@yuants/vendor-binance 0.10.8 → 0.10.10
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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@@ -2,11 +2,44 @@ import { createCache } from '@yuants/cache';
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2
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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, formatTime } from '@yuants/utils';
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5
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-
import { defer, filter, from, groupBy, map, merge, mergeMap, repeat, retry, scan, share, shareReplay, } from 'rxjs';
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5
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import { catchError, combineLatest, concatMap, defer, exhaustMap, filter, from, groupBy, map, merge, mergeMap, of, repeat, retry, scan, share, shareReplay, tap, timer, } from 'rxjs';
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import { getMarginAllPairs, getMarginNextHourlyInterestRate } from '../api/private-api';
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7
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import { getFutureBookTicker, getFutureOpenInterest, getFuturePremiumIndex, getSpotBookTicker, } from '../api/public-api';
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7
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import { getFutureBookTicker, getFutureExchangeInfo, getFutureOpenInterest, getFuturePremiumIndex, getSpotBookTicker, getSpotExchangeInfo, } from '../api/public-api';
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const terminal = Terminal.fromNodeEnv();
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9
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const
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const DEFAULT_OPEN_INTEREST_REQUEST_INTERVAL_MS = 500;
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const DEFAULT_MARGIN_RATE_REQUEST_INTERVAL_MS = 500;
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const OPEN_INTEREST_TTL = process.env.OPEN_INTEREST_TTL ? Number(process.env.OPEN_INTEREST_TTL) : 300000;
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12
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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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console.info('!!!!!', item, duration);
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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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console.info('!!!!!', intervals);
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if (!intervals.length)
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return fallbackMs;
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return Math.max(fallbackMs, Math.max(...intervals));
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};
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const openInterestCache = createCache(async (symbol) => {
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var _a;
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try {
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@@ -20,6 +53,12 @@ const openInterestCache = createCache(async (symbol) => {
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}, {
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expire: OPEN_INTEREST_TTL,
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});
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const futureRequestInterval$ = defer(() => getFutureExchangeInfo()).pipe(map((info) => getRequestIntervalMs(info.rateLimits, DEFAULT_OPEN_INTEREST_REQUEST_INTERVAL_MS)), catchError((err) => {
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console.warn('getFutureExchangeInfo failed when calculating request interval', err);
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return of(DEFAULT_OPEN_INTEREST_REQUEST_INTERVAL_MS);
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}), retry({ delay: 60000 }), shareReplay({ bufferSize: 1, refCount: true }), tap((v) => {
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console.info(`!!!!Determined future request interval: ${v} ms`);
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}));
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const futurePremiumIndex$ = defer(() => getFuturePremiumIndex({})).pipe(repeat({ delay: 1000 }), retry({ delay: 30000 }), shareReplay({ bufferSize: 1, refCount: true }));
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const futureBookTicker$ = defer(() => getFutureBookTicker({})).pipe(repeat({ delay: 1000 }), retry({ delay: 30000 }), shareReplay({ bufferSize: 1, refCount: true }));
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const quoteFromPremiumIndex$ = futurePremiumIndex$.pipe(mergeMap((entries) => from(entries || [])), map((entry) => {
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@@ -45,11 +84,11 @@ const quoteFromBookTicker$ = futureBookTicker$.pipe(mergeMap((entries) => from(e
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updated_at: formatTime((_a = entry.time) !== null && _a !== void 0 ? _a : Date.now()),
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});
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}));
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const quoteFromOpenInterest$ = futureBookTicker
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const quoteFromOpenInterest$ = combineLatest([futureBookTicker$, futureRequestInterval$]).pipe(exhaustMap(([entries, requestInterval]) => from(entries || []).pipe(concatMap((entry, index) => (index > 0 ? timer(requestInterval) : of(0)).pipe(mergeMap(() => from(openInterestCache.query(entry.symbol))), map((openInterest) => ({
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datasource_id: 'BINANCE',
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product_id: encodePath('BINANCE', 'USDT-FUTURE', entry.symbol),
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open_interest: `${openInterest !== null && openInterest !== void 0 ? openInterest : 0}`,
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})))
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})))))));
