@yuants/vendor-okx 0.16.9 → 0.17.1

package/dist/account.js

@@ -0,0 +1,198 @@
+import { addAccountMarket, publishAccountInfo, } from '@yuants/data-account';
+import { Terminal } from '@yuants/protocol';
+import { encodePath } from '@yuants/utils';
+import { combineLatest, defer, filter, first, map, repeat, retry, shareReplay, withLatestFrom } from 'rxjs';
+import { client } from './api';
+import { mapProductIdToMarginProduct$, mapProductIdToUsdtSwapProduct$ } from './product';
+const terminal = Terminal.fromNodeEnv();
+export const accountPosition$ = defer(() => client.getAccountPositions({})).pipe(repeat({ delay: 5000 }), retry({ delay: 5000 }), shareReplay(1));
+export const accountConfig$ = defer(() => client.getAccountConfig()).pipe(repeat({ delay: 10000 }), retry({ delay: 10000 }), shareReplay(1));
+const subAccountUids$ = defer(() => client.getSubAccountList()).pipe(repeat({ delay: 10000 }), retry({ delay: 10000 }), shareReplay(1));
+export const accountUid$ = accountConfig$.pipe(map((x) => x.data[0].uid), filter((x) => !!x), shareReplay(1));
+const accountBalance$ = defer(() => client.getAccountBalance({})).pipe(repeat({ delay: 1000 }), retry({ delay: 5000 }), shareReplay(1));
+const accountUsdtBalance$ = accountBalance$.pipe(map((x) => { var _a; return (_a = x.data[0]) === null || _a === void 0 ? void 0 : _a.details.find((x) => x.ccy === 'USDT'); }), filter((x) => !!x), shareReplay(1));
+const pendingOrders$ = defer(() => client.getTradeOrdersPending({})).pipe(repeat({ delay: 1000 }), retry({ delay: 5000 }), shareReplay(1));
+const marketIndexTickerUSDT$ = defer(() => client.getMarketIndexTicker({ quoteCcy: 'USDT' })).pipe(map((x) => {
+    const mapInstIdToPrice = new Map();
+    x.data.forEach((inst) => mapInstIdToPrice.set(inst.instId, Number(inst.idxPx)));
+    return mapInstIdToPrice;
+}), repeat({ delay: 1000 }), retry({ delay: 5000 }), shareReplay(1));
+export const tradingAccountInfo$ = accountPosition$.pipe(withLatestFrom(accountUid$, accountBalance$, pendingOrders$, mapProductIdToUsdtSwapProduct$, mapProductIdToMarginProduct$, marketIndexTickerUSDT$), map(([positionsApi, uid, balanceApi, orders, mapProductIdToUsdtSwapProduct, mapProductIdToMarginProduct, marketIndexTickerUSDT,]) => {
+    var _a;
+    const account_id = `okx/${uid}/trading`;
+    const money = { currency: 'USDT', equity: 0, balance: 0, used: 0, free: 0, profit: 0 };
+    const positions = [];
+    (_a = balanceApi.data[0]) === null || _a === void 0 ? void 0 : _a.details.forEach((detail) => {
+        var _a, _b, _c, _d, _e;
+        if (detail.ccy === 'USDT') {
+            const balance = +((_a = detail.cashBal) !== null && _a !== void 0 ? _a : 0);
+            const free = Math.min(balance, // free should no more than balance if there is much profits
+            +((_b = detail.availEq) !== null && _b !== void 0 ? _b : 0));
+            const equity = +((_c = detail.eq) !== null && _c !== void 0 ? _c : 0);
+            const used = equity - free;
+            const profit = equity - balance;
+            money.equity += equity;
+            money.balance += balance;
+            money.used += used;
+            money.free += free;
+            money.profit += profit;
+        }
+        else {
+            const volume = +((_d = detail.cashBal) !== null && _d !== void 0 ? _d : 0);
+            const free_volume = Math.min(volume, // free should no more than balance if there is much profits
+            +((_e = detail.availEq) !== null && _e !== void 0 ? _e : 0));
+            const closable_price = marketIndexTickerUSDT.get(detail.ccy + '-USDT') || 0;
+            const delta_equity = volume * closable_price || 0;
+            const delta_profit = +detail.totalPnl || 0;
+            const delta_balance = delta_equity - delta_profit;
