@yuants/vendor-huobi 0.17.4 → 0.17.6

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 (12) hide show
  1. package/dist/services/accounts/super-margin.js +1 -1
  2. package/dist/services/accounts/super-margin.js.map +1 -1
  3. package/dist/services/market-data/quote.js +7 -4
  4. package/dist/services/market-data/quote.js.map +1 -1
  5. package/lib/services/accounts/super-margin.js +1 -1
  6. package/lib/services/accounts/super-margin.js.map +1 -1
  7. package/lib/services/market-data/quote.d.ts +1 -1
  8. package/lib/services/market-data/quote.d.ts.map +1 -1
  9. package/lib/services/market-data/quote.js +5 -2
  10. package/lib/services/market-data/quote.js.map +1 -1
  11. package/package.json +2 -2
  12. package/temp/package-deps.json +6 -6
package/dist/services/accounts/super-margin.js CHANGED
@@ -20,7 +20,7 @@ export const getSuperMarginAccountInfo = async (credential) => {
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  if (currencyData.balance === '0')
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  continue;
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  const product_id = encodePath('HTX', 'SPOT', currencyData.currency + 'usdt');
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- const quote = await quoteCache.query(product_id);
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+ const quote = await quoteCache.query(currencyData.currency);
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  const closable_price = currencyData.currency === 'usdt' ? 1 : +((_b = quote === null || quote === void 0 ? void 0 : quote.ask_price) !== null && _b !== void 0 ? _b : 0);
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  positions.push(makeSpotPosition({
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  position_id: `${currencyData.currency}/usdt/spot`,
package/dist/services/accounts/super-margin.js.map CHANGED
@@ -1 +1 @@
1
- {"version":3,"file":"super-margin.js","sourceRoot":"","sources":["../../../src/services/accounts/super-margin.ts"],"names":[],"mappings":"AAAA,OAAO,EAA6C,gBAAgB,EAAE,MAAM,sBAAsB,CAAC;AACnG,OAAO,EAAE,UAAU,EAAE,MAAM,eAAe,CAAC;AAC3C,OAAO,EAAE,qBAAqB,EAAe,MAAM,uBAAuB,CAAC;AAC3E,OAAO,EAAE,UAAU,EAAE,MAAM,sBAAsB,CAAC;AAClD,OAAO,EAAE,0BAA0B,EAAE,MAAM,QAAQ,CAAC;AAEpD;;GAEG;AACH,MAAM,CAAC,MAAM,yBAAyB,GAAgD,KAAK,EAAE,UAAU,EAAE,EAAE;;IACzG,MAAM,SAAS,GAAgB,EAAE,CAAC;IAClC,sBAAsB;IACtB,MAAM,qBAAqB,GAAG,MAAM,0BAA0B,CAAC,KAAK,CAAC,IAAI,CAAC,SAAS,CAAC,UAAU,CAAC,CAAC,CAAC;IACjG,IAAI,CAAC,qBAAqB;QAAE,MAAM,IAAI,KAAK,CAAC,wCAAwC,CAAC,CAAC;IACtF,MAAM,cAAc,GAAG,MAAM,qBAAqB,CAAC,UAAU,EAAE,qBAAqB,CAAC,CAAC;IACtF,MAAM,WAAW,GAAG,CAAA,MAAA,cAAc,CAAC,IAAI,0CAAE,IAAI,KAAI,EAAE,CAAC;IAEpD,kCAAkC;IAClC,KAAK,MAAM,YAAY,IAAI,WAAW,EAAE;QACtC,IAAI,YAAY,CAAC,OAAO,KAAK,GAAG;YAAE,SAAS;QAC3C,MAAM,UAAU,GAAG,UAAU,CAAC,KAAK,EAAE,MAAM,EAAE,YAAY,CAAC,QAAQ,GAAG,MAAM,CAAC,CAAC;QAC7E,MAAM,KAAK,GAAG,MAAM,UAAU,CAAC,KAAK,CAAC,UAAU,CAAC,CAAC;QACjD,MAAM,cAAc,GAAG,YAAY,CAAC,QAAQ,KAAK,MAAM,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,MAAA,KAAK,aAAL,KAAK,uBAAL,KAAK,CAAE,SAAS,mCAAI,CAAC,CAAC,CAAC;QAEvF,SAAS,CAAC,IAAI,CACZ,gBAAgB,CAAC;YACf,WAAW,EAAE,GAAG,YAAY,CAAC,QAAQ,YAAY;YACjD,UAAU,EAAE,UAAU;YACtB,MAAM,EAAE,CAAC,YAAY,CAAC,OAAO;YAC7B,WAAW,EAAE,CAAC,YAAY,CAAC,OAAO;YAClC,cAAc,EAAE,cAAc;SAC/B,CAAC,CACH,CAAC;KACH;IAED,OAAO,SAAS,CAAC;AACnB,CAAC,CAAC","sourcesContent":["import { IActionHandlerOfGetAccountInfo, IPosition, makeSpotPosition } from '@yuants/data-account';\nimport { encodePath } from '@yuants/utils';\nimport { getSpotAccountBalance, ICredential } from '../../api/private-api';\nimport { quoteCache } from '../market-data/quote';\nimport { superMarginAccountUidCache } from '../uid';\n\n/**\n * 全仓杠杆账户 (Super Margin Account)\n */\nexport const getSuperMarginAccountInfo: IActionHandlerOfGetAccountInfo<ICredential> = async (credential) => {\n const positions: IPosition[] = [];\n // get account balance\n const superMarginAccountUid = await superMarginAccountUidCache.query(JSON.stringify(credential));\n if (!superMarginAccountUid) throw new Error('Failed to get Super Margin Account UID');\n const accountBalance = await getSpotAccountBalance(credential, superMarginAccountUid);\n const balanceList = accountBalance.data?.list || [];\n\n // get prices and create positions\n for (const currencyData of balanceList) {\n if (currencyData.balance === '0') continue;\n const product_id = encodePath('HTX', 'SPOT', currencyData.currency + 'usdt');\n const quote = await quoteCache.query(product_id);\n const closable_price = currencyData.currency === 'usdt' ? 1 : +(quote?.ask_price ?? 0);\n\n positions.push(\n makeSpotPosition({\n position_id: `${currencyData.currency}/usdt/spot`,\n product_id: product_id,\n volume: +currencyData.balance,\n free_volume: +currencyData.balance,\n closable_price: closable_price,\n }),\n );\n }\n\n return positions;\n};\n"]}
1
+ {"version":3,"file":"super-margin.js","sourceRoot":"","sources":["../../../src/services/accounts/super-margin.ts"],"names":[],"mappings":"AAAA,OAAO,EAA6C,gBAAgB,EAAE,MAAM,sBAAsB,CAAC;AACnG,OAAO,EAAE,UAAU,EAAE,MAAM,eAAe,CAAC;AAC3C,OAAO,EAAE,qBAAqB,EAAe,MAAM,uBAAuB,CAAC;AAC3E,OAAO,EAAE,UAAU,EAAE,MAAM,sBAAsB,CAAC;AAClD,OAAO,EAAE,0BAA0B,EAAE,MAAM,QAAQ,CAAC;AAEpD;;GAEG;AACH,MAAM,CAAC,MAAM,yBAAyB,GAAgD,KAAK,EAAE,UAAU,EAAE,EAAE;;IACzG,MAAM,SAAS,GAAgB,EAAE,CAAC;IAClC,sBAAsB;IACtB,MAAM,qBAAqB,GAAG,MAAM,0BAA0B,CAAC,KAAK,CAAC,IAAI,CAAC,SAAS,CAAC,UAAU,CAAC,CAAC,CAAC;IACjG,IAAI,CAAC,qBAAqB;QAAE,MAAM,IAAI,KAAK,CAAC,wCAAwC,CAAC,CAAC;IACtF,MAAM,cAAc,GAAG,MAAM,qBAAqB,CAAC,UAAU,EAAE,qBAAqB,CAAC,CAAC;IACtF,MAAM,WAAW,GAAG,CAAA,MAAA,cAAc,CAAC,IAAI,0CAAE,IAAI,KAAI,EAAE,CAAC;IAEpD,kCAAkC;IAClC,KAAK,MAAM,YAAY,IAAI,WAAW,EAAE;QACtC,IAAI,YAAY,CAAC,OAAO,KAAK,GAAG;YAAE,SAAS;QAC3C,MAAM,UAAU,GAAG,UAAU,CAAC,KAAK,EAAE,MAAM,EAAE,YAAY,CAAC,QAAQ,GAAG,MAAM,CAAC,CAAC;QAC7E,MAAM,KAAK,GAAG,MAAM,UAAU,CAAC,KAAK,CAAC,YAAY,CAAC,QAAQ,CAAC,CAAC;QAC5D,MAAM,cAAc,GAAG,YAAY,CAAC,QAAQ,KAAK,MAAM,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,MAAA,KAAK,aAAL,KAAK,uBAAL,KAAK,CAAE,SAAS,mCAAI,CAAC,CAAC,CAAC;QAEvF,SAAS,CAAC,IAAI,CACZ,gBAAgB,CAAC;YACf,WAAW,EAAE,GAAG,YAAY,CAAC,QAAQ,YAAY;YACjD,UAAU,EAAE,UAAU;YACtB,MAAM,EAAE,CAAC,YAAY,CAAC,OAAO;YAC7B,WAAW,EAAE,CAAC,YAAY,CAAC,OAAO;YAClC,cAAc,EAAE,cAAc;SAC/B,CAAC,CACH,CAAC;KACH;IAED,OAAO,SAAS,CAAC;AACnB,CAAC,CAAC","sourcesContent":["import { IActionHandlerOfGetAccountInfo, IPosition, makeSpotPosition } from '@yuants/data-account';\nimport { encodePath } from '@yuants/utils';\nimport { getSpotAccountBalance, ICredential } from '../../api/private-api';\nimport { quoteCache } from '../market-data/quote';\nimport { superMarginAccountUidCache } from '../uid';\n\n/**\n * 全仓杠杆账户 (Super Margin Account)\n */\nexport const getSuperMarginAccountInfo: IActionHandlerOfGetAccountInfo<ICredential> = async (credential) => {\n const positions: IPosition[] = [];\n // get account balance\n const superMarginAccountUid = await superMarginAccountUidCache.query(JSON.stringify(credential));\n if (!superMarginAccountUid) throw new Error('Failed to get Super Margin Account UID');\n const accountBalance = await getSpotAccountBalance(credential, superMarginAccountUid);\n const balanceList = accountBalance.data?.list || [];\n\n // get prices and create positions\n for (const currencyData of balanceList) {\n if (currencyData.balance === '0') continue;\n const product_id = encodePath('HTX', 'SPOT', currencyData.currency + 'usdt');\n const quote = await quoteCache.query(currencyData.currency);\n const closable_price = currencyData.currency === 'usdt' ? 1 : +(quote?.ask_price ?? 0);\n\n positions.push(\n makeSpotPosition({\n position_id: `${currencyData.currency}/usdt/spot`,\n product_id: product_id,\n volume: +currencyData.balance,\n free_volume: +currencyData.balance,\n closable_price: closable_price,\n }),\n );\n }\n\n return positions;\n};\n"]}
package/dist/services/market-data/quote.js CHANGED
@@ -1,7 +1,7 @@
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  import { createCache } from '@yuants/cache';
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- import { queryQuotes, setMetricsQuoteState } from '@yuants/data-quote';
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+ import { setMetricsQuoteState } from '@yuants/data-quote';
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  import { Terminal } from '@yuants/protocol';
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- import { writeToSQL } from '@yuants/sql';
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+ import { escapeSQL, requestSQL, writeToSQL } from '@yuants/sql';
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  import { encodePath, formatTime } from '@yuants/utils';
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  import { defer, from, groupBy, map, merge, mergeMap, repeat, retry, scan, shareReplay, toArray } from 'rxjs';
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  import { getSpotMarketTickers, getSwapBatchFundingRate, getSwapMarketBbo, getSwapMarketTrade, getSwapOpenInterest, } from '../../api/public-api';
@@ -67,8 +67,11 @@ if (process.env.WRITE_QUOTE_TO_SQL === 'true') {
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  }
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  const mapSwapContractCodeToOpenInterest$ = defer(() => swapOpenInterest$).pipe(mergeMap((res) => from(res.data).pipe(map((tick) => [tick.contract_code, tick]), toArray(), map((ticks) => Object.fromEntries(ticks)))), repeat({ delay: 1000 }), retry({ delay: 1000 }), shareReplay(1));
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  export const quoteCache = createCache(async (product_id) => {
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- const quoteRecord = await queryQuotes(terminal, [product_id], ['ask_price', 'bid_price', 'last_price'], Date.now());
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- return quoteRecord[product_id];
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+ const sql = `select * from quote where product_id = ${escapeSQL(product_id)}`;
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+ console.info('QuoteSQL', sql);
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+ const [quote] = await requestSQL(terminal, sql);
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+ console.info('QuoteFetched', product_id, JSON.stringify(quote));
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+ return quote;
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  }, { expire: 10000 });
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  // provideTicks(Terminal.fromNodeEnv(), 'HUOBI-SWAP', (product_id) => {
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  // return defer(async () => {
package/dist/services/market-data/quote.js.map CHANGED
@@ -1 +1 @@
1
- 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{ createCache } from '@yuants/cache';\nimport { IQuote, queryQuotes, setMetricsQuoteState } from '@yuants/data-quote';\nimport { Terminal } from '@yuants/protocol';\nimport { writeToSQL } from '@yuants/sql';\nimport { encodePath, formatTime } from '@yuants/utils';\nimport { defer, from, groupBy, map, merge, mergeMap, repeat, retry, scan, shareReplay, toArray } from 'rxjs';\nimport {\n getSpotMarketTickers,\n getSwapBatchFundingRate,\n getSwapMarketBbo,\n getSwapMarketTrade,\n getSwapOpenInterest,\n} from '../../api/public-api';\n\nconst terminal = Terminal.fromNodeEnv();\n\nconst swapBboTick$ = defer(() => getSwapMarketBbo({})).pipe(\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n shareReplay(1),\n);\n\nconst quote1$ = swapBboTick$.pipe(\n mergeMap((res) => res.ticks || []),\n map((tick): Partial<IQuote> => {\n const [ask_price = '', ask_volume = ''] = tick.ask || [];\n const [bid_price = '', bid_volume = ''] = tick.bid || [];\n return {\n datasource_id: 'HTX',\n product_id: encodePath('HTX', 'SWAP', tick.contract_code),\n ask_price: `${ask_price}`,\n bid_price: `${bid_price}`,\n ask_volume: `${ask_volume}`,\n bid_volume: `${bid_volume}`,\n };\n }),\n);\n\nconst mapSwapContractCodeToBboTick$ = defer(() => swapBboTick$).pipe(\n mergeMap((res) =>\n from(res.ticks).pipe(\n map((tick) => [tick.contract_code, tick] as const),\n toArray(),\n map((ticks) => Object.fromEntries(ticks)),\n ),\n ),\n\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n shareReplay(1),\n);\n\nconst swapTradeTick$ = defer(() => getSwapMarketTrade({})).pipe(\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n shareReplay(1),\n);\n\nconst quote2$ = swapTradeTick$.pipe(\n mergeMap((res) => res.tick?.data || []),\n map(\n (tick): Partial<IQuote> => ({\n datasource_id: 'HTX',\n product_id: encodePath('HTX', 'SWAP', tick.contract_code),\n last_price: `${tick.price}`,\n }),\n ),\n);\n\nconst quote5$ = defer(() => getSpotMarketTickers()).pipe(\n mergeMap((res) => res.data || []),\n map(\n (tick): Partial<IQuote> => ({\n datasource_id: 'HTX',\n product_id: encodePath('HTX', 'SPOT', tick.symbol),\n ask_price: `${tick.ask}`,\n bid_price: `${tick.bid}`,\n ask_volume: `${tick.askSize}`,\n bid_volume: `${tick.bidSize}`,\n last_price: `${tick.close}`,\n }),\n ),\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n shareReplay(1),\n);\n\nconst mapSwapContractCodeToTradeTick$ = defer(() => swapTradeTick$).pipe(\n mergeMap((res) =>\n from(res.tick.data).pipe(\n map((tick) => [tick.contract_code, tick] as const),\n toArray(),\n map((ticks) => Object.fromEntries(ticks)),\n ),\n ),\n\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n shareReplay(1),\n);\nconst swapFundingRateTick$ = defer(() => getSwapBatchFundingRate({})).pipe(\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n shareReplay(1),\n);\n\nconst quote3$ = swapFundingRateTick$.pipe(\n mergeMap((res) => res.data || []),\n map(\n (tick): Partial<IQuote> => ({\n datasource_id: 'HTX',\n product_id: encodePath('HTX', 'SWAP', tick.contract_code),\n interest_rate_long: `${-tick.funding_rate}`,\n interest_rate_short: `${tick.funding_rate}`,\n interest_rate_next_settled_at: formatTime(+tick.funding_time),\n }),\n ),\n);\n\nconst mapSwapContractCodeToFundingRateTick$ = defer(() => swapFundingRateTick$).pipe(\n mergeMap((res) =>\n from(res.data).pipe(\n map((tick) => [tick.contract_code, tick] as const),\n toArray(),\n map((ticks) => Object.fromEntries(ticks)),\n ),\n ),\n\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n shareReplay(1),\n);\n\nconst swapOpenInterest$ = defer(() => getSwapOpenInterest({})).pipe(\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n shareReplay(1),\n);\n\nconst quote4$ = swapOpenInterest$.pipe(\n mergeMap((res) => res.data || []),\n map(\n (tick): Partial<IQuote> => ({\n datasource_id: 'HTX',\n product_id: encodePath('HTX', 'SWAP', tick.contract_code),\n open_interest: `${tick.volume}`,\n }),\n ),\n);\n\nif (process.env.WRITE_QUOTE_TO_SQL === 'true') {\n // 合并不同来源的数据并进行合并，避免死锁\n merge(quote1$, quote2$, quote3$, quote4$, quote5$)\n .pipe(\n groupBy((x) => encodePath(x.datasource_id, x.product_id)),\n mergeMap((group$) => {\n return group$.pipe(scan((acc, cur) => Object.assign(acc, cur), {} as Partial<IQuote>));\n }),\n )\n .pipe(\n setMetricsQuoteState(terminal.terminal_id),\n writeToSQL({\n terminal,\n tableName: 'quote',\n writeInterval: 1000,\n conflictKeys: ['datasource_id', 'product_id'],\n }),\n )\n .subscribe();\n}\n\nconst mapSwapContractCodeToOpenInterest$ = defer(() => swapOpenInterest$).pipe(\n mergeMap((res) =>\n from(res.data).pipe(\n map((tick) => [tick.contract_code, tick] as const),\n toArray(),\n map((ticks) => Object.fromEntries(ticks)),\n ),\n ),\n\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n shareReplay(1),\n);\n\nexport const quoteCache = createCache<Partial<IQuote> | undefined>(\n async (product_id) => {\n const quoteRecord = await queryQuotes(\n terminal,\n [product_id],\n ['ask_price', 'bid_price', 'last_price'],\n Date.now(),\n );\n return quoteRecord[product_id];\n },\n { expire: 10_000 },\n);\n\n// provideTicks(Terminal.fromNodeEnv(), 'HUOBI-SWAP', (product_id) => {\n// return defer(async () => {\n// const products = await firstValueFrom(perpetualContractProducts$);\n// const theProduct = products.find((x) => x.product_id === product_id);\n// if (!theProduct) throw `No Found ProductID ${product_id}`;\n\n// return [\n// of(theProduct),\n// mapSwapContractCodeToBboTick$,\n// mapSwapContractCodeToTradeTick$,\n// mapSwapContractCodeToFundingRateTick$,\n// mapSwapContractCodeToOpenInterest$,\n// ] as const;\n// }).pipe(\n// catchError(() => EMPTY),\n// mergeMap((x) =>\n// combineLatest(x).pipe(\n// map(([theProduct, bboTick, tradeTick, fundingRateTick, openInterest]): ITick => {\n// return {\n// datasource_id: 'HUOBI-SWAP',\n// product_id,\n// updated_at: Date.now(),\n// settlement_scheduled_at: +fundingRateTick[product_id].funding_time,\n// price: +tradeTick[product_id].price,\n// ask: bboTick[product_id].ask?.[0] ?? undefined,\n// bid: bboTick[product_id].bid?.[0] ?? undefined,\n// volume: +tradeTick[product_id].amount,\n// interest_rate_for_long: -+fundingRateTick[product_id].funding_rate,\n// interest_rate_for_short: +fundingRateTick[product_id].funding_rate,\n// open_interest: +openInterest[product_id]?.volume,\n// };\n// }),\n// ),\n// ),\n// );\n// });\n"]}
1
+ 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{ createCache } from '@yuants/cache';\nimport { IQuote, setMetricsQuoteState } from '@yuants/data-quote';\nimport { GlobalPrometheusRegistry, Terminal } from '@yuants/protocol';\nimport { escapeSQL, requestSQL, writeToSQL } from '@yuants/sql';\nimport { encodePath, formatTime } from '@yuants/utils';\nimport { defer, from, groupBy, map, merge, mergeMap, repeat, retry, scan, shareReplay, toArray } from 'rxjs';\nimport {\n getSpotMarketTickers,\n getSwapBatchFundingRate,\n getSwapMarketBbo,\n getSwapMarketTrade,\n getSwapOpenInterest,\n} from '../../api/public-api';\n\nconst terminal = Terminal.fromNodeEnv();\n\nconst swapBboTick$ = defer(() => getSwapMarketBbo({})).pipe(\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n shareReplay(1),\n);\n\nconst quote1$ = swapBboTick$.pipe(\n mergeMap((res) => res.ticks || []),\n map((tick): Partial<IQuote> => {\n const [ask_price = '', ask_volume = ''] = tick.ask || [];\n const [bid_price = '', bid_volume = ''] = tick.bid || [];\n return {\n datasource_id: 'HTX',\n product_id: encodePath('HTX', 'SWAP', tick.contract_code),\n ask_price: `${ask_price}`,\n bid_price: `${bid_price}`,\n ask_volume: `${ask_volume}`,\n bid_volume: `${bid_volume}`,\n };\n }),\n);\n\nconst mapSwapContractCodeToBboTick$ = defer(() => swapBboTick$).pipe(\n mergeMap((res) =>\n from(res.ticks).pipe(\n map((tick) => [tick.contract_code, tick] as const),\n toArray(),\n map((ticks) => Object.fromEntries(ticks)),\n ),\n ),\n\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n shareReplay(1),\n);\n\nconst swapTradeTick$ = defer(() => getSwapMarketTrade({})).pipe(\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n shareReplay(1),\n);\n\nconst quote2$ = swapTradeTick$.pipe(\n mergeMap((res) => res.tick?.data || []),\n map(\n (tick): Partial<IQuote> => ({\n datasource_id: 'HTX',\n product_id: encodePath('HTX', 'SWAP', tick.contract_code),\n last_price: `${tick.price}`,\n }),\n ),\n);\n\nconst quote5$ = defer(() => getSpotMarketTickers()).pipe(\n mergeMap((res) => res.data || []),\n map(\n (tick): Partial<IQuote> => ({\n datasource_id: 'HTX',\n product_id: encodePath('HTX', 'SPOT', tick.symbol),\n ask_price: `${tick.ask}`,\n bid_price: `${tick.bid}`,\n ask_volume: `${tick.askSize}`,\n bid_volume: `${tick.bidSize}`,\n last_price: `${tick.close}`,\n }),\n ),\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n shareReplay(1),\n);\n\nconst mapSwapContractCodeToTradeTick$ = defer(() => swapTradeTick$).pipe(\n mergeMap((res) =>\n from(res.tick.data).pipe(\n map((tick) => [tick.contract_code, tick] as const),\n toArray(),\n map((ticks) => Object.fromEntries(ticks)),\n ),\n ),\n\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n shareReplay(1),\n);\nconst swapFundingRateTick$ = defer(() => getSwapBatchFundingRate({})).pipe(\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n shareReplay(1),\n);\n\nconst quote3$ = swapFundingRateTick$.pipe(\n mergeMap((res) => res.data || []),\n map(\n (tick): Partial<IQuote> => ({\n datasource_id: 'HTX',\n product_id: encodePath('HTX', 'SWAP', tick.contract_code),\n interest_rate_long: `${-tick.funding_rate}`,\n interest_rate_short: `${tick.funding_rate}`,\n interest_rate_next_settled_at: formatTime(+tick.funding_time),\n }),\n ),\n);\n\nconst mapSwapContractCodeToFundingRateTick$ = defer(() => swapFundingRateTick$).pipe(\n mergeMap((res) =>\n from(res.data).pipe(\n map((tick) => [tick.contract_code, tick] as const),\n toArray(),\n map((ticks) => Object.fromEntries(ticks)),\n ),\n ),\n\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n shareReplay(1),\n);\n\nconst swapOpenInterest$ = defer(() => getSwapOpenInterest({})).pipe(\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n shareReplay(1),\n);\n\nconst quote4$ = swapOpenInterest$.pipe(\n mergeMap((res) => res.data || []),\n map(\n (tick): Partial<IQuote> => ({\n datasource_id: 'HTX',\n product_id: encodePath('HTX', 'SWAP', tick.contract_code),\n open_interest: `${tick.volume}`,\n }),\n ),\n);\n\nif (process.env.WRITE_QUOTE_TO_SQL === 'true') {\n // 合并不同来源的数据并进行合并，避免死锁\n merge(quote1$, quote2$, quote3$, quote4$, quote5$)\n .pipe(\n groupBy((x) => encodePath(x.datasource_id, x.product_id)),\n mergeMap((group$) => {\n return group$.pipe(scan((acc, cur) => Object.assign(acc, cur), {} as Partial<IQuote>));\n }),\n )\n .pipe(\n setMetricsQuoteState(terminal.terminal_id),\n writeToSQL({\n terminal,\n tableName: 'quote',\n writeInterval: 1000,\n conflictKeys: ['datasource_id', 'product_id'],\n }),\n )\n .subscribe();\n}\n\nconst mapSwapContractCodeToOpenInterest$ = defer(() => swapOpenInterest$).pipe(\n mergeMap((res) =>\n from(res.data).pipe(\n map((tick) => [tick.contract_code, tick] as const),\n toArray(),\n map((ticks) => Object.fromEntries(ticks)),\n ),\n ),\n\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n shareReplay(1),\n);\n\nexport const quoteCache = createCache<IQuote>(\n async (product_id) => {\n const sql = `select * from quote where product_id = ${escapeSQL(product_id)}`;\n console.info('QuoteSQL', sql);\n const [quote] = await requestSQL<IQuote[]>(terminal, sql);\n console.info('QuoteFetched', product_id, JSON.stringify(quote));\n return quote;\n },\n { expire: 10_000 },\n);\n\n// provideTicks(Terminal.fromNodeEnv(), 'HUOBI-SWAP', (product_id) => {\n// return defer(async () => {\n// const products = await firstValueFrom(perpetualContractProducts$);\n// const theProduct = products.find((x) => x.product_id === product_id);\n// if (!theProduct) throw `No Found ProductID ${product_id}`;\n\n// return [\n// of(theProduct),\n// mapSwapContractCodeToBboTick$,\n// mapSwapContractCodeToTradeTick$,\n// mapSwapContractCodeToFundingRateTick$,\n// mapSwapContractCodeToOpenInterest$,\n// ] as const;\n// }).pipe(\n// catchError(() => EMPTY),\n// mergeMap((x) =>\n// combineLatest(x).pipe(\n// map(([theProduct, bboTick, tradeTick, fundingRateTick, openInterest]): ITick => {\n// return {\n// datasource_id: 'HUOBI-SWAP',\n// product_id,\n// updated_at: Date.now(),\n// settlement_scheduled_at: +fundingRateTick[product_id].funding_time,\n// price: +tradeTick[product_id].price,\n// ask: bboTick[product_id].ask?.[0] ?? undefined,\n// bid: bboTick[product_id].bid?.[0] ?? undefined,\n// volume: +tradeTick[product_id].amount,\n// interest_rate_for_long: -+fundingRateTick[product_id].funding_rate,\n// interest_rate_for_short: +fundingRateTick[product_id].funding_rate,\n// open_interest: +openInterest[product_id]?.volume,\n// };\n// }),\n// ),\n// ),\n// );\n// });\n"]}
package/lib/services/accounts/super-margin.js CHANGED
@@ -23,7 +23,7 @@ const getSuperMarginAccountInfo = async (credential) => {
23
23
  if (currencyData.balance === '0')
24
24
  continue;
25
25
  const product_id = (0, utils_1.encodePath)('HTX', 'SPOT', currencyData.currency + 'usdt');
26
- const quote = await quote_1.quoteCache.query(product_id);
26
+ const quote = await quote_1.quoteCache.query(currencyData.currency);
27
27
  const closable_price = currencyData.currency === 'usdt' ? 1 : +((_b = quote === null || quote === void 0 ? void 0 : quote.ask_price) !== null && _b !== void 0 ? _b : 0);
28
28
  positions.push((0, data_account_1.makeSpotPosition)({
29
29
  position_id: `${currencyData.currency}/usdt/spot`,
package/lib/services/accounts/super-margin.js.map CHANGED
@@ -1 +1 @@
1
