: { type: 'string', pattern: `^${metadata.product_id_prefix}` },
116
115
  duration: { type: 'string', enum: metadata.duration_list },
117
116
  direction: { const: metadata.direction },
118
- time: { type: 'string', format: 'date-time' },
117
+ time: { type: 'number' },
119
118
  },
120
119
  }, async (msg) => {
121
120
  try {
122
121
  const series_id = (0, utils_1.encodePath)(msg.req.product_id, msg.req.duration);
123
122
  const items = await fetchPage(Object.assign(Object.assign({}, msg.req), { series_id }));
123
+ console.info((0, utils_1.formatTime)(Date.now()), 'IngestOHLC', msg.req.product_id, msg.req.duration, 'fetched', items.length, 'bars');
124
124
  const normalized = items.map((x) => {
125
125
  var _a;
126
126
  return (Object.assign(Object.assign({}, x), { series_id, datasource_id: '', product_id: msg.req.product_id, duration: msg.req.duration, open_interest: (_a = x.open_interest) !== null && _a !== void 0 ? _a : '0' }));
@@ -149,6 +149,7 @@ const provideOHLCService = (terminal, metadata, fetchPage, serviceOptions) => {
149
149
  }
150
150
  catch (error) {
151
151
  const message = error instanceof Error ? error.message : `${error}`;
152
+ console.error((0, utils_1.formatTime)(Date.now()), 'IngestOHLC error:', error);
152
153
  return { res: { code: 1, message } };
153
154
  }
154
155
  }, serviceOptions);
package/lib/ohlc.js.map CHANGED
@@ -1 +1 @@
1
- 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{ IOHLC } from '@yuants/data-ohlc';\nimport { IServiceOptions, Terminal } from '@yuants/protocol';\nimport { createValidator } from '@yuants/protocol/lib/schema';\nimport { buildInsertManyIntoTableSQL, requestSQL } from '@yuants/sql';\nimport { encodePath } from '@yuants/utils';\nimport { newError } from '../../utils/lib';\nimport { ISeriesIngestResult, SeriesFetchDirection } from './types';\n\n/**\n * OHLC Service Metadata\n * @public\n */\nexport interface IOHLCServiceMetadata {\n product_id_prefix: string;\n duration_list: string[];\n direction: SeriesFetchDirection;\n}\n\n/**\n * OHLC Service Request from VEX to Vendor\n * @public\n */\nexport interface IIngestOHLCRequest {\n product_id: string;\n duration: string;\n limit?: number;\n direction: SeriesFetchDirection;\n time: string;\n}\n\nconst schemaValidator = createValidator({\n type: 'object',\n required: ['type', 'properties'],\n properties: {\n type: { type: 'string', const: 'object' },\n required: { type: 'array', const: ['product_id', 'duration', 'direction', 'time'] },\n properties: {\n type: 'object',\n required: ['product_id', 'duration', 'direction', 'time'],\n properties: {\n product_id: {\n type: 'object',\n required: ['type', 'pattern'],\n properties: {\n type: { type: 'string', const: 'string' },\n pattern: { type: 'string', pattern: '^\\\\^' },\n },\n },\n duration: {\n type: 'object',\n required: ['type', 'enum'],\n properties: {\n type: { type: 'string', const: 'string' },\n enum: { type: 'array', items: { type: 'string' } },\n },\n },\n direction: {\n type: 'object',\n required: ['const'],\n properties: {\n const: { type: 'string', enum: ['backward', 'forward'] },\n },\n },\n time: {\n type: 'object',\n required: ['type', 'format'],\n properties: {\n type: { type: 'string', const: 'string' },\n format: { type: 'string', const: 'date-time' },\n },\n },\n },\n },\n },\n});\n\n/**\n * @public\n */\nexport const parseOHLCServiceMetadataFromSchema = (schema: any): IOHLCServiceMetadata => {\n if (!schema) throw newError('OHLC_SERVICE_SCHEMA_MISSING', { schema });\n if (!schemaValidator(schema)) throw newError('OHLC_SERVICE_SCHEMA_INVALID', { schema });\n return {\n product_id_prefix: schema.properties.product_id.pattern.slice(1),\n duration_list: schema.properties.duration.enum,\n direction: schema.properties.direction.const,\n };\n};\n\nconst OHLC_INSERT_COLUMNS: Array<keyof IOHLC> = [\n 'series_id',\n 'created_at',\n 'datasource_id',\n 'product_id',\n 'duration',\n 'closed_at',\n 'open',\n 'high',\n 'low',\n 'close',\n 'volume',\n 'open_interest',\n];\n\nconst computeOHLCPageRange = (items: IOHLC[]): { start_time: string; end_time: string } | undefined => {\n if (items.length === 0) return undefined;\n\n let start = items[0];\n let startMs = Date.parse(start.created_at);\n let end = items[0];\n let endMs = Date.parse(end.closed_at) || Date.parse(end.created_at);\n\n for (const item of items) {\n const createdAtMs = Date.parse(item.created_at);\n if (!isNaN(createdAtMs) && (isNaN(startMs) || createdAtMs < startMs)) {\n start = item;\n startMs = createdAtMs;\n }\n const closedAtMs = Date.parse(item.closed_at);\n const candidateEndMs = !isNaN(closedAtMs) ? closedAtMs : createdAtMs;\n if (!isNaN(candidateEndMs) && (isNaN(endMs) || candidateEndMs > endMs)) {\n end = item;\n endMs = candidateEndMs;\n }\n }\n\n return {\n start_time: start.created_at,\n end_time: end.closed_at || end.created_at,\n };\n};\n\n/**\n * @public\n */\nexport const provideOHLCService = (\n terminal: Terminal,\n metadata: IOHLCServiceMetadata,\n fetchPage: (request: IIngestOHLCRequest & { series_id: string }) => Promise<IOHLC[]>,\n serviceOptions?: IServiceOptions,\n) => {\n return terminal.server.provideService<IIngestOHLCRequest, ISeriesIngestResult>(\n 'IngestOHLC',\n {\n type: 'object',\n required: ['product_id', 'duration', 'direction', 'time'],\n properties: {\n product_id: { type: 'string', pattern: `^${metadata.product_id_prefix}` },\n duration: { type: 'string', enum: metadata.duration_list },\n direction: { const: metadata.direction },\n time: { type: 'string', format: 'date-time' },\n },\n },\n async (msg) => {\n try {\n const series_id = encodePath(msg.req.product_id, msg.req.duration);\n\n const items = await fetchPage({ ...msg.req, series_id });\n\n const normalized: IOHLC[] = items.map((x) => ({\n ...x,\n series_id,\n datasource_id: '',\n product_id: msg.req.product_id,\n duration: msg.req.duration,\n open_interest: x.open_interest ?? '0',\n }));\n\n if (normalized.length > 0) {\n await requestSQL(\n terminal,\n buildInsertManyIntoTableSQL(normalized, 'ohlc', {\n columns: OHLC_INSERT_COLUMNS,\n conflictKeys: ['series_id', 'created_at'],\n }),\n );\n }\n\n const range = computeOHLCPageRange(normalized);\n if (range) {\n await requestSQL(\n terminal,\n buildInsertManyIntoTableSQL(\n [\n {\n series_id,\n table_name: 'ohlc',\n start_time: range.start_time,\n end_time: range.end_time,\n },\n ],\n 'series_data_range',\n {\n columns: ['series_id', 'table_name', 'start_time', 'end_time'],\n ignoreConflict: true,\n },\n ),\n );\n }\n\n return { res: { code: 0, message: 'OK', data: { wrote_count: normalized.length, range } } };\n } catch (error) {\n const message = error instanceof Error ? error.message : `${error}`;\n return { res: { code: 1, message } };\n }\n },\n serviceOptions,\n );\n};\n"]}
