@yuants/vendor-binance 0.6.39 → 0.7.1

package/lib/quote.js

@@ -0,0 +1,71 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+const cache_1 = require("@yuants/cache");
+const protocol_1 = require("@yuants/protocol");
+const sql_1 = require("@yuants/sql");
+const utils_1 = require("@yuants/utils");
+const rxjs_1 = require("rxjs");
+const api_1 = require("./api");
+const terminal = protocol_1.Terminal.fromNodeEnv();
+const OPEN_INTEREST_TTL = process.env.OPEN_INTEREST_TTL ? Number(process.env.OPEN_INTEREST_TTL) : 120000;
+const openInterestCache = (0, cache_1.createCache)(async (symbol) => {
+    var _a;
+    try {
+        const data = await api_1.client.getFutureOpenInterest({ symbol });
+        return Number((_a = data.openInterest) !== null && _a !== void 0 ? _a : 0);
+    }
+    catch (err) {
+        console.warn('getFutureOpenInterest failed', symbol, err);
+        return undefined;
+    }
+}, {
+    expire: OPEN_INTEREST_TTL,
+});
+const futurePremiumIndex$ = (0, rxjs_1.defer)(() => api_1.client.getFuturePremiumIndex({})).pipe((0, rxjs_1.repeat)({ delay: 1000 }), (0, rxjs_1.retry)({ delay: 30000 }), (0, rxjs_1.shareReplay)({ bufferSize: 1, refCount: true }));
+const futureBookTicker$ = (0, rxjs_1.defer)(() => api_1.client.getFutureBookTicker({})).pipe((0, rxjs_1.repeat)({ delay: 1000 }), (0, rxjs_1.retry)({ delay: 30000 }), (0, rxjs_1.shareReplay)({ bufferSize: 1, refCount: true }));
+const quoteFromPremiumIndex$ = futurePremiumIndex$.pipe((0, rxjs_1.mergeMap)((entries) => (0, rxjs_1.from)(entries || [])), (0, rxjs_1.map)((entry) => {
+    var _a;
+    return ({
+        datasource_id: 'BINANCE',
+        product_id: (0, utils_1.encodePath)('usdt-future', entry.symbol),
+        last_price: entry.markPrice,
+        updated_at: new Date((_a = entry.time) !== null && _a !== void 0 ? _a : Date.now()).toISOString(),
+    });
+}));
+const quoteFromBookTicker$ = futureBookTicker$.pipe((0, rxjs_1.mergeMap)((entries) => (0, rxjs_1.from)(entries || [])), (0, rxjs_1.map)((entry) => {
+    var _a;
+    return ({
+        datasource_id: 'BINANCE',
+        product_id: (0, utils_1.encodePath)('usdt-future', entry.symbol),
+        bid_price: entry.bidPrice,
+        ask_price: entry.askPrice,
+        updated_at: new Date((_a = entry.time) !== null && _a !== void 0 ? _a : Date.now()).toISOString(),
+    });
+}));
+const quoteFromOpenInterest$ = futureBookTicker$.pipe((0, rxjs_1.mergeMap)((entries) => (0, rxjs_1.from)(entries || [])), (0, rxjs_1.mergeMap)((entry) => (0, rxjs_1.from)(openInterestCache.query(entry.symbol)).pipe((0, rxjs_1.map)((openInterest) => ({
+    datasource_id: 'BINANCE',
+    product_id: (0, utils_1.encodePath)('usdt-future', entry.symbol),
+    open_interest: `${openInterest !== null && openInterest !== void 0 ? openInterest : 0}`,
+}))), 5));
+const quote$ = (0, rxjs_1.merge)(quoteFromPremiumIndex$, quoteFromBookTicker$, quoteFromOpenInterest$).pipe((0, rxjs_1.groupBy)((quote) => quote.product_id), (0, rxjs_1.mergeMap)((group$) => group$.pipe((0, rxjs_1.scan)((acc, cur) => Object.assign(acc, cur, {
+    datasource_id: 'BINANCE',
+    product_id: group$.key,
+}), {}))), (0, rxjs_1.share)(), (0, rxjs_1.shareReplay)({ bufferSize: 1, refCount: true }));
+if (process.env.WRITE_QUOTE_TO_SQL === 'true') {
+    quote$
+        .pipe((0, sql_1.writeToSQL)({
+        terminal,
+        tableName: 'quote',
+        writeInterval: 1000,
+        conflictKeys: ['datasource_id', 'product_id'],
+    }))
+        .subscribe();
+    terminal.channel.publishChannel('quote', { pattern: '^BINANCE/' }, (channel_id) => {
+        const [datasourceId, productId] = (0, utils_1.decodePath)(channel_id);
+        if (!datasourceId || !productId) {
+            throw new Error(`Invalid channel_id: ${channel_id}`);
+        }
+        return quote$.pipe((0, rxjs_1.filter)((quote) => quote.product_id === productId));
+    });
+}
+//# sourceMappingURL=quote.js.map

