@yuants/vendor-okx 0.16.9 → 0.17.1

package/dist/logger.js

@@ -0,0 +1,91 @@
+import cluster from '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.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
+export const logger = new ClusterLogger();
+// 猛踩油门
+export const overrideConsole = () => {
+    if (!cluster.isPrimary) {
+        const originalConsole = {
+            log: console.log,
+            info: console.info,
+            warn: console.warn,
+            error: console.error,
+        };
+        console.log = (...args) => logger.info(args.join(' '));
+        console.info = (...args) => logger.info(args.join(' '));
+        console.warn = (...args) => logger.warn(args.join(' '));
+        console.error = (...args) => 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
+};
+//# sourceMappingURL=logger.js.map

package/dist/logger.js.map

@@ -0,0 +1 @@
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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/dist/ohlc.js

@@ -0,0 +1,171 @@
+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 { convertDurationToOffset, decodePath, encodePath, formatTime } from '@yuants/utils';
+import { firstValueFrom, Observable, timer } from 'rxjs';
+import { client } from './api';
+import { okxBusinessWsClient } from './websocket';
+import { writeToSQL } from '@yuants/sql';
+// 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',
+};
+const DURATION_TO_OKX_CANDLE_TYPE = {
+    PT1M: 'mark-price-candle1m',
+    PT3M: 'mark-price-candle3m',
+    PT5M: 'mark-price-candle5m',
+    PT15M: 'mark-price-candle15m',
+    PT30M: 'mark-price-candle30m',
+    PT1H: 'mark-price-candle1H',
+    PT2H: 'mark-price-candle2H',
+    PT4H: 'mark-price-candle4H',
+    PT6H: 'mark-price-candle6H',
+    PT12H: 'mark-price-candle12H',
+    P1D: 'mark-price-candle1D',
+    P1W: 'mark-price-candle1W',
+    P1M: 'mark-price-candle1M',
+};
+createSeriesProvider(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] = decodePath(series_id);
+            const offset = 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] = decodePath(product_id);
+            if (!instId) {
+                throw `invalid product_id: ${product_id}`;
+            }
+            const bar = DURATION_TO_OKX_BAR_TYPE[duration];
+            if (!bar) {
+                throw `unsupported duration: ${duration}`;
+            }
+            let currentStartTime = ended_at;
+            while (true) {
+                // 向前翻页，时间降序，不含 after 时间点
+                const res = yield __await(client.getHistoryCandles({
+                    instId,
+                    bar,
+                    after: `${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: formatTime(+x[0]),
+                    closed_at: 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(firstValueFrom(timer(1000)));
+            }
+        });
+    },
+});
+Terminal.fromNodeEnv().channel.publishChannel('ohlc', { pattern: `^OKX/` }, (series_id) => {
+    // const [] = decodePath(args)
+    const [datasource_id, product_id, duration] = decodePath(series_id);
+    const [, instId] = decodePath(product_id);
+    const offset = 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 candleType = DURATION_TO_OKX_CANDLE_TYPE[duration];
+    console.info(formatTime(Date.now()), `subscribe`, series_id);
+    return new Observable((subscriber) => {
+        console.info(formatTime(Date.now()), `subscribe`, candleType, instId);
+        okxBusinessWsClient.subscribe(candleType, instId, async (data) => {
+            const created_at = Number(data[0]);
+            const closed_at = created_at + offset;
+            const open = data[1];
+            const high = data[2];
+            const low = data[3];
+            const close = data[4];
+            if (isNaN(closed_at)) {
+                return;
+            }
+            console.info(formatTime(Date.now()), `insertData`, data);
+            const cancelData = {
+                closed_at: formatTime(closed_at),
+                created_at: formatTime(created_at),
+                open,
+                high,
+                low,
+                close,
+                series_id,
+                datasource_id,
+                duration,
+                product_id,
+                volume: '0',
+                open_interest: '0',
+            };
+            subscriber.next(cancelData);
+        });
+        return () => {
+            okxBusinessWsClient.unsubscribe(candleType, instId);
+        };
+    }).pipe(writeToSQL({
+        tableName: 'ohlc',
+        conflictKeys: ['created_at', 'series_id'],
+        writeInterval: 1000,
+        terminal: Terminal.fromNodeEnv(),
+        keyFn: (x) => encodePath(x.created_at, x.series_id),
+    }));
+});
+//# sourceMappingURL=ohlc.js.map

