@yuants/exchange 0.8.10 → 0.8.12
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.
- package/dist/exchange.d.ts +3 -2
- package/dist/index.js.map +1 -1
- package/dist/interest_rate.js +15 -13
- package/dist/interest_rate.js.map +1 -1
- package/dist/ohlc.js.map +1 -1
- package/dist/quote.js.map +1 -1
- package/lib/index.d.ts.map +1 -1
- package/lib/index.js.map +1 -1
- package/lib/interest_rate.d.ts +1 -0
- package/lib/interest_rate.d.ts.map +1 -1
- package/lib/interest_rate.js +15 -13
- package/lib/interest_rate.js.map +1 -1
- package/lib/ohlc.d.ts.map +1 -1
- package/lib/ohlc.js.map +1 -1
- package/lib/quote.d.ts +2 -2
- package/lib/quote.d.ts.map +1 -1
- package/lib/quote.js.map +1 -1
- package/lib/tsdoc-metadata.json +1 -1
- package/lib/types.d.ts +3 -3
- package/lib/types.d.ts.map +1 -1
- package/package.json +41 -41
- package/temp/build/typescript/ts_ji-pb6h_.json +1 -0
- package/temp/exchange.api.json +831 -222
- package/temp/exchange.api.md +3 -2
- package/temp/package-deps.json +18 -18
- package/temp/test/jest/haste-map-f50e7cc8db739b6ac2b07d506eb6fdee-b0f299de6a65bcc22988084da157f170-c4011bd9f6a16ae7503ec572fe00f1e3 +0 -0
- package/temp/test/jest/jest-transform-cache-f50e7cc8db739b6ac2b07d506eb6fdee-79ef2876fae7ca75eedb2aa53dc48338/64/data_646d968f228ac350ab7086f0a8e34c7d +14 -0
- package/temp/test/jest/jest-transform-cache-f50e7cc8db739b6ac2b07d506eb6fdee-79ef2876fae7ca75eedb2aa53dc48338/8c/jsonschemadraft07_8c0583f31edfd62dc5c9123ea57b176d +152 -0
- package/temp/test/jest/perf-cache-f50e7cc8db739b6ac2b07d506eb6fdee-da39a3ee5e6b4b0d3255bfef95601890 +1 -0
package/lib/interest_rate.js.map
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1
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{ encodeInterestRateSeriesId, IInterestRate, IInterestLedger } 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 { newError } from '../../utils/lib';\nimport { ISeriesIngestResult, SeriesFetchDirection } from './types';\nimport { IExchange } from '.';\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 | IInterestLedger)[],\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: `^${metadata.product_id_prefix}` },\n direction: { const: metadata.direction },\n time: { type: 'number' },\n },\n },\n async (msg) => {\n try {\n const series_id = encodeInterestRateSeriesId(msg.req.product_id);\n\n const items = await fetchPage({ ...msg.req, series_id });\n\n const normalized: IInterestRate[] = items.map((x) => ({\n ...x,\n series_id,\n datasource_id: '',\n product_id: msg.req.product_id,\n }));\n\n const range = computeInterestRatePageRange(normalized);\n\n // Atomic write: data rows + series_data_range in the same statement.\n if (normalized.length > 0 && range) {\n const writeInterestRate = `${buildInsertManyIntoTableSQL(normalized, 'interest_rate', {\n columns: INTEREST_RATE_INSERT_COLUMNS,\n conflictKeys: ['series_id', 'created_at'],\n })} RETURNING 1`;\n\n const writeRange = `${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 )} RETURNING 1`;\n\n await requestSQL(\n terminal,\n `\n WITH\n write_interest_rate AS (\n ${writeInterestRate}\n ),\n write_range AS (\n ${writeRange}\n )\n SELECT 1 as ok;\n `,\n );\n } else if (normalized.length > 0) {\n await requestSQL(\n terminal,\n buildInsertManyIntoTableSQL(normalized, 'interest_rate', {\n columns: INTEREST_RATE_INSERT_COLUMNS,\n conflictKeys: ['series_id', 'created_at'],\n }),\n );\n }\n\n return { res: { code: 0, message: 'OK', data: { wrote_count: normalized.length, range } } };\n } catch (error) {\n