+            const delta_used = delta_equity; // all used
+            const delta_free = 0;
+            const product_id = encodePath('SPOT', `${detail.ccy}-USDT`);
+            positions.push({
+                position_id: product_id,
+                datasource_id: 'OKX',
+                product_id: product_id,
+                direction: 'LONG',
+                volume: volume,
+                free_volume: free_volume,
+                position_price: +detail.accAvgPx,
+                floating_profit: delta_profit,
+                closable_price: closable_price,
+                valuation: delta_equity,
+            });
+            money.equity += delta_equity;
+            money.profit += delta_profit;
+            money.balance += delta_balance;
+            money.used += delta_used;
+            money.free += delta_free;
+        }
+    });
+    positionsApi.data.forEach((x) => {
+        var _a, _b, _c, _d;
+        const direction = x.posSide === 'long' ? 'LONG' : x.posSide === 'short' ? 'SHORT' : +x.pos > 0 ? 'LONG' : 'SHORT';
+        const volume = Math.abs(+x.pos);
+        const product_id = encodePath(x.instType, x.instId);
+        const closable_price = +x.last;
+        const valuation = x.instType === 'SWAP'
+            ? ((_b = (_a = mapProductIdToUsdtSwapProduct.get(product_id)) === null || _a === void 0 ? void 0 : _a.value_scale) !== null && _b !== void 0 ? _b : 1) * volume * closable_price
+            : x.instType === 'MARGIN'
+                ? ((_d = (_c = mapProductIdToMarginProduct.get(product_id)) === null || _c === void 0 ? void 0 : _c.value_scale) !== null && _d !== void 0 ? _d : 1) * volume * closable_price
+                : 0;
+        positions.push({
+            position_id: x.posId,
+            datasource_id: 'OKX',
+            product_id,
+            direction,
+            volume: volume,
+            free_volume: +x.availPos,
+            closable_price,
+            position_price: +x.avgPx,
+            floating_profit: +x.upl,
+            valuation,
+        });
+    });
+    return {
+        account_id: account_id,
+        updated_at: Date.now(),
+        money: money,
+        currencies: [money],
+        positions: positions,
+        orders: orders.data.map((x) => {
+            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';
+            return {
+                order_id: x.ordId,
+                account_id,
+                product_id: encodePath(x.instType, x.instId),
+                submit_at: +x.cTime,
+                filled_at: +x.fillTime,
+                order_type,
+                order_direction,
+                volume: +x.sz,
+                traded_volume: +x.accFillSz,
+                price: +x.px,
+                traded_price: +x.avgPx,
+            };
+        }),
+    };
+}), shareReplay(1));
+const sub = defer(() => accountUid$)
+    .pipe(first())
+    .subscribe((uid) => {
+    publishAccountInfo(terminal, `okx/${uid}/trading`, tradingAccountInfo$);
+    addAccountMarket(terminal, { account_id: `okx/${uid}/trading`, market_id: 'OKX' });
+    publishAccountInfo(terminal, `okx/${uid}/funding/USDT`, fundingAccountInfo$);
+    publishAccountInfo(terminal, `okx/${uid}/earning/USDT`, earningAccountInfo$);
+});
+defer(() => terminal.dispose$).subscribe(() => sub.unsubscribe());
+const assetBalance$ = defer(() => client.getAssetBalances({})).pipe(repeat({ delay: 1000 }), retry({ delay: 5000 }), shareReplay(1));
+const fundingAccountInfo$ = combineLatest([accountUid$, assetBalance$, marketIndexTickerUSDT$]).pipe(map(([uid, assetBalances, marketIndexTickerUSDT]) => {
+    const money = { currency: 'USDT', equity: 0, balance: 0, used: 0, free: 0, profit: 0 };
+    const positions = [];
+    assetBalances.data.forEach((x) => {