- {"version":3,"file":"super-margin.js","sourceRoot":"","sources":["../../../src/services/accounts/super-margin.ts"],"names":[],"mappings":";;;AAAA,uDAAmG;AACnG,yCAA2C;AAC3C,uDAA2E;AAC3E,gDAAkD;AAClD,gCAAoD;AAEpD;;GAEG;AACI,MAAM,yBAAyB,GAAgD,KAAK,EAAE,UAAU,EAAE,EAAE;;IACzG,MAAM,SAAS,GAAgB,EAAE,CAAC;IAClC,sBAAsB;IACtB,MAAM,qBAAqB,GAAG,MAAM,gCAA0B,CAAC,KAAK,CAAC,IAAI,CAAC,SAAS,CAAC,UAAU,CAAC,CAAC,CAAC;IACjG,IAAI,CAAC,qBAAqB;QAAE,MAAM,IAAI,KAAK,CAAC,wCAAwC,CAAC,CAAC;IACtF,MAAM,cAAc,GAAG,MAAM,IAAA,mCAAqB,EAAC,UAAU,EAAE,qBAAqB,CAAC,CAAC;IACtF,MAAM,WAAW,GAAG,CAAA,MAAA,cAAc,CAAC,IAAI,0CAAE,IAAI,KAAI,EAAE,CAAC;IAEpD,kCAAkC;IAClC,KAAK,MAAM,YAAY,IAAI,WAAW,EAAE;QACtC,IAAI,YAAY,CAAC,OAAO,KAAK,GAAG;YAAE,SAAS;QAC3C,MAAM,UAAU,GAAG,IAAA,kBAAU,EAAC,KAAK,EAAE,MAAM,EAAE,YAAY,CAAC,QAAQ,GAAG,MAAM,CAAC,CAAC;QAC7E,MAAM,KAAK,GAAG,MAAM,kBAAU,CAAC,KAAK,CAAC,UAAU,CAAC,CAAC;QACjD,MAAM,cAAc,GAAG,YAAY,CAAC,QAAQ,KAAK,MAAM,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,MAAA,KAAK,aAAL,KAAK,uBAAL,KAAK,CAAE,SAAS,mCAAI,CAAC,CAAC,CAAC;QAEvF,SAAS,CAAC,IAAI,CACZ,IAAA,+BAAgB,EAAC;YACf,WAAW,EAAE,GAAG,YAAY,CAAC,QAAQ,YAAY;YACjD,UAAU,EAAE,UAAU;YACtB,MAAM,EAAE,CAAC,YAAY,CAAC,OAAO;YAC7B,WAAW,EAAE,CAAC,YAAY,CAAC,OAAO;YAClC,cAAc,EAAE,cAAc;SAC/B,CAAC,CACH,CAAC;KACH;IAED,OAAO,SAAS,CAAC;AACnB,CAAC,CAAC;AA3BW,QAAA,yBAAyB,6BA2BpC","sourcesContent":["import { IActionHandlerOfGetAccountInfo, IPosition, makeSpotPosition } from '@yuants/data-account';\nimport { encodePath } from '@yuants/utils';\nimport { getSpotAccountBalance, ICredential } from '../../api/private-api';\nimport { quoteCache } from '../market-data/quote';\nimport { superMarginAccountUidCache } from '../uid';\n\n/**\n * 全仓杠杆账户 (Super Margin Account)\n */\nexport const getSuperMarginAccountInfo: IActionHandlerOfGetAccountInfo<ICredential> = async (credential) => {\n const positions: IPosition[] = [];\n // get account balance\n const superMarginAccountUid = await superMarginAccountUidCache.query(JSON.stringify(credential));\n if (!superMarginAccountUid) throw new Error('Failed to get Super Margin Account UID');\n const accountBalance = await getSpotAccountBalance(credential, superMarginAccountUid);\n const balanceList = accountBalance.data?.list || [];\n\n // get prices and create positions\n for (const currencyData of balanceList) {\n if (currencyData.balance === '0') continue;\n const product_id = encodePath('HTX', 'SPOT', currencyData.currency + 'usdt');\n const quote = await quoteCache.query(product_id);\n const closable_price = currencyData.currency === 'usdt' ? 1 : +(quote?.ask_price ?? 0);\n\n positions.push(\n makeSpotPosition({\n position_id: `${currencyData.currency}/usdt/spot`,\n product_id: product_id,\n volume: +currencyData.balance,\n free_volume: +currencyData.balance,\n closable_price: closable_price,\n }),\n );\n }\n\n return positions;\n};\n"]}
1
+ {"version":3,"file":"super-margin.js","sourceRoot":"","sources":["../../../src/services/accounts/super-margin.ts"],"names":[],"mappings":";;;AAAA,uDAAmG;AACnG,yCAA2C;AAC3C,uDAA2E;AAC3E,gDAAkD;AAClD,gCAAoD;AAEpD;;GAEG;AACI,MAAM,yBAAyB,GAAgD,KAAK,EAAE,UAAU,EAAE,EAAE;;IACzG,MAAM,SAAS,GAAgB,EAAE,CAAC;IAClC,sBAAsB;IACtB,MAAM,qBAAqB,GAAG,MAAM,gCAA0B,CAAC,KAAK,CAAC,IAAI,CAAC,SAAS,CAAC,UAAU,CAAC,CAAC,CAAC;IACjG,IAAI,CAAC,qBAAqB;QAAE,MAAM,IAAI,KAAK,CAAC,wCAAwC,CAAC,CAAC;IACtF,MAAM,cAAc,GAAG,MAAM,IAAA,mCAAqB,EAAC,UAAU,EAAE,qBAAqB,CAAC,CAAC;IACtF,MAAM,WAAW,GAAG,CAAA,MAAA,cAAc,CAAC,IAAI,0CAAE,IAAI,KAAI,EAAE,CAAC;IAEpD,kCAAkC;IAClC,KAAK,MAAM,YAAY,IAAI,WAAW,EAAE;QACtC,IAAI,YAAY,CAAC,OAAO,KAAK,GAAG;YAAE,SAAS;QAC3C,MAAM,UAAU,GAAG,IAAA,kBAAU,EAAC,KAAK,EAAE,MAAM,EAAE,YAAY,CAAC,QAAQ,GAAG,MAAM,CAAC,CAAC;QAC7E,MAAM,KAAK,GAAG,MAAM,kBAAU,CAAC,KAAK,CAAC,YAAY,CAAC,QAAQ,CAAC,CAAC;QAC5D,MAAM,cAAc,GAAG,YAAY,CAAC,QAAQ,KAAK,MAAM,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,MAAA,KAAK,aAAL,KAAK,uBAAL,KAAK,CAAE,SAAS,mCAAI,CAAC,CAAC,CAAC;QAEvF,SAAS,CAAC,IAAI,CACZ,IAAA,+BAAgB,EAAC;YACf,WAAW,EAAE,GAAG,YAAY,CAAC,QAAQ,YAAY;YACjD,UAAU,EAAE,UAAU;YACtB,MAAM,EAAE,CAAC,YAAY,CAAC,OAAO;YAC7B,WAAW,EAAE,CAAC,YAAY,CAAC,OAAO;YAClC,cAAc,EAAE,cAAc;SAC/B,CAAC,CACH,CAAC;KACH;IAED,OAAO,SAAS,CAAC;AACnB,CAAC,CAAC;AA3BW,QAAA,yBAAyB,6BA2BpC","sourcesContent":["import { IActionHandlerOfGetAccountInfo, IPosition, makeSpotPosition } from '@yuants/data-account';\nimport { encodePath } from '@yuants/utils';\nimport { getSpotAccountBalance, ICredential } from '../../api/private-api';\nimport { quoteCache } from '../market-data/quote';\nimport { superMarginAccountUidCache } from '../uid';\n\n/**\n * 全仓杠杆账户 (Super Margin Account)\n */\nexport const getSuperMarginAccountInfo: IActionHandlerOfGetAccountInfo<ICredential> = async (credential) => {\n const positions: IPosition[] = [];\n // get account balance\n const superMarginAccountUid = await superMarginAccountUidCache.query(JSON.stringify(credential));\n if (!superMarginAccountUid) throw new Error('Failed to get Super Margin Account UID');\n const accountBalance = await getSpotAccountBalance(credential, superMarginAccountUid);\n const balanceList = accountBalance.data?.list || [];\n\n // get prices and create positions\n for (const currencyData of balanceList) {\n if (currencyData.balance === '0') continue;\n const product_id = encodePath('HTX', 'SPOT', currencyData.currency + 'usdt');\n const quote = await quoteCache.query(currencyData.currency);\n const closable_price = currencyData.currency === 'usdt' ? 1 : +(quote?.ask_price ?? 0);\n\n positions.push(\n makeSpotPosition({\n position_id: `${currencyData.currency}/usdt/spot`,\n product_id: product_id,\n volume: +currencyData.balance,\n free_volume: +currencyData.balance,\n closable_price: closable_price,\n }),\n );\n }\n\n return positions;\n};\n"]}
package/lib/services/market-data/quote.d.ts CHANGED
@@ -1,3 +1,3 @@
1
1
  import { IQuote } from '@yuants/data-quote';
2
- export declare const quoteCache: import("@yuants/cache").ICache<Partial<IQuote> | undefined>;
2
+ export declare const quoteCache: import("@yuants/cache").ICache<IQuote>;
3
3
  //# sourceMappingURL=quote.d.ts.map
package/lib/services/market-data/quote.d.ts.map CHANGED
@@ -1 +1 @@
1
- {"version":3,"file":"quote.d.ts","sourceRoot":"","sources":["../../../src/services/market-data/quote.ts"],"names":[],"mappings":"AACA,OAAO,EAAE,MAAM,EAAqC,MAAM,oBAAoB,CAAC;AAwL/E,eAAO,MAAM,UAAU,6DAWtB,CAAC"}