package/lib/quote.js.map

@@ -0,0 +1 @@
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Number(process.env.OPEN_INTEREST_TTL) : 120_000;\n\nconst openInterestCache = createCache<number>(\n  async (symbol: string) => {\n    try {\n      const data = await client.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(() => client.getFuturePremiumIndex({})).pipe(\n  repeat({ delay: 1_000 }),\n  retry({ delay: 30_000 }),\n  shareReplay({ bufferSize: 1, refCount: true }),\n);\n\nconst futureBookTicker$ = defer(() => client.getFutureBookTicker({})).pipe(\n  repeat({ delay: 1_000 }),\n  retry({ delay: 30_000 }),\n  shareReplay({ bufferSize: 1, refCount: true }),\n);\n\nconst quoteFromPremiumIndex$ = futurePremiumIndex$.pipe(\n  mergeMap((entries) => from(entries || [])),\n  map(\n    (entry): Partial<IQuote> => ({\n      datasource_id: 'BINANCE',\n      product_id: encodePath('usdt-future', entry.symbol),\n      last_price: entry.markPrice,\n      updated_at: new Date(entry.time ?? Date.now()).toISOString(),\n    }),\n  ),\n);\n\nconst quoteFromBookTicker$ = futureBookTicker$.pipe(\n  mergeMap((entries) => from(entries || [])),\n  map(\n    (entry): Partial<IQuote> => ({\n      datasource_id: 'BINANCE',\n      product_id: encodePath('usdt-future', entry.symbol),\n      bid_price: entry.bidPrice,\n      ask_price: entry.askPrice,\n      updated_at: new Date(entry.time ?? Date.now()).toISOString(),\n    }),\n  ),\n);\n\nconst quoteFromOpenInterest$ = futureBookTicker$.pipe(\n  mergeMap((entries) => from(entries || [])),\n  mergeMap(\n    (entry) =>\n      from(openInterestCache.query(entry.symbol)).pipe(\n        map(\n          (openInterest): Partial<IQuote> => ({\n            datasource_id: 'BINANCE',\n            product_id: encodePath('usdt-future', entry.symbol),\n            open_interest: `${openInterest ?? 0}`,\n          }),\n        ),\n      ),\n    5,\n  ),\n);\n\nconst quote$ = merge(quoteFromPremiumIndex$, quoteFromBookTicker$, quoteFromOpenInterest$).pipe(\n  groupBy((quote) => quote.product_id),\n  mergeMap((group$) =>\n    group$.pipe(\n      scan(\n        (acc, cur) =>\n          Object.assign(acc, cur, {\n            datasource_id: 'BINANCE',\n            product_id: group$.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/package.json

@@ -1,6 +1,6 @@
 {
 	"name": "@yuants/vendor-binance",
-	"version": "0.6.39",
+	"version": "0.7.1",
 	"bin": "lib/cli.js",
 	"main": "lib/index.js",
 	"files": [
@@ -9,16 +9,18 @@
 		"temp"
 	],
 	"dependencies": {
-		"@yuants/protocol": "0.50.1",
-		"@yuants/data-account": "0.6.11",
-		"@yuants/utils": "0.10.1",
-		"@yuants/data-series": "0.3.42",
-		"@yuants/sql": "0.9.21",
-		"@yuants/data-product": "0.4.12",
-		"@yuants/data-ohlc": "0.4.13",
-		"@yuants/data-order": "0.3.9",
-		"@yuants/data-interest-rate": "0.1.39",
-		"@yuants/transfer": "0.2.30",
+		"@yuants/protocol": "0.50.2",
+		"@yuants/data-account": "0.6.12",
+		"@yuants/cache": "0.2.3",
+		"@yuants/data-quote": "0.2.35",
+		"@yuants/utils": "0.11.0",
+		"@yuants/data-series": "0.3.43",
+		"@yuants/sql": "0.9.22",
+		"@yuants/data-product": "0.4.13",
+		"@yuants/data-ohlc": "0.4.14",
+		"@yuants/data-order": "0.3.10",
+		"@yuants/data-interest-rate": "0.1.40",
+		"@yuants/transfer": "0.2.31",
 		"rxjs": "~7.5.6",
 		"crypto-js": "^4.2.0"
 	},
@@ -29,7 +31,7 @@
 		"@rushstack/heft-node-rig": "~1.10.7",
 		"@types/heft-jest": "1.0.3",
 		"@types/node": "22",
-		"@yuants/extension": "0.2.27",
+		"@yuants/extension": "0.2.28",
 		"@yuants/tool-kit": "0.2.1",
 		"typescript": "~4.7.4",
 		"ts-node": "~10.9.2"

