@yuants/vendor-okx 0.16.9 → 0.17.0

package/dist/cluster.js.map

@@ -0,0 +1 @@
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secret_key: string; passphrase: string }>({\n      terminal: Terminal.fromNodeEnv(),\n      encryption_key_base58: process.env.ENCRYPTION_KEY_BASE58!,\n    }),\n  )\n    .pipe(\n      //\n      tap({\n        error: (e) => {\n          console.error(`[Primary] ${formatTime(Date.now())} Failed to load secrets`, e);\n        },\n      }),\n      retry({ delay: 5000 }),\n      repeat({ delay: 5000 }),\n    )\n    .pipe(\n      listWatch(\n        (x) => x.secret.id,\n        (account) =>\n          defer(\n            () =>\n              new Observable((subscriber) => {\n                console.info(\n                  formatTime(Date.now()),\n                  `[Primary] ${formatTime(Date.now())} Starting worker for account ${\n                    account.secret.public_data.name\n                  } (${account.secret.id})`,\n                );\n                if (account.secret.public_data.type !== 'api_key_okx') return;\n                if (!account.secret.public_data.name) return;\n                if (!account.decrypted_data) return;\n                if (!account.decrypted_data.access_key) return;\n                if (!account.decrypted_data.secret_key) return;\n                if (!account.decrypted_data.passphrase) return;\n\n                const worker = cluster.fork({\n                  ENCRYPTION_KEY_BASE58: '',\n                  ACCESS_KEY: account.decrypted_data.access_key,\n                  SECRET_KEY: account.decrypted_data.secret_key,\n                  PASSPHRASE: account.decrypted_data.passphrase,\n                  WRITE_QUOTE_TO_SQL: account.secret.public_data.write_quote_to_sql ? 'true' : 'false',\n                  TERMINAL_ID: `@yuants/vendor-okx/worker/${account.secret.public_data.name}`,\n                  WORKER_LABEL: account.secret.public_data.name,\n                });\n\n                worker.on('message', (message: any) => {\n                  if (message.type === 'log') {\n                    logBuffer.next(\n                      `[Worker ${worker.process.pid} ${message.label}] ${message.level}: ${message.message}`,\n                    );\n                  }\n                });\n\n                worker.on('exit', (code, signal) => {\n                  if (code === 0) {\n                    console.info(\n                      `[Primary] ${formatTime(Date.now())} Worker ${worker.process.pid} exited gracefully`,\n                    );\n                    subscriber.complete();\n                  } else {\n                    console.error(\n                      `[Primary] ${formatTime(Date.now())} Worker ${\n                        worker.process.pid\n                      } exited with code ${code} and signal ${signal}`,\n                    );\n                    subscriber.error(\n                      new Error(`Worker ${worker.process.pid} exited with code ${code} and signal ${signal}`),\n                    );\n                  }\n                });\n                return () => {\n                  worker.kill();\n                  console.info(`[Primary] ${formatTime(Date.now())} Worker ${worker.process.pid} killed`);\n                };\n              }),\n          ).pipe(\n            //\n            retry({ delay: 1000 }),\n            repeat({ delay: 1000 }), // 重试间隔为 1 秒\n          ),\n        (a, b) => a.secret.updated_at === b.secret.updated_at,\n      ),\n    )\n    .subscribe();\n} else {\n  console.info(`${formatTime(Date.now())} This is the worker process`, process.pid, process.env);\n  import('./index');\n}\n"]}

