@yuants/vendor-aster 0.7.16 → 0.7.18
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/api/public-api.js.map +1 -1
- package/dist/services/markets/quote.js +52 -5
- package/dist/services/markets/quote.js.map +1 -1
- package/lib/api/public-api.d.ts +16 -8
- package/lib/api/public-api.d.ts.map +1 -1
- package/lib/api/public-api.js.map +1 -1
- package/lib/services/markets/quote.js +50 -3
- package/lib/services/markets/quote.js.map +1 -1
- package/package.json +2 -2
- package/temp/package-deps.json +7 -7
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{"version":3,"file":"public-api.js","sourceRoot":"","sources":["../../src/api/public-api.ts"],"names":[],"mappings":"AAAA,MAAM,QAAQ,GAAG,2BAA2B,CAAC;AAC7C,OAAO,EAAE,wBAAwB,EAAE,QAAQ,EAAE,MAAM,kBAAkB,CAAC;AAEtE,MAAM,0BAA0B,GAAG,wBAAwB,CAAC,OAAO,CACjE,gBAAgB,EAChB,0BAA0B,CAC3B,CAAC;AACF,MAAM,QAAQ,GAAG,QAAQ,CAAC,WAAW,EAAE,CAAC;AACxC,MAAM,OAAO,GAAG,KAAK,EAAK,MAAc,EAAE,QAAgB,EAAE,SAAc,EAAE,EAAc,EAAE;IAC1F,MAAM,GAAG,GAAG,IAAI,GAAG,CAAC,QAAQ,CAAC,CAAC;IAC9B,GAAG,CAAC,QAAQ,GAAG,QAAQ,CAAC;IACxB,KAAK,MAAM,CAAC,GAAG,EAAE,KAAK,CAAC,IAAI,MAAM,CAAC,OAAO,CAAC,MAAM,CAAC,EAAE;QACjD,IAAI,KAAK,KAAK,SAAS;YAAE,SAAS;QAClC,GAAG,CAAC,YAAY,CAAC,GAAG,CAAC,GAAG,EAAE,GAAG,KAAK,EAAE,CAAC,CAAC;KACvC;IAED,OAAO,CAAC,IAAI,CAAC,GAAG,CAAC,QAAQ,EAAE,CAAC,CAAC;IAC7B,0BAA0B,CAAC,MAAM,CAAC,EAAE,IAAI,EAAE,GAAG,CAAC,QAAQ,EAAE,WAAW,EAAE,QAAQ,CAAC,WAAW,EAAE,CAAC,CAAC,GAAG,EAAE,CAAC;IACnG,MAAM,GAAG,GAAG,MAAM,KAAK,CAAC,GAAG,CAAC,QAAQ,EAAE,EAAE;QACtC,MAAM;KACP,CAAC,CAAC,IAAI,CAAC,CAAC,QAAQ,EAAE,EAAE,CAAC,QAAQ,CAAC,IAAI,EAAE,CAAC,CAAC;IACvC,IAAI,GAAG,CAAC,IAAI,IAAI,GAAG,CAAC,IAAI,KAAK,CAAC,EAAE;QAC9B,MAAM,IAAI,CAAC,SAAS,CAAC,GAAG,CAAC,CAAC;KAC3B;IACD,OAAO,GAAG,CAAC;AACb,CAAC,CAAC;AAEF,MAAM,SAAS,GACb,CAAa,MAAc,EAAE,QAAgB,EAAE,EAAE,CACjD,CAAC,MAAY,EAAE,EAAE,CACf,OAAO,CAAO,MAAM,EAAE,QAAQ,EAAE,MAAM,CAAC,CAAC;AAE5C;;;;GAIG;AACH,MAAM,CAAC,MAAM,oBAAoB,GAAG,SAAS,CAY3C,KAAK,EAAE,sBAAsB,CAAC,CAAC;
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{"version":3,"file":"public-api.js","sourceRoot":"","sources":["../../src/api/public-api.ts"],"names":[],"mappings":"AAAA,MAAM,QAAQ,GAAG,2BAA2B,CAAC;AAC7C,OAAO,EAAE,wBAAwB,EAAE,QAAQ,EAAE,MAAM,kBAAkB,CAAC;AAEtE,MAAM,0BAA0B,GAAG,wBAAwB,CAAC,OAAO,CACjE,gBAAgB,EAChB,0BAA0B,CAC3B,CAAC;AACF,MAAM,QAAQ,GAAG,QAAQ,CAAC,WAAW,EAAE,CAAC;AACxC,MAAM,OAAO,GAAG,KAAK,EAAK,MAAc,EAAE,QAAgB,EAAE,SAAc,EAAE,EAAc,EAAE;IAC1F,MAAM,GAAG,GAAG,IAAI,GAAG,CAAC,QAAQ,CAAC,CAAC;IAC9B,GAAG,CAAC,QAAQ,GAAG,QAAQ,CAAC;IACxB,KAAK,MAAM,CAAC,GAAG,EAAE,KAAK,CAAC,IAAI,MAAM,CAAC,OAAO,CAAC,MAAM,CAAC,EAAE;QACjD,IAAI,KAAK,KAAK,SAAS;YAAE,SAAS;QAClC,GAAG,CAAC,YAAY,CAAC,GAAG,CAAC,GAAG,EAAE,GAAG,KAAK,EAAE,CAAC,CAAC;KACvC;IAED,OAAO,CAAC,IAAI,CAAC,GAAG,CAAC,QAAQ,EAAE,CAAC,CAAC;IAC7B,0BAA0B,CAAC,MAAM,CAAC,EAAE,IAAI,EAAE,GAAG,CAAC,QAAQ,EAAE,WAAW,EAAE,QAAQ,CAAC,WAAW,EAAE,CAAC,CAAC,GAAG,EAAE,CAAC;IACnG,MAAM,GAAG,GAAG,MAAM,KAAK,CAAC,GAAG,CAAC,QAAQ,EAAE,EAAE;QACtC,MAAM;KACP,CAAC,CAAC,IAAI,CAAC,CAAC,QAAQ,EAAE,EAAE,CAAC,QAAQ,CAAC,IAAI,EAAE,CAAC,CAAC;IACvC,IAAI,GAAG,CAAC,IAAI,IAAI,GAAG,CAAC,IAAI,KAAK,CAAC,EAAE;QAC9B,MAAM,IAAI,CAAC,SAAS,CAAC,GAAG,CAAC,CAAC;KAC3B;IACD,OAAO,GAAG,CAAC;AACb,CAAC,CAAC;AAEF,MAAM,SAAS,GACb,CAAa,MAAc,EAAE,QAAgB,EAAE,EAAE,CACjD,CAAC,MAAY,EAAE,EAAE,CACf,OAAO,CAAO,MAAM,EAAE,QAAQ,EAAE,MAAM,CAAC,CAAC;AAE5C;;;;GAIG;AACH,MAAM,CAAC,MAAM,oBAAoB,GAAG,SAAS,CAY3C,KAAK,EAAE,sBAAsB,CAAC,CAAC;AA2BjC;;;;GAIG;AACH,MAAM,CAAC,MAAM,qBAAqB,GAAG,SAAS,CAAyB,KAAK,EAAE,uBAAuB,CAAC,CAAC;AAEvG;;;;GAIG;AACH,MAAM,CAAC,MAAM,qBAAqB,GAAG,SAAS,CAS5C,KAAK,EAAE,uBAAuB,CAAC,CAAC;AAElC;;;;GAIG;AACH,MAAM,CAAC,MAAM,oBAAoB,GAAG,SAAS,CAO3C,KAAK,EAAE,uBAAuB,CAAC,CAAC","sourcesContent":["const BASE_URL = 'https://fapi.asterdex.com';\nimport { GlobalPrometheusRegistry, Terminal } from '@yuants/protocol';\n\nconst MetricsAsterApiCallCounter = GlobalPrometheusRegistry.counter(\n 'aster_api_call',\n 'Number of aster api call',\n);\nconst terminal = Terminal.fromNodeEnv();\nconst request = async <T>(method: string, endpoint: string, params: any = {}): Promise<T> => {\n const url = new URL(BASE_URL);\n url.pathname = endpoint;\n for (const [key, value] of Object.entries(params)) {\n if (value === undefined) continue;\n url.searchParams.set(key, `${value}`);\n }\n\n console.info(url.toString());\n MetricsAsterApiCallCounter.labels({ path: url.pathname, terminal_id: terminal.terminal_id }).inc();\n const res = await fetch(url.toString(), {\n method,\n }).then((response) => response.json());\n if (res.code && res.code !== 0) {\n throw JSON.stringify(res);\n }\n return res;\n};\n\nconst createApi =\n <TReq, TRes>(method: string, endpoint: string) =>\n (params: TReq) =>\n request<TRes>(method, endpoint, params);\n\n/**\n * 获取资金费率历史\n *\n * https://github.com/asterdex/api-docs/blob/master/aster-finance-futures-api_CN.md#%E6%9F%A5%E8%AF%A2%E8%B5%84%E9%87%91%E8%B4%B9%E7%8E%87%E5%8E%86%E5%8F%B2\n */\nexport const getFApiV1FundingRate = createApi<\n {\n symbol?: string;\n startTime?: number;\n endTime?: number;\n limit?: number;\n },\n {\n symbol: string;\n fundingRate: string;\n fundingTime: number;\n }[]\n>('GET', '/fapi/v1/fundingRate');\n\nexport interface IAsterRateLimit {\n rateLimitType?: string;\n interval?: string;\n intervalNum?: number;\n limit?: number;\n}\n\nexport interface IAsterExchangeInfo {\n symbols: {\n symbol: string;\n status: 'TRADING' | 'BREAK' | 'HALT';\n baseAsset: string;\n quoteAsset: string;\n pricePrecision: number;\n quantityPrecision: number;\n baseAssetPrecision: number;\n quotePrecision: number;\n filters: {\n filterType: string;\n [key: string]: any;\n }[];\n }[];\n rateLimits?: IAsterRateLimit[];\n}\n\n/**\n * 获取交易对信息\n *\n * https://github.com/asterdex/api-docs/blob/master/aster-finance-futures-api_CN.md#%E4%BA%A4%E6%98%93%E5%AF%B9%E4%BF%A1%E6%81%AF\n */\nexport const getFApiV1ExchangeInfo = createApi<{}, IAsterExchangeInfo>('GET', '/fapi/v1/exchangeInfo');\n\n/**\n * 获取未平仓合约数量\n *\n * 无 API 文档 (weird)\n */\nexport const getFApiV1OpenInterest = createApi<\n {\n symbol: string;\n },\n {\n symbol: string;\n openInterest: string;\n time: number;\n }\n>('GET', '/fapi/v1/openInterest');\n\n/**\n * 获取最新价格\n *\n * https://github.com/asterdex/api-docs/blob/master/aster-finance-futures-api_CN.md#%E6%9C%80%E6%96%B0%E4%BB%B7%E6%A0%BC\n */\nexport const getFApiV1TickerPrice = createApi<\n {},\n {\n symbol: string;\n price: string;\n time?: number;\n }[]\n>('GET', '/fapi/v1/ticker/price');\n"]}
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@@ -2,10 +2,40 @@ import { createCache } from '@yuants/cache';
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import { Terminal } from '@yuants/protocol';
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import { writeToSQL } from '@yuants/sql';
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import { decodePath, encodePath } from '@yuants/utils';
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import { defer, filter, map, mergeMap, repeat, retry, shareReplay } from 'rxjs';
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import { getFApiV1OpenInterest, getFApiV1TickerPrice } from '../../api/public-api';
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import { catchError, combineLatest, concatMap, defer, filter, from, groupBy, map, merge, mergeMap, of, repeat, retry, scan, shareReplay, startWith, timer, } from 'rxjs';
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import { getFApiV1ExchangeInfo, getFApiV1OpenInterest, getFApiV1TickerPrice, } from '../../api/public-api';
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const terminal = Terminal.fromNodeEnv();
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const DEFAULT_OPEN_INTEREST_REQUEST_INTERVAL_MS = 500;
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const OPEN_INTEREST_TTL = process.env.OPEN_INTEREST_TTL ? Number(process.env.OPEN_INTEREST_TTL) : 120000;
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const toIntervalMs = (interval, intervalNum) => {
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switch (interval) {
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case 'SECOND':
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return (intervalNum !== null && intervalNum !== void 0 ? intervalNum : 1) * 1000;
