@yuants/vendor-aster 0.7.17 → 0.7.19
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 +78 -14
- 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 +76 -12
- package/lib/services/markets/quote.js.map +1 -1
- package/package.json +1 -1
- package/temp/package-deps.json +6 -6
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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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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 {
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import { defer, filter, groupBy, map, merge, mergeMap, repeat, retry, scan, shareReplay, } from 'rxjs';
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import { 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
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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<string>(
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// async (symbol: string) => {
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// try {
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// const data = await getFApiV1OpenInterest({ symbol });
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// return data.openInterest;
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// } catch (error) {
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// console.warn('getFApiV1OpenInterest failed', symbol, error);
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// return undefined;
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// }
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// },
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// { expire: OPEN_INTEREST_TTL },
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// );
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// const requestInterval$ = defer(() => getFApiV1ExchangeInfo({})).pipe(
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// map((info) => getRequestIntervalMs(info.rateLimits, DEFAULT_OPEN_INTEREST_REQUEST_INTERVAL_MS)),
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// 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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// }),
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// startWith(DEFAULT_OPEN_INTEREST_REQUEST_INTERVAL_MS),
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// retry({ delay: 60_000 }),
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// shareReplay({ bufferSize: 1, refCount: true }),
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// );
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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$.pipe(mergeMap((tickers) => tickers || []), map((ticker) => {
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var _a;
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return ({
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datasource_id: 'ASTER',
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last_price: `${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(
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// mergeMap(([tickers, requestInterval]) =>
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// from(tickers).pipe(
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// concatMap((ticker, index) =>
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// (index > 0 ? timer(requestInterval) : of(0)).pipe(
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// mergeMap(() => from(openInterestCache.query(ticker.symbol))),
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// map(
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// (openInterest): Partial<IQuote> => ({
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// datasource_id: 'ASTER',
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// product_id: encodePath('ASTER', 'PERP', ticker.symbol),
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// open_interest: `${openInterest ?? 0}`,
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// updated_at: new Date(ticker.time ?? Date.now()).toISOString(),
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// }),
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// ),
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// ),
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// ),
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// ),
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// ),
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// );
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const quote$ = merge(quoteFromTicker$).pipe(groupBy((quote) => quote.product_id), mergeMap((group$) => 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":"
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+