package/dist/extension.js

@@ -0,0 +1,89 @@
+import { makeDockerEnvs, makeK8sEnvs } from '@yuants/extension';
+export default (context) => {
+    context.registerDeployProvider({
+        make_json_schema: () => ({
+            type: 'object',
+            properties: {
+                env: {
+                    type: 'object',
+                    required: ['HOST_URL'],
+                    properties: {
+                        //
+                        PUBLIC_ONLY: { type: 'boolean' },
+                        HOST_URL: { type: 'string' },
+                        TERMINAL_ID: { type: 'string' },
+                        ENCRYPTION_KEY_BASE58: { type: 'string' },
+                    },
+                },
+            },
+        }),
+        make_docker_compose_file: async (ctx, envCtx) => {
+            var _a;
+            return {
+                [`okx-${ctx.env.ACCESS_KEY}`.replace(/\s/g, '')]: {
+                    image: `ghcr.io/no-trade-no-life/vendor-okx:${(_a = ctx.version) !== null && _a !== void 0 ? _a : envCtx.version}`,
+                    restart: 'always',
+                    environment: makeDockerEnvs(ctx.env),
+                },
+            };
+        },
+        make_k8s_resource_objects: async (ctx, envCtx) => {
+            var _a, _b, _c, _d, _e, _f, _g, _h, _j, _k, _l;
+            return {
+                deployment: {
+                    apiVersion: 'apps/v1',
+                    kind: 'Deployment',
+                    metadata: {
+                        labels: {
+                            'y.ntnl.io/version': (_a = ctx.version) !== null && _a !== void 0 ? _a : envCtx.version,
+                            'y.ntnl.io/manifest_key': ctx.key,
+                            'y.ntnl.io/component': 'okx',
+                        },
+                        name: `okx-${ctx.key}`.replace(/\s/g, '').toLocaleLowerCase(),
+                        namespace: 'yuan',
+                    },
+                    spec: {
+                        replicas: 1,
+                        selector: {
+                            matchLabels: {
+                                'y.ntnl.io/component': 'okx',
+                                'y.ntnl.io/manifest_key': ctx.key,
+                            },
+                        },
+                        template: {
+                            metadata: {
+                                labels: {
+                                    'y.ntnl.io/version': (_b = ctx.version) !== null && _b !== void 0 ? _b : envCtx.version,
+                                    'y.ntnl.io/manifest_key': ctx.key,
+                                    'y.ntnl.io/component': 'okx',
+                                },
+                            },
+                            spec: {
+                                containers: [
+                                    {
+                                        env: makeK8sEnvs(ctx.env),
+                                        image: `ghcr.io/no-trade-no-life/vendor-okx:${(_c = ctx.version) !== null && _c !== void 0 ? _c : envCtx.version}`,
+                                        imagePullPolicy: 'IfNotPresent',
+                                        name: 'okx',
+                                        resources: {
+                                            limits: {
+                                                cpu: (_e = (_d = ctx.cpu) === null || _d === void 0 ? void 0 : _d.max) !== null && _e !== void 0 ? _e : '500m',
+                                                memory: (_g = (_f = ctx.memory) === null || _f === void 0 ? void 0 : _f.max) !== null && _g !== void 0 ? _g : '256Mi',
+                                            },
+                                            requests: {
+                                                cpu: (_j = (_h = ctx.cpu) === null || _h === void 0 ? void 0 : _h.min) !== null && _j !== void 0 ? _j : '100m',
+                                                memory: (_l = (_k = ctx.memory) === null || _k === void 0 ? void 0 : _k.min) !== null && _l !== void 0 ? _l : '128Mi',
+                                            },
+                                        },
+                                    },
+                                ],
+                                hostname: 'okx',
+                            },
+                        },
+                    },
+                },
+            };
+        },
+    });
+};
+//# sourceMappingURL=extension.js.map

package/dist/extension.js.map

@@ -0,0 +1 @@
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'500m',\n                        memory: ctx.memory?.max ?? '256Mi',\n                      },\n                      requests: {\n                        cpu: ctx.cpu?.min ?? '100m',\n                        memory: ctx.memory?.min ?? '128Mi',\n                      },\n                    },\n                  },\n                ],\n                hostname: 'okx',\n              },\n            },\n          },\n        },\n      };\n    },\n  });\n};\n"]}

package/dist/index.js

@@ -0,0 +1,7 @@
+import './interest_rate';
+import './legacy_index';
+import './ohlc';
+import './quote';
+import './account';
+import './order';
+//# sourceMappingURL=index.js.map

package/dist/index.js.map

@@ -0,0 +1 @@
+{"version":3,"file":"index.js","sourceRoot":"","sources":["../src/index.ts"],"names":[],"mappings":"AAAA,OAAO,iBAAiB,CAAC;AACzB,OAAO,gBAAgB,CAAC;AACxB,OAAO,QAAQ,CAAC;AAChB,OAAO,SAAS,CAAC;AACjB,OAAO,WAAW,CAAC;AACnB,OAAO,SAAS,CAAC","sourcesContent":["import './interest_rate';\nimport './legacy_index';\nimport './ohlc';\nimport './quote';\nimport './account';\nimport './order';\n"]}