package/dist/ohlc.js.map

@@ -0,0 +1 @@
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{ IOHLC } from '@yuants/data-ohlc';\nimport { createSeriesProvider } from '@yuants/data-series';\nimport { Terminal } from '@yuants/protocol';\nimport { convertDurationToOffset, decodePath, encodePath, formatTime } from '@yuants/utils';\nimport { firstValueFrom, Observable, of, timer } from 'rxjs';\nimport { client } from './api';\nimport { okxBusinessWsClient } from './websocket';\nimport { buildInsertManyIntoTableSQL, requestSQL, writeToSQL } from '@yuants/sql';\n\n// 时间粒度，默认值1m\n// 如 [1m/3m/5m/15m/30m/1H/2H/4H]\n// 香港时间开盘价k线：[6H/12H/1D/1W/1M]\n// UTC时间开盘价k线：[6Hutc/12Hutc/1Dutc/1Wutc/1Mutc]\n\nconst DURATION_TO_OKX_BAR_TYPE: Record<string, string> = {\n  PT1M: '1m',\n  PT3M: '3m',\n  PT5M: '5m',\n  PT15M: '15m',\n  PT30M: '30m',\n\n  PT1H: '1H',\n  PT2H: '2H',\n  PT4H: '4H',\n  PT6H: '6H',\n  PT12H: '12H',\n\n  P1D: '1D',\n  P1W: '1W',\n  P1M: '1M',\n};\n\nconst DURATION_TO_OKX_CANDLE_TYPE: Record<string, string> = {\n  PT1M: 'mark-price-candle1m',\n  PT3M: 'mark-price-candle3m',\n  PT5M: 'mark-price-candle5m',\n  PT15M: 'mark-price-candle15m',\n  PT30M: 'mark-price-candle30m',\n\n  PT1H: 'mark-price-candle1H',\n  PT2H: 'mark-price-candle2H',\n  PT4H: 'mark-price-candle4H',\n  PT6H: 'mark-price-candle6H',\n  PT12H: 'mark-price-candle12H',\n\n  P1D: 'mark-price-candle1D',\n  P1W: 'mark-price-candle1W',\n  P1M: 'mark-price-candle1M',\n};\n\ncreateSeriesProvider<IOHLC>(Terminal.fromNodeEnv(), {\n  tableName: 'ohlc',\n  series_id_prefix_parts: ['OKX'],\n  reversed: true,\n  serviceOptions: { concurrent: 1 },\n  queryFn: async function* ({ series_id, ended_at }) {\n    const [datasource_id, product_id, duration] = decodePath(series_id);\n    const offset = convertDurationToOffset(duration);\n    if (!datasource_id) {\n      throw 'datasource_id is required';\n    }\n    if (!product_id) {\n      throw 'product_id is required';\n    }\n    if (!offset) {\n      throw 'duration is invalid';\n    }\n    const [instType, instId] = decodePath(product_id);\n    if (!instId) {\n      throw `invalid product_id: ${product_id}`;\n    }\n\n    const bar = DURATION_TO_OKX_BAR_TYPE[duration];\n    if (!bar) {\n      throw `unsupported duration: ${duration}`;\n    }\n\n    let currentStartTime = ended_at;\n\n    while (true) {\n      // 向前翻页，时间降序，不含 after 时间点\n      const res = await client.getHistoryCandles({\n        instId,\n        bar,\n        after: `${currentStartTime}`,\n        limit: '100',\n      });\n      if (res.code !== '0') {\n        throw `API failed: ${res.code} ${res.msg}`;\n      }\n      if (res.data.length === 0) break;\n      currentStartTime = +res.data[res.data.length - 1][0];\n      const data = res.data.map(\n        (x): IOHLC => ({\n          series_id,\n          datasource_id,\n          product_id,\n          duration,\n          created_at: formatTime(+x[0]),\n          closed_at: formatTime(+x[0] + offset),\n          open: x[1],\n          high: x[2],\n          low: x[3],\n          close: x[4],\n          volume: x[5],\n          open_interest: '0',\n        }),\n      );\n      yield data;\n      await firstValueFrom(timer(1000));\n    }\n  },\n});\n\nTerminal.fromNodeEnv().channel.publishChannel('ohlc', { pattern: `^OKX/` }, (series_id) => {\n  // const [] = decodePath(args)\n  const [datasource_id, product_id, duration] = decodePath(series_id);\n  const [, instId] = decodePath(product_id);\n  const offset = convertDurationToOffset(duration);\n  if (!datasource_id) {\n    throw 'datasource_id is required';\n  }\n  if (!product_id) {\n    throw 'product_id is required';\n  }\n  if (!offset) {\n    throw 'duration is invalid';\n  }\n  const candleType = DURATION_TO_OKX_CANDLE_TYPE[duration];\n  console.info(formatTime(Date.now()), `subscribe`, series_id);\n  return new Observable<IOHLC>((subscriber) => {\n    console.info(formatTime(Date.now()), `subscribe`, candleType, instId);\n    okxBusinessWsClient.subscribe(candleType, instId, async (data: string[]) => {\n      const created_at = Number(data[0]);\n      const closed_at = created_at + offset;\n      const open = data[1];\n      const high = data[2];\n      const low = data[3];\n      const close = data[4];\n      if (isNaN(closed_at)) {\n        return;\n      }\n      console.info(formatTime(Date.now()), `insertData`, data);\n      const cancelData: IOHLC = {\n        closed_at: formatTime(closed_at),\n        created_at: formatTime(created_at),\n        open,\n        high,\n        low,\n        close,\n        series_id,\n        datasource_id,\n        duration,\n        product_id,\n        volume: '0',\n        open_interest: '0',\n      };\n      subscriber.next(cancelData);\n    });\n    return () => {\n      okxBusinessWsClient.unsubscribe(candleType, instId);\n    };\n  }).pipe(\n    writeToSQL({\n      tableName: 'ohlc',\n      conflictKeys: ['created_at', 'series_id'],\n      writeInterval: 1000,\n      terminal: Terminal.fromNodeEnv(),\n      keyFn: (x) => encodePath(x.created_at, x.series_id),\n    }),\n  );\n});\n"]}