{"version":3,"file":"quote.js","sourceRoot":"","sources":["../../../src/services/markets/quote.ts"],"names":[],"mappings":"AAEA,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,EAIL,KAAK,EACL,MAAM,EAEN,OAAO,EACP,GAAG,EACH,KAAK,EACL,QAAQ,EAER,MAAM,EACN,KAAK,EACL,IAAI,EACJ,WAAW,GAGZ,MAAM,MAAM,CAAC;AACd,OAAO,EAGL,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,iDAAiD;AACjD,gCAAgC;AAChC,YAAY;AACZ,8DAA8D;AAC9D,kCAAkC;AAClC,wBAAwB;AACxB,qEAAqE;AACrE,0BAA0B;AAC1B,QAAQ;AACR,OAAO;AACP,mCAAmC;AACnC,KAAK;AAEL,wEAAwE;AACxE,qGAAqG;AACrG,0BAA0B;AAC1B,2FAA2F;AAC3F,4DAA4D;AAC5D,QAAQ;AACR,0DAA0D;AAC1D,8BAA8B;AAC9B,oDAAoD;AACpD,KAAK;AAEL,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,kFAAkF;AAClF,6CAA6C;AAC7C,0BAA0B;AAC1B,qCAAqC;AACrC,6DAA6D;AAC7D,0EAA0E;AAC1E,iBAAiB;AACjB,oDAAoD;AACpD,wCAAwC;AACxC,wEAAwE;AACxE,uDAAuD;AACvD,+EAA+E;AAC/E,kBAAkB;AAClB,eAAe;AACf,aAAa;AACb,WAAW;AACX,SAAS;AACT,OAAO;AACP,KAAK;AAEL,MAAM,MAAM,GAAG,KAAK,CAClB,gBAAgB,CAEjB,CAAC,IAAI,CACJ,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\n// const 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\n// const 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\n// const 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(\n quoteFromTicker$,\n // quoteFromOpenInterest$\n).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: {
|
|
|
13
13
|
fundingRate: string;
|
|
14
14
|
fundingTime: number;
|
|
15
15
|
}[]>;
|
|
16
|
-
|
|
17
|
-
|
|
18
|
-
|
|
19
|
-
|
|
20
|
-
|
|
21
|
-
|
|
16
|
+
export interface IAsterRateLimit {
|
|
17
|
+
rateLimitType?: string;
|
|
18
|
+
interval?: string;
|
|
19
|
+
intervalNum?: number;
|
|
20
|
+
limit?: number;
|
|
21
|
+
}
|
|
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;
|
|
33
33
|
filterType: string;
|
|
34
|
+
[key: string]: any;
|
|
34
35
|
}[];
|
|
35
36
|
}[];
|
|
36
|
-
|
|
37
|
+
rateLimits?: IAsterRateLimit[];
|
|
38
|
+
}
|
|
39
|
+
/**
|
|
40
|
+
* 获取交易对信息
|
|
41
|
+
*
|
|
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
|
|
43
|
+
*/
|
|
44
|
+
export declare const getFApiV1ExchangeInfo: (params: {}) => Promise<IAsterExchangeInfo>;
|
|
37
45
|
/**
|
|
38
46
|
* 获取未平仓合约数量
|
|
39
47
|
*
|
|
@@ -1 +1 @@
|
|
|
1
|
-
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|
|
1
|
+
{"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"}
|
|
@@ -1 +1 @@
|
|
|
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;
|
|
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"]}
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@@ -1,24 +1,66 @@
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1
1
|
"use strict";
|
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2
2
|
Object.defineProperty(exports, "__esModule", { value: true });
|
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3
|
-
const cache_1 = require("@yuants/cache");
|
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4
3
|
const protocol_1 = require("@yuants/protocol");
|
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5
4
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const sql_1 = require("@yuants/sql");
|
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6
5
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const utils_1 = require("@yuants/utils");
|
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7
6
|
const rxjs_1 = require("rxjs");
|
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8
7
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const public_api_1 = require("../../api/public-api");
|
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9
8
|
const terminal = protocol_1.Terminal.fromNodeEnv();
|
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9
|
+
const DEFAULT_OPEN_INTEREST_REQUEST_INTERVAL_MS = 500;
|
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10
10
|
const OPEN_INTEREST_TTL = process.env.OPEN_INTEREST_TTL ? Number(process.env.OPEN_INTEREST_TTL) : 120000;
|
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-
const
|
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12
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-
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-
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-
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11
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+
const toIntervalMs = (interval, intervalNum) => {
|
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12
|
+
switch (interval) {
|
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13
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+
case 'SECOND':
|
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14
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+
return (intervalNum !== null && intervalNum !== void 0 ? intervalNum : 1) * 1000;
|
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15
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+
case 'MINUTE':
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16
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+
return (intervalNum !== null && intervalNum !== void 0 ? intervalNum : 1) * 60000;
|
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+
case 'HOUR':
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18
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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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22
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return undefined;
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23
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}
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-
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-
