@yuants/vendor-aster 0.7.19 → 0.7.20

package/dist/api/public-api.js

@@ -45,4 +45,9 @@ export const getFApiV1OpenInterest = createApi('GET', '/fapi/v1/openInterest');
  * 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
  */
 export const getFApiV1TickerPrice = createApi('GET', '/fapi/v1/ticker/price');
+/**
+ * 获取资金费率
+ * https://github.com/asterdex/api-docs/blob/master/aster-finance-futures-api_CN.md
+ */
+export const getFApiV1PremiumIndex = createApi('GET', '/fapi/v1/premiumIndex');
 //# sourceMappingURL=public-api.js.map

package/dist/api/public-api.js.map

@@ -1 +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,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;AAElC;;;GAGG;AACH,MAAM,CAAC,MAAM,qBAAqB,GAAG,SAAS,CAwB5C,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\n/**\n * 获取资金费率\n * https://github.com/asterdex/api-docs/blob/master/aster-finance-futures-api_CN.md\n */\nexport const getFApiV1PremiumIndex = createApi<\n  {\n    symbol?: string;\n  },\n  | {\n      symbol: string; // 交易对\n      markPrice: string; // 标记价格\n      indexPrice: string; // 指数价格\n      estimatedSettlePrice: string; // 预估结算价,仅在交割开始前最后一小时有意义\n      lastFundingRate: string; // 最近更新的资金费率\n      nextFundingTime: number; // 下次资金费时间\n      interestRate: string; // 标的资产基础利率\n      time: number; // 更新时间\n    }\n  | {\n      symbol: string; // 交易对\n      markPrice: string; // 标记价格\n      indexPrice: string; // 指数价格\n      estimatedSettlePrice: string; // 预估结算价,仅在交割开始前最后一小时有意义\n      lastFundingRate: string; // 最近更新的资金费率\n      nextFundingTime: number; // 下次资金费时间\n      interestRate: string; // 标的资产基础利率\n      time: number; // 更新时间\n    }[]\n>('GET', '/fapi/v1/premiumIndex');\n"]}

