@yuants/exchange 0.8.6 → 0.8.7

This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
Files changed (7) hide show
  1. package/dist/ohlc.js +1 -2
  2. package/dist/ohlc.js.map +1 -1
  3. package/lib/ohlc.d.ts.map +1 -1
  4. package/lib/ohlc.js +2 -3
  5. package/lib/ohlc.js.map +1 -1
  6. package/package.json +11 -11
  7. package/temp/package-deps.json +14 -14
package/dist/ohlc.js CHANGED
@@ -1,8 +1,7 @@
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  import { encodeOHLCSeriesId } from '@yuants/data-ohlc';
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  import { createValidator } from '@yuants/protocol/lib/schema';
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  import { buildInsertManyIntoTableSQL, requestSQL } from '@yuants/sql';
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- import { formatTime } from '@yuants/utils';
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- import { newError } from '../../utils/lib';
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+ import { formatTime, newError } from '@yuants/utils';
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  const schemaValidator = createValidator({
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  type: 'object',
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  required: ['type', 'properties'],
package/dist/ohlc.js.map CHANGED
@@ -1 +1 @@
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- 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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 } 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 '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"]}
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/ohlc.d.ts.map CHANGED
@@ -1 +1 @@
1
- {"version":3,"file":"ohlc.d.ts","sourceRoot":"","sources":["../src/ohlc.ts"],"names":[],"mappings":"AAAA,OAAO,EAAsB,KAAK,EAAE,MAAM,mBAAmB,CAAC;AAC9D,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;AA0CF;;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;;CAgGjC,CAAC"}
1
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package/lib/ohlc.js CHANGED
@@ -5,7 +5,6 @@ const data_ohlc_1 = require("@yuants/data-ohlc");
5
5
  const schema_1 = require("@yuants/protocol/lib/schema");
6
6
  const sql_1 = require("@yuants/sql");
7
7
  const utils_1 = require("@yuants/utils");
8
- const lib_1 = require("../../utils/lib");
9
8
  const schemaValidator = (0, schema_1.createValidator)({
10
9
  type: 'object',
11
10
  required: ['type', 'properties'],
@@ -55,9 +54,9 @@ const schemaValidator = (0, schema_1.createValidator)({
55
54
  */
56
55
  const parseOHLCServiceMetadataFromSchema = (schema) => {
57
56
  if (!schema)
58
- throw (0, lib_1.newError)('OHLC_SERVICE_SCHEMA_MISSING', { schema });
57
+ throw (0, utils_1.newError)('OHLC_SERVICE_SCHEMA_MISSING', { schema });
59
58
  if (!schemaValidator(schema))
60
- throw (0, lib_1.newError)('OHLC_SERVICE_SCHEMA_INVALID', { schema });
59
+ throw (0, utils_1.newError)('OHLC_SERVICE_SCHEMA_INVALID', { schema });
61
60
  return {
62
61
  product_id_prefix: schema.properties.product_id.pattern.slice(1),
63
62
  duration_list: schema.properties.duration.enum,
package/lib/ohlc.js.map CHANGED
@@ -1 +1 @@
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 } 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 '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"]}
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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/package.json CHANGED
@@ -1,6 +1,6 @@
1
1
  {
2
2
  "name": "@yuants/exchange",
3
- "version": "0.8.6",
3
+ "version": "0.8.7",
4
4
  "main": "lib/index.js",
5
5
  "module": "dist/index.js",
6
6
  "files": [
@@ -24,16 +24,16 @@
24
24
  "typescript": "~4.7.4"
25
25
  },
26
26
  "dependencies": {
27
- "@yuants/protocol": "0.53.7",
28
- "@yuants/data-account": "0.11.4",
29
- "@yuants/data-order": "0.7.5",
30
- "@yuants/data-product": "0.5.5",
31
- "@yuants/data-quote": "0.4.4",
32
- "@yuants/data-ohlc": "0.6.0",
33
- "@yuants/data-interest-rate": "0.2.3",
34
- "@yuants/cache": "0.3.8",
35
- "@yuants/sql": "0.9.35",
36
- "@yuants/utils": "0.19.0",
27
+ "@yuants/protocol": "0.53.8",
28
+ "@yuants/data-account": "0.11.5",
29
+ "@yuants/data-order": "0.7.6",
30
+ "@yuants/data-product": "0.5.6",
31
+ "@yuants/data-quote": "0.4.5",
32
+ "@yuants/data-ohlc": "0.6.1",
33
+ "@yuants/data-interest-rate": "0.2.4",
34
+ "@yuants/cache": "0.3.9",
35
+ "@yuants/sql": "0.9.36",
36
+ "@yuants/utils": "0.19.1",
37
37
  "rxjs": "~7.5.6"
38
38
  },
39
39
  "scripts": {
package/temp/package-deps.json CHANGED
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11
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12
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  "libraries/exchange/src/interest_rate.ts": "f8eb61acc74cb16f30c98ecd382b877eb74f49f3",
13
13
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+ "libraries/exchange/src/ohlc.ts": "32d5dbcdcac255a043a93bb62cdec955ac5b01bd",
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- "libraries/sql/temp/package-deps.json": "35ac4d78347c54d6c247d31dd77a1d88cfaed20f",
29
- "libraries/utils/temp/package-deps.json": "ae24e0f28d8238425131202aa7e46e2fc6ba3ae2",
20
+ "libraries/protocol/temp/package-deps.json": "9da9005e6641248a130efd59cf3ecab59d38e439",
21
+ "libraries/data-account/temp/package-deps.json": "6c5c8d1a8978440a24088a8021ec8697e4f4f533",
22
+ "libraries/data-order/temp/package-deps.json": "99ffcda59f57c8df7335e0da889207f9fa5149db",
23
+ "libraries/data-product/temp/package-deps.json": "0e718a91c692c06681edd341b9abda24291f26a4",
24
+ "libraries/data-quote/temp/package-deps.json": "4b35a4ebec8793ed9b9f588fe1b2183866f4cfe6",
25
+ "libraries/data-ohlc/temp/package-deps.json": "7e7ac0f11ff026349ec065b464b26c2fa4947f74",
26
+ "libraries/data-interest-rate/temp/package-deps.json": "c76d04d57e4e37087103a33b9e2a1a9f3e1153aa",
27
+ "libraries/cache/temp/package-deps.json": "732005efe94c5ec2f26dcf7431bda6302f293a26",
28
+ "libraries/sql/temp/package-deps.json": "112e0f523cf3c672518f9cb970dc0e546a055e5d",
29
+ "libraries/utils/temp/package-deps.json": "b5a9a3b10eb5327f65beb5f032945a3a319ceb8a",
30
30
  "tools/toolkit/temp/package-deps.json": "23e053490eb8feade23e4d45de4e54883e322711"
31
31
  }