@yuants/vendor-binance 0.8.5 → 0.8.7
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
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@@ -29,8 +29,8 @@ const quoteFromPremiumIndex$ = futurePremiumIndex$.pipe(mergeMap((entries) => fr
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product_id: encodePath('usdt-future', entry.symbol),
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last_price: entry.markPrice,
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// Use the latest funding rate so that long pays when fundingRate > 0
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interest_rate_long: entry.lastFundingRate
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33
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interest_rate_short:
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interest_rate_long: `${-Number(entry.lastFundingRate)}`,
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interest_rate_short: entry.lastFundingRate,
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interest_rate_next_settled_at: formatTime(entry.nextFundingTime),
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updated_at: formatTime((_a = entry.time) !== null && _a !== void 0 ? _a : Date.now()),
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});
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@@ -1 +1 @@
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{ createCache } from '@yuants/cache';\nimport { IQuote } from '@yuants/data-quote';\nimport { Terminal } from '@yuants/protocol';\nimport { writeToSQL } from '@yuants/sql';\nimport { decodePath, encodePath, formatTime } from '@yuants/utils';\nimport {\n defer,\n filter,\n from,\n groupBy,\n map,\n merge,\n mergeMap,\n repeat,\n retry,\n scan,\n share,\n shareReplay,\n} from 'rxjs';\nimport { getMarginAllPairs, getMarginNextHourlyInterestRate, IMarginPair } from '../api/private-api';\nimport {\n getFutureBookTicker,\n getFutureOpenInterest,\n getFuturePremiumIndex,\n getSpotBookTicker,\n} from '../api/public-api';\n\nconst terminal = Terminal.fromNodeEnv();\nconst OPEN_INTEREST_TTL = process.env.OPEN_INTEREST_TTL ? Number(process.env.OPEN_INTEREST_TTL) : 120_000;\n\nconst openInterestCache = createCache<number>(\n async (symbol: string) => {\n try {\n const data = await getFutureOpenInterest({ symbol });\n return Number(data.openInterest ?? 0);\n } catch (err) {\n console.warn('getFutureOpenInterest failed', symbol, err);\n return undefined;\n }\n },\n {\n expire: OPEN_INTEREST_TTL,\n },\n);\n\nconst futurePremiumIndex$ = defer(() => getFuturePremiumIndex({})).pipe(\n repeat({ delay: 1_000 }),\n retry({ delay: 30_000 }),\n shareReplay({ bufferSize: 1, refCount: true }),\n);\n\nconst futureBookTicker$ = defer(() => getFutureBookTicker({})).pipe(\n repeat({ delay: 1_000 }),\n retry({ delay: 30_000 }),\n shareReplay({ bufferSize: 1, refCount: true }),\n);\n\nconst quoteFromPremiumIndex$ = futurePremiumIndex$.pipe(\n mergeMap((entries) => from(entries || [])),\n map(\n (entry): Partial<IQuote> => ({\n datasource_id: 'BINANCE',\n product_id: encodePath('usdt-future', entry.symbol),\n last_price: entry.markPrice,\n // Use the latest funding rate so that long pays when fundingRate > 0\n interest_rate_long: entry.lastFundingRate,\n interest_rate_short: `${-Number(entry.lastFundingRate)}`,\n interest_rate_next_settled_at: formatTime(entry.nextFundingTime),\n updated_at: formatTime(entry.time ?? Date.now()),\n }),\n ),\n);\n\nconst quoteFromBookTicker$ = futureBookTicker$.pipe(\n mergeMap((entries) => from(entries || [])),\n map(\n (entry): Partial<IQuote> => ({\n datasource_id: 'BINANCE',\n product_id: encodePath('usdt-future', entry.symbol),\n bid_price: entry.bidPrice,\n ask_price: entry.askPrice,\n updated_at: formatTime(entry.time ?? Date.now()),\n }),\n ),\n);\n\nconst quoteFromOpenInterest$ = futureBookTicker$.pipe(\n mergeMap((entries) => from(entries || [])),\n mergeMap(\n (entry) =>\n from(openInterestCache.query(entry.symbol)).pipe(\n map(\n (openInterest): Partial<IQuote> => ({\n datasource_id: 'BINANCE',\n product_id: encodePath('usdt-future', entry.symbol),\n open_interest: `${openInterest ?? 