package/dist/services/markets/quote.js

@@ -1,8 +1,9 @@
+import { createCache } from '@yuants/cache';
 import { Terminal } from '@yuants/protocol';
 import { writeToSQL } from '@yuants/sql';
 import { decodePath, encodePath } from '@yuants/utils';
-import { defer, filter, groupBy, map, merge, mergeMap, repeat, retry, scan, shareReplay, } from 'rxjs';
-import { getFApiV1TickerPrice, } from '../../api/public-api';
+import { catchError, combineLatest, concatMap, defer, exhaustMap, filter, from, groupBy, map, merge, mergeMap, of, repeat, retry, scan, shareReplay, startWith, timer, } from 'rxjs';
+import { getFApiV1ExchangeInfo, getFApiV1OpenInterest, getFApiV1PremiumIndex, getFApiV1TickerPrice, } from '../../api/public-api';
 const terminal = Terminal.fromNodeEnv();
 const DEFAULT_OPEN_INTEREST_REQUEST_INTERVAL_MS = 500;
 const OPEN_INTEREST_TTL = process.env.OPEN_INTEREST_TTL ? Number(process.env.OPEN_INTEREST_TTL) : 120000;
@@ -35,60 +36,66 @@ const getRequestIntervalMs = (rateLimits, fallbackMs) => {
         return fallbackMs;
     return Math.max(fallbackMs, Math.max(...intervals));
 };
-// const openInterestCache = createCache<string>(
-//   async (symbol: string) => {
-//     try {
-//       const data = await getFApiV1OpenInterest({ symbol });
-//       return data.openInterest;
-//     } catch (error) {
-//       console.warn('getFApiV1OpenInterest failed', symbol, error);
-//       return undefined;
-//     }
-//   },
-//   { expire: OPEN_INTEREST_TTL },
-// );
-// const requestInterval$ = defer(() => getFApiV1ExchangeInfo({})).pipe(
-//   map((info) => getRequestIntervalMs(info.rateLimits, DEFAULT_OPEN_INTEREST_REQUEST_INTERVAL_MS)),
-//   catchError((err) => {
-//     console.warn('getFApiV1ExchangeInfo failed when calculating request interval', err);
-//     return of(DEFAULT_OPEN_INTEREST_REQUEST_INTERVAL_MS);
-//   }),
-//   startWith(DEFAULT_OPEN_INTEREST_REQUEST_INTERVAL_MS),
-//   retry({ delay: 60_000 }),
-//   shareReplay({ bufferSize: 1, refCount: true }),
-// );
+const openInterestCache = createCache(async (symbol) => {
+    try {
+        const data = await getFApiV1OpenInterest({ symbol });
+        return data.openInterest;
+    }
+    catch (error) {
+        console.warn('getFApiV1OpenInterest failed', symbol, error);
+        return undefined;
+    }
+}, { expire: OPEN_INTEREST_TTL });
+const requestInterval$ = defer(() => getFApiV1ExchangeInfo({})).pipe(map((info) => getRequestIntervalMs(info.rateLimits, DEFAULT_OPEN_INTEREST_REQUEST_INTERVAL_MS)), catchError((err) => {
+    console.warn('getFApiV1ExchangeInfo failed when calculating request interval', err);
+    return of(DEFAULT_OPEN_INTEREST_REQUEST_INTERVAL_MS);
+}), startWith(DEFAULT_OPEN_INTEREST_REQUEST_INTERVAL_MS), retry({ delay: 60000 }), shareReplay({ bufferSize: 1, refCount: true }));
 const ticker$ = defer(() => getFApiV1TickerPrice({})).pipe(map((tickers) => (Array.isArray(tickers) ? tickers : [])), repeat({ delay: 1000 }), retry({ delay: 5000 }), shareReplay({ bufferSize: 1, refCount: true }));
-const quoteFromTicker$ = ticker$.pipe(mergeMap((tickers) => tickers || []), map((ticker) => {
-    var _a;
-    return ({
-        datasource_id: 'ASTER',
-        product_id: encodePath('ASTER', 'PERP', ticker.symbol),
-        last_price: `${ticker.price}`,
-        bid_price: `${ticker.price}`,
-        ask_price: `${ticker.price}`,
-        updated_at: new Date((_a = ticker.time) !== null && _a !== void 0 ? _a : Date.now()).toISOString(),
-    });
-}));
-// 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): Partial<IQuote> => ({
-//               datasource_id: 'ASTER',