1
+ {"version":3,"file":"quote.d.ts","sourceRoot":"","sources":["../../../src/services/market-data/quote.ts"],"names":[],"mappings":"AACA,OAAO,EAAE,MAAM,EAAwB,MAAM,oBAAoB,CAAC;AAwLlE,eAAO,MAAM,UAAU,wCAStB,CAAC"}
package/lib/services/market-data/quote.js CHANGED
@@ -70,8 +70,11 @@ if (process.env.WRITE_QUOTE_TO_SQL === 'true') {
70
70
  }
71
71
  const mapSwapContractCodeToOpenInterest$ = (0, rxjs_1.defer)(() => swapOpenInterest$).pipe((0, rxjs_1.mergeMap)((res) => (0, rxjs_1.from)(res.data).pipe((0, rxjs_1.map)((tick) => [tick.contract_code, tick]), (0, rxjs_1.toArray)(), (0, rxjs_1.map)((ticks) => Object.fromEntries(ticks)))), (0, rxjs_1.repeat)({ delay: 1000 }), (0, rxjs_1.retry)({ delay: 1000 }), (0, rxjs_1.shareReplay)(1));
72
72
  exports.quoteCache = (0, cache_1.createCache)(async (product_id) => {
73
- const quoteRecord = await (0, data_quote_1.queryQuotes)(terminal, [product_id], ['ask_price', 'bid_price', 'last_price'], Date.now());
74
- return quoteRecord[product_id];
73
+ const sql = `select * from quote where product_id = ${(0, sql_1.escapeSQL)(product_id)}`;
74
+ console.info('QuoteSQL', sql);
75
+ const [quote] = await (0, sql_1.requestSQL)(terminal, sql);
76
+ console.info('QuoteFetched', product_id, JSON.stringify(quote));
77
+ return quote;
75
78
  }, { expire: 10000 });
76
79
  // provideTicks(Terminal.fromNodeEnv(), 'HUOBI-SWAP', (product_id) => {
77
80
  // return defer(async () => {
package/lib/services/market-data/quote.js.map CHANGED
@@ -1 +1 @@
1
- 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{ createCache } from '@yuants/cache';\nimport { IQuote, queryQuotes, setMetricsQuoteState } from '@yuants/data-quote';\nimport { Terminal } from '@yuants/protocol';\nimport { writeToSQL } from '@yuants/sql';\nimport { encodePath, formatTime } from '@yuants/utils';\nimport { defer, from, groupBy, map, merge, mergeMap, repeat, retry, scan, shareReplay, toArray } from 'rxjs';\nimport {\n getSpotMarketTickers,\n getSwapBatchFundingRate,\n getSwapMarketBbo,\n getSwapMarketTrade,\n getSwapOpenInterest,\n} from '../../api/public-api';\n\nconst terminal = Terminal.fromNodeEnv();\n\nconst swapBboTick$ = defer(() => getSwapMarketBbo({})).pipe(\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n shareReplay(1),\n);\n\nconst quote1$ = swapBboTick$.pipe(\n mergeMap((res) => res.ticks || []),\n map((tick): Partial<IQuote> => {\n const [ask_price = '', ask_volume = ''] = tick.ask || [];\n const [bid_price = '', bid_volume = ''] = tick.bid || [];\n return {\n datasource_id: 'HTX',\n product_id: encodePath('HTX', 'SWAP', tick.contract_code),\n ask_price: `${ask_price}`,\n bid_price: `${bid_price}`,\n ask_volume: `${ask_volume}`,\n bid_volume: `${bid_volume}`,\n };\n }),\n);\n\nconst mapSwapContractCodeToBboTick$ = defer(() => swapBboTick$).pipe(\n mergeMap((res) =>\n from(res.ticks).pipe(\n map((tick) => [tick.contract_code, tick] as const),\n toArray(),\n map((ticks) => Object.fromEntries(ticks)),\n ),\n ),\n\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n shareReplay(1),\n);\n\nconst swapTradeTick$ = defer(() => getSwapMarketTrade({})).pipe(\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n shareReplay(1),\n);\n\nconst quote2$ = swapTradeTick$.pipe(\n mergeMap((res) => res.tick?.data || []),\n map(\n (tick): Partial<IQuote> => ({\n datasource_id: 'HTX',\n product_id: encodePath('HTX', 'SWAP', tick.contract_code),\n last_price: `${tick.price}`,\n }),\n ),\n);\n\nconst quote5$ = defer(() => getSpotMarketTickers()).pipe(\n mergeMap((res) => res.data || []),\n map(\n (tick): Partial<IQuote> => ({\n datasource_id: 'HTX',\n product_id: encodePath('HTX', 'SPOT', tick.symbol),\n ask_price: `${tick.ask}`,\n bid_price: `${tick.bid}`,\n ask_volume: `${tick.askSize}`,\n bid_volume: `${tick.bidSize}`,\n last_price: `${tick.close}`,\n }),\n ),\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n shareReplay(1),\n);\n\nconst mapSwapContractCodeToTradeTick$ = defer(() => swapTradeTick$).pipe(\n mergeMap((res) =>\n from(res.tick.data).pipe(\n map((tick) => [tick.contract_code, tick] as const),\n toArray(),\n map((ticks) => Object.fromEntries(ticks)),\n ),\n ),\n\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n shareReplay(1),\n);\nconst swapFundingRateTick$ = defer(() => getSwapBatchFundingRate({})).pipe(\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n shareReplay(1),\n);\n\nconst quote3$ = swapFundingRateTick$.pipe(\n mergeMap((res) => res.data || []),\n map(\n (tick): Partial<IQuote> => ({\n datasource_id: 'HTX',\n product_id: encodePath('HTX', 'SWAP', tick.contract_code),\n interest_rate_long: `${-tick.funding_rate}`,\n interest_rate_short: `${tick.funding_rate}`,\n interest_rate_next_settled_at: formatTime(+tick.funding_time),\n }),\n ),\n);\n\nconst mapSwapContractCodeToFundingRateTick$ = defer(() => swapFundingRateTick$).pipe(\n mergeMap((res) =>\n from(res.data).pipe(\n map((tick) => [tick.contract_code, tick] as const),\n toArray(),\n map((ticks) => Object.fromEntries(ticks)),\n ),\n ),\n\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n shareReplay(1),\n);\n\nconst swapOpenInterest$ = defer(() => getSwapOpenInterest({})).pipe(\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n shareReplay(1),\n);\n\nconst quote4$ = swapOpenInterest$.pipe(\n mergeMap((res) => res.data || []),\n map(\n (tick): Partial<IQuote> => ({\n datasource_id: 'HTX',\n product_id: encodePath('HTX', 'SWAP', tick.contract_code),\n open_interest: `${tick.volume}`,\n }),\n ),\n);\n\nif (process.env.WRITE_QUOTE_TO_SQL === 'true') {\n // 合并不同来源的数据并进行合并，避免死锁\n merge(quote1$, quote2$, quote3$, quote4$, quote5$)\n .pipe(\n groupBy((x) => encodePath(x.datasource_id, x.product_id)),\n mergeMap((group$) => {\n return group$.pipe(scan((acc, cur) => Object.assign(acc, cur), {} as Partial<IQuote>));\n }),\n )\n .pipe(\n setMetricsQuoteState(terminal.terminal_id),\n writeToSQL({\n terminal,\n tableName: 'quote',\n writeInterval: 1000,\n conflictKeys: ['datasource_id', 'product_id'],\n }),\n )\n .subscribe();\n}\n\nconst mapSwapContractCodeToOpenInterest$ = defer(() => swapOpenInterest$).pipe(\n mergeMap((res) =>\n