@yuants/vendor-okx 0.16.9 → 0.17.0

package/lib/logger.d.ts

@@ -0,0 +1,21 @@
+/**
+ * 日志级别
+ */
+export declare type LogLevel = 'info' | 'warn' | 'error' | 'debug';
+/**
+ * 集群模式下的日志管理器
+ * 在worker进程中将日志发送到主进程，在主进程中直接使用console
+ */
+declare class ClusterLogger {
+    private isWorker;
+    private sendToMaster;
+    info(message: string, ...args: any[]): void;
+    warn(message: string, ...args: any[]): void;
+    error(message: string, ...args: any[]): void;
+    debug(message: string, ...args: any[]): void;
+    log(message: string, ...args: any[]): void;
+}
+export declare const logger: ClusterLogger;
+export declare const overrideConsole: () => () => void;
+export {};
+//# sourceMappingURL=logger.d.ts.map

package/lib/logger.d.ts.map

@@ -0,0 +1 @@
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package/lib/logger.js

@@ -0,0 +1,98 @@
+"use strict";
+var __importDefault = (this && this.__importDefault) || function (mod) {
+    return (mod && mod.__esModule) ? mod : { "default": mod };
+};
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.overrideConsole = exports.logger = void 0;
+const cluster_1 = __importDefault(require("cluster"));
+/**
+ * 集群模式下的日志管理器
+ * 在worker进程中将日志发送到主进程，在主进程中直接使用console
+ */
+class ClusterLogger {
+    constructor() {
+        this.isWorker = !cluster_1.default.isPrimary;
+    }
+    sendToMaster(level, message, ...args) {
+        if (this.isWorker && process.send) {
+            const formattedMessage = args.length > 0
+                ? `${message} ${args
+                    .map((arg) => (typeof arg === 'object' ? JSON.stringify(arg) : String(arg)))
+                    .join(' ')}`
+                : message;
+            process.send({
+                type: 'log',
+                level,
+                message: `[PID:${process.pid}] ${formattedMessage}`,
+                pid: process.pid,
+                label: process.env.WORKER_LABEL || 'unknown',
+                timestamp: Date.now(),
+            });
+        }
+        else {
+            // 在主进程中直接输出
+            const formattedMessage = args.length > 0
+                ? `${message} ${args
+                    .map((arg) => (typeof arg === 'object' ? JSON.stringify(arg) : String(arg)))
+                    .join(' ')}`
+                : message;
+            const logMessage = `[PID:${process.pid}] ${formattedMessage}`;
+            // 控制台输出
+            switch (level) {
+                case 'error':
+                    console.error(logMessage);
+                    break;
+                case 'warn':
+                    console.warn(logMessage);
+                    break;
+                case 'debug':
+                    console.debug(logMessage);
+                    break;
+                default:
+                    console.log(logMessage);
+            }
+        }
+    }
+    info(message, ...args) {
+        this.sendToMaster('info', message, ...args);
+    }
+    warn(message, ...args) {
+        this.sendToMaster('warn', message, ...args);
+    }
+    error(message, ...args) {
+        this.sendToMaster('error', message, ...args);
+    }
+    debug(message, ...args) {
+        this.sendToMaster('debug', message, ...args);
+    }
+    log(message, ...args) {
+        this.info(message, ...args);
+    }
+}
+// 默认配置的logger实例
+exports.logger = new ClusterLogger();
+// 猛踩油门
+const overrideConsole = () => {
+    if (!cluster_1.default.isPrimary) {
+        const originalConsole = {
+            log: console.log,
+            info: console.info,
+            warn: console.warn,
+            error: console.error,
+        };
+        console.log = (...args) => exports.logger.info(args.join(' '));
+        console.info = (...args) => exports.logger.info(args.join(' '));
+        console.warn = (...args) => exports.logger.warn(args.join(' '));
+        console.error = (...args) => exports.logger.error(args.join(' '));
+        // 提供恢复方法
+        return () => {
+            console.log = originalConsole.log;
+            console.info = originalConsole.info;
+            console.warn = originalConsole.warn;
+            console.error = originalConsole.error;
+        };
+    }
+    return () => { }; // 主进程中返回空函数
+};
+exports.overrideConsole = overrideConsole;
+//# sourceMappingURL=logger.js.map

package/lib/logger.js.map

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JSON.stringify(arg) : String(arg)))\n              .join(' ')}`\n          : message;\n\n      process.send({\n        type: 'log',\n        level,\n        message: `[PID:${process.pid}] ${formattedMessage}`,\n        pid: process.pid,\n        label: process.env.WORKER_LABEL || 'unknown',\n        timestamp: Date.now(),\n      });\n    } else {\n      // 在主进程中直接输出\n      const formattedMessage =\n        args.length > 0\n          ? `${message} ${args\n              .map((arg) => (typeof arg === 'object' ? JSON.stringify(arg) : String(arg)))\n              .join(' ')}`\n          : message;\n\n      const logMessage = `[PID:${process.pid}] ${formattedMessage}`;\n\n      // 控制台输出\n      switch (level) {\n        case 'error':\n          console.error(logMessage);\n          break;\n        case 'warn':\n          console.warn(logMessage);\n          break;\n        case 'debug':\n          console.debug(logMessage);\n          break;\n        default:\n          console.log(logMessage);\n      }\n    }\n  }\n\n  info(message: string, ...args: any[]) {\n    this.sendToMaster('info', message, ...args);\n  }\n\n  warn(message: string, ...args: any[]) {\n    this.sendToMaster('warn', message, ...args);\n  }\n\n  error(message: string, ...args: any[]) {\n    this.sendToMaster('error', message, ...args);\n  }\n\n  debug(message: string, ...args: any[]) {\n    this.sendToMaster('debug', message, ...args);\n  }\n\n  log(message: string, ...args: any[]) {\n    this.info(message, ...args);\n  }\n}\n\n// 默认配置的logger实例\nexport const logger = new ClusterLogger();\n\n// 猛踩油门\nexport const overrideConsole = () => {\n  if (!cluster.isPrimary) {\n    const originalConsole = {\n      log: console.log,\n      info: console.info,\n      warn: console.warn,\n      error: console.error,\n    };\n\n    console.log = (...args: any[]) => logger.info(args.join(' '));\n    console.info = (...args: any[]) => logger.info(args.join(' '));\n    console.warn = (...args: any[]) => logger.warn(args.join(' '));\n    console.error = (...args: any[]) => logger.error(args.join(' '));\n\n    // 提供恢复方法\n    return () => {\n      console.log = originalConsole.log;\n      console.info = originalConsole.info;\n      console.warn = originalConsole.warn;\n      console.error = originalConsole.error;\n    };\n  }\n  return () => {}; // 主进程中返回空函数\n};\n"]}

