npm - @yuants/vendor-binance - Versions diffs - 0.7.0 → 0.7.2 - Mend

@yuants/vendor-binance 0.7.0 → 0.7.2

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.

Files changed (11) hide show

package/dist/api.js CHANGED Viewed

@@ -209,10 +209,9 @@ export class ApiClient {
         if (!this.config.auth) {
             console.info(formatTime(Date.now()), method, url.href);
             const res = await fetch(url.href, { method });
-            console.info(formatTime(Date.now()), 'response', method, url.href, res.status);
             const usedWeight1M = res.headers.get('x-mbx-used-weight-1m');
+            console.info(formatTime(Date.now()), 'response', method, url.href, res.status, `usedWeight1M=${usedWeight1M !== null && usedWeight1M !== void 0 ? usedWeight1M : 'N/A'}`);
             if (usedWeight1M) {
-                // console.info('usedWeight1M', method, url.href, usedWeight1M);
                 MetricBinanceApiUsedWeight.set(+usedWeight1M, {});
             }
             return res.json();
@@ -231,9 +230,8 @@ export class ApiClient {
             headers,
         });
         const usedWeight1M = res.headers.get('x-mbx-used-weight-1m');
-        console.info(formatTime(Date.now()), 'response', method, url.href, res.status);
+        console.info(formatTime(Date.now()), 'response', method, url.href, res.status, `usedWeight1M=${usedWeight1M !== null && usedWeight1M !== void 0 ? usedWeight1M : 'N/A'}`);
         if (usedWeight1M) {
-            // console.info('usedWeight1M', method, url.href, res.status, usedWeight1M);
             MetricBinanceApiUsedWeight.set(+usedWeight1M, {});
         }
         return res.json();

