@yuants/exchange 0.8.12 → 0.8.13

package/lib/trade_history.js

@@ -0,0 +1,107 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.provideTradeHistoryService = void 0;
+const sql_1 = require("@yuants/sql");
+const computeInterestRatePageRange = (items) => {
+    if (items.length === 0)
+        return undefined;
+    let start = items[0];
+    let startMs = Date.parse(start.created_at);
+    let end = items[0];
+    let endMs = Date.parse(end.created_at);
+    for (const item of items) {
+        const createdAtMs = Date.parse(item.created_at);
+        if (!isNaN(createdAtMs) && (isNaN(startMs) || createdAtMs < startMs)) {
+            start = item;
+            startMs = createdAtMs;
+        }
+        if (!isNaN(createdAtMs) && (isNaN(endMs) || createdAtMs > endMs)) {
+            end = item;
+            endMs = createdAtMs;
+        }
+    }
+    return { start_time: start.created_at, end_time: end.created_at };
+};
+const TRADE_HISTORY_INSERT_COLUMNS = [
+    'id',
+    'product_id',
+    'account_id',
+    'direction',
+    'size',
+    'price',
+    'fee',
+    'fee_currency',
+    'pnl',
+    'created_at',
+];
+/**
+ * @public
+ */
+const provideTradeHistoryService = (terminal, metadata, fetchPage, serviceOptions) => {
+    return terminal.server.provideService('IngestTradeHistory', {
+        type: 'object',
+        required: ['account_id', 'direction', 'time', 'credential', 'trade_type'],
+        properties: {
+            account_id: { type: 'string', pattern: `^${metadata.type}` },
+            direction: { const: metadata.direction },
+            time: { type: 'number' },
+            trade_type: { type: 'string', enum: metadata.trade_type },
+            credential: {
+                type: 'object',
+                required: ['type', 'payload'],
+                properties: {
+                    type: { type: 'string', const: metadata.type },
+                    payload: { type: 'object' },
+                },
+            },
+        },
+    }, async (msg) => {
+        try {
+            const tradeHistory = await fetchPage(Object.assign({}, msg.req));
+            const range = computeInterestRatePageRange(tradeHistory);
+            // Atomic write: data rows + series_data_range in the same statement.
+            if (tradeHistory.length > 0 && range) {
+                const writeInterestRate = `${(0, sql_1.buildInsertManyIntoTableSQL)(tradeHistory, 'trade_history', {
+                    columns: TRADE_HISTORY_INSERT_COLUMNS,
+                    conflictKeys: ['id', 'account_id'],
+                })} RETURNING 1`;
+                const writeRange = `${(0, sql_1.buildInsertManyIntoTableSQL)([
+                    {
+                        series_id: msg.req.account_id,
+                        table_name: 'trade_history',
+                        start_time: range.start_time,
+                        end_time: range.end_time,
+                    },
+                ], 'series_data_range', {
+                    columns: ['series_id', 'table_name', 'start_time', 'end_time'],
+                    ignoreConflict: true,
+                })} RETURNING 1`;
+                await (0, sql_1.requestSQL)(terminal, `
+            WITH
+              write_trade_history AS (
+                ${writeInterestRate}
+              ),
+              write_range AS (
+                ${writeRange}
+              )
+            SELECT 1 as ok;
+            `);
+            }
+            else if (tradeHistory.length > 0) {
+                await (0, sql_1.requestSQL)(terminal, (0, sql_1.buildInsertManyIntoTableSQL)(tradeHistory, 'trade_history', {
+                    columns: TRADE_HISTORY_INSERT_COLUMNS,
+                    conflictKeys: ['id', 'account_id'],
+                }));
+            }
+            return {
+                res: { code: 0, message: 'OK', data: { wrote_count: tradeHistory.length, range } },
+            };
+        }
+        catch (error) {
+            const message = error instanceof Error ? error.message : `${error}`;
+            return { res: { code: 1, message } };
+        }
+    }, serviceOptions);
+};
+exports.provideTradeHistoryService = provideTradeHistoryService;
+//# sourceMappingURL=trade_history.js.map