package/lib/ohlc.d.ts

@@ -0,0 +1,2 @@
+export {};
+//# sourceMappingURL=ohlc.d.ts.map

package/lib/ohlc.d.ts.map

@@ -0,0 +1 @@
+{"version":3,"file":"ohlc.d.ts","sourceRoot":"","sources":["../src/ohlc.ts"],"names":[],"mappings":""}

package/lib/ohlc.js

@@ -0,0 +1,100 @@
+"use strict";
+var __await = (this && this.__await) || function (v) { return this instanceof __await ? (this.v = v, this) : new __await(v); }
+var __asyncGenerator = (this && this.__asyncGenerator) || function (thisArg, _arguments, generator) {
+    if (!Symbol.asyncIterator) throw new TypeError("Symbol.asyncIterator is not defined.");
+    var g = generator.apply(thisArg, _arguments || []), i, q = [];
+    return i = {}, verb("next"), verb("throw"), verb("return"), i[Symbol.asyncIterator] = function () { return this; }, i;
+    function verb(n) { if (g[n]) i[n] = function (v) { return new Promise(function (a, b) { q.push([n, v, a, b]) > 1 || resume(n, v); }); }; }
+    function resume(n, v) { try { step(g[n](v)); } catch (e) { settle(q[0][3], e); } }
+    function step(r) { r.value instanceof __await ? Promise.resolve(r.value.v).then(fulfill, reject) : settle(q[0][2], r); }
+    function fulfill(value) { resume("next", value); }
+    function reject(value) { resume("throw", value); }
+    function settle(f, v) { if (f(v), q.shift(), q.length) resume(q[0][0], q[0][1]); }
+};
+Object.defineProperty(exports, "__esModule", { value: true });
+const data_series_1 = require("@yuants/data-series");
+const protocol_1 = require("@yuants/protocol");
+const utils_1 = require("@yuants/utils");
+const rxjs_1 = require("rxjs");
+const api_1 = require("./api");
+// 时间粒度，默认值1m
+// 如 [1m/3m/5m/15m/30m/1H/2H/4H]
+// 香港时间开盘价k线：[6H/12H/1D/1W/1M]
+// UTC时间开盘价k线：[6Hutc/12Hutc/1Dutc/1Wutc/1Mutc]
+const DURATION_TO_OKX_BAR_TYPE = {
+    PT1M: '1m',
+    PT3M: '3m',
+    PT5M: '5m',
+    PT15M: '15m',
+    PT30M: '30m',
+    PT1H: '1H',
+    PT2H: '2H',
+    PT4H: '4H',
+    PT6H: '6H',
+    PT12H: '12H',
+    P1D: '1D',
+    P1W: '1W',
+    P1M: '1M',
+};
+(0, data_series_1.createSeriesProvider)(protocol_1.Terminal.fromNodeEnv(), {
+    tableName: 'ohlc',
+    series_id_prefix_parts: ['OKX'],
+    reversed: true,
+    serviceOptions: { concurrent: 1 },
+    queryFn: function ({ series_id, ended_at }) {
+        return __asyncGenerator(this, arguments, function* () {
+            const [datasource_id, product_id, duration] = (0, utils_1.decodePath)(series_id);
+            const offset = (0, utils_1.convertDurationToOffset)(duration);
+            if (!datasource_id) {
+                throw 'datasource_id is required';
+            }
+            if (!product_id) {
+                throw 'product_id is required';
+            }
+            if (!offset) {
+                throw 'duration is invalid';
+            }
+            const [instType, instId] = (0, utils_1.decodePath)(product_id);
+            if (!instId) {
+                throw `invalid product_id: ${product_id}`;
+            }
+            const bar = DURATION_TO_OKX_BAR_TYPE[duration];
+            if (!bar) {
+                throw `unsupported duration: ${duration}`;
+            }
+            let currentStartTime = ended_at;
+            while (true) {
+                // 向前翻页，时间降序，不含 after 时间点
+                const res = yield __await(api_1.client.getHistoryCandles({
+                    instId,
+                    bar,
+                    after: `${currentStartTime}`,
+                    limit: '100',
+                }));
+                if (res.code !== '0') {
+                    throw `API failed: ${res.code} ${res.msg}`;
+                }
+                if (res.data.length === 0)
+                    break;
+                currentStartTime = +res.data[res.data.length - 1][0];
+                const data = res.data.map((x) => ({
+                    series_id,
+                    datasource_id,
+                    product_id,
+                    duration,
+                    created_at: (0, utils_1.formatTime)(+x[0]),
+                    closed_at: (0, utils_1.formatTime)(+x[0] + offset),
+                    open: x[1],
+                    high: x[2],
+                    low: x[3],
+                    close: x[4],
+                    volume: x[5],
+                    open_interest: '0',
+                }));
+                yield yield __await(data);
+                yield __await((0, rxjs_1.firstValueFrom)((0, rxjs_1.timer)(1000)));
+            }
+        });
+    },
+});
+//# sourceMappingURL=ohlc.js.map

package/lib/ohlc.js.map

@@ -0,0 +1 @@
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package/lib/order.d.ts

