@yuants/vendor-okx 0.17.0 → 0.17.1

package/dist/ohlc.js

@@ -12,9 +12,11 @@ var __asyncGenerator = (this && this.__asyncGenerator) || function (thisArg, _ar
 };
 import { createSeriesProvider } from '@yuants/data-series';
 import { Terminal } from '@yuants/protocol';
-import { convertDurationToOffset, decodePath, formatTime } from '@yuants/utils';
-import { firstValueFrom, timer } from 'rxjs';
+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]
@@ -34,6 +36,21 @@ const DURATION_TO_OKX_BAR_TYPE = {
     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'],
@@ -95,4 +112,60 @@ createSeriesProvider(Terminal.fromNodeEnv(), {
         });
     },
 });
+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

@@ -1 +1 @@
-{"version":3,"file":"ohlc.js","sourceRoot":"","sources":["../src/ohlc.ts"],"names":[],"mappings":";;;;;;;;;;;;AACA,OAAO,EAAE,oBAAoB,EAAE,MAAM,qBAAqB,CAAC;AAC3D,OAAO,EAAE,QAAQ,EAAE,MAAM,kBAAkB,CAAC;AAC5C,OAAO,EAAE,uBAAuB,EAAE,UAAU,EAAE,UAAU,EAAE,MAAM,eAAe,CAAC;AAChF,OAAO,EAAE,cAAc,EAAE,KAAK,EAAE,MAAM,MAAM,CAAC;AAC7C,OAAO,EAAE,MAAM,EAAE,MAAM,OAAO,CAAC;AAE/B,aAAa;AACb,gCAAgC;AAChC,8BAA8B;AAC9B,8CAA8C;AAE9C,MAAM,wBAAwB,GAA2B;IACvD,IAAI,EAAE,IAAI;IACV,IAAI,EAAE,IAAI;IACV,IAAI,EAAE,IAAI;IACV,KAAK,EAAE,KAAK;IACZ,KAAK,EAAE,KAAK;IAEZ,IAAI,EAAE,IAAI;IACV,IAAI,EAAE,IAAI;IACV,IAAI,EAAE,IAAI;IACV,IAAI,EAAE,IAAI;IACV,KAAK,EAAE,KAAK;IAEZ,GAAG,EAAE,IAAI;IACT,GAAG,EAAE,IAAI;IACT,GAAG,EAAE,IAAI;CACV,CAAC;AAEF,oBAAoB,CAAQ,QAAQ,CAAC,WAAW,EAAE,EAAE;IAClD,SAAS,EAAE,MAAM;IACjB,sBAAsB,EAAE,CAAC,KAAK,CAAC;IAC/B,QAAQ,EAAE,IAAI;IACd,cAAc,EAAE,EAAE,UAAU,EAAE,CAAC,EAAE;IACjC,OAAO,EAAE,UAAiB,EAAE,SAAS,EAAE,QAAQ,EAAE;;YAC/C,MAAM,CAAC,aAAa,EAAE,UAAU,EAAE,QAAQ,CAAC,GAAG,UAAU,CAAC,SAAS,CAAC,CAAC;YACpE,MAAM,MAAM,GAAG,uBAAuB,CAAC,QAAQ,CAAC,CAAC;YACjD,IAAI,CAAC,aAAa,EAAE;gBAClB,MAAM,2BAA2B,CAAC;aACnC;YACD,IAAI