package/dist/order.js

@@ -0,0 +1,96 @@
+import { Terminal } from '@yuants/protocol';
+import { writeToSQL } from '@yuants/sql';
+import { encodePath, formatTime } from '@yuants/utils';
+import { defer, firstValueFrom, from, map, merge, mergeMap, repeat, retry, shareReplay, Subject, tap, } from 'rxjs';
+import { accountUid$ } from './account';
+import { client } from './api';
+export const order$ = new Subject();
+order$
+    .pipe(
+//
+// mergeMap((x) => x),
+writeToSQL({
+    terminal: Terminal.fromNodeEnv(),
+    tableName: '"order"',
+    writeInterval: 1000,
+    keyFn: (order) => 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: encodePath(x.instType, x.instId),
+        submit_at: +x.cTime,
+        filled_at: +x.fillTime,
+        created_at: formatTime(+x.cTime),
+        updated_at: 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 firstValueFrom(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 = defer(() => client.getTradeOrdersHistory({ instType: 'SWAP' })).pipe(repeat({ delay: 1000 }), retry({ delay: 1000 }), shareReplay(1));
+    const swapPendingOrders = defer(() => client.getTradeOrdersPending({ instType: 'SWAP' })).pipe(repeat({ delay: 1000 }), retry({ delay: 1000 }), shareReplay(1));
+    const ordersFromHistoryOrder$ = swapHistoryOrders.pipe(
+    //
+    mergeMap((x) => from(x.data || []).pipe(
+    //
+    map((x) => makeOrder(x, TRADING_ACCOUNT_ID)))));
+    const ordersFromPendingOrder$ = swapPendingOrders.pipe(
+    //
+    mergeMap((x) => from(x.data || []).pipe(
+    //
+    map((x) => makeOrder(x, TRADING_ACCOUNT_ID)))));
+    merge(ordersFromHistoryOrder$, ordersFromPendingOrder$)
+        .pipe(
+    //
+    tap((x) => {
+        order$.next(x);
+    }))
+        .subscribe();
+})();
+//# sourceMappingURL=order.js.map

package/dist/order.js.map

@@ -0,0 +1 @@
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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/dist/product.js