0}`,\n }),\n ),\n ),\n 5,\n ),\n);\n\nconst quoteFromSpotBookTicker$ = defer(() => getSpotBookTicker({})).pipe(\n repeat({ delay: 1_000 }),\n retry({ delay: 30_000 }),\n shareReplay({ bufferSize: 1, refCount: true }),\n mergeMap((entries) => from(entries || [])),\n map(\n (entry): Partial<IQuote> => ({\n datasource_id: 'BINANCE',\n product_id: encodePath('spot', entry.symbol),\n bid_price: entry.bidPrice,\n ask_price: entry.askPrice,\n bid_volume: entry.bidQty,\n ask_volume: entry.askQty,\n updated_at: formatTime(Date.now()),\n }),\n ),\n);\n\nconst marginInterestRateCache = createCache<string>(\n async (asset: string) => {\n try {\n const data = await getMarginNextHourlyInterestRate({\n assets: asset,\n isIsolated: false,\n });\n return data[0]?.nextHourlyInterestRate;\n } catch (err) {\n return undefined;\n }\n },\n {\n expire: 60_000,\n },\n);\n\nconst marginPairs$ = defer(() => getMarginAllPairs()).pipe(\n repeat({ delay: 3600_000 }), // Refresh pair list hourly\n retry({ delay: 60_000 }),\n shareReplay({ bufferSize: 1, refCount: true }),\n);\n\nconst quoteFromMarginRates$ = marginPairs$.pipe(\n mergeMap((pairs: IMarginPair[]) =>\n from(pairs).pipe(\n mergeMap(\n (pair) =>\n defer(async () => {\n const [baseRate, quoteRate] = await Promise.all([\n marginInterestRateCache.query(pair.base),\n marginInterestRateCache.query(pair.quote),\n ]);\n return {\n datasource_id: 'BINANCE',\n product_id: encodePath('spot', pair.symbol),\n // User instruction: Long = Quote Rate, Short = Base Rate\n interest_rate_long: quoteRate,\n interest_rate_short: baseRate,\n updated_at: formatTime(Date.now()),\n } as Partial<IQuote>;\n }),\n 5, // Concurrency\n ),\n ),\n ),\n repeat({ delay: 60_000 }),\n);\n\nconst quote$ = merge(\n quoteFromPremiumIndex$,\n quoteFromBookTicker$,\n quoteFromOpenInterest$,\n quoteFromSpotBookTicker$,\n quoteFromMarginRates$,\n).pipe(\n groupBy((quote) => quote.product_id),\n mergeMap((group$) =>\n group$.pipe(\n scan(\n (acc, cur) =>\n Object.assign(acc, cur, {\n datasource_id: 'BINANCE',\n product_id: group$.key,\n }),\n {} as Partial<IQuote>,\n ),\n ),\n ),\n share(),\n shareReplay({ bufferSize: 1, refCount: true }),\n);\n\nif (process.env.WRITE_QUOTE_TO_SQL === 'true') {\n quote$\n .pipe(\n writeToSQL({\n terminal,\n tableName: 'quote',\n writeInterval: 1_000,\n conflictKeys: ['datasource_id', 'product_id'],\n }),\n )\n .subscribe();\n\n terminal.channel.publishChannel('quote', { pattern: '^BINANCE/' }, (channel_id) => {\n const [datasourceId, productId] = decodePath(channel_id);\n if (!datasourceId || !productId) {\n throw new Error(`Invalid channel_id: ${channel_id}`);\n }\n return quote$.pipe(filter((quote) => quote.product_id === productId));\n });\n}\n"]}
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+
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{ createCache } from '@yuants/cache';\nimport { IQuote } from '@yuants/data-quote';\nimport { Terminal } from '@yuants/protocol';\nimport { writeToSQL } from '@yuants/sql';\nimport { decodePath, encodePath, formatTime } from '@yuants/utils';\nimport {\n defer,\n filter,\n from,\n groupBy,\n map,\n merge,\n mergeMap,\n repeat,\n retry,\n scan,\n share,\n shareReplay,\n} from 'rxjs';\nimport { getMarginAllPairs, getMarginNextHourlyInterestRate, IMarginPair } from '../api/private-api';\nimport {\n getFutureBookTicker,\n getFutureOpenInterest,\n getFuturePremiumIndex,\n getSpotBookTicker,\n} from '../api/public-api';\n\nconst terminal = Terminal.fromNodeEnv();\nconst OPEN_INTEREST_TTL = process.env.OPEN_INTEREST_TTL ? Number(process.env.OPEN_INTEREST_TTL) : 120_000;\n\nconst openInterestCache = createCache<number>(\n async (symbol: string) => {\n try {\n const data = await getFutureOpenInterest({ symbol });\n return Number(data.openInterest ?? 