,CAAC,UAAU,EAAE;gBACf,MAAM,wBAAwB,CAAC;aAChC;YACD,IAAI,CAAC,MAAM,EAAE;gBACX,MAAM,qBAAqB,CAAC;aAC7B;YACD,MAAM,CAAC,QAAQ,EAAE,MAAM,CAAC,GAAG,UAAU,CAAC,UAAU,CAAC,CAAC;YAClD,IAAI,CAAC,MAAM,EAAE;gBACX,MAAM,uBAAuB,UAAU,EAAE,CAAC;aAC3C;YAED,MAAM,GAAG,GAAG,wBAAwB,CAAC,QAAQ,CAAC,CAAC;YAC/C,IAAI,CAAC,GAAG,EAAE;gBACR,MAAM,yBAAyB,QAAQ,EAAE,CAAC;aAC3C;YAED,IAAI,gBAAgB,GAAG,QAAQ,CAAC;YAEhC,OAAO,IAAI,EAAE;gBACX,yBAAyB;gBACzB,MAAM,GAAG,GAAG,cAAM,MAAM,CAAC,iBAAiB,CAAC;oBACzC,MAAM;oBACN,GAAG;oBACH,KAAK,EAAE,GAAG,gBAAgB,EAAE;oBAC5B,KAAK,EAAE,KAAK;iBACb,CAAC,CAAA,CAAC;gBACH,IAAI,GAAG,CAAC,IAAI,KAAK,GAAG,EAAE;oBACpB,MAAM,eAAe,GAAG,CAAC,IAAI,IAAI,GAAG,CAAC,GAAG,EAAE,CAAC;iBAC5C;gBACD,IAAI,GAAG,CAAC,IAAI,CAAC,MAAM,KAAK,CAAC;oBAAE,MAAM;gBACjC,gBAAgB,GAAG,CAAC,GAAG,CAAC,IAAI,CAAC,GAAG,CAAC,IAAI,CAAC,MAAM,GAAG,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC;gBACrD,MAAM,IAAI,GAAG,GAAG,CAAC,IAAI,CAAC,GAAG,CACvB,CAAC,CAAC,EAAS,EAAE,CAAC,CAAC;oBACb,SAAS;oBACT,aAAa;oBACb,UAAU;oBACV,QAAQ;oBACR,UAAU,EAAE,UAAU,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC;oBAC7B,SAAS,EAAE,UAAU,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,GAAG,MAAM,CAAC;oBACrC,IAAI,EAAE,CAAC,CAAC,CAAC,CAAC;oBACV,IAAI,EAAE,CAAC,CAAC,CAAC,CAAC;oBACV,GAAG,EAAE,CAAC,CAAC,CAAC,CAAC;oBACT,KAAK,EAAE,CAAC,CAAC,CAAC,CAAC;oBACX,MAAM,EAAE,CAAC,CAAC,CAAC,CAAC;oBACZ,aAAa,EAAE,GAAG;iBACnB,CAAC,CACH,CAAC;gBACF,oBAAM,IAAI,CAAA,CAAC;gBACX,cAAM,cAAc,CAAC,KAAK,CAAC,IAAI,CAAC,CAAC,CAAA,CAAC;aACnC;QACH,CAAC;KAAA;CACF,CAAC,CAAC","sourcesContent":["import { IOHLC } from '@yuants/data-ohlc';\nimport { createSeriesProvider } from '@yuants/data-series';\nimport { Terminal } from '@yuants/protocol';\nimport { convertDurationToOffset, decodePath, formatTime } from '@yuants/utils';\nimport { firstValueFrom, timer } from 'rxjs';\nimport { client } from './api';\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\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"]}