@@ -0,0 +1,85 @@
+import { encodePath } from '@yuants/utils';
+import { Terminal } from '@yuants/protocol';
+import { createSQLWriter } from '@yuants/sql';
+import { defer, filter, from, map, mergeMap, repeat, retry, shareReplay, Subject, tap, toArray } from 'rxjs';
+import { client } from './api';
+const product$ = new Subject();
+const swapInstruments$ = defer(() => client.getInstruments({ instType: 'SWAP' })).pipe(repeat({ delay: 3600000 }), retry({ delay: 10000 }), shareReplay(1));
+export const usdtSwapProducts$ = swapInstruments$.pipe(mergeMap((x) => from(x.data || []).pipe(filter((x) => x.ctType === 'linear' && x.settleCcy === 'USDT'), 
+// ISSUE: 可能有 level = '' 的错误情况 (SPK-USDT and RESOLV-USDT at 2025-06-19 08 UTC)
+filter((x) => +x.lever > 0), map((x) => ({
+    datasource_id: 'OKX',
+    product_id: encodePath(x.instType, x.instId),
+    name: `${x.ctValCcy}-${x.settleCcy}-PERP`,
+    base_currency: x.ctValCcy,
+    quote_currency: x.settleCcy,
+    value_scale: +x.ctVal,
+    volume_step: +x.lotSz,
+    price_step: +x.tickSz,
+    margin_rate: 1 / +x.lever,
+    value_scale_unit: '',
+    value_based_cost: 0,
+    volume_based_cost: 0,
+    max_position: 0,
+    max_volume: 0,
+    allow_long: true,
+    allow_short: true,
+    market_id: 'OKX',
+    no_interest_rate: false,
+})), tap((x) => product$.next(x)), toArray())), shareReplay(1));
+usdtSwapProducts$.subscribe();
+const marginInstruments$ = defer(() => client.getInstruments({ instType: 'MARGIN' })).pipe(repeat({ delay: 3600000 }), retry({ delay: 10000 }), shareReplay(1));
+export const marginProducts$ = marginInstruments$.pipe(mergeMap((x) => from(x.data || []).pipe(
+// ISSUE: 可能有 level = '' 的错误情况 (SPK-USDT and RESOLV-USDT at 2025-06-19 08 UTC)
+filter((x) => +x.lever > 0), map((x) => ({
+    datasource_id: 'OKX',
+    product_id: encodePath(x.instType, x.instId),
+    base_currency: x.baseCcy,
+    quote_currency: x.quoteCcy,
+    value_scale: 1,
+    volume_step: +x.lotSz,
+    price_step: +x.tickSz,
+    margin_rate: 1 / +x.lever,
+    name: `${x.baseCcy}-${x.quoteCcy}-MARGIN`,
+    value_scale_unit: '',
+    value_based_cost: 0,
+    volume_based_cost: 0,
+    max_position: 0,
+    max_volume: 0,
+    allow_long: true,
+    allow_short: true,
+    market_id: 'OKX',
+    no_interest_rate: false,
+})), tap((x) => product$.next(x)), toArray())), shareReplay(1));
+marginProducts$.subscribe();
+export const mapProductIdToMarginProduct$ = marginProducts$.pipe(map((x) => new Map(x.map((x) => [x.product_id, x])), shareReplay(1)));
+defer(() => client.getInstruments({ instType: 'SPOT' }))
+    .pipe(repeat({ delay: 3600000 }), retry({ delay: 10000 }), mergeMap((x) => from(x.data || []).pipe(map((x) => ({
+    datasource_id: 'OKX',
+    product_id: encodePath(x.instType, x.instId),
+    base_currency: x.baseCcy,
+    quote_currency: x.quoteCcy,
+    value_scale: 1,
+    volume_step: +x.lotSz,
+    price_step: +x.tickSz,
+    margin_rate: 1,
+    name: `${x.baseCcy}-${x.quoteCcy}-SPOT`,
+    value_scale_unit: '',
+    value_based_cost: 0,
+    volume_based_cost: 0,
+    max_position: 0,
+    max_volume: 0,
+    allow_long: true,
+    allow_short: true,
+    market_id: 'OKX',
+    no_interest_rate: true,
+})), tap((x) => product$.next(x)), toArray())))
+    .subscribe();
+createSQLWriter(Terminal.fromNodeEnv(), {
+    data$: product$,
+    tableName: 'product',
+    writeInterval: 1000,
+    conflictKeys: ['datasource_id', 'product_id'],
+});
+export const mapProductIdToUsdtSwapProduct$ = usdtSwapProducts$.pipe(map((x) => new Map(x.map((x) => [x.product_id, x]))), shareReplay(1));
+//# sourceMappingURL=product.js.map