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case 'MINUTE':
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return (intervalNum !== null && intervalNum !== void 0 ? intervalNum : 1) * 60000;
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case 'HOUR':
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return (intervalNum !== null && intervalNum !== void 0 ? intervalNum : 1) * 3600000;
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case 'DAY':
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return (intervalNum !== null && intervalNum !== void 0 ? intervalNum : 1) * 86400000;
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default:
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return undefined;
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}
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};
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const getRequestIntervalMs = (rateLimits, fallbackMs) => {
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const intervals = [];
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for (const item of rateLimits !== null && rateLimits !== void 0 ? rateLimits : []) {
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if (item.rateLimitType !== 'REQUEST_WEIGHT' && item.rateLimitType !== 'RAW_REQUESTS')
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continue;
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const duration = toIntervalMs(item.interval, item.intervalNum);
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const limit = item.limit;
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if (duration == null || limit == null || limit <= 0)
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continue;
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intervals.push(Math.ceil(duration / limit));
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}
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if (!intervals.length)
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return fallbackMs;
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return Math.max(fallbackMs, Math.max(...intervals));
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};
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const openInterestCache = createCache(async (symbol) => {
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try {
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const data = await getFApiV1OpenInterest({ symbol });
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@@ -16,7 +46,12 @@ const openInterestCache = createCache(async (symbol) => {
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return undefined;
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}
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}, { expire: OPEN_INTEREST_TTL });
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const
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const requestInterval$ = defer(() => getFApiV1ExchangeInfo({})).pipe(map((info) => getRequestIntervalMs(info.rateLimits, DEFAULT_OPEN_INTEREST_REQUEST_INTERVAL_MS)), catchError((err) => {
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console.warn('getFApiV1ExchangeInfo failed when calculating request interval', err);
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return of(DEFAULT_OPEN_INTEREST_REQUEST_INTERVAL_MS);
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}), startWith(DEFAULT_OPEN_INTEREST_REQUEST_INTERVAL_MS), retry({ delay: 60000 }), shareReplay({ bufferSize: 1, refCount: true }));
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const ticker$ = defer(() => getFApiV1TickerPrice({})).pipe(map((tickers) => (Array.isArray(tickers) ? tickers : [])), repeat({ delay: 1000 }), retry({ delay: 5000 }), shareReplay({ bufferSize: 1, refCount: true }));
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const quoteFromTicker$ = ticker$.pipe(mergeMap((tickers) => tickers || []), map((ticker) => {
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var _a;
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return ({
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datasource_id: 'ASTER',
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@@ -24,10 +59,22 @@ const quote$ = defer(() => getFApiV1TickerPrice({})).pipe(mergeMap((tickers) =>
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last_price: `${ticker.price}`,
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bid_price: `${ticker.price}`,
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ask_price: `${ticker.price}`,
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open_interest: '0',
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updated_at: new Date((_a = ticker.time) !== null && _a !== void 0 ? _a : Date.now()).toISOString(),
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});
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})
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}));
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const quoteFromOpenInterest$ = combineLatest([ticker$, requestInterval$]).pipe(mergeMap(([tickers, requestInterval]) => from(tickers).pipe(concatMap((ticker, index) => (index > 0 ? timer(requestInterval) : of(0)).pipe(mergeMap(() => from(openInterestCache.query(ticker.symbol))), map((openInterest) => {
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var _a;
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return ({
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datasource_id: 'ASTER',
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product_id: encodePath('ASTER', 'PERP', ticker.symbol),
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open_interest: `${openInterest !== null && openInterest !== void 0 ? openInterest : 0}`,
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updated_at: new Date((_a = ticker.time) !== null && _a !== void 0 ? _a : Date.now()).toISOString(),
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});
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}))))));
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const quote$ = merge(quoteFromTicker$, quoteFromOpenInterest$).pipe(groupBy((quote) => quote.product_id), mergeMap((group$) => group$.pipe(scan((acc, cur) => Object.assign(acc, cur, {
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datasource_id: 'ASTER',
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product_id: group$.key,
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}), {}))), shareReplay({ bufferSize: 1, refCount: true }));
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if (process.env.WRITE_QUOTE_TO_SQL === 'true') {
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quote$
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.pipe(writeToSQL({
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-