0);\n } catch (err) {\n console.warn('getFutureOpenInterest failed', symbol, err);\n return undefined;\n }\n },\n {\n expire: OPEN_INTEREST_TTL,\n },\n);\n\nconst futurePremiumIndex$ = defer(() => getFuturePremiumIndex({})).pipe(\n repeat({ delay: 1_000 }),\n retry({ delay: 30_000 }),\n shareReplay({ bufferSize: 1, refCount: true }),\n);\n\nconst futureBookTicker$ = defer(() => getFutureBookTicker({})).pipe(\n repeat({ delay: 1_000 }),\n retry({ delay: 30_000 }),\n shareReplay({ bufferSize: 1, refCount: true }),\n);\n\nconst quoteFromPremiumIndex$ = futurePremiumIndex$.pipe(\n mergeMap((entries) => from(entries || [])),\n map(\n (entry): Partial<IQuote> => ({\n datasource_id: 'BINANCE',\n product_id: encodePath('usdt-future', entry.symbol),\n last_price: entry.markPrice,\n // Use the latest funding rate so that long pays when fundingRate > 0\n interest_rate_long: `${-Number(entry.lastFundingRate)}`,\n interest_rate_short: entry.lastFundingRate,\n interest_rate_next_settled_at: formatTime(entry.nextFundingTime),\n updated_at: formatTime(entry.time ?? Date.now()),\n }),\n ),\n);\n\nconst quoteFromBookTicker$ = futureBookTicker$.pipe(\n mergeMap((entries) => from(entries || [])),\n map(\n (entry): Partial<IQuote> => ({\n datasource_id: 'BINANCE',\n product_id: encodePath('usdt-future', entry.symbol),\n bid_price: entry.bidPrice,\n ask_price: entry.askPrice,\n updated_at: formatTime(entry.time ?? Date.now()),\n }),\n ),\n);\n\nconst quoteFromOpenInterest$ = futureBookTicker$.pipe(\n mergeMap((entries) => from(entries || [])),\n mergeMap(\n (entry) =>\n from(openInterestCache.query(entry.symbol)).pipe(\n map(\n (openInterest): Partial<IQuote> => ({\n datasource_id: 'BINANCE',\n product_id: encodePath('usdt-future', entry.symbol),\n open_interest: `${openInterest ?? 0}`,\n }),\n ),\n ),\n 5,\n ),\n);\n\nconst quoteFromSpotBookTicker$ = defer(() => getSpotBookTicker({})).pipe(\n repeat({ delay: 1_000 }),\n retry({ delay: 30_000 }),\n shareReplay({ bufferSize: 1, refCount: true }),\n mergeMap((entries) => from(entries || [])),\n map(\n (entry): Partial<IQuote> => ({\n datasource_id: 'BINANCE',\n product_id: encodePath('spot', entry.symbol),\n bid_price: entry.bidPrice,\n ask_price: entry.askPrice,\n bid_volume: entry.bidQty,\n ask_volume: entry.askQty,\n updated_at: formatTime(Date.now()),\n }),\n ),\n);\n\nconst marginInterestRateCache = createCache<string>(\n async (asset: string) => {\n try {\n const data = await getMarginNextHourlyInterestRate({\n assets: asset,\n isIsolated: false,\n });\n return data[0]?.nextHourlyInterestRate;\n } catch (err) {\n return undefined;\n }\n },\n {\n expire: 60_000,\n },\n);\n\nconst marginPairs$ = defer(() => getMarginAllPairs()).pipe(\n repeat({ delay: 3600_000 }), // Refresh pair list hourly\n retry({ delay: 60_000 }),\n shareReplay({ bufferSize: 1, refCount: true }),\n);\n\nconst quoteFromMarginRates$ = marginPairs$.pipe(\n mergeMap((pairs: IMarginPair[]) =>\n from(pairs).pipe(\n mergeMap(\n (pair) =>\n defer(async () => {\n const [baseRate, quoteRate] = await Promise.all([\n marginInterestRateCache.query(pair.base),\n marginInterestRateCache.query(pair.quote),\n ]);\n return {\n datasource_id: 'BINANCE',\n product_id: encodePath('spot', pair.symbol),\n // User instruction: Long = Quote Rate, Short = Base Rate\n interest_rate_long: quoteRate,\n interest_rate_short: baseRate,\n updated_at: formatTime(Date.now()),\n } as Partial<IQuote>;\n }),\n 5, // Concurrency\n ),\n ),\n ),\n repeat({ delay: 60_000 }),\n);\n\nconst quote$ = merge(\n quoteFromPremiumIndex$,\n quoteFromBookTicker$,\n quoteFromOpenInterest$,\n quoteFromSpotBookTicker$,\n quoteFromMarginRates$,\n).pipe(\n groupBy((quote) => quote.product_id),\n mergeMap((group$) =>\n group$.pipe(\n scan(\n (acc, cur) =>\n Object.assign(acc, cur, {\n datasource_id: 'BINANCE',\n product_id: group$.key,\n }),\n {} as Partial<IQuote>,\n ),\n ),\n ),\n share(),\n shareReplay({ bufferSize: 1, refCount: true }),\n);\n\nif (process.env.WRITE_QUOTE_TO_SQL === 'true') {\n quote$\n .pipe(\n writeToSQL({\n terminal,\n tableName: 'quote',\n writeInterval: 1_000,\n conflictKeys: ['datasource_id', 'product_id'],\n }),\n )\n .subscribe();\n\n terminal.channel.publishChannel('quote', { pattern: '^BINANCE/' }, (channel_id) => {\n const [datasourceId, productId] = decodePath(channel_id);\n if (!datasourceId || !productId) {\n throw new Error(`Invalid channel_id: ${channel_id}`);\n }\n return quote$.pipe(filter((quote) => quote.product_id === productId));\n });\n}\n"]}
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package/lib/public-data/quote.js
CHANGED