-//               product_id: encodePath('ASTER', 'PERP', ticker.symbol),
-//               open_interest: `${openInterest ?? 0}`,
-//               updated_at: new Date(ticker.time ?? Date.now()).toISOString(),
-//             }),
-//           ),
-//         ),
-//       ),
-//     ),
-//   ),
-// );
-const quote$ = merge(quoteFromTicker$).pipe(groupBy((quote) => quote.product_id), mergeMap((group$) => group$.pipe(scan((acc, cur) => Object.assign(acc, cur, {
+const quoteFromTicker$ = ticker$.pipe(mergeMap((tickers) => tickers || []), map((ticker) => ({
+    datasource_id: 'ASTER',
+    product_id: encodePath('ASTER', 'PERP', ticker.symbol),
+    last_price: `${ticker.price}`,
+    bid_price: `${ticker.price}`,
+    ask_price: `${ticker.price}`,
+})));
+// Extract unique symbols from ticker stream
+const symbolList$ = ticker$.pipe(map((tickers) => tickers.map((t) => t.symbol)), shareReplay({ bufferSize: 1, refCount: true }));
+// Create a controlled rotation stream for fetching open interest
+// This cycles through all symbols with proper delays, independent of ticker updates
+const OPEN_INTEREST_CYCLE_DELAY = process.env.OPEN_INTEREST_CYCLE_DELAY
+    ? Number(process.env.OPEN_INTEREST_CYCLE_DELAY)
+    : 60000; // 60 seconds between full cycles
+const openInterestRotation$ = combineLatest([symbolList$, requestInterval$]).pipe(exhaustMap(([symbols, requestInterval]) => defer(() => {
+    console.info(`Starting open interest rotation for ${symbols.length} symbols with ${requestInterval}ms interval`);
+    return from(symbols).pipe(concatMap((symbol, index) => (index > 0 ? timer(requestInterval) : of(0)).pipe(mergeMap(() => from(openInterestCache.query(symbol))), map((openInterest) => ({
+        symbol,
+        openInterest: openInterest !== null && openInterest !== void 0 ? openInterest : '0',
+        timestamp: Date.now(),
+    })), catchError((err) => {
+        console.warn(`Failed to fetch open interest for ${symbol}:`, err);
+        return of(undefined);
+    }))));
+})), filter((x) => !!x), shareReplay({ bufferSize: 1000, refCount: true }));
+// Convert open interest rotation data to quote format
+const quoteFromOpenInterest$ = openInterestRotation$.pipe(map((data) => ({
+    datasource_id: 'ASTER',
+    product_id: encodePath('ASTER', 'PERP', data === null || data === void 0 ? void 0 : data.symbol),
+    open_interest: data === null || data === void 0 ? void 0 : data.openInterest,
+})));
+// Funding rate stream - fetches all symbols at once (more efficient than per-symbol)
+const fundingRate$ = defer(() => getFApiV1PremiumIndex({})).pipe(map((data) => {
+    // Handle both single object and array responses
+    const premiumDataArray = Array.isArray(data) ? data : [data];
+    return premiumDataArray;
+}), repeat({ delay: OPEN_INTEREST_CYCLE_DELAY }), retry({ delay: 5000 }), shareReplay({ bufferSize: 1, refCount: true }));
+// Convert funding rate data to quote format
+const quoteFromFundingRate$ = fundingRate$.pipe(mergeMap((premiumDataArray) => premiumDataArray), map((premiumData) => ({
+    datasource_id: 'ASTER',
+    product_id: encodePath('ASTER', 'PERP', premiumData.symbol),
+    interest_rate_long: premiumData.lastFundingRate ? `${-+premiumData.lastFundingRate}` : undefined,
+    interest_rate_short: premiumData.lastFundingRate,
+})));
+const quote$ = merge(quoteFromTicker$, quoteFromOpenInterest$, quoteFromFundingRate$).pipe(groupBy((quote) => quote.product_id), mergeMap((group$) => group$.pipe(scan((acc, cur) => Object.assign(acc, cur, {
     datasource_id: 'ASTER',
     product_id: group$.key,
 }), {}))), shareReplay({ bufferSize: 1, refCount: true }));