{"version":3,"file":"quote.js","sourceRoot":"","sources":["../../../src/services/markets/quote.ts"],"names":[],"mappings":"AAAA,OAAO,EAAE,WAAW,EAAE,MAAM,eAAe,CAAC;AAE5C,OAAO,EAAE,QAAQ,EAAE,MAAM,kBAAkB,CAAC;AAC5C,OAAO,EAAE,UAAU,EAAE,MAAM,aAAa,CAAC;AACzC,OAAO,EAAE,UAAU,EAAE,UAAU,EAAE,MAAM,eAAe,CAAC;AACvD,OAAO,EAAE,KAAK,EAAE,MAAM,EAAQ,GAAG,EAAE,QAAQ,EAAE,MAAM,EAAE,KAAK,EAAE,WAAW,EAAE,MAAM,MAAM,CAAC;AACtF,OAAO,EAAE,qBAAqB,EAAE,oBAAoB,EAAE,MAAM,sBAAsB,CAAC;AAEnF,MAAM,QAAQ,GAAG,QAAQ,CAAC,WAAW,EAAE,CAAC;AACxC,MAAM,iBAAiB,GAAG,OAAO,CAAC,GAAG,CAAC,iBAAiB,CAAC,CAAC,CAAC,MAAM,CAAC,OAAO,CAAC,GAAG,CAAC,iBAAiB,CAAC,CAAC,CAAC,CAAC,MAAO,CAAC;AAE1G,MAAM,iBAAiB,GAAG,WAAW,CACnC,KAAK,EAAE,MAAc,EAAE,EAAE;IACvB,IAAI;QACF,MAAM,IAAI,GAAG,MAAM,qBAAqB,CAAC,EAAE,MAAM,EAAE,CAAC,CAAC;QACrD,OAAO,IAAI,CAAC,YAAY,CAAC;KAC1B;IAAC,OAAO,KAAK,EAAE;QACd,OAAO,CAAC,IAAI,CAAC,8BAA8B,EAAE,MAAM,EAAE,KAAK,CAAC,CAAC;QAC5D,OAAO,SAAS,CAAC;KAClB;AACH,CAAC,EACD,EAAE,MAAM,EAAE,iBAAiB,EAAE,CAC9B,CAAC;AAEF,MAAM,MAAM,GAAG,KAAK,CAAC,GAAG,EAAE,CAAC,oBAAoB,CAAC,EAAE,CAAC,CAAC,CAAC,IAAI,CACvD,QAAQ,CAAC,CAAC,OAAO,EAAE,EAAE,CAAC,OAAO,IAAI,EAAE,CAAC,EACpC,GAAG,CACD,CAAC,MAAM,EAAmB,EAAE;;IAAC,OAAA,CAAC;QAC5B,aAAa,EAAE,OAAO;QACtB,UAAU,EAAE,UAAU,CAAC,OAAO,EAAE,MAAM,EAAE,MAAM,CAAC,MAAM,CAAC;QACtD,UAAU,EAAE,GAAG,MAAM,CAAC,KAAK,EAAE;QAC7B,SAAS,EAAE,GAAG,MAAM,CAAC,KAAK,EAAE;QAC5B,SAAS,EAAE,GAAG,MAAM,CAAC,KAAK,EAAE;QAC5B,aAAa,EAAE,GAAG;QAClB,UAAU,EAAE,IAAI,IAAI,CAAC,MAAA,MAAM,CAAC,IAAI,mCAAI,IAAI,CAAC,GAAG,EAAE,CAAC,CAAC,WAAW,EAAE;KAC9D,CAAC,CAAA;CAAA,CACH,EACD,MAAM,CAAC,EAAE,KAAK,EAAE,IAAI,EAAE,CAAC,EACvB,KAAK,CAAC,EAAE,KAAK,EAAE,IAAI,EAAE,CAAC,EACtB,WAAW,CAAC,EAAE,UAAU,EAAE,CAAC,EAAE,QAAQ,EAAE,IAAI,EAAE,CAAC,CAC/C,CAAC;AAEF,IAAI,OAAO,CAAC,GAAG,CAAC,kBAAkB,KAAK,MAAM,EAAE;IAC7C,MAAM;SACH,IAAI,CACH,UAAU,CAAC;QACT,QAAQ;QACR,SAAS,EAAE,OAAO;QAClB,aAAa,EAAE,IAAI;QACnB,YAAY,EAAE,CAAC,eAAe,EAAE,YAAY,CAAC;KAC9C,CAAC,CACH;SACA,SAAS,EAAE,CAAC;IAEf,QAAQ,CAAC,OAAO,CAAC,cAAc,CAAC,OAAO,EAAE,EAAE,OAAO,EAAE,SAAS,EAAE,EAAE,CAAC,UAAU,EAAE,EAAE;QAC9E,MAAM,CAAC,YAAY,EAAE,SAAS,CAAC,GAAG,UAAU,CAAC,UAAU,CAAC,CAAC;QACzD,IAAI,CAAC,YAAY,IAAI,CAAC,SAAS,EAAE;YAC/B,MAAM,IAAI,KAAK,CAAC,uBAAuB,UAAU,EAAE,CAAC,CAAC;SACtD;QACD,OAAO,MAAM,CAAC,IAAI,CAAC,MAAM,CAAC,CAAC,KAAK,EAAE,EAAE,CAAC,KAAK,CAAC,UAAU,KAAK,SAAS,CAAC,CAAC,CAAC;IACxE,CAAC,CAAC,CAAC;CACJ","sourcesContent":["import { createCache } from '@yuants/cache';\nimport type { IQuote } from '@yuants/data-quote';\nimport { Terminal } from '@yuants/protocol';\nimport { writeToSQL } from '@yuants/sql';\nimport { decodePath, encodePath } from '@yuants/utils';\nimport { defer, filter, from, map, mergeMap, repeat, retry, shareReplay } from 'rxjs';\nimport { getFApiV1OpenInterest, getFApiV1TickerPrice } from '../../api/public-api';\n\nconst terminal = Terminal.fromNodeEnv();\nconst OPEN_INTEREST_TTL = process.env.OPEN_INTEREST_TTL ? Number(process.env.OPEN_INTEREST_TTL) : 120_000;\n\nconst openInterestCache = createCache<string>(\n async (symbol: string) => {\n try {\n const data = await getFApiV1OpenInterest({ symbol });\n return data.openInterest;\n } catch (error) {\n console.warn('getFApiV1OpenInterest failed', symbol, error);\n return undefined;\n }\n },\n { expire: OPEN_INTEREST_TTL },\n);\n\nconst quote$ = defer(() => getFApiV1TickerPrice({})).pipe(\n mergeMap((tickers) => tickers || []),\n map(\n (ticker): Partial<IQuote> => ({\n datasource_id: 'ASTER',\n product_id: encodePath('ASTER', 'PERP', ticker.symbol),\n last_price: `${ticker.price}`,\n bid_price: `${ticker.price}`,\n ask_price: `${ticker.price}`,\n open_interest: '0',\n updated_at: new Date(ticker.time ?? Date.now()).toISOString(),\n }),\n ),\n repeat({ delay: 1000 }),\n retry({ delay: 5000 }),\n shareReplay({ bufferSize: 1, refCount: true }),\n);\n\nif (process.env.WRITE_QUOTE_TO_SQL === 'true') {\n quote$\n .pipe(\n writeToSQL({\n terminal,\n tableName: 'quote',\n writeInterval: 1000,\n conflictKeys: ['datasource_id', 'product_id'],\n }),\n )\n .subscribe();\n\n terminal.channel.publishChannel('quote', { pattern: '^ASTER/' }, (channel_id) => {\n const [datasourceId, productId] = decodePath(channel_id);\n if (!datasourceId || !productId) {\n throw new Error(`Invalid channel_id: ${channel_id}`);\n }\n return quote$.pipe(filter((quote) => quote.product_id === productId));\n });\n}\n"]}
|
|
1
|
+
{"version":3,"file":"quote.js","sourceRoot":"","sources":["../../../src/services/markets/quote.ts"],"names":[],"mappings":"AAAA,OAAO,EAAE,WAAW,EAAE,MAAM,eAAe,CAAC;AAE5C,OAAO,EAAE,QAAQ,EAAE,MAAM,kBAAkB,CAAC;AAC5C,OAAO,EAAE,UAAU,EAAE,MAAM,aAAa,CAAC;AACzC,OAAO,EAAE,UAAU,EAAE,UAAU,EAAE,MAAM,eAAe,CAAC;AACvD,OAAO,EACL,UAAU,EACV,aAAa,EACb,SAAS,EACT,KAAK,EACL,MAAM,EACN,IAAI,EACJ,OAAO,EACP,GAAG,EACH,KAAK,EACL,QAAQ,EACR,EAAE,EACF,MAAM,EACN,KAAK,EACL,IAAI,EACJ,WAAW,EACX,SAAS,EACT,KAAK,GACN,MAAM,MAAM,CAAC;AACd,OAAO,EACL,qBAAqB,EACrB,qBAAqB,EACrB,oBAAoB,GAErB,MAAM,sBAAsB,CAAC;AAE9B,MAAM,QAAQ,GAAG,QAAQ,CAAC,WAAW,EAAE,CAAC;AACxC,MAAM,yCAAyC,GAAG,GAAG,CAAC;AACtD,MAAM,iBAAiB,GAAG,OAAO,CAAC,GAAG,CAAC,iBAAiB,CAAC,CAAC,CAAC,MAAM,CAAC,OAAO,CAAC,GAAG,CAAC,iBAAiB,CAAC,CAAC,CAAC,CAAC,MAAO,CAAC;AAE1G,MAAM,YAAY,GAAG,CAAC,QAAiB,EAAE,WAAoB,EAAE,EAAE;IAC/D,QAAQ,QAAQ,EAAE;QAChB,KAAK,QAAQ;YACX,OAAO,CAAC,WAAW,aAAX,WAAW,cAAX,WAAW,GAAI,CAAC,CAAC,GAAG,IAAK,CAAC;QACpC,KAAK,QAAQ;YACX,OAAO,CAAC,WAAW,aAAX,WAAW,cAAX,WAAW,GAAI,CAAC,CAAC,GAAG,KAAM,CAAC;QACrC,KAAK,MAAM;YACT,OAAO,CAAC,WAAW,aAAX,WAAW,cAAX,WAAW,GAAI,CAAC,CAAC,GAAG,OAAS,CAAC;QACxC,KAAK,KAAK;YACR,OAAO,CAAC,WAAW,aAAX,WAAW,cAAX,WAAW,GAAI,CAAC,CAAC,GAAG,QAAU,CAAC;QACzC;YACE,OAAO,SAAS,CAAC;KACpB;AACH,CAAC,CAAC;AAEF,MAAM,oBAAoB,GAAG,CAAC,UAAyC,EAAE,UAAkB,EAAE,EAAE;IAC7F,MAAM,SAAS,GAAa,EAAE,CAAC;IAC/B,KAAK,MAAM,IAAI,IAAI,UAAU,aAAV,UAAU,cAAV,UAAU,GAAI,EAAE,EAAE;QACnC,IAAI,IAAI,CAAC,aAAa,KAAK,gBAAgB,IAAI,IAAI,CAAC,aAAa,KAAK,cAAc;YAAE,SAAS;QAC/F,MAAM,QAAQ,GAAG,YAAY,CAAC,IAAI,CAAC,QAAQ,EAAE,IAAI,CAAC,WAAW,CAAC,CAAC;QAC/D,MAAM,KAAK,GAAG,IAAI,CAAC,KAAK,CAAC;QACzB,IAAI,QAAQ,IAAI,IAAI,IAAI,KAAK,IAAI,IAAI,IAAI,KAAK,IAAI,CAAC;YAAE,SAAS;QAC9D,SAAS,CAAC,IAAI,CAAC,IAAI,CAAC,IAAI,CAAC,QAAQ,GAAG,KAAK,CAAC,CAAC,CAAC;KAC7C;IACD,IAAI,CAAC,SAAS,CAAC,MAAM;QAAE,OAAO,UAAU,CAAC;IACzC,OAAO,IAAI,CAAC,GAAG,CAAC,UAAU,EAAE,IAAI,CAAC,GAAG,CAAC,GAAG,SAAS,CAAC,CAAC,CAAC;AACtD,CAAC,CAAC;AAEF,MAAM,iBAAiB,GAAG,WAAW,CACnC,KAAK,EAAE,MAAc,EAAE,EAAE;IACvB,IAAI;QACF,MAAM,IAAI,GAAG,MAAM,qBAAqB,CAAC,EAAE,MAAM,EAAE,CAAC,CAAC;QACrD,OAAO,IAAI,CAAC,YAAY,CAAC;KAC1B;IAAC,OAAO,KAAK,EAAE;QACd,OAAO,CAAC,IAAI,CAAC,8BAA8B,EAAE,MAAM,EAAE,KAAK,CAAC,CAAC;QAC5D,OAAO,SAAS,CAAC;KAClB;AACH,CAAC,EACD,EAAE,MAAM,EAAE,iBAAiB,EAAE,CAC9B,CAAC;AAEF,MAAM,gBAAgB,GAAG,KAAK,CAAC,GAAG,EAAE,CAAC,qBAAqB,CAAC,EAAE,CAAC,CAAC,CAAC,IAAI,CAClE,GAAG,CAAC,CAAC,IAAI,EAAE,EAAE,CAAC,oBAAoB,CAAC,IAAI,CAAC,UAAU,EAAE,yCAAyC,CAAC,CAAC,EAC/F,UAAU,CAAC,CAAC,GAAG,EAAE,EAAE;IACjB,OAAO,CAAC,IAAI,CAAC,gEAAgE,EAAE,GAAG,CAAC,CAAC;IACpF,OAAO,EAAE,CAAC,yCAAyC,CAAC,CAAC;AACvD,CAAC,CAAC,EACF,SAAS,CAAC,yCAAyC,CAAC,EACpD,KAAK,CAAC,EAAE,KAAK,EAAE,KAAM,EAAE,CAAC,EACxB,WAAW,CAAC,EAAE,UAAU,EAAE,CAAC,EAAE,QAAQ,EAAE,IAAI,EAAE,CAAC,CAC/C,CAAC;AAEF,MAAM,OAAO,GAAG,KAAK,CAAC,GAAG,EAAE,CAAC,oBAAoB,CAAC,EAAE,CAAC,CAAC,CAAC,IAAI,CACxD,GAAG,CAAC,CAAC,OAAO,EAAE,EAAE,CAAC,CAAC,KAAK,CAAC,OAAO,CAAC,OAAO,CAAC,CAAC,CAAC,CAAC,OAAO,CAAC,CAAC,CAAC,EAAE,CAAC,CAAC,EACzD,MAAM,CAAC,EAAE,KAAK,EAAE,IAAI,EAAE,CAAC,EACvB,KAAK,CAAC,EAAE,KAAK,EAAE,IAAI,EAAE,CAAC,EACtB,WAAW,CAAC,EAAE,UAAU,EAAE,CAAC,EAAE,QAAQ,EAAE,IAAI,EAAE,CAAC,CAC/C,CAAC;AAEF,MAAM,gBAAgB,GAAG,OAAO,CAAC,IAAI,CACnC,QAAQ,CAAC,CAAC,OAAO,EAAE,EAAE,CAAC,OAAO,IAAI,EAAE,CAAC,EACpC,GAAG,CACD,CAAC,MAAM,EAAmB,EAAE;;IAAC,OAAA,CAAC;QAC5B,aAAa,EAAE,OAAO;QACtB,UAAU,EAAE,UAAU,CAAC,OAAO,EAAE,MAAM,EAAE,MAAM,CAAC,MAAM,CAAC;QACtD,UAAU,EAAE,GAAG,MAAM,CAAC,KAAK,EAAE;QAC7B,SAAS,EAAE,GAAG,MAAM,CAAC,KAAK,EAAE;QAC5B,SAAS,EAAE,GAAG,MAAM,CAAC,KAAK,EAAE;QAC5B,UAAU,EAAE,IAAI,IAAI,CAAC,MAAA,MAAM,CAAC,IAAI,mCAAI,IAAI,CAAC,GAAG,EAAE,CAAC,CAAC,WAAW,EAAE;KAC9D,CAAC,CAAA;CAAA,CACH,CACF,CAAC;AAEF,MAAM,sBAAsB,GAAG,aAAa,CAAC,CAAC,OAAO,EAAE,gBAAgB,CAAC,CAAC,CAAC,IAAI,CAC5E,QAAQ,CAAC,CAAC,CAAC,OAAO,EAAE,eAAe,CAAC,EAAE,EAAE,CACtC,IAAI,CAAC,OAAO,CAAC,CAAC,IAAI,CAChB,SAAS,CAAC,CAAC,MAAM,EAAE,KAAK,EAAE,EAAE,CAC1B,CAAC,KAAK,GAAG,CAAC,CAAC,CAAC,CAAC,KAAK,CAAC,eAAe,CAAC,CAAC,CAAC,CAAC,EAAE,CAAC,CAAC,CAAC,CAAC,CAAC,IAAI,CAC/C,QAAQ,CAAC,GAAG,EAAE,CAAC,IAAI,CAAC,iBAAiB,CAAC,KAAK,CAAC,MAAM,CAAC,MAAM,CAAC,CAAC,CAAC,EAC5D,GAAG,CACD,CAAC,YAAY,EAAmB,EAAE;;IAAC,OAAA,CAAC;QAClC,aAAa,EAAE,OAAO;QACtB,UAAU,EAAE,UAAU,CAAC,OAAO,EAAE,MAAM,EAAE,MAAM,CAAC,MAAM,CAAC;QACtD,aAAa,EAAE,GAAG,YAAY,aAAZ,YAAY,cAAZ,YAAY,GAAI,CAAC,EAAE;QACrC,UAAU,EAAE,IAAI,IAAI,CAAC,MAAA,MAAM,CAAC,IAAI,mCAAI,IAAI,CAAC,GAAG,EAAE,CAAC,CAAC,WAAW,EAAE;KAC9D,CAAC,CAAA;CAAA,CACH,CACF,CACF,CACF,CACF,CACF,CAAC;AAEF,MAAM,MAAM,GAAG,KAAK,CAAC,gBAAgB,EAAE,sBAAsB,CAAC,CAAC,IAAI,CACjE,OAAO,CAAC,CAAC,KAAK,EAAE,EAAE,CAAC,KAAK,CAAC,UAAU,CAAC,EACpC,QAAQ,CAAC,CAAC,MAAM,EAAE,EAAE,CAClB,MAAM,CAAC,IAAI,CACT,IAAI,CACF,CAAC,GAAG,EAAE,GAAG,EAAE,EAAE,CACX,MAAM,CAAC,MAAM,CAAC,GAAG,EAAE,GAAG,EAAE;IACtB,aAAa,EAAE,OAAO;IACtB,UAAU,EAAE,MAAM,CAAC,GAAG;CACvB,CAAC,EACJ,EAAqB,CACtB,CACF,CACF,EACD,WAAW,CAAC,EAAE,UAAU,EAAE,CAAC,EAAE,QAAQ,EAAE,IAAI,EAAE,CAAC,CAC/C,CAAC;AAEF,IAAI,OAAO,CAAC,GAAG,CAAC,kBAAkB,KAAK,MAAM,EAAE;IAC7C,MAAM;SACH,IAAI,CACH,UAAU,CAAC;QACT,QAAQ;QACR,SAAS,EAAE,OAAO;QAClB,aAAa,EAAE,IAAI;QACnB,YAAY,EAAE,CAAC,eAAe,EAAE,YAAY,CAAC;KAC9C,CAAC,CACH;SACA,SAAS,EAAE,CAAC;IAEf,QAAQ,CAAC,OAAO,CAAC,cAAc,CAAC,OAAO,EAAE,EAAE,OAAO,EAAE,SAAS,EAAE,EAAE,CAAC,UAAU,EAAE,EAAE;QAC9E,MAAM,CAAC,YAAY,EAAE,SAAS,CAAC,GAAG,UAAU,CAAC,UAAU,CAAC,CAAC;QACzD,IAAI,CAAC,YAAY,IAAI,CAAC,SAAS,EAAE;YAC/B,MAAM,IAAI,KAAK,CAAC,uBAAuB,UAAU,EAAE,CAAC,CAAC;SACtD;QACD,OAAO,MAAM,CAAC,IAAI,CAAC,MAAM,CAAC,CAAC,KAAK,EAAE,EAAE,CAAC,KAAK,CAAC,UAAU,KAAK,SAAS,CAAC,CAAC,CAAC;IACxE,CAAC,CAAC,CAAC;CACJ","sourcesContent":["import { createCache } from '@yuants/cache';\nimport type { IQuote } from '@yuants/data-quote';\nimport { Terminal } from '@yuants/protocol';\nimport { writeToSQL } from '@yuants/sql';\nimport { decodePath, encodePath } from '@yuants/utils';\nimport {\n catchError,\n combineLatest,\n concatMap,\n defer,\n filter,\n from,\n groupBy,\n map,\n merge,\n mergeMap,\n of,\n repeat,\n retry,\n scan,\n shareReplay,\n startWith,\n timer,\n} from 'rxjs';\nimport {\n getFApiV1ExchangeInfo,\n getFApiV1OpenInterest,\n getFApiV1TickerPrice,\n IAsterRateLimit,\n} from '../../api/public-api';\n\nconst terminal = Terminal.fromNodeEnv();\nconst DEFAULT_OPEN_INTEREST_REQUEST_INTERVAL_MS = 500;\nconst OPEN_INTEREST_TTL = process.env.OPEN_INTEREST_TTL ? Number(process.env.OPEN_INTEREST_TTL) : 120_000;\n\nconst toIntervalMs = (interval?: string, intervalNum?: number) => {\n switch (interval) {\n case 'SECOND':\n return (intervalNum ?? 1) * 1_000;\n case 'MINUTE':\n return (intervalNum ?? 1) * 60_000;\n case 'HOUR':\n return (intervalNum ?? 1) * 3_600_000;\n case 'DAY':\n return (intervalNum ?? 1) * 86_400_000;\n default:\n return undefined;\n }\n};\n\nconst getRequestIntervalMs = (rateLimits: IAsterRateLimit[] | undefined, fallbackMs: number) => {\n const intervals: number[] = [];\n for (const item of rateLimits ?? []) {\n if (item.rateLimitType !== 'REQUEST_WEIGHT' && item.rateLimitType !== 'RAW_REQUESTS') continue;\n const duration = toIntervalMs(item.interval, item.intervalNum);\n const limit = item.limit;\n if (duration == null || limit == null || limit <= 0) continue;\n intervals.push(Math.ceil(duration / limit));\n }\n if (!intervals.length) return fallbackMs;\n return Math.max(fallbackMs, Math.max(...intervals));\n};\n\nconst openInterestCache = createCache<string>(\n async (symbol: string) => {\n try {\n const data = await getFApiV1OpenInterest({ symbol });\n return data.openInterest;\n } catch (error) {\n console.warn('getFApiV1OpenInterest failed', symbol, error);\n return undefined;\n }\n },\n { expire: OPEN_INTEREST_TTL },\n);\n\nconst requestInterval$ = defer(() => getFApiV1ExchangeInfo({})).pipe(\n map((info) => getRequestIntervalMs(info.rateLimits, DEFAULT_OPEN_INTEREST_REQUEST_INTERVAL_MS)),\n catchError((err) => {\n console.warn('getFApiV1ExchangeInfo failed when calculating request interval', err);\n return of(DEFAULT_OPEN_INTEREST_REQUEST_INTERVAL_MS);\n }),\n startWith(DEFAULT_OPEN_INTEREST_REQUEST_INTERVAL_MS),\n retry({ delay: 60_000 }),\n shareReplay({ bufferSize: 1, refCount: true }),\n);\n\nconst ticker$ = defer(() => getFApiV1TickerPrice({})).pipe(\n map((tickers) => (Array.isArray(tickers) ? tickers : [])),\n repeat({ delay: 1000 }),\n retry({ delay: 5000 }),\n shareReplay({ bufferSize: 1, refCount: true }),\n);\n\nconst quoteFromTicker$ = ticker$.pipe(\n mergeMap((tickers) => tickers || []),\n map(\n (ticker): Partial<IQuote> => ({\n datasource_id: 'ASTER',\n product_id: encodePath('ASTER', 'PERP', ticker.symbol),\n last_price: `${ticker.price}`,\n bid_price: `${ticker.price}`,\n ask_price: `${ticker.price}`,\n updated_at: new Date(ticker.time ?? Date.now()).toISOString(),\n }),\n ),\n);\n\nconst quoteFromOpenInterest$ = combineLatest([ticker$, requestInterval$]).pipe(\n mergeMap(([tickers, requestInterval]) =>\n from(tickers).pipe(\n concatMap((ticker, index) =>\n (index > 0 ? timer(requestInterval) : of(0)).pipe(\n mergeMap(() => from(openInterestCache.query(ticker.symbol))),\n map(\n (openInterest): Partial<IQuote> => ({\n datasource_id: 'ASTER',\n product_id: encodePath('ASTER', 'PERP', ticker.symbol),\n open_interest: `${openInterest ?? 0}`,\n updated_at: new Date(ticker.time ?? Date.now()).toISOString(),\n }),\n ),\n ),\n ),\n ),\n ),\n);\n\nconst quote$ = merge(quoteFromTicker$, quoteFromOpenInterest$).pipe(\n groupBy((quote) => quote.product_id),\n mergeMap((group$) =>\n group$.pipe(\n scan(\n (acc, cur) =>\n Object.assign(acc, cur, {\n datasource_id: 'ASTER',\n product_id: group$.key,\n }),\n {} as Partial<IQuote>,\n ),\n ),\n ),\n shareReplay({ bufferSize: 1, refCount: true }),\n);\n\nif (process.env.WRITE_QUOTE_TO_SQL === 'true') {\n quote$\n .pipe(\n writeToSQL({\n terminal,\n tableName: 'quote',\n writeInterval: 1000,\n conflictKeys: ['datasource_id', 'product_id'],\n }),\n )\n .subscribe();\n\n terminal.channel.publishChannel('quote', { pattern: '^ASTER/' }, (channel_id) => {\n const [datasourceId, productId] = decodePath(channel_id);\n if (!datasourceId || !productId) {\n throw new Error(`Invalid channel_id: ${channel_id}`);\n }\n return quote$.pipe(filter((quote) => quote.product_id === productId));\n });\n}\n"]}
|
package/lib/api/public-api.d.ts
CHANGED
|
@@ -13,12 +13,13 @@ export declare const getFApiV1FundingRate: (params: {
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|
|
13
13
|
fundingRate: string;
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|
14
14
|
fundingTime: number;
|
|
15
15
|
}[]>;
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|
16
|
-
|
|
17
|
-
|
|
18
|
-
|
|
19
|
-
|
|
20
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-
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21
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-
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|
16
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+
export interface IAsterRateLimit {
|
|
17
|
+
rateLimitType?: string;
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|
18
|
+
interval?: string;
|
|
19
|
+
intervalNum?: number;
|
|
20
|
+
limit?: number;
|
|
21
|
+
}
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|
22
|
+
export interface IAsterExchangeInfo {
|
|
22
23
|
symbols: {
|
|
23
24
|
symbol: string;
|
|
24
25
|
status: 'TRADING' | 'BREAK' | 'HALT';
|
|
@@ -29,11 +30,18 @@ export declare const getFApiV1ExchangeInfo: (params: {}) => Promise<{
|
|
|
29
30
|
baseAssetPrecision: number;
|
|
30
31
|
quotePrecision: number;
|
|
31
32
|
filters: {
|
|
32
|
-
[key: string]: any;
|
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|
filterType: string;
|
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+
[key: string]: any;
|
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|
}[];
|
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36
|
}[];
|
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36
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-
|
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37
|
+
rateLimits?: IAsterRateLimit[];
|
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38
|
+
}
|
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|
+
/**
|
|
40
|
+
* 获取交易对信息
|
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41
|
+
*
|
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42
|
+
* https://github.com/asterdex/api-docs/blob/master/aster-finance-futures-api_CN.md#%E4%BA%A4%E6%98%93%E5%AF%B9%E4%BF%A1%E6%81%AF
|
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*/
|
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+
export declare const getFApiV1ExchangeInfo: (params: {}) => Promise<IAsterExchangeInfo>;
|
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/**
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* 获取未平仓合约数量
|
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*
|
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@@ -1 +1 @@
|
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1
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-
{"version":3,"file":"public-api.d.ts","sourceRoot":"","sources":["../../src/api/public-api.ts"],"names":[],"mappings":"AAgCA;;;;GAIG;AACH,eAAO,MAAM,oBAAoB;;;;;;YAQrB,MAAM;iBACD,MAAM;iBACN,MAAM;IAES,CAAC;AAEjC
|
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1
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+