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@@ -31,8 +31,8 @@ const quoteFromPremiumIndex$ = futurePremiumIndex$.pipe((0, rxjs_1.mergeMap)((en
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|
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31
31
|
product_id: (0, utils_1.encodePath)('usdt-future', entry.symbol),
|
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32
32
|
last_price: entry.markPrice,
|
|
33
33
|
// Use the latest funding rate so that long pays when fundingRate > 0
|
|
34
|
-
interest_rate_long: entry.lastFundingRate
|
|
35
|
-
interest_rate_short:
|
|
34
|
+
interest_rate_long: `${-Number(entry.lastFundingRate)}`,
|
|
35
|
+
interest_rate_short: entry.lastFundingRate,
|
|
36
36
|
interest_rate_next_settled_at: (0, utils_1.formatTime)(entry.nextFundingTime),
|
|
37
37
|
updated_at: (0, utils_1.formatTime)((_a = entry.time) !== null && _a !== void 0 ? _a : Date.now()),
|
|
38
38
|
});
|
|
@@ -1 +1 @@
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|
|
1
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-
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{ createCache } from '@yuants/cache';\nimport { IQuote } from '@yuants/data-quote';\nimport { Terminal } from '@yuants/protocol';\nimport { writeToSQL } from '@yuants/sql';\nimport { decodePath, encodePath, formatTime } from '@yuants/utils';\nimport {\n defer,\n filter,\n from,\n groupBy,\n map,\n merge,\n mergeMap,\n repeat,\n retry,\n scan,\n share,\n shareReplay,\n} from 'rxjs';\nimport { getMarginAllPairs, getMarginNextHourlyInterestRate, IMarginPair } from '../api/private-api';\nimport {\n getFutureBookTicker,\n getFutureOpenInterest,\n getFuturePremiumIndex,\n getSpotBookTicker,\n} from '../api/public-api';\n\nconst terminal = Terminal.fromNodeEnv();\nconst OPEN_INTEREST_TTL = process.env.OPEN_INTEREST_TTL ? Number(process.env.OPEN_INTEREST_TTL) : 120_000;\n\nconst openInterestCache = createCache<number>(\n async (symbol: string) => {\n try {\n const data = await getFutureOpenInterest({ symbol });\n return Number(data.openInterest ?? 0);\n } catch (err) {\n console.warn('getFutureOpenInterest failed', symbol, err);\n return undefined;\n }\n },\n {\n expire: OPEN_INTEREST_TTL,\n },\n);\n\nconst futurePremiumIndex$ = defer(() => getFuturePremiumIndex({})).pipe(\n repeat({ delay: 1_000 }),\n retry({ delay: 30_000 }),\n shareReplay({ bufferSize: 1, refCount: true }),\n);\n\nconst futureBookTicker$ = defer(() => getFutureBookTicker({})).pipe(\n repeat({ delay: 1_000 }),\n retry({ delay: 30_000 }),\n shareReplay({ bufferSize: 1, refCount: true }),\n);\n\nconst quoteFromPremiumIndex$ = futurePremiumIndex$.pipe(\n mergeMap((entries) => from(entries || [])),\n map(\n (entry): Partial<IQuote> => ({\n datasource_id: 'BINANCE',\n product_id: encodePath('usdt-future', entry.symbol),\n last_price: entry.markPrice,\n // Use the latest funding rate so that long pays when fundingRate > 0\n interest_rate_long: entry.lastFundingRate,\n interest_rate_short: `${-Number(entry.lastFundingRate)}`,\n interest_rate_next_settled_at: formatTime(entry.nextFundingTime),\n updated_at: formatTime(entry.time ?? Date.now()),\n }),\n ),\n);\n\nconst quoteFromBookTicker$ = futureBookTicker$.pipe(\n mergeMap((entries) => from(entries || [])),\n map(\n (entry): Partial<IQuote> => ({\n datasource_id: 'BINANCE',\n product_id: encodePath('usdt-future', entry.symbol),\n bid_price: entry.bidPrice,\n ask_price: entry.askPrice,\n updated_at: formatTime(entry.time ?? Date.now()),\n }),\n ),\n);\n\nconst quoteFromOpenInterest$ = futureBookTicker$.pipe(\n mergeMap((entries) => from(entries || [])),\n mergeMap(\n (entry) =>\n from(openInterestCache.query(entry.symbol)).pipe(\n map(\n (openInterest): Partial<IQuote> => ({\n datasource_id: 'BINANCE',\n product_id: encodePath('usdt-future', entry.symbol),\n open_interest: `${openInterest ?? 