package/dist/api.js.map CHANGED Viewed

	@@ -1 +1 @@
1	- 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{ PromRegistry } from '@yuants/protocol';\nimport { formatTime } from '@yuants/utils';\n// @ts-ignore\nimport CryptoJS from 'crypto-js';\n\nconst MetricBinanceApiUsedWeight = PromRegistry.create('gauge', 'binance_api_used_weight');\n\ninterface errorResult {\n code: number;\n msg: string;\n}\n\nexport const isError = <T>(x: T \| errorResult): x is errorResult => (x as errorResult).code !== undefined;\n\n/*\n Binance 币安 API\n \n https://developers.binance.com/docs/zh-CN/binance-spot-api-docs/CHANGELOG\n /\nexport class ApiClient {\n constructor(\n public config: {\n auth?: {\n public_key: string;\n secret_key: string;\n };\n },\n ) {}\n\n async request(method: string, path: string, params: any = {}) {\n const url = new URL(path);\n params.recvWindow = 5000;\n params.timestamp = Date.now();\n for (const key in params) {\n if (params[key] === undefined) continue;\n url.searchParams.set(key, params[key]);\n }\n if (!this.config.auth) {\n console.info(formatTime(Date.now()), method, url.href);\n const res = await fetch(url.href, { method });\n console.info(formatTime(Date.now()), 'response', method, url.href, res.status);\n const usedWeight1M = res.headers.get('x-mbx-used-weight-1m');\n if (usedWeight1M) {\n // console.info('usedWeight1M', method, url.href, usedWeight1M);\n MetricBinanceApiUsedWeight.set(+usedWeight1M, {});\n }\n return res.json();\n }\n const secret_key = this.config.auth.secret_key;\n const signData = url.search.slice(1);\n const str = CryptoJS.enc.Hex.stringify(CryptoJS.HmacSHA256(signData, secret_key));\n url.searchParams.set('signature', str);\n\n const headers = {\n 'Content-Type': 'application/json;charset=utf-8',\n 'X-MBX-APIKEY': this.config.auth.public_key!,\n };\n\n console.info(\n formatTime(Date.now()),\n method,\n url.href,\n JSON.stringify(headers),\n url.searchParams.toString(),\n signData,\n );\n const res = await fetch(url.href, {\n method,\n headers,\n });\n const usedWeight1M = res.headers.get('x-mbx-used-weight-1m');\n console.info(formatTime(Date.now()), 'response', method, url.href, res.status);\n if (usedWeight1M) {\n // console.info('usedWeight1M', method, url.href, res.status, usedWeight1M);\n MetricBinanceApiUsedWeight.set(+usedWeight1M, {});\n }\n return res.json();\n }\n\n /\n 获取交易规则和交易对\n \n https://binance-docs.github.io/apidocs/futures/cn/#0f3f2d5ee7\n /\n getFutureExchangeInfo = (): Promise<{\n timezone: string;\n serverTime: number;\n futuresType: string;\n rateLimits: {\n rateLimitType: string;\n interval: string;\n intervalNum: number;\n limit: number;\n }[];\n exchangeFilters: any[];\n assets: {\n asset: string;\n marginAvailable: boolean;\n autoAssetExchange: string;\n }[];\n symbols: {\n symbol: string;\n pair: string;\n contractType: string;\n deliveryDate: number;\n onboardDate: number;\n status: string;\n maintMarginPercent: string;\n requiredMarginPercent: string;\n baseAsset: string;\n quoteAsset: string;\n marginAsset: string;\n pricePrecision: number;\n quantityPrecision: number;\n baseAssetPrecision: number;\n quotePrecision: number;\n underlyingType: string;\n underlyingSubType: string[];\n settlePlan: number;\n triggerProtect: string;\n liquidationFee: string;\n marketTakeBound: string;\n maxMoveOrderLimit: number;\n filters: {\n filterType: string;\n maxPrice?: string;\n minPrice?: string;\n tickSize?: string;\n maxQty?: string;\n stepSize?: string;\n minQty?: string;\n limit?: number;\n notional?: string;\n multiplierDecimal?: string;\n multiplierUp?: string;\n multiplierDown?: string;\n }[];\n orderTypes: string[];\n timeInForce: string[];\n }[];\n }> => this.request('GET', 'https://fapi.binance.com/fapi/v1/exchangeInfo');\n\n /\n 查询资金费率历史\n \n https://binance-docs.github.io/apidocs/futures/cn/#31dbeb24c4\n /\n getFutureFundingRate = (params: {\n symbol?: string;\n startTime?: number;\n endTime?: number;\n limit?: number;\n }): Promise<\n {\n symbol: string;\n fundingTime: number;\n fundingRate: string;\n markPrice: string;\n }[]\n > => this.request('GET', 'https://fapi.binance.com/fapi/v1/fundingRate', params);\n\n /\n 最新标记价格和资金费率\n \n 采集各大交易所数据加权平均\n \n 权重: 带symbol为1；不带symbol为10\n \n https://developers.binance.com/docs/zh-CN/derivatives/usds-margined-futures/market-data/rest-api/Mark-Price\n /\n getFuturePremiumIndex = (params: {\n symbol?: string;\n }): Promise<\n {\n symbol: string;\n markPrice: string;\n indexPrice: string;\n estimatedSettlePrice: string;\n lastFundingRate: string;\n interestRate: string;\n nextFundingTime: number;\n time: number;\n }[]\n > => this.request('GET', 'https://fapi.binance.com/fapi/v1/premiumIndex', params);\n\n /\n 当前最优挂单\n \n 返回当前最优的挂单(最高买单，最低卖单)\n \n 权重: 单交易对2，无交易对5\n \n https://developers.binance.com/docs/zh-CN/derivatives/usds-margined-futures/market-data/rest-api/Symbol-Order-Book-Ticker\n /\n getFutureBookTicker = (params?: {\n symbol?: string;\n }): Promise<\n {\n symbol: string;\n bidPrice: string;\n bidQty: string;\n askPrice: string;\n askQty: string;\n time: number;\n }[]\n > => this.request('GET', 'https://fapi.binance.com/fapi/v1/ticker/bookTicker', params);\n\n /\n 获取未平仓合约数\n \n 权重: 1\n \n 更新速率: 3s\n \n https://developers.binance.com/docs/zh-CN/derivatives/usds-margined-futures/market-data/rest-api/Open-Interest\n /\n getFutureOpenInterest = (params: {\n symbol: string;\n }): Promise<{\n openInterest: string;\n symbol: string;\n time: number;\n }> => this.request('GET', 'https://fapi.binance.com/fapi/v1/openInterest', params);\n\n /\n 查询账户信息(USER_DATA)\n \n 查询账户信息\n \n 权重: 20\n \n https://developers.binance.com/docs/zh-CN/derivatives/portfolio-margin/account/Account-Information\n /\n getUnifiedAccountInfo = (): Promise<\n \| {\n uniMMR: string;\n accountEquity: string;\n actualEquity: string;\n accountInitialMargin: string;\n accountMaintMargin: string;\n accountStatus: string;\n virtualMaxWithdrawAmount: string;\n totalAvailableBalance: string;\n totalMarginOpenLoss: string;\n updateTime: number;\n }\n \| errorResult\n > => this.request('GET', 'https://papi.binance.com/papi/v1/account');\n\n /\n 获取UM账户信息\n \n 现有UM账户资产和仓位信息\n \n 权重: 5\n \n https://developers.binance.com/docs/zh-CN/derivatives/portfolio-margin/account/Get-UM-Account-Detail\n /\n getUnifiedUmAccount = (): Promise<\n \| {\n assets: {\n asset: string;\n crossWalletBalance: string;\n crossUnPnl: string;\n maintMargin: string;\n initialMargin: string;\n positionInitialMargin: string;\n openOrderInitialMargin: string;\n updateTime: number;\n }[];\n positions: {\n symbol: string;\n initialMargin: string;\n maintMargin: string;\n unrealizedProfit: string;\n positionInitialMargin: string;\n openOrderInitialMargin: string;\n leverage: string;\n entryPrice: string;\n maxNotional: string;\n bidNotional: string;\n askNotional: string;\n positionSide: string;\n positionAmt: string;\n updateTime: number;\n }[];\n }\n \| errorResult\n > => this.request('GET', 'https://papi.binance.com/papi/v1/um/account');\n\n /\n 查看当前全部UM挂单(USER_DATA)\n \n 查看当前全部UM挂单，请小心使用不带symbol参数的调用\n \n 权重: 带symbol 1 - 不带 40\n /\n getUnifiedUmOpenOrders = (params?: {\n symbol?: string;\n }): Promise<\n {\n avgPrice: string;\n clientOrderId: string;\n cumQuote: string;\n executedQty: string;\n orderId: number;\n origQty: string;\n origType: string;\n price: string;\n reduceOnly: boolean;\n side: string;\n positionSide: string;\n status: string;\n symbol: string;\n time: number;\n timeInForce: string;\n type: string;\n updateTime: number;\n selfTradePreventionMode: string;\n goodTillDate: number;\n }[]\n > => this.request('GET', 'https://papi.binance.com/papi/v1/um/openOrders', params);\n\n /\n 查询账户余额(USER_DATA)\n \n 查询账户余额\n \n 权重: 20\n \n https://developers.binance.com/docs/zh-CN/derivatives/portfolio-margin/account/Account-Balance\n /\n getUnifiedAccountBalance = (params?: {\n assets?: string;\n }): Promise<\n \| {\n asset: string;\n totalWalletBalance: string;\n crossMarginAsset: string;\n crossMarginBorrowed: string;\n crossMarginFree: string;\n crossMarginInterest: string;\n crossMarginLocked: string;\n umWalletBalance: string;\n umUnrealizedPNL: string;\n cmWalletBalance: string;\n cmUnrealizedPNL: string;\n updateTime: number;\n }[]\n \| errorResult\n > => this.request('GET', 'https://papi.binance.com/papi/v1/balance', params);\n\n /\n 账户信息 (USER_DATA)\n \n 权重: 20\n \n https://developers.binance.com/docs/zh-CN/binance-spot-api-docs/rest-api#%E8%B4%A6%E6%88%B7%E4%BF%A1%E6%81%AF-user_data\n /\n getSpotAccountInfo = (params?: {\n omitZeroBalances?: boolean;\n }): Promise<\n \| {\n makerCommission: number;\n takerCommission: number;\n buyerCommission: number;\n sellerCommission: number;\n commissionRates: {\n maker: string;\n taker: string;\n buyer: string;\n seller: string;\n };\n canTrade: boolean;\n canWithdraw: boolean;\n canDeposit: boolean;\n brokered: boolean;\n requireSelfTradePrevention: boolean;\n preventSor: boolean;\n updateTime: number;\n balances: {\n asset: string;\n free: string;\n locked: string;\n }[];\n permissions: string[];\n uid: number;\n }\n \| errorResult\n > => this.request('GET', 'https://api.binance.com/api/v3/account', params);\n\n /\n 用户万向划转(USER_DATA)\n \n 用户万向划转\n \n 您需要开通api key 允许万向划转权限来调用此接口。\n \n 权重: 900\n \n https://developers.binance.com/docs/zh-CN/wallet/asset/user-universal-transfer\n /\n postAssetTransfer = (params: {\n type: string;\n asset: string;\n amount: number;\n fromSymbol?: string;\n toSymbol?: string;\n }): Promise<\n \| {\n tranId: number;\n }\n \| errorResult\n > => this.request('POST', 'https://api.binance.com/sapi/v1/asset/transfer', params);\n\n /\n 统一账户资金归集(TRADE)\n \n 资金归集到统一账户钱包\n \n 权重: 750\n \n https://developers.binance.com/docs/zh-CN/derivatives/portfolio-margin/account/Fund-Auto-collection\n \n ISSUE(2024-07-18): 目前这是唯一能够将资金从原 U 本位合约账户转入统一账户的接口。\n /\n postUnifiedAccountAutoCollection = (): Promise<{\n msg: string;\n }> => this.request('POST', 'https://papi.binance.com/papi/v1/auto-collection');\n\n /\n 获取充值地址(支持多网络)(USER_DATA)\n \n 获取充值地址\n \n 权重: 10\n \n https://developers.binance.com/docs/zh-CN/wallet/capital/deposite-address\n /\n getDepositAddress = (params: {\n coin: string;\n network?: string;\n amount?: number;\n }): Promise<{\n address: string;\n coin: string;\n tag: string;\n url: string;\n }> => this.request('GET', 'https://api.binance.com/sapi/v1/capital/deposit/address', params);\n\n /\n 查询子账户列表(适用主账户)\n \n 权重: 1\n \n https://developers.binance.com/docs/zh-CN/sub_account/account-management/Query-Sub-account-List\n /\n getSubAccountList = (params?: {\n email?: string;\n isFreeze?: number;\n page?: number;\n limit?: number;\n }): Promise<\n \| {\n subAccounts: {\n email: string;\n isFreeze: boolean;\n createTime: number;\n isManagedSubAccount: boolean;\n isAssetManagementSubAccount: boolean;\n }[];\n }\n \| errorResult\n > => this.request('GET', 'https://api.binance.com/sapi/v1/sub-account/list');\n\n /\n 提币(USER_DATA)\n \n 权重: 600\n \n https://developers.binance.com/docs/zh-CN/wallet/capital/withdraw\n /\n postWithdraw = (\n params:\n \| {\n coin: string;\n withdrawOrderId?: string;\n network?: string;\n address: string;\n addressTag?: string;\n amount: number;\n transactionFeeFlag?: boolean;\n name?: string;\n walletType?: number;\n }\n \| errorResult,\n ): Promise<{\n id: string;\n }> => this.request('POST', 'https://api.binance.com/sapi/v1/capital/withdraw/apply', params);\n\n /\n 获取提币历史(支持多网络)(USER_DATA)\n \n 获取提币历史 (支持多网络)\n \n 请求权重(IP)#\n * 18000 请求限制: 每秒10次\n \n 本接口特别采用每秒UID速率限制，用户的总秒级 UID 速率限制为180000/秒。从该接口收到的响应包含key X-SAPI-USED-UID-WEIGHT-1S，该key定义了当前 UID 使用的权重\n \n https://developers.binance.com/docs/zh-CN/wallet/capital/withdraw-history\n /\n getWithdrawHistory = (params?: {\n coin?: string;\n withdrawOrderId?: string;\n status?: number;\n offset?: number;\n limit?: number;\n startTime?: number;\n endTime?: number;\n }): Promise<\n {\n id: string;\n amount: string;\n transactionFee: string;\n coin: string;\n status: number;\n address: string;\n txId: string;\n applyTime: Date;\n network: string;\n transferType: number;\n info: string;\n confirmNo: number;\n walletType: number;\n txKey: string;\n completeTime: Date;\n }[]\n > => this.request('GET', 'https://api.binance.com/sapi/v1/capital/withdraw/history', params);\n\n /\n 获取充值历史(支持多网络)\n \n 权重: 1\n \n https://developers.binance.com/docs/zh-CN/wallet/capital/deposite-history\n /\n getDepositHistory = (params?: {\n includeSource?: boolean;\n coin?: string;\n status?: number;\n startTime?: number;\n endTime?: number;\n offset?: number;\n limit?: number;\n txId?: string;\n }): Promise<\n {\n id: string;\n amount: string;\n coin: string;\n network: string;\n status: number;\n address: string;\n addressTag: string;\n txId: string;\n insertTime: number;\n transferType: number;\n confirmTimes: string;\n unlockConfirm: number;\n walletType: number;\n }[]\n > => this.request('GET', 'https://api.binance.com/sapi/v1/capital/deposit/hisrec', params);\n\n /\n UM下单(TRADE)\n \n 权重: 1\n \n https://developers.binance.com/docs/zh-CN/derivatives/portfolio-margin/trade/New-UM-Order\n /\n postUmOrder = (params: {\n symbol: string;\n side: string;\n positionSide?: string;\n type: string;\n timeInForce?: string;\n quantity: number;\n reduceOnly?: string;\n price?: number;\n newClientOrderId?: string;\n newOrderRespType?: string;\n selfTradePreventionMode?: string;\n goodTillDate?: number;\n }): Promise<\n \| {\n clientOrderId: string;\n cumQty: string;\n cumQuote: string;\n executedQty: string;\n orderId: number;\n avgPrice: string;\n origQty: string;\n price: string;\n reduceOnly: boolean;\n side: string;\n positionSide: string;\n status: string;\n symbol: string;\n timeInForce: string;\n type: string;\n selfTradePreventionMode: string;\n goodTillDate: number;\n updateTime: number;\n }\n \| errorResult\n > => this.request('POST', 'https://papi.binance.com/papi/v1/um/order', params);\n\n deleteUmOrder = (params: {\n symbol: string;\n orderId?: string \| number;\n origClientOrderId?: string;\n }): Promise<\n \| {\n clientOrderId: string;\n cumQty: string;\n cumQuote: string;\n executedQty: string;\n orderId: number;\n origQty: string;\n price: string;\n reduceOnly: boolean;\n side: string;\n positionSide: string;\n status: string;\n symbol: string;\n timeInForce: string;\n type: string;\n updateTime: number;\n }\n \| errorResult\n > => this.request('DELETE', 'https://papi.binance.com/papi/v1/um/order', params);\n\n /\n 获取所有全仓杠杆交易对(MARKET_DATA)\n \n 权重: 1\n \n https://developers.binance.com/docs/zh-CN/margin_trading/market-data/Get-All-Cross-Margin-Pairs\n /\n getMarginAllPairs = (params?: {\n symbol?: string;\n }): Promise<\n {\n id: string;\n symbol: string;\n base: string;\n quote: string;\n isMarginTrade: boolean;\n isBuyAllowed: boolean;\n isSellAllowed: boolean;\n }[]\n > => this.request('GET', 'https://api.binance.com/sapi/v1/margin/allPairs', params);\n\n /\n 获取UM损益资金流水(USER_DATA)\n \n 权重: 30\n \n https://developers.binance.com/docs/zh-CN/derivatives/portfolio-margin/account/Get-UM-Income-History\n */\n getUMIncome = (params?: {\n symbol?: string;\n incomeType?: string;\n startTime?: number;\n endTime?: number;\n recvWindow?: number;\n limit?: number;\n timestamp: number;\n }): Promise<\n {\n symbol: string; // 交易对，仅针对涉及交易对的资金流\n incomeType: string; // 资金流类型\n income: string; // 资金流数量，正数代表流入，负数代表流出\n asset: string; // 资产内容\n info: string; // 备注信息，取决于流水类型\n time: number;\n tranId: string; // 划转ID\n tradeId: string; // 引起流水产生的原始交易ID\n }[]\n > => this.request('GET', 'https://api.binance.com/papi/v1/um/income', params);\n}\nexport const client = new ApiClient({\n auth: process.env.PUBLIC_ONLY\n ? undefined\n : {\n public_key: process.env.ACCESS_KEY!,\n secret_key: process.env.SECRET_KEY!,\n },\n});\n"]}