package/dist/services/markets/quote.js.map

@@ -1 +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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{ 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  exhaustMap,\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  tap,\n  timer,\n} from 'rxjs';\nimport {\n  getFApiV1ExchangeInfo,\n  getFApiV1OpenInterest,\n  getFApiV1PremiumIndex,\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    }),\n  ),\n);\n\n// Extract unique symbols from ticker stream\nconst symbolList$ = ticker$.pipe(\n  map((tickers) => tickers.map((t) => t.symbol)),\n  shareReplay({ bufferSize: 1, refCount: true }),\n);\n\n// Create a controlled rotation stream for fetching open interest\n// This cycles through all symbols with proper delays, independent of ticker updates\nconst OPEN_INTEREST_CYCLE_DELAY = process.env.OPEN_INTEREST_CYCLE_DELAY\n  ? Number(process.env.OPEN_INTEREST_CYCLE_DELAY)\n  : 60_000; // 60 seconds between full cycles\n\nconst openInterestRotation$ = combineLatest([symbolList$, requestInterval$]).pipe(\n  exhaustMap(([symbols, requestInterval]) =>\n    defer(() => {\n      console.info(\n        `Starting open interest rotation for ${symbols.length} symbols with ${requestInterval}ms interval`,\n      );\n      return from(symbols).pipe(\n        concatMap((symbol, index) =>\n          (index > 0 ? timer(requestInterval) : of(0)).pipe(\n            mergeMap(() => from(openInterestCache.query(symbol))),\n            map((openInterest) => ({\n              symbol,\n              openInterest: openInterest ?? '0',\n              timestamp: Date.now(),\n            })),\n            catchError((err) => {\n              console.warn(`Failed to fetch open interest for ${symbol}:`, err);\n              return of(undefined);\n            }),\n          ),\n        ),\n      );\n    }),\n  ),\n  filter((x) => !!x),\n  shareReplay({ bufferSize: 1000, refCount: true }), // Cache open interest for all symbols\n);\n\n// Convert open interest rotation data to quote format\nconst quoteFromOpenInterest$ = openInterestRotation$.pipe(\n  map(\n    (data): Partial<IQuote> => ({\n      datasource_id: 'ASTER',\n      product_id: encodePath('ASTER', 'PERP', data?.symbol),\n      open_interest: data?.openInterest,\n    }),\n  ),\n);\n\n// Funding rate stream - fetches all symbols at once (more efficient than per-symbol)\nconst fundingRate$ = defer(() => getFApiV1PremiumIndex({})).pipe(\n  map((data) => {\n    // Handle both single object and array responses\n    const premiumDataArray = Array.isArray(data) ? data : [data];\n    return premiumDataArray;\n  }),\n  repeat({ delay: OPEN_INTEREST_CYCLE_DELAY }),\n  retry({ delay: 5000 }),\n  shareReplay({ bufferSize: 1, refCount: true }),\n);\n\n// Convert funding rate data to quote format\nconst quoteFromFundingRate$ = fundingRate$.pipe(\n  mergeMap((premiumDataArray) => premiumDataArray),\n  map(\n    (premiumData): Partial<IQuote> => ({\n      datasource_id: 'ASTER',\n      product_id: encodePath('ASTER', 'PERP', premiumData.symbol),\n      interest_rate_long: premiumData.lastFundingRate ? `${-+premiumData.lastFundingRate}` : undefined,\n      interest_rate_short: premiumData.lastFundingRate,\n    }),\n  ),\n);\n\nconst quote$ = merge(quoteFromTicker$, quoteFromOpenInterest$, quoteFromFundingRate$).pipe(\n  groupBy((quote) => quote.product_id),\n  mergeMap((group$) =>\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

@@ -64,4 +64,29 @@ export declare const getFApiV1TickerPrice: (params: {}) => Promise<{
     price: string;
     time?: number | undefined;
 }[]>;
+/**
+ * 获取资金费率
+ * https://github.com/asterdex/api-docs/blob/master/aster-finance-futures-api_CN.md
+ */
+export declare const getFApiV1PremiumIndex: (params: {
+    symbol?: string | undefined;
+}) => Promise<{
+    symbol: string;
+    markPrice: string;
+    indexPrice: string;
+    estimatedSettlePrice: string;
+    lastFundingRate: string;
+    nextFundingTime: number;
+    interestRate: string;
+    time: number;
+} | {
+    symbol: string;
+    markPrice: string;
+    indexPrice: string;
+    estimatedSettlePrice: string;
+    lastFundingRate: string;
+    nextFundingTime: number;
+    interestRate: string;
+    time: number;
+}[]>;
 //# sourceMappingURL=public-api.d.ts.map

package/lib/api/public-api.d.ts.map

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package/lib/api/public-api.js