0}`,\n }),\n ),\n ),\n 5,\n ),\n);\n\nconst quoteFromSpotBookTicker$ = defer(() => getSpotBookTicker({})).pipe(\n repeat({ delay: 1_000 }),\n retry({ delay: 30_000 }),\n shareReplay({ bufferSize: 1, refCount: true }),\n mergeMap((entries) => from(entries || [])),\n map(\n (entry): Partial<IQuote> => ({\n datasource_id: 'BINANCE',\n product_id: encodePath('spot', entry.symbol),\n bid_price: entry.bidPrice,\n ask_price: entry.askPrice,\n bid_volume: entry.bidQty,\n ask_volume: entry.askQty,\n updated_at: formatTime(Date.now()),\n }),\n ),\n);\n\nconst marginInterestRateCache = createCache<string>(\n async (asset: string) => {\n try {\n const data = await getMarginNextHourlyInterestRate({\n assets: asset,\n isIsolated: false,\n });\n return data[0]?.nextHourlyInterestRate;\n } catch (err) {\n return undefined;\n }\n },\n {\n expire: 60_000,\n },\n);\n\nconst marginPairs$ = defer(() => getMarginAllPairs()).pipe(\n repeat({ delay: 3600_000 }), // Refresh pair list hourly\n retry({ delay: 60_000 }),\n shareReplay({ bufferSize: 1, refCount: true }),\n);\n\nconst quoteFromMarginRates$ = marginPairs$.pipe(\n mergeMap((pairs: IMarginPair[]) =>\n from(pairs).pipe(\n mergeMap(\n (pair) =>\n defer(async () => {\n const [baseRate, quoteRate] = await Promise.all([\n marginInterestRateCache.query(pair.base),\n marginInterestRateCache.query(pair.quote),\n ]);\n return {\n datasource_id: 'BINANCE',\n product_id: encodePath('spot', pair.symbol),\n // User instruction: Long = Quote Rate, Short = Base Rate\n interest_rate_long: quoteRate,\n interest_rate_short: baseRate,\n updated_at: formatTime(Date.now()),\n } as Partial<IQuote>;\n }),\n 5, // Concurrency\n ),\n ),\n ),\n repeat({ delay: 60_000 }),\n);\n\nconst quote$ = merge(\n quoteFromPremiumIndex$,\n quoteFromBookTicker$,\n quoteFromOpenInterest$,\n quoteFromSpotBookTicker$,\n quoteFromMarginRates$,\n).pipe(\n groupBy((quote) => quote.product_id),\n mergeMap((group$) =>\n group$.pipe(\n scan(\n (acc, cur) =>\n Object.assign(acc, cur, {\n datasource_id: 'BINANCE',\n product_id: group$.key,\n }),\n {} as Partial<IQuote>,\n ),\n ),\n ),\n share(),\n shareReplay({ bufferSize: 1, refCount: true }),\n);\n\nif (process.env.WRITE_QUOTE_TO_SQL === 'true') {\n quote$\n .pipe(\n writeToSQL({\n terminal,\n tableName: 'quote',\n writeInterval: 1_000,\n conflictKeys: ['datasource_id', 'product_id'],\n }),\n )\n .subscribe();\n\n terminal.channel.publishChannel('quote', { pattern: '^BINANCE/' }, (channel_id) => {\n const [datasourceId, productId] = decodePath(channel_id);\n if (!datasourceId || !productId) {\n throw new Error(`Invalid channel_id: ${channel_id}`);\n }\n return quote$.pipe(filter((quote) => quote.product_id === productId));\n });\n}\n"]}
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+
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{ createCache } from '@yuants/cache';\nimport { IQuote } from '@yuants/data-quote';\nimport { Terminal } from '@yuants/protocol';\nimport { writeToSQL } from '@yuants/sql';\nimport { decodePath, encodePath, formatTime } from '@yuants/utils';\nimport {\n defer,\n filter,\n from,\n groupBy,\n map,\n merge,\n mergeMap,\n repeat,\n retry,\n scan,\n share,\n shareReplay,\n} from 'rxjs';\nimport { getMarginAllPairs, getMarginNextHourlyInterestRate, IMarginPair } from '../api/private-api';\nimport {\n getFutureBookTicker,\n getFutureOpenInterest,\n getFuturePremiumIndex,\n getSpotBookTicker,\n} from '../api/public-api';\n\nconst terminal = Terminal.fromNodeEnv();\nconst OPEN_INTEREST_TTL = process.env.OPEN_INTEREST_TTL ? Number(process.env.OPEN_INTEREST_TTL) : 120_000;\n\nconst openInterestCache = createCache<number>(\n async (symbol: string) => {\n try {\n const data = await getFutureOpenInterest({ symbol });\n return Number(data.openInterest ?? 0);\n } catch (err) {\n console.warn('getFutureOpenInterest failed', symbol, err);\n return undefined;\n }\n },\n {\n expire: OPEN_INTEREST_TTL,\n },\n);\n\nconst futurePremiumIndex$ = defer(() => getFuturePremiumIndex({})).pipe(\n repeat({ delay: 1_000 }),\n retry({ delay: 30_000 }),\n shareReplay({ bufferSize: 1, refCount: true }),\n);\n\nconst futureBookTicker$ = defer(() => getFutureBookTicker({})).pipe(\n repeat({ delay: 1_000 }),\n retry({ delay: 30_000 }),\n shareReplay({ bufferSize: 1, refCount: true }),\n);\n\nconst quoteFromPremiumIndex$ = futurePremiumIndex$.pipe(\n mergeMap((entries) => from(entries || [])),\n map(\n (entry): Partial<IQuote> => ({\n datasource_id: 'BINANCE',\n product_id: encodePath('usdt-future', entry.symbol),\n