1	+ 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{ PromRegistry } from '@yuants/protocol';\nimport { formatTime } from '@yuants/utils';\n// @ts-ignore\nimport CryptoJS from 'crypto-js';\n\nconst MetricBinanceApiUsedWeight = PromRegistry.create('gauge', 'binance_api_used_weight');\n\ninterface errorResult {\n code: number;\n msg: string;\n}\n\nexport const isError = <T>(x: T \| errorResult): x is errorResult => (x as errorResult).code !== undefined;\n\n/*\n Binance 币安 API\n \n https://developers.binance.com/docs/zh-CN/binance-spot-api-docs/CHANGELOG\n /\nexport class ApiClient {\n constructor(\n public config: {\n auth?: {\n public_key: string;\n secret_key: string;\n };\n },\n ) {}\n\n async request(method: string, path: string, params: any = {}) {\n const url = new URL(path);\n params.recvWindow = 5000;\n params.timestamp = Date.now();\n for (const key in params) {\n if (params[key] === undefined) continue;\n url.searchParams.set(key, params[key]);\n }\n if (!this.config.auth) {\n console.info(formatTime(Date.now()), method, url.href);\n const res = await fetch(url.href, { method });\n const usedWeight1M = res.headers.get('x-mbx-used-weight-1m');\n console.info(\n formatTime(Date.now()),\n 'response',\n method,\n url.href,\n res.status,\n `usedWeight1M=${usedWeight1M ?? 'N/A'}`,\n );\n if (usedWeight1M) {\n MetricBinanceApiUsedWeight.set(+usedWeight1M, {});\n }\n return res.json();\n }\n const secret_key = this.config.auth.secret_key;\n const signData = url.search.slice(1);\n const str = CryptoJS.enc.Hex.stringify(CryptoJS.HmacSHA256(signData, secret_key));\n url.searchParams.set('signature', str);\n\n const headers = {\n 'Content-Type': 'application/json;charset=utf-8',\n 'X-MBX-APIKEY': this.config.auth.public_key!,\n };\n\n console.info(\n formatTime(Date.now()),\n method,\n url.href,\n JSON.stringify(headers),\n url.searchParams.toString(),\n signData,\n );\n const res = await fetch(url.href, {\n method,\n headers,\n });\n const usedWeight1M = res.headers.get('x-mbx-used-weight-1m');\n console.info(\n formatTime(Date.now()),\n 'response',\n method,\n url.href,\n res.status,\n `usedWeight1M=${usedWeight1M ?? 'N/A'}`,\n );\n if (usedWeight1M) {\n MetricBinanceApiUsedWeight.set(+usedWeight1M, {});\n }\n return res.json();\n }\n\n /\n 获取交易规则和交易对\n \n https://binance-docs.github.io/apidocs/futures/cn/#0f3f2d5ee7\n /\n getFutureExchangeInfo = (): Promise<{\n timezone: string;\n serverTime: number;\n futuresType: string;\n rateLimits: {\n rateLimitType: string;\n interval: string;\n intervalNum: number;\n limit: number;\n }[];\n exchangeFilters: any[];\n assets: {\n asset: string;\n marginAvailable: boolean;\n autoAssetExchange: string;\n }[];\n symbols: {\n symbol: string;\n pair: string;\n contractType: string;\n deliveryDate: number;\n onboardDate: number;\n status: string;\n maintMarginPercent: string;\n requiredMarginPercent: string;\n baseAsset: string;\n quoteAsset: string;\n marginAsset: string;\n pricePrecision: number;\n quantityPrecision: number;\n baseAssetPrecision: number;\n quotePrecision: number;\n underlyingType: string;\n underlyingSubType: string[];\n settlePlan: number;\n triggerProtect: string;\n liquidationFee: string;\n marketTakeBound: string;\n maxMoveOrderLimit: number;\n filters: {\n filterType: string;\n maxPrice?: string;\n minPrice?: string;\n tickSize?: string;\n maxQty?: string;\n stepSize?: string;\n minQty?: string;\n limit?: number;\n notional?: string;\n multiplierDecimal?: string;\n multiplierUp?: string;\n multiplierDown?: string;\n }[];\n orderTypes: string[];\n timeInForce: string[];\n }[];\n }> => this.request('GET', 'https://fapi.binance.com/fapi/v1/exchangeInfo');\n\n /\n 查询资金费率历史\n \n https://binance-docs.github.io/apidocs/futures/cn/#31dbeb24c4\n /\n getFutureFundingRate = (params: {\n symbol?: string;\n startTime?: number;\n endTime?: number;\n limit?: number;\n }): Promise<\n {\n symbol: string;\n fundingTime: number;\n fundingRate: string;\n markPrice: string;\n }[]\n > => this.request('GET', 'https://fapi.binance.com/fapi/v1/fundingRate', params);\n\n /\n 最新标记价格和资金费率\n \n 采集各大交易所数据加权平均\n \n 权重: 带symbol为1；不带symbol为10\n \n https://developers.binance.com/docs/zh-CN/derivatives/usds-margined-futures/market-data/rest-api/Mark-Price\n /\n getFuturePremiumIndex = (params: {\n symbol?: string;\n }): Promise<\n {\n symbol: string;\n markPrice: string;\n indexPrice: string;\n estimatedSettlePrice: string;\n lastFundingRate: string;\n interestRate: string;\n nextFundingTime: number;\n time: number;\n }[]\n > => this.request('GET', 'https://fapi.binance.com/fapi/v1/premiumIndex', params);\n\n /\n 当前最优挂单\n \n 返回当前最优的挂单(最高买单，最低卖单)\n \n 权重: 单交易对2，无交易对5\n \n https://developers.binance.com/docs/zh-CN/derivatives/usds-margined-futures/market-data/rest-api/Symbol-Order-Book-Ticker\n /\n getFutureBookTicker = (params?: {\n symbol?: string;\n }): Promise<\n {\n symbol: string;\n bidPrice: string;\n bidQty: string;\n askPrice: string;\n askQty: string;\n time: number;\n }[]\n > => this.request('GET', 'https://fapi.binance.com/fapi/v1/ticker/bookTicker', params);\n\n /\n 获取未平仓合约数\n \n 权重: 1\n \n 更新速率: 3s\n \n https://developers.binance.com/docs/zh-CN/derivatives/usds-margined-futures/market-data/rest-api/Open-Interest\n /\n getFutureOpenInterest = (params: {\n symbol: string;\n }): Promise<{\n openInterest: string;\n symbol: string;\n time: number;\n }> => this.request('GET', 'https://fapi.binance.com/fapi/v1/openInterest', params);\n\n /\n 查询账户信息(USER_DATA)\n \n 查询账户信息\n \n 权重: 20\n \n https://developers.binance.com/docs/zh-CN/derivatives/portfolio-margin/account/Account-Information\n /\n getUnifiedAccountInfo = (): Promise<\n \| {\n uniMMR: string;\n accountEquity: string;\n actualEquity: string;\n accountInitialMargin: string;\n accountMaintMargin: string;\n accountStatus: string;\n virtualMaxWithdrawAmount: string;\n totalAvailableBalance: string;\n totalMarginOpenLoss: string;\n updateTime: number;\n }\n \| errorResult\n > => this.request('GET', 'https://papi.binance.com/papi/v1/account');\n\n /\n 获取UM账户信息\n \n 现有UM账户资产和仓位信息\n \n 权重: 5\n \n https://developers.binance.com/docs/zh-CN/derivatives/portfolio-margin/account/Get-UM-Account-Detail\n /\n getUnifiedUmAccount = (): Promise<\n \| {\n assets: {\n asset: string;\n crossWalletBalance: string;\n crossUnPnl: string;\n maintMargin: string;\n initialMargin: string;\n positionInitialMargin: string;\n openOrderInitialMargin: string;\n updateTime: number;\n }[];\n positions: {\n symbol: string;\n initialMargin: string;\n maintMargin: string;\n unrealizedProfit: string;\n positionInitialMargin: string;\n openOrderInitialMargin: string;\n leverage: string;\n entryPrice: string;\n maxNotional: string;\n bidNotional: string;\n askNotional: string;\n positionSide: string;\n positionAmt: string;\n updateTime: number;\n }[];\n }\n \| errorResult\n > => this.request('GET', 'https://papi.binance.com/papi/v1/um/account');\n\n /\n 查看当前全部UM挂单(USER_DATA)\n \n 查看当前全部UM挂单，请小心使用不带symbol参数的调用\n \n 权重: 带symbol 1 - 不带 40\n /\n getUnifiedUmOpenOrders = (params?: {\n symbol?: string;\n }): Promise<\n {\n avgPrice: string;\n clientOrderId: string;\n cumQuote: string;\n executedQty: string;\n orderId: number;\n origQty: string;\n origType: string;\n price: string;\n reduceOnly: boolean;\n side: string;\n positionSide: string;\n status: string;\n symbol: string;\n time: number;\n timeInForce: string;\n type: string;\n updateTime: number;\n selfTradePreventionMode: string;\n goodTillDate: number;\n }[]\n > => this.request('GET', 'https://papi.binance.com/papi/v1/um/openOrders', params);\n\n /\n 查询账户余额(USER_DATA)\n \n 查询账户余额\n \n 权重: 20\n \n https://developers.binance.com/docs/zh-CN/derivatives/portfolio-margin/account/Account-Balance\n /\n getUnifiedAccountBalance = (params?: {\n assets?: string;\n }): Promise<\n \| {\n asset: string;\n totalWalletBalance: string;\n crossMarginAsset: string;\n crossMarginBorrowed: string;\n crossMarginFree: string;\n crossMarginInterest: string;\n crossMarginLocked: string;\n umWalletBalance: string;\n umUnrealizedPNL: string;\n cmWalletBalance: string;\n cmUnrealizedPNL: string;\n updateTime: number;\n }[]\n \| errorResult\n > => this.request('GET', 'https://papi.binance.com/papi/v1/balance', params);\n\n /\n 账户信息 (USER_DATA)\n \n 权重: 20\n \n https://developers.binance.com/docs/zh-CN/binance-spot-api-docs/rest-api#%E8%B4%A6%E6%88%B7%E4%BF%A1%E6%81%AF-user_data\n /\n getSpotAccountInfo = (params?: {\n omitZeroBalances?: boolean;\n }): Promise<\n \| {\n makerCommission: number;\n takerCommission: number;\n buyerCommission: number;\n sellerCommission: number;\n commissionRates: {\n maker: string;\n taker: string;\n buyer: string;\n seller: string;\n };\n canTrade: boolean;\n canWithdraw: boolean;\n canDeposit: boolean;\n brokered: boolean;\n requireSelfTradePrevention: boolean;\n preventSor: boolean;\n updateTime: number;\n balances: {\n asset: string;\n free: string;\n locked: string;\n }[];\n permissions: string[];\n uid: number;\n }\n \| errorResult\n > => this.request('GET', 'https://api.binance.com/api/v3/account', params);\n\n /\n 用户万向划转(USER_DATA)\n \n 用户万向划转\n \n 您需要开通api key 允许万向划转权限来调用此接口。\n \n 权重: 900\n \n https://developers.binance.com/docs/zh-CN/wallet/asset/user-universal-transfer\n /\n postAssetTransfer = (params: {\n type: string;\n asset: string;\n amount: number;\n fromSymbol?: string;\n toSymbol?: string;\n }): Promise<\n \| {\n tranId: number;\n }\n \| errorResult\n > => this.request('POST', 'https://api.binance.com/sapi/v1/asset/transfer', params);\n\n /\n 统一账户资金归集(TRADE)\n \n 资金归集到统一账户钱包\n \n 权重: 750\n \n https://developers.binance.com/docs/zh-CN/derivatives/portfolio-margin/account/Fund-Auto-collection\n \n ISSUE(2024-07-18): 目前这是唯一能够将资金从原 U 本位合约账户转入统一账户的接口。\n /\n postUnifiedAccountAutoCollection = (): Promise<{\n msg: string;\n }> => this.request('POST', 'https://papi.binance.com/papi/v1/auto-collection');\n\n /\n 获取充值地址(支持多网络)(USER_DATA)\n \n 获取充值地址\n \n 权重: 10\n \n https://developers.binance.com/docs/zh-CN/wallet/capital/deposite-address\n /\n getDepositAddress = (params: {\n coin: string;\n network?: string;\n amount?: number;\n }): Promise<{\n address: string;\n coin: string;\n tag: string;\n url: string;\n }> => this.request('GET', 'https://api.binance.com/sapi/v1/capital/deposit/address', params);\n\n /\n 查询子账户列表(适用主账户)\n \n 权重: 1\n \n https://developers.binance.com/docs/zh-CN/sub_account/account-management/Query-Sub-account-List\n /\n getSubAccountList = (params?: {\n email?: string;\n isFreeze?: number;\n page?: number;\n limit?: number;\n }): Promise<\n \| {\n subAccounts: {\n email: string;\n isFreeze: boolean;\n createTime: number;\n isManagedSubAccount: boolean;\n isAssetManagementSubAccount: boolean;\n }[];\n }\n \| errorResult\n > => this.request('GET', 'https://api.binance.com/sapi/v1/sub-account/list');\n\n /\n 提币(USER_DATA)\n \n 权重: 600\n \n https://developers.binance.com/docs/zh-CN/wallet/capital/withdraw\n /\n postWithdraw = (\n params:\n \| {\n coin: string;\n withdrawOrderId?: string;\n network?: string;\n address: string;\n addressTag?: string;\n amount: number;\n transactionFeeFlag?: boolean;\n name?: string;\n walletType?: number;\n }\n \| errorResult,\n ): Promise<{\n id: string;\n }> => this.request('POST', 'https://api.binance.com/sapi/v1/capital/withdraw/apply', params);\n\n /\n 获取提币历史(支持多网络)(USER_DATA)\n \n 获取提币历史 (支持多网络)\n \n 请求权重(IP)#\n * 18000 请求限制: 每秒10次\n \n 本接口特别采用每秒UID速率限制，用户的总秒级 UID 速率限制为180000/秒。从该接口收到的响应包含key X-SAPI-USED-UID-WEIGHT-1S，该key定义了当前 UID 使用的权重\n \n https://developers.binance.com/docs/zh-CN/wallet/capital/withdraw-history\n /\n getWithdrawHistory = (params?: {\n coin?: string;\n withdrawOrderId?: string;\n status?: number;\n offset?: number;\n limit?: number;\n startTime?: number;\n endTime?: number;\n }): Promise<\n {\n id: string;\n amount: string;\n transactionFee: string;\n coin: string;\n status: number;\n address: string;\n txId: string;\n applyTime: Date;\n network: string;\n transferType: number;\n info: string;\n confirmNo: number;\n walletType: number;\n txKey: string;\n completeTime: Date;\n }[]\n > => this.request('GET', 'https://api.binance.com/sapi/v1/capital/withdraw/history', params);\n\n /\n 获取充值历史(支持多网络)\n \n 权重: 1\n \n https://developers.binance.com/docs/zh-CN/wallet/capital/deposite-history\n /\n getDepositHistory = (params?: {\n includeSource?: boolean;\n coin?: string;\n status?: number;\n startTime?: number;\n endTime?: number;\n offset?: number;\n limit?: number;\n txId?: string;\n }): Promise<\n {\n id: string;\n amount: string;\n coin: string;\n network: string;\n status: number;\n address: string;\n addressTag: string;\n txId: string;\n insertTime: number;\n transferType: number;\n confirmTimes: string;\n unlockConfirm: number;\n walletType: number;\n }[]\n > => this.request('GET', 'https://api.binance.com/sapi/v1/capital/deposit/hisrec', params);\n\n /\n UM下单(TRADE)\n \n 权重: 1\n \n https://developers.binance.com/docs/zh-CN/derivatives/portfolio-margin/trade/New-UM-Order\n /\n postUmOrder = (params: {\n symbol: string;\n side: string;\n positionSide?: string;\n type: string;\n timeInForce?: string;\n quantity: number;\n reduceOnly?: string;\n price?: number;\n newClientOrderId?: string;\n newOrderRespType?: string;\n selfTradePreventionMode?: string;\n goodTillDate?: number;\n }): Promise<\n \| {\n clientOrderId: string;\n cumQty: string;\n cumQuote: string;\n executedQty: string;\n orderId: number;\n avgPrice: string;\n origQty: string;\n price: string;\n reduceOnly: boolean;\n side: string;\n positionSide: string;\n status: string;\n symbol: string;\n timeInForce: string;\n type: string;\n selfTradePreventionMode: string;\n goodTillDate: number;\n updateTime: number;\n }\n \| errorResult\n > => this.request('POST', 'https://papi.binance.com/papi/v1/um/order', params);\n\n deleteUmOrder = (params: {\n symbol: string;\n orderId?: string \| number;\n origClientOrderId?: string;\n }): Promise<\n \| {\n clientOrderId: string;\n cumQty: string;\n cumQuote: string;\n executedQty: string;\n orderId: number;\n origQty: string;\n price: string;\n reduceOnly: boolean;\n side: string;\n positionSide: string;\n status: string;\n symbol: string;\n timeInForce: string;\n type: string;\n updateTime: number;\n }\n \| errorResult\n > => this.request('DELETE', 'https://papi.binance.com/papi/v1/um/order', params);\n\n /\n 获取所有全仓杠杆交易对(MARKET_DATA)\n \n 权重: 1\n \n https://developers.binance.com/docs/zh-CN/margin_trading/market-data/Get-All-Cross-Margin-Pairs\n /\n getMarginAllPairs = (params?: {\n symbol?: string;\n }): Promise<\n {\n id: string;\n symbol: string;\n base: string;\n quote: string;\n isMarginTrade: boolean;\n isBuyAllowed: boolean;\n isSellAllowed: boolean;\n }[]\n > => this.request('GET', 'https://api.binance.com/sapi/v1/margin/allPairs', params);\n\n /\n 获取UM损益资金流水(USER_DATA)\n \n 权重: 30\n \n https://developers.binance.com/docs/zh-CN/derivatives/portfolio-margin/account/Get-UM-Income-History\n */\n getUMIncome = (params?: {\n symbol?: string;\n incomeType?: string;\n startTime?: number;\n endTime?: number;\n recvWindow?: number;\n limit?: number;\n timestamp: number;\n }): Promise<\n {\n symbol: string; // 交易对，仅针对涉及交易对的资金流\n incomeType: string; // 资金流类型\n income: string; // 资金流数量，正数代表流入，负数代表流出\n asset: string; // 资产内容\n info: string; // 备注信息，取决于流水类型\n time: number;\n tranId: string; // 划转ID\n tradeId: string; // 引起流水产生的原始交易ID\n }[]\n > => this.request('GET', 'https://api.binance.com/papi/v1/um/income', params);\n}\nexport const client = new ApiClient({\n auth: process.env.PUBLIC_ONLY\n ? undefined\n : {\n public_key: process.env.ACCESS_KEY!,\n secret_key: process.env.SECRET_KEY!,\n },\n});\n"]}