from(res.data).pipe(\n map((tick) => [tick.contract_code, tick] as const),\n toArray(),\n map((ticks) => Object.fromEntries(ticks)),\n ),\n ),\n\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n shareReplay(1),\n);\n\nexport const quoteCache = createCache<Partial<IQuote> | undefined>(\n async (product_id) => {\n const quoteRecord = await queryQuotes(\n terminal,\n [product_id],\n ['ask_price', 'bid_price', 'last_price'],\n Date.now(),\n );\n return quoteRecord[product_id];\n },\n { expire: 10_000 },\n);\n\n// provideTicks(Terminal.fromNodeEnv(), 'HUOBI-SWAP', (product_id) => {\n// return defer(async () => {\n// const products = await firstValueFrom(perpetualContractProducts$);\n// const theProduct = products.find((x) => x.product_id === product_id);\n// if (!theProduct) throw `No Found ProductID ${product_id}`;\n\n// return [\n// of(theProduct),\n// mapSwapContractCodeToBboTick$,\n// mapSwapContractCodeToTradeTick$,\n// mapSwapContractCodeToFundingRateTick$,\n// mapSwapContractCodeToOpenInterest$,\n// ] as const;\n// }).pipe(\n// catchError(() => EMPTY),\n// mergeMap((x) =>\n// combineLatest(x).pipe(\n// map(([theProduct, bboTick, tradeTick, fundingRateTick, openInterest]): ITick => {\n// return {\n// datasource_id: 'HUOBI-SWAP',\n// product_id,\n// updated_at: Date.now(),\n// settlement_scheduled_at: +fundingRateTick[product_id].funding_time,\n// price: +tradeTick[product_id].price,\n// ask: bboTick[product_id].ask?.[0] ?? undefined,\n// bid: bboTick[product_id].bid?.[0] ?? undefined,\n// volume: +tradeTick[product_id].amount,\n// interest_rate_for_long: -+fundingRateTick[product_id].funding_rate,\n// interest_rate_for_short: +fundingRateTick[product_id].funding_rate,\n// open_interest: +openInterest[product_id]?.volume,\n// };\n// }),\n// ),\n// ),\n// );\n// });\n"]}
1
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{ createCache } from '@yuants/cache';\nimport { IQuote, setMetricsQuoteState } from '@yuants/data-quote';\nimport { GlobalPrometheusRegistry, Terminal } from '@yuants/protocol';\nimport { escapeSQL, requestSQL, writeToSQL } from '@yuants/sql';\nimport { encodePath, formatTime } from '@yuants/utils';\nimport { defer, from, groupBy, map, merge, mergeMap, repeat, retry, scan, shareReplay, toArray } from 'rxjs';\nimport {\n getSpotMarketTickers,\n getSwapBatchFundingRate,\n getSwapMarketBbo,\n getSwapMarketTrade,\n getSwapOpenInterest,\n} from '../../api/public-api';\n\nconst terminal = Terminal.fromNodeEnv();\n\nconst swapBboTick$ = defer(() => getSwapMarketBbo({})).pipe(\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n shareReplay(1),\n);\n\nconst quote1$ = swapBboTick$.pipe(\n mergeMap((res) => res.ticks || []),\n map((tick): Partial<IQuote> => {\n const [ask_price = '', ask_volume = ''] = tick.ask || [];\n const [bid_price = '', bid_volume = ''] = tick.bid || [];\n return {\n datasource_id: 'HTX',\n product_id: encodePath('HTX', 'SWAP', tick.contract_code),\n ask_price: `${ask_price}`,\n bid_price: `${bid_price}`,\n ask_volume: `${ask_volume}`,\n bid_volume: `${bid_volume}`,\n };\n }),\n);\n\nconst mapSwapContractCodeToBboTick$ = defer(() => swapBboTick$).pipe(\n mergeMap((res) =>\n from(res.ticks).pipe(\n map((tick) => [tick.contract_code, tick] as const),\n toArray(),\n map((ticks) => Object.fromEntries(ticks)),\n ),\n ),\n\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n shareReplay(1),\n);\n\nconst swapTradeTick$ = defer(() => getSwapMarketTrade({})).pipe(\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n shareReplay(1),\n);\n\nconst quote2$ = swapTradeTick$.pipe(\n mergeMap((res) => res.tick?.data || []),\n map(\n (tick): Partial<IQuote> => ({\n datasource_id: 'HTX',\n product_id: encodePath('HTX', 'SWAP', tick.contract_code),\n last_price: `${tick.price}`,\n }),\n ),\n);\n\nconst quote5$ = defer(() => getSpotMarketTickers()).pipe(\n mergeMap((res) => res.data || []),\n map(\n (tick): Partial<IQuote> => ({\n datasource_id: 'HTX',\n product_id: encodePath('HTX', 'SPOT', tick.symbol),\n ask_price: `${tick.ask}`,\n bid_price: `${tick.bid}`,\n ask_volume: `${tick.askSize}`,\n bid_volume: `${tick.bidSize}`,\n last_price: `${tick.close}`,\n }),\n ),\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n shareReplay(1),\n);\n\nconst mapSwapContractCodeToTradeTick$ = defer(() => swapTradeTick$).pipe(\n mergeMap((res) =>\n from(res.tick.data).pipe(\n map((tick) => [tick.contract_code, tick] as const),\n toArray(),\n map((ticks) => Object.fromEntries(ticks)),\n ),\n ),\n\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n shareReplay(1),\n);\nconst swapFundingRateTick$ = defer(() => getSwapBatchFundingRate({})).pipe(\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n shareReplay(1),\n);\n\nconst quote3$ = swapFundingRateTick$.pipe(\n mergeMap((res) => res.data || []),\n map(\n (tick): Partial<IQuote> => ({\n datasource_id: 'HTX',\n product_id: encodePath('HTX', 'SWAP', tick.contract_code),\n interest_rate_long: `${-tick.funding_rate}`,\n interest_rate_short: `${tick.funding_rate}`,\n interest_rate_next_settled_at: formatTime(+tick.funding_time),\n }),\n ),\n);\n\nconst mapSwapContractCodeToFundingRateTick$ = defer(() => swapFundingRateTick$).pipe(\n mergeMap((res) =>\n from(res.data).pipe(\n map((tick) => [tick.contract_code, tick] as const),\n toArray(),\n map((ticks) => Object.fromEntries(ticks)),\n ),\n ),\n\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n shareReplay(1),\n);\n\nconst swapOpenInterest$ = defer(() => getSwapOpenInterest({})).pipe(\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n shareReplay(1),\n);\n\nconst quote4$ = swapOpenInterest$.pipe(\n mergeMap((res) => res.data || []),\n map(\n (tick): Partial<IQuote> => ({\n datasource_id: 'HTX',\n product_id: encodePath('HTX', 'SWAP', tick.contract_code),\n open_interest: `${tick.volume}`,\n }),\n ),\n);\n\nif (process.env.WRITE_QUOTE_TO_SQL === 'true') {\n // 合并不同来源的数据并进行合并，避免死锁\n merge(quote1$, quote2$, quote3$, quote4$, quote5$)\n .pipe(\n groupBy((x) => encodePath(x.datasource_id, x.product_id)),\n mergeMap((group$) => {\n return group$.pipe(scan((acc, cur) => Object.assign(acc, cur), {} as Partial<IQuote>));\n }),\n )\n .pipe(\n setMetricsQuoteState(terminal.terminal_id),\n writeToSQL({\n terminal,\n tableName: 'quote',\n writeInterval: 1000,\n conflictKeys: ['datasource_id', 'product_id'],\n }),\n )\n .subscribe();\n}\n\nconst mapSwapContractCodeToOpenInterest$ = defer(() => swapOpenInterest$).pipe(\n mergeMap((res) =>\n from(res.data).pipe(\n map((tick) => [tick.contract_code, tick] as const),\n toArray(),\n map((ticks) => Object.fromEntries(ticks)),\n ),\n ),\n\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n shareReplay(1),\n);\n\nexport const quoteCache = createCache<IQuote>(\n async (product_id) => {\n const sql = `select * from quote where product_id = ${escapeSQL(product_id)}`;\n console.info('QuoteSQL', sql);\n const [quote] = await requestSQL<IQuote[]>(terminal, sql);\n console.info('QuoteFetched', product_id, JSON.stringify(quote));\n return quote;\n },\n { expire: 10_000 },\n);\n\n// provideTicks(Terminal.fromNodeEnv(), 'HUOBI-SWAP', (product_id) => {\n// return defer(async () => {\n// const products = await firstValueFrom(perpetualContractProducts$);\n// const theProduct = products.find((x) => x.product_id === product_id);\n// if (!theProduct) throw `No Found ProductID ${product_id}`;\n\n// return [\n// of(theProduct),\n// mapSwapContractCodeToBboTick$,\n// mapSwapContractCodeToTradeTick$,\n// mapSwapContractCodeToFundingRateTick$,\n// mapSwapContractCodeToOpenInterest$,\n// ] as const;\n// }).pipe(\n// catchError(() => EMPTY),\n// mergeMap((x) =>\n// combineLatest(x).pipe(\n// map(([theProduct, bboTick, tradeTick, fundingRateTick, openInterest]): ITick => {\n// return {\n// datasource_id: 'HUOBI-SWAP',\n// product_id,\n// updated_at: Date.now(),\n// settlement_scheduled_at: +fundingRateTick[product_id].funding_time,\n// price: +tradeTick[product_id].price,\n// ask: bboTick[product_id].ask?.[0] ?? undefined,\n// bid: bboTick[product_id].bid?.[0] ?? undefined,\n// volume: +tradeTick[product_id].amount,\n// interest_rate_for_long: -+fundingRateTick[product_id].funding_rate,\n// interest_rate_for_short: +fundingRateTick[product_id].funding_rate,\n// open_interest: +openInterest[product_id]?.volume,\n// };\n// }),\n// ),\n// ),\n// );\n// });\n"]}
package/package.json CHANGED
@@ -1,6 +1,6 @@
1
1
  {
2
2
  "name": "@yuants/vendor-huobi",
3
- "version": "0.17.4",
3
+ "version": "0.17.6",
4
4
  "main": "lib/index.js",
5
5
  "files": [
6
6
  "dist",
@@ -19,7 +19,7 @@
19
19
  "@yuants/data-series": "0.3.53",
20
20
  "@yuants/data-interest-rate": "0.1.49",
21
21
  "@yuants/data-quote": "0.4.0",
22
- "@yuants/exchange": "0.7.1",
22
+ "@yuants/exchange": "0.8.0",
23
23
  "rxjs": "~7.5.6"
24
24
  },
25
25
  "devDependencies": {
package/temp/package-deps.json CHANGED
@@ -1,13 +1,13 @@
1
1
  {
2
- "apps/vendor-huobi/CHANGELOG.json": "7f6bf668fcdadb159fdce08327e87a5c359709b8",
3
- "apps/vendor-huobi/CHANGELOG.md": "263aa03746c72256c491d22bc018b045b733528d",
2
+ "apps/vendor-huobi/CHANGELOG.json": "aaad0c1d296476e667ce9bb39467e87fa6261df0",
3
+ "apps/vendor-huobi/CHANGELOG.md": "52bb536e92d42262c411af244fa46ef436306a37",
4
4
  "apps/vendor-huobi/README.md": "d7bf0149513114eab5500a6b5c9e7cba10565572",
5
5
  "apps/vendor-huobi/api-extractor.json": "62f4fd324425b9a235f0c117975967aab09ced0c",
6
6
  "apps/vendor-huobi/config/jest.config.json": "4bb17bde3ee911163a3edb36a6eb71491d80b1bd",
7
7
  "apps/vendor-huobi/config/rig.json": "f6c7b5537dc77a3170ba9f008bae3b6c3ee11956",
8
8
  "apps/vendor-huobi/config/typescript.json": "854907e8a821f2050f6533368db160c649c25348",
9
9
  "apps/vendor-huobi/etc/vendor-huobi.api.md": "dc8cbf2a044a227b30a4ee9701b0c97328244724",
10
- "apps/vendor-huobi/package.json": "009f3a8ae59aa46438a436d9f5ba280a1d59a085",
10
+ "apps/vendor-huobi/package.json": "19dc4d7f5d3c9e5dcbe0fef94719fea8d4019eea",
11
11
  "apps/vendor-huobi/src/__archived/account-info.ts": "5c325d3bb8839476c11f25693326ce05f3321ebd",
12
12
  "apps/vendor-huobi/src/__archived/api.ts": "8366151dc881b177d0478fb328a601a11e33cd35",
13
13
  "apps/vendor-huobi/src/__archived/transfer.ts": "fd299ad82ff31344460967f2a938b8f36c879259",
@@ -15,11 +15,11 @@
15
15
  "apps/vendor-huobi/src/api/public-api.ts": "c8c6c380118d1282d16a3b5342060f3f82ed14af",
16
16
  "apps/vendor-huobi/src/index.ts": "d3979bbfa38c0b88be8854dbdea2d7833c89ec9c",
17
17
  "apps/vendor-huobi/src/services/accounts/spot.ts": "9b214135dd375822ea5ef03c0fee108873ccc264",
18
- "apps/vendor-huobi/src/services/accounts/super-margin.ts": "57d00a7f9c024fad8a612143838a1ef40a96b4a0",
18
+ "apps/vendor-huobi/src/services/accounts/super-margin.ts": "ff885947334f43085aacb6e8c37b997afee2b7f6",
19
19
  "apps/vendor-huobi/src/services/accounts/swap.ts": "91ef044f09ed3dddd7b0d32116a16c78f74ba9be",
20
20
  "apps/vendor-huobi/src/services/exchange.ts": "6fed94206a22c43d3c6890cf52ff054a24d98d82",
21
21
  "apps/vendor-huobi/src/services/market-data/interest_rate.ts": "79aa362f9fa90e612f9813d0b45d357b96189f3e",
22
- "apps/vendor-huobi/src/services/market-data/quote.ts": "839ea6d4a0a46da219c338c83562e9fd946f17b2",
22
+ "apps/vendor-huobi/src/services/market-data/quote.ts": "2f5883a95b11cf19c1a9a595567f9369b360cccf",
23
23
  "apps/vendor-huobi/src/services/orders/listOrders.ts": "1cf4621727fb290f8e5fd1439765fd73387bda7a",
24
24
  "apps/vendor-huobi/src/services/orders/submitOrder.ts": "c6b0625d4922d5188ef042893865e029f5123f24",
25
25
  "apps/vendor-huobi/src/services/product.ts": "096feb6e1348910242e814ca45848afa3b5bff98",
@@ -38,7 +38,7 @@
38
38
  "libraries/data-series/temp/package-deps.json": "a94e2f373c448a6205ee6c47e41d9283a76ee352",
39
39
  "libraries/data-interest-rate/temp/package-deps.json": "5a1011b097b18b96c2d8c932d874f69472621efd",
40
40
  "libraries/data-quote/temp/package-deps.json": "c2f009f818a503342bef588da21c9abd52beea00",
41
- "libraries/exchange/temp/package-deps.json": "8e1be9c0b37755b28288f53265acf9e27f99c943",
41
+ "libraries/exchange/temp/package-deps.json": "98f6e1318166102a07cf64b69399b35cb4575222",
42
42
  "libraries/extension/temp/package-deps.json": "3e0a81b0c863c2daf342dfaf284b8fd7d18c8562",
43
43
  "tools/toolkit/temp/package-deps.json": "23e053490eb8feade23e4d45de4e54883e322711"
44
44
  }