package/temp/package-deps.json

@@ -1,31 +1,34 @@
 {
-    "apps/vendor-binance/CHANGELOG.json": "ff1b7fed9e0e7d94c09d7cc66d828915c8b4e008",
-    "apps/vendor-binance/CHANGELOG.md": "f86894998515b8ac70a9c35e44029a9e927a96ca",
+    "apps/vendor-binance/CHANGELOG.json": "f8152d34af3712e6f18f629c299e76456657a0e8",
+    "apps/vendor-binance/CHANGELOG.md": "07138d49729a4b5f1897bd3641f9fd3fd34fcabc",
     "apps/vendor-binance/README.md": "4ab94c08b3d07398aee74c3264a4f87d554d20fa",
     "apps/vendor-binance/api-extractor.json": "62f4fd324425b9a235f0c117975967aab09ced0c",
     "apps/vendor-binance/config/jest.config.json": "4bb17bde3ee911163a3edb36a6eb71491d80b1bd",
     "apps/vendor-binance/config/rig.json": "f6c7b5537dc77a3170ba9f008bae3b6c3ee11956",
     "apps/vendor-binance/config/typescript.json": "854907e8a821f2050f6533368db160c649c25348",
     "apps/vendor-binance/etc/vendor-binance.api.md": "2094b84e9b5e7503f5c42b31fffee8d7db47fe7b",
-    "apps/vendor-binance/package.json": "fa198259b0fc9cfaaf3ab0e9ac99f76a5ddeacec",
-    "apps/vendor-binance/src/api.ts": "6278b55e9330d8f49362f9ab4f7df1d9d021b93e",
+    "apps/vendor-binance/package.json": "b1c591f9e17e5ebcae0829b6336562491ac91cb4",
+    "apps/vendor-binance/src/api.ts": "0c5cd2afada60d8e7ab20be65230e16aa8256921",
     "apps/vendor-binance/src/cli.ts": "9bf6b5559a6c6f33da20e74cc6c5d702c60ec891",
-    "apps/vendor-binance/src/index.ts": "fdac26f4c4a5093e3d647bddcd3c9998c2de7b4c",
+    "apps/vendor-binance/src/index.ts": "7573aa8600e289793c2e834dee11fef5a664efae",
     "apps/vendor-binance/src/interest_rate.ts": "ee82ea130495c151b67850a8b90ca972cb8a8d84",
-    "apps/vendor-binance/src/legacy_index.ts": "afa3d84ef50d5ec097d670542e43d7c48be69fee",
+    "apps/vendor-binance/src/legacy_index.ts": "4a240f03ae64527d1e73ab56af4056529b217ce5",
     "apps/vendor-binance/src/product.ts": "ea88fc2e6d0e57ee01d13131b26eb052d8f29fb7",
+    "apps/vendor-binance/src/quote.ts": "3184973a00240676040c8a4898c6a20563a9a6a6",
     "apps/vendor-binance/tsconfig.json": "81da8f78196974b5d15da0edb6b2d9f48641063c",
-    "apps/vendor-binance/.rush/temp/shrinkwrap-deps.json": "dad7252353164a12fa354eb684608b204bcc72a0",
-    "libraries/protocol/temp/package-deps.json": "0b032cee3e535748f6b18aafc53ebb5d22b93b39",
-    "libraries/data-account/temp/package-deps.json": "db21ad5308b662aeb4080aeab2ea1b3ce707fbc3",
-    "libraries/utils/temp/package-deps.json": "cb0a4bb6018bb4723b41538c5d8de701976651a9",
-    "libraries/data-series/temp/package-deps.json": "705e60258cd1b672ccd5bbd397f96e915dd041fe",
-    "libraries/sql/temp/package-deps.json": "9b6f844923fb0890c6b6b340148c36c0c509529f",
-    "libraries/data-product/temp/package-deps.json": "c0c0fe3448f71b00cf35f3d7f01f3f23766853f7",
-    "libraries/data-ohlc/temp/package-deps.json": "d133678d93bde02a5ecb128bff6d5d43586e6423",
-    "libraries/data-order/temp/package-deps.json": "8004fda5dded2e15763321180f81ecd5c1f03e73",
-    "libraries/data-interest-rate/temp/package-deps.json": "8df7f68dffe18726f766de1ceb7823f8afa9e0c9",
-    "libraries/transfer/temp/package-deps.json": "6c2b48061b395f9f1a06dffcd6152be79090d150",
-    "libraries/extension/temp/package-deps.json": "060fce6fcff500e243a49c37c970a9b2ea580c32",
+    "apps/vendor-binance/.rush/temp/shrinkwrap-deps.json": "7b773443e30eca79d696c3c880b16f7ffcb15b02",
+    "libraries/protocol/temp/package-deps.json": "927e493d72c10154de2879f2d0c89fb1e8726487",
+    "libraries/data-account/temp/package-deps.json": "c29b11fcb30dc5bf813894995bd958142783ee13",
+    "libraries/cache/temp/package-deps.json": "ccbc084176f6cf6580b3006d0cac81a5b0ecb964",
+    "libraries/data-quote/temp/package-deps.json": "ca82690303c9b5a55846387d1bfa0d8fe57e3947",
+    "libraries/utils/temp/package-deps.json": "c58f1ca8f498315d9a0219ca8c498299a41d297b",
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 }