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const quoteFromSpotBookTicker$ = defer(() => getSpotBookTicker({})).pipe(mergeMap((entries) => from(entries || [])), map((entry) => ({
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datasource_id: 'BINANCE',
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product_id: encodePath('BINANCE', 'SPOT', entry.symbol),
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@@ -74,22 +113,31 @@ const marginInterestRateCache = createCache(async (asset) => {
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}, {
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expire: 60000,
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});
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const marginPairs$ = defer(() => getMarginAllPairs()).pipe(
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const marginPairs$ = defer(() => getMarginAllPairs()).pipe(map((pairs) => {
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if (!Array.isArray(pairs)) {
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console.warn('getMarginAllPairs returned non-array payload', pairs);
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return [];
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}
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return pairs;
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}), catchError((err) => {
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console.warn('getMarginAllPairs failed', err);
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return of([]);
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}), repeat({ delay: 3600000 }), // Refresh pair list hourly
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retry({ delay: 60000 }), shareReplay({ bufferSize: 1, refCount: true }));
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const
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})
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const spotRequestInterval$ = defer(() => getSpotExchangeInfo()).pipe(map((info) => getRequestIntervalMs(info.rateLimits, DEFAULT_MARGIN_RATE_REQUEST_INTERVAL_MS)), catchError((err) => {
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console.warn('getSpotExchangeInfo failed when calculating request interval', err);
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return of(DEFAULT_MARGIN_RATE_REQUEST_INTERVAL_MS);
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}), retry({ delay: 60000 }), shareReplay({ bufferSize: 1, refCount: true }), tap((v) => {
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console.info(`!!!!Determined spot request interval: ${v} ms`);
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}));
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const quoteFromMarginRates$ = combineLatest([marginPairs$, spotRequestInterval$]).pipe(mergeMap(([pairs, requestInterval]) => from(pairs).pipe(concatMap((pair, index) => (index > 0 ? timer(requestInterval) : of(0)).pipe(mergeMap(() => from(marginInterestRateCache.query(pair.base))), mergeMap((baseRate) => timer(requestInterval).pipe(mergeMap(() => from(marginInterestRateCache.query(pair.quote))), map((quoteRate) => ({
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datasource_id: 'BINANCE',
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product_id: encodePath('BINANCE', 'SPOT', pair.symbol),
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// User instruction: Long = Quote Rate, Short = Base Rate
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interest_rate_long: quoteRate,
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interest_rate_short: baseRate,
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updated_at: formatTime(Date.now()),
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})))))))), repeat({ delay: 60000 }));
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const quote$ = merge(quoteFromPremiumIndex$, quoteFromBookTicker$, quoteFromOpenInterest$, quoteFromSpotBookTicker$, quoteFromMarginRates$).pipe(groupBy((quote) => quote.product_id), mergeMap((group$) => group$.pipe(scan((acc, cur) => Object.assign(acc, cur, {
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datasource_id: 'BINANCE',
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product_id: group$.key,
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@@ -1 +1 @@
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1
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-
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{ createCache } from '@yuants/cache';\nimport { IQuote } from '@yuants/data-quote';\nimport { Terminal } from '@yuants/protocol';\nimport { writeToSQL } from '@yuants/sql';\nimport { decodePath, encodePath, formatTime } from '@yuants/utils';\nimport {\n defer,\n filter,\n from,\n groupBy,\n map,\n merge,\n mergeMap,\n repeat,\n retry,\n scan,\n share,\n shareReplay,\n} from 'rxjs';\nimport { getMarginAllPairs, getMarginNextHourlyInterestRate, IMarginPair } from '../api/private-api';\nimport {\n getFutureBookTicker,\n getFutureOpenInterest,\n getFuturePremiumIndex,\n getSpotBookTicker,\n} from '../api/public-api';\n\nconst terminal = Terminal.fromNodeEnv();\nconst OPEN_INTEREST_TTL = process.env.OPEN_INTEREST_TTL ? Number(process.env.OPEN_INTEREST_TTL) : 120_000;\n\nconst openInterestCache = createCache<number>(\n async (symbol: string) => {\n try {\n const data = await getFutureOpenInterest({ symbol });\n return Number(data.openInterest ?? 