@yuants/vendor-aster 0.9.2 → 0.9.4
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.
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@@ -6,6 +6,7 @@ import { decodePath, encodePath } from '@yuants/utils';
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import { catchError, combineLatest, concatMap, defer, exhaustMap, filter, from, groupBy, map, merge, mergeMap, of, repeat, retry, scan, shareReplay, startWith, timer, } from 'rxjs';
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import { getFApiV1ExchangeInfo, getFApiV1OpenInterest, getFApiV1PremiumIndex, getFApiV1TickerPrice, } from '../../api/public-api';
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const terminal = Terminal.fromNodeEnv();
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9
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const DISABLE_OPEN_INTEREST = process.env.DISABLE_OPEN_INTEREST === 'true';
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const DEFAULT_OPEN_INTEREST_REQUEST_INTERVAL_MS = 500;
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const OPEN_INTEREST_TTL = process.env.OPEN_INTEREST_TTL ? Number(process.env.OPEN_INTEREST_TTL) : 120000;
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const toIntervalMs = (interval, intervalNum) => {
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@@ -96,7 +97,7 @@ const quoteFromFundingRate$ = fundingRate$.pipe(mergeMap((premiumDataArray) => p
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interest_rate_long: premiumData.lastFundingRate ? `${-+premiumData.lastFundingRate}` : undefined,
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interest_rate_short: premiumData.lastFundingRate,
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})));
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-
const quote$ = merge(quoteFromTicker$,
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const quote$ = merge(quoteFromTicker$, quoteFromFundingRate$, DISABLE_OPEN_INTEREST ? of() : quoteFromOpenInterest$).pipe(groupBy((quote) => quote.product_id), mergeMap((group$) => group$.pipe(scan((acc, cur) => Object.assign(acc, cur, {
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datasource_id: 'ASTER',
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product_id: group$.key,
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}), {}))), shareReplay({ bufferSize: 1, refCount: true }));
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@@ -1 +1 @@
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1
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-
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{ createCache } from '@yuants/cache';\nimport { setMetricsQuoteState, 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 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 setMetricsQuoteState(terminal.terminal_id),\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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+
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{ createCache } from '@yuants/cache';\nimport { setMetricsQuoteState, 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 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 DISABLE_OPEN_INTEREST = process.env.DISABLE_OPEN_INTEREST === 'true';\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(\n quoteFromTicker$,\n quoteFromFundingRate$,\n DISABLE_OPEN_INTEREST ? of() : 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 setMetricsQuoteState(terminal.terminal_id),\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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@@ -8,6 +8,7 @@ const utils_1 = require("@yuants/utils");
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8
8
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const rxjs_1 = require("rxjs");
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9
9
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const public_api_1 = require("../../api/public-api");
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10
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const terminal = protocol_1.Terminal.fromNodeEnv();
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+
const DISABLE_OPEN_INTEREST = process.env.DISABLE_OPEN_INTEREST === 'true';
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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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13
14
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const toIntervalMs = (interval, intervalNum) => {
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@@ -98,7 +99,7 @@ const quoteFromFundingRate$ = fundingRate$.pipe((0, rxjs_1.mergeMap)((premiumDat
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interest_rate_long: premiumData.lastFundingRate ? `${-+premiumData.lastFundingRate}` : undefined,
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interest_rate_short: premiumData.lastFundingRate,
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})));
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101
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-
const quote$ = (0, rxjs_1.merge)(quoteFromTicker$,
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+
const quote$ = (0, rxjs_1.merge)(quoteFromTicker$, quoteFromFundingRate$, DISABLE_OPEN_INTEREST ? (0, rxjs_1.of)() : quoteFromOpenInterest$).pipe((0, rxjs_1.groupBy)((quote) => quote.product_id), (0, rxjs_1.mergeMap)((group$) => group$.pipe((0, rxjs_1.scan)((acc, cur) => Object.assign(acc, cur, {
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datasource_id: 'ASTER',
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103
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product_id: group$.key,
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}), {}))), (0, rxjs_1.shareReplay)({ bufferSize: 1, refCount: true }));
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@@ -1 +1 @@
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1
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-
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{ createCache } from '@yuants/cache';\nimport { setMetricsQuoteState, 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 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 setMetricsQuoteState(terminal.terminal_id),\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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+
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{ createCache } from '@yuants/cache';\nimport { setMetricsQuoteState, 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 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 DISABLE_OPEN_INTEREST = process.env.DISABLE_OPEN_INTEREST === 'true';\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(\n quoteFromTicker$,\n quoteFromFundingRate$,\n DISABLE_OPEN_INTEREST ? of() : 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 setMetricsQuoteState(terminal.terminal_id),\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/package.json
CHANGED
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@@ -1,6 +1,6 @@
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1
1
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{
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|
2
2
|
"name": "@yuants/vendor-aster",
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3
|
-
"version": "0.9.