const message = error instanceof Error ? error.message : `${error}`;\n return { res: { code: 1, message } };\n }\n },\n serviceOptions,\n );\n};\ninterface IExchangeCredential {\n type: string;\n payload: any;\n}\n\ninterface IIngestInterestLedgerRequest {\n credential: IExchangeCredential;\n account_id: string;\n time: number;\n ledger_type: string;\n}\n\nconst INTEREST_RATE_LEDGER_INSERT_COLUMNS: Array<keyof IInterestLedger> = [\n 'created_at',\n 'product_id',\n 'account_id',\n 'amount',\n 'currency',\n 'id',\n];\n\n/**\n * @public\n */\nexport const provideInterestLedgerService = (\n terminal: Terminal,\n metadata: { direction: string; type: string },\n fetchPage: (request: IIngestInterestLedgerRequest) => Promise<IInterestLedger[]>,\n serviceOptions?: IServiceOptions,\n) => {\n return terminal.server.provideService<IIngestInterestLedgerRequest, ISeriesIngestResult>(\n 'IngestInterestLedger',\n {\n type: 'object',\n required: ['account_id', 'direction', 'time', 'credential', 'ledger_type'],\n properties: {\n account_id: { type: 'string', pattern: `^${metadata.type}` },\n direction: { const: metadata.direction },\n time: { type: 'number' },\n ledger_type: { type: 'string' },\n credential: {\n type: 'object',\n required: ['type', 'payload'],\n properties: {\n type: { type: 'string', const: metadata.type },\n payload: { type: 'object' },\n },\n },\n },\n },\n async (msg) => {\n try {\n const interestRateLedgers = await fetchPage({ ...msg.req });\n const range = computeInterestRatePageRange(interestRateLedgers);\n\n // Atomic write: data rows + series_data_range in the same statement.\n if (interestRateLedgers.length > 0 && range) {\n const writeInterestRate = `${buildInsertManyIntoTableSQL(\n interestRateLedgers,\n 'interest_rate_ledger',\n {\n columns: INTEREST_RATE_LEDGER_INSERT_COLUMNS,\n conflictKeys: ['id'],\n },\n )} RETURNING 1`;\n\n const writeRange = `${buildInsertManyIntoTableSQL(\n [\n {\n series_id: msg.req.account_id,\n table_name: 'interest_rate_ledger',\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 )} RETURNING 1`;\n\n await requestSQL(\n terminal,\n `\n WITH\n write_interest_rate_ledger AS (\n ${writeInterestRate}\n ),\n write_range AS (\n ${writeRange}\n )\n SELECT 1 as ok;\n `,\n );\n } else if (interestRateLedgers.length > 0) {\n await requestSQL(\n terminal,\n buildInsertManyIntoTableSQL(interestRateLedgers, 'interest_rate_ledger', {\n columns: INTEREST_RATE_LEDGER_INSERT_COLUMNS,\n conflictKeys: ['id'],\n }),\n );\n }\n\n return { res: { code: 0, message: 'OK', data: { wrote_count: interestRateLedgers.length, range } } };\n } catch (error) {\n const message = error instanceof Error ? error.message : `${error}`;\n return { res: { code: 1, message } };\n }\n },\n serviceOptions,\n );\n};\n"]}
|
|
1
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+
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{ encodeInterestRateSeriesId, IInterestRate, IInterestLedger } 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 { newError } from '../../utils/lib';\nimport { ISeriesIngestResult, SeriesFetchDirection } from './types';\nimport { IExchange } from '.';\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 | IInterestLedger)[],\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: `^${metadata.product_id_prefix}` },\n direction: { const: metadata.direction },\n time: { type: 'number' },\n },\n },\n async (msg) => {\n try {\n const series_id = encodeInterestRateSeriesId(msg.req.product_id);\n\n const items = await fetchPage({ ...msg.req, series_id });\n\n const normalized: IInterestRate[] = items.map((x) => ({\n ...x,\n series_id,\n datasource_id: '',\n product_id: msg.req.product_id,\n }));\n\n const range = computeInterestRatePageRange(normalized);\n\n // Atomic write: data rows + series_data_range in the same statement.