0);\n } catch (err) {\n console.warn('getFutureOpenInterest failed', symbol, err);\n return undefined;\n }\n },\n {\n expire: OPEN_INTEREST_TTL,\n },\n);\n\nconst futurePremiumIndex$ = defer(() => getFuturePremiumIndex({})).pipe(\n repeat({ delay: 1_000 }),\n retry({ delay: 30_000 }),\n shareReplay({ bufferSize: 1, refCount: true }),\n);\n\nconst futureBookTicker$ = defer(() => getFutureBookTicker({})).pipe(\n repeat({ delay: 1_000 }),\n retry({ delay: 30_000 }),\n shareReplay({ bufferSize: 1, refCount: true }),\n);\n\nconst quoteFromPremiumIndex$ = futurePremiumIndex$.pipe(\n mergeMap((entries) => from(entries || [])),\n map(\n (entry): Partial<IQuote> => ({\n datasource_id: 'BINANCE',\n product_id: encodePath('BINANCE', 'USDT-FUTURE', entry.symbol),\n last_price: entry.markPrice,\n // Use the latest funding rate so that long pays when fundingRate > 0\n interest_rate_long: `${-Number(entry.lastFundingRate)}`,\n interest_rate_short: entry.lastFundingRate,\n interest_rate_next_settled_at: formatTime(entry.nextFundingTime),\n updated_at: formatTime(entry.time ?? Date.now()),\n }),\n ),\n);\n\nconst quoteFromBookTicker$ = futureBookTicker$.pipe(\n mergeMap((entries) => from(entries || [])),\n map(\n (entry): Partial<IQuote> => ({\n datasource_id: 'BINANCE',\n product_id: encodePath('BINANCE', 'USDT-FUTURE', entry.symbol),\n bid_price: entry.bidPrice,\n ask_price: entry.askPrice,\n updated_at: formatTime(entry.time ?? Date.now()),\n }),\n ),\n);\n\nconst quoteFromOpenInterest$ = futureBookTicker$.pipe(\n mergeMap((entries) => from(entries || [])),\n mergeMap(\n (entry) =>\n from(openInterestCache.query(entry.symbol)).pipe(\n map(\n (openInterest): Partial<IQuote> => ({\n datasource_id: 'BINANCE',\n product_id: encodePath('BINANCE', 'USDT-FUTURE', entry.symbol),\n open_interest: `${openInterest ?? 0}`,\n }),\n ),\n ),\n 5,\n ),\n);\n\nconst quoteFromSpotBookTicker$ = defer(() => getSpotBookTicker({})).pipe(\n mergeMap((entries) => from(entries || [])),\n map(\n (entry): Partial<IQuote> => ({\n datasource_id: 'BINANCE',\n product_id: encodePath('BINANCE', 'SPOT', entry.symbol),\n bid_price: entry.bidPrice,\n ask_price: entry.askPrice,\n bid_volume: entry.bidQty,\n ask_volume: entry.askQty,\n updated_at: formatTime(Date.now()),\n }),\n ),\n repeat({ delay: 1_000 }),\n retry({ delay: 30_000 }),\n shareReplay({ bufferSize: 1, refCount: true }),\n);\n\nconst marginInterestRateCache = createCache<string>(\n async (asset: string) => {\n try {\n const data = await getMarginNextHourlyInterestRate({\n assets: asset,\n isIsolated: false,\n });\n return data[0]?.nextHourlyInterestRate;\n } catch (err) {\n return undefined;\n }\n },\n {\n expire: 60_000,\n },\n);\n\nconst marginPairs$ = defer(() => getMarginAllPairs()).pipe(\n repeat({ delay: 3600_000 }), // Refresh pair list hourly\n retry({ delay: 60_000 }),\n shareReplay({ bufferSize: 1, refCount: true }),\n);\n\nconst quoteFromMarginRates$ = marginPairs$.pipe(\n mergeMap((pairs: IMarginPair[]) =>\n from(pairs).pipe(\n mergeMap(\n (pair) =>\n defer(async () => {\n const [baseRate, quoteRate] = await Promise.all([\n marginInterestRateCache.query(pair.base),\n marginInterestRateCache.query(pair.quote),\n ]);\n return {\n datasource_id: 'BINANCE',\n product_id: encodePath('BINANCE', 'SPOT', pair.symbol),\n // User instruction: Long = Quote Rate, Short = Base Rate\n interest_rate_long: quoteRate,\n interest_rate_short: baseRate,\n updated_at: formatTime(Date.now()),\n } as Partial<IQuote>;\n }),\n 5, // Concurrency\n ),\n ),\n ),\n repeat({ delay: 60_000 }),\n);\n\nconst quote$ = merge(\n quoteFromPremiumIndex$,\n quoteFromBookTicker$,\n quoteFromOpenInterest$,\n quoteFromSpotBookTicker$,\n quoteFromMarginRates$,\n).pipe(\n groupBy((quote) => quote.product_id),\n mergeMap((group$) =>\n group$.pipe(\n scan(\n (acc, cur) =>\n Object.assign(acc, cur, {\n datasource_id: 'BINANCE',\n product_id: group$.key,\n }),\n {} as Partial<IQuote>,\n ),\n ),\n ),\n share(),\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: 1_000,\n conflictKeys: ['datasource_id', 'product_id'],\n }),\n )\n .subscribe();\n\n terminal.channel.publishChannel('quote', { pattern: '^BINANCE/' }, (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 { IQuote } from '@yuants/data-quote';\nimport { Terminal } from '@yuants/protocol';\nimport { writeToSQL } from '@yuants/sql';\nimport { decodePath, encodePath, formatTime } 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 share,\n shareReplay,\n startWith,\n tap,\n timer,\n} from 'rxjs';\nimport { getMarginAllPairs, getMarginNextHourlyInterestRate, IMarginPair } from '../api/private-api';\nimport {\n getFutureBookTicker,\n getFutureExchangeInfo,\n getFutureOpenInterest,\n getFuturePremiumIndex,\n getSpotBookTicker,\n getSpotExchangeInfo,\n} from '../api/public-api';\n\nconst terminal = Terminal.fromNodeEnv();\nconst DEFAULT_OPEN_INTEREST_REQUEST_INTERVAL_MS = 500;\nconst DEFAULT_MARGIN_RATE_REQUEST_INTERVAL_MS = 500;\nconst OPEN_INTEREST_TTL = process.env.OPEN_INTEREST_TTL ? Number(process.env.OPEN_INTEREST_TTL) : 300_000;\n\ninterface IRateLimit {\n rateLimitType?: string;\n interval?: string;\n intervalNum?: number;\n limit?: number;\n}\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: IRateLimit[] | 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 console.info('!!!!!', item, duration);\n const limit = item.limit;\n if (duration == null || limit == null || limit <= 0) continue;\n intervals.push(Math.ceil(duration / limit));\n }\n console.info('!!!!!', intervals);\n if (!intervals.length) return fallbackMs;\n return Math.max(fallbackMs, Math.max(...intervals));\n};\n\nconst openInterestCache = createCache<number>(\n async (symbol: string) => {\n try {\n const data = await getFutureOpenInterest({ symbol });\n return Number(data.openInterest ?? 0);\n } catch (err) {\n console.warn('getFutureOpenInterest failed', symbol, err);\n return undefined;\n }\n },\n {\n expire: OPEN_INTEREST_TTL,\n },\n);\n\nconst futureRequestInterval$ = defer(() => getFutureExchangeInfo()).pipe(\n map((info) => getRequestIntervalMs(info.rateLimits, DEFAULT_OPEN_INTEREST_REQUEST_INTERVAL_MS)),\n catchError((err) => {\n console.warn('getFutureExchangeInfo failed when calculating request interval', err);\n return of(DEFAULT_OPEN_INTEREST_REQUEST_INTERVAL_MS);\n }),\n retry({ delay: 60_000 }),\n shareReplay({ bufferSize: 1, refCount: true }),\n tap((v) => {\n console.info(`!!!!Determined future request interval: ${v} ms`);\n }),\n);\n\nconst futurePremiumIndex$ = defer(() => getFuturePremiumIndex({})).pipe(\n repeat({ delay: 1_000 }),\n retry({ delay: 30_000 }),\n shareReplay({ bufferSize: 1, refCount: true }),\n);\n\nconst futureBookTicker$ = defer(() => getFutureBookTicker({})).pipe(\n repeat({ delay: 1_000 }),\n retry({ delay: 30_000 }),\n shareReplay({ bufferSize: 1, refCount: true }),\n);\n\nconst quoteFromPremiumIndex$ = futurePremiumIndex$.pipe(\n mergeMap((entries) => from(entries || [])),\n map(\n (entry): Partial<IQuote> => ({\n datasource_id: 'BINANCE',\n product_id: encodePath('BINANCE', 'USDT-FUTURE', entry.symbol),\n last_price: entry.markPrice,\n // Use the latest funding rate so that long pays when fundingRate > 0\n interest_rate_long: `${-Number(entry.lastFundingRate)}`,\n interest_rate_short: entry.lastFundingRate,\n interest_rate_next_settled_at: formatTime(entry.nextFundingTime),\n updated_at: formatTime(entry.time ?? Date.now()),\n }),\n ),\n);\n\nconst quoteFromBookTicker$ = futureBookTicker$.pipe(\n mergeMap((entries) => from(entries || [])),\n map(\n (entry): Partial<IQuote> => ({\n datasource_id: 'BINANCE',\n product_id: encodePath('BINANCE', 'USDT-FUTURE', entry.symbol),\n bid_price: entry.bidPrice,\n ask_price: entry.askPrice,\n updated_at: formatTime(entry.time ?? Date.now()),\n }),\n ),\n);\n\nconst quoteFromOpenInterest$ = combineLatest([futureBookTicker$, futureRequestInterval$]).pipe(\n exhaustMap(([entries, requestInterval]) =>\n from(entries || []).pipe(\n concatMap((entry, index) =>\n (index > 0 ? timer(requestInterval) : of(0)).pipe(\n mergeMap(() => from(openInterestCache.query(entry.symbol))),\n map(\n (openInterest): Partial<IQuote> => ({\n datasource_id: 'BINANCE',\n product_id: encodePath('BINANCE', 'USDT-FUTURE', entry.symbol),\n open_interest: `${openInterest ?? 0}`,\n }),\n ),\n ),\n ),\n ),\n ),\n);\n\nconst quoteFromSpotBookTicker$ = defer(() => getSpotBookTicker({})).pipe(\n mergeMap((entries) => from(entries || [])),\n map(\n (entry): Partial<IQuote> => ({\n datasource_id: 'BINANCE',\n product_id: encodePath('BINANCE', 'SPOT', entry.symbol),\n bid_price: entry.bidPrice,\n ask_price: entry.askPrice,\n bid_volume: entry.bidQty,\n ask_volume: entry.askQty,\n updated_at: formatTime(Date.now()),\n }),\n ),\n repeat({ delay: 1_000 }),\n retry({ delay: 30_000 }),\n shareReplay({ bufferSize: 1, refCount: true }),\n);\n\nconst marginInterestRateCache = createCache<string>(\n async (asset: string) => {\n try {\n const data = await getMarginNextHourlyInterestRate({\n assets: asset,\n isIsolated: false,\n });\n return data[0]?.nextHourlyInterestRate;\n } catch (err) {\n return undefined;\n }\n },\n {\n expire: 60_000,\n },\n);\n\nconst marginPairs$ = defer(() => getMarginAllPairs()).pipe(\n map((pairs) => {\n if (!Array.isArray(pairs)) {\n console.warn('getMarginAllPairs returned non-array payload', pairs);\n return [];\n }\n return pairs;\n }),\n catchError((err) => {\n console.warn('getMarginAllPairs failed', err);\n return of([] as IMarginPair[]);\n }),\n repeat({ delay: 3600_000 }), // Refresh pair list hourly\n retry({ delay: 60_000 }),\n shareReplay({ bufferSize: 1, refCount: true }),\n);\n\nconst spotRequestInterval$ = defer(() => getSpotExchangeInfo()).pipe(\n map((info) => getRequestIntervalMs(info.rateLimits, DEFAULT_MARGIN_RATE_REQUEST_INTERVAL_MS)),\n catchError((err) => {\n console.warn('getSpotExchangeInfo failed when calculating request interval', err);\n return of(DEFAULT_MARGIN_RATE_REQUEST_INTERVAL_MS);\n }),\n retry({ delay: 60_000 }),\n shareReplay({ bufferSize: 1, refCount: true }),\n tap((v) => {\n console.info(`!!!!Determined spot request interval: ${v} ms`);\n }),\n);\n\nconst quoteFromMarginRates$ = combineLatest([marginPairs$, spotRequestInterval$]).pipe(\n mergeMap(([pairs, requestInterval]) =>\n from(pairs).pipe(\n concatMap((pair, index) =>\n (index > 0 ? timer(requestInterval) : of(0)).pipe(\n mergeMap(() => from(marginInterestRateCache.query(pair.base))),\n mergeMap((baseRate) =>\n timer(requestInterval).pipe(\n mergeMap(() => from(marginInterestRateCache.query(pair.quote))),\n map(\n (quoteRate): Partial<IQuote> => ({\n datasource_id: 'BINANCE',\n product_id: encodePath('BINANCE', 'SPOT', pair.symbol),\n // User instruction: Long = Quote Rate, Short = Base Rate\n interest_rate_long: quoteRate,\n interest_rate_short: baseRate,\n updated_at: formatTime(Date.now()),\n }),\n ),\n ),\n ),\n ),\n ),\n ),\n ),\n repeat({ delay: 60_000 }),\n);\n\nconst quote$ = merge(\n quoteFromPremiumIndex$,\n quoteFromBookTicker$,\n quoteFromOpenInterest$,\n quoteFromSpotBookTicker$,\n quoteFromMarginRates$,\n).pipe(\n groupBy((quote) => quote.product_id),\n mergeMap((group$) =>\n group$.pipe(\n scan(\n (acc, cur) =>\n Object.assign(acc, cur, {\n datasource_id: 'BINANCE',\n product_id: group$.key,\n }),\n {} as Partial<IQuote>,\n ),\n ),\n ),\n share(),\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: 1_000,\n conflictKeys: ['datasource_id', 'product_id'],\n }),\n )\n .subscribe();\n\n terminal.channel.publishChannel('quote', { pattern: '^BINANCE/' }, (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/public-data/quote.js
CHANGED
|
@@ -8,7 +8,40 @@ const rxjs_1 = require("rxjs");
|
|
|
8
8
|
const private_api_1 = require("../api/private-api");
|
|
9
9
|
const public_api_1 = require("../api/public-api");
|
|
10
10
|
const terminal = protocol_1.Terminal.fromNodeEnv();
|
|
11
|
-
const
|
|
11
|
+
const DEFAULT_OPEN_INTEREST_REQUEST_INTERVAL_MS = 500;
|
|
12
|
+
const DEFAULT_MARGIN_RATE_REQUEST_INTERVAL_MS = 500;
|
|
13
|
+
const OPEN_INTEREST_TTL = process.env.OPEN_INTEREST_TTL ? Number(process.env.OPEN_INTEREST_TTL) : 300000;
|
|
14
|
+
const toIntervalMs = (interval, intervalNum) => {
|
|
15
|
+
switch (interval) {
|
|
16
|
+
case 'SECOND':
|
|
17
|
+
return (intervalNum !== null && intervalNum !== void 0 ? intervalNum : 1) * 1000;
|
|
18
|
+
case 'MINUTE':
|
|
19
|
+
return (intervalNum !== null && intervalNum !== void 0 ? intervalNum : 1) * 60000;
|
|
20
|
+
case 'HOUR':
|
|
21
|
+
return (intervalNum !== null && intervalNum !== void 0 ? intervalNum : 1) * 3600000;
|
|
22
|
+
case 'DAY':
|
|
23
|
+
return (intervalNum !== null && intervalNum !== void 0 ? intervalNum : 1) * 86400000;
|
|
24
|
+
default:
|
|
25
|
+
return undefined;
|
|
26
|
+
}
|
|
27
|
+
};
|
|
28
|
+
const getRequestIntervalMs = (rateLimits, fallbackMs) => {
|
|
29
|
+
const intervals = [];
|
|
30
|
+
for (const item of rateLimits !== null && rateLimits !== void 0 ? rateLimits : []) {
|
|
31
|
+
if (item.rateLimitType !== 'REQUEST_WEIGHT' && item.rateLimitType !== 'RAW_REQUESTS')
|
|
32
|
+
continue;
|
|
33
|
+
const duration = toIntervalMs(item.interval, item.intervalNum);
|
|
34
|
+
console.info('!!!!!', item, duration);
|
|
35
|
+
const limit = item.limit;
|
|
36
|
+
if (duration == null || limit == null || limit <= 0)
|
|
37
|
+
continue;
|
|
38
|
+
intervals.push(Math.ceil(duration / limit));
|
|
39
|
+
}
|
|
40
|
+
console.info('!!!!!', intervals);
|
|
41
|
+
if (!intervals.length)
|
|
42
|
+
return fallbackMs;
|
|
43
|
+