package/dist/quote.js CHANGED Viewed

@@ -1,27 +1,54 @@
+import { createCache } from '@yuants/cache';
 import { Terminal } from '@yuants/protocol';
 import { writeToSQL } from '@yuants/sql';
 import { decodePath, encodePath } from '@yuants/utils';
-import { combineLatest, defer, filter, from, map, mergeMap, repeat, retry, shareReplay, toArray } from 'rxjs';
+import { defer, filter, from, groupBy, map, merge, mergeMap, repeat, retry, scan, share, shareReplay, } from 'rxjs';
 import { client } from './api';
 const terminal = Terminal.fromNodeEnv();
-const mapSymbolToFuturePremiumIndex$ = defer(() => client.getFuturePremiumIndex({})).pipe(repeat({ delay: 1000 }), retry({ delay: 30000 }), mergeMap((x) => from(x).pipe(map((v) => [v.symbol, v]), toArray(), map((v) => new Map(v)))), shareReplay({ bufferSize: 1, refCount: true }));
-const mapSymbolToFutureBookTicker$ = defer(() => client.getFutureBookTicker({})).pipe(repeat({ delay: 1000 }), retry({ delay: 30000 }), mergeMap((x) => from(x).pipe(map((v) => [v.symbol, v]), toArray(), map((v) => new Map(v)))), shareReplay({ bufferSize: 1, refCount: true }));
-const quote$ = combineLatest([mapSymbolToFuturePremiumIndex$, mapSymbolToFutureBookTicker$]).pipe(mergeMap(([premiumIndexMap, bookTickerMap]) => from([...bookTickerMap.entries()].map(([symbol, ticker]) => ({
-    symbol,
-    ticker,
-    premium: premiumIndexMap.get(symbol),
-})))), map(({ symbol, ticker, premium }) => {
-    var _a, _b, _c, _d;
-    const updatedAt = new Date((_b = (_a = ticker === null || ticker === void 0 ? void 0 : ticker.time) !== null && _a !== void 0 ? _a : premium === null || premium === void 0 ? void 0 : premium.time) !== null && _b !== void 0 ? _b : Date.now()).toISOString();
-    return {
+const OPEN_INTEREST_TTL = process.env.OPEN_INTEREST_TTL ? Number(process.env.OPEN_INTEREST_TTL) : 120000;
+const openInterestCache = createCache(async (symbol) => {
+    var _a;
+    try {
+        const data = await 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$ = defer(() => client.getFuturePremiumIndex({})).pipe(repeat({ delay: 1000 }), retry({ delay: 30000 }), shareReplay({ bufferSize: 1, refCount: true }));
+const futureBookTicker$ = defer(() => client.getFutureBookTicker({})).pipe(repeat({ delay: 1000 }), retry({ delay: 30000 }), shareReplay({ bufferSize: 1, refCount: true }));
+const quoteFromPremiumIndex$ = futurePremiumIndex$.pipe(mergeMap((entries) => from(entries || [])), map((entry) => {
+    var _a;
+    return ({
         datasource_id: 'BINANCE',
-        product_id: encodePath('usdt-future', symbol),
-        last_price: (_d = (_c = premium === null || premium === void 0 ? void 0 : premium.markPrice) !== null && _c !== void 0 ? _c : ticker.bidPrice) !== null && _d !== void 0 ? _d : ticker.askPrice,
-        bid_price: ticker.bidPrice,
-        ask_price: ticker.askPrice,
-        updated_at: updatedAt,
-    };
-}), shareReplay({ bufferSize: 1, refCount: true }));
+        product_id: encodePath('usdt-future', entry.symbol),
+        last_price: entry.markPrice,
+        updated_at: new Date((_a = entry.time) !== null && _a !== void 0 ? _a : Date.now()).toISOString(),
+    });
+}));
+const quoteFromBookTicker$ = futureBookTicker$.pipe(mergeMap((entries) => from(entries || [])), map((entry) => {
+    var _a;
+    return ({
+        datasource_id: 'BINANCE',
+        product_id: encodePath('usdt-future', entry.symbol),
+        bid_price: entry.bidPrice,
+        ask_price: entry.askPrice,
+        updated_at: new Date((_a = entry.time) !== null && _a !== void 0 ? _a : Date.now()).toISOString(),
+    });
+}));
+const quoteFromOpenInterest$ = futureBookTicker$.pipe(mergeMap((entries) => from(entries || [])), mergeMap((entry) => from(openInterestCache.query(entry.symbol)).pipe(map((openInterest) => ({
+    datasource_id: 'BINANCE',
+    product_id: encodePath('usdt-future', entry.symbol),
+    open_interest: `${openInterest !== null && openInterest !== void 0 ? openInterest : 0}`,
+}))), 5));
+const quote$ = merge(quoteFromPremiumIndex$, quoteFromBookTicker$, quoteFromOpenInterest$).pipe(groupBy((quote) => quote.product_id), mergeMap((group$) => group$.pipe(scan((acc, cur) => Object.assign(acc, cur, {
+    datasource_id: 'BINANCE',
+    product_id: group$.key,
+}), {}))), share(), shareReplay({ bufferSize: 1, refCount: true }));
 if (process.env.WRITE_QUOTE_TO_SQL === 'true') {
     quote$
         .pipe(writeToSQL({

package/dist/quote.js.map CHANGED Viewed

	@@ -1 +1 @@
1	- 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{ IQuote } from '@yuants/data-quote';\nimport { Terminal } from '@yuants/protocol';\nimport { writeToSQL } from '@yuants/sql';\nimport { decodePath, encodePath } from '@yuants/utils';\nimport { ~~combineLatest,~~ defer, filter, from, map, mergeMap, repeat, retry, shareReplay~~, toArray~~ } from 'rxjs';\nimport { client } from './api';\n\nconst terminal = Terminal.fromNodeEnv();\n\nconst ~~mapSymbolToFuturePremiumIndex$~~ = ~~defer~~(() => ~~client.getFuturePremiumIndex(~~{~~})).pipe(~~\n ~~repeat(~~{ ~~delay:~~ ~~1_000~~ ~~}),\n retry~~({ ~~delay:~~ ~~30_000~~ }),\n ~~mergeMap~~((x) ~~=>\~~n ~~from~~(x)~~.pipe(~~\n ~~map~~(~~(v)~~ => ~~[v.~~symbol, ~~v] as const~~),\n ~~toArray(),\n map((v)~~ ~~=> new Map(v)),\~~n ~~),\~~n ),\n ~~shareReplay(~~{ ~~bufferSize~~: ~~1, refCount: true~~ }),\n);\n\nconst ~~mapSymbolToFutureBookTicker~~$ = defer(() => client.~~getFutureBookTicker~~({})).pipe(\n repeat({ delay: 1_000 }),\n retry({ delay: 30_000 }),\n ~~mergeMap~~(~~(x)~~ ~~=>\n from(x).pipe(\n map((v)~~ ~~=> [v.symbol~~, v] as ~~const~~),\n ~~toArray(~~),\n ~~map~~((v) => ~~new Map~~(v)),\n ),\n ),\n shareReplay({ bufferSize: 1, refCount: true }),\n);\n\nconst ~~quote~~$ = ~~combineLatest([mapSymbolToFuturePremiumIndex$, mapSymbolToFutureBookTicker$]).~~pipe(\n mergeMap((~~[premiumIndexMap, bookTickerMap]~~) ~~=>\n~~ from(\n [~~...bookTickerMap.entries(~~)].map((~~[symbol, ticker]~~) => ({\n ~~symbol~~,\n ~~ticker,\n premium~~: ~~premiumIndexMap~~.~~get(~~symbol),\n })),\n ),\n ),\n ~~map~~(({ ~~symbol,~~ ~~ticker,~~ ~~premium~~ }): Partial<IQuote> => {\n ~~const~~ ~~updatedAt~~ = new Date(~~ticker?.~~time ?? ~~premium?.time ??~~ Date.now()).toISOString();\n ~~return~~ {\n datasource_id: 'BINANCE',\n product_id: encodePath('usdt-future', symbol),\n ~~last_price~~: ~~premium?.markPrice~~ ?? ~~ticker~~.~~bidPrice~~ ?? ~~ticker~~.~~askPrice~~,\n ~~bid_price:~~ ~~ticker~~.~~bidPrice,\~~n ~~ask_price~~: ~~ticker.askPrice~~,\n ~~updated_at~~: ~~updatedAt~~,\n };\n }),\n shareReplay({ bufferSize: 1, refCount: true }),\n);\n\nif (process.env.WRITE_QUOTE_TO_SQL === 'true') {\n quote$\n .pipe(\n writeToSQL({\n terminal,\n tableName: 'quote',\n writeInterval: 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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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/lib/api.d.ts.map CHANGED Viewed

	@@ -1 +1 @@
1	- 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package/lib/api.js CHANGED Viewed

@@ -216,10 +216,9 @@ class ApiClient {
         if (!this.config.auth) {
             console.info((0, utils_1.formatTime)(Date.now()), method, url.href);
             const res = await fetch(url.href, { method });
-            console.info((0, utils_1.formatTime)(Date.now()), 'response', method, url.href, res.status);
             const usedWeight1M = res.headers.get('x-mbx-used-weight-1m');
+            console.info((0, utils_1.formatTime)(Date.now()), 'response', method, url.href, res.status, `usedWeight1M=${usedWeight1M !== null && usedWeight1M !== void 0 ? usedWeight1M : 'N/A'}`);
             if (usedWeight1M) {
-                // console.info('usedWeight1M', method, url.href, usedWeight1M);
                 MetricBinanceApiUsedWeight.set(+usedWeight1M, {});
             }
             return res.json();
@@ -238,9 +237,8 @@ class ApiClient {
             headers,
         });
         const usedWeight1M = res.headers.get('x-mbx-used-weight-1m');
-        console.info((0, utils_1.formatTime)(Date.now()), 'response', method, url.href, res.status);
+        console.info((0, utils_1.formatTime)(Date.now()), 'response', method, url.href, res.status, `usedWeight1M=${usedWeight1M !== null && usedWeight1M !== void 0 ? usedWeight1M : 'N/A'}`);
         if (usedWeight1M) {
-            // console.info('usedWeight1M', method, url.href, res.status, usedWeight1M);
             MetricBinanceApiUsedWeight.set(+usedWeight1M, {});
         }
         return res.json();