@@ -0,0 +1,4 @@
+import { IOrder } from '@yuants/data-order';
+import { Subject } from 'rxjs';
+export declare const order$: Subject<IOrder>;
+//# sourceMappingURL=order.d.ts.map

package/lib/order.d.ts.map

@@ -0,0 +1 @@
+{"version":3,"file":"order.d.ts","sourceRoot":"","sources":["../src/order.ts"],"names":[],"mappings":"AAAA,OAAO,EAAE,MAAM,EAAE,MAAM,oBAAoB,CAAC;AAI5C,OAAO,EAUL,OAAO,EAER,MAAM,MAAM,CAAC;AAId,eAAO,MAAM,MAAM,iBAAwB,CAAC"}

package/lib/order.js

@@ -0,0 +1,99 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.order$ = void 0;
+const protocol_1 = require("@yuants/protocol");
+const sql_1 = require("@yuants/sql");
+const utils_1 = require("@yuants/utils");
+const rxjs_1 = require("rxjs");
+const account_1 = require("./account");
+const api_1 = require("./api");
+exports.order$ = new rxjs_1.Subject();
+exports.order$
+    .pipe(
+//
+// mergeMap((x) => x),
+(0, sql_1.writeToSQL)({
+    terminal: protocol_1.Terminal.fromNodeEnv(),
+    tableName: '"order"',
+    writeInterval: 1000,
+    keyFn: (order) => (0, utils_1.encodePath)(order.account_id, order.order_id),
+    columns: [
+        'order_id',
+        'account_id',
+        'product_id',
+        'position_id',
+        'order_type',
+        'order_direction',
+        'volume',
+        'submit_at',
+        'updated_at',
+        'filled_at',
+        'price',
+        'traded_volume',
+        'traded_price',
+        'order_status',
+        'comment',
+        'profit_correction',
+        'real_profit',
+        'inferred_base_currency_price',
+    ],
+    conflictKeys: ['account_id', 'order_id'],
+}))
+    .subscribe();
+const makeOrder = (x, account_id) => {
+    const order_type = x.ordType === 'market' ? 'MARKET' : x.ordType === 'limit' ? 'LIMIT' : 'UNKNOWN';
+    const order_direction = x.side === 'buy'
+        ? x.posSide === 'long'
+            ? 'OPEN_LONG'
+            : 'CLOSE_SHORT'
+        : x.posSide === 'short'
+            ? 'OPEN_SHORT'
+            : 'CLOSE_LONG';
+    const order_status = ['live', 'partially_filled'].includes(x.state)
+        ? 'ACCEPTED'
+        : x.state === 'filled'
+            ? 'TRADED'
+            : 'CANCELLED';
+    return {
+        order_id: x.clOrdId !== '' ? x.clOrdId : x.ordId,
+        account_id,
+        product_id: (0, utils_1.encodePath)(x.instType, x.instId),
+        submit_at: +x.cTime,
+        filled_at: +x.fillTime,
+        created_at: (0, utils_1.formatTime)(+x.cTime),
+        updated_at: (0, utils_1.formatTime)(+x.uTime),
+        order_type,
+        order_direction,
+        volume: +x.sz,
+        traded_volume: +x.accFillSz,
+        price: +x.px,
+        traded_price: +x.avgPx,
+        order_status,
+    };
+};
+(async () => {
+    const uid = await (0, rxjs_1.firstValueFrom)(account_1.accountUid$);
+    const TRADING_ACCOUNT_ID = `okx/${uid}/trading`;
+    const FUNDING_ACCOUNT_ID = `okx/${uid}/funding/USDT`;
+    const EARNING_ACCOUNT_ID = `okx/${uid}/earning/USDT`;
+    const swapHistoryOrders = (0, rxjs_1.defer)(() => api_1.client.getTradeOrdersHistory({ instType: 'SWAP' })).pipe((0, rxjs_1.repeat)({ delay: 1000 }), (0, rxjs_1.retry)({ delay: 1000 }), (0, rxjs_1.shareReplay)(1));
+    const swapPendingOrders = (0, rxjs_1.defer)(() => api_1.client.getTradeOrdersPending({ instType: 'SWAP' })).pipe((0, rxjs_1.repeat)({ delay: 1000 }), (0, rxjs_1.retry)({ delay: 1000 }), (0, rxjs_1.shareReplay)(1));
+    const ordersFromHistoryOrder$ = swapHistoryOrders.pipe(
+    //
+    (0, rxjs_1.mergeMap)((x) => (0, rxjs_1.from)(x.data || []).pipe(
+    //
+    (0, rxjs_1.map)((x) => makeOrder(x, TRADING_ACCOUNT_ID)))));
+    const ordersFromPendingOrder$ = swapPendingOrders.pipe(
+    //
+    (0, rxjs_1.mergeMap)((x) => (0, rxjs_1.from)(x.data || []).pipe(
+    //
+    (0, rxjs_1.map)((x) => makeOrder(x, TRADING_ACCOUNT_ID)))));
+    (0, rxjs_1.merge)(ordersFromHistoryOrder$, ordersFromPendingOrder$)
+        .pipe(
+    //
+    (0, rxjs_1.tap)((x) => {
+        exports.order$.next(x);
+    }))
+        .subscribe();
+})();
+//# sourceMappingURL=order.js.map