{"version":3,"file":"public-api.d.ts","sourceRoot":"","sources":["../../src/api/public-api.ts"],"names":[],"mappings":"AAgCA;;;;GAIG;AACH,eAAO,MAAM,oBAAoB;;;;;;YAQrB,MAAM;iBACD,MAAM;iBACN,MAAM;IAES,CAAC;AAEjC,MAAM,WAAW,eAAe;IAC9B,aAAa,CAAC,EAAE,MAAM,CAAC;IACvB,QAAQ,CAAC,EAAE,MAAM,CAAC;IAClB,WAAW,CAAC,EAAE,MAAM,CAAC;IACrB,KAAK,CAAC,EAAE,MAAM,CAAC;CAChB;AAED,MAAM,WAAW,kBAAkB;IACjC,OAAO,EAAE;QACP,MAAM,EAAE,MAAM,CAAC;QACf,MAAM,EAAE,SAAS,GAAG,OAAO,GAAG,MAAM,CAAC;QACrC,SAAS,EAAE,MAAM,CAAC;QAClB,UAAU,EAAE,MAAM,CAAC;QACnB,cAAc,EAAE,MAAM,CAAC;QACvB,iBAAiB,EAAE,MAAM,CAAC;QAC1B,kBAAkB,EAAE,MAAM,CAAC;QAC3B,cAAc,EAAE,MAAM,CAAC;QACvB,OAAO,EAAE;YACP,UAAU,EAAE,MAAM,CAAC;YACnB,CAAC,GAAG,EAAE,MAAM,GAAG,GAAG,CAAC;SACpB,EAAE,CAAC;KACL,EAAE,CAAC;IACJ,UAAU,CAAC,EAAE,eAAe,EAAE,CAAC;CAChC;AAED;;;;GAIG;AACH,eAAO,MAAM,qBAAqB,6CAAoE,CAAC;AAEvG;;;;GAIG;AACH,eAAO,MAAM,qBAAqB;YAEtB,MAAM;;YAGN,MAAM;kBACA,MAAM;UACd,MAAM;EAEiB,CAAC;AAElC;;;;GAIG;AACH,eAAO,MAAM,oBAAoB;YAGrB,MAAM;WACP,MAAM;;IAGgB,CAAC"}
|
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@@ -1 +1 @@
|
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1
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-
{"version":3,"file":"public-api.js","sourceRoot":"","sources":["../../src/api/public-api.ts"],"names":[],"mappings":";;;AAAA,MAAM,QAAQ,GAAG,2BAA2B,CAAC;AAC7C,+CAAsE;AAEtE,MAAM,0BAA0B,GAAG,mCAAwB,CAAC,OAAO,CACjE,gBAAgB,EAChB,0BAA0B,CAC3B,CAAC;AACF,MAAM,QAAQ,GAAG,mBAAQ,CAAC,WAAW,EAAE,CAAC;AACxC,MAAM,OAAO,GAAG,KAAK,EAAK,MAAc,EAAE,QAAgB,EAAE,SAAc,EAAE,EAAc,EAAE;IAC1F,MAAM,GAAG,GAAG,IAAI,GAAG,CAAC,QAAQ,CAAC,CAAC;IAC9B,GAAG,CAAC,QAAQ,GAAG,QAAQ,CAAC;IACxB,KAAK,MAAM,CAAC,GAAG,EAAE,KAAK,CAAC,IAAI,MAAM,CAAC,OAAO,CAAC,MAAM,CAAC,EAAE;QACjD,IAAI,KAAK,KAAK,SAAS;YAAE,SAAS;QAClC,GAAG,CAAC,YAAY,CAAC,GAAG,CAAC,GAAG,EAAE,GAAG,KAAK,EAAE,CAAC,CAAC;KACvC;IAED,OAAO,CAAC,IAAI,CAAC,GAAG,CAAC,QAAQ,EAAE,CAAC,CAAC;IAC7B,0BAA0B,CAAC,MAAM,CAAC,EAAE,IAAI,EAAE,GAAG,CAAC,QAAQ,EAAE,WAAW,EAAE,QAAQ,CAAC,WAAW,EAAE,CAAC,CAAC,GAAG,EAAE,CAAC;IACnG,MAAM,GAAG,GAAG,MAAM,KAAK,CAAC,GAAG,CAAC,QAAQ,EAAE,EAAE;QACtC,MAAM;KACP,CAAC,CAAC,IAAI,CAAC,CAAC,QAAQ,EAAE,EAAE,CAAC,QAAQ,CAAC,IAAI,EAAE,CAAC,CAAC;IACvC,IAAI,GAAG,CAAC,IAAI,IAAI,GAAG,CAAC,IAAI,KAAK,CAAC,EAAE;QAC9B,MAAM,IAAI,CAAC,SAAS,CAAC,GAAG,CAAC,CAAC;KAC3B;IACD,OAAO,GAAG,CAAC;AACb,CAAC,CAAC;AAEF,MAAM,SAAS,GACb,CAAa,MAAc,EAAE,QAAgB,EAAE,EAAE,CACjD,CAAC,MAAY,EAAE,EAAE,CACf,OAAO,CAAO,MAAM,EAAE,QAAQ,EAAE,MAAM,CAAC,CAAC;AAE5C;;;;GAIG;AACU,QAAA,oBAAoB,GAAG,SAAS,CAY3C,KAAK,EAAE,sBAAsB,CAAC,CAAC;
|
|
1
|
+
{"version":3,"file":"public-api.js","sourceRoot":"","sources":["../../src/api/public-api.ts"],"names":[],"mappings":";;;AAAA,MAAM,QAAQ,GAAG,2BAA2B,CAAC;AAC7C,+CAAsE;AAEtE,MAAM,0BAA0B,GAAG,mCAAwB,CAAC,OAAO,CACjE,gBAAgB,EAChB,0BAA0B,CAC3B,CAAC;AACF,MAAM,QAAQ,GAAG,mBAAQ,CAAC,WAAW,EAAE,CAAC;AACxC,MAAM,OAAO,GAAG,KAAK,EAAK,MAAc,EAAE,QAAgB,EAAE,SAAc,EAAE,EAAc,EAAE;IAC1F,MAAM,GAAG,GAAG,IAAI,GAAG,CAAC,QAAQ,CAAC,CAAC;IAC9B,GAAG,CAAC,QAAQ,GAAG,QAAQ,CAAC;IACxB,KAAK,MAAM,CAAC,GAAG,EAAE,KAAK,CAAC,IAAI,MAAM,CAAC,OAAO,CAAC,MAAM,CAAC,EAAE;QACjD,IAAI,KAAK,KAAK,SAAS;YAAE,SAAS;QAClC,GAAG,CAAC,YAAY,CAAC,GAAG,CAAC,GAAG,EAAE,GAAG,KAAK,EAAE,CAAC,CAAC;KACvC;IAED,OAAO,CAAC,IAAI,CAAC,GAAG,CAAC,QAAQ,EAAE,CAAC,CAAC;IAC7B,0BAA0B,CAAC,MAAM,CAAC,EAAE,IAAI,EAAE,GAAG,CAAC,QAAQ,EAAE,WAAW,EAAE,QAAQ,CAAC,WAAW,EAAE,CAAC,CAAC,GAAG,EAAE,CAAC;IACnG,MAAM,GAAG,GAAG,MAAM,KAAK,CAAC,GAAG,CAAC,QAAQ,EAAE,EAAE;QACtC,MAAM;KACP,CAAC,CAAC,IAAI,CAAC,CAAC,QAAQ,EAAE,EAAE,CAAC,QAAQ,CAAC,IAAI,EAAE,CAAC,CAAC;IACvC,IAAI,GAAG,CAAC,IAAI,IAAI,GAAG,CAAC,IAAI,KAAK,CAAC,EAAE;QAC9B,MAAM,IAAI,CAAC,SAAS,CAAC,GAAG,CAAC,CAAC;KAC3B;IACD,OAAO,GAAG,CAAC;AACb,CAAC,CAAC;AAEF,MAAM,SAAS,GACb,CAAa,MAAc,EAAE,QAAgB,EAAE,EAAE,CACjD,CAAC,MAAY,EAAE,EAAE,CACf,OAAO,CAAO,MAAM,EAAE,QAAQ,EAAE,MAAM,CAAC,CAAC;AAE5C;;;;GAIG;AACU,QAAA,oBAAoB,GAAG,SAAS,CAY3C,KAAK,EAAE,sBAAsB,CAAC,CAAC;AA2BjC;;;;GAIG;AACU,QAAA,qBAAqB,GAAG,SAAS,CAAyB,KAAK,EAAE,uBAAuB,CAAC,CAAC;AAEvG;;;;GAIG;AACU,QAAA,qBAAqB,GAAG,SAAS,CAS5C,KAAK,EAAE,uBAAuB,CAAC,CAAC;AAElC;;;;GAIG;AACU,QAAA,oBAAoB,GAAG,SAAS,CAO3C,KAAK,EAAE,uBAAuB,CAAC,CAAC","sourcesContent":["const BASE_URL = 'https://fapi.asterdex.com';\nimport { GlobalPrometheusRegistry, Terminal } from '@yuants/protocol';\n\nconst MetricsAsterApiCallCounter = GlobalPrometheusRegistry.counter(\n 'aster_api_call',\n 'Number of aster api call',\n);\nconst terminal = Terminal.fromNodeEnv();\nconst request = async <T>(method: string, endpoint: string, params: any = {}): Promise<T> => {\n const url = new URL(BASE_URL);\n url.pathname = endpoint;\n for (const [key, value] of Object.entries(params)) {\n if (value === undefined) continue;\n url.searchParams.set(key, `${value}`);\n }\n\n console.info(url.toString());\n MetricsAsterApiCallCounter.labels({ path: url.pathname, terminal_id: terminal.terminal_id }).inc();\n const res = await fetch(url.toString(), {\n method,\n }).then((response) => response.json());\n if (res.code && res.code !== 0) {\n throw JSON.stringify(res);\n }\n return res;\n};\n\nconst createApi =\n <TReq, TRes>(method: string, endpoint: string) =>\n (params: TReq) =>\n request<TRes>(method, endpoint, params);\n\n/**\n * 获取资金费率历史\n *\n * https://github.com/asterdex/api-docs/blob/master/aster-finance-futures-api_CN.md#%E6%9F%A5%E8%AF%A2%E8%B5%84%E9%87%91%E8%B4%B9%E7%8E%87%E5%8E%86%E5%8F%B2\n */\nexport const getFApiV1FundingRate = createApi<\n {\n symbol?: string;\n startTime?: number;\n endTime?: number;\n limit?: number;\n },\n {\n symbol: string;\n fundingRate: string;\n fundingTime: number;\n }[]\n>('GET', '/fapi/v1/fundingRate');\n\nexport interface IAsterRateLimit {\n rateLimitType?: string;\n interval?: string;\n intervalNum?: number;\n limit?: number;\n}\n\nexport interface IAsterExchangeInfo {\n symbols: {\n symbol: string;\n status: 'TRADING' | 'BREAK' | 'HALT';\n baseAsset: string;\n quoteAsset: string;\n pricePrecision: number;\n quantityPrecision: number;\n baseAssetPrecision: number;\n quotePrecision: number;\n filters: {\n filterType: string;\n [key: string]: any;\n }[];\n }[];\n rateLimits?: IAsterRateLimit[];\n}\n\n/**\n * 获取交易对信息\n *\n * https://github.com/asterdex/api-docs/blob/master/aster-finance-futures-api_CN.md#%E4%BA%A4%E6%98%93%E5%AF%B9%E4%BF%A1%E6%81%AF\n */\nexport const getFApiV1ExchangeInfo = createApi<{}, IAsterExchangeInfo>('GET', '/fapi/v1/exchangeInfo');\n\n/**\n * 获取未平仓合约数量\n *\n * 无 API 文档 (weird)\n */\nexport const getFApiV1OpenInterest = createApi<\n {\n symbol: string;\n },\n {\n symbol: string;\n openInterest: string;\n time: number;\n }\n>('GET', '/fapi/v1/openInterest');\n\n/**\n * 获取最新价格\n *\n * https://github.com/asterdex/api-docs/blob/master/aster-finance-futures-api_CN.md#%E6%9C%80%E6%96%B0%E4%BB%B7%E6%A0%BC\n */\nexport const getFApiV1TickerPrice = createApi<\n {},\n {\n symbol: string;\n price: string;\n time?: number;\n }[]\n>('GET', '/fapi/v1/ticker/price');\n"]}
|
|
@@ -7,7 +7,37 @@ const utils_1 = require("@yuants/utils");
|
|
|
7
7
|
const rxjs_1 = require("rxjs");
|
|
8
8
|
const public_api_1 = require("../../api/public-api");
|
|
9
9
|
const terminal = protocol_1.Terminal.fromNodeEnv();
|
|
10
|
+
const DEFAULT_OPEN_INTEREST_REQUEST_INTERVAL_MS = 500;
|
|
10
11
|
const OPEN_INTEREST_TTL = process.env.OPEN_INTEREST_TTL ? Number(process.env.OPEN_INTEREST_TTL) : 120000;
|
|
12
|
+
const toIntervalMs = (interval, intervalNum) => {
|
|
13
|
+
switch (interval) {
|
|
14
|
+
case 'SECOND':
|
|
15
|
+
return (intervalNum !== null && intervalNum !== void 0 ? intervalNum : 1) * 1000;
|
|
16
|
+
case 'MINUTE':
|
|
17
|
+
return (intervalNum !== null && intervalNum !== void 0 ? intervalNum : 1) * 60000;
|
|
18
|
+
case 'HOUR':
|
|
19
|
+
return (intervalNum !== null && intervalNum !== void 0 ? intervalNum : 1) * 3600000;
|
|
20
|
+
case 'DAY':
|
|
21
|
+
return (intervalNum !== null && intervalNum !== void 0 ? intervalNum : 1) * 86400000;
|
|
22
|
+
default:
|
|
23
|
+
return undefined;
|
|
24
|
+
}
|
|
25
|
+
};
|
|
26
|
+
const getRequestIntervalMs = (rateLimits, fallbackMs) => {
|
|
27
|
+
const intervals = [];
|
|
28
|
+
for (const item of rateLimits !== null && rateLimits !== void 0 ? rateLimits : []) {
|
|
29
|
+
if (item.rateLimitType !== 'REQUEST_WEIGHT' && item.rateLimitType !== 'RAW_REQUESTS')
|
|
30
|
+