+{"version":3,"file":"ohlc.js","sourceRoot":"","sources":["../src/ohlc.ts"],"names":[],"mappings":";;;;;;;;;;;;AACA,OAAO,EAAE,oBAAoB,EAAE,MAAM,qBAAqB,CAAC;AAC3D,OAAO,EAAE,QAAQ,EAAE,MAAM,kBAAkB,CAAC;AAC5C,OAAO,EAAE,uBAAuB,EAAE,UAAU,EAAE,UAAU,EAAE,UAAU,EAAE,MAAM,eAAe,CAAC;AAC5F,OAAO,EAAE,cAAc,EAAE,UAAU,EAAM,KAAK,EAAE,MAAM,MAAM,CAAC;AAC7D,OAAO,EAAE,MAAM,EAAE,MAAM,OAAO,CAAC;AAC/B,OAAO,EAAE,mBAAmB,EAAE,MAAM,aAAa,CAAC;AAClD,OAAO,EAA2C,UAAU,EAAE,MAAM,aAAa,CAAC;AAElF,aAAa;AACb,gCAAgC;AAChC,8BAA8B;AAC9B,8CAA8C;AAE9C,MAAM,wBAAwB,GAA2B;IACvD,IAAI,EAAE,IAAI;IACV,IAAI,EAAE,IAAI;IACV,IAAI,EAAE,IAAI;IACV,KAAK,EAAE,KAAK;IACZ,KAAK,EAAE,KAAK;IAEZ,IAAI,EAAE,IAAI;IACV,IAAI,EAAE,IAAI;IACV,IAAI,EAAE,IAAI;IACV,IAAI,EAAE,IAAI;IACV,KAAK,EAAE,KAAK;IAEZ,GAAG,EAAE,IAAI;IACT,GAAG,EAAE,IAAI;IACT,GAAG,EAAE,IAAI;CACV,CAAC;AAEF,MAAM,2BAA2B,GAA2B;IAC1D,IAAI,EAAE,qBAAqB;IAC3B,IAAI,EAAE,qBAAqB;IAC3B,IAAI,EAAE,qBAAqB;IAC3B,KAAK,EAAE,sBAAsB;IAC7B,KAAK,EAAE,sBAAsB;IAE7B,IAAI,EAAE,qBAAqB;IAC3B,IAAI,EAAE,qBAAqB;IAC3B,IAAI,EAAE,qBAAqB;IAC3B,IAAI,EAAE,qBAAqB;IAC3B,KAAK,EAAE,sBAAsB;IAE7B,GAAG,EAAE,qBAAqB;IAC1B,GAAG,EAAE,qBAAqB;IAC1B,GAAG,EAAE,qBAAqB;CAC3B,CAAC;AAEF,oBAAoB,CAAQ,QAAQ,CAAC,WAAW,EAAE,EAAE;IAClD,SAAS,EAAE,MAAM;IACjB,sBAAsB,EAAE,CAAC,KAAK,CAAC;IAC/B,QAAQ,EAAE,IAAI;IACd,cAAc,EAAE,EAAE,UAAU,EAAE,CAAC,EAAE;IACjC,OAAO,EAAE,UAAiB,EAAE,SAAS,EAAE,QAAQ,EAAE;;YAC/C,MAAM,CAAC,aAAa,EAAE,UAAU,EAAE,QAAQ,CAAC,GAAG,UAAU,CAAC,SAAS,CAAC,CAAC;YACpE,MAAM,MAAM,GAAG,uBAAuB,CAAC,QAAQ,CAAC,CAAC;YACjD,IAAI,CAAC,aAAa,EAAE;gBAClB,MAAM,2BAA2B,CAAC;aACnC;YACD,IAAI,CAAC,UAAU,EAAE;gBACf,MAAM,wBAAwB,CAAC;aAChC;YACD,IAAI,CAAC,MAAM,EAAE;gBACX,MAAM,qBAAqB,CAAC;aAC7B;YACD,MAAM,CAAC,QAAQ,EAAE,MAAM,CAAC,GAAG,UAAU,CAAC,UAAU,CAAC,CAAC;YAClD,IAAI,CAAC,MAAM,EAAE;gBACX,MAAM,uBAAuB,UAAU,EAAE,CAAC;aAC3C;YAED,MAAM,GAAG,GAAG,wBAAwB,CAAC,QAAQ,CAAC,CAAC;YAC/C,IAAI,CAAC,GAAG,EAAE;gBACR,MAAM,yBAAyB,QAAQ,EAAE,CAAC;aAC3C;YAED,IAAI,gBAAgB,GAAG,QAAQ,CAAC;YAEhC,OAAO,IAAI,EAAE;gBACX,yBAAyB;gBACzB,MAAM,GAAG,GAAG,cAAM,MAAM,CAAC,iBAAiB,CAAC;oBACzC,MAAM;oBACN,GAAG;oBACH,KAAK,EAAE,GAAG,gBAAgB,EAAE;oBAC5B,KAAK,EAAE,KAAK;iBACb,CAAC,CAAA,CAAC;gBACH,IAAI,GAAG,CAAC,IAAI,KAAK,GAAG,EAAE;oBACpB,MAAM,eAAe,GAAG,CAAC,IAAI,IAAI,GAAG,CAAC,GAAG,EAAE,CAAC;iBAC5C;gBACD,IAAI,GAAG,CAAC,IAAI,CAAC,MAAM,KAAK,CAAC;oBAAE,MAAM;gBACjC,gBAAgB,GAAG,CAAC,GAAG,CAAC,IAAI,CAAC,GAAG,CAAC,IAAI,CAAC,MAAM,GAAG,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC;gBACrD,MAAM,IAAI,GAAG,GAAG,CAAC,IAAI,CAAC,GAAG,CACvB,CAAC,CAAC,EAAS,EAAE,CAAC,CAAC;oBACb,SAAS;oBACT,aAAa;oBACb,UAAU;oBACV,QAAQ;oBACR,UAAU,EAAE,UAAU,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC;oBAC7B,SAAS,EAAE,UAAU,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,GAAG,MAAM,CAAC;oBACrC,IAAI,EAAE,CAAC,CAAC,CAAC,CAAC;oBACV,IAAI,EAAE,CAAC,CAAC,CAAC,CAAC;oBACV,GAAG,EAAE,CAAC,CAAC,CAAC,CAAC;oBACT,KAAK,EAAE,CAAC,CAAC,CAAC,CAAC;oBACX,MAAM,EAAE,CAAC,CAAC,CAAC,CAAC;oBACZ,aAAa,EAAE,GAAG;iBACnB,CAAC,CACH,CAAC;gBACF,oBAAM,IAAI,CAAA,CAAC;gBACX,cAAM,cAAc,CAAC,KAAK,CAAC,IAAI,CAAC,CAAC,CAAA,CAAC;aACnC;QACH,CAAC;KAAA;CACF,CAAC,CAAC;AAEH,QAAQ,CAAC,WAAW,EAAE,CAAC,OAAO,CAAC,cAAc,CAAC,MAAM,EAAE,EAAE,OAAO,EAAE,OAAO,EAAE,EAAE,CAAC,SAAS,EAAE,EAAE;IACxF,8BAA8B;IAC9B,MAAM,CAAC,aAAa,EAAE,UAAU,EAAE,QAAQ,CAAC,GAAG,UAAU,CAAC,SAAS,CAAC,CAAC;IACpE,MAAM,CAAC,EAAE,MAAM,CAAC,GAAG,UAAU,CAAC,UAAU,CAAC,CAAC;IAC1C,MAAM,MAAM,GAAG,uBAAuB,CAAC,QAAQ,CAAC,CAAC;IACjD,IAAI,CAAC,aAAa,EAAE;QAClB,MAAM,2BAA2B,CAAC;KACnC;IACD,IAAI,CAAC,UAAU,EAAE;QACf,MAAM,wBAAwB,CAAC;KAChC;IACD,IAAI,CAAC,MAAM,EAAE;QACX,MAAM,qBAAqB,CAAC;KAC7B;IACD,MAAM,UAAU,GAAG,2BAA2B,CAAC,QAAQ,CAAC,CAAC;