return Math.max(fallbackMs, Math.max(...intervals));
|
|
44
|
+
};
|
|
12
45
|
const openInterestCache = (0, cache_1.createCache)(async (symbol) => {
|
|
13
46
|
var _a;
|
|
14
47
|
try {
|
|
@@ -22,6 +55,12 @@ const openInterestCache = (0, cache_1.createCache)(async (symbol) => {
|
|
|
22
55
|
}, {
|
|
23
56
|
expire: OPEN_INTEREST_TTL,
|
|
24
57
|
});
|
|
58
|
+
const futureRequestInterval$ = (0, rxjs_1.defer)(() => (0, public_api_1.getFutureExchangeInfo)()).pipe((0, rxjs_1.map)((info) => getRequestIntervalMs(info.rateLimits, DEFAULT_OPEN_INTEREST_REQUEST_INTERVAL_MS)), (0, rxjs_1.catchError)((err) => {
|
|
59
|
+
console.warn('getFutureExchangeInfo failed when calculating request interval', err);
|
|
60
|
+
return (0, rxjs_1.of)(DEFAULT_OPEN_INTEREST_REQUEST_INTERVAL_MS);
|
|
61
|
+
}), (0, rxjs_1.retry)({ delay: 60000 }), (0, rxjs_1.shareReplay)({ bufferSize: 1, refCount: true }), (0, rxjs_1.tap)((v) => {
|
|
62
|
+
console.info(`!!!!Determined future request interval: ${v} ms`);
|
|
63
|
+
}));
|
|
25
64
|
const futurePremiumIndex$ = (0, rxjs_1.defer)(() => (0, public_api_1.getFuturePremiumIndex)({})).pipe((0, rxjs_1.repeat)({ delay: 1000 }), (0, rxjs_1.retry)({ delay: 30000 }), (0, rxjs_1.shareReplay)({ bufferSize: 1, refCount: true }));
|
|
26
65
|
const futureBookTicker$ = (0, rxjs_1.defer)(() => (0, public_api_1.getFutureBookTicker)({})).pipe((0, rxjs_1.repeat)({ delay: 1000 }), (0, rxjs_1.retry)({ delay: 30000 }), (0, rxjs_1.shareReplay)({ bufferSize: 1, refCount: true }));
|
|
27
66
|
const quoteFromPremiumIndex$ = futurePremiumIndex$.pipe((0, rxjs_1.mergeMap)((entries) => (0, rxjs_1.from)(entries || [])), (0, rxjs_1.map)((entry) => {
|
|
@@ -47,11 +86,11 @@ const quoteFromBookTicker$ = futureBookTicker$.pipe((0, rxjs_1.mergeMap)((entrie
|
|
|
47
86
|
updated_at: (0, utils_1.formatTime)((_a = entry.time) !== null && _a !== void 0 ? _a : Date.now()),
|
|
48
87
|
});
|
|
49
88
|
}));
|
|
50
|
-
const quoteFromOpenInterest$ = futureBookTicker
|
|
89
|
+
const quoteFromOpenInterest$ = (0, rxjs_1.combineLatest)([futureBookTicker$, futureRequestInterval$]).pipe((0, rxjs_1.exhaustMap)(([entries, requestInterval]) => (0, rxjs_1.from)(entries || []).pipe((0, rxjs_1.concatMap)((entry, index) => (index > 0 ? (0, rxjs_1.timer)(requestInterval) : (0, rxjs_1.of)(0)).pipe((0, rxjs_1.mergeMap)(() => (0, rxjs_1.from)(openInterestCache.query(entry.symbol))), (0, rxjs_1.map)((openInterest) => ({
|
|
51
90
|
datasource_id: 'BINANCE',
|
|
52
91
|
product_id: (0, utils_1.encodePath)('BINANCE', 'USDT-FUTURE', entry.symbol),
|
|
53
92
|
open_interest: `${openInterest !== null && openInterest !== void 0 ? openInterest : 0}`,
|
|
54
|
-
})))
|
|
93
|
+
})))))));
|
|
55
94
|
const quoteFromSpotBookTicker$ = (0, rxjs_1.defer)(() => (0, public_api_1.getSpotBookTicker)({})).pipe((0, rxjs_1.mergeMap)((entries) => (0, rxjs_1.from)(entries || [])), (0, rxjs_1.map)((entry) => ({
|
|
56
95
|
datasource_id: 'BINANCE',
|
|
57
96
|
product_id: (0, utils_1.encodePath)('BINANCE', 'SPOT', entry.symbol),
|
|
@@ -76,22 +115,31 @@ const marginInterestRateCache = (0, cache_1.createCache)(async (asset) => {
|
|
|
76
115
|
}, {
|
|
77
116
|
expire: 60000,
|
|
78
117
|
});
|
|
79
|
-
const marginPairs$ = (0, rxjs_1.defer)(() => (0, private_api_1.getMarginAllPairs)()).pipe((0, rxjs_1.
|
|
118
|
+
const marginPairs$ = (0, rxjs_1.defer)(() => (0, private_api_1.getMarginAllPairs)()).pipe((0, rxjs_1.map)((pairs) => {
|
|
119
|
+
if (!Array.isArray(pairs)) {
|
|
120
|
+
console.warn('getMarginAllPairs returned non-array payload', pairs);
|
|
121
|
+
return [];
|
|
122
|
+
}
|
|
123
|
+
return pairs;
|
|
124
|
+
}), (0, rxjs_1.catchError)((err) => {
|
|
125
|
+
console.warn('getMarginAllPairs failed', err);
|
|
126
|
+
return (0, rxjs_1.of)([]);
|
|
127
|
+
}), (0, rxjs_1.repeat)({ delay: 3600000 }), // Refresh pair list hourly
|
|
80
128
|
(0, rxjs_1.retry)({ delay: 60000 }), (0, rxjs_1.shareReplay)({ bufferSize: 1, refCount: true }));
|
|
81
|
-
const
|
|
82
|
-
|
|
83
|
-
|
|
84
|
-
|
|
85
|
-
|
|
86
|
-
|
|
87
|
-
|
|
88
|
-
|
|
89
|
-
|
|
90
|
-
|
|
91
|
-
|
|
92
|
-
|
|
93
|
-
|
|
94
|
-
})
|
|
129
|
+
const spotRequestInterval$ = (0, rxjs_1.defer)(() => (0, public_api_1.getSpotExchangeInfo)()).pipe((0, rxjs_1.map)((info) => getRequestIntervalMs(info.rateLimits, DEFAULT_MARGIN_RATE_REQUEST_INTERVAL_MS)), (0, rxjs_1.catchError)((err) => {
|
|
130
|
+
console.warn('getSpotExchangeInfo failed when calculating request interval', err);
|
|
131
|
+
return (0, rxjs_1.of)(DEFAULT_MARGIN_RATE_REQUEST_INTERVAL_MS);
|
|
132
|
+
}), (0, rxjs_1.retry)({ delay: 60000 }), (0, rxjs_1.shareReplay)({ bufferSize: 1, refCount: true }), (0, rxjs_1.tap)((v) => {
|
|
133
|
+
console.info(`!!!!Determined spot request interval: ${v} ms`);
|
|
134
|
+
}));
|
|
135
|
+
const quoteFromMarginRates$ = (0, rxjs_1.combineLatest)([marginPairs$, spotRequestInterval$]).pipe((0, rxjs_1.mergeMap)(([pairs, requestInterval]) => (0, rxjs_1.from)(pairs).pipe((0, rxjs_1.concatMap)((pair, index) => (index > 0 ? (0, rxjs_1.timer)(requestInterval) : (0, rxjs_1.of)(0)).pipe((0, rxjs_1.mergeMap)(() => (0, rxjs_1.from)(marginInterestRateCache.query(pair.base))), (0, rxjs_1.mergeMap)((baseRate) => (0, rxjs_1.timer)(requestInterval).pipe((0, rxjs_1.mergeMap)(() => (0, rxjs_1.from)(marginInterestRateCache.query(pair.quote))), (0, rxjs_1.map)((quoteRate) => ({
|
|
136
|
+
datasource_id: 'BINANCE',
|
|
137
|
+
product_id: (0, utils_1.encodePath)('BINANCE', 'SPOT', pair.symbol),
|
|
138
|
+
// User instruction: Long = Quote Rate, Short = Base Rate
|
|
139
|
+
interest_rate_long: quoteRate,
|
|
140
|
+
interest_rate_short: baseRate,
|
|
141
|
+
updated_at: (0, utils_1.formatTime)(Date.now()),
|
|
142
|
+
})))))))), (0, rxjs_1.repeat)({ delay: 60000 }));
|
|
95
143
|
const quote$ = (0, rxjs_1.merge)(quoteFromPremiumIndex$, quoteFromBookTicker$, quoteFromOpenInterest$, quoteFromSpotBookTicker$, quoteFromMarginRates$).pipe((0, rxjs_1.groupBy)((quote) => quote.product_id), (0, rxjs_1.mergeMap)((group$) => group$.pipe((0, rxjs_1.scan)((acc, cur) => Object.assign(acc, cur, {
|
|
96
144
|
datasource_id: 'BINANCE',
|
|
97
145
|
product_id: group$.key,
|
|
@@ -1 +1 @@
|
|
|
1
|
-