package/lib/api.js.map CHANGED Viewed

	@@ -1 +1 @@
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{ PromRegistry } from '@yuants/protocol';\nimport { formatTime } from '@yuants/utils';\n// @ts-ignore\nimport CryptoJS from 'crypto-js';\n\nconst MetricBinanceApiUsedWeight = PromRegistry.create('gauge', 'binance_api_used_weight');\n\ninterface errorResult {\n code: number;\n msg: string;\n}\n\nexport const isError = <T>(x: T \| errorResult): x is errorResult => (x as errorResult).code !== undefined;\n\n/*\n Binance 币安 API\n \n https://developers.binance.com/docs/zh-CN/binance-spot-api-docs/CHANGELOG\n /\nexport class ApiClient {\n constructor(\n public config: {\n auth?: {\n public_key: string;\n secret_key: string;\n };\n },\n ) {}\n\n async request(method: string, path: string, params: any = {}) {\n const url = new URL(path);\n params.recvWindow = 5000;\n params.timestamp = Date.now();\n for (const key in params) {\n if (params[key] === undefined) continue;\n url.searchParams.set(key, params[key]);\n }\n if (!this.config.auth) {\n console.info(formatTime(Date.now()), method, url.href);\n const res = await fetch(url.href, { method });\n console.info(formatTime(Date.now()), 'response', method, url.href, res.status);\n const usedWeight1M = res.headers.get('x-mbx-used-weight-1m');\n if (usedWeight1M) {\n // console.info('usedWeight1M', method, url.href, usedWeight1M);\n MetricBinanceApiUsedWeight.set(+usedWeight1M, {});\n }\n return res.json();\n }\n const secret_key = this.config.auth.secret_key;\n const signData = url.search.slice(1);\n const str = CryptoJS.enc.Hex.stringify(CryptoJS.HmacSHA256(signData, secret_key));\n url.searchParams.set('signature', str);\n\n const headers = {\n 'Content-Type': 'application/json;charset=utf-8',\n 'X-MBX-APIKEY': this.config.auth.public_key!,\n };\n\n console.info(\n formatTime(Date.now()),\n method,\n url.href,\n JSON.stringify(headers),\n url.searchParams.toString(),\n signData,\n );\n const res = await fetch(url.href, {\n method,\n headers,\n });\n const usedWeight1M = res.headers.get('x-mbx-used-weight-1m');\n console.info(formatTime(Date.now()), 'response', method, url.href, res.status);\n if (usedWeight1M) {\n // console.info('usedWeight1M', method, url.href, res.status, usedWeight1M);\n MetricBinanceApiUsedWeight.set(+usedWeight1M, {});\n }\n return res.json();\n }\n\n /\n 获取交易规则和交易对\n \n https://binance-docs.github.io/apidocs/futures/cn/#0f3f2d5ee7\n /\n getFutureExchangeInfo = (): Promise<{\n timezone: string;\n serverTime: number;\n futuresType: string;\n rateLimits: {\n rateLimitType: string;\n interval: string;\n intervalNum: number;\n limit: number;\n }[];\n exchangeFilters: any[];\n assets: {\n asset: string;\n marginAvailable: boolean;\n autoAssetExchange: string;\n }[];\n symbols: {\n symbol: string;\n pair: string;\n contractType: string;\n deliveryDate: number;\n onboardDate: number;\n status: string;\n maintMarginPercent: string;\n requiredMarginPercent: string;\n baseAsset: string;\n quoteAsset: string;\n marginAsset: string;\n pricePrecision: number;\n quantityPrecision: number;\n baseAssetPrecision: number;\n quotePrecision: number;\n underlyingType: string;\n underlyingSubType: string[];\n settlePlan: number;\n triggerProtect: string;\n liquidationFee: string;\n marketTakeBound: string;\n maxMoveOrderLimit: number;\n filters: {\n filterType: string;\n maxPrice?: string;\n minPrice?: string;\n tickSize?: string;\n maxQty?: string;\n stepSize?: string;\n minQty?: string;\n limit?: number;\n notional?: string;\n multiplierDecimal?: string;\n multiplierUp?: string;\n multiplierDown?: string;\n }[];\n orderTypes: string[];\n timeInForce: string[];\n }[];\n }> => this.request('GET', 'https://fapi.binance.com/fapi/v1/exchangeInfo');\n\n /\n 查询资金费率历史\n \n https://binance-docs.github.io/apidocs/futures/cn/#31dbeb24c4\n /\n getFutureFundingRate = (params: {\n symbol?: string;\n startTime?: number;\n endTime?: number;\n limit?: number;\n }): Promise<\n {\n symbol: string;\n fundingTime: number;\n fundingRate: string;\n markPrice: string;\n }[]\n > => this.request('GET', 'https://fapi.binance.com/fapi/v1/fundingRate', params);\n\n /\n 最新标记价格和资金费率\n \n 采集各大交易所数据加权平均\n \n 权重: 带symbol为1；不带symbol为10\n \n https://developers.binance.com/docs/zh-CN/derivatives/usds-margined-futures/market-data/rest-api/Mark-Price\n /\n getFuturePremiumIndex = (params: {\n symbol?: string;\n }): Promise<\n {\n symbol: string;\n markPrice: string;\n indexPrice: string;\n estimatedSettlePrice: string;\n lastFundingRate: string;\n interestRate: string;\n nextFundingTime: number;\n time: number;\n }[]\n > => this.request('GET', 'https://fapi.binance.com/fapi/v1/premiumIndex', params);\n\n /\n 当前最优挂单\n \n 返回当前最优的挂单(最高买单，最低卖单)\n \n 权重: 单交易对2，无交易对5\n \n https://developers.binance.com/docs/zh-CN/derivatives/usds-margined-futures/market-data/rest-api/Symbol-Order-Book-Ticker\n /\n getFutureBookTicker = (params?: {\n symbol?: string;\n }): Promise<\n {\n symbol: string;\n bidPrice: string;\n bidQty: string;\n askPrice: string;\n askQty: string;\n time: number;\n }[]\n > => this.request('GET', 'https://fapi.binance.com/fapi/v1/ticker/bookTicker', params);\n\n /\n 获取未平仓合约数\n \n 权重: 1\n \n 更新速率: 3s\n \n https://developers.binance.com/docs/zh-CN/derivatives/usds-margined-futures/market-data/rest-api/Open-Interest\n /\n getFutureOpenInterest = (params: {\n symbol: string;\n }): Promise<{\n openInterest: string;\n symbol: string;\n time: number;\n }> => this.request('GET', 'https://fapi.binance.com/fapi/v1/openInterest', params);\n\n /\n 查询账户信息(USER_DATA)\n \n 查询账户信息\n \n 权重: 20\n \n https://developers.binance.com/docs/zh-CN/derivatives/portfolio-margin/account/Account-Information\n /\n getUnifiedAccountInfo = (): Promise<\n \| {\n uniMMR: string;\n accountEquity: string;\n actualEquity: string;\n accountInitialMargin: string;\n accountMaintMargin: string;\n accountStatus: string;\n virtualMaxWithdrawAmount: string;\n totalAvailableBalance: string;\n totalMarginOpenLoss: string;\n updateTime: number;\n }\n \| errorResult\n > => this.request('GET', 'https://papi.binance.com/papi/v1/account');\n\n /\n 获取UM账户信息\n \n 现有UM账户资产和仓位信息\n \n 权重: 5\n \n https://developers.binance.com/docs/zh-CN/derivatives/portfolio-margin/account/Get-UM-Account-Detail\n /\n getUnifiedUmAccount = (): Promise<\n \| {\n assets: {\n asset: string;\n crossWalletBalance: string;\n crossUnPnl: string;\n maintMargin: string;\n initialMargin: string;\n positionInitialMargin: string;\n openOrderInitialMargin: string;\n updateTime: number;\n }[];\n positions: {\n symbol: string;\n initialMargin: string;\n maintMargin: string;\n unrealizedProfit: string;\n positionInitialMargin: string;\n openOrderInitialMargin: string;\n leverage: string;\n entryPrice: string;\n maxNotional: string;\n bidNotional: string;\n askNotional: string;\n positionSide: string;\n positionAmt: string;\n updateTime: number;\n }[];\n }\n \| errorResult\n > => this.request('GET', 'https://papi.binance.com/papi/v1/um/account');\n\n /\n 查看当前全部UM挂单(USER_DATA)\n \n 查看当前全部UM挂单，请小心使用不带symbol参数的调用\n \n 权重: 带symbol 1 - 不带 40\n /\n getUnifiedUmOpenOrders = (params?: {\n symbol?: string;\n }): Promise<\n {\n avgPrice: string;\n clientOrderId: string;\n cumQuote: string;\n executedQty: string;\n orderId: number;\n origQty: string;\n origType: string;\n price: string;\n reduceOnly: boolean;\n side: string;\n positionSide: string;\n status: string;\n symbol: string;\n time: number;\n timeInForce: string;\n type: string;\n updateTime: number;\n selfTradePreventionMode: string;\n goodTillDate: number;\n }[]\n > => this.request('GET', 'https://papi.binance.com/papi/v1/um/openOrders', params);\n\n /\n 查询账户余额(USER_DATA)\n \n 查询账户余额\n \n 权重: 20\n \n https://developers.binance.com/docs/zh-CN/derivatives/portfolio-margin/account/Account-Balance\n /\n getUnifiedAccountBalance = (params?: {\n assets?: string;\n }): Promise<\n \| {\n asset: string;\n totalWalletBalance: string;\n crossMarginAsset: string;\n crossMarginBorrowed: string;\n crossMarginFree: string;\n crossMarginInterest: string;\n crossMarginLocked: string;\n umWalletBalance: string;\n umUnrealizedPNL: string;\n cmWalletBalance: string;\n cmUnrealizedPNL: string;\n updateTime: number;\n }[]\n \| errorResult\n > => this.request('GET', 'https://papi.binance.com/papi/v1/balance', params);\n\n /\n 账户信息 (USER_DATA)\n \n 权重: 20\n \n https://developers.binance.com/docs/zh-CN/binance-spot-api-docs/rest-api#%E8%B4%A6%E6%88%B7%E4%BF%A1%E6%81%AF-user_data\n /\n getSpotAccountInfo = (params?: {\n omitZeroBalances?: boolean;\n }): Promise<\n \| {\n makerCommission: number;\n takerCommission: number;\n buyerCommission: number;\n sellerCommission: number;\n commissionRates: {\n maker: string;\n taker: string;\n buyer: string;\n seller: string;\n };\n canTrade: boolean;\n canWithdraw: boolean;\n canDeposit: boolean;\n brokered: boolean;\n requireSelfTradePrevention: boolean;\n preventSor: boolean;\n updateTime: number;\n balances: {\n asset: string;\n free: string;\n locked: string;\n }[];\n permissions: string[];\n uid: number;\n }\n \| errorResult\n > => this.request('GET', 'https://api.binance.com/api/v3/account', params);\n\n /\n 用户万向划转(USER_DATA)\n \n 用户万向划转\n \n 您需要开通api key 允许万向划转权限来调用此接口。\n \n 权重: 900\n \n https://developers.binance.com/docs/zh-CN/wallet/asset/user-universal-transfer\n /\n postAssetTransfer = (params: {\n type: string;\n asset: string;\n amount: number;\n fromSymbol?: string;\n toSymbol?: string;\n }): Promise<\n \| {\n tranId: number;\n }\n \| errorResult\n > => this.request('POST', 'https://api.binance.com/sapi/v1/asset/transfer', params);\n\n /\n 统一账户资金归集(TRADE)\n \n 资金归集到统一账户钱包\n \n 权重: 750\n \n https://developers.binance.com/docs/zh-CN/derivatives/portfolio-margin/account/Fund-Auto-collection\n \n ISSUE(2024-07-18): 目前这是唯一能够将资金从原 U 本位合约账户转入统一账户的接口。\n /\n postUnifiedAccountAutoCollection = (): Promise<{\n msg: string;\n }> => this.request('POST', 'https://papi.binance.com/papi/v1/auto-collection');\n\n /\n 获取充值地址(支持多网络)(USER_DATA)\n \n 获取充值地址\n \n 权重: 10\n \n https://developers.binance.com/docs/zh-CN/wallet/capital/deposite-address\n /\n getDepositAddress = (params: {\n coin: string;\n network?: string;\n amount?: number;\n }): Promise<{\n address: string;\n coin: string;\n tag: string;\n url: string;\n }> => this.request('GET', 'https://api.binance.com/sapi/v1/capital/deposit/address', params);\n\n /\n 查询子账户列表(适用主账户)\n \n 权重: 1\n \n https://developers.binance.com/docs/zh-CN/sub_account/account-management/Query-Sub-account-List\n /\n getSubAccountList = (params?: {\n email?: string;\n isFreeze?: number;\n page?: number;\n limit?: number;\n }): Promise<\n \| {\n subAccounts: {\n email: string;\n isFreeze: boolean;\n createTime: number;\n isManagedSubAccount: boolean;\n isAssetManagementSubAccount: boolean;\n }[];\n }\n \| errorResult\n > => this.request('GET', 'https://api.binance.com/sapi/v1/sub-account/list');\n\n /\n 提币(USER_DATA)\n \n 权重: 600\n \n https://developers.binance.com/docs/zh-CN/wallet/capital/withdraw\n /\n postWithdraw = (\n params:\n \| {\n coin: string;\n withdrawOrderId?: string;\n network?: string;\n address: string;\n addressTag?: string;\n amount: number;\n transactionFeeFlag?: boolean;\n name?: string;\n walletType?: number;\n }\n \| errorResult,\n ): Promise<{\n id: string;\n }> => this.request('POST', 'https://api.binance.com/sapi/v1/capital/withdraw/apply', params);\n\n /\n 获取提币历史(支持多网络)(USER_DATA)\n \n 获取提币历史 (支持多网络)\n \n 请求权重(IP)#\n * 18000 请求限制: 每秒10次\n \n 本接口特别采用每秒UID速率限制，用户的总秒级 UID 速率限制为180000/秒。从该接口收到的响应包含key X-SAPI-USED-UID-WEIGHT-1S，该key定义了当前 UID 使用的权重\n \n https://developers.binance.com/docs/zh-CN/wallet/capital/withdraw-history\n /\n getWithdrawHistory = (params?: {\n coin?: string;\n withdrawOrderId?: string;\n status?: number;\n offset?: number;\n limit?: number;\n startTime?: number;\n endTime?: number;\n }): Promise<\n {\n id: string;\n amount: string;\n transactionFee: string;\n coin: string;\n status: number;\n address: string;\n txId: string;\n applyTime: Date;\n network: string;\n transferType: number;\n info: string;\n confirmNo: number;\n walletType: number;\n txKey: string;\n completeTime: Date;\n }[]\n > => this.request('GET', 'https://api.binance.com/sapi/v1/capital/withdraw/history', params);\n\n /\n 获取充值历史(支持多网络)\n \n 权重: 1\n \n https://developers.binance.com/docs/zh-CN/wallet/capital/deposite-history\n /\n getDepositHistory = (params?: {\n includeSource?: boolean;\n coin?: string;\n status?: number;\n startTime?: number;\n endTime?: number;\n offset?: number;\n limit?: number;\n txId?: string;\n }): Promise<\n {\n id: string;\n amount: string;\n coin: string;\n network: string;\n status: number;\n address: string;\n addressTag: string;\n txId: string;\n insertTime: number;\n transferType: number;\n confirmTimes: string;\n unlockConfirm: number;\n walletType: number;\n }[]\n > => this.request('GET', 'https://api.binance.com/sapi/v1/capital/deposit/hisrec', params);\n\n /\n UM下单(TRADE)\n \n 权重: 1\n \n https://developers.binance.com/docs/zh-CN/derivatives/portfolio-margin/trade/New-UM-Order\n /\n postUmOrder = (params: {\n symbol: string;\n side: string;\n positionSide?: string;\n type: string;\n timeInForce?: string;\n quantity: number;\n reduceOnly?: string;\n price?: number;\n newClientOrderId?: string;\n newOrderRespType?: string;\n selfTradePreventionMode?: string;\n goodTillDate?: number;\n }): Promise<\n \| {\n clientOrderId: string;\n cumQty: string;\n cumQuote: string;\n executedQty: string;\n orderId: number;\n avgPrice: string;\n origQty: string;\n price: string;\n reduceOnly: boolean;\n side: string;\n positionSide: string;\n status: string;\n symbol: string;\n timeInForce: string;\n type: string;\n selfTradePreventionMode: string;\n goodTillDate: number;\n updateTime: number;\n }\n \| errorResult\n > => this.request('POST', 'https://papi.binance.com/papi/v1/um/order', params);\n\n deleteUmOrder = (params: {\n symbol: string;\n orderId?: string \| number;\n origClientOrderId?: string;\n }): Promise<\n \| {\n clientOrderId: string;\n cumQty: string;\n cumQuote: string;\n executedQty: string;\n orderId: number;\n origQty: string;\n price: string;\n reduceOnly: boolean;\n side: string;\n positionSide: string;\n status: string;\n symbol: string;\n timeInForce: string;\n type: string;\n updateTime: number;\n }\n \| errorResult\n > => this.request('DELETE', 'https://papi.binance.com/papi/v1/um/order', params);\n\n /\n 获取所有全仓杠杆交易对(MARKET_DATA)\n \n 权重: 1\n \n https://developers.binance.com/docs/zh-CN/margin_trading/market-data/Get-All-Cross-Margin-Pairs\n /\n getMarginAllPairs = (params?: {\n symbol?: string;\n }): Promise<\n {\n id: string;\n symbol: string;\n base: string;\n quote: string;\n isMarginTrade: boolean;\n isBuyAllowed: boolean;\n isSellAllowed: boolean;\n }[]\n > => this.request('GET', 'https://api.binance.com/sapi/v1/margin/allPairs', params);\n\n /\n 获取UM损益资金流水(USER_DATA)\n \n 权重: 30\n \n https://developers.binance.com/docs/zh-CN/derivatives/portfolio-margin/account/Get-UM-Income-History\n */\n getUMIncome = (params?: {\n symbol?: string;\n incomeType?: string;\n startTime?: number;\n endTime?: number;\n recvWindow?: number;\n limit?: number;\n timestamp: number;\n }): Promise<\n {\n symbol: string; // 交易对，仅针对涉及交易对的资金流\n incomeType: string; // 资金流类型\n income: string; // 资金流数量，正数代表流入，负数代表流出\n asset: string; // 资产内容\n info: string; // 备注信息，取决于流水类型\n time: number;\n tranId: string; // 划转ID\n tradeId: string; // 引起流水产生的原始交易ID\n }[]\n > => this.request('GET', 'https://api.binance.com/papi/v1/um/income', params);\n}\nexport const client = new ApiClient({\n auth: process.env.PUBLIC_ONLY\n ? undefined\n : {\n public_key: process.env.ACCESS_KEY!,\n secret_key: process.env.SECRET_KEY!,\n },\n});\n"]}