package/lib/order.js.map

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{ IOrder } from '@yuants/data-order';\nimport { Terminal } from '@yuants/protocol';\nimport { writeToSQL } from '@yuants/sql';\nimport { encodePath, formatTime } from '@yuants/utils';\nimport {\n  defer,\n  firstValueFrom,\n  from,\n  map,\n  merge,\n  mergeMap,\n  repeat,\n  retry,\n  shareReplay,\n  Subject,\n  tap,\n} from 'rxjs';\nimport { accountUid$ } from './account';\nimport { client } from './api';\n\nexport const order$ = new Subject<IOrder>();\n\norder$\n  .pipe(\n    //\n    // mergeMap((x) => x),\n    writeToSQL({\n      terminal: Terminal.fromNodeEnv(),\n      tableName: '\"order\"',\n      writeInterval: 1000,\n      keyFn: (order) => encodePath(order.account_id, order.order_id),\n      columns: [\n        'order_id',\n        'account_id',\n        'product_id',\n        'position_id',\n        'order_type',\n        'order_direction',\n        'volume',\n        'submit_at',\n        'updated_at',\n        'filled_at',\n        'price',\n        'traded_volume',\n        'traded_price',\n        'order_status',\n        'comment',\n        'profit_correction',\n        'real_profit',\n        'inferred_base_currency_price',\n      ],\n      conflictKeys: ['account_id', 'order_id'],\n    }),\n  )\n  .subscribe();\n\nconst makeOrder = (\n  x: {\n    ordType: string;\n    side: string;\n    posSide: string;\n    instType: string;\n    instId: string;\n    cTime: string;\n    uTime: string;\n    fillTime: string;\n    sz: string;\n    accFillSz: string;\n    px: string;\n    avgPx: string;\n    state: string;\n    clOrdId: string;\n    ordId: string;\n  },\n  account_id: string,\n): IOrder => {\n  const order_type = x.ordType === 'market' ? 'MARKET' : x.ordType === 'limit' ? 'LIMIT' : 'UNKNOWN';\n  const order_direction =\n    x.side === 'buy'\n      ? x.posSide === 'long'\n        ? 'OPEN_LONG'\n        : 'CLOSE_SHORT'\n      : x.posSide === 'short'\n      ? 'OPEN_SHORT'\n      : 'CLOSE_LONG';\n  const order_status = ['live', 'partially_filled'].includes(x.state)\n    ? 'ACCEPTED'\n    : x.state === 'filled'\n    ? 'TRADED'\n    : 'CANCELLED';\n  return {\n    order_id: x.clOrdId !== '' ? x.clOrdId : x.ordId,\n    account_id,\n    product_id: encodePath(x.instType, x.instId),\n    submit_at: +x.cTime,\n    filled_at: +x.fillTime,\n    created_at: formatTime(+x.cTime),\n    updated_at: formatTime(+x.uTime),\n    order_type,\n    order_direction,\n    volume: +x.sz,\n    traded_volume: +x.accFillSz,\n    price: +x.px,\n    traded_price: +x.avgPx,\n    order_status,\n  };\n};\n\n(async () => {\n  const uid = await firstValueFrom(accountUid$);\n\n  const TRADING_ACCOUNT_ID = `okx/${uid}/trading`;\n  const FUNDING_ACCOUNT_ID = `okx/${uid}/funding/USDT`;\n  const EARNING_ACCOUNT_ID = `okx/${uid}/earning/USDT`;\n\n  const swapHistoryOrders = defer(() => client.getTradeOrdersHistory({ instType: 'SWAP' })).pipe(\n    repeat({ delay: 1000 }),\n    retry({ delay: 1000 }),\n    shareReplay(1),\n  );\n\n  const swapPendingOrders = defer(() => client.getTradeOrdersPending({ instType: 'SWAP' })).pipe(\n    repeat({ delay: 1000 }),\n    retry({ delay: 1000 }),\n    shareReplay(1),\n  );\n\n  const ordersFromHistoryOrder$ = swapHistoryOrders.pipe(\n    //\n    mergeMap((x) =>\n      from(x.data || []).pipe(\n        //\n        map((x) => makeOrder(x, TRADING_ACCOUNT_ID)),\n      ),\n    ),\n  );\n\n  const ordersFromPendingOrder$ = swapPendingOrders.pipe(\n    //\n    mergeMap((x) =>\n      from(x.data || []).pipe(\n        //\n        map((x) => makeOrder(x, TRADING_ACCOUNT_ID)),\n      ),\n    ),\n  );\n\n  merge(ordersFromHistoryOrder$, ordersFromPendingOrder$)\n    .pipe(\n      //\n      tap((x) => {\n        order$.next(x);\n      }),\n    )\n    .subscribe();\n})();\n"]}

package/lib/product.d.ts

@@ -0,0 +1,6 @@
+import { IProduct } from '@yuants/data-product';
+export declare const usdtSwapProducts$: import("rxjs").Observable<IProduct[]>;
+export declare const marginProducts$: import("rxjs").Observable<IProduct[]>;
+export declare const mapProductIdToMarginProduct$: import("rxjs").Observable<Map<string, IProduct>>;
+export declare const mapProductIdToUsdtSwapProduct$: import("rxjs").Observable<Map<string, IProduct>>;
+//# sourceMappingURL=product.d.ts.map

package/lib/product.d.ts.map

@@ -0,0 +1 @@
+{"version":3,"file":"product.d.ts","sourceRoot":"","sources":["../src/product.ts"],"names":[],"mappings":"AACA,OAAO,EAAE,QAAQ,EAAE,MAAM,sBAAsB,CAAC;AAchD,eAAO,MAAM,iBAAiB,uCAiC7B,CAAC;AAQF,eAAO,MAAM,eAAe,uCAgC3B,CAAC;AAIF,eAAO,MAAM,4BAA4B,kDAExC,CAAC;AA4CF,eAAO,MAAM,8BAA8B,kDAG1C,CAAC"}