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{ createCache } from '@yuants/cache';\nimport { IQuote } from '@yuants/data-quote';\nimport { Terminal } from '@yuants/protocol';\nimport { writeToSQL } from '@yuants/sql';\nimport { decodePath, encodePath, formatTime } from '@yuants/utils';\nimport {\n defer,\n filter,\n from,\n groupBy,\n map,\n merge,\n mergeMap,\n repeat,\n retry,\n scan,\n share,\n shareReplay,\n} from 'rxjs';\nimport { getMarginAllPairs, getMarginNextHourlyInterestRate, IMarginPair } from '../api/private-api';\nimport {\n getFutureBookTicker,\n getFutureOpenInterest,\n getFuturePremiumIndex,\n getSpotBookTicker,\n} from '../api/public-api';\n\nconst terminal = Terminal.fromNodeEnv();\nconst OPEN_INTEREST_TTL = process.env.OPEN_INTEREST_TTL ? Number(process.env.OPEN_INTEREST_TTL) : 120_000;\n\nconst openInterestCache = createCache<number>(\n async (symbol: string) => {\n try {\n const data = await getFutureOpenInterest({ symbol });\n return Number(data.openInterest ?? 0);\n } catch (err) {\n console.warn('getFutureOpenInterest failed', symbol, err);\n return undefined;\n }\n },\n {\n expire: OPEN_INTEREST_TTL,\n },\n);\n\nconst futurePremiumIndex$ = defer(() => getFuturePremiumIndex({})).pipe(\n repeat({ delay: 1_000 }),\n retry({ delay: 30_000 }),\n shareReplay({ bufferSize: 1, refCount: true }),\n);\n\nconst futureBookTicker$ = defer(() => getFutureBookTicker({})).pipe(\n repeat({ delay: 1_000 }),\n retry({ delay: 30_000 }),\n shareReplay({ bufferSize: 1, refCount: true }),\n);\n\nconst quoteFromPremiumIndex$ = futurePremiumIndex$.pipe(\n mergeMap((entries) => from(entries || [])),\n map(\n (entry): Partial<IQuote> => ({\n datasource_id: 'BINANCE',\n product_id: encodePath('BINANCE', 'USDT-FUTURE', entry.symbol),\n last_price: entry.markPrice,\n // Use the latest funding rate so that long pays when fundingRate > 0\n interest_rate_long: `${-Number(entry.lastFundingRate)}`,\n interest_rate_short: entry.lastFundingRate,\n interest_rate_next_settled_at: formatTime(entry.nextFundingTime),\n updated_at: formatTime(entry.time ?? Date.now()),\n }),\n ),\n);\n\nconst quoteFromBookTicker$ = futureBookTicker$.pipe(\n mergeMap((entries) => from(entries || [])),\n map(\n (entry): Partial<IQuote> => ({\n datasource_id: 'BINANCE',\n product_id: encodePath('BINANCE', 'USDT-FUTURE', entry.symbol),\n bid_price: entry.bidPrice,\n ask_price: entry.askPrice,\n updated_at: formatTime(entry.time ?? Date.now()),\n }),\n ),\n);\n\nconst quoteFromOpenInterest$ = futureBookTicker$.pipe(\n mergeMap((entries) => from(entries || [])),\n mergeMap(\n (entry) =>\n from(openInterestCache.query(entry.symbol)).pipe(\n map(\n (openInterest): Partial<IQuote> => ({\n datasource_id: 'BINANCE',\n product_id: encodePath('BINANCE', 'USDT-FUTURE', entry.symbol),\n open_interest: `${openInterest ?? 0}`,\n }),\n ),\n ),\n 5,\n ),\n);\n\nconst quoteFromSpotBookTicker$ = defer(() => getSpotBookTicker({})).pipe(\n mergeMap((entries) => from(entries || [])),\n map(\n (entry): Partial<IQuote> => ({\n datasource_id: 'BINANCE',\n product_id: encodePath('BINANCE', 'SPOT', entry.symbol),\n bid_price: entry.bidPrice,\n ask_price: entry.askPrice,\n bid_volume: entry.bidQty,\n ask_volume: entry.askQty,\n updated_at: formatTime(Date.now()),\n }),\n ),\n repeat({ delay: 1_000 }),\n retry({ delay: 30_000 }),\n shareReplay({ bufferSize: 1, refCount: true }),\n);\n\nconst marginInterestRateCache = createCache<string>(\n async (asset: string) => {\n try {\n const data = await getMarginNextHourlyInterestRate({\n assets: asset,\n isIsolated: false,\n });\n return data[0]?.nextHourlyInterestRate;\n } catch (err) {\n return undefined;\n }\n },\n {\n expire: 60_000,\n },\n);\n\nconst marginPairs$ = defer(() => getMarginAllPairs()).pipe(\n repeat({ delay: 3600_000 }), // Refresh pair list hourly\n retry({ delay: 60_000 }),\n shareReplay({ bufferSize: 1, refCount: true }),\n);\n\nconst quoteFromMarginRates$ = marginPairs$.pipe(\n mergeMap((pairs: IMarginPair[]) =>\n from(pairs).pipe(\n mergeMap(\n (pair) =>\n defer(async () => {\n const [baseRate, quoteRate] = await Promise.all([\n marginInterestRateCache.query(pair.base),\n marginInterestRateCache.query(pair.quote),\n ]);\n return {\n datasource_id: 'BINANCE',\n product_id: encodePath('BINANCE', 'SPOT', pair.symbol),\n // User instruction: Long = Quote Rate, Short = Base Rate\n interest_rate_long: quoteRate,\n interest_rate_short: baseRate,\n updated_at: formatTime(Date.now()),\n } as Partial<IQuote>;\n }),\n 5, // Concurrency\n ),\n ),\n ),\n repeat({ delay: 60_000 }),\n);\n\nconst quote$ = merge(\n quoteFromPremiumIndex$,\n quoteFromBookTicker$,\n quoteFromOpenInterest$,\n quoteFromSpotBookTicker$,\n quoteFromMarginRates$,\n).pipe(\n groupBy((quote) => quote.product_id),\n mergeMap((group$) =>\n group$.pipe(\n scan(\n (acc, cur) =>\n Object.assign(acc, cur, {\n datasource_id: 'BINANCE',\n product_id: group$.key,\n }),\n {} as Partial<IQuote>,\n ),\n ),\n ),\n share(),\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: 1_000,\n conflictKeys: ['datasource_id', 'product_id'],\n }),\n )\n .subscribe();\n\n terminal.channel.publishChannel('quote', { pattern: '^BINANCE/' }, (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 { IQuote } from '@yuants/data-quote';\nimport { Terminal } from '@yuants/protocol';\nimport { writeToSQL } from '@yuants/sql';\nimport { decodePath, encodePath, formatTime } 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 share,\n shareReplay,\n startWith,\n tap,\n timer,\n} from 'rxjs';\nimport { getMarginAllPairs, getMarginNextHourlyInterestRate, IMarginPair } from '../api/private-api';\nimport {\n getFutureBookTicker,\n getFutureExchangeInfo,\n getFutureOpenInterest,\n getFuturePremiumIndex,\n getSpotBookTicker,\n getSpotExchangeInfo,\n} from '../api/public-api';\n\nconst terminal = Terminal.fromNodeEnv();\nconst DEFAULT_OPEN_INTEREST_REQUEST_INTERVAL_MS = 500;\nconst DEFAULT_MARGIN_RATE_REQUEST_INTERVAL_MS = 500;\nconst OPEN_INTEREST_TTL = process.env.OPEN_INTEREST_TTL ? Number(process.env.OPEN_INTEREST_TTL) : 300_000;\n\ninterface IRateLimit {\n rateLimitType?: string;\n interval?: string;\n intervalNum?: number;\n limit?: number;\n}\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: IRateLimit[] | 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 console.info('!!!!!', item, duration);\n const limit = item.limit;\n if (duration == null || limit == null || limit <= 0) continue;\n intervals.push(Math.ceil(duration / limit));\n }\n console.info('!!!!!', intervals);\n if (!intervals.length) return fallbackMs;\n return Math.max(fallbackMs, Math.max(...intervals));\n};\n\nconst openInterestCache = createCache<number>(\n async (symbol: string) => {\n try {\n const data = await getFutureOpenInterest({ symbol });\n return Number(data.openInterest ?? 