+        if (x.ccy === 'USDT') {
+            money.equity += +x.bal;
+            money.balance += +x.bal;
+            money.free += +x.bal;
+        }
+        else {
+            const price = marketIndexTickerUSDT.get(x.ccy + '-USDT') || 0;
+            const productId = encodePath('SPOT', `${x.ccy}-USDT`);
+            const valuation = price * +x.bal || 0;
+            positions.push({
+                datasource_id: 'OKX',
+                position_id: productId,
+                product_id: productId,
+                direction: 'LONG',
+                volume: +x.bal,
+                free_volume: +x.bal,
+                position_price: price,
+                floating_profit: 0,
+                closable_price: price,
+                valuation: valuation,
+            });
+            money.equity += valuation;
+            money.balance += valuation;
+            money.used += valuation;
+        }
+    });
+    return {
+        account_id: `okx/${uid}/funding/USDT`,
+        updated_at: Date.now(),
+        money: money,
+        currencies: [money],
+        positions: positions,
+        orders: [],
+    };
+}), shareReplay(1));
+const savingBalance$ = defer(() => client.getFinanceSavingsBalance({})).pipe(repeat({ delay: 5000 }), retry({ delay: 5000 }), shareReplay(1));
+const earningAccountInfo$ = combineLatest([accountUid$, savingBalance$]).pipe(map(([uid, offers]) => {
+    const equity = offers.data.filter((x) => x.ccy === 'USDT').reduce((acc, x) => acc + +x.amt, 0);
+    const balance = equity;
+    const free = equity;
+    const used = 0;
+    const profit = 0;
+    const money = {
+        currency: 'USDT',
+        equity,
+        balance,
+        used,
+        free,
+        profit,
+    };
+    return {
+        account_id: `okx/${uid}/earning/USDT`,
+        updated_at: Date.now(),
+        money: money,
+        currencies: [money],
+        positions: [],
+        orders: [],
+    };
+}), shareReplay(1));
+//# sourceMappingURL=account.js.map

package/dist/account.js.map

@@ -0,0 +1 @@
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{\n  addAccountMarket,\n  IAccountInfo,\n  IAccountMoney,\n  IPosition,\n  publishAccountInfo,\n} from '@yuants/data-account';\nimport { IOrder } from '@yuants/data-order';\nimport { Terminal } from '@yuants/protocol';\nimport { encodePath } from '@yuants/utils';\nimport { combineLatest, defer, filter, first, map, repeat, retry, shareReplay, withLatestFrom } from 'rxjs';\nimport { client } from './api';\nimport { mapProductIdToMarginProduct$, mapProductIdToUsdtSwapProduct$ } from './product';\n\nconst terminal = Terminal.fromNodeEnv();\n\nexport const accountPosition$ = defer(() => client.getAccountPositions({})).pipe(\n  repeat({ delay: 5000 }),\n  retry({ delay: 5000 }),\n  shareReplay(1),\n);\n\nexport const accountConfig$ = defer(() => client.getAccountConfig()).pipe(\n  repeat({ delay: 10_000 }),\n  retry({ delay: 10_000 }),\n  shareReplay(1),\n);\n\nconst subAccountUids$ = defer(() => client.getSubAccountList()).pipe(\n  repeat({ delay: 10_000 }),\n  retry({ delay: 10_000 }),\n  shareReplay(1),\n);\n\nexport const accountUid$ = accountConfig$.pipe(\n  map((x) => x.data[0].uid),\n  filter((x) => !!x),\n  shareReplay(1),\n);\n\nconst accountBalance$ = defer(() => client.getAccountBalance({})).pipe(\n  repeat({ delay: 1000 }),\n  retry({ delay: 5000 }),\n  shareReplay(1),\n);\n\nconst accountUsdtBalance$ = accountBalance$.pipe(\n  map((x) => x.data[0]?.details.find((x) => x.ccy === 'USDT')),\n  filter((x): x is Exclude<typeof x, undefined> => !!x),\n  shareReplay(1),\n);\n\nconst pendingOrders$ = defer(() => client.getTradeOrdersPending({})).pipe(\n  repeat({ delay: 1000 }),\n  retry({ delay: 5000 }),\n  shareReplay(1),\n);\n\nconst marketIndexTickerUSDT$ = defer(() => client.getMarketIndexTicker({ quoteCcy: 'USDT' })).pipe(\n  map((x) => {\n    const mapInstIdToPrice = new Map<string, number>();\n    x.data.forEach((inst) => mapInstIdToPrice.set(inst.instId, Number(inst.idxPx)));\n    return mapInstIdToPrice;\n  }),\n  repeat({ delay: 1000 }),\n  retry({ delay: 5000 }),\n  shareReplay(1),\n);\n\nexport const tradingAccountInfo$ = accountPosition$.pipe(\n  withLatestFrom(\n    accountUid$,\n    accountBalance$,\n    pendingOrders$,\n    mapProductIdToUsdtSwapProduct$,\n    mapProductIdToMarginProduct$,\n    marketIndexTickerUSDT$,\n  ),\n  map(\n    ([\n      positionsApi,\n      uid,\n      balanceApi,\n      orders,\n      mapProductIdToUsdtSwapProduct,\n      mapProductIdToMarginProduct,\n      marketIndexTickerUSDT,\n    ]): IAccountInfo => {\n      const account_id = `okx/${uid}/trading`;\n      const money: IAccountMoney = { currency: 'USDT', equity: 0, balance: 0, used: 0, free: 0, profit: 0 };\n      const positions: IPosition[] = [];\n\n      balanceApi.data[0]?.details.forEach((detail) => {\n        if (detail.ccy === 'USDT') {\n          const balance = +(detail.cashBal ?? 0);\n          const free = Math.min(\n            balance, // free should no more than balance if there is much profits\n            +(detail.availEq ?? 0),\n          );\n          const equity = +(detail.eq ?? 0);\n          const used = equity - free;\n          const profit = equity - balance;\n          money.equity += equity;\n          money.balance += balance;\n          money.used += used;\n          money.free += free;\n          money.profit += profit;\n        } else {\n          const volume = +(detail.cashBal ?? 0);\n          const free_volume = Math.min(\n            volume, // free should no more than balance if there is much profits\n            +(detail.availEq ?? 0),\n          );\n          const closable_price = marketIndexTickerUSDT.get(detail.ccy + '-USDT') || 0;\n          const delta_equity = volume * closable_price || 0;\n          const delta_profit = +detail.totalPnl || 0;\n          const delta_balance = delta_equity - delta_profit;\n          const delta_used = delta_equity; // all used\n          const delta_free = 0;\n\n          const product_id = encodePath('SPOT', `${detail.ccy}-USDT`);\n          positions.push({\n            position_id: product_id,\n            datasource_id: 'OKX',\n            product_id: product_id,\n            direction: 'LONG',\n            volume: volume,\n            free_volume: free_volume,\n            position_price: +detail.accAvgPx,\n            floating_profit: delta_profit,\n            closable_price: closable_price,\n            valuation: delta_equity,\n          });\n\n          money.equity += delta_equity;\n          money.profit += delta_profit;\n          money.balance += delta_balance;\n          money.used += delta_used;\n          money.free += delta_free;\n        }\n      });\n      positionsApi.data.forEach((x) => {\n        const direction =\n          x.posSide === 'long' ? 'LONG' : x.posSide === 'short' ? 'SHORT' : +x.pos > 0 ? 'LONG' : 'SHORT';\n        const volume = Math.abs(+x.pos);\n        const product_id = encodePath(x.instType, x.instId);\n        const closable_price = +x.last;\n        const valuation =\n          x.instType === 'SWAP'\n            ? (mapProductIdToUsdtSwapProduct.get(product_id)?.value_scale ?? 1) * volume * closable_price\n            : x.instType === 'MARGIN'\n            ? (mapProductIdToMarginProduct.get(product_id)?.value_scale ?? 