package/lib/product.js

@@ -0,0 +1,88 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.mapProductIdToUsdtSwapProduct$ = exports.mapProductIdToMarginProduct$ = exports.marginProducts$ = exports.usdtSwapProducts$ = void 0;
+const utils_1 = require("@yuants/utils");
+const protocol_1 = require("@yuants/protocol");
+const sql_1 = require("@yuants/sql");
+const rxjs_1 = require("rxjs");
+const api_1 = require("./api");
+const product$ = new rxjs_1.Subject();
+const swapInstruments$ = (0, rxjs_1.defer)(() => api_1.client.getInstruments({ instType: 'SWAP' })).pipe((0, rxjs_1.repeat)({ delay: 3600000 }), (0, rxjs_1.retry)({ delay: 10000 }), (0, rxjs_1.shareReplay)(1));
+exports.usdtSwapProducts$ = swapInstruments$.pipe((0, rxjs_1.mergeMap)((x) => (0, rxjs_1.from)(x.data || []).pipe((0, rxjs_1.filter)((x) => x.ctType === 'linear' && x.settleCcy === 'USDT'), 
+// ISSUE: 可能有 level = '' 的错误情况 (SPK-USDT and RESOLV-USDT at 2025-06-19 08 UTC)
+(0, rxjs_1.filter)((x) => +x.lever > 0), (0, rxjs_1.map)((x) => ({
+    datasource_id: 'OKX',
+    product_id: (0, utils_1.encodePath)(x.instType, x.instId),
+    name: `${x.ctValCcy}-${x.settleCcy}-PERP`,
+    base_currency: x.ctValCcy,
+    quote_currency: x.settleCcy,
+    value_scale: +x.ctVal,
+    volume_step: +x.lotSz,
+    price_step: +x.tickSz,
+    margin_rate: 1 / +x.lever,
+    value_scale_unit: '',
+    value_based_cost: 0,
+    volume_based_cost: 0,
+    max_position: 0,
+    max_volume: 0,
+    allow_long: true,
+    allow_short: true,
+    market_id: 'OKX',
+    no_interest_rate: false,
+})), (0, rxjs_1.tap)((x) => product$.next(x)), (0, rxjs_1.toArray)())), (0, rxjs_1.shareReplay)(1));
+exports.usdtSwapProducts$.subscribe();
+const marginInstruments$ = (0, rxjs_1.defer)(() => api_1.client.getInstruments({ instType: 'MARGIN' })).pipe((0, rxjs_1.repeat)({ delay: 3600000 }), (0, rxjs_1.retry)({ delay: 10000 }), (0, rxjs_1.shareReplay)(1));
+exports.marginProducts$ = marginInstruments$.pipe((0, rxjs_1.mergeMap)((x) => (0, rxjs_1.from)(x.data || []).pipe(
+// ISSUE: 可能有 level = '' 的错误情况 (SPK-USDT and RESOLV-USDT at 2025-06-19 08 UTC)
+(0, rxjs_1.filter)((x) => +x.lever > 0), (0, rxjs_1.map)((x) => ({
+    datasource_id: 'OKX',
+    product_id: (0, utils_1.encodePath)(x.instType, x.instId),
+    base_currency: x.baseCcy,
+    quote_currency: x.quoteCcy,
+    value_scale: 1,
+    volume_step: +x.lotSz,
+    price_step: +x.tickSz,
+    margin_rate: 1 / +x.lever,
+    name: `${x.baseCcy}-${x.quoteCcy}-MARGIN`,
+    value_scale_unit: '',
+    value_based_cost: 0,
+    volume_based_cost: 0,
+    max_position: 0,
+    max_volume: 0,
+    allow_long: true,
+    allow_short: true,
+    market_id: 'OKX',
+    no_interest_rate: false,
+})), (0, rxjs_1.tap)((x) => product$.next(x)), (0, rxjs_1.toArray)())), (0, rxjs_1.shareReplay)(1));
+exports.marginProducts$.subscribe();
+exports.mapProductIdToMarginProduct$ = exports.marginProducts$.pipe((0, rxjs_1.map)((x) => new Map(x.map((x) => [x.product_id, x])), (0, rxjs_1.shareReplay)(1)));
+(0, rxjs_1.defer)(() => api_1.client.getInstruments({ instType: 'SPOT' }))
+    .pipe((0, rxjs_1.repeat)({ delay: 3600000 }), (0, rxjs_1.retry)({ delay: 10000 }), (0, rxjs_1.mergeMap)((x) => (0, rxjs_1.from)(x.data || []).pipe((0, rxjs_1.map)((x) => ({
+    datasource_id: 'OKX',
+    product_id: (0, utils_1.encodePath)(x.instType, x.instId),
+    base_currency: x.baseCcy,
+    quote_currency: x.quoteCcy,
+    value_scale: 1,
+    volume_step: +x.lotSz,
+    price_step: +x.tickSz,
+    margin_rate: 1,
+    name: `${x.baseCcy}-${x.quoteCcy}-SPOT`,
+    value_scale_unit: '',
+    value_based_cost: 0,
+    volume_based_cost: 0,
+    max_position: 0,
+    max_volume: 0,
+    allow_long: true,
+    allow_short: true,
+    market_id: 'OKX',
+    no_interest_rate: true,
+})), (0, rxjs_1.tap)((x) => product$.next(x)), (0, rxjs_1.toArray)())))
+    .subscribe();
+(0, sql_1.createSQLWriter)(protocol_1.Terminal.fromNodeEnv(), {
+    data$: product$,
+    tableName: 'product',
+    writeInterval: 1000,
+    conflictKeys: ['datasource_id', 'product_id'],
+});
+exports.mapProductIdToUsdtSwapProduct$ = exports.usdtSwapProducts$.pipe((0, rxjs_1.map)((x) => new Map(x.map((x) => [x.product_id, x]))), (0, rxjs_1.shareReplay)(1));
+//# sourceMappingURL=product.js.map