last_price: entry.markPrice,\n // Use the latest funding rate so that long pays when fundingRate > 0\n interest_rate_long: `${-Number(entry.lastFundingRate)}`,\n interest_rate_short: entry.lastFundingRate,\n interest_rate_next_settled_at: formatTime(entry.nextFundingTime),\n updated_at: formatTime(entry.time ?? Date.now()),\n }),\n ),\n);\n\nconst quoteFromBookTicker$ = futureBookTicker$.pipe(\n mergeMap((entries) => from(entries || [])),\n map(\n (entry): Partial<IQuote> => ({\n datasource_id: 'BINANCE',\n product_id: encodePath('usdt-future', entry.symbol),\n bid_price: entry.bidPrice,\n ask_price: entry.askPrice,\n updated_at: formatTime(entry.time ?? Date.now()),\n }),\n ),\n);\n\nconst quoteFromOpenInterest$ = futureBookTicker$.pipe(\n mergeMap((entries) => from(entries || [])),\n mergeMap(\n (entry) =>\n from(openInterestCache.query(entry.symbol)).pipe(\n map(\n (openInterest): Partial<IQuote> => ({\n datasource_id: 'BINANCE',\n product_id: encodePath('usdt-future', entry.symbol),\n open_interest: `${openInterest ?? 0}`,\n }),\n ),\n ),\n 5,\n ),\n);\n\nconst quoteFromSpotBookTicker$ = defer(() => getSpotBookTicker({})).pipe(\n repeat({ delay: 1_000 }),\n retry({ delay: 30_000 }),\n shareReplay({ bufferSize: 1, refCount: true }),\n mergeMap((entries) => from(entries || [])),\n map(\n (entry): Partial<IQuote> => ({\n datasource_id: 'BINANCE',\n product_id: encodePath('spot', entry.symbol),\n bid_price: entry.bidPrice,\n ask_price: entry.askPrice,\n bid_volume: entry.bidQty,\n ask_volume: entry.askQty,\n updated_at: formatTime(Date.now()),\n }),\n ),\n);\n\nconst marginInterestRateCache = createCache<string>(\n async (asset: string) => {\n try {\n const data = await getMarginNextHourlyInterestRate({\n assets: asset,\n isIsolated: false,\n });\n return data[0]?.nextHourlyInterestRate;\n } catch (err) {\n return undefined;\n }\n },\n {\n expire: 60_000,\n },\n);\n\nconst marginPairs$ = defer(() => getMarginAllPairs()).pipe(\n repeat({ delay: 3600_000 }), // Refresh pair list hourly\n retry({ delay: 60_000 }),\n shareReplay({ bufferSize: 1, refCount: true }),\n);\n\nconst quoteFromMarginRates$ = marginPairs$.pipe(\n mergeMap((pairs: IMarginPair[]) =>\n from(pairs).pipe(\n mergeMap(\n (pair) =>\n defer(async () => {\n const [baseRate, quoteRate] = await Promise.all([\n marginInterestRateCache.query(pair.base),\n marginInterestRateCache.query(pair.quote),\n ]);\n return {\n datasource_id: 'BINANCE',\n product_id: encodePath('spot', pair.symbol),\n // User instruction: Long = Quote Rate, Short = Base Rate\n interest_rate_long: quoteRate,\n interest_rate_short: baseRate,\n updated_at: formatTime(Date.now()),\n } as Partial<IQuote>;\n }),\n 5, // Concurrency\n ),\n ),\n ),\n repeat({ delay: 60_000 }),\n);\n\nconst quote$ = merge(\n quoteFromPremiumIndex$,\n quoteFromBookTicker$,\n quoteFromOpenInterest$,\n quoteFromSpotBookTicker$,\n quoteFromMarginRates$,\n).pipe(\n groupBy((quote) => quote.product_id),\n mergeMap((group$) =>\n group$.pipe(\n scan(\n (acc, cur) =>\n Object.assign(acc, cur, {\n datasource_id: 'BINANCE',\n product_id: group$.key,\n }),\n {} as Partial<IQuote>,\n ),\n ),\n ),\n share(),\n shareReplay({ bufferSize: 1, refCount: true }),\n);\n\nif (process.env.WRITE_QUOTE_TO_SQL === 'true') {\n quote$\n .pipe(\n writeToSQL({\n terminal,\n tableName: 'quote',\n writeInterval: 1_000,\n conflictKeys: ['datasource_id', 'product_id'],\n }),\n )\n .subscribe();\n\n terminal.channel.publishChannel('quote', { pattern: '^BINANCE/' }, (channel_id) => {\n const [datasourceId, productId] = decodePath(channel_id);\n if (!datasourceId || !productId) {\n throw new Error(`Invalid channel_id: ${channel_id}`);\n }\n return quote$.pipe(filter((quote) => quote.product_id === productId));\n });\n}\n"]}
|
package/package.json
CHANGED
|
@@ -1,6 +1,6 @@
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1
1
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{
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|
2
2
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"name": "@yuants/vendor-binance",
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|
3
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-
"version": "0.8.