continue;
|
|
31
|
+
const duration = toIntervalMs(item.interval, item.intervalNum);
|
|
32
|
+
const limit = item.limit;
|
|
33
|
+
if (duration == null || limit == null || limit <= 0)
|
|
34
|
+
continue;
|
|
35
|
+
intervals.push(Math.ceil(duration / limit));
|
|
36
|
+
}
|
|
37
|
+
if (!intervals.length)
|
|
38
|
+
return fallbackMs;
|
|
39
|
+
return Math.max(fallbackMs, Math.max(...intervals));
|
|
40
|
+
};
|
|
11
41
|
const openInterestCache = (0, cache_1.createCache)(async (symbol) => {
|
|
12
42
|
try {
|
|
13
43
|
const data = await (0, public_api_1.getFApiV1OpenInterest)({ symbol });
|
|
@@ -18,7 +48,12 @@ const openInterestCache = (0, cache_1.createCache)(async (symbol) => {
|
|
|
18
48
|
return undefined;
|
|
19
49
|
}
|
|
20
50
|
}, { expire: OPEN_INTEREST_TTL });
|
|
21
|
-
const
|
|
51
|
+
const requestInterval$ = (0, rxjs_1.defer)(() => (0, public_api_1.getFApiV1ExchangeInfo)({})).pipe((0, rxjs_1.map)((info) => getRequestIntervalMs(info.rateLimits, DEFAULT_OPEN_INTEREST_REQUEST_INTERVAL_MS)), (0, rxjs_1.catchError)((err) => {
|
|
52
|
+
console.warn('getFApiV1ExchangeInfo failed when calculating request interval', err);
|
|
53
|
+
return (0, rxjs_1.of)(DEFAULT_OPEN_INTEREST_REQUEST_INTERVAL_MS);
|
|
54
|
+
}), (0, rxjs_1.startWith)(DEFAULT_OPEN_INTEREST_REQUEST_INTERVAL_MS), (0, rxjs_1.retry)({ delay: 60000 }), (0, rxjs_1.shareReplay)({ bufferSize: 1, refCount: true }));
|
|
55
|
+
const ticker$ = (0, rxjs_1.defer)(() => (0, public_api_1.getFApiV1TickerPrice)({})).pipe((0, rxjs_1.map)((tickers) => (Array.isArray(tickers) ? tickers : [])), (0, rxjs_1.repeat)({ delay: 1000 }), (0, rxjs_1.retry)({ delay: 5000 }), (0, rxjs_1.shareReplay)({ bufferSize: 1, refCount: true }));
|
|
56
|
+
const quoteFromTicker$ = ticker$.pipe((0, rxjs_1.mergeMap)((tickers) => tickers || []), (0, rxjs_1.map)((ticker) => {
|
|
22
57
|
var _a;
|
|
23
58
|
return ({
|
|
24
59
|
datasource_id: 'ASTER',
|
|
@@ -26,10 +61,22 @@ const quote$ = (0, rxjs_1.defer)(() => (0, public_api_1.getFApiV1TickerPrice)({}
|
|
|
26
61
|
last_price: `${ticker.price}`,
|
|
27
62
|
bid_price: `${ticker.price}`,
|
|
28
63
|
ask_price: `${ticker.price}`,
|
|
29
|
-
open_interest: '0',
|
|
30
64
|
updated_at: new Date((_a = ticker.time) !== null && _a !== void 0 ? _a : Date.now()).toISOString(),
|
|
31
65
|
});
|
|
32
|
-
})
|
|
66
|
+
}));
|
|
67
|
+
const quoteFromOpenInterest$ = (0, rxjs_1.combineLatest)([ticker$, requestInterval$]).pipe((0, rxjs_1.mergeMap)(([tickers, requestInterval]) => (0, rxjs_1.from)(tickers).pipe((0, rxjs_1.concatMap)((ticker, index) => (index > 0 ? (0, rxjs_1.timer)(requestInterval) : (0, rxjs_1.of)(0)).pipe((0, rxjs_1.mergeMap)(() => (0, rxjs_1.from)(openInterestCache.query(ticker.symbol))), (0, rxjs_1.map)((openInterest) => {
|
|
68
|
+
var _a;
|
|
69
|
+
return ({
|
|
70
|
+
datasource_id: 'ASTER',
|
|
71
|
+
product_id: (0, utils_1.encodePath)('ASTER', 'PERP', ticker.symbol),
|
|
72
|
+
open_interest: `${openInterest !== null && openInterest !== void 0 ? openInterest : 0}`,
|
|
73
|
+
updated_at: new Date((_a = ticker.time) !== null && _a !== void 0 ? _a : Date.now()).toISOString(),
|
|
74
|
+
});
|
|
75
|
+
}))))));
|
|
76
|
+
const quote$ = (0, rxjs_1.merge)(quoteFromTicker$, quoteFromOpenInterest$).pipe((0, rxjs_1.groupBy)((quote) => quote.product_id), (0, rxjs_1.mergeMap)((group$) => group$.pipe((0, rxjs_1.scan)((acc, cur) => Object.assign(acc, cur, {
|
|
77
|
+
datasource_id: 'ASTER',
|
|
78
|
+
product_id: group$.key,
|
|
79
|
+
}), {}))), (0, rxjs_1.shareReplay)({ bufferSize: 1, refCount: true }));
|
|
33
80
|
if (process.env.WRITE_QUOTE_TO_SQL === 'true') {
|
|
34
81
|
quote$
|
|
35
82
|
.pipe((0, sql_1.writeToSQL)({
|
|
@@ -1 +1 @@
|
|
|
1
|
-
{"version":3,"file":"quote.js","sourceRoot":"","sources":["../../../src/services/markets/quote.ts"],"names":[],"mappings":";;AAAA,yCAA4C;AAE5C,+CAA4C;AAC5C,qCAAyC;AACzC,yCAAuD;AACvD,+BAAsF;AACtF,qDAAmF;AAEnF,MAAM,QAAQ,GAAG,mBAAQ,CAAC,WAAW,EAAE,CAAC;AACxC,MAAM,iBAAiB,GAAG,OAAO,CAAC,GAAG,CAAC,iBAAiB,CAAC,CAAC,CAAC,MAAM,CAAC,OAAO,CAAC,GAAG,CAAC,iBAAiB,CAAC,CAAC,CAAC,CAAC,MAAO,CAAC;AAE1G,MAAM,iBAAiB,GAAG,IAAA,mBAAW,EACnC,KAAK,EAAE,MAAc,EAAE,EAAE;IACvB,IAAI;QACF,MAAM,IAAI,GAAG,MAAM,IAAA,kCAAqB,EAAC,EAAE,MAAM,EAAE,CAAC,CAAC;QACrD,OAAO,IAAI,CAAC,YAAY,CAAC;KAC1B;IAAC,OAAO,KAAK,EAAE;QACd,OAAO,CAAC,IAAI,CAAC,8BAA8B,EAAE,MAAM,EAAE,KAAK,CAAC,CAAC;QAC5D,OAAO,SAAS,CAAC;KAClB;AACH,CAAC,EACD,EAAE,MAAM,EAAE,iBAAiB,EAAE,CAC9B,CAAC;AAEF,MAAM,MAAM,GAAG,IAAA,YAAK,EAAC,GAAG,EAAE,CAAC,IAAA,iCAAoB,EAAC,EAAE,CAAC,CAAC,CAAC,IAAI,CACvD,IAAA,eAAQ,EAAC,CAAC,OAAO,EAAE,EAAE,CAAC,OAAO,IAAI,EAAE,CAAC,EACpC,IAAA,UAAG,EACD,CAAC,MAAM,EAAmB,EAAE;;IAAC,OAAA,CAAC;QAC5B,aAAa,EAAE,OAAO;QACtB,UAAU,EAAE,IAAA,kBAAU,EAAC,OAAO,EAAE,MAAM,EAAE,MAAM,CAAC,MAAM,CAAC;QACtD,UAAU,EAAE,GAAG,MAAM,CAAC,KAAK,EAAE;QAC7B,SAAS,EAAE,GAAG,MAAM,CAAC,KAAK,EAAE;QAC5B,SAAS,EAAE,GAAG,MAAM,CAAC,KAAK,EAAE;QAC5B,aAAa,EAAE,GAAG;QAClB,UAAU,EAAE,IAAI,IAAI,CAAC,MAAA,MAAM,CAAC,IAAI,mCAAI,IAAI,CAAC,GAAG,EAAE,CAAC,CAAC,WAAW,EAAE;KAC9D,CAAC,CAAA;CAAA,CACH,EACD,IAAA,aAAM,EAAC,EAAE,KAAK,EAAE,IAAI,EAAE,CAAC,EACvB,IAAA,YAAK,EAAC,EAAE,KAAK,EAAE,IAAI,EAAE,CAAC,EACtB,IAAA,kBAAW,EAAC,EAAE,UAAU,EAAE,CAAC,EAAE,QAAQ,EAAE,IAAI,EAAE,CAAC,CAC/C,CAAC;AAEF,IAAI,OAAO,CAAC,GAAG,CAAC,kBAAkB,KAAK,MAAM,EAAE;IAC7C,MAAM;SACH,IAAI,CACH,IAAA,gBAAU,EAAC;QACT,QAAQ;QACR,SAAS,EAAE,OAAO;QAClB,aAAa,EAAE,IAAI;QACnB,YAAY,EAAE,CAAC,eAAe,EAAE,YAAY,CAAC;KAC9C,CAAC,CACH;SACA,SAAS,EAAE,CAAC;IAEf,QAAQ,CAAC,OAAO,CAAC,cAAc,CAAC,OAAO,EAAE,EAAE,OAAO,EAAE,SAAS,EAAE,EAAE,CAAC,UAAU,EAAE,EAAE;QAC9E,MAAM,CAAC,YAAY,EAAE,SAAS,CAAC,GAAG,IAAA,kBAAU,EAAC,UAAU,CAAC,CAAC;QACzD,IAAI,CAAC,YAAY,IAAI,CAAC,SAAS,EAAE;YAC/B,MAAM,IAAI,KAAK,CAAC,uBAAuB,UAAU,EAAE,CAAC,CAAC;SACtD;QACD,OAAO,MAAM,CAAC,IAAI,CAAC,IAAA,aAAM,EAAC,CAAC,KAAK,EAAE,EAAE,CAAC,KAAK,CAAC,UAAU,KAAK,SAAS,CAAC,CAAC,CAAC;IACxE,CAAC,CAAC,CAAC;CACJ","sourcesContent":["import { createCache } from '@yuants/cache';\nimport type { IQuote } from '@yuants/data-quote';\nimport { Terminal } from '@yuants/protocol';\nimport { writeToSQL } from '@yuants/sql';\nimport { decodePath, encodePath } from '@yuants/utils';\nimport { defer, filter, from, map, mergeMap, repeat, retry, shareReplay } from 'rxjs';\nimport { getFApiV1OpenInterest, getFApiV1TickerPrice } from '../../api/public-api';\n\nconst terminal = Terminal.fromNodeEnv();\nconst OPEN_INTEREST_TTL = process.env.OPEN_INTEREST_TTL ? Number(process.env.OPEN_INTEREST_TTL) : 120_000;\n\nconst openInterestCache = createCache<string>(\n async (symbol: string) => {\n try {\n const data = await getFApiV1OpenInterest({ symbol });\n return data.openInterest;\n } catch (error) {\n console.warn('getFApiV1OpenInterest failed', symbol, error);\n return undefined;\n }\n },\n { expire: OPEN_INTEREST_TTL },\n);\n\nconst quote$ = defer(() => getFApiV1TickerPrice({})).pipe(\n mergeMap((tickers) => tickers || []),\n map(\n (ticker): Partial<IQuote> => ({\n datasource_id: 'ASTER',\n product_id: encodePath('ASTER', 'PERP', ticker.symbol),\n last_price: `${ticker.price}`,\n bid_price: `${ticker.price}`,\n ask_price: `${ticker.price}`,\n open_interest: '0',\n updated_at: new Date(ticker.time ?? Date.now()).toISOString(),\n }),\n ),\n repeat({ delay: 1000 }),\n retry({ delay: 5000 }),\n shareReplay({ bufferSize: 1, refCount: true }),\n);\n\nif (process.env.WRITE_QUOTE_TO_SQL === 'true') {\n quote$\n .pipe(\n writeToSQL({\n terminal,\n tableName: 'quote',\n writeInterval: 1000,\n conflictKeys: ['datasource_id', 'product_id'],\n }),\n )\n .subscribe();\n\n terminal.channel.publishChannel('quote', { pattern: '^ASTER/' }, (channel_id) => {\n const [datasourceId, productId] = decodePath(channel_id);\n if (!datasourceId || !productId) {\n throw new Error(`Invalid channel_id: ${channel_id}`);\n }\n return quote$.pipe(filter((quote) => quote.product_id === productId));\n });\n}\n"]}
|
|
1
|
+