|
|
3
|
+
"version": "0.9.4",
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|
4
4
|
"main": "lib/index.js",
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5
5
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"files": [
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6
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"dist",
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@@ -8,19 +8,19 @@
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8
8
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"temp"
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9
9
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],
|
|
10
10
|
"dependencies": {
|
|
11
|
-
"@yuants/protocol": "0.53.
|
|
12
|
-
"@yuants/cache": "0.3.
|
|
13
|
-
"@yuants/data-account": "0.11.
|
|
14
|
-
"@yuants/utils": "0.
|
|
15
|
-
"@yuants/data-series": "0.3.
|
|
16
|
-
"@yuants/sql": "0.9.
|
|
17
|
-
"@yuants/data-product": "0.5.
|
|
18
|
-
"@yuants/data-ohlc": "0.5.
|
|
19
|
-
"@yuants/data-order": "0.7.
|
|
20
|
-
"@yuants/data-interest-rate": "0.2.
|
|
21
|
-
"@yuants/transfer": "0.2.
|
|
22
|
-
"@yuants/data-quote": "0.4.
|
|
23
|
-
"@yuants/exchange": "0.8.
|
|
11
|
+
"@yuants/protocol": "0.53.6",
|
|
12
|
+
"@yuants/cache": "0.3.7",
|
|
13
|
+
"@yuants/data-account": "0.11.3",
|
|
14
|
+
"@yuants/utils": "0.18.0",
|
|
15
|
+
"@yuants/data-series": "0.3.56",
|
|
16
|
+
"@yuants/sql": "0.9.34",
|
|
17
|
+
"@yuants/data-product": "0.5.4",
|
|
18
|
+
"@yuants/data-ohlc": "0.5.2",
|
|
19
|
+
"@yuants/data-order": "0.7.4",
|
|
20
|
+
"@yuants/data-interest-rate": "0.2.2",
|
|
21
|
+
"@yuants/transfer": "0.2.43",
|
|
22
|
+
"@yuants/data-quote": "0.4.3",
|
|
23
|
+
"@yuants/exchange": "0.8.4",
|
|
24
24
|
"rxjs": "~7.5.6"
|
|
25
25
|
},
|
|
26
26
|
"devDependencies": {
|
|
@@ -30,7 +30,7 @@
|
|
|
30
30
|
"@rushstack/heft-node-rig": "~1.10.7",
|
|
31
31
|
"@types/heft-jest": "1.0.3",
|
|
32
32
|
"@types/node": "22",
|
|
33
|
-
"@yuants/extension": "0.2.
|
|
33
|
+
"@yuants/extension": "0.2.35",
|
|
34
34
|
"@yuants/tool-kit": "0.2.1",
|
|
35
35
|
"typescript": "~4.7.4",
|
|
36
36
|
"ts-node": "~10.9.2"
|
package/temp/package-deps.json
CHANGED
|
@@ -1,12 +1,12 @@
|
|
|
1
1
|
{
|
|
2
2
|
"apps/vendor-aster/AGENTS.md": "dcd006d19a5c3b73081525d7c0afea68cd6d058b",
|
|
3
|
-
"apps/vendor-aster/CHANGELOG.json": "
|
|
4
|
-
"apps/vendor-aster/CHANGELOG.md": "
|
|
3
|
+
"apps/vendor-aster/CHANGELOG.json": "60a312aa8a8239ed29071af8ef987ab43e4ca440",
|
|
4
|
+
"apps/vendor-aster/CHANGELOG.md": "d4a6a11d7639f83b1111cd05fba8893342764756",
|
|
5
5
|
"apps/vendor-aster/SESSION_NOTES.md": "d91f7a251d148fab1715b6da62395455edcb3b93",
|
|
6
6
|
"apps/vendor-aster/config/jest.config.json": "4bb17bde3ee911163a3edb36a6eb71491d80b1bd",
|
|
7
7
|
"apps/vendor-aster/config/rig.json": "f6c7b5537dc77a3170ba9f008bae3b6c3ee11956",
|
|
8
8
|
"apps/vendor-aster/config/typescript.json": "854907e8a821f2050f6533368db160c649c25348",
|
|
9
|
-
"apps/vendor-aster/package.json": "
|
|
9
|
+
"apps/vendor-aster/package.json": "8703601d2669ba91643d85fef19a78fa21209c0d",
|
|
10
10
|
"apps/vendor-aster/src/api/private-api.ts": "b3288706373f8917be480210f8f02074890d5b34",
|
|
11
11
|
"apps/vendor-aster/src/api/public-api.ts": "a20ac4c4465ab3e75e2dc024adc12ecc19422375",
|
|
12
12
|
"apps/vendor-aster/src/index.ts": "1decd1aabd3e77bc7a678427a42a9fa5fa84cf29",
|
|
@@ -16,7 +16,7 @@
|
|
|
16
16
|