package/dist/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/dist/quote.js

@@ -0,0 +1,58 @@
+import { encodePath } from '@yuants/utils';
+import { Terminal } from '@yuants/protocol';
+import { writeToSQL } from '@yuants/sql';
+import { defer, from, groupBy, map, merge, mergeMap, repeat, retry, scan, shareReplay, toArray } from 'rxjs';
+import { client } from './api';
+const swapTickers$ = defer(() => client.getMarketTickers({ instType: 'SWAP' })).pipe(repeat({ delay: 5000 }), retry({ delay: 5000 }), shareReplay(1));
+const spotTickers$ = defer(() => client.getMarketTickers({ instType: 'SPOT' })).pipe(repeat({ delay: 5000 }), retry({ delay: 5000 }), shareReplay(1));
+export const swapMarketTickers$ = defer(() => swapTickers$).pipe(mergeMap((x) => from(x.data).pipe(map((x) => [x.instId, x]), toArray(), map((x) => Object.fromEntries(x)))), repeat({ delay: 5000 }), retry({ delay: 5000 }), shareReplay(1));
+export const spotMarketTickers$ = defer(() => spotTickers$).pipe(mergeMap((x) => from(x.data).pipe(map((x) => [x.instId, x]), toArray(), map((x) => Object.fromEntries(x)))), repeat({ delay: 5000 }), retry({ delay: 5000 }), shareReplay(1));
+const quote1$ = swapTickers$.pipe(mergeMap((x) => x.data || []), map((ticker) => ({
+    datasource_id: 'OKX',
+    product_id: encodePath('SWAP', ticker.instId),
+    last_price: ticker.last,
+    ask_price: ticker.askPx,
+    bid_price: ticker.bidPx,
+    ask_volume: ticker.askSz,
+    bid_volume: ticker.bidSz,
+})));
+const quote2$ = spotTickers$.pipe(mergeMap((x) => x.data || []), map((ticker) => ({
+    datasource_id: 'OKX',
+    product_id: encodePath('SPOT', ticker.instId),
+    last_price: ticker.last,
+    ask_price: ticker.askPx,
+    bid_price: ticker.bidPx,
+    ask_volume: ticker.askSz,
+    bid_volume: ticker.bidSz,
+})));
+const quote4$ = spotTickers$.pipe(mergeMap((x) => x.data || []), map((ticker) => ({
+    datasource_id: 'OKX',
+    product_id: encodePath('MARGIN', ticker.instId),
+    last_price: ticker.last,
+    ask_price: ticker.askPx,
+    bid_price: ticker.bidPx,
+    ask_volume: ticker.askSz,
+    bid_volume: ticker.bidSz,
+})));
+const swapOpenInterests$ = defer(() => client.getOpenInterest({ instType: 'SWAP' })).pipe(repeat({ delay: 10000 }), retry({ delay: 10000 }), shareReplay(1));
+const quote3$ = swapOpenInterests$.pipe(mergeMap((x) => x.data || []), map((x) => ({
+    datasource_id: 'OKX',
+    product_id: encodePath('SWAP', x.instId),
+    open_interest: x.oi,
+})));
+// 合并不同来源的数据并进行合并，避免死锁
+if (process.env.WRITE_QUOTE_TO_SQL === 'true') {
+    merge(quote1$, quote2$, quote3$, quote4$)
+        .pipe(groupBy((x) => encodePath(x.datasource_id, x.product_id)), mergeMap((group$) => {
+        return group$.pipe(scan((acc, cur) => Object.assign(acc, cur), {}));
+    }), writeToSQL({
+        terminal: Terminal.fromNodeEnv(),
+        writeInterval: 1000,
+        tableName: 'quote',
+        keyFn: (quote) => encodePath(quote.datasource_id, quote.product_id),
+        conflictKeys: ['datasource_id', 'product_id'],
+    }))
+        .subscribe();
+}
+export const swapOpenInterest$ = defer(() => swapOpenInterests$).pipe(map((x) => new Map(x.data.map((x) => [x.instId, +x.oi]))), shareReplay(1));
+//# sourceMappingURL=quote.js.map

package/dist/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"]}

package/dist/vendor-okx.d.ts

@@ -0,0 +1 @@
+export { }