\n if (normalized.length > 0 && range) {\n const writeInterestRate = `${buildInsertManyIntoTableSQL(normalized, 'interest_rate', {\n columns: INTEREST_RATE_INSERT_COLUMNS,\n conflictKeys: ['series_id', 'created_at'],\n })} RETURNING 1`;\n\n const writeRange = `${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 )} RETURNING 1`;\n\n await requestSQL(\n terminal,\n `\n WITH\n write_interest_rate AS (\n ${writeInterestRate}\n ),\n write_range AS (\n ${writeRange}\n )\n SELECT 1 as ok;\n `,\n );\n } else if (normalized.length > 0) {\n await requestSQL(\n terminal,\n buildInsertManyIntoTableSQL(normalized, 'interest_rate', {\n columns: INTEREST_RATE_INSERT_COLUMNS,\n conflictKeys: ['series_id', 'created_at'],\n }),\n );\n }\n\n return { res: { code: 0, message: 'OK', data: { wrote_count: normalized.length, range } } };\n } catch (error) {\n const message = error instanceof Error ? error.message : `${error}`;\n return { res: { code: 1, message } };\n }\n },\n serviceOptions,\n );\n};\ninterface IExchangeCredential {\n type: string;\n payload: any;\n}\n\ninterface IIngestInterestLedgerRequest {\n credential: IExchangeCredential;\n account_id: string;\n time: number;\n ledger_type: string;\n}\n\nconst ACCOUNT_INTEREST_LEDGER_INSERT_COLUMNS: Array<keyof IInterestLedger> = [\n 'created_at',\n 'product_id',\n 'account_id',\n 'amount',\n 'currency',\n 'id',\n];\n\n/**\n * @public\n */\nexport const provideInterestLedgerService = (\n terminal: Terminal,\n metadata: { direction: string; type: string; ledger_type: string[] },\n fetchPage: (request: IIngestInterestLedgerRequest) => Promise<IInterestLedger[]>,\n serviceOptions?: IServiceOptions,\n) => {\n return terminal.server.provideService<IIngestInterestLedgerRequest, ISeriesIngestResult>(\n 'IngestInterestLedger',\n {\n type: 'object',\n required: ['account_id', 'direction', 'time', 'credential', 'ledger_type'],\n properties: {\n account_id: { type: 'string', pattern: `^${metadata.type}` },\n direction: { const: metadata.direction },\n time: { type: 'number' },\n ledger_type: { type: 'string', enum: metadata.ledger_type },\n credential: {\n type: 'object',\n required: ['type', 'payload'],\n properties: {\n type: { type: 'string', const: metadata.type },\n payload: { type: 'object' },\n },\n },\n },\n },\n async (msg) => {\n try {\n const accountInterestLedgers = await fetchPage({ ...msg.req });\n\n const range = computeInterestRatePageRange(accountInterestLedgers);\n // Atomic write: data rows + series_data_range in the same statement.\n if (accountInterestLedgers.length > 0 && range) {\n const writeInterestRate = `${buildInsertManyIntoTableSQL(\n accountInterestLedgers,\n 'account_interest_ledger',\n {\n columns: ACCOUNT_INTEREST_LEDGER_INSERT_COLUMNS,\n conflictKeys: ['id'],\n },\n )} RETURNING 1`;\n\n const writeRange = `${buildInsertManyIntoTableSQL(\n [\n {\n series_id: msg.req.account_id,\n table_name: 'account_interest_ledger',\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 )} RETURNING 1`;\n\n await requestSQL(\n terminal,\n `\n WITH\n write_account_interest_ledger AS (\n ${writeInterestRate}\n ),\n write_range AS (\n ${writeRange}\n )\n SELECT 1 as ok;\n `,\n );\n } else if (accountInterestLedgers.length > 0) {\n await requestSQL(\n terminal,\n buildInsertManyIntoTableSQL(accountInterestLedgers, 'account_interest_ledger', {\n columns: ACCOUNT_INTEREST_LEDGER_INSERT_COLUMNS,\n conflictKeys: ['id'],\n }),\n );\n }\n\n return {\n res: { code: 0, message: 'OK', data: { wrote_count: accountInterestLedgers.length, range } },\n };\n } catch (error) {\n const message = error instanceof Error ? error.message : `${error}`;\n return { res: { code: 1, message } };\n }\n },\n serviceOptions,\n );\n};\n"]}