1	+ 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{ PromRegistry } from '@yuants/protocol';\nimport { formatTime } from '@yuants/utils';\n// @ts-ignore\nimport CryptoJS from 'crypto-js';\n\nconst MetricBinanceApiUsedWeight = PromRegistry.create('gauge', 'binance_api_used_weight');\n\ninterface errorResult {\n code: number;\n msg: string;\n}\n\nexport const isError = <T>(x: T \| errorResult): x is errorResult => (x as errorResult).code !== undefined;\n\n/*\n Binance 币安 API\n \n https://developers.binance.com/docs/zh-CN/binance-spot-api-docs/CHANGELOG\n /\nexport class ApiClient {\n constructor(\n public config: {\n auth?: {\n public_key: string;\n secret_key: string;\n };\n },\n ) {}\n\n async request(method: string, path: string, params: any = {}) {\n const url = new URL(path);\n params.recvWindow = 5000;\n params.timestamp = Date.now();\n for (const key in params) {\n if (params[key] === undefined) continue;\n url.searchParams.set(key, params[key]);\n }\n if (!this.config.auth) {\n console.info(formatTime(Date.now()), method, url.href);\n const res = await fetch(url.href, { method });\n const usedWeight1M = res.headers.get('x-mbx-used-weight-1m');\n console.info(\n formatTime(Date.now()),\n 'response',\n method,\n url.href,\n res.status,\n `usedWeight1M=${usedWeight1M ?? 'N/A'}`,\n );\n if (usedWeight1M) {\n MetricBinanceApiUsedWeight.set(+usedWeight1M, {});\n }\n return res.json();\n }\n const secret_key = this.config.auth.secret_key;\n const signData = url.search.slice(1);\n const str = CryptoJS.enc.Hex.stringify(CryptoJS.HmacSHA256(signData, secret_key));\n url.searchParams.set('signature', str);\n\n const headers = {\n 'Content-Type': 'application/json;charset=utf-8',\n 'X-MBX-APIKEY': this.config.auth.public_key!,\n };\n\n console.info(\n formatTime(Date.now()),\n method,\n url.href,\n JSON.stringify(headers),\n url.searchParams.toString(),\n signData,\n );\n const res = await fetch(url.href, {\n method,\n headers,\n });\n const usedWeight1M = res.headers.get('x-mbx-used-weight-1m');\n console.info(\n formatTime(Date.now()),\n 'response',\n method,\n url.href,\n res.status,\n `usedWeight1M=${usedWeight1M ?? 'N/A'}`,\n );\n if (usedWeight1M) {\n MetricBinanceApiUsedWeight.set(+usedWeight1M, {});\n }\n return res.json();\n }\n\n /\n 获取交易规则和交易对\n \n https://binance-docs.github.io/apidocs/futures/cn/#0f3f2d5ee7\n /\n getFutureExchangeInfo = (): Promise<{\n timezone: string;\n serverTime: number;\n futuresType: string;\n rateLimits: {\n rateLimitType: string;\n interval: string;\n intervalNum: number;\n limit: number;\n }[];\n exchangeFilters: any[];\n assets: {\n asset: string;\n marginAvailable: boolean;\n autoAssetExchange: string;\n }[];\n symbols: {\n symbol: string;\n pair: string;\n contractType: string;\n deliveryDate: number;\n onboardDate: number;\n status: string;\n maintMarginPercent: string;\n requiredMarginPercent: string;\n baseAsset: string;\n quoteAsset: string;\n marginAsset: string;\n pricePrecision: number;\n quantityPrecision: number;\n baseAssetPrecision: number;\n quotePrecision: number;\n underlyingType: string;\n underlyingSubType: string[];\n settlePlan: number;\n triggerProtect: string;\n liquidationFee: string;\n marketTakeBound: string;\n maxMoveOrderLimit: number;\n filters: {\n filterType: string;\n maxPrice?: string;\n minPrice?: string;\n tickSize?: string;\n maxQty?: string;\n stepSize?: string;\n minQty?: string;\n limit?: number;\n notional?: string;\n multiplierDecimal?: string;\n multiplierUp?: string;\n multiplierDown?: string;\n }[];\n orderTypes: string[];\n timeInForce: string[];\n }[];\n }> => this.request('GET', 'https://fapi.binance.com/fapi/v1/exchangeInfo');\n\n /\n 查询资金费率历史\n \n https://binance-docs.github.io/apidocs/futures/cn/#31dbeb24c4\n /\n getFutureFundingRate = (params: {\n symbol?: string;\n startTime?: number;\n endTime?: number;\n limit?: number;\n }): Promise<\n {\n symbol: string;\n fundingTime: number;\n fundingRate: string;\n markPrice: string;\n }[]\n > => this.request('GET', 'https://fapi.binance.com/fapi/v1/fundingRate', params);\n\n /\n 最新标记价格和资金费率\n \n 采集各大交易所数据加权平均\n \n 权重: 带symbol为1；不带symbol为10\n \n https://developers.binance.com/docs/zh-CN/derivatives/usds-margined-futures/market-data/rest-api/Mark-Price\n /\n getFuturePremiumIndex = (params: {\n symbol?: string;\n }): Promise<\n {\n symbol: string;\n markPrice: string;\n indexPrice: string;\n estimatedSettlePrice: string;\n lastFundingRate: string;\n interestRate: string;\n nextFundingTime: number;\n time: number;\n }[]\n > => this.request('GET', 'https://fapi.binance.com/fapi/v1/premiumIndex', params);\n\n /\n 当前最优挂单\n \n 返回当前最优的挂单(最高买单，最低卖单)\n \n 权重: 单交易对2，无交易对5\n \n https://developers.binance.com/docs/zh-CN/derivatives/usds-margined-futures/market-data/rest-api/Symbol-Order-Book-Ticker\n /\n getFutureBookTicker = (params?: {\n symbol?: string;\n }): Promise<\n {\n symbol: string;\n bidPrice: string;\n bidQty: string;\n askPrice: string;\n askQty: string;\n time: number;\n }[]\n > => this.request('GET', 'https://fapi.binance.com/fapi/v1/ticker/bookTicker', params);\n\n /\n 获取未平仓合约数\n \n 权重: 1\n \n 更新速率: 3s\n \n https://developers.binance.com/docs/zh-CN/derivatives/usds-margined-futures/market-data/rest-api/Open-Interest\n /\n getFutureOpenInterest = (params: {\n symbol: string;\n }): Promise<{\n openInterest: string;\n symbol: string;\n time: number;\n }> => this.request('GET', 'https://fapi.binance.com/fapi/v1/openInterest', params);\n\n /\n 查询账户信息(USER_DATA)\n \n 查询账户信息\n \n 权重: 20\n \n https://developers.binance.com/docs/zh-CN/derivatives/portfolio-margin/account/Account-Information\n /\n getUnifiedAccountInfo = (): Promise<\n \| {\n uniMMR: string;\n accountEquity: string;\n actualEquity: string;\n accountInitialMargin: string;\n accountMaintMargin: string;\n accountStatus: string;\n virtualMaxWithdrawAmount: string;\n totalAvailableBalance: string;\n totalMarginOpenLoss: string;\n updateTime: number;\n }\n \| errorResult\n > => this.request('GET', 'https://papi.binance.com/papi/v1/account');\n\n /\n 获取UM账户信息\n \n 现有UM账户资产和仓位信息\n \n 权重: 5\n \n https://developers.binance.com/docs/zh-CN/derivatives/portfolio-margin/account/Get-UM-Account-Detail\n /\n getUnifiedUmAccount = (): Promise<\n \| {\n assets: {\n asset: string;\n crossWalletBalance: string;\n crossUnPnl: string;\n maintMargin: string;\n initialMargin: string;\n positionInitialMargin: string;\n openOrderInitialMargin: string;\n updateTime: number;\n }[];\n positions: {\n symbol: string;\n initialMargin: string;\n maintMargin: string;\n unrealizedProfit: string;\n positionInitialMargin: string;\n openOrderInitialMargin: string;\n leverage: string;\n entryPrice: string;\n maxNotional: string;\n bidNotional: string;\n askNotional: string;\n positionSide: string;\n positionAmt: string;\n updateTime: number;\n }[];\n }\n \| errorResult\n > => this.request('GET', 'https://papi.binance.com/papi/v1/um/account');\n\n /\n 查看当前全部UM挂单(USER_DATA)\n \n 查看当前全部UM挂单，请小心使用不带symbol参数的调用\n \n 权重: 带symbol 1 - 不带 40\n /\n getUnifiedUmOpenOrders = (params?: {\n symbol?: string;\n }): Promise<\n {\n avgPrice: string;\n clientOrderId: string;\n cumQuote: string;\n executedQty: string;\n orderId: number;\n origQty: string;\n origType: string;\n price: string;\n reduceOnly: boolean;\n side: string;\n positionSide: string;\n status: string;\n symbol: string;\n time: number;\n timeInForce: string;\n type: string;\n updateTime: number;\n selfTradePreventionMode: string;\n goodTillDate: number;\n }[]\n > => this.request('GET', 'https://papi.binance.com/papi/v1/um/openOrders', params);\n\n /\n 查询账户余额(USER_DATA)\n \n 查询账户余额\n \n 权重: 20\n \n https://developers.binance.com/docs/zh-CN/derivatives/portfolio-margin/account/Account-Balance\n /\n getUnifiedAccountBalance = (params?: {\n assets?: string;\n }): Promise<\n \| {\n asset: string;\n totalWalletBalance: string;\n crossMarginAsset: string;\n crossMarginBorrowed: string;\n crossMarginFree: string;\n crossMarginInterest: string;\n crossMarginLocked: string;\n umWalletBalance: string;\n umUnrealizedPNL: string;\n cmWalletBalance: string;\n cmUnrealizedPNL: string;\n updateTime: number;\n }[]\n \| errorResult\n > => this.request('GET', 'https://papi.binance.com/papi/v1/balance', params);\n\n /\n 账户信息 (USER_DATA)\n \n 权重: 20\n \n https://developers.binance.com/docs/zh-CN/binance-spot-api-docs/rest-api#%E8%B4%A6%E6%88%B7%E4%BF%A1%E6%81%AF-user_data\n /\n getSpotAccountInfo = (params?: {\n omitZeroBalances?: boolean;\n }): Promise<\n \| {\n makerCommission: number;\n takerCommission: number;\n buyerCommission: number;\n sellerCommission: number;\n commissionRates: {\n maker: string;\n taker: string;\n buyer: string;\n seller: string;\n };\n canTrade: boolean;\n canWithdraw: boolean;\n canDeposit: boolean;\n brokered: boolean;\n requireSelfTradePrevention: boolean;\n preventSor: boolean;\n updateTime: number;\n balances: {\n asset: string;\n free: string;\n locked: string;\n }[];\n permissions: string[];\n uid: number;\n }\n \| errorResult\n > => this.request('GET', 'https://api.binance.com/api/v3/account', params);\n\n /\n 用户万向划转(USER_DATA)\n \n 用户万向划转\n \n 您需要开通api key 允许万向划转权限来调用此接口。\n \n 权重: 900\n \n https://developers.binance.com/docs/zh-CN/wallet/asset/user-universal-transfer\n /\n postAssetTransfer = (params: {\n type: string;\n asset: string;\n amount: number;\n fromSymbol?: string;\n toSymbol?: string;\n }): Promise<\n \| {\n tranId: number;\n }\n \| errorResult\n > => this.request('POST', 'https://api.binance.com/sapi/v1/asset/transfer', params);\n\n /\n 统一账户资金归集(TRADE)\n \n 资金归集到统一账户钱包\n \n 权重: 750\n \n https://developers.binance.com/docs/zh-CN/derivatives/portfolio-margin/account/Fund-Auto-collection\n \n ISSUE(2024-07-18): 目前这是唯一能够将资金从原 U 本位合约账户转入统一账户的接口。\n /\n postUnifiedAccountAutoCollection = (): Promise<{\n msg: string;\n }> => this.request('POST', 'https://papi.binance.com/papi/v1/auto-collection');\n\n /\n 获取充值地址(支持多网络)(USER_DATA)\n \n 获取充值地址\n \n 权重: 10\n \n https://developers.binance.com/docs/zh-CN/wallet/capital/deposite-address\n /\n getDepositAddress = (params: {\n coin: string;\n network?: string;\n amount?: number;\n }): Promise<{\n address: string;\n coin: string;\n tag: string;\n url: string;\n }> => this.request('GET', 'https://api.binance.com/sapi/v1/capital/deposit/address', params);\n\n /\n 查询子账户列表(适用主账户)\n \n 权重: 1\n \n https://developers.binance.com/docs/zh-CN/sub_account/account-management/Query-Sub-account-List\n /\n getSubAccountList = (params?: {\n email?: string;\n isFreeze?: number;\n page?: number;\n limit?: number;\n }): Promise<\n \| {\n subAccounts: {\n email: string;\n isFreeze: boolean;\n createTime: number;\n isManagedSubAccount: boolean;\n isAssetManagementSubAccount: boolean;\n }[];\n }\n \| errorResult\n > => this.request('GET', 'https://api.binance.com/sapi/v1/sub-account/list');\n\n /\n 提币(USER_DATA)\n \n 权重: 600\n \n https://developers.binance.com/docs/zh-CN/wallet/capital/withdraw\n /\n postWithdraw = (\n params:\n \| {\n coin: string;\n withdrawOrderId?: string;\n network?: string;\n address: string;\n addressTag?: string;\n amount: number;\n transactionFeeFlag?: boolean;\n name?: string;\n walletType?: number;\n }\n \| errorResult,\n ): Promise<{\n id: string;\n }> => this.request('POST', 'https://api.binance.com/sapi/v1/capital/withdraw/apply', params);\n\n /\n 获取提币历史(支持多网络)(USER_DATA)\n \n 获取提币历史 (支持多网络)\n \n 请求权重(IP)#\n * 18000 请求限制: 每秒10次\n \n 本接口特别采用每秒UID速率限制，用户的总秒级 UID 速率限制为180000/秒。从该接口收到的响应包含key X-SAPI-USED-UID-WEIGHT-1S，该key定义了当前 UID 使用的权重\n \n https://developers.binance.com/docs/zh-CN/wallet/capital/withdraw-history\n /\n getWithdrawHistory = (params?: {\n coin?: string;\n withdrawOrderId?: string;\n status?: number;\n offset?: number;\n limit?: number;\n startTime?: number;\n endTime?: number;\n }): Promise<\n {\n id: string;\n amount: string;\n transactionFee: string;\n coin: string;\n status: number;\n address: string;\n txId: string;\n applyTime: Date;\n network: string;\n transferType: number;\n info: string;\n confirmNo: number;\n walletType: number;\n txKey: string;\n completeTime: Date;\n }[]\n > => this.request('GET', 'https://api.binance.com/sapi/v1/capital/withdraw/history', params);\n\n /\n 获取充值历史(支持多网络)\n \n 权重: 1\n \n https://developers.binance.com/docs/zh-CN/wallet/capital/deposite-history\n /\n getDepositHistory = (params?: {\n includeSource?: boolean;\n coin?: string;\n status?: number;\n startTime?: number;\n endTime?: number;\n offset?: number;\n limit?: number;\n txId?: string;\n }): Promise<\n {\n id: string;\n amount: string;\n coin: string;\n network: string;\n status: number;\n address: string;\n addressTag: string;\n txId: string;\n insertTime: number;\n transferType: number;\n confirmTimes: string;\n unlockConfirm: number;\n walletType: number;\n }[]\n > => this.request('GET', 'https://api.binance.com/sapi/v1/capital/deposit/hisrec', params);\n\n /\n UM下单(TRADE)\n \n 权重: 1\n \n https://developers.binance.com/docs/zh-CN/derivatives/portfolio-margin/trade/New-UM-Order\n /\n postUmOrder = (params: {\n symbol: string;\n side: string;\n positionSide?: string;\n type: string;\n timeInForce?: string;\n quantity: number;\n reduceOnly?: string;\n price?: number;\n newClientOrderId?: string;\n newOrderRespType?: string;\n selfTradePreventionMode?: string;\n goodTillDate?: number;\n }): Promise<\n \| {\n clientOrderId: string;\n cumQty: string;\n cumQuote: string;\n executedQty: string;\n orderId: number;\n avgPrice: string;\n origQty: string;\n price: string;\n reduceOnly: boolean;\n side: string;\n positionSide: string;\n status: string;\n symbol: string;\n timeInForce: string;\n type: string;\n selfTradePreventionMode: string;\n goodTillDate: number;\n updateTime: number;\n }\n \| errorResult\n > => this.request('POST', 'https://papi.binance.com/papi/v1/um/order', params);\n\n deleteUmOrder = (params: {\n symbol: string;\n orderId?: string \| number;\n origClientOrderId?: string;\n }): Promise<\n \| {\n clientOrderId: string;\n cumQty: string;\n cumQuote: string;\n executedQty: string;\n orderId: number;\n origQty: string;\n price: string;\n reduceOnly: boolean;\n side: string;\n positionSide: string;\n status: string;\n symbol: string;\n timeInForce: string;\n type: string;\n updateTime: number;\n }\n \| errorResult\n > => this.request('DELETE', 'https://papi.binance.com/papi/v1/um/order', params);\n\n /\n 获取所有全仓杠杆交易对(MARKET_DATA)\n \n 权重: 1\n \n https://developers.binance.com/docs/zh-CN/margin_trading/market-data/Get-All-Cross-Margin-Pairs\n /\n getMarginAllPairs = (params?: {\n symbol?: string;\n }): Promise<\n {\n id: string;\n symbol: string;\n base: string;\n quote: string;\n isMarginTrade: boolean;\n isBuyAllowed: boolean;\n isSellAllowed: boolean;\n }[]\n > => this.request('GET', 'https://api.binance.com/sapi/v1/margin/allPairs', params);\n\n /\n 获取UM损益资金流水(USER_DATA)\n \n 权重: 30\n \n https://developers.binance.com/docs/zh-CN/derivatives/portfolio-margin/account/Get-UM-Income-History\n */\n getUMIncome = (params?: {\n symbol?: string;\n incomeType?: string;\n startTime?: number;\n endTime?: number;\n recvWindow?: number;\n limit?: number;\n timestamp: number;\n }): Promise<\n {\n symbol: string; // 交易对，仅针对涉及交易对的资金流\n incomeType: string; // 资金流类型\n income: string; // 资金流数量，正数代表流入，负数代表流出\n asset: string; // 资产内容\n info: string; // 备注信息，取决于流水类型\n time: number;\n tranId: string; // 划转ID\n tradeId: string; // 引起流水产生的原始交易ID\n }[]\n > => this.request('GET', 'https://api.binance.com/papi/v1/um/income', params);\n}\nexport const client = new ApiClient({\n auth: process.env.PUBLIC_ONLY\n ? undefined\n : {\n public_key: process.env.ACCESS_KEY!,\n secret_key: process.env.SECRET_KEY!,\n },\n});\n"]}