package/dist/interest_rate.js

@@ -0,0 +1,133 @@
+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]); }
+};
+import { createSeriesProvider } from '@yuants/data-series';
+import { Terminal } from '@yuants/protocol';
+import { createSQLWriter } from '@yuants/sql';
+import { decodePath, encodePath, formatTime } from '@yuants/utils';
+import { firstValueFrom, map, mergeAll, timer } from 'rxjs';
+import { client } from './api';
+import { usdtSwapProducts$ } from './product';
+createSQLWriter(Terminal.fromNodeEnv(), {
+    data$: usdtSwapProducts$.pipe(mergeAll(), map((x) => ({
+        series_id: encodePath(x.datasource_id, x.product_id),
+        table_name: 'interest_rate',
+        cron_pattern: '0 * * * * *',
+        cron_timezone: 'UTC',
+        disabled: false,
+        replay_count: 0,
+    }))),
+    tableName: 'series_collecting_task',
+    writeInterval: 1000,
+    conflictKeys: ['series_id', 'table_name'],
+});
+createSeriesProvider(Terminal.fromNodeEnv(), {
+    tableName: 'interest_rate',
+    series_id_prefix_parts: ['OKX'],
+    reversed: true,
+    serviceOptions: { concurrent: 1 },
+    queryFn: function ({ series_id, started_at, ended_at }) {
+        return __asyncGenerator(this, arguments, function* () {
+            const start = started_at || 0;
+            const end = ended_at || Date.now();
+            const [datasource_id, product_id] = decodePath(series_id);
+            const [instType, instId] = decodePath(product_id);
+            if (instType === 'SWAP') {
+                let current_end = end;
+                while (true) {
+                    // 接口行为备注：向前翻页，时间降序，不含 after 当前时间点
+                    const res = yield __await(client.getFundingRateHistory({
+                        instId: instId,
+                        after: `${current_end}`,
+                    }));
+                    if (res.code !== '0') {
+                        throw `getFundingRateHistory failed: ${res.code} ${res.msg}`;
+                    }
+                    // 如果没有数据了，就退出
+                    if (res.data.length === 0) {
+                        break;
+                    }
+                    console.info(formatTime(Date.now()), 'getFundingRateHistory', JSON.stringify(res.data));
+                    const data = res.data.map((v) => ({
+                        series_id: series_id,
+                        product_id,
+                        datasource_id,
+                        created_at: formatTime(+v.fundingTime),
+                        long_rate: `${-v.fundingRate}`,
+                        short_rate: `${v.fundingRate}`,
+                        settlement_price: '',
+                    }));
+                    yield yield __await(data);
+                    current_end = +res.data[res.data.length - 1].fundingTime;
+                    if (current_end <= start) {
+                        break;
+                    }
+                    // for API rate limit
+                    yield __await(firstValueFrom(timer(1000)));
+                }
+            }
+            if (instType === 'MARGIN') {
+                // MARGIN/BTC-USDT
+                const [base, quote] = instId.split('-');
+                let current_end = end;
+                while (true) {
+                    const resBase = yield __await(client.getLendingRateHistory({ ccy: base, after: `${current_end}` }));
+                    const resQuote = yield __await(client.getLendingRateHistory({ ccy: quote, after: `${current_end}` }));
+                    if (resBase.code !== '0') {
+                        throw `getLendingRateHistory failed: ${resBase.code} ${resBase.msg}`;
+                    }
+                    if (resBase.data.length === 0) {
+                        break;
+                    }
+                    console.info(formatTime(Date.now()), 'getLendingRateHistory', JSON.stringify(resBase.data));
+                    if (resQuote.code !== '0') {
+                        throw `getLendingRateHistory failed: ${resQuote.code} ${resQuote.msg}`;
+                    }
+                    if (resQuote.data.length === 0) {
+                        break;
+                    }
+                    console.info(formatTime(Date.now()), 'getLendingRateHistory', JSON.stringify(resQuote.data));
+                    // 做多时，借入 quote 的资金，做空时，借入 base 的资金
+                    // 用 quote 的 rate 作为 long_rate，base 的 rate 作为 short_rate
+                    const mapTsToBaseRate = new Map();
+                    resBase.data.forEach((v) => {
+                        mapTsToBaseRate.set(v.ts, v.rate);
+                    });
+                    const data = [];
+                    resQuote.data.forEach((v) => {
+                        if (!mapTsToBaseRate.has(v.ts))
+                            return;
+                        const long_rate = +v.rate / 365 / 24; // 转换为小时利率
+                        const short_rate = +mapTsToBaseRate.get(v.ts) / 365 / 24; // 转换为小时利率
+                        data.push({
+                            series_id,
+                            product_id,
+                            datasource_id,
+                            created_at: formatTime(+v.ts),
+                            long_rate: `${-long_rate}`,
+                            short_rate: `${-short_rate}`,
+                            settlement_price: '',
+                        });
+                    });
+                    yield yield __await(data);
+                    current_end = new Date(data[data.length - 1].created_at).getTime();
+                    if (current_end <= start) {
+                        break;
+                    }
+                    // for API rate limit
+                    yield __await(firstValueFrom(timer(1000)));
+                }
+            }
+        });
+    },
+});
+//# sourceMappingURL=interest_rate.js.map