"apps/vendor-aster/src/services/interest-rate-service.ts": "1b6061601c8c3712c0c18174d997a5589adef02c",
|
|
17
17
|
"apps/vendor-aster/src/services/markets/interest_rate.ts": "8512bb506f3d66b16aceb9d153d1b3a4671de5ef",
|
|
18
18
|
"apps/vendor-aster/src/services/markets/product.ts": "cae86f69c6f019747ebad07569ed2bc862a78ac6",
|
|
19
|
-
"apps/vendor-aster/src/services/markets/quote.ts": "
|
|
19
|
+
"apps/vendor-aster/src/services/markets/quote.ts": "919314f9e146c11678205467fc2a6ad4cdb180ac",
|
|
20
20
|
"apps/vendor-aster/src/services/ohlc-service.ts": "6856f141561d53ec709c15b66e36744ae99323dc",
|
|
21
21
|
"apps/vendor-aster/src/services/orders/cancelOrder.ts": "09a6d3b10a218ad226346dd68d0ff0207083a7f1",
|
|
22
22
|
"apps/vendor-aster/src/services/orders/listOrders.ts": "579e83c45f6c4435ad3f5a2d3fe163a036bb9fd1",
|
|
@@ -24,19 +24,19 @@
|
|
|
24
24
|
"apps/vendor-aster/src/services/quotes.ts": "9e93bc9a89a26018fd50f9ca845897334f2429ce",
|
|
25
25
|
"apps/vendor-aster/tsconfig.json": "81da8f78196974b5d15da0edb6b2d9f48641063c",
|
|
26
26
|
"apps/vendor-aster/.rush/temp/shrinkwrap-deps.json": "5ded440ffb547a8aa495353d5b13c1fd1b164b4a",
|
|
27
|
-
"libraries/protocol/temp/package-deps.json": "
|
|
28
|
-
"libraries/cache/temp/package-deps.json": "
|
|
29
|
-
"libraries/data-account/temp/package-deps.json": "
|
|
30
|
-
"libraries/utils/temp/package-deps.json": "
|
|
31
|
-
"libraries/data-series/temp/package-deps.json": "
|
|
32
|
-
"libraries/sql/temp/package-deps.json": "
|
|
33
|
-
"libraries/data-product/temp/package-deps.json": "
|
|
34
|
-
"libraries/data-ohlc/temp/package-deps.json": "
|
|
35
|
-
"libraries/data-order/temp/package-deps.json": "
|
|
36
|
-
"libraries/data-interest-rate/temp/package-deps.json": "
|
|
37
|
-
"libraries/transfer/temp/package-deps.json": "
|
|
38
|
-
"libraries/data-quote/temp/package-deps.json": "
|
|
39
|
-
"libraries/exchange/temp/package-deps.json": "
|
|
40
|
-
"libraries/extension/temp/package-deps.json": "
|
|
27
|
+
"libraries/protocol/temp/package-deps.json": "ad2b09da06aa0b6d98e9ca145c3da7c8418f30d1",
|
|
28
|
+
"libraries/cache/temp/package-deps.json": "8faf993aa54072a8cc7773ca9502618ec1660be1",
|
|
29
|
+
"libraries/data-account/temp/package-deps.json": "ec07276e124d707820e348948c8689cd4b4d5a84",
|
|
30
|
+
"libraries/utils/temp/package-deps.json": "6afd4e6b9f8348c0c24e05f7289101fc6b8fa5a9",
|
|
31
|
+
"libraries/data-series/temp/package-deps.json": "6744fc1995bb77846daccced427210187b5e774f",
|
|
32
|
+
"libraries/sql/temp/package-deps.json": "1fb8bcfa1bd3912150e7567770b065794a3b2138",
|
|
33
|
+
"libraries/data-product/temp/package-deps.json": "77b545e27fbd147bf5fded94beb5baaa33687563",
|
|
34
|
+
"libraries/data-ohlc/temp/package-deps.json": "f6a0a2248e237fe960daf27c93071ec1c3235fa3",
|
|
35
|
+
"libraries/data-order/temp/package-deps.json": "d2826719d6e1f86ad64cfe6556a0f61352e02897",
|
|
36
|
+
"libraries/data-interest-rate/temp/package-deps.json": "d1a26e2ed8d3ecd147e0b3a897927720d7760597",
|
|
37
|
+
"libraries/transfer/temp/package-deps.json": "52cd9bb451ece058b39c7a7b08dd3fef1a57b934",
|
|
38
|
+
"libraries/data-quote/temp/package-deps.json": "5aa2671e9a9e7b94827a8891049c4af5eefe757e",
|
|
39
|
+
"libraries/exchange/temp/package-deps.json": "8315951811f0278801081fe8e48ba07213af6816",
|
|
40
|
+
"libraries/extension/temp/package-deps.json": "d0a314f466619661a85b5fa9cc12ffe0b427864b",
|
|
41
41
|
"tools/toolkit/temp/package-deps.json": "23e053490eb8feade23e4d45de4e54883e322711"
|
|
42
42
|
}
|