1) * volume * closable_price\n            : 0;\n\n        positions.push({\n          position_id: x.posId,\n          datasource_id: 'OKX',\n          product_id,\n          direction,\n          volume: volume,\n          free_volume: +x.availPos,\n          closable_price,\n          position_price: +x.avgPx,\n          floating_profit: +x.upl,\n          valuation,\n        });\n      });\n      return {\n        account_id: account_id,\n        updated_at: Date.now(),\n        money: money,\n        currencies: [money],\n        positions: positions,\n        orders: orders.data.map((x): IOrder => {\n          const order_type = x.ordType === 'market' ? 'MARKET' : x.ordType === 'limit' ? 'LIMIT' : 'UNKNOWN';\n\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          return {\n            order_id: x.ordId,\n            account_id,\n            product_id: encodePath(x.instType, x.instId),\n            submit_at: +x.cTime,\n            filled_at: +x.fillTime,\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          };\n        }),\n      };\n    },\n  ),\n  shareReplay(1),\n);\n\nconst sub = defer(() => accountUid$)\n  .pipe(first())\n  .subscribe((uid) => {\n    publishAccountInfo(terminal, `okx/${uid}/trading`, tradingAccountInfo$);\n    addAccountMarket(terminal, { account_id: `okx/${uid}/trading`, market_id: 'OKX' });\n    publishAccountInfo(terminal, `okx/${uid}/funding/USDT`, fundingAccountInfo$);\n    publishAccountInfo(terminal, `okx/${uid}/earning/USDT`, earningAccountInfo$);\n  });\ndefer(() => terminal.dispose$).subscribe(() => sub.unsubscribe());\n\nconst assetBalance$ = defer(() => client.getAssetBalances({})).pipe(\n  repeat({ delay: 1000 }),\n  retry({ delay: 5000 }),\n  shareReplay(1),\n);\n\nconst fundingAccountInfo$ = combineLatest([accountUid$, assetBalance$, marketIndexTickerUSDT$]).pipe(\n  map(([uid, assetBalances, marketIndexTickerUSDT]): IAccountInfo => {\n    const money: IAccountMoney = { currency: 'USDT', equity: 0, balance: 0, used: 0, free: 0, profit: 0 };\n    const positions: IPosition[] = [];\n\n    assetBalances.data.forEach((x) => {\n      if (x.ccy === 'USDT') {\n        money.equity += +x.bal;\n        money.balance += +x.bal;\n        money.free += +x.bal;\n      } else {\n        const price = marketIndexTickerUSDT.get(x.ccy + '-USDT') || 0;\n        const productId = encodePath('SPOT', `${x.ccy}-USDT`);\n        const valuation = price * +x.bal || 0;\n        positions.push({\n          datasource_id: 'OKX',\n          position_id: productId,\n          product_id: productId,\n          direction: 'LONG',\n          volume: +x.bal,\n          free_volume: +x.bal,\n          position_price: price,\n          floating_profit: 0,\n          closable_price: price,\n          valuation: valuation,\n        });\n\n        money.equity += valuation;\n        money.balance += valuation;\n        money.used += valuation;\n      }\n    });\n\n    return {\n      account_id: `okx/${uid}/funding/USDT`,\n      updated_at: Date.now(),\n      money: money,\n      currencies: [money],\n      positions: positions,\n      orders: [],\n    };\n  }),\n  shareReplay(1),\n);\n\nconst savingBalance$ = defer(() => client.getFinanceSavingsBalance({})).pipe(\n  repeat({ delay: 5000 }),\n  retry({ delay: 5000 }),\n  shareReplay(1),\n);\n\nconst earningAccountInfo$ = combineLatest([accountUid$, savingBalance$]).pipe(\n  map(([uid, offers]): IAccountInfo => {\n    const equity = offers.data.filter((x) => x.ccy === 'USDT').reduce((acc, x) => acc + +x.amt, 0);\n    const balance = equity;\n    const free = equity;\n    const used = 0;\n    const profit = 0;\n\n    const money: IAccountMoney = {\n      currency: 'USDT',\n      equity,\n      balance,\n      used,\n      free,\n      profit,\n    };\n    return {\n      account_id: `okx/${uid}/earning/USDT`,\n      updated_at: Date.now(),\n      money: money,\n      currencies: [money],\n      positions: [],\n      orders: [],\n    };\n  }),\n  shareReplay(1),\n);\n"]}