package/dist/interest_rate.js.map

@@ -0,0 +1 @@
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{ IInterestRate } from '@yuants/data-interest-rate';\nimport { createSeriesProvider, ISeriesCollectingTask } from '@yuants/data-series';\nimport { Terminal } from '@yuants/protocol';\nimport { createSQLWriter } from '@yuants/sql';\nimport { decodePath, encodePath, formatTime } from '@yuants/utils';\nimport { firstValueFrom, map, mergeAll, timer } from 'rxjs';\nimport { client } from './api';\nimport { usdtSwapProducts$ } from './product';\n\ncreateSQLWriter<ISeriesCollectingTask>(Terminal.fromNodeEnv(), {\n  data$: usdtSwapProducts$.pipe(\n    mergeAll(),\n    map(\n      (x): ISeriesCollectingTask => ({\n        series_id: encodePath(x.datasource_id, x.product_id),\n        table_name: 'interest_rate',\n        cron_pattern: '0 * * * * *', // 每小时执行一次\n        cron_timezone: 'UTC',\n        disabled: false,\n        replay_count: 0,\n      }),\n    ),\n  ),\n  tableName: 'series_collecting_task',\n  writeInterval: 1000,\n  conflictKeys: ['series_id', 'table_name'],\n});\n\ncreateSeriesProvider<IInterestRate>(Terminal.fromNodeEnv(), {\n  tableName: 'interest_rate',\n  series_id_prefix_parts: ['OKX'],\n  reversed: true,\n  serviceOptions: { concurrent: 1 },\n  queryFn: async function* ({ series_id, started_at, ended_at }) {\n    const start = started_at || 0;\n    const end = ended_at || Date.now();\n    const [datasource_id, product_id] = decodePath(series_id);\n    const [instType, instId] = decodePath(product_id);\n\n    if (instType === 'SWAP') {\n      let current_end = end;\n      while (true) {\n        // 接口行为备注：向前翻页，时间降序，不含 after 当前时间点\n        const res = await client.getFundingRateHistory({\n          instId: instId,\n          after: `${current_end}`,\n        });\n        if (res.code !== '0') {\n          throw `getFundingRateHistory failed: ${res.code} ${res.msg}`;\n        }\n        // 如果没有数据了，就退出\n        if (res.data.length === 0) {\n          break;\n        }\n        console.info(formatTime(Date.now()), 'getFundingRateHistory', JSON.stringify(res.data));\n        const data = res.data.map(\n          (v): IInterestRate => ({\n            series_id: series_id,\n            product_id,\n            datasource_id,\n            created_at: formatTime(+v.fundingTime),\n            long_rate: `${-v.fundingRate}`,\n            short_rate: `${v.fundingRate}`,\n            settlement_price: '',\n          }),\n        );\n        yield data;\n        current_end = +res.data[res.data.length - 1].fundingTime;\n        if (current_end <= start) {\n          break;\n        }\n        // for API rate limit\n        await firstValueFrom(timer(1000));\n      }\n    }\n\n    if (instType === 'MARGIN') {\n      // MARGIN/BTC-USDT\n      const [base, quote] = instId.split('-');\n      let current_end = end;\n      while (true) {\n        const resBase = await client.getLendingRateHistory({ ccy: base, after: `${current_end}` });\n        const resQuote = await client.getLendingRateHistory({ ccy: quote, after: `${current_end}` });\n\n        if (resBase.code !== '0') {\n          throw `getLendingRateHistory failed: ${resBase.code} ${resBase.msg}`;\n        }\n        if (resBase.data.length === 0) {\n          break;\n        }\n        console.info(formatTime(Date.now()), 'getLendingRateHistory', JSON.stringify(resBase.data));\n\n        if (resQuote.code !== '0') {\n          throw `getLendingRateHistory failed: ${resQuote.code} ${resQuote.msg}`;\n        }\n        if (resQuote.data.length === 0) {\n          break;\n        }\n        console.info(formatTime(Date.now()), 'getLendingRateHistory', JSON.stringify(resQuote.data));\n\n        // 做多时，借入 quote 的资金，做空时，借入 base 的资金\n        // 用 quote 的 rate 作为 long_rate，base 的 rate 作为 short_rate\n\n        const mapTsToBaseRate = new Map<string, string>();\n        resBase.data.forEach((v) => {\n          mapTsToBaseRate.set(v.ts, v.rate);\n        });\n\n        const data: IInterestRate[] = [];\n\n        resQuote.data.forEach((v) => {\n          if (!mapTsToBaseRate.has(v.ts)) return;\n          const long_rate = +v.rate / 365 / 24; // 转换为小时利率\n          const short_rate = +mapTsToBaseRate.get(v.ts)! / 365 / 24; // 转换为小时利率\n          data.push({\n            series_id,\n            product_id,\n            datasource_id,\n            created_at: formatTime(+v.ts),\n            long_rate: `${-long_rate}`,\n            short_rate: `${-short_rate}`,\n            settlement_price: '',\n          });\n        });\n\n        yield data;\n        current_end = new Date(data[data.length - 1].created_at).getTime();\n        if (current_end <= start) {\n          break;\n        }\n        // for API rate limit\n        await firstValueFrom(timer(1000));\n      }\n    }\n  },\n});\n"]}