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3
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+
"version": "0.8.7",
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4
4
|
"main": "lib/index.js",
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5
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"files": [
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"dist",
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@@ -8,18 +8,18 @@
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"temp"
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9
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],
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|
10
10
|
"dependencies": {
|
|
11
|
-
"@yuants/protocol": "0.
|
|
12
|
-
"@yuants/data-account": "0.8.
|
|
13
|
-
"@yuants/cache": "0.3.
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|
14
|
-
"@yuants/data-quote": "0.2.
|
|
15
|
-
"@yuants/utils": "0.
|
|
16
|
-
"@yuants/data-series": "0.3.
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17
|
-
"@yuants/sql": "0.9.
|
|
18
|
-
"@yuants/data-product": "0.4.
|
|
19
|
-
"@yuants/data-ohlc": "0.4.
|
|
20
|
-
"@yuants/data-order": "0.6.
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21
|
-
"@yuants/data-interest-rate": "0.1.
|
|
22
|
-
"@yuants/transfer": "0.2.
|
|
11
|
+
"@yuants/protocol": "0.53.0",
|
|
12
|
+
"@yuants/data-account": "0.8.2",
|
|
13
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+
"@yuants/cache": "0.3.2",
|
|
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|
+
"@yuants/data-quote": "0.2.41",
|
|
15
|
+
"@yuants/utils": "0.13.0",
|
|
16
|
+
"@yuants/data-series": "0.3.49",
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|
17
|
+
"@yuants/sql": "0.9.28",
|
|
18
|
+
"@yuants/data-product": "0.4.19",
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|
19
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+
"@yuants/data-ohlc": "0.4.20",
|
|
20
|
+
"@yuants/data-order": "0.6.4",
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|
21
|
+
"@yuants/data-interest-rate": "0.1.46",
|
|
22
|
+
"@yuants/transfer": "0.2.37",
|
|
23
23
|
"rxjs": "~7.5.6",
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|
24
24
|
"crypto-js": "^4.2.0"
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},
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@@ -30,7 +30,7 @@
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"@rushstack/heft-node-rig": "~1.10.7",
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31
|
"@types/heft-jest": "1.0.3",
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32
|
"@types/node": "22",
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|
33
|
-
"@yuants/extension": "0.2.
|
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+
"@yuants/extension": "0.2.30",
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|
34
34
|
"@yuants/tool-kit": "0.2.1",
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|
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35
|
"typescript": "~4.7.4",
|
|
36
36
|
"ts-node": "~10.9.2"
|
package/temp/package-deps.json
CHANGED
|
@@ -1,7 +1,7 @@
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1
1
|
{
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2
2
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"apps/vendor-binance/AGENTS.md": "378369925bffa237cd5e8ef459fe2bc2a141337c",
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3
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-
"apps/vendor-binance/CHANGELOG.json": "
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|
-
"apps/vendor-binance/CHANGELOG.md": "
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|
+
"apps/vendor-binance/CHANGELOG.json": "294662ce3b640f6ce886517ca2bde46aca197310",
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+
"apps/vendor-binance/CHANGELOG.md": "a4eccca4e59f957ca57923781f757f1b14a5ec8d",
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5
|
"apps/vendor-binance/README.md": "4ab94c08b3d07398aee74c3264a4f87d554d20fa",
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|
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6
|
"apps/vendor-binance/SESSION_NOTES.md": "de8229b25654f9be78047580112c7987990dd34a",
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7
|
"apps/vendor-binance/api-extractor.json": "62f4fd324425b9a235f0c117975967aab09ced0c",
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@@ -9,7 +9,7 @@
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|
"apps/vendor-binance/config/rig.json": "f6c7b5537dc77a3170ba9f008bae3b6c3ee11956",
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|
10
10
|
"apps/vendor-binance/config/typescript.json": "854907e8a821f2050f6533368db160c649c25348",
|
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11
11
|
"apps/vendor-binance/etc/vendor-binance.api.md": "2094b84e9b5e7503f5c42b31fffee8d7db47fe7b",
|
|
12
|
-
"apps/vendor-binance/package.json": "
|
|
12
|
+
"apps/vendor-binance/package.json": "f01dc41caa045cb4bf0aeebfa507bc173c612f79",
|
|
13
13
|
"apps/vendor-binance/src/api/client.ts": "bce65e7525e12ac6ecfb69899f5ed2056ee80404",
|
|
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14
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"apps/vendor-binance/src/api/private-api.ts": "e7643bd482e4d8f4eefe39aee578e5ea52094b2b",
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15
15
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"apps/vendor-binance/src/api/public-api.ts": "04671c8732103fac9267c4133a8b96642452daa9",