package/lib/product.js.map

@@ -0,0 +1 @@
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{ encodePath } from '@yuants/utils';\nimport { IProduct } from '@yuants/data-product';\nimport { Terminal } from '@yuants/protocol';\nimport { createSQLWriter } from '@yuants/sql';\nimport { defer, filter, from, map, mergeMap, repeat, retry, shareReplay, Subject, tap, toArray } from 'rxjs';\nimport { client } from './api';\n\nconst product$ = new Subject<IProduct>();\n\nconst swapInstruments$ = defer(() => client.getInstruments({ instType: 'SWAP' })).pipe(\n  repeat({ delay: 3600_000 }),\n  retry({ delay: 10_000 }),\n  shareReplay(1),\n);\n\nexport const usdtSwapProducts$ = swapInstruments$.pipe(\n  mergeMap((x) =>\n    from(x.data || []).pipe(\n      filter((x) => x.ctType === 'linear' && x.settleCcy === 'USDT'),\n      // ISSUE: 可能有 level = '' 的错误情况 (SPK-USDT and RESOLV-USDT at 2025-06-19 08 UTC)\n      filter((x) => +x.lever > 0),\n      map(\n        (x): IProduct => ({\n          datasource_id: 'OKX',\n          product_id: encodePath(x.instType, x.instId),\n          name: `${x.ctValCcy}-${x.settleCcy}-PERP`,\n          base_currency: x.ctValCcy,\n          quote_currency: x.settleCcy,\n          value_scale: +x.ctVal,\n          volume_step: +x.lotSz,\n          price_step: +x.tickSz,\n          margin_rate: 1 / +x.lever,\n          value_scale_unit: '',\n          value_based_cost: 0,\n          volume_based_cost: 0,\n          max_position: 0,\n          max_volume: 0,\n          allow_long: true,\n          allow_short: true,\n          market_id: 'OKX',\n          no_interest_rate: false,\n        }),\n      ),\n      tap((x) => product$.next(x)),\n      toArray(),\n    ),\n  ),\n  shareReplay(1),\n);\n\nusdtSwapProducts$.subscribe();\nconst marginInstruments$ = defer(() => client.getInstruments({ instType: 'MARGIN' })).pipe(\n  repeat({ delay: 3600_000 }),\n  retry({ delay: 10_000 }),\n  shareReplay(1),\n);\nexport const marginProducts$ = marginInstruments$.pipe(\n  mergeMap((x) =>\n    from(x.data || []).pipe(\n      // ISSUE: 可能有 level = '' 的错误情况 (SPK-USDT and RESOLV-USDT at 2025-06-19 08 UTC)\n      filter((x) => +x.lever > 0),\n      map(\n        (x): IProduct => ({\n          datasource_id: 'OKX',\n          product_id: encodePath(x.instType, x.instId),\n          base_currency: x.baseCcy,\n          quote_currency: x.quoteCcy,\n          value_scale: 1,\n          volume_step: +x.lotSz,\n          price_step: +x.tickSz,\n          margin_rate: 1 / +x.lever,\n          name: `${x.baseCcy}-${x.quoteCcy}-MARGIN`,\n          value_scale_unit: '',\n          value_based_cost: 0,\n          volume_based_cost: 0,\n          max_position: 0,\n          max_volume: 0,\n          allow_long: true,\n          allow_short: true,\n          market_id: 'OKX',\n          no_interest_rate: false,\n        }),\n      ),\n      tap((x) => product$.next(x)),\n      toArray(),\n    ),\n  ),\n  shareReplay(1),\n);\n\nmarginProducts$.subscribe();\n\nexport const mapProductIdToMarginProduct$ = marginProducts$.pipe(\n  map((x) => new Map(x.map((x) => [x.product_id, x])), shareReplay(1)),\n);\n\ndefer(() => client.getInstruments({ instType: 'SPOT' }))\n  .pipe(\n    repeat({ delay: 3600_000 }),\n    retry({ delay: 10_000 }),\n    mergeMap((x) =>\n      from(x.data || []).pipe(\n        map(\n          (x): IProduct => ({\n            datasource_id: 'OKX',\n            product_id: encodePath(x.instType, x.instId),\n            base_currency: x.baseCcy,\n            quote_currency: x.quoteCcy,\n            value_scale: 1,\n            volume_step: +x.lotSz,\n            price_step: +x.tickSz,\n            margin_rate: 1,\n            name: `${x.baseCcy}-${x.quoteCcy}-SPOT`,\n            value_scale_unit: '',\n            value_based_cost: 0,\n            volume_based_cost: 0,\n            max_position: 0,\n            max_volume: 0,\n            allow_long: true,\n            allow_short: true,\n            market_id: 'OKX',\n            no_interest_rate: true,\n          }),\n        ),\n        tap((x) => product$.next(x)),\n        toArray(),\n      ),\n    ),\n  )\n  .subscribe();\n\ncreateSQLWriter<IProduct>(Terminal.fromNodeEnv(), {\n  data$: product$,\n  tableName: 'product',\n  writeInterval: 1_000,\n  conflictKeys: ['datasource_id', 'product_id'],\n});\n\nexport const mapProductIdToUsdtSwapProduct$ = usdtSwapProducts$.pipe(\n  map((x) => new Map(x.map((x) => [x.product_id, x]))),\n  shareReplay(1),\n);\n"]}