@@ -1,6 +1,6 @@
 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
-exports.getFApiV1TickerPrice = exports.getFApiV1OpenInterest = exports.getFApiV1ExchangeInfo = exports.getFApiV1FundingRate = void 0;
+exports.getFApiV1PremiumIndex = exports.getFApiV1TickerPrice = exports.getFApiV1OpenInterest = exports.getFApiV1ExchangeInfo = exports.getFApiV1FundingRate = void 0;
 const BASE_URL = 'https://fapi.asterdex.com';
 const protocol_1 = require("@yuants/protocol");
 const MetricsAsterApiCallCounter = protocol_1.GlobalPrometheusRegistry.counter('aster_api_call', 'Number of aster api call');
@@ -48,4 +48,9 @@ exports.getFApiV1OpenInterest = createApi('GET', '/fapi/v1/openInterest');
  * 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
  */
 exports.getFApiV1TickerPrice = createApi('GET', '/fapi/v1/ticker/price');
+/**
+ * 获取资金费率
+ * https://github.com/asterdex/api-docs/blob/master/aster-finance-futures-api_CN.md
+ */
+exports.getFApiV1PremiumIndex = createApi('GET', '/fapi/v1/premiumIndex');
 //# sourceMappingURL=public-api.js.map

package/lib/api/public-api.js.map

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// 交易对\n      markPrice: string; // 标记价格\n      indexPrice: string; // 指数价格\n      estimatedSettlePrice: string; // 预估结算价,仅在交割开始前最后一小时有意义\n      lastFundingRate: string; // 最近更新的资金费率\n      nextFundingTime: number; // 下次资金费时间\n      interestRate: string; // 标的资产基础利率\n      time: number; // 更新时间\n    }\n  | {\n      symbol: string; // 交易对\n      markPrice: string; // 标记价格\n      indexPrice: string; // 指数价格\n      estimatedSettlePrice: string; // 预估结算价,仅在交割开始前最后一小时有意义\n      lastFundingRate: string; // 最近更新的资金费率\n      nextFundingTime: number; // 下次资金费时间\n      interestRate: string; // 标的资产基础利率\n      time: number; // 更新时间\n    }[]\n>('GET', '/fapi/v1/premiumIndex');\n"]}