{"version":3,"file":"quote.js","sourceRoot":"","sources":["../../../src/services/markets/quote.ts"],"names":[],"mappings":";;AAAA,yCAA4C;AAE5C,+CAA4C;AAC5C,qCAAyC;AACzC,yCAAuD;AACvD,+BAkBc;AACd,qDAK8B;AAE9B,MAAM,QAAQ,GAAG,mBAAQ,CAAC,WAAW,EAAE,CAAC;AACxC,MAAM,yCAAyC,GAAG,GAAG,CAAC;AACtD,MAAM,iBAAiB,GAAG,OAAO,CAAC,GAAG,CAAC,iBAAiB,CAAC,CAAC,CAAC,MAAM,CAAC,OAAO,CAAC,GAAG,CAAC,iBAAiB,CAAC,CAAC,CAAC,CAAC,MAAO,CAAC;AAE1G,MAAM,YAAY,GAAG,CAAC,QAAiB,EAAE,WAAoB,EAAE,EAAE;IAC/D,QAAQ,QAAQ,EAAE;QAChB,KAAK,QAAQ;YACX,OAAO,CAAC,WAAW,aAAX,WAAW,cAAX,WAAW,GAAI,CAAC,CAAC,GAAG,IAAK,CAAC;QACpC,KAAK,QAAQ;YACX,OAAO,CAAC,WAAW,aAAX,WAAW,cAAX,WAAW,GAAI,CAAC,CAAC,GAAG,KAAM,CAAC;QACrC,KAAK,MAAM;YACT,OAAO,CAAC,WAAW,aAAX,WAAW,cAAX,WAAW,GAAI,CAAC,CAAC,GAAG,OAAS,CAAC;QACxC,KAAK,KAAK;YACR,OAAO,CAAC,WAAW,aAAX,WAAW,cAAX,WAAW,GAAI,CAAC,CAAC,GAAG,QAAU,CAAC;QACzC;YACE,OAAO,SAAS,CAAC;KACpB;AACH,CAAC,CAAC;AAEF,MAAM,oBAAoB,GAAG,CAAC,UAAyC,EAAE,UAAkB,EAAE,EAAE;IAC7F,MAAM,SAAS,GAAa,EAAE,CAAC;IAC/B,KAAK,MAAM,IAAI,IAAI,UAAU,aAAV,UAAU,cAAV,UAAU,GAAI,EAAE,EAAE;QACnC,IAAI,IAAI,CAAC,aAAa,KAAK,gBAAgB,IAAI,IAAI,CAAC,aAAa,KAAK,cAAc;YAAE,SAAS;QAC/F,MAAM,QAAQ,GAAG,YAAY,CAAC,IAAI,CAAC,QAAQ,EAAE,IAAI,CAAC,WAAW,CAAC,CAAC;QAC/D,MAAM,KAAK,GAAG,IAAI,CAAC,KAAK,CAAC;QACzB,IAAI,QAAQ,IAAI,IAAI,IAAI,KAAK,IAAI,IAAI,IAAI,KAAK,IAAI,CAAC;YAAE,SAAS;QAC9D,SAAS,CAAC,IAAI,CAAC,IAAI,CAAC,IAAI,CAAC,QAAQ,GAAG,KAAK,CAAC,CAAC,CAAC;KAC7C;IACD,IAAI,CAAC,SAAS,CAAC,MAAM;QAAE,OAAO,UAAU,CAAC;IACzC,OAAO,IAAI,CAAC,GAAG,CAAC,UAAU,EAAE,IAAI,CAAC,GAAG,CAAC,GAAG,SAAS,CAAC,CAAC,CAAC;AACtD,CAAC,CAAC;AAEF,MAAM,iBAAiB,GAAG,IAAA,mBAAW,EACnC,KAAK,EAAE,MAAc,EAAE,EAAE;IACvB,IAAI;QACF,MAAM,IAAI,GAAG,MAAM,IAAA,kCAAqB,EAAC,EAAE,MAAM,EAAE,CAAC,CAAC;QACrD,OAAO,IAAI,CAAC,YAAY,CAAC;KAC1B;IAAC,OAAO,KAAK,EAAE;QACd,OAAO,CAAC,IAAI,CAAC,8BAA8B,EAAE,MAAM,EAAE,KAAK,CAAC,CAAC;QAC5D,OAAO,SAAS,CAAC;KAClB;AACH,CAAC,EACD,EAAE,MAAM,EAAE,iBAAiB,EAAE,CAC9B,CAAC;AAEF,MAAM,gBAAgB,GAAG,IAAA,YAAK,EAAC,GAAG,EAAE,CAAC,IAAA,kCAAqB,EAAC,EAAE,CAAC,CAAC,CAAC,IAAI,CAClE,IAAA,UAAG,EAAC,CAAC,IAAI,EAAE,EAAE,CAAC,oBAAoB,CAAC,IAAI,CAAC,UAAU,EAAE,yCAAyC,CAAC,CAAC,EAC/F,IAAA,iBAAU,EAAC,CAAC,GAAG,EAAE,EAAE;IACjB,OAAO,CAAC,IAAI,CAAC,gEAAgE,EAAE,GAAG,CAAC,CAAC;IACpF,OAAO,IAAA,SAAE,EAAC,yCAAyC,CAAC,CAAC;AACvD,CAAC,CAAC,EACF,IAAA,gBAAS,EAAC,yCAAyC,CAAC,EACpD,IAAA,YAAK,EAAC,EAAE,KAAK,EAAE,KAAM,EAAE,CAAC,EACxB,IAAA,kBAAW,EAAC,EAAE,UAAU,EAAE,CAAC,EAAE,QAAQ,EAAE,IAAI,EAAE,CAAC,CAC/C,CAAC;AAEF,MAAM,OAAO,GAAG,IAAA,YAAK,EAAC,GAAG,EAAE,CAAC,IAAA,iCAAoB,EAAC,EAAE,CAAC,CAAC,CAAC,IAAI,CACxD,IAAA,UAAG,EAAC,CAAC,OAAO,EAAE,EAAE,CAAC,CAAC,KAAK,CAAC,OAAO,CAAC,OAAO,CAAC,CAAC,CAAC,CAAC,OAAO,CAAC,CAAC,CAAC,EAAE,CAAC,CAAC,EACzD,IAAA,aAAM,EAAC,EAAE,KAAK,EAAE,IAAI,EAAE,CAAC,EACvB,IAAA,YAAK,EAAC,EAAE,KAAK,EAAE,IAAI,EAAE,CAAC,EACtB,IAAA,kBAAW,EAAC,EAAE,UAAU,EAAE,CAAC,EAAE,QAAQ,EAAE,IAAI,EAAE,CAAC,CAC/C,CAAC;AAEF,MAAM,gBAAgB,GAAG,OAAO,CAAC,IAAI,CACnC,IAAA,eAAQ,EAAC,CAAC,OAAO,EAAE,EAAE,CAAC,OAAO,IAAI,EAAE,CAAC,EACpC,IAAA,UAAG,EACD,CAAC,MAAM,EAAmB,EAAE;;IAAC,OAAA,CAAC;QAC5B,aAAa,EAAE,OAAO;QACtB,UAAU,EAAE,IAAA,kBAAU,EAAC,OAAO,EAAE,MAAM,EAAE,MAAM,CAAC,MAAM,CAAC;QACtD,UAAU,EAAE,GAAG,MAAM,CAAC,KAAK,EAAE;QAC7B,SAAS,EAAE,GAAG,MAAM,CAAC,KAAK,EAAE;QAC5B,SAAS,EAAE,GAAG,MAAM,CAAC,KAAK,EAAE;QAC5B,UAAU,EAAE,IAAI,IAAI,CAAC,MAAA,MAAM,CAAC,IAAI,mCAAI,IAAI,CAAC,GAAG,EAAE,CAAC,CAAC,WAAW,EAAE;KAC9D,CAAC,CAAA;CAAA,CACH,CACF,CAAC;AAEF,MAAM,sBAAsB,GAAG,IAAA,oBAAa,EAAC,CAAC,OAAO,EAAE,gBAAgB,CAAC,CAAC,CAAC,IAAI,CAC5E,IAAA,eAAQ,EAAC,CAAC,CAAC,OAAO,EAAE,eAAe,CAAC,EAAE,EAAE,CACtC,IAAA,WAAI,EAAC,OAAO,CAAC,CAAC,IAAI,CAChB,IAAA,gBAAS,EAAC,CAAC,MAAM,EAAE,KAAK,EAAE,EAAE,CAC1B,CAAC,KAAK,GAAG,CAAC,CAAC,CAAC,CAAC,IAAA,YAAK,EAAC,eAAe,CAAC,CAAC,CAAC,CAAC,IAAA,SAAE,EAAC,CAAC,CAAC,CAAC,CAAC,IAAI,CAC/C,IAAA,eAAQ,EAAC,GAAG,EAAE,CAAC,IAAA,WAAI,EAAC,iBAAiB,CAAC,KAAK,CAAC,MAAM,CAAC,MAAM,CAAC,CAAC,CAAC,EAC5D,IAAA,UAAG,EACD,CAAC,YAAY,EAAmB,EAAE;;IAAC,OAAA,CAAC;QAClC,aAAa,EAAE,OAAO;QACtB,UAAU,EAAE,IAAA,kBAAU,EAAC,OAAO,EAAE,MAAM,EAAE,MAAM,CAAC,MAAM,CAAC;QACtD,aAAa,EAAE,GAAG,YAAY,aAAZ,YAAY,cAAZ,YAAY,GAAI,CAAC,EAAE;QACrC,UAAU,EAAE,IAAI,IAAI,CAAC,MAAA,MAAM,CAAC,IAAI,mCAAI,IAAI,CAAC,GAAG,EAAE,CAAC,CAAC,WAAW,EAAE;KAC9D,CAAC,CAAA;CAAA,CACH,CACF,CACF,CACF,CACF,CACF,CAAC;AAEF,MAAM,MAAM,GAAG,IAAA,YAAK,EAAC,gBAAgB,EAAE,sBAAsB,CAAC,CAAC,IAAI,CACjE,IAAA,cAAO,EAAC,CAAC,KAAK,EAAE,EAAE,CAAC,KAAK,CAAC,UAAU,CAAC,EACpC,IAAA,eAAQ,EAAC,CAAC,MAAM,EAAE,EAAE,CAClB,MAAM,CAAC,IAAI,CACT,IAAA,WAAI,EACF,CAAC,GAAG,EAAE,GAAG,EAAE,EAAE,CACX,MAAM,CAAC,MAAM,CAAC,GAAG,EAAE,GAAG,EAAE;IACtB,aAAa,EAAE,OAAO;IACtB,UAAU,EAAE,MAAM,CAAC,GAAG;CACvB,CAAC,EACJ,EAAqB,CACtB,CACF,CACF,EACD,IAAA,kBAAW,EAAC,EAAE,UAAU,EAAE,CAAC,EAAE,QAAQ,EAAE,IAAI,EAAE,CAAC,CAC/C,CAAC;AAEF,IAAI,OAAO,CAAC,GAAG,CAAC,kBAAkB,KAAK,MAAM,EAAE;IAC7C,MAAM;SACH,IAAI,CACH,IAAA,gBAAU,EAAC;QACT,QAAQ;QACR,SAAS,EAAE,OAAO;QAClB,aAAa,EAAE,IAAI;QACnB,YAAY,EAAE,CAAC,eAAe,EAAE,YAAY,CAAC;KAC9C,CAAC,CACH;SACA,SAAS,EAAE,CAAC;IAEf,QAAQ,CAAC,OAAO,CAAC,cAAc,CAAC,OAAO,EAAE,EAAE,OAAO,EAAE,SAAS,EAAE,EAAE,CAAC,UAAU,EAAE,EAAE;QAC9E,MAAM,CAAC,YAAY,EAAE,SAAS,CAAC,GAAG,IAAA,kBAAU,EAAC,UAAU,CAAC,CAAC;QACzD,IAAI,CAAC,YAAY,IAAI,CAAC,SAAS,EAAE;YAC/B,MAAM,IAAI,KAAK,CAAC,uBAAuB,UAAU,EAAE,CAAC,CAAC;SACtD;QACD,OAAO,MAAM,CAAC,IAAI,CAAC,IAAA,aAAM,EAAC,CAAC,KAAK,EAAE,EAAE,CAAC,KAAK,CAAC,UAAU,KAAK,SAAS,CAAC,CAAC,CAAC;IACxE,CAAC,CAAC,CAAC;CACJ","sourcesContent":["import { createCache } from '@yuants/cache';\nimport type { IQuote } from '@yuants/data-quote';\nimport { Terminal } from '@yuants/protocol';\nimport { writeToSQL } from '@yuants/sql';\nimport { decodePath, encodePath } from '@yuants/utils';\nimport {\n catchError,\n combineLatest,\n concatMap,\n defer,\n filter,\n from,\n groupBy,\n map,\n merge,\n mergeMap,\n of,\n repeat,\n retry,\n scan,\n shareReplay,\n startWith,\n timer,\n} from 'rxjs';\nimport {\n getFApiV1ExchangeInfo,\n getFApiV1OpenInterest,\n getFApiV1TickerPrice,\n IAsterRateLimit,\n} from '../../api/public-api';\n\nconst terminal = Terminal.fromNodeEnv();\nconst DEFAULT_OPEN_INTEREST_REQUEST_INTERVAL_MS = 500;\nconst OPEN_INTEREST_TTL = process.env.OPEN_INTEREST_TTL ? Number(process.env.OPEN_INTEREST_TTL) : 120_000;\n\nconst toIntervalMs = (interval?: string, intervalNum?: number) => {\n switch (interval) {\n case 'SECOND':\n return (intervalNum ?? 1) * 1_000;\n case 'MINUTE':\n return (intervalNum ?? 1) * 60_000;\n case 'HOUR':\n return (intervalNum ?? 1) * 3_600_000;\n case 'DAY':\n return (intervalNum ?? 1) * 86_400_000;\n default:\n return undefined;\n }\n};\n\nconst getRequestIntervalMs = (rateLimits: IAsterRateLimit[] | undefined, fallbackMs: number) => {\n const intervals: number[] = [];\n for (const item of rateLimits ?? []) {\n if (item.rateLimitType !== 'REQUEST_WEIGHT' && item.rateLimitType !== 'RAW_REQUESTS') continue;\n const duration = toIntervalMs(item.interval, item.intervalNum);\n const limit = item.limit;\n if (duration == null || limit == null || limit <= 0) continue;\n intervals.push(Math.ceil(duration / limit));\n }\n if (!intervals.length) return fallbackMs;\n return Math.max(fallbackMs, Math.max(...intervals));\n};\n\nconst openInterestCache = createCache<string>(\n async (symbol: string) => {\n try {\n const data = await getFApiV1OpenInterest({ symbol });\n return data.openInterest;\n } catch (error) {\n console.warn('getFApiV1OpenInterest failed', symbol, error);\n return undefined;\n }\n },\n { expire: OPEN_INTEREST_TTL },\n);\n\nconst requestInterval$ = defer(() => getFApiV1ExchangeInfo({})).pipe(\n map((info) => getRequestIntervalMs(info.rateLimits, DEFAULT_OPEN_INTEREST_REQUEST_INTERVAL_MS)),\n catchError((err) => {\n console.warn('getFApiV1ExchangeInfo failed when calculating request interval', err);\n return of(DEFAULT_OPEN_INTEREST_REQUEST_INTERVAL_MS);\n }),\n startWith(DEFAULT_OPEN_INTEREST_REQUEST_INTERVAL_MS),\n retry({ delay: 60_000 }),\n shareReplay({ bufferSize: 1, refCount: true }),\n);\n\nconst ticker$ = defer(() => getFApiV1TickerPrice({})).pipe(\n map((tickers) => (Array.isArray(tickers) ? tickers : [])),\n repeat({ delay: 1000 }),\n retry({ delay: 5000 }),\n shareReplay({ bufferSize: 1, refCount: true }),\n);\n\nconst quoteFromTicker$ = ticker$.pipe(\n mergeMap((tickers) => tickers || []),\n map(\n (ticker): Partial<IQuote> => ({\n datasource_id: 'ASTER',\n product_id: encodePath('ASTER', 'PERP', ticker.symbol),\n last_price: `${ticker.price}`,\n bid_price: `${ticker.price}`,\n ask_price: `${ticker.price}`,\n updated_at: new Date(ticker.time ?? Date.now()).toISOString(),\n }),\n ),\n);\n\nconst quoteFromOpenInterest$ = combineLatest([ticker$, requestInterval$]).pipe(\n mergeMap(([tickers, requestInterval]) =>\n from(tickers).pipe(\n concatMap((ticker, index) =>\n (index > 0 ? timer(requestInterval) : of(0)).pipe(\n mergeMap(() => from(openInterestCache.query(ticker.symbol))),\n map(\n (openInterest): Partial<IQuote> => ({\n datasource_id: 'ASTER',\n product_id: encodePath('ASTER', 'PERP', ticker.symbol),\n open_interest: `${openInterest ?? 