1
+ 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{ IOHLC } from '@yuants/data-ohlc';\nimport { IServiceOptions, Terminal } from '@yuants/protocol';\nimport { createValidator } from '@yuants/protocol/lib/schema';\nimport { buildInsertManyIntoTableSQL, requestSQL } from '@yuants/sql';\nimport { encodePath, formatTime } from '@yuants/utils';\nimport { newError } from '../../utils/lib';\nimport { ISeriesIngestResult, SeriesFetchDirection } from './types';\n\n/**\n * OHLC Service Metadata\n * @public\n */\nexport interface IOHLCServiceMetadata {\n product_id_prefix: string;\n duration_list: string[];\n direction: SeriesFetchDirection;\n}\n\n/**\n * OHLC Service Request from VEX to Vendor\n * @public\n */\nexport interface IIngestOHLCRequest {\n product_id: string;\n duration: string;\n direction: SeriesFetchDirection;\n time: number;\n}\n\nconst schemaValidator = createValidator({\n type: 'object',\n required: ['type', 'properties'],\n properties: {\n type: { type: 'string', const: 'object' },\n required: { type: 'array', const: ['product_id', 'duration', 'direction', 'time'] },\n properties: {\n type: 'object',\n required: ['product_id', 'duration', 'direction', 'time'],\n properties: {\n product_id: {\n type: 'object',\n required: ['type', 'pattern'],\n properties: {\n type: { type: 'string', const: 'string' },\n pattern: { type: 'string', pattern: '^\\\\^' },\n },\n },\n duration: {\n type: 'object',\n required: ['type', 'enum'],\n properties: {\n type: { type: 'string', const: 'string' },\n enum: { type: 'array', items: { type: 'string' } },\n },\n },\n direction: {\n type: 'object',\n required: ['const'],\n properties: {\n const: { type: 'string', enum: ['backward', 'forward'] },\n },\n },\n time: {\n type: 'object',\n required: ['type'],\n properties: {\n type: { type: 'string', const: 'number' },\n },\n },\n },\n },\n },\n});\n\n/**\n * @public\n */\nexport const parseOHLCServiceMetadataFromSchema = (schema: any): IOHLCServiceMetadata => {\n if (!schema) throw newError('OHLC_SERVICE_SCHEMA_MISSING', { schema });\n if (!schemaValidator(schema)) throw newError('OHLC_SERVICE_SCHEMA_INVALID', { schema });\n return {\n product_id_prefix: schema.properties.product_id.pattern.slice(1),\n duration_list: schema.properties.duration.enum,\n direction: schema.properties.direction.const,\n };\n};\n\nconst OHLC_INSERT_COLUMNS: Array<keyof IOHLC> = [\n 'series_id',\n 'created_at',\n 'datasource_id',\n 'product_id',\n 'duration',\n 'closed_at',\n 'open',\n 'high',\n 'low',\n 'close',\n 'volume',\n 'open_interest',\n];\n\nconst computeOHLCPageRange = (items: IOHLC[]): { start_time: string; end_time: string } | undefined => {\n if (items.length === 0) return undefined;\n\n let start = items[0];\n let startMs = Date.parse(start.created_at);\n let end = items[0];\n let endMs = Date.parse(end.closed_at) || Date.parse(end.created_at);\n\n for (const item of items) {\n const createdAtMs = Date.parse(item.created_at);\n if (!isNaN(createdAtMs) && (isNaN(startMs) || createdAtMs < startMs)) {\n start = item;\n startMs = createdAtMs;\n }\n const closedAtMs = Date.parse(item.closed_at);\n const candidateEndMs = !isNaN(closedAtMs) ? closedAtMs : createdAtMs;\n if (!isNaN(candidateEndMs) && (isNaN(endMs) || candidateEndMs > endMs)) {\n end = item;\n endMs = candidateEndMs;\n }\n }\n\n return {\n start_time: start.created_at,\n end_time: end.closed_at || end.created_at,\n };\n};\n\n/**\n * @public\n */\nexport const provideOHLCService = (\n terminal: Terminal,\n metadata: IOHLCServiceMetadata,\n fetchPage: (request: IIngestOHLCRequest & { series_id: string }) => Promise<IOHLC[]>,\n serviceOptions?: IServiceOptions,\n) => {\n return terminal.server.provideService<IIngestOHLCRequest, ISeriesIngestResult>(\n 'IngestOHLC',\n {\n type: 'object',\n required: ['product_id', 'duration', 'direction', 'time'],\n properties: {\n product_id: { type: 'string', pattern: `^${metadata.product_id_prefix}` },\n duration: { type: 'string', enum: metadata.duration_list },\n direction: { const: metadata.direction },\n time: { type: 'number' },\n },\n },\n async (msg) => {\n try {\n const series_id = encodePath(msg.req.product_id, msg.req.duration);\n\n const items = await fetchPage({ ...msg.req, series_id });\n\n console.info(\n formatTime(Date.now()),\n 'IngestOHLC',\n msg.req.product_id,\n msg.req.duration,\n 'fetched',\n items.length,\n 'bars',\n );\n\n const normalized: IOHLC[] = items.map((x) => ({\n ...x,\n series_id,\n datasource_id: '',\n product_id: msg.req.product_id,\n duration: msg.req.duration,\n open_interest: x.open_interest ?? '0',\n }));\n\n if (normalized.length > 0) {\n await requestSQL(\n terminal,\n buildInsertManyIntoTableSQL(normalized, 'ohlc', {\n columns: OHLC_INSERT_COLUMNS,\n conflictKeys: ['series_id', 'created_at'],\n }),\n );\n }\n\n const range = computeOHLCPageRange(normalized);\n if (range) {\n await requestSQL(\n terminal,\n buildInsertManyIntoTableSQL(\n [\n {\n series_id,\n table_name: 'ohlc',\n start_time: range.start_time,\n end_time: range.end_time,\n },\n ],\n 'series_data_range',\n {\n columns: ['series_id', 'table_name', 'start_time', 'end_time'],\n ignoreConflict: true,\n },\n ),\n );\n }\n\n return { res: { code: 0, message: 'OK', data: { wrote_count: normalized.length, range } } };\n } catch (error) {\n const message = error instanceof Error ? error.message : `${error}`;\n console.error(formatTime(Date.now()), 'IngestOHLC error:', error);\n return { res: { code: 1, message } };\n }\n },\n serviceOptions,\n );\n};\n"]}
package/lib/ohlc.test.js CHANGED
@@ -10,7 +10,7 @@ describe('parseOHLCServiceMetadataFromSchema', () => {
10
10
  product_id: { type: 'string', pattern: '^BINANCE/USDT-FUTURE' },
11
11
  duration: { type: 'string', enum: ['PT1M', 'PT5M'] },
12
12
  direction: { const: 'backward' },
13
- time: { type: 'string', format: 'date-time' },
13
+ time: { type: 'number' },
14
14
  },
15
15
  };
16
16
  const meta = (0, ohlc_1.parseOHLCServiceMetadataFromSchema)(schema);
package/lib/ohlc.test.js.map CHANGED
@@ -1 +1 @@
1
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1