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-
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};
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const getRequestIntervalMs = (rateLimits, fallbackMs) => {
|
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26
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+
const intervals = [];
|
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27
|
+
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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29
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+
continue;
|
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30
|
+
const duration = toIntervalMs(item.interval, item.intervalNum);
|
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31
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+
const limit = item.limit;
|
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32
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+
if (duration == null || limit == null || limit <= 0)
|
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+
continue;
|
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34
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+
intervals.push(Math.ceil(duration / limit));
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19
35
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}
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20
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-
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-
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36
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if (!intervals.length)
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return fallbackMs;
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38
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+
return Math.max(fallbackMs, Math.max(...intervals));
|
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39
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+
};
|
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40
|
+
// const openInterestCache = createCache<string>(
|
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41
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+
// async (symbol: string) => {
|
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42
|
+
// try {
|
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43
|
+
// const data = await getFApiV1OpenInterest({ symbol });
|
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44
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+
// return data.openInterest;
|
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45
|
+
// } catch (error) {
|
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46
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+
// console.warn('getFApiV1OpenInterest failed', symbol, error);
|
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47
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+
// return undefined;
|
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48
|
+
// }
|
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49
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+
// },
|
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50
|
+
// { expire: OPEN_INTEREST_TTL },
|
|
51
|
+
// );
|
|
52
|
+
// const requestInterval$ = defer(() => getFApiV1ExchangeInfo({})).pipe(
|
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53
|
+
// map((info) => getRequestIntervalMs(info.rateLimits, DEFAULT_OPEN_INTEREST_REQUEST_INTERVAL_MS)),
|
|
54
|
+
// catchError((err) => {
|
|
55
|
+
// console.warn('getFApiV1ExchangeInfo failed when calculating request interval', err);
|
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56
|
+
// return of(DEFAULT_OPEN_INTEREST_REQUEST_INTERVAL_MS);
|
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57
|
+
// }),
|
|
58
|
+
// startWith(DEFAULT_OPEN_INTEREST_REQUEST_INTERVAL_MS),
|
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59
|
+
// retry({ delay: 60_000 }),
|
|
60
|
+
// shareReplay({ bufferSize: 1, refCount: true }),
|
|
61
|
+
// );
|
|
62
|
+
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 }));
|
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63
|
+
const quoteFromTicker$ = ticker$.pipe((0, rxjs_1.mergeMap)((tickers) => tickers || []), (0, rxjs_1.map)((ticker) => {
|
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22
64
|
var _a;
|
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23
65
|
return ({
|
|
24
66
|
datasource_id: 'ASTER',
|
|
@@ -26,10 +68,32 @@ const quote$ = (0, rxjs_1.defer)(() => (0, public_api_1.getFApiV1TickerPrice)({}
|
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26
68
|
last_price: `${ticker.price}`,
|
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27
69
|
bid_price: `${ticker.price}`,
|
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28
70
|
ask_price: `${ticker.price}`,
|
|
29
|
-
open_interest: '0',
|
|
30
71
|
updated_at: new Date((_a = ticker.time) !== null && _a !== void 0 ? _a : Date.now()).toISOString(),
|
|
31
72
|
});
|
|
32
|
-
})
|
|
73
|
+
}));
|
|
74
|
+
// const quoteFromOpenInterest$ = combineLatest([ticker$, requestInterval$]).pipe(
|
|
75
|
+