package/lib/services/markets/quote.js

@@ -1,5 +1,6 @@
 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
+const cache_1 = require("@yuants/cache");
 const protocol_1 = require("@yuants/protocol");
 const sql_1 = require("@yuants/sql");
 const utils_1 = require("@yuants/utils");
@@ -37,60 +38,66 @@ const getRequestIntervalMs = (rateLimits, fallbackMs) => {
         return fallbackMs;
     return Math.max(fallbackMs, Math.max(...intervals));
 };
-// const openInterestCache = createCache<string>(
-//   async (symbol: string) => {
-//     try {
-//       const data = await getFApiV1OpenInterest({ symbol });
-//       return data.openInterest;
-//     } catch (error) {
-//       console.warn('getFApiV1OpenInterest failed', symbol, error);
-//       return undefined;
-//     }
-//   },
-//   { expire: OPEN_INTEREST_TTL },
-// );
-// const requestInterval$ = defer(() => getFApiV1ExchangeInfo({})).pipe(
-//   map((info) => getRequestIntervalMs(info.rateLimits, DEFAULT_OPEN_INTEREST_REQUEST_INTERVAL_MS)),
-//   catchError((err) => {
-//     console.warn('getFApiV1ExchangeInfo failed when calculating request interval', err);
-//     return of(DEFAULT_OPEN_INTEREST_REQUEST_INTERVAL_MS);
-//   }),
-//   startWith(DEFAULT_OPEN_INTEREST_REQUEST_INTERVAL_MS),
-//   retry({ delay: 60_000 }),
-//   shareReplay({ bufferSize: 1, refCount: true }),
-// );
+const openInterestCache = (0, cache_1.createCache)(async (symbol) => {
+    try {
+        const data = await (0, public_api_1.getFApiV1OpenInterest)({ symbol });
+        return data.openInterest;
+    }
+    catch (error) {
+        console.warn('getFApiV1OpenInterest failed', symbol, error);
+        return undefined;
+    }
+}, { expire: OPEN_INTEREST_TTL });
+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) => {
+    console.warn('getFApiV1ExchangeInfo failed when calculating request interval', err);
+    return (0, rxjs_1.of)(DEFAULT_OPEN_INTEREST_REQUEST_INTERVAL_MS);
+}), (0, rxjs_1.startWith)(DEFAULT_OPEN_INTEREST_REQUEST_INTERVAL_MS), (0, rxjs_1.retry)({ delay: 60000 }), (0, rxjs_1.shareReplay)({ bufferSize: 1, refCount: true }));
 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 }));
-const quoteFromTicker$ = ticker$.pipe((0, rxjs_1.mergeMap)((tickers) => tickers || []), (0, rxjs_1.map)((ticker) => {
-    var _a;
-    return ({
-        datasource_id: 'ASTER',
-        product_id: (0, utils_1.encodePath)('ASTER', 'PERP', ticker.symbol),
-        last_price: `${ticker.price}`,
-        bid_price: `${ticker.price}`,
-        ask_price: `${ticker.price}`,
-        updated_at: new Date((_a = ticker.time) !== null && _a !== void 0 ? _a : Date.now()).toISOString(),
-    });
-}));
-// 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): Partial<IQuote> => ({
-//               datasource_id: 'ASTER',
-//               product_id: encodePath('ASTER', 'PERP', ticker.symbol),
-//               open_interest: `${openInterest ?? 0}`,
-//               updated_at: new Date(ticker.time ?? Date.now()).toISOString(),
-//             }),
-//           ),
-//         ),
-//       ),
-//     ),
-//   ),
-// );
-const quote$ = (0, rxjs_1.merge)(quoteFromTicker$).pipe((0, rxjs_1.groupBy)((quote) => quote.product_id), (0, rxjs_1.mergeMap)((group$) => group$.pipe((0, rxjs_1.scan)((acc, cur) => Object.assign(acc, cur, {
+const quoteFromTicker$ = ticker$.pipe((0, rxjs_1.mergeMap)((tickers) => tickers || []), (0, rxjs_1.map)((ticker) => ({
+    datasource_id: 'ASTER',