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@@ -19,7 +19,7 @@
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19
19
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"apps/vendor-binance/src/public-data/interest_rate.ts": "5707961027cfc8be32dd40263ca075c2068535bb",
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20
20
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"apps/vendor-binance/src/public-data/ohlc.ts": "bbc2a939865537f0db0089d43b5cc1b7dff7f348",
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21
21
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"apps/vendor-binance/src/public-data/product.ts": "6fcc1e8cbcba7e5e21b821552f883ef11b7672e1",
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22
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-
"apps/vendor-binance/src/public-data/quote.ts": "
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22
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+
"apps/vendor-binance/src/public-data/quote.ts": "e33bc77429283bf919a427313a1f100678df01f9",
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23
23
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"apps/vendor-binance/src/services/account-actions-with-credential.ts": "0f53b961fc5885deaca1c5776e82a95f5acd9917",
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24
24
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"apps/vendor-binance/src/services/accounts/profile.ts": "63205996e6525d103d1829814e04f7a352e15541",
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25
25
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"apps/vendor-binance/src/services/accounts/spot.ts": "57ec87db6626b0138ce6ad00e5aa738918993750",
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@@ -32,18 +32,18 @@
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32
32
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"apps/vendor-binance/src/services/orders/submitOrder.ts": "2d6a9ed669d1d6922d3b496d566d23ed63dc403f",
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33
33
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"apps/vendor-binance/tsconfig.json": "81da8f78196974b5d15da0edb6b2d9f48641063c",
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34
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"apps/vendor-binance/.rush/temp/shrinkwrap-deps.json": "7b773443e30eca79d696c3c880b16f7ffcb15b02",
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35
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-
"libraries/protocol/temp/package-deps.json": "
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36
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-
"libraries/data-account/temp/package-deps.json": "
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37
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-
"libraries/cache/temp/package-deps.json": "
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38
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-
"libraries/data-quote/temp/package-deps.json": "
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39
|
-
"libraries/utils/temp/package-deps.json": "
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40
|
-
"libraries/data-series/temp/package-deps.json": "
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41
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-
"libraries/sql/temp/package-deps.json": "
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42
|
-
"libraries/data-product/temp/package-deps.json": "
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43
|
-
"libraries/data-ohlc/temp/package-deps.json": "
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44
|
-
"libraries/data-order/temp/package-deps.json": "
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45
|
-
"libraries/data-interest-rate/temp/package-deps.json": "
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46
|
-
"libraries/transfer/temp/package-deps.json": "
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47
|
-
"libraries/extension/temp/package-deps.json": "
|
|
35
|
+
"libraries/protocol/temp/package-deps.json": "00d9a96a90bfc0e57ef3b9547151f2970a600402",
|
|
36
|
+
"libraries/data-account/temp/package-deps.json": "bf8b41c4d878dab0f39ea684fffaf6bc3c74c988",
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|
37
|
+
"libraries/cache/temp/package-deps.json": "70044bb56d863988aa90d8dcea9e3919bf65d38f",
|
|
38
|
+
"libraries/data-quote/temp/package-deps.json": "2e78640ce117ae07bba4895ac82ea35501a60501",
|
|
39
|
+
"libraries/utils/temp/package-deps.json": "4a683c07df7c75079b700111b9f6beb36c74ff7d",
|
|
40
|
+
"libraries/data-series/temp/package-deps.json": "28ff94f0aeb81e62c78b686e6da9ec2a4a327855",
|
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41
|
+
"libraries/sql/temp/package-deps.json": "d227fb17cbb9f6e3b445a3b88e0d9978f5c1c823",
|
|
42
|
+
"libraries/data-product/temp/package-deps.json": "c9a00b88e1570374aeb333756f59975d7dcc7400",
|
|
43
|
+
"libraries/data-ohlc/temp/package-deps.json": "5138d2df7a458d21837124761460440fdcf7ec0e",
|
|
44
|
+
"libraries/data-order/temp/package-deps.json": "4a0272551da88c9eb52150775640b12c31786de8",
|
|
45
|
+
"libraries/data-interest-rate/temp/package-deps.json": "ea6718a7984f99121aeb4b5613d304fd2243787e",
|
|
46
|
+
"libraries/transfer/temp/package-deps.json": "93c56bf224a26133b0ef6bb8efa294fec3efbc55",
|
|
47
|
+
"libraries/extension/temp/package-deps.json": "96f8e94be2cbcfe210f7324dfc45b04a4f93d80b",
|
|
48
48
|
"tools/toolkit/temp/package-deps.json": "23e053490eb8feade23e4d45de4e54883e322711"
|
|
49
49
|
}
|