0}`,\n updated_at: new Date(ticker.time ?? Date.now()).toISOString(),\n }),\n ),\n ),\n ),\n ),\n ),\n);\n\nconst quote$ = merge(quoteFromTicker$, quoteFromOpenInterest$).pipe(\n groupBy((quote) => quote.product_id),\n mergeMap((group$) =>\n group$.pipe(\n scan(\n (acc, cur) =>\n Object.assign(acc, cur, {\n datasource_id: 'ASTER',\n product_id: group$.key,\n }),\n {} as Partial<IQuote>,\n ),\n ),\n ),\n shareReplay({ bufferSize: 1, refCount: true }),\n);\n\nif (process.env.WRITE_QUOTE_TO_SQL === 'true') {\n quote$\n .pipe(\n writeToSQL({\n terminal,\n tableName: 'quote',\n writeInterval: 1000,\n conflictKeys: ['datasource_id', 'product_id'],\n }),\n )\n .subscribe();\n\n terminal.channel.publishChannel('quote', { pattern: '^ASTER/' }, (channel_id) => {\n const [datasourceId, productId] = decodePath(channel_id);\n if (!datasourceId || !productId) {\n throw new Error(`Invalid channel_id: ${channel_id}`);\n }\n return quote$.pipe(filter((quote) => quote.product_id === productId));\n });\n}\n"]}
|
package/package.json
CHANGED
|
@@ -1,6 +1,6 @@
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1
1
|
{
|
|
2
2
|
"name": "@yuants/vendor-aster",
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3
|
-
"version": "0.7.
|
|
3
|
+
"version": "0.7.18",
|
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4
4
|
"main": "lib/index.js",
|
|
5
5
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"files": [
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|
6
6
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"dist",
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@@ -20,7 +20,7 @@
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20
20
|
"@yuants/data-interest-rate": "0.1.48",
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|
21
21
|
"@yuants/transfer": "0.2.39",
|
|
22
22
|
"@yuants/data-quote": "0.2.43",
|
|
23
|
-
"@yuants/exchange": "0.3.
|
|
23
|
+
"@yuants/exchange": "0.3.1",
|
|
24
24
|
"rxjs": "~7.5.6"
|
|
25
25
|
},
|
|
26
26
|
"devDependencies": {
|
package/temp/package-deps.json
CHANGED
|
@@ -1,21 +1,21 @@
|
|
|
1
1
|
{
|
|
2
2
|
"apps/vendor-aster/AGENTS.md": "dcd006d19a5c3b73081525d7c0afea68cd6d058b",
|
|
3
|
-
"apps/vendor-aster/CHANGELOG.json": "
|
|
4
|
-
"apps/vendor-aster/CHANGELOG.md": "
|
|
5
|
-
"apps/vendor-aster/SESSION_NOTES.md": "
|
|
3
|
+
"apps/vendor-aster/CHANGELOG.json": "157e86d101afa9d7cd48a52c678d16d20b7bfd8b",
|
|
4
|
+
"apps/vendor-aster/CHANGELOG.md": "102ea3be5e4b90f22547c310bccd29a7d0f90e8d",
|
|
5
|
+
"apps/vendor-aster/SESSION_NOTES.md": "8a7aaa694e6428ef6e1ef14096e5c3ee00c42152",
|
|
6
6
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"apps/vendor-aster/config/jest.config.json": "4bb17bde3ee911163a3edb36a6eb71491d80b1bd",
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7
7
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"apps/vendor-aster/config/rig.json": "f6c7b5537dc77a3170ba9f008bae3b6c3ee11956",
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8
8
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"apps/vendor-aster/config/typescript.json": "854907e8a821f2050f6533368db160c649c25348",
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9
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-
"apps/vendor-aster/package.json": "
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9
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+
"apps/vendor-aster/package.json": "86120e2ae9f01f5d20440add9521245b358be7e1",
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10
10
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"apps/vendor-aster/src/api/private-api.ts": "71f2f794377a45c64f688a663111318e36463bdb",
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11
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-
"apps/vendor-aster/src/api/public-api.ts": "
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11
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+
"apps/vendor-aster/src/api/public-api.ts": "516014a166c938d0fc4b1097b444d7ee52446631",
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12
12
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"apps/vendor-aster/src/index.ts": "509ef4c18ec2deb8a6e11ed5682334433cb2bcb2",
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13
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"apps/vendor-aster/src/services/accounts/profile.ts": "fc57e7d2c865790dd257c043c8dd5cf5c641b7fd",
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14
14
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"apps/vendor-aster/src/services/accounts/spot.ts": "d04bf81c9025cae2b49b1ae0099c9525d888e7af",
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15
15
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"apps/vendor-aster/src/services/exchange.ts": "71a555ceec0d84b6f12a9c2002834676f1370d51",
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16
16
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"apps/vendor-aster/src/services/markets/interest_rate.ts": "8512bb506f3d66b16aceb9d153d1b3a4671de5ef",
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17
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"apps/vendor-aster/src/services/markets/product.ts": "027646b5af638bacc0f943cefc14e32e71bbb6ce",
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18
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-
"apps/vendor-aster/src/services/markets/quote.ts": "
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18
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+
"apps/vendor-aster/src/services/markets/quote.ts": "ead158a5534df53c567a2fc408dc416299aed361",
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19
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"apps/vendor-aster/src/services/orders/cancelOrder.ts": "09a6d3b10a218ad226346dd68d0ff0207083a7f1",
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20
20
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"apps/vendor-aster/src/services/orders/listOrders.ts": "579e83c45f6c4435ad3f5a2d3fe163a036bb9fd1",
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21
21
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"apps/vendor-aster/src/services/orders/submitOrder.ts": "9e99af753829d8f75a110cb29042ee3ebe6b724d",
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@@ -33,7 +33,7 @@
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33
33
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"libraries/data-interest-rate/temp/package-deps.json": "cef1e1cb0116ad593c24635684e0cbf03488d67c",
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34
34
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"libraries/transfer/temp/package-deps.json": "36c58299bd6c841c5ba7252d71881a881570d08c",
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35
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"libraries/data-quote/temp/package-deps.json": "34d079eab44d2bf65e07b112ac2099c6e92a015e",
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36
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-
"libraries/exchange/temp/package-deps.json": "
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36
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+
"libraries/exchange/temp/package-deps.json": "ee94ff641b8afcd48484829a1d6d66ffede2a69c",
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37
37
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"libraries/extension/temp/package-deps.json": "9569c553c2f9a7d50b70d8f101fc2d3825aaccb9",
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38
38
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"tools/toolkit/temp/package-deps.json": "23e053490eb8feade23e4d45de4e54883e322711"
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39
39
|
}
|