// mergeMap(([tickers, requestInterval]) =>
|
|
76
|
+
// from(tickers).pipe(
|
|
77
|
+
// concatMap((ticker, index) =>
|
|
78
|
+
// (index > 0 ? timer(requestInterval) : of(0)).pipe(
|
|
79
|
+
// mergeMap(() => from(openInterestCache.query(ticker.symbol))),
|
|
80
|
+
// map(
|
|
81
|
+
// (openInterest): Partial<IQuote> => ({
|
|
82
|
+
// datasource_id: 'ASTER',
|
|
83
|
+
// product_id: encodePath('ASTER', 'PERP', ticker.symbol),
|
|
84
|
+
// open_interest: `${openInterest ?? 0}`,
|
|
85
|
+
// updated_at: new Date(ticker.time ?? Date.now()).toISOString(),
|
|
86
|
+
// }),
|
|
87
|
+
// ),
|
|
88
|
+
// ),
|
|
89
|
+
// ),
|
|
90
|
+
// ),
|
|
91
|
+
// ),
|
|
92
|
+
// );
|
|
93
|
+
const quote$ = (0, rxjs_1.merge)(quoteFromTicker$).pipe((0, rxjs_1.groupBy)((quote) => quote.product_id), (0, rxjs_1.mergeMap)((group$) => group$.pipe((0, rxjs_1.scan)((acc, cur) => Object.assign(acc, cur, {
|
|
94
|
+
datasource_id: 'ASTER',
|
|
95
|
+
product_id: group$.key,
|
|
96
|
+
}), {}))), (0, rxjs_1.shareReplay)({ bufferSize: 1, refCount: true }));
|
|
33
97
|
if (process.env.WRITE_QUOTE_TO_SQL === 'true') {
|
|
34
98
|
quote$
|
|
35
99
|
.pipe((0, sql_1.writeToSQL)({
|
|
@@ -1 +1 @@
|
|
|
1
|
-
{"version":3,"file":"quote.js","sourceRoot":"","sources":["../../../src/services/markets/quote.ts"],"names":[],"mappings":";;
|
|
1
|
+
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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\n// const 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\n// const 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\n// const 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(\n quoteFromTicker$,\n // quoteFromOpenInterest$\n).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"]}
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package/temp/package-deps.json
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"apps/vendor-aster/AGENTS.md": "dcd006d19a5c3b73081525d7c0afea68cd6d058b",
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"apps/vendor-aster/CHANGELOG.json": "
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"apps/vendor-aster/SESSION_NOTES.md": "
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"apps/vendor-aster/CHANGELOG.json": "098dec2b340192274d0d57ddf0231acbaf2c6a9e",
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"apps/vendor-aster/CHANGELOG.md": "d31cd102a161c5a49511f7a197d21795bdf64d69",
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"apps/vendor-aster/SESSION_NOTES.md": "8a7aaa694e6428ef6e1ef14096e5c3ee00c42152",
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"apps/vendor-aster/config/jest.config.json": "4bb17bde3ee911163a3edb36a6eb71491d80b1bd",
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"apps/vendor-aster/config/rig.json": "f6c7b5537dc77a3170ba9f008bae3b6c3ee11956",
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"apps/vendor-aster/config/typescript.json": "854907e8a821f2050f6533368db160c649c25348",
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"apps/vendor-aster/package.json": "
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"apps/vendor-aster/package.json": "073099d7af9a85bc5f369e6537d12386b9e7142b",
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"apps/vendor-aster/src/api/private-api.ts": "71f2f794377a45c64f688a663111318e36463bdb",
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"apps/vendor-aster/src/api/public-api.ts": "
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"apps/vendor-aster/src/api/public-api.ts": "516014a166c938d0fc4b1097b444d7ee52446631",
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"apps/vendor-aster/src/index.ts": "509ef4c18ec2deb8a6e11ed5682334433cb2bcb2",
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"apps/vendor-aster/src/services/accounts/profile.ts": "fc57e7d2c865790dd257c043c8dd5cf5c641b7fd",
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"apps/vendor-aster/src/services/accounts/spot.ts": "d04bf81c9025cae2b49b1ae0099c9525d888e7af",
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"apps/vendor-aster/src/services/exchange.ts": "71a555ceec0d84b6f12a9c2002834676f1370d51",
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"apps/vendor-aster/src/services/markets/interest_rate.ts": "8512bb506f3d66b16aceb9d153d1b3a4671de5ef",
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"apps/vendor-aster/src/services/markets/product.ts": "027646b5af638bacc0f943cefc14e32e71bbb6ce",
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"apps/vendor-aster/src/services/markets/quote.ts": "
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"apps/vendor-aster/src/services/markets/quote.ts": "9ea420c98bdce05d915f8944ef821f99519beff0",
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"apps/vendor-aster/src/services/orders/cancelOrder.ts": "09a6d3b10a218ad226346dd68d0ff0207083a7f1",
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"apps/vendor-aster/src/services/orders/listOrders.ts": "579e83c45f6c4435ad3f5a2d3fe163a036bb9fd1",
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"apps/vendor-aster/src/services/orders/submitOrder.ts": "9e99af753829d8f75a110cb29042ee3ebe6b724d",
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