package/lib/quote.js CHANGED Viewed

@@ -1,29 +1,56 @@
 "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 mapSymbolToFuturePremiumIndex$ = (0, rxjs_1.defer)(() => api_1.client.getFuturePremiumIndex({})).pipe((0, rxjs_1.repeat)({ delay: 1000 }), (0, rxjs_1.retry)({ delay: 30000 }), (0, rxjs_1.mergeMap)((x) => (0, rxjs_1.from)(x).pipe((0, rxjs_1.map)((v) => [v.symbol, v]), (0, rxjs_1.toArray)(), (0, rxjs_1.map)((v) => new Map(v)))), (0, rxjs_1.shareReplay)({ bufferSize: 1, refCount: true }));
-const mapSymbolToFutureBookTicker$ = (0, rxjs_1.defer)(() => api_1.client.getFutureBookTicker({})).pipe((0, rxjs_1.repeat)({ delay: 1000 }), (0, rxjs_1.retry)({ delay: 30000 }), (0, rxjs_1.mergeMap)((x) => (0, rxjs_1.from)(x).pipe((0, rxjs_1.map)((v) => [v.symbol, v]), (0, rxjs_1.toArray)(), (0, rxjs_1.map)((v) => new Map(v)))), (0, rxjs_1.shareReplay)({ bufferSize: 1, refCount: true }));
-const quote$ = (0, rxjs_1.combineLatest)([mapSymbolToFuturePremiumIndex$, mapSymbolToFutureBookTicker$]).pipe((0, rxjs_1.mergeMap)(([premiumIndexMap, bookTickerMap]) => (0, rxjs_1.from)([...bookTickerMap.entries()].map(([symbol, ticker]) => ({
-    symbol,
-    ticker,
-    premium: premiumIndexMap.get(symbol),
-})))), (0, rxjs_1.map)(({ symbol, ticker, premium }) => {
-    var _a, _b, _c, _d;
-    const updatedAt = new Date((_b = (_a = ticker === null || ticker === void 0 ? void 0 : ticker.time) !== null && _a !== void 0 ? _a : premium === null || premium === void 0 ? void 0 : premium.time) !== null && _b !== void 0 ? _b : Date.now()).toISOString();
-    return {
+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$.pipe((0, rxjs_1.mergeMap)((entries) => (0, rxjs_1.from)(entries || [])), (0, rxjs_1.map)((entry) => {
+    var _a;
+    return ({
         datasource_id: 'BINANCE',
-        product_id: (0, utils_1.encodePath)('usdt-future', symbol),
-        last_price: (_d = (_c = premium === null || premium === void 0 ? void 0 : premium.markPrice) !== null && _c !== void 0 ? _c : ticker.bidPrice) !== null && _d !== void 0 ? _d : ticker.askPrice,
-        bid_price: ticker.bidPrice,
-        ask_price: ticker.askPrice,
-        updated_at: updatedAt,
-    };
-}), (0, rxjs_1.shareReplay)({ bufferSize: 1, refCount: true }));
+        product_id: (0, utils_1.encodePath)('usdt-future', entry.symbol),
+        last_price: entry.markPrice,
+        updated_at: new Date((_a = entry.time) !== null && _a !== void 0 ? _a : Date.now()).toISOString(),
+    });
+}));
+const quoteFromBookTicker$ = 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)({