IACzD,OAAO,CAAC,IAAI,CAAC,UAAU,CAAC,IAAI,CAAC,GAAG,EAAE,CAAC,EAAE,WAAW,EAAE,SAAS,CAAC,CAAC;IAC7D,OAAO,IAAI,UAAU,CAAQ,CAAC,UAAU,EAAE,EAAE;QAC1C,OAAO,CAAC,IAAI,CAAC,UAAU,CAAC,IAAI,CAAC,GAAG,EAAE,CAAC,EAAE,WAAW,EAAE,UAAU,EAAE,MAAM,CAAC,CAAC;QACtE,mBAAmB,CAAC,SAAS,CAAC,UAAU,EAAE,MAAM,EAAE,KAAK,EAAE,IAAc,EAAE,EAAE;YACzE,MAAM,UAAU,GAAG,MAAM,CAAC,IAAI,CAAC,CAAC,CAAC,CAAC,CAAC;YACnC,MAAM,SAAS,GAAG,UAAU,GAAG,MAAM,CAAC;YACtC,MAAM,IAAI,GAAG,IAAI,CAAC,CAAC,CAAC,CAAC;YACrB,MAAM,IAAI,GAAG,IAAI,CAAC,CAAC,CAAC,CAAC;YACrB,MAAM,GAAG,GAAG,IAAI,CAAC,CAAC,CAAC,CAAC;YACpB,MAAM,KAAK,GAAG,IAAI,CAAC,CAAC,CAAC,CAAC;YACtB,IAAI,KAAK,CAAC,SAAS,CAAC,EAAE;gBACpB,OAAO;aACR;YACD,OAAO,CAAC,IAAI,CAAC,UAAU,CAAC,IAAI,CAAC,GAAG,EAAE,CAAC,EAAE,YAAY,EAAE,IAAI,CAAC,CAAC;YACzD,MAAM,UAAU,GAAU;gBACxB,SAAS,EAAE,UAAU,CAAC,SAAS,CAAC;gBAChC,UAAU,EAAE,UAAU,CAAC,UAAU,CAAC;gBAClC,IAAI;gBACJ,IAAI;gBACJ,GAAG;gBACH,KAAK;gBACL,SAAS;gBACT,aAAa;gBACb,QAAQ;gBACR,UAAU;gBACV,MAAM,EAAE,GAAG;gBACX,aAAa,EAAE,GAAG;aACnB,CAAC;YACF,UAAU,CAAC,IAAI,CAAC,UAAU,CAAC,CAAC;QAC9B,CAAC,CAAC,CAAC;QACH,OAAO,GAAG,EAAE;YACV,mBAAmB,CAAC,WAAW,CAAC,UAAU,EAAE,MAAM,CAAC,CAAC;QACtD,CAAC,CAAC;IACJ,CAAC,CAAC,CAAC,IAAI,CACL,UAAU,CAAC;QACT,SAAS,EAAE,MAAM;QACjB,YAAY,EAAE,CAAC,YAAY,EAAE,WAAW,CAAC;QACzC,aAAa,EAAE,IAAI;QACnB,QAAQ,EAAE,QAAQ,CAAC,WAAW,EAAE;QAChC,KAAK,EAAE,CAAC,CAAC,EAAE,EAAE,CAAC,UAAU,CAAC,CAAC,CAAC,UAAU,EAAE,CAAC,CAAC,SAAS,CAAC;KACpD,CAAC,CACH,CAAC;AACJ,CAAC,CAAC,CAAC","sourcesContent":["import { 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/websocket.js

@@ -0,0 +1,80 @@
+import { encodePath, formatTime } from '@yuants/utils';
+// import WebSocket from 'ws';
+class OKXWsClient {
+    constructor(url) {
+        this.connected = false;
+        // this.instId = instId;
+        this.ws = new WebSocket(url);
+        this.pendingSub = [];
+        // this.ws.