0);\n } catch (err) {\n console.warn('getFutureOpenInterest failed', symbol, err);\n return undefined;\n }\n },\n {\n expire: OPEN_INTEREST_TTL,\n },\n);\n\nconst futureRequestInterval$ = defer(() => getFutureExchangeInfo()).pipe(\n map((info) => getRequestIntervalMs(info.rateLimits, DEFAULT_OPEN_INTEREST_REQUEST_INTERVAL_MS)),\n catchError((err) => {\n console.warn('getFutureExchangeInfo failed when calculating request interval', err);\n return of(DEFAULT_OPEN_INTEREST_REQUEST_INTERVAL_MS);\n }),\n retry({ delay: 60_000 }),\n shareReplay({ bufferSize: 1, refCount: true }),\n tap((v) => {\n console.info(`!!!!Determined future request interval: ${v} ms`);\n }),\n);\n\nconst futurePremiumIndex$ = defer(() => getFuturePremiumIndex({})).pipe(\n repeat({ delay: 1_000 }),\n retry({ delay: 30_000 }),\n shareReplay({ bufferSize: 1, refCount: true }),\n);\n\nconst futureBookTicker$ = defer(() => getFutureBookTicker({})).pipe(\n repeat({ delay: 1_000 }),\n retry({ delay: 30_000 }),\n shareReplay({ bufferSize: 1, refCount: true }),\n);\n\nconst quoteFromPremiumIndex$ = futurePremiumIndex$.pipe(\n mergeMap((entries) => from(entries || [])),\n map(\n (entry): Partial<IQuote> => ({\n datasource_id: 'BINANCE',\n product_id: encodePath('BINANCE', 'USDT-FUTURE', entry.symbol),\n last_price: entry.markPrice,\n // Use the latest funding rate so that long pays when fundingRate > 0\n interest_rate_long: `${-Number(entry.lastFundingRate)}`,\n interest_rate_short: entry.lastFundingRate,\n interest_rate_next_settled_at: formatTime(entry.nextFundingTime),\n updated_at: formatTime(entry.time ?? Date.now()),\n }),\n ),\n);\n\nconst quoteFromBookTicker$ = futureBookTicker$.pipe(\n mergeMap((entries) => from(entries || [])),\n map(\n (entry): Partial<IQuote> => ({\n datasource_id: 'BINANCE',\n product_id: encodePath('BINANCE', 'USDT-FUTURE', entry.symbol),\n bid_price: entry.bidPrice,\n ask_price: entry.askPrice,\n updated_at: formatTime(entry.time ?? Date.now()),\n }),\n ),\n);\n\nconst quoteFromOpenInterest$ = combineLatest([futureBookTicker$, futureRequestInterval$]).pipe(\n exhaustMap(([entries, requestInterval]) =>\n from(entries || []).pipe(\n concatMap((entry, index) =>\n (index > 0 ? timer(requestInterval) : of(0)).pipe(\n mergeMap(() => from(openInterestCache.query(entry.symbol))),\n map(\n (openInterest): Partial<IQuote> => ({\n datasource_id: 'BINANCE',\n product_id: encodePath('BINANCE', 'USDT-FUTURE', entry.symbol),\n open_interest: `${openInterest ?? 0}`,\n }),\n ),\n ),\n ),\n ),\n ),\n);\n\nconst quoteFromSpotBookTicker$ = defer(() => getSpotBookTicker({})).pipe(\n mergeMap((entries) => from(entries || [])),\n map(\n (entry): Partial<IQuote> => ({\n datasource_id: 'BINANCE',\n product_id: encodePath('BINANCE', 'SPOT', entry.symbol),\n bid_price: entry.bidPrice,\n ask_price: entry.askPrice,\n bid_volume: entry.bidQty,\n ask_volume: entry.askQty,\n updated_at: formatTime(Date.now()),\n }),\n ),\n repeat({ delay: 1_000 }),\n retry({ delay: 30_000 }),\n shareReplay({ bufferSize: 1, refCount: true }),\n);\n\nconst marginInterestRateCache = createCache<string>(\n async (asset: string) => {\n try {\n const data = await getMarginNextHourlyInterestRate({\n assets: asset,\n isIsolated: false,\n });\n return data[0]?.nextHourlyInterestRate;\n } catch (err) {\n return undefined;\n }\n },\n {\n expire: 60_000,\n },\n);\n\nconst marginPairs$ = defer(() => getMarginAllPairs()).pipe(\n map((pairs) => {\n if (!Array.isArray(pairs)) {\n console.warn('getMarginAllPairs returned non-array payload', pairs);\n return [];\n }\n return pairs;\n }),\n catchError((err) => {\n console.warn('getMarginAllPairs failed', err);\n return of([] as IMarginPair[]);\n }),\n repeat({ delay: 3600_000 }), // Refresh pair list hourly\n retry({ delay: 60_000 }),\n shareReplay({ bufferSize: 1, refCount: true }),\n);\n\nconst spotRequestInterval$ = defer(() => getSpotExchangeInfo()).pipe(\n map((info) => getRequestIntervalMs(info.rateLimits, DEFAULT_MARGIN_RATE_REQUEST_INTERVAL_MS)),\n catchError((err) => {\n console.warn('getSpotExchangeInfo failed when calculating request interval', err);\n return of(DEFAULT_MARGIN_RATE_REQUEST_INTERVAL_MS);\n }),\n retry({ delay: 60_000 }),\n shareReplay({ bufferSize: 1, refCount: true }),\n tap((v) => {\n console.info(`!!!!Determined spot request interval: ${v} ms`);\n }),\n);\n\nconst quoteFromMarginRates$ = combineLatest([marginPairs$, spotRequestInterval$]).pipe(\n mergeMap(([pairs, requestInterval]) =>\n from(pairs).pipe(\n concatMap((pair, index) =>\n (index > 0 ? timer(requestInterval) : of(0)).pipe(\n mergeMap(() => from(marginInterestRateCache.query(pair.base))),\n mergeMap((baseRate) =>\n timer(requestInterval).pipe(\n mergeMap(() => from(marginInterestRateCache.query(pair.quote))),\n map(\n (quoteRate): Partial<IQuote> => ({\n datasource_id: 'BINANCE',\n product_id: encodePath('BINANCE', 'SPOT', pair.symbol),\n // User instruction: Long = Quote Rate, Short = Base Rate\n interest_rate_long: quoteRate,\n interest_rate_short: baseRate,\n updated_at: formatTime(Date.now()),\n }),\n ),\n ),\n ),\n ),\n ),\n ),\n ),\n repeat({ delay: 60_000 }),\n);\n\nconst quote$ = merge(\n quoteFromPremiumIndex$,\n quoteFromBookTicker$,\n quoteFromOpenInterest$,\n quoteFromSpotBookTicker$,\n quoteFromMarginRates$,\n).pipe(\n groupBy((quote) => quote.product_id),\n mergeMap((group$) =>\n group$.pipe(\n scan(\n (acc, cur) =>\n Object.assign(acc, cur, {\n datasource_id: 'BINANCE',\n product_id: group$.key,\n }),\n {} as Partial<IQuote>,\n ),\n ),\n ),\n share(),\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: 1_000,\n conflictKeys: ['datasource_id', 'product_id'],\n }),\n )\n .subscribe();\n\n terminal.channel.publishChannel('quote', { pattern: '^BINANCE/' }, (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
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"name": "@yuants/vendor-binance",
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-
"version": "0.10.