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package/lib/ohlc.d.ts.map
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package/lib/ohlc.js.map
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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: `^${metadata.product_id_prefix}` },\n duration: { type: 'string', enum: metadata.duration_list },\n direction: { const: metadata.direction },\n time: { type: 'number' },\n },\n },\n async (msg) => {\n try {\n const series_id = encodeOHLCSeriesId(msg.req.product_id, msg.req.duration);\n\n const items = await fetchPage({ ...msg.req, series_id });\n\n console.info(\n formatTime(Date.now()),\n 'IngestOHLC',\n msg.req.product_id,\n msg.req.duration,\n 'fetched',\n items.length,\n 'bars',\n );\n\n const normalized: IOHLC[] = items.map((x) => ({\n ...x,\n series_id,\n datasource_id: '',\n product_id: msg.req.product_id,\n duration: msg.req.duration,\n open_interest: x.open_interest ?? '0',\n }));\n\n const range = computeOHLCPageRange(normalized);\n\n // Atomic write: data rows + series_data_range in the same statement.\n if (normalized.length > 0 && range) {\n const writeOHLC = `${buildInsertManyIntoTableSQL(normalized, 'ohlc_v2', {\n columns: OHLC_INSERT_COLUMNS,\n conflictKeys: ['series_id', 'created_at'],\n })} RETURNING 1`;\n\n const writeRange = `${buildInsertManyIntoTableSQL(\n [\n {\n series_id,\n table_name: 'ohlc_v2',\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 )} RETURNING 1`;\n\n await requestSQL(\n terminal,\n `\n WITH\n write_ohlc AS (\n ${writeOHLC}\n ),\n write_range AS (\n ${writeRange}\n )\n SELECT 1 as ok;\n `,\n );\n } else if (normalized.length > 0) {\n await requestSQL(\n terminal,\n buildInsertManyIntoTableSQL(normalized, 'ohlc_v2', {\n columns: OHLC_INSERT_COLUMNS,\n conflictKeys: ['series_id', 'created_at'],\n }),\n );\n }\n\n return { res: { code: 0, message: 'OK', data: { wrote_count: normalized.length, range } } };\n } catch (error) {\n const message = error instanceof Error ? error.message : `${error}`;\n console.error(formatTime(Date.now()), 'IngestOHLC error:', error);\n return { res: { code: 1, message } };\n }\n },\n serviceOptions,\n );\n};\n"]}
|
|
1
|
+
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{ encodeOHLCSeriesId, 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 { formatTime, newError } from '@yuants/utils';\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 '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: `^${metadata.product_id_prefix}` },\n duration: { type: 'string', enum: metadata.duration_list },\n direction: { const: metadata.direction },\n time: { type: 'number' },\n },\n },\n async (msg) => {\n try {\n const series_id = encodeOHLCSeriesId(msg.req.product_id, msg.req.duration);\n\n const items = await fetchPage({ ...msg.req, series_id });\n\n console.info(\n formatTime(Date.now()),\n 'IngestOHLC',\n msg.req.product_id,\n msg.req.duration,\n 'fetched',\n items.length,\n 'bars',\n );\n\n const normalized: IOHLC[] = items.map((x) => ({\n ...x,\n series_id,\n datasource_id: '',\n product_id: msg.req.product_id,\n duration: msg.req.duration,\n open_interest: x.open_interest ?? '0',\n }));\n\n const range = computeOHLCPageRange(normalized);\n\n // Atomic write: data rows + series_data_range in the same statement.