+        this.ws.addEventListener('open', () => {
+            this.connected = true;
+            console.info(formatTime(Date.now()), '✅ WS connected');
+            while (this.pendingSub.length > 0) {
+                const msg = this.pendingSub.shift();
+                if (msg) {
+                    this.ws.send(msg);
+                    console.info(formatTime(Date.now()), `📩 Sent subscribe for ${msg}`);
+                }
+            }
+        });
+        this.ws.addEventListener('message', (raw) => this.handleMessage(raw));
+        this.subscriptions = new Set();
+        this.handlers = {}; // key: channel, value: callback
+    }
+    // 处理消息
+    handleMessage(raw) {
+        var _a, _b;
+        const msg = JSON.parse(raw.data);
+        if ((_a = msg.arg) === null || _a === void 0 ? void 0 : _a.channel) {
+            const channelId = encodePath(msg.arg.channel, msg.arg.instId);
+            const data = (_b = msg.data) === null || _b === void 0 ? void 0 : _b[0];
+            if (data && this.handlers[channelId]) {
+                this.handlers[channelId](data, msg.arg);
+            }
+        }
+        else if (msg.event) {
+            console.info('Event:', msg);
+        }
+    }
+    // 调用订阅
+    subscribe(channel, instId, handler) {
+        const channelId = encodePath(channel, instId);
+        if (this.subscriptions.has(channelId)) {
+            console.info(formatTime(Date.now()), `⚠️ Already subscribed: ${channelId}`);
+            return;
+        }
+        const subMsg = {
+            op: 'subscribe',
+            args: [{ channel, instId }],
+        };
+        if (this.connected) {
+            this.ws.send(JSON.stringify(subMsg));
+            console.info(formatTime(Date.now()), `📩 Sent subscribe for ${channelId}`);
+        }
+        else {
+            this.pendingSub.push(JSON.stringify(subMsg));
+            console.info(formatTime(Date.now()), `📩 add subscribe for ${channelId} to pending list`);
+        }
+        this.subscriptions.add(channelId);
+        if (handler) {
+            this.handlers[channelId] = handler;
+        }
+    }
+    // 取消订阅
+    unsubscribe(channel, instId) {
+        const channelId = encodePath(channel, instId);
+        if (!this.subscriptions.has(channelId))
+            return;
+        const unSubMsg = {
+            op: 'unsubscribe',
+            args: [{ channel, instId }],
+        };
+        this.ws.send(JSON.stringify(unSubMsg));
+        this.subscriptions.delete(channelId);