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3
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+
"version": "0.10.10",
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4
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"main": "lib/index.js",
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5
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"files": [
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6
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"dist",
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@@ -20,7 +20,7 @@
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"@yuants/data-order": "0.6.6",
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21
21
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"@yuants/data-interest-rate": "0.1.48",
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22
22
|
"@yuants/transfer": "0.2.39",
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23
|
-
"@yuants/exchange": "0.3.
|
|
23
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+
"@yuants/exchange": "0.3.1",
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24
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"rxjs": "~7.5.6"
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},
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"devDependencies": {
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package/temp/package-deps.json
CHANGED
|
@@ -1,15 +1,15 @@
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1
1
|
{
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|
2
2
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"apps/vendor-binance/AGENTS.md": "378369925bffa237cd5e8ef459fe2bc2a141337c",
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3
|
-
"apps/vendor-binance/CHANGELOG.json": "
|
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4
|
-
"apps/vendor-binance/CHANGELOG.md": "
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|
3
|
+
"apps/vendor-binance/CHANGELOG.json": "3c0f26e0c18992894ba2065d3a43606a94139469",
|
|
4
|
+
"apps/vendor-binance/CHANGELOG.md": "eda868de262da3b4d7b0718c113bf782c9ec4ff1",
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|
5
5
|
"apps/vendor-binance/README.md": "4ab94c08b3d07398aee74c3264a4f87d554d20fa",
|
|
6
|
-
"apps/vendor-binance/SESSION_NOTES.md": "
|
|
6
|
+
"apps/vendor-binance/SESSION_NOTES.md": "dd49b3364394c502fdcaf687ed5942811d89abe9",
|
|
7
7
|
"apps/vendor-binance/api-extractor.json": "62f4fd324425b9a235f0c117975967aab09ced0c",
|
|
8
8
|
"apps/vendor-binance/config/jest.config.json": "4bb17bde3ee911163a3edb36a6eb71491d80b1bd",
|
|
9
9
|
"apps/vendor-binance/config/rig.json": "f6c7b5537dc77a3170ba9f008bae3b6c3ee11956",
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|
10
10
|
"apps/vendor-binance/config/typescript.json": "854907e8a821f2050f6533368db160c649c25348",
|
|
11
11
|
"apps/vendor-binance/etc/vendor-binance.api.md": "2094b84e9b5e7503f5c42b31fffee8d7db47fe7b",
|
|
12
|
-
"apps/vendor-binance/package.json": "
|
|
12
|
+
"apps/vendor-binance/package.json": "2a11fca6ea12153c9a1bc2d1562aeaf08a0c086d",
|
|
13
13
|
"apps/vendor-binance/src/api/client.ts": "4d853dcbc46f08054dfbf6b985f776a3231a8138",
|
|
14
14
|
"apps/vendor-binance/src/api/private-api.ts": "982c1902b8417aba1f75df5fa63db76dfc416dac",
|
|
15
15
|
"apps/vendor-binance/src/api/public-api.ts": "07546b44b7fc7dec67423cfd73b9175afe828ea0",
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|
@@ -18,7 +18,7 @@
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18
18
|
"apps/vendor-binance/src/public-data/interest_rate.ts": "ab9b57f1af6478c61d34db8b51f4fcabac971fd4",
|
|
19
19
|
"apps/vendor-binance/src/public-data/ohlc.ts": "bb4f791f96064eca7d45d361ea36cb8ba0ab8fe0",
|
|
20
20
|
"apps/vendor-binance/src/public-data/product.ts": "8879f59f4b5ee5925c5becef5fce5492e2f30f42",
|
|
21
|
-
"apps/vendor-binance/src/public-data/quote.ts": "
|
|
21
|
+
"apps/vendor-binance/src/public-data/quote.ts": "0445513ea3b36e1ba9bd05d577ac7050503168f0",
|
|
22
22
|
"apps/vendor-binance/src/services/accounts/profile.ts": "1d23b04d19c078e8c21f41efd6ca3db37b0bd206",
|
|
23
23
|
"apps/vendor-binance/src/services/accounts/spot.ts": "7561d3054c967b48711a4dcedf96946eeab9fab4",
|
|
24
24
|
"apps/vendor-binance/src/services/accounts/unified.ts": "4bb4de2908b3dfb4a9ea78610c77a06fb4a46739",
|
|
@@ -42,7 +42,7 @@
|
|
|
42
42
|
"libraries/data-order/temp/package-deps.json": "2adac9fc0423f9b1b7ddaa8946ab7af374cc22e1",
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43
43
|
"libraries/data-interest-rate/temp/package-deps.json": "cef1e1cb0116ad593c24635684e0cbf03488d67c",
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|
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44
|
"libraries/transfer/temp/package-deps.json": "36c58299bd6c841c5ba7252d71881a881570d08c",
|
|
45
|
-
"libraries/exchange/temp/package-deps.json": "
|
|
45
|
+
"libraries/exchange/temp/package-deps.json": "ee94ff641b8afcd48484829a1d6d66ffede2a69c",
|
|
46
46
|
"libraries/extension/temp/package-deps.json": "9569c553c2f9a7d50b70d8f101fc2d3825aaccb9",
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47
|
"tools/toolkit/temp/package-deps.json": "23e053490eb8feade23e4d45de4e54883e322711"
|
|
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48
|
}
|