\n if (normalized.length > 0 && range) {\n const writeOHLC = `${buildInsertManyIntoTableSQL(normalized, 'ohlc_v2', {\n columns: OHLC_INSERT_COLUMNS,\n conflictKeys: ['series_id', 'created_at'],\n })} RETURNING 1`;\n\n const writeRange = `${buildInsertManyIntoTableSQL(\n [\n {\n series_id,\n table_name: 'ohlc_v2',\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 )} RETURNING 1`;\n\n await requestSQL(\n terminal,\n `\n WITH\n write_ohlc AS (\n ${writeOHLC}\n ),\n write_range AS (\n ${writeRange}\n )\n SELECT 1 as ok;\n `,\n );\n } else if (normalized.length > 0) {\n await requestSQL(\n terminal,\n buildInsertManyIntoTableSQL(normalized, 'ohlc_v2', {\n columns: OHLC_INSERT_COLUMNS,\n conflictKeys: ['series_id', 'created_at'],\n }),\n );\n }\n\n return { res: { code: 0, message: 'OK', data: { wrote_count: normalized.length, range } } };\n } catch (error) {\n const message = error instanceof Error ? error.message : `${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/quote.d.ts
CHANGED
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@@ -10,10 +10,10 @@ export declare const parseQuoteServiceMetadataFromSchema: (schema: any) => IQuot
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10
10
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* Provide Quote Service
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11
11
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* @public
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12
12
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*/
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13
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-
export declare const provideQuoteService: <K extends IQuoteField>(terminal: Terminal, metadata: IQuoteServiceMetadata<K>, requestFunc: (request: IQuoteServiceRequestByVEX) => Promise<
|
|
13
|
+
export declare const provideQuoteService: <K extends IQuoteField>(terminal: Terminal, metadata: IQuoteServiceMetadata<K>, requestFunc: (request: IQuoteServiceRequestByVEX) => Promise<Array<Pick<IQuote, K> & {
|
|
14
14
|
product_id: string;
|
|
15
15
|
updated_at: number;
|
|
16
|
-
}
|
|
16
|
+
}>>, serviceOptions?: IServiceOptions) => {
|
|
17
17
|
dispose: () => void;
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18
18
|
};
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19
19
|
//# sourceMappingURL=quote.d.ts.map
|
package/lib/quote.d.ts.map
CHANGED
|
@@ -1 +1 @@
|
|
|
1
|
-
{"version":3,"file":"quote.d.ts","sourceRoot":"","sources":["../src/quote.ts"],"names":[],"mappings":"AAAA,OAAO,EAAE,MAAM,EAAE,MAAM,oBAAoB,CAAC;AAC5C,OAAO,EAAE,eAAe,EAAE,QAAQ,EAAE,MAAM,kBAAkB,CAAC;AAG7D,OAAO,EAAE,WAAW,EAAE,qBAAqB,EAAE,yBAAyB,EAAsB,MAAM,SAAS,CAAC;AAyC5G;;;GAGG;AACH,eAAO,MAAM,mCAAmC,
|
|
1
|
+
{"version":3,"file":"quote.d.ts","sourceRoot":"","sources":["../src/quote.ts"],"names":[],"mappings":"AAAA,OAAO,EAAE,MAAM,EAAE,MAAM,oBAAoB,CAAC;AAC5C,OAAO,EAAE,eAAe,EAAE,QAAQ,EAAE,MAAM,kBAAkB,CAAC;AAG7D,OAAO,EAAE,WAAW,EAAE,qBAAqB,EAAE,yBAAyB,EAAsB,MAAM,SAAS,CAAC;AAyC5G;;;GAGG;AACH,eAAO,MAAM,mCAAmC,GAAI,QAAQ,GAAG,KAAG,qBASjE,CAAC;AAEF;;;GAGG;AACH,eAAO,MAAM,mBAAmB,GAAI,CAAC,SAAS,WAAW,EACvD,UAAU,QAAQ,EAClB,UAAU,qBAAqB,CAAC,CAAC,CAAC,EAClC,aAAa,CACX,OAAO,EAAE,yBAAyB,KAC/B,OAAO,CAAC,KAAK,CAAC,IAAI,CAAC,MAAM,EAAE,CAAC,CAAC,GAAG;IAAE,UAAU,EAAE,MAAM,CAAC;IAAC,UAAU,EAAE,MAAM,CAAA;CAAE,CAAC,CAAC,EACjF,iBAAiB,eAAe;;CAsCjC,CAAC"}