+        delete this.handlers[channelId];
+        console.info(`📩 Sent unsubscribe for ${channelId}`);
+    }
+}
+export const okxBusinessWsClient = new OKXWsClient('wss://wspap.okx.com:8443/ws/v5/business');
+//# sourceMappingURL=websocket.js.map

package/dist/websocket.js.map

@@ -0,0 +1 @@
+{"version":3,"file":"websocket.js","sourceRoot":"","sources":["../src/websocket.ts"],"names":[],"mappings":"AAAA,OAAO,EAAE,UAAU,EAAE,UAAU,EAAE,MAAM,eAAe,CAAC;AACvD,8BAA8B;AAE9B,MAAM,WAAW;IAMf,YAAY,GAAW;QAJvB,cAAS,GAAY,KAAK,CAAC;QAKzB,wBAAwB;QACxB,IAAI,CAAC,EAAE,GAAG,IAAI,SAAS,CAAC,GAAG,CAAC,CAAC;QAC7B,IAAI,CAAC,UAAU,GAAG,EAAE,CAAC;QACrB,WAAW;QACX,IAAI,CAAC,EAAE,CAAC,gBAAgB,CAAC,MAAM,EAAE,GAAG,EAAE;YACpC,IAAI,CAAC,SAAS,GAAG,IAAI,CAAC;YACtB,OAAO,CAAC,IAAI,CAAC,UAAU,CAAC,IAAI,CAAC,GAAG,EAAE,CAAC,EAAE,gBAAgB,CAAC,CAAC;YACvD,OAAO,IAAI,CAAC,UAAU,CAAC,MAAM,GAAG,CAAC,EAAE;gBACjC,MAAM,GAAG,GAAG,IAAI,CAAC,UAAU,CAAC,KAAK,EAAE,CAAC;gBACpC,IAAI,GAAG,EAAE;oBACP,IAAI,CAAC,EAAE,CAAC,IAAI,CAAC,GAAG,CAAC,CAAC;oBAClB,OAAO,CAAC,IAAI,CAAC,UAAU,CAAC,IAAI,CAAC,GAAG,EAAE,CAAC,EAAE,yBAAyB,GAAG,EAAE,CAAC,CAAC;iBACtE;aACF;QACH,CAAC,CAAC,CAAC;QACH,IAAI,CAAC,EAAE,CAAC,gBAAgB,CAAC,SAAS,EAAE,CAAC,GAAG,EAAE,EAAE,CAAC,IAAI,CAAC,aAAa,CAAC,GAAG,CAAC,CAAC,CAAC;QACtE,IAAI,CAAC,aAAa,GAAG,IAAI,GAAG,EAAE,CAAC;QAC/B,IAAI,CAAC,QAAQ,GAAG,EAAE,CAAC,CAAC,gCAAgC;IACtD,CAAC;IAED,OAAO;IACP,aAAa,CAAC,GAAQ;;QACpB,MAAM,GAAG,GAAG,IAAI,CAAC,KAAK,CAAC,GAAG,CAAC,IAAI,CAAC,CAAC;QACjC,IAAI,MAAA,GAAG,CAAC,GAAG,0CAAE,OAAO,EAAE;YACpB,MAAM,SAAS,GAAG,UAAU,CAAC,GAAG,CAAC,GAAG,CAAC,OAAO,EAAE,GAAG,CAAC,GAAG,CAAC,MAAM,CAAC,CAAC;YAC9D,MAAM,IAAI,GAAG,MAAA,GAAG,CAAC,IAAI,0CAAG,CAAC,CAAC,CAAC;YAC3B,IAAI,IAAI,IAAI,IAAI,CAAC,QAAQ,CAAC,SAAS,CAAC,EAAE;gBACpC,IAAI,CAAC,QAAQ,CAAC,SAAS,CAAC,CAAC,IAAI,EAAE,GAAG,CAAC,GAAG,CAAC,CAAC;aACzC;SACF;aAAM,IAAI,GAAG,CAAC,KAAK,EAAE;YACpB,OAAO,CAAC,IAAI,CAAC,QAAQ,EAAE,GAAG,CAAC,CAAC;SAC7B;IACH,CAAC;IAED,OAAO;IACP,SAAS,CAAC,OAAe,EAAE,MAAe,EAAE,OAAkB;QAC5D,MAAM,SAAS,GAAG,UAAU,CAAC,OAAO,EAAE,MAAM,CAAC,CAAC;QAC9C,IAAI,IAAI,CAAC,aAAa,CAAC,GAAG,CAAC,SAAS,CAAC,EAAE;YACrC,OAAO,CAAC,IAAI,CAAC,UAAU,CAAC,IAAI,CAAC,GAAG,EAAE,CAAC,EAAE,0BAA0B,SAAS,EAAE,CAAC,CAAC;YAC5E,OAAO;SACR;QAED,MAAM,MAAM,GAAG;YACb,EAAE,EAAE,WAAW;YACf,IAAI,EAAE,CAAC,EAAE,OAAO,EAAE,MAAM,EAAE,CAAC;SAC5B,CAAC;QAEF,IAAI,IAAI,CAAC,SAAS,EAAE;YAClB,IAAI,CAAC,EAAE,CAAC,IAAI,CAAC,IAAI,CAAC,SAAS,CAAC,MAAM,CAAC,CAAC,CAAC;YACrC,OAAO,CAAC,IAAI,CAAC,UAAU,CAAC,IAAI,CAAC,GAAG,EAAE,CAAC,EAAE,yBAAyB,SAAS,EAAE,CAAC,CAAC;SAC5E;aAAM;YACL,IAAI,CAAC,UAAU,