package/lib/quote.js.map CHANGED Viewed

	@@ -1 +1 @@
1	- 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{ IQuote } from '@yuants/data-quote';\nimport { Terminal } from '@yuants/protocol';\nimport { writeToSQL } from '@yuants/sql';\nimport { decodePath, encodePath } from '@yuants/utils';\nimport { ~~combineLatest,~~ defer, filter, from, map, mergeMap, repeat, retry, shareReplay~~, toArray~~ } from 'rxjs';\nimport { client } from './api';\n\nconst terminal = Terminal.fromNodeEnv();\n\nconst ~~mapSymbolToFuturePremiumIndex$~~ = ~~defer~~(() => ~~client.getFuturePremiumIndex(~~{~~})).pipe(~~\n ~~repeat(~~{ ~~delay:~~ ~~1_000~~ ~~}),\n retry~~({ ~~delay:~~ ~~30_000~~ }),\n ~~mergeMap~~((x) ~~=>\~~n ~~from~~(x)~~.pipe(~~\n ~~map~~(~~(v)~~ => ~~[v.~~symbol, ~~v] as const~~),\n ~~toArray(),\n map((v)~~ ~~=> new Map(v)),\~~n ~~),\~~n ),\n ~~shareReplay(~~{ ~~bufferSize~~: ~~1, refCount: true~~ }),\n);\n\nconst ~~mapSymbolToFutureBookTicker~~$ = defer(() => client.~~getFutureBookTicker~~({})).pipe(\n repeat({ delay: 1_000 }),\n retry({ delay: 30_000 }),\n ~~mergeMap~~(~~(x)~~ ~~=>\n from(x).pipe(\n map((v)~~ ~~=> [v.symbol~~, v] as ~~const~~),\n ~~toArray(~~),\n ~~map~~((v) => ~~new Map~~(v)),\n ),\n ),\n shareReplay({ bufferSize: 1, refCount: true }),\n);\n\nconst ~~quote~~$ = ~~combineLatest([mapSymbolToFuturePremiumIndex$, mapSymbolToFutureBookTicker$]).~~pipe(\n mergeMap((~~[premiumIndexMap, bookTickerMap]~~) ~~=>\n~~ from(\n [~~...bookTickerMap.entries(~~)].map((~~[symbol, ticker]~~) => ({\n ~~symbol~~,\n ~~ticker,\n premium~~: ~~premiumIndexMap~~.~~get(~~symbol),\n })),\n ),\n ),\n ~~map~~(({ ~~symbol,~~ ~~ticker,~~ ~~premium~~ }): Partial<IQuote> => {\n ~~const~~ ~~updatedAt~~ = new Date(~~ticker?.~~time ?? ~~premium?.time ??~~ Date.now()).toISOString();\n ~~return~~ {\n datasource_id: 'BINANCE',\n product_id: encodePath('usdt-future', symbol),\n ~~last_price~~: ~~premium?.markPrice~~ ?? ~~ticker~~.~~bidPrice~~ ?? ~~ticker~~.~~askPrice~~,\n ~~bid_price:~~ ~~ticker~~.~~bidPrice,\~~n ~~ask_price~~: ~~ticker.askPrice~~,\n ~~updated_at~~: ~~updatedAt~~,\n };\n }),\n shareReplay({ bufferSize: 1, refCount: true }),\n);\n\nif (process.env.WRITE_QUOTE_TO_SQL === 'true') {\n quote$\n .pipe(\n writeToSQL({\n terminal,\n tableName: 'quote',\n writeInterval: 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"]}
1	+ {"version":3,"file":"quote.js","sourceRoot":"","sources":["../src/quote.ts"],"names":[],"mappings":";;AAAA,yCAA4C;AAE5C,+CAA4C;AAC5C,qCAAyC;AACzC,yCAAuD;AACvD,+BAac;AACd,+BAA+B;AAE/B,MAAM,QAAQ,GAAG,mBAAQ,CAAC,WAAW,EAAE,CAAC;AACxC,MAAM,iBAAiB,GAAG,OAAO,CAAC,GAAG,CAAC,iBAAiB,CAAC,CAAC,CAAC,MAAM,CAAC,OAAO,CAAC,GAAG,CAAC,iBAAiB,CAAC,CAAC,CAAC,CAAC,MAAO,CAAC;AAE1G,MAAM,iBAAiB,GAAG,IAAA,mBAAW,EACnC,KAAK,EAAE,MAAc,EAAE,EAAE;;IACvB,IAAI;QACF,MAAM,IAAI,GAAG,MAAM,YAAM,CAAC,qBAAqB,CAAC,EAAE,MAAM,EAAE,CAAC,CAAC;QAC5D,OAAO,MAAM,CAAC,MAAA,IAAI,CAAC,YAAY,mCAAI,CAAC,CAAC,CAAC;KACvC;IAAC,OAAO,GAAG,EAAE;QACZ,OAAO,CAAC,IAAI,CAAC,8BAA8B,EAAE,MAAM,EAAE,GAAG,CAAC,CAAC;QAC1D,OAAO,SAAS,CAAC;KAClB;AACH,CAAC,EACD;IACE,MAAM,EAAE,iBAAiB;CAC1B,CACF,CAAC;AAEF,MAAM,mBAAmB,GAAG,IAAA,YAAK,EAAC,GAAG,EAAE,CAAC,YAAM,CAAC,qBAAqB,CAAC,EAAE,CAAC,CAAC,CAAC,IAAI,CAC5E,IAAA,aAAM,EAAC,EAAE,KAAK,EAAE,IAAK,EAAE,CAAC,EACxB,IAAA,YAAK,EAAC,EAAE,KAAK,EAAE,KAAM,EAAE,CAAC,EACxB,IAAA,kBAAW,EAAC,EAAE,UAAU,EAAE,CAAC,EAAE,QAAQ,EAAE,IAAI,EAAE,CAAC,CAC/C,CAAC;AAEF,MAAM,iBAAiB,GAAG,IAAA,YAAK,EAAC,GAAG,EAAE,CAAC,YAAM,CAAC,mBAAmB,CAAC,EAAE,CAAC,CAAC,CAAC,IAAI,CACxE,IAAA,aAAM,EAAC,EAAE,KAAK,EAAE,IAAK,EAAE,CAAC,EACxB,IAAA,YAAK,EAAC,EAAE,KAAK,EAAE,KAAM,EAAE,CAAC,EACxB,IAAA,kBAAW,EAAC,EAAE,UAAU,EAAE,CAAC,EAAE,QAAQ,EAAE,IAAI,EAAE,CAAC,CAC/C,CAAC;AAEF,MAAM,sBAAsB,GAAG,mBAAmB,CAAC,IAAI,CACrD,IAAA,eAAQ,EAAC,CAAC,OAAO,EAAE,EAAE,CAAC,IAAA,WAAI,EAAC,OAAO,IAAI,EAAE,CAAC,CAAC,EAC1C,IAAA,UAAG,EACD,CAAC,KAAK,EAAmB,EAAE;;IAAC,OAAA,CAAC;QAC3B,aAAa,EAAE,SAAS;QACxB,UAAU,EAAE,IAAA,kBAAU,EAAC,aAAa,EAAE,KAAK,CAAC,MAAM,CAAC;QACnD,UAAU,EAAE,KAAK,CAAC,SAAS;QAC3B,UAAU,EAAE,IAAI,IAAI,CAAC,MAAA,KAAK,CAAC,IAAI,mCAAI,IAAI,CAAC,GAAG,EAAE,CAAC,CAAC,WAAW,EAAE;KAC7D,CAAC,CAAA;CAAA,CACH,CACF,CAAC;AAEF,MAAM,oBAAoB,GAAG,iBAAiB,CAAC,IAAI,CACjD,IAAA,eAAQ,EAAC,CAAC,OAAO,EAAE,EAAE,CAAC,IAAA,WAAI,EAAC,OAAO,IAAI,EAAE,CAAC,CAAC,EAC1C,IAAA,UAAG,EACD,CAAC,KAAK,EAAmB,EAAE;;IAAC,OAAA,CAAC;QAC3B,aAAa,EAAE,SAAS;QACxB,UAAU,EAAE,IAAA,kBAAU,EAAC,aAAa,EAAE,KAAK,CAAC,MAAM,CAAC;QACnD,SAAS,EAAE,KAAK,CAAC,QAAQ;QACzB,SAAS,EAAE,KAAK,CAAC,QAAQ;QACzB,UAAU,EAAE,IAAI,IAAI,CAAC,MAAA,KAAK,CAAC,IAAI,mCAAI,IAAI,CAAC,GAAG,EAAE,CAAC,CAAC,WAAW,EAAE;KAC7D,CAAC,CAAA;CAAA,CACH,CACF,CAAC;AAEF,MAAM,sBAAsB,GAAG,iBAAiB,CAAC,IAAI,CACnD,IAAA,eAAQ,EAAC,CAAC,OAAO,EAAE,EAAE,CAAC,IAAA,WAAI,EAAC,OAAO,IAAI,EAAE,CAAC,CAAC,EAC1C,IAAA,eAAQ,EACN,CAAC,KAAK,EAAE,EAAE,CACR,IAAA,WAAI,EAAC,iBAAiB,CAAC,KAAK,CAAC,KAAK,CAAC,MAAM,CAAC,CAAC,CAAC,IAAI,CAC9C,IAAA,UAAG,EACD,CAAC,YAAY,EAAmB,EAAE,CAAC,CAAC;IAClC,aAAa,EAAE,SAAS;IACxB,UAAU,EAAE,IAAA,kBAAU,EAAC,aAAa,EAAE,KAAK,CAAC,MAAM,CAAC;IACnD,aAAa,EAAE,GAAG,YAAY,aAAZ,YAAY,cAAZ,YAAY,GAAI,CAAC,EAAE;CACtC,CAAC,CACH,CACF,EACH,CAAC,CACF,CACF,CAAC;AAEF,MAAM,MAAM,GAAG,IAAA,YAAK,EAAC,sBAAsB,EAAE,oBAAoB,EAAE,sBAAsB,CAAC,CAAC,IAAI,CAC7F,IAAA,cAAO,EAAC,CAAC,KAAK,EAAE,EAAE,CAAC,KAAK,CAAC,UAAU,CAAC,EACpC,IAAA,eAAQ,EAAC,CAAC,MAAM,EAAE,EAAE,CAClB,MAAM,CAAC,IAAI,CACT,IAAA,WAAI,EACF,CAAC,GAAG,EAAE,GAAG,EAAE,EAAE,CACX,MAAM,CAAC,MAAM,CAAC,GAAG,EAAE,GAAG,EAAE;IACtB,aAAa,EAAE,SAAS;IACxB,UAAU,EAAE,MAAM,CAAC,GAAG;CACvB,CAAC,EACJ,EAAqB,CACtB,CACF,CACF,EACD,IAAA,YAAK,GAAE,EACP,IAAA,kBAAW,EAAC,EAAE,UAAU,EAAE,CAAC,EAAE,QAAQ,EAAE,IAAI,EAAE,CAAC,CAC/C,CAAC;AAEF,IAAI,OAAO,CAAC,GAAG,CAAC,kBAAkB,KAAK,MAAM,EAAE;IAC7C,MAAM;SACH,IAAI,CACH,IAAA,gBAAU,EAAC;QACT,QAAQ;QACR,SAAS,EAAE,OAAO;QAClB,aAAa,EAAE,IAAK;QACpB,YAAY,EAAE,CAAC,eAAe,EAAE,YAAY,CAAC;KAC9C,CAAC,CACH;SACA,SAAS,EAAE,CAAC;IAEf,QAAQ,CAAC,OAAO,CAAC,cAAc,CAAC,OAAO,EAAE,EAAE,OAAO,EAAE,WAAW,EAAE,EAAE,CAAC,UAAU,EAAE,EAAE;QAChF,MAAM,CAAC,YAAY,EAAE,SAAS,CAAC,GAAG,IAAA,kBAAU,EAAC,UAAU,CAAC,CAAC;QACzD,IAAI,CAAC,YAAY,IAAI,CAAC,SAAS,EAAE;YAC/B,MAAM,IAAI,KAAK,CAAC,uBAAuB,UAAU,EAAE,CAAC,CAAC;SACtD;QACD,OAAO,MAAM,CAAC,IAAI,CAAC,IAAA,aAAM,EAAC,CAAC,KAAK,EAAE,EAAE,CAAC,KAAK,CAAC,UAAU,KAAK,SAAS,CAAC,CAAC,CAAC;IACxE,CAAC,CAAC,CAAC;CACJ","sourcesContent":["import { createCache } from '@yuants/cache';\nimport { IQuote } from '@yuants/data-quote';\nimport { Terminal } from '@yuants/protocol';\nimport { writeToSQL } from '@yuants/sql';\nimport { decodePath, encodePath } 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 { client } from './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 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 CHANGED Viewed

@@ -1,6 +1,6 @@
 {
 	"name": "@yuants/vendor-binance",
-	"version": "0.7.0",
+	"version": "0.7.2",
 	"bin": "lib/cli.js",
 	"main": "lib/index.js",
 	"files": [
@@ -9,17 +9,18 @@
 		"temp"
 	],
 	"dependencies": {
-		"@yuants/protocol": "0.50.1",
-		"@yuants/data-account": "0.6.11",
-		"@yuants/data-quote": "0.2.34",
-		"@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": "0.50.3",
+		"@yuants/data-account": "0.6.13",
+		"@yuants/cache": "0.2.4",
+		"@yuants/data-quote": "0.2.36",
+		"@yuants/utils": "0.11.0",
+		"@yuants/data-series": "0.3.44",
+		"@yuants/sql": "0.9.23",
+		"@yuants/data-product": "0.4.14",
+		"@yuants/data-ohlc": "0.4.15",
+		"@yuants/data-order": "0.3.11",
+		"@yuants/data-interest-rate": "0.1.41",
+		"@yuants/transfer": "0.2.32",
 		"rxjs": "~7.5.6",
 		"crypto-js": "^4.2.0"
 	},
@@ -30,7 +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 CHANGED Viewed

@@ -1,33 +1,34 @@
 {
-    "apps/vendor-binance/CHANGELOG.json": "c3d6d7a191e1defbbb448c06b223e085c7cd356a",
-    "apps/vendor-binance/CHANGELOG.md": "6b868bb815b5ea6b2d7dddd6a43dc2176f0cc14e",
+    "apps/vendor-binance/CHANGELOG.json": "dd16300714b44255d7e8fc74e8a8a48f9a7d3304",
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