package/lib/quote.d.ts

@@ -0,0 +1,42 @@
+export declare const swapMarketTickers$: import("rxjs").Observable<{
+    [k: string]: {
+        instType: string;
+        instId: string;
+        last: string;
+        lastSz: string;
+        askPx: string;
+        askSz: string;
+        bidPx: string;
+        bidSz: string;
+        open24h: string;
+        high24h: string;
+        low24h: string;
+        volCcy24h: string;
+        vol24h: string;
+        sodUtc0: string;
+        sodUtc8: string;
+        ts: string;
+    };
+}>;
+export declare const spotMarketTickers$: import("rxjs").Observable<{
+    [k: string]: {
+        instType: string;
+        instId: string;
+        last: string;
+        lastSz: string;
+        askPx: string;
+        askSz: string;
+        bidPx: string;
+        bidSz: string;
+        open24h: string;
+        high24h: string;
+        low24h: string;
+        volCcy24h: string;
+        vol24h: string;
+        sodUtc0: string;
+        sodUtc8: string;
+        ts: string;
+    };
+}>;
+export declare const swapOpenInterest$: import("rxjs").Observable<Map<string, number>>;
+//# sourceMappingURL=quote.d.ts.map

package/lib/quote.d.ts.map

@@ -0,0 +1 @@
+{"version":3,"file":"quote.d.ts","sourceRoot":"","sources":["../src/quote.ts"],"names":[],"mappings":"AAmBA,eAAO,MAAM,kBAAkB;;;;;;;;;;;;;;;;;;;EAW9B,CAAC;AAEF,eAAO,MAAM,kBAAkB;;;;;;;;;;;;;;;;;;;EAW9B,CAAC;AAmFF,eAAO,MAAM,iBAAiB,gDAG7B,CAAC"}

package/lib/quote.js

@@ -0,0 +1,61 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.swapOpenInterest$ = exports.spotMarketTickers$ = exports.swapMarketTickers$ = void 0;
+const utils_1 = require("@yuants/utils");
+const protocol_1 = require("@yuants/protocol");
+const sql_1 = require("@yuants/sql");
+const rxjs_1 = require("rxjs");
+const api_1 = require("./api");
+const swapTickers$ = (0, rxjs_1.defer)(() => api_1.client.getMarketTickers({ instType: 'SWAP' })).pipe((0, rxjs_1.repeat)({ delay: 5000 }), (0, rxjs_1.retry)({ delay: 5000 }), (0, rxjs_1.shareReplay)(1));
+const spotTickers$ = (0, rxjs_1.defer)(() => api_1.client.getMarketTickers({ instType: 'SPOT' })).pipe((0, rxjs_1.repeat)({ delay: 5000 }), (0, rxjs_1.retry)({ delay: 5000 }), (0, rxjs_1.shareReplay)(1));
+exports.swapMarketTickers$ = (0, rxjs_1.defer)(() => swapTickers$).pipe((0, rxjs_1.mergeMap)((x) => (0, rxjs_1.from)(x.data).pipe((0, rxjs_1.map)((x) => [x.instId, x]), (0, rxjs_1.toArray)(), (0, rxjs_1.map)((x) => Object.fromEntries(x)))), (0, rxjs_1.repeat)({ delay: 5000 }), (0, rxjs_1.retry)({ delay: 5000 }), (0, rxjs_1.shareReplay)(1));
+exports.spotMarketTickers$ = (0, rxjs_1.defer)(() => spotTickers$).pipe((0, rxjs_1.mergeMap)((x) => (0, rxjs_1.from)(x.data).pipe((0, rxjs_1.map)((x) => [x.instId, x]), (0, rxjs_1.toArray)(), (0, rxjs_1.map)((x) => Object.fromEntries(x)))), (0, rxjs_1.repeat)({ delay: 5000 }), (0, rxjs_1.retry)({ delay: 5000 }), (0, rxjs_1.shareReplay)(1));
+const quote1$ = swapTickers$.pipe((0, rxjs_1.mergeMap)((x) => x.data || []), (0, rxjs_1.map)((ticker) => ({
+    datasource_id: 'OKX',
+    product_id: (0, utils_1.encodePath)('SWAP', ticker.instId),
+    last_price: ticker.last,
+    ask_price: ticker.askPx,
+    bid_price: ticker.bidPx,
+    ask_volume: ticker.askSz,
+    bid_volume: ticker.bidSz,
+})));
+const quote2$ = spotTickers$.pipe((0, rxjs_1.mergeMap)((x) => x.data || []), (0, rxjs_1.map)((ticker) => ({
+    datasource_id: 'OKX',
+    product_id: (0, utils_1.encodePath)('SPOT', ticker.instId),
+    last_price: ticker.last,
+    ask_price: ticker.askPx,
+    bid_price: ticker.bidPx,
+    ask_volume: ticker.askSz,
+    bid_volume: ticker.bidSz,
+})));
+const quote4$ = spotTickers$.pipe((0, rxjs_1.mergeMap)((x) => x.data || []), (0, rxjs_1.map)((ticker) => ({
+    datasource_id: 'OKX',
+    product_id: (0, utils_1.encodePath)('MARGIN', ticker.instId),
+    last_price: ticker.last,
+    ask_price: ticker.askPx,
+    bid_price: ticker.bidPx,
+    ask_volume: ticker.askSz,
+    bid_volume: ticker.bidSz,
+})));
+const swapOpenInterests$ = (0, rxjs_1.defer)(() => api_1.client.getOpenInterest({ instType: 'SWAP' })).pipe((0, rxjs_1.repeat)({ delay: 10000 }), (0, rxjs_1.retry)({ delay: 10000 }), (0, rxjs_1.shareReplay)(1));
+const quote3$ = swapOpenInterests$.pipe((0, rxjs_1.mergeMap)((x) => x.data || []), (0, rxjs_1.map)((x) => ({
+    datasource_id: 'OKX',
+    product_id: (0, utils_1.encodePath)('SWAP', x.instId),
+    open_interest: x.oi,
+})));
+// 合并不同来源的数据并进行合并，避免死锁
+if (process.env.WRITE_QUOTE_TO_SQL === 'true') {
+    (0, rxjs_1.merge)(quote1$, quote2$, quote3$, quote4$)
+        .pipe((0, rxjs_1.groupBy)((x) => (0, utils_1.encodePath)(x.datasource_id, x.product_id)), (0, rxjs_1.mergeMap)((group$) => {
+        return group$.pipe((0, rxjs_1.scan)((acc, cur) => Object.assign(acc, cur), {}));
+    }), (0, sql_1.writeToSQL)({
+        terminal: protocol_1.Terminal.fromNodeEnv(),
+        writeInterval: 1000,
+        tableName: 'quote',
+        keyFn: (quote) => (0, utils_1.encodePath)(quote.datasource_id, quote.product_id),
+        conflictKeys: ['datasource_id', 'product_id'],
+    }))
+        .subscribe();
+}
+exports.swapOpenInterest$ = (0, rxjs_1.defer)(() => swapOpenInterests$).pipe((0, rxjs_1.map)((x) => new Map(x.data.map((x) => [x.instId, +x.oi]))), (0, rxjs_1.shareReplay)(1));
+//# sourceMappingURL=quote.js.map