+    product_id: (0, utils_1.encodePath)('ASTER', 'PERP', ticker.symbol),
+    last_price: `${ticker.price}`,
+    bid_price: `${ticker.price}`,
+    ask_price: `${ticker.price}`,
+})));
+// Extract unique symbols from ticker stream
+const symbolList$ = ticker$.pipe((0, rxjs_1.map)((tickers) => tickers.map((t) => t.symbol)), (0, rxjs_1.shareReplay)({ bufferSize: 1, refCount: true }));
+// Create a controlled rotation stream for fetching open interest
+// This cycles through all symbols with proper delays, independent of ticker updates
+const OPEN_INTEREST_CYCLE_DELAY = process.env.OPEN_INTEREST_CYCLE_DELAY
+    ? Number(process.env.OPEN_INTEREST_CYCLE_DELAY)
+    : 60000; // 60 seconds between full cycles
+const openInterestRotation$ = (0, rxjs_1.combineLatest)([symbolList$, requestInterval$]).pipe((0, rxjs_1.exhaustMap)(([symbols, requestInterval]) => (0, rxjs_1.defer)(() => {
+    console.info(`Starting open interest rotation for ${symbols.length} symbols with ${requestInterval}ms interval`);
+    return (0, rxjs_1.from)(symbols).pipe((0, rxjs_1.concatMap)((symbol, index) => (index > 0 ? (0, rxjs_1.timer)(requestInterval) : (0, rxjs_1.of)(0)).pipe((0, rxjs_1.mergeMap)(() => (0, rxjs_1.from)(openInterestCache.query(symbol))), (0, rxjs_1.map)((openInterest) => ({
+        symbol,
+        openInterest: openInterest !== null && openInterest !== void 0 ? openInterest : '0',
+        timestamp: Date.now(),
+    })), (0, rxjs_1.catchError)((err) => {
+        console.warn(`Failed to fetch open interest for ${symbol}:`, err);
+        return (0, rxjs_1.of)(undefined);
+    }))));
+})), (0, rxjs_1.filter)((x) => !!x), (0, rxjs_1.shareReplay)({ bufferSize: 1000, refCount: true }));
+// Convert open interest rotation data to quote format
+const quoteFromOpenInterest$ = openInterestRotation$.pipe((0, rxjs_1.map)((data) => ({
+    datasource_id: 'ASTER',
+    product_id: (0, utils_1.encodePath)('ASTER', 'PERP', data === null || data === void 0 ? void 0 : data.symbol),
+    open_interest: data === null || data === void 0 ? void 0 : data.openInterest,
+})));
+// Funding rate stream - fetches all symbols at once (more efficient than per-symbol)
+const fundingRate$ = (0, rxjs_1.defer)(() => (0, public_api_1.getFApiV1PremiumIndex)({})).pipe((0, rxjs_1.map)((data) => {
+    // Handle both single object and array responses
+    const premiumDataArray = Array.isArray(data) ? data : [data];
+    return premiumDataArray;
+}), (0, rxjs_1.repeat)({ delay: OPEN_INTEREST_CYCLE_DELAY }), (0, rxjs_1.retry)({ delay: 5000 }), (0, rxjs_1.shareReplay)({ bufferSize: 1, refCount: true }));
+// Convert funding rate data to quote format
+const quoteFromFundingRate$ = fundingRate$.pipe((0, rxjs_1.mergeMap)((premiumDataArray) => premiumDataArray), (0, rxjs_1.map)((premiumData) => ({
+    datasource_id: 'ASTER',
+    product_id: (0, utils_1.encodePath)('ASTER', 'PERP', premiumData.symbol),
+    interest_rate_long: premiumData.lastFundingRate ? `${-+premiumData.lastFundingRate}` : undefined,
+    interest_rate_short: premiumData.lastFundingRate,
+})));
+const quote$ = (0, rxjs_1.merge)(quoteFromTicker$, quoteFromOpenInterest$, quoteFromFundingRate$).pipe((0, rxjs_1.groupBy)((quote) => quote.product_id), (0, rxjs_1.mergeMap)((group$) => group$.pipe((0, rxjs_1.scan)((acc, cur) => Object.assign(acc, cur, {
     datasource_id: 'ASTER',
     product_id: group$.key,
 }), {}))), (0, rxjs_1.shareReplay)({ bufferSize: 1, refCount: true }));