package/lib/trade_history.js.map

@@ -0,0 +1 @@
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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\nconst TRADE_HISTORY_INSERT_COLUMNS: Array<keyof ITradeHistory> = [\n  'id',\n  'product_id',\n  'account_id',\n  'direction',\n  'size',\n  'price',\n  'fee',\n  'fee_currency',\n  'pnl',\n  'created_at',\n];\n\n/**\n * @public\n */\nexport const provideTradeHistoryService = (\n  terminal: Terminal,\n  metadata: { direction: string; type: string; trade_type: string[] },\n  fetchPage: (request: IIngestInterestLedgerRequest) => Promise<ITradeHistory[]>,\n  serviceOptions?: IServiceOptions,\n) => {\n  return terminal.server.provideService<IIngestInterestLedgerRequest, ISeriesIngestResult>(\n    'IngestTradeHistory',\n    {\n      type: 'object',\n      required: ['account_id', 'direction', 'time', 'credential', 'trade_type'],\n      properties: {\n        account_id: { type: 'string', pattern: `^${metadata.type}` },\n        direction: { const: metadata.direction },\n        time: { type: 'number' },\n        trade_type: { type: 'string', enum: metadata.trade_type },\n        credential: {\n          type: 'object',\n          required: ['type', 'payload'],\n          properties: {\n            type: { type: 'string', const: metadata.type },\n            payload: { type: 'object' },\n          },\n        },\n      },\n    },\n    async (msg) => {\n      try {\n        const tradeHistory = await fetchPage({ ...msg.req });\n        const range = computeInterestRatePageRange(tradeHistory);\n        // Atomic write: data rows + series_data_range in the same statement.\n        if (tradeHistory.length > 0 && range) {\n          const writeInterestRate = `${buildInsertManyIntoTableSQL(tradeHistory, 'trade_history', {\n            columns: TRADE_HISTORY_INSERT_COLUMNS,\n            conflictKeys: ['id', 'account_id'],\n          })} RETURNING 1`;\n\n          const writeRange = `${buildInsertManyIntoTableSQL(\n            [\n              {\n                series_id: msg.req.account_id,\n                table_name: 'trade_history',\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_trade_history AS (\n                ${writeInterestRate}\n              ),\n              write_range AS (\n                ${writeRange}\n              )\n            SELECT 1 as ok;\n            `,\n          );\n        } else if (tradeHistory.length > 0) {\n          await requestSQL(\n            terminal,\n            buildInsertManyIntoTableSQL(tradeHistory, 'trade_history', {\n              columns: TRADE_HISTORY_INSERT_COLUMNS,\n              conflictKeys: ['id', 'account_id'],\n            }),\n          );\n        }\n\n        return {\n          res: { code: 0, message: 'OK', data: { wrote_count: tradeHistory.length, range } },\n        };\n      } catch (error) {\n        const message = error instanceof Error ? error.message : `${error}`;\n        return { res: { code: 1, message } };\n      }\n    },\n    serviceOptions,\n  );\n};\n"]}

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "@yuants/exchange",
-  "version": "0.8.12",
+  "version": "0.8.13",
   "main": "lib/index.js",
   "module": "dist/index.js",
   "files": [
@@ -27,9 +27,10 @@
     "rxjs": "~7.5.6",
     "@yuants/protocol": "0.54.1",
     "@yuants/data-account": "0.11.8",
+    "@yuants/data-trade": "0.1.31",
     "@yuants/data-product": "0.5.9",
-    "@yuants/data-quote": "0.4.8",
     "@yuants/data-order": "0.7.9",
+    "@yuants/data-quote": "0.4.8",
     "@yuants/data-ohlc": "0.6.4",
     "@yuants/data-interest-rate": "0.2.8",
     "@yuants/cache": "0.3.12",