+ {"version":3,"file":"ohlc.test.js","sourceRoot":"","sources":["../src/ohlc.test.ts"],"names":[],"mappings":";;AAAA,iCAA4D;AAE5D,QAAQ,CAAC,oCAAoC,EAAE,GAAG,EAAE;IAClD,EAAE,CAAC,4BAA4B,EAAE,GAAG,EAAE;QACpC,MAAM,MAAM,GAAG;YACb,IAAI,EAAE,QAAQ;YACd,QAAQ,EAAE,CAAC,YAAY,EAAE,UAAU,EAAE,WAAW,EAAE,MAAM,CAAC;YACzD,UAAU,EAAE;gBACV,UAAU,EAAE,EAAE,IAAI,EAAE,QAAQ,EAAE,OAAO,EAAE,sBAAsB,EAAE;gBAC/D,QAAQ,EAAE,EAAE,IAAI,EAAE,QAAQ,EAAE,IAAI,EAAE,CAAC,MAAM,EAAE,MAAM,CAAC,EAAE;gBACpD,SAAS,EAAE,EAAE,KAAK,EAAE,UAAU,EAAE;gBAChC,IAAI,EAAE,EAAE,IAAI,EAAE,QAAQ,EAAE;aACzB;SACF,CAAC;QAEF,MAAM,IAAI,GAAG,IAAA,yCAAkC,EAAC,MAAM,CAAC,CAAC;QACxD,MAAM,CAAC,IAAI,CAAC,CAAC,OAAO,CAAC;YACnB,iBAAiB,EAAE,qBAAqB;YACxC,aAAa,EAAE,CAAC,MAAM,EAAE,MAAM,CAAC;YAC/B,SAAS,EAAE,UAAU;SACtB,CAAC,CAAC;IACL,CAAC,CAAC,CAAC;IAEH,EAAE,CAAC,oCAAoC,EAAE,GAAG,EAAE;QAC5C,MAAM,CAAC,GAAG,EAAE,CAAC,IAAA,yCAAkC,EAAC,SAAS,CAAC,CAAC,CAAC,OAAO,CAAC,6BAA6B,CAAC,CAAC;QACnG,MAAM,CAAC,GAAG,EAAE,CAAC,IAAA,yCAAkC,EAAC,EAAE,CAAC,CAAC,CAAC,OAAO,CAAC,6BAA6B,CAAC,CAAC;IAC9F,CAAC,CAAC,CAAC;AACL,CAAC,CAAC,CAAC","sourcesContent":["import { parseOHLCServiceMetadataFromSchema } from './ohlc';\n\ndescribe('parseOHLCServiceMetadataFromSchema', () => {\n it('parses OHLC service schema', () => {\n const schema = {\n type: 'object',\n required: ['product_id', 'duration', 'direction', 'time'],\n properties: {\n product_id: { type: 'string', pattern: '^BINANCE/USDT-FUTURE' },\n duration: { type: 'string', enum: ['PT1M', 'PT5M'] },\n direction: { const: 'backward' },\n time: { type: 'number' },\n },\n };\n\n const meta = parseOHLCServiceMetadataFromSchema(schema);\n expect(meta).toEqual({\n product_id_prefix: 'BINANCE/USDT-FUTURE',\n duration_list: ['PT1M', 'PT5M'],\n direction: 'backward',\n });\n });\n\n it('throws when schema missing/invalid', () => {\n expect(() => parseOHLCServiceMetadataFromSchema(undefined)).toThrow('OHLC_SERVICE_SCHEMA_MISSING');\n expect(() => parseOHLCServiceMetadataFromSchema({})).toThrow('OHLC_SERVICE_SCHEMA_INVALID');\n });\n});\n"]}
package/package.json CHANGED
@@ -1,6 +1,6 @@
1
1
  {
2
2
  "name": "@yuants/exchange",
3
- "version": "0.8.0",
3
+ "version": "0.8.1",
4
4
  "main": "lib/index.js",
5
5
  "module": "dist/index.js",
6
6
  "files": [
package/temp/exchange.api.json CHANGED
@@ -1091,33 +1091,6 @@
1091
1091
  "endIndex": 2
1092
1092
  }
1093
1093
  },
1094
- {
1095
- "kind": "PropertySignature",
1096
- "canonicalReference": "@yuants/exchange!IIngestInterestRateRequest#limit:member",
1097
- "docComment": "",
1098
- "excerptTokens": [
1099
- {
1100
- "kind": "Content",
1101
- "text": "limit?: "
1102
- },
1103
- {
1104
- "kind": "Content",
1105
- "text": "number"
1106
- },
1107
- {
1108
- "kind": "Content",
1109
- "text": ";"
1110
- }
1111
- ],
1112
- "isReadonly": false,
1113
- "isOptional": true,
1114
- "releaseTag": "Public",
1115
- "name": "limit",
1116
- "propertyTypeTokenRange": {
1117
- "startIndex": 1,
1118
- "endIndex": 2
1119
- }
1120
- },
1121
1094
  {
1122
1095
  "kind": "PropertySignature",
1123
1096
  "canonicalReference": "@yuants/exchange!IIngestInterestRateRequest#product_id:member",
@@ -1156,7 +1129,7 @@
1156
1129
  },
1157
1130
  {
1158
1131
  "kind": "Content",
1159
- "text": "string"
1132
+ "text": "number"
1160
1133
  },
1161
1134
  {
1162
1135
  "kind": "Content",
@@ -1244,33 +1217,6 @@
1244
1217
  "endIndex": 2
1245
1218
  }
1246
1219
  },
1247
- {
1248
- "kind": "PropertySignature",
1249
- "canonicalReference": "@yuants/exchange!IIngestOHLCRequest#limit:member",
1250
- "docComment": "",
1251
- "excerptTokens": [
1252
- {
1253
- "kind": "Content",
1254
- "text": "limit?: "