|
package/lib/quote.js.map
CHANGED
|
@@ -1 +1 @@
|
|
|
1
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+
{"version":3,"file":"quote.js","sourceRoot":"","sources":["../src/quote.ts"],"names":[],"mappings":";;;;;;;;;;;;;;AAEA,wDAA8D;AAC9D,yCAA2C;AAG3C,MAAM,eAAe,GAAG,IAAA,wBAAe,EAAC;IACtC,IAAI,EAAE,QAAQ;IACd,QAAQ,EAAE,CAAC,MAAM,EAAE,YAAY,CAAC;IAChC,UAAU,EAAE;QACV,IAAI,EAAE,EAAE,IAAI,EAAE,QAAQ,EAAE,KAAK,EAAE,QAAQ,EAAE;QACzC,QAAQ,EAAE,EAAE,IAAI,EAAE,OAAO,EAAE,KAAK,EAAE,CAAC,aAAa,EAAE,QAAQ,CAAC,EAAE;QAC7D,UAAU,EAAE;YACV,IAAI,EAAE,QAAQ;YACd,QAAQ,EAAE,CAAC,aAAa,EAAE,QAAQ,CAAC;YACnC,UAAU,EAAE;gBACV,WAAW,EAAE;oBACX,IAAI,EAAE,QAAQ;oBACd,QAAQ,EAAE,CAAC,MAAM,EAAE,OAAO,CAAC;oBAC3B,UAAU,EAAE;wBACV,IAAI,EAAE,EAAE,IAAI,EAAE,QAAQ,EAAE,KAAK,EAAE,OAAO,EAAE;wBACxC,QAAQ,EAAE,EAAE,IAAI,EAAE,CAAC,QAAQ,EAAE,MAAM,CAAC,EAAE;wBACtC,KAAK,EAAE;4BACL,IAAI,EAAE,QAAQ;4BACd,QAAQ,EAAE,CAAC,MAAM,EAAE,SAAS,CAAC;4BAC7B,UAAU,EAAE;gCACV,IAAI,EAAE,EAAE,IAAI,EAAE,QAAQ,EAAE,KAAK,EAAE,QAAQ,EAAE;gCACzC,OAAO,EAAE,EAAE,IAAI,EAAE,QAAQ,EAAE,OAAO,EAAE,MAAM,EAAE;6BAC7C;yBACF;qBACF;iBACF;gBACD,MAAM,EAAE;oBACN,IAAI,EAAE,QAAQ;oBACd,QAAQ,EAAE,CAAC,MAAM,EAAE,OAAO,CAAC;oBAC3B,UAAU,EAAE;wBACV,IAAI,EAAE,EAAE,IAAI,EAAE,QAAQ,EAAE,KAAK,EAAE,OAAO,EAAE;wBACxC,KAAK,EAAE,EAAE,IAAI,EAAE,OAAO,EAAE,KAAK,EAAE,EAAE,IAAI,EAAE,QAAQ,EAAE,EAAE;qBACpD;iBACF;aACF;SACF;KACF;CACF,CAAC,CAAC;AAEH;;;GAGG;AACI,MAAM,mCAAmC,GAAG,CAAC,MAAW,EAAyB,EAAE;IACxF,IAAI,CAAC,MAAM;QAAE,MAAM,IAAA,cAAQ,EAAC,8BAA8B,EAAE,EAAE,MAAM,EAAE,CAAC,CAAC;IACxE,IAAI,CAAC,eAAe,CAAC,MAAM,CAAC;QAAE,MAAM,IAAA,cAAQ,EAAC,8BAA8B,EAAE,EAAE,MAAM,EAAE,CAAC,CAAC;IAEzF,OAAO;QACL,iBAAiB,EAAE,MAAM,CAAC,UAAU,CAAC,WAAW,CAAC,KAAK,CAAC,OAAO,CAAC,KAAK,CAAC,CAAC,CAAC;QACvE,MAAM,EAAE,MAAM,CAAC,UAAU,CAAC,MAAM,CAAC,KAAK;QACtC,wBAAwB,EAAE,MAAM,CAAC,UAAU,CAAC,WAAW,CAAC,QAAQ;KACjE,CAAC;AACJ,CAAC,CAAC;AATW,QAAA,mCAAmC,uCAS9C;AAEF;;;GAGG;AACI,MAAM,mBAAmB,GAAG,CACjC,QAAkB,EAClB,QAAkC,EAClC,WAEiF,EACjF,cAAgC,EAChC,EAAE;IACF,OAAO,QAAQ,CAAC,MAAM,CAAC,cAAc,CACnC,WAAW,EACX;QACE,IAAI,EAAE,QAAQ;QACd,QAAQ,EAAE,CAAC,aAAa,EAAE,QAAQ,CAAC;QACnC,UAAU,EAAE;YACV,WAAW,EAAE;gBACX,IAAI,EAAE,OAAO;gBACb,QAAQ,EAAE,QAAQ,CAAC,wBAAwB;gBAC3C,KAAK,EAAE,EAAE,IAAI,EAAE,QAAQ,EAAE,OAAO,EAAE,IAAI,QAAQ,CAAC,iBAAiB,EAAE,EAAE;aACrE;YACD,MAAM,EAAE;gBACN,IAAI,EAAE,OAAO;gBACb,KAAK,EAAE,QAAQ,CAAC,MAAM,CAAC,IAAI,EAAE;aAC9B;SACF;KACF,EACD,KAAK,EAAE,GAAG,EAAE,EAAE;;QACZ,MAAM,IAAI,GAAG,MAAM,WAAW,CAAC,GAAG,CAAC,GAAG,CAAC,CAAC;QAExC,MAAM,MAAM,GAAuB,EAAE,CAAC;QACtC,KAAK,MAAM,KAAK,IAAI,IAAI,EAAE,CAAC;YACzB,MAAM,EAAE,UAAU,EAAE,UAAU,KAAgB,KAAK,EAAhB,MAAM,UAAK,KAAK,EAA7C,4BAAqC,CAAQ,CAAC;YACpD,MAAA,MAAM,CAAC,UAAU,qCAAjB,MAAM,CAAC,UAAU,IAAM,EAAE,EAAC;YAC1B,KAAK,MAAM,GAAG,IAAI,MAAM,CAAC,IAAI,CAAC,MAAM,CAAQ,EAAE,CAAC;gBAC7C,MAAM,KAAK,GAAI,MAAc,CAAC,GAAG,CAAC,CAAC;gBACnC,IAAI,KAAK,KAAK,SAAS,EAAE,CAAC;oBACxB,MAAM,CAAC,UAAU,CAAC,CAAC,GAAG,CAAC,GAAG,CAAC,KAAK,EAAE,UAAU,CAAC,CAAC;gBAChD,CAAC;YACH,CAAC;QACH,CAAC;QAED,OAAO,EAAE,GAAG,EAAE,EAAE,IAAI,EAAE,CAAC,EAAE,OAAO,EAAE,IAAI,EAAE,IAAI,EAAE,MAAM,EAAE,EAAE,CAAC;IAC3D,CAAC,EACD,cAAc,CACf,CAAC;AACJ,CAAC,CAAC;AA5CW,QAAA,mBAAmB,uBA4C9B","sourcesContent":["import { IQuote } from '@yuants/data-quote';\nimport { IServiceOptions, Terminal } from '@yuants/protocol';\nimport { createValidator } from '@yuants/protocol/lib/schema';\nimport { newError } from '../../utils/lib';\nimport { IQuoteField, IQuoteServiceMetadata, IQuoteServiceRequestByVEX, IQuoteUpdateAction } from './types';\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_ids', 'fields'] },\n properties: {\n type: 'object',\n required: ['product_ids', 'fields'],\n properties: {\n product_ids: {\n type: 'object',\n required: ['type', 'items'],\n properties: {\n type: { type: 'string', const: 'array' },\n maxItems: { type: ['number', 'null'] },\n items: {\n type: 'object',\n required: ['type', 'pattern'],\n properties: {\n type: { type: 'string', const: 'string' },\n pattern: { type: 'string', pattern: '^\\\\^' },\n },\n },\n },\n },\n fields: {\n type: 'object',\n required: ['type', 'const'],\n properties: {\n type: { type: 'string', const: 'array' },\n const: { type: 'array', items: { type: 'string' } },\n },\n },\n },\n },\n },\n});\n\n/**\n * Extract Quote Service Metadata from JSON Schema\n * @public\n */\nexport const parseQuoteServiceMetadataFromSchema = (schema: any): IQuoteServiceMetadata => {\n if (!schema) throw newError('QUOTE_SERVICE_SCHEMA_MISSING', { schema });\n if (!schemaValidator(schema)) throw newError('QUOTE_SERVICE_SCHEMA_INVALID', { schema });\n\n return {\n product_id_prefix: schema.properties.product_ids.items.pattern.slice(1),\n fields: schema.properties.fields.const,\n max_products_per_request: schema.properties.product_ids.maxItems,\n };\n};\n\n/**\n * Provide Quote Service\n * @public\n */\nexport const provideQuoteService = <K extends IQuoteField>(\n terminal: Terminal,\n metadata: IQuoteServiceMetadata<K>,\n requestFunc: (\n request: IQuoteServiceRequestByVEX,\n ) => Promise<Array<Pick<IQuote, K> & { product_id: string; updated_at: number }>>,\n serviceOptions?: IServiceOptions,\n) => {\n return terminal.server.provideService<IQuoteServiceRequestByVEX, IQuoteUpdateAction>(\n 'GetQuotes',\n {\n type: 'object',\n required: ['product_ids', 'fields'],\n properties: {\n product_ids: {\n type: 'array',\n maxItems: metadata.max_products_per_request,\n items: { type: 'string', pattern: `^${metadata.product_id_prefix}` },\n },\n fields: {\n type: 'array',\n const: metadata.fields.sort(),\n },\n },\n },\n async (msg) => {\n const data = await requestFunc(msg.req);\n\n const action: IQuoteUpdateAction = {};\n for (const quote of data) {\n const { product_id, updated_at, ...fields } = quote;\n action[product_id] ??= {};\n for (const key of Object.keys(fields) as K[]) {\n const value = (fields as any)[key];\n if (value !== undefined) {\n action[product_id][key] = [value, updated_at];\n }\n }\n }\n\n return { res: { code: 0, message: 'OK', data: action } };\n },\n serviceOptions,\n );\n};\n"]}
|
package/lib/tsdoc-metadata.json
CHANGED
package/lib/types.d.ts
CHANGED
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@@ -3,7 +3,7 @@ import { IQuote } from '@yuants/data-quote';
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* 历史数据翻页方向
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export type SeriesFetchDirection = 'backward' | 'forward';
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export type IQuoteField = Exclude<keyof IQuote, 'product_id' | 'updated_at' | 'datasource_id'>;
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export type IQuoteUpdateAction<K extends IQuoteField = IQuoteField> = Record<string, Partial<Record<K, [value: string, updated_at: number]>>>;
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{"version":3,"file":"types.d.ts","sourceRoot":"","sources":["../src/types.ts"],"names":[],"mappings":"AAAA,OAAO,EAAE,MAAM,EAAE,MAAM,oBAAoB,CAAC;AAE5C;;;GAGG;AACH,