package/lib/quote.js.map

@@ -0,0 +1 @@
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{ encodePath } from '@yuants/utils';\nimport { IQuote } from '@yuants/data-quote';\nimport { Terminal } from '@yuants/protocol';\nimport { writeToSQL } from '@yuants/sql';\nimport { defer, from, groupBy, map, merge, mergeMap, repeat, retry, scan, shareReplay, toArray } from 'rxjs';\nimport { client } from './api';\n\nconst swapTickers$ = defer(() => client.getMarketTickers({ instType: 'SWAP' })).pipe(\n  repeat({ delay: 5000 }),\n  retry({ delay: 5000 }),\n  shareReplay(1),\n);\n\nconst spotTickers$ = defer(() => client.getMarketTickers({ instType: 'SPOT' })).pipe(\n  repeat({ delay: 5000 }),\n  retry({ delay: 5000 }),\n  shareReplay(1),\n);\n\nexport const swapMarketTickers$ = defer(() => swapTickers$).pipe(\n  mergeMap((x) =>\n    from(x.data).pipe(\n      map((x) => [x.instId, x] as const),\n      toArray(),\n      map((x) => Object.fromEntries(x)),\n    ),\n  ),\n  repeat({ delay: 5000 }),\n  retry({ delay: 5000 }),\n  shareReplay(1),\n);\n\nexport const spotMarketTickers$ = defer(() => spotTickers$).pipe(\n  mergeMap((x) =>\n    from(x.data).pipe(\n      map((x) => [x.instId, x] as const),\n      toArray(),\n      map((x) => Object.fromEntries(x)),\n    ),\n  ),\n  repeat({ delay: 5000 }),\n  retry({ delay: 5000 }),\n  shareReplay(1),\n);\n\nconst quote1$ = swapTickers$.pipe(\n  mergeMap((x) => x.data || []),\n  map(\n    (ticker): Partial<IQuote> => ({\n      datasource_id: 'OKX',\n      product_id: encodePath('SWAP', ticker.instId),\n      last_price: ticker.last,\n      ask_price: ticker.askPx,\n      bid_price: ticker.bidPx,\n      ask_volume: ticker.askSz,\n      bid_volume: ticker.bidSz,\n    }),\n  ),\n);\n\nconst quote2$ = spotTickers$.pipe(\n  mergeMap((x) => x.data || []),\n  map(\n    (ticker): Partial<IQuote> => ({\n      datasource_id: 'OKX',\n      product_id: encodePath('SPOT', ticker.instId),\n      last_price: ticker.last,\n      ask_price: ticker.askPx,\n      bid_price: ticker.bidPx,\n      ask_volume: ticker.askSz,\n      bid_volume: ticker.bidSz,\n    }),\n  ),\n);\n\nconst quote4$ = spotTickers$.pipe(\n  mergeMap((x) => x.data || []),\n  map(\n    (ticker): Partial<IQuote> => ({\n      datasource_id: 'OKX',\n      product_id: encodePath('MARGIN', ticker.instId),\n      last_price: ticker.last,\n      ask_price: ticker.askPx,\n      bid_price: ticker.bidPx,\n      ask_volume: ticker.askSz,\n      bid_volume: ticker.bidSz,\n    }),\n  ),\n);\n\nconst swapOpenInterests$ = defer(() => client.getOpenInterest({ instType: 'SWAP' })).pipe(\n  repeat({ delay: 10_000 }),\n  retry({ delay: 10_000 }),\n  shareReplay(1),\n);\n\nconst quote3$ = swapOpenInterests$.pipe(\n  mergeMap((x) => x.data || []),\n  map(\n    (x): Partial<IQuote> => ({\n      datasource_id: 'OKX',\n      product_id: encodePath('SWAP', x.instId),\n      open_interest: x.oi,\n    }),\n  ),\n);\n\n// 合并不同来源的数据并进行合并，避免死锁\nif (process.env.WRITE_QUOTE_TO_SQL === 'true') {\n  merge(quote1$, quote2$, quote3$, quote4$)\n    .pipe(\n      groupBy((x) => encodePath(x.datasource_id, x.product_id)),\n      mergeMap((group$) => {\n        return group$.pipe(scan((acc, cur) => Object.assign(acc, cur), {} as Partial<IQuote>));\n      }),\n      writeToSQL({\n        terminal: Terminal.fromNodeEnv(),\n        writeInterval: 1000,\n        tableName: 'quote',\n        keyFn: (quote) => encodePath(quote.datasource_id, quote.product_id),\n        conflictKeys: ['datasource_id', 'product_id'],\n      }),\n    )\n    .subscribe();\n}\n\nexport const swapOpenInterest$ = defer(() => swapOpenInterests$).pipe(\n  map((x) => new Map(x.data.map((x) => [x.instId, +x.oi] as const))),\n  shareReplay(1),\n);\n"]}