1255
- },
1256
- {
1257
- "kind": "Content",
1258
- "text": "number"
1259
- },
1260
- {
1261
- "kind": "Content",
1262
- "text": ";"
1263
- }
1264
- ],
1265
- "isReadonly": false,
1266
- "isOptional": true,
1267
- "releaseTag": "Public",
1268
- "name": "limit",
1269
- "propertyTypeTokenRange": {
1270
- "startIndex": 1,
1271
- "endIndex": 2
1272
- }
1273
- },
1274
1220
  {
1275
1221
  "kind": "PropertySignature",
1276
1222
  "canonicalReference": "@yuants/exchange!IIngestOHLCRequest#product_id:member",
@@ -1309,7 +1255,7 @@
1309
1255
  },
1310
1256
  {
1311
1257
  "kind": "Content",
1312
- "text": "string"
1258
+ "text": "number"
1313
1259
  },
1314
1260
  {
1315
1261
  "kind": "Content",
package/temp/exchange.api.md CHANGED
@@ -61,11 +61,9 @@ export interface IIngestInterestRateRequest {
61
61
  // (undocumented)
62
62
  direction: SeriesFetchDirection;
63
63
  // (undocumented)
64
- limit?: number;
65
- // (undocumented)
66
64
  product_id: string;
67
65
  // (undocumented)
68
- time: string;
66
+ time: number;
69
67
  }
70
68
 
71
69
  // @public
@@ -75,11 +73,9 @@ export interface IIngestOHLCRequest {
75
73
  // (undocumented)
76
74
  duration: string;
77
75
  // (undocumented)
78
- limit?: number;
79
- // (undocumented)
80
76
  product_id: string;
81
77
  // (undocumented)
82
- time: string;
78
+ time: number;
83
79
  }
84
80
 
85
81
  // @public
package/temp/package-deps.json CHANGED
@@ -1,17 +1,17 @@
1
1
  {
2
- "libraries/exchange/CHANGELOG.json": "90f3fa915c71c18d5b684f0d62aeaf83b5e2d932",
3
- "libraries/exchange/CHANGELOG.md": "bad0c3f012539c7861affce27b525be7aab5b10b",
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+ "libraries/exchange/CHANGELOG.json": "39f1e7f93fcc64bffdf5d847eded0aac63cb7d1d",
3
+ "libraries/exchange/CHANGELOG.md": "98e7e849c1adfd6e19c53a5bbde6ee04fa39ee22",
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
- "libraries/exchange/etc/exchange.api.md": "89e77701ff5e9f8a2d2887fb2ab3e254e60bcd8f",
9
- "libraries/exchange/package.json": "e4eb91d1edc7a0fc36079607b318a10350181108",
8
+ "libraries/exchange/etc/exchange.api.md": "5cbfbfb185ea230234d254b34a778ee25073ac3c",
9
+ "libraries/exchange/package.json": "1e5a3beb25f3829b2de5cf7f7d6a85f7c5bea857",
10
10
  "libraries/exchange/src/index.ts": "3eb2b464a88063b8730b8d7f671553bfdfc88ce6",
11
- "libraries/exchange/src/interest_rate.test.ts": "027f0951ad0b6f105d35febc82c1576a90e36e5c",
12
- "libraries/exchange/src/interest_rate.ts": "0483754b034d5e57e70a144dc3b18eae2bebeaea",
13
- "libraries/exchange/src/ohlc.test.ts": "5a18e54c22a76d58a79570a3e24487901853ec51",
14
- "libraries/exchange/src/ohlc.ts": "0fb0bb321a180f10889e7e6e5a1bf4ccb1eaae5d",
11
+ "libraries/exchange/src/interest_rate.test.ts": "9197fe2ace778d3dd6ef6043926d776abf21ab89",
12
+ "libraries/exchange/src/interest_rate.ts": "58ca713ccbaccaef478f35149695220f1c97bef5",
13
+ "libraries/exchange/src/ohlc.test.ts": "975b880372c2c608d09944a37e294244bd6e488b",
14
+ "libraries/exchange/src/ohlc.ts": "7f9a7a80d75b0e1421866e47b47f0cc739bc83f1",
15
15
  "libraries/exchange/src/quote.test.ts": "2d50be70e6a924498719ad4fe940e0b95d0dfa09",
16
16
  "libraries/exchange/src/quote.ts": "663393e8f22b1e11f675e05f6d3c19d06862366e",
17
17
  "libraries/exchange/src/types.ts": "302d5383c38c053ac2ea8fac028b9d4921f1abe0",