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{"version":3,"file":"types.d.ts","sourceRoot":"","sources":["../src/types.ts"],"names":[],"mappings":"AAAA,OAAO,EAAE,MAAM,EAAE,MAAM,oBAAoB,CAAC;AAE5C;;;GAGG;AACH,MAAM,MAAM,oBAAoB,GAAG,UAAU,GAAG,SAAS,CAAC;AAE1D;;;GAGG;AACH,MAAM,WAAW,mBAAmB;IAClC,WAAW,EAAE,MAAM,CAAC;IACpB,KAAK,CAAC,EAAE;QAAE,UAAU,EAAE,MAAM,CAAC;QAAC,QAAQ,EAAE,MAAM,CAAA;KAAE,CAAC;CAClD;AAED;;;GAGG;AACH,MAAM,MAAM,WAAW,GAAG,OAAO,CAAC,MAAM,MAAM,EAAE,YAAY,GAAG,YAAY,GAAG,eAAe,CAAC,CAAC;AAE/F;;;GAGG;AACH,MAAM,WAAW,qBAAqB,CAAC,CAAC,SAAS,WAAW,GAAG,WAAW;IACxE,iBAAiB,EAAE,MAAM,CAAC;IAC1B,MAAM,EAAE,CAAC,EAAE,CAAC;IACZ,wBAAwB,CAAC,EAAE,MAAM,CAAC;CACnC;AAED;;;GAGG;AACH,MAAM,WAAW,yBAAyB;IACxC,WAAW,EAAE,MAAM,EAAE,CAAC;IACtB,MAAM,EAAE,WAAW,EAAE,CAAC;CACvB;AACD;;;;;;;;;;;;;;;;;;;GAmBG;AACH,MAAM,MAAM,kBAAkB,CAAC,CAAC,SAAS,WAAW,GAAG,WAAW,IAAI,MAAM,CAC1E,MAAM,EACN,OAAO,CAAC,MAAM,CAAC,CAAC,EAAE,CAAC,KAAK,EAAE,MAAM,EAAE,UAAU,EAAE,MAAM,CAAC,CAAC,CAAC,CACxD,CAAC"}
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}
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"name": "@yuants/exchange",
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"version": "0.8.12",
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"main": "lib/index.js",
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"module": "dist/index.js",
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"@microsoft/api-extractor": "~7.55.2",
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"@rushstack/heft": "~1.1.7",
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"@rushstack/heft-jest-plugin": "~1.1.7",
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"@rushstack/heft-node-rig": "~2.11.12",
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"@types/heft-jest": "1.0.6",
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+
"@types/json-schema": "~7.0.11",
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+
"@types/node": "24",
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+
"typescript": "~5.9.3",
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"@yuants/tool-kit": "0.2.2"
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+
},
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"dependencies": {
|
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"rxjs": "~7.5.6",
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"@yuants/protocol": "0.54.1",
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"@yuants/data-account": "0.11.8",
|
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"@yuants/data-product": "0.5.9",
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"@yuants/data-quote": "0.4.8",
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"@yuants/data-order": "0.7.9",
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"@yuants/data-ohlc": "0.6.4",
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"@yuants/data-interest-rate": "0.2.8",
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"@yuants/cache": "0.3.12",
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"@yuants/sql": "0.9.39",
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"@yuants/utils": "0.19.4"
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},
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"scripts": {
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"build": "heft test --clean && api-extractor run --local --config ./config/api-extractor.json && yuan-toolkit post-build"
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}
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}
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