package/lib/services/markets/quote.js.map

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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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{ 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  exhaustMap,\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  tap,\n  timer,\n} from 'rxjs';\nimport {\n  getFApiV1ExchangeInfo,\n  getFApiV1OpenInterest,\n  getFApiV1PremiumIndex,\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    }),\n  ),\n);\n\n// Extract unique symbols from ticker stream\nconst symbolList$ = ticker$.pipe(\n  map((tickers) => tickers.map((t) => t.symbol)),\n  shareReplay({ bufferSize: 1, refCount: true }),\n);\n\n// Create a controlled rotation stream for fetching open interest\n// This cycles through all symbols with proper delays, independent of ticker updates\nconst OPEN_INTEREST_CYCLE_DELAY = process.env.OPEN_INTEREST_CYCLE_DELAY\n  ? Number(process.env.OPEN_INTEREST_CYCLE_DELAY)\n  : 60_000; // 60 seconds between full cycles\n\nconst openInterestRotation$ = combineLatest([symbolList$, requestInterval$]).pipe(\n  exhaustMap(([symbols, requestInterval]) =>\n    defer(() => {\n      console.info(\n        `Starting open interest rotation for ${symbols.length} symbols with ${requestInterval}ms interval`,\n      );\n      return from(symbols).pipe(\n        concatMap((symbol, index) =>\n          (index > 0 ? timer(requestInterval) : of(0)).pipe(\n            mergeMap(() => from(openInterestCache.query(symbol))),\n            map((openInterest) => ({\n              symbol,\n              openInterest: openInterest ?? '0',\n              timestamp: Date.now(),\n            })),\n            catchError((err) => {\n              console.warn(`Failed to fetch open interest for ${symbol}:`, err);\n              return of(undefined);\n            }),\n          ),\n        ),\n      );\n    }),\n  ),\n  filter((x) => !!x),\n  shareReplay({ bufferSize: 1000, refCount: true }), // Cache open interest for all symbols\n);\n\n// Convert open interest rotation data to quote format\nconst quoteFromOpenInterest$ = openInterestRotation$.pipe(\n  map(\n    (data): Partial<IQuote> => ({\n      datasource_id: 'ASTER',\n      product_id: encodePath('ASTER', 'PERP', data?.symbol),\n      open_interest: data?.openInterest,\n    }),\n  ),\n);\n\n// Funding rate stream - fetches all symbols at once (more efficient than per-symbol)\nconst fundingRate$ = defer(() => getFApiV1PremiumIndex({})).pipe(\n  map((data) => {\n    // Handle both single object and array responses\n    const premiumDataArray = Array.isArray(data) ? data : [data];\n    return premiumDataArray;\n  }),\n  repeat({ delay: OPEN_INTEREST_CYCLE_DELAY }),\n  retry({ delay: 5000 }),\n  shareReplay({ bufferSize: 1, refCount: true }),\n);\n\n// Convert funding rate data to quote format\nconst quoteFromFundingRate$ = fundingRate$.pipe(\n  mergeMap((premiumDataArray) => premiumDataArray),\n  map(\n    (premiumData): Partial<IQuote> => ({\n      datasource_id: 'ASTER',\n      product_id: encodePath('ASTER', 'PERP', premiumData.symbol),\n      interest_rate_long: premiumData.lastFundingRate ? `${-+premiumData.lastFundingRate}` : undefined,\n      interest_rate_short: premiumData.lastFundingRate,\n    }),\n  ),\n);\n\nconst quote$ = merge(quoteFromTicker$, quoteFromOpenInterest$, quoteFromFundingRate$).pipe(\n  groupBy((quote) => quote.product_id),\n  mergeMap((group$) =>\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

@@ -1,6 +1,6 @@
 {
 	"name": "@yuants/vendor-aster",
-	"version": "0.7.19",
+	"version": "0.7.20",
 	"main": "lib/index.js",
 	"files": [
 		"dist",

package/temp/package-deps.json

@@ -1,21 +1,21 @@
 {
     "apps/vendor-aster/AGENTS.md": "dcd006d19a5c3b73081525d7c0afea68cd6d058b",
-    "apps/vendor-aster/CHANGELOG.json": "098dec2b340192274d0d57ddf0231acbaf2c6a9e",
-    "apps/vendor-aster/CHANGELOG.md": "d31cd102a161c5a49511f7a197d21795bdf64d69",
+    "apps/vendor-aster/CHANGELOG.json": "ed645a9b95139905994bbb3a49d1d28721a31619",
+    "apps/vendor-aster/CHANGELOG.md": "7fe7f275a2fc807b58d175dea35ff3afb510e414",
     "apps/vendor-aster/SESSION_NOTES.md": "8a7aaa694e6428ef6e1ef14096e5c3ee00c42152",
     "apps/vendor-aster/config/jest.config.json": "4bb17bde3ee911163a3edb36a6eb71491d80b1bd",
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