CAAC,IAAI,CAAC,IAAI,CAAC,SAAS,CAAC,MAAM,CAAC,CAAC,CAAC;YAC7C,OAAO,CAAC,IAAI,CAAC,UAAU,CAAC,IAAI,CAAC,GAAG,EAAE,CAAC,EAAE,wBAAwB,SAAS,kBAAkB,CAAC,CAAC;SAC3F;QACD,IAAI,CAAC,aAAa,CAAC,GAAG,CAAC,SAAS,CAAC,CAAC;QAClC,IAAI,OAAO,EAAE;YACX,IAAI,CAAC,QAAQ,CAAC,SAAS,CAAC,GAAG,OAAO,CAAC;SACpC;IACH,CAAC;IAED,OAAO;IACP,WAAW,CAAC,OAAe,EAAE,MAAe;QAC1C,MAAM,SAAS,GAAG,UAAU,CAAC,OAAO,EAAE,MAAM,CAAC,CAAC;QAC9C,IAAI,CAAC,IAAI,CAAC,aAAa,CAAC,GAAG,CAAC,SAAS,CAAC;YAAE,OAAO;QAE/C,MAAM,QAAQ,GAAG;YACf,EAAE,EAAE,aAAa;YACjB,IAAI,EAAE,CAAC,EAAE,OAAO,EAAE,MAAM,EAAE,CAAC;SAC5B,CAAC;QAEF,IAAI,CAAC,EAAE,CAAC,IAAI,CAAC,IAAI,CAAC,SAAS,CAAC,QAAQ,CAAC,CAAC,CAAC;QACvC,IAAI,CAAC,aAAa,CAAC,MAAM,CAAC,SAAS,CAAC,CAAC;QACrC,OAAO,IAAI,CAAC,QAAQ,CAAC,SAAS,CAAC,CAAC;QAChC,OAAO,CAAC,IAAI,CAAC,2BAA2B,SAAS,EAAE,CAAC,CAAC;IACvD,CAAC;CACF;AAED,MAAM,CAAC,MAAM,mBAAmB,GAAG,IAAI,WAAW,CAAC,yCAAyC,CAAC,CAAC","sourcesContent":["import { encodePath, formatTime } from '@yuants/utils';\n// import WebSocket from 'ws';\n\nclass OKXWsClient {\n  ws: WebSocket;\n  connected: boolean = false;\n  subscriptions: Set<string>;\n  handlers: Record<string, Function>;\n  pendingSub: string[];\n  constructor(url: string) {\n    // this.instId = instId;\n    this.ws = new WebSocket(url);\n    this.pendingSub = [];\n    // this.ws.\n    this.ws.addEventListener('open', () => {\n      this.connected = true;\n      console.info(formatTime(Date.now()), '✅ WS connected');\n      while (this.pendingSub.length > 0) {\n        const msg = this.pendingSub.shift();\n        if (msg) {\n          this.ws.send(msg);\n          console.info(formatTime(Date.now()), `📩 Sent subscribe for ${msg}`);\n        }\n      }\n    });\n    this.ws.addEventListener('message', (raw) => this.handleMessage(raw));\n    this.subscriptions = new Set();\n    this.handlers = {}; // key: channel, value: callback\n  }\n\n  // 处理消息\n  handleMessage(raw: any) {\n    const msg = JSON.parse(raw.data);\n    if (msg.arg?.channel) {\n      const channelId = encodePath(msg.arg.channel, msg.arg.instId);\n      const data = msg.data?.[0];\n      if (data && this.handlers[channelId]) {\n        this.handlers[channelId](data, msg.arg);\n      }\n    } else if (msg.event) {\n      console.info('Event:', msg);\n    }\n  }\n\n  // 调用订阅\n  subscribe(channel: string, instId?: string, handler?: Function) {\n    const channelId = encodePath(channel, instId);\n    if (this.subscriptions.has(channelId)) {\n      console.info(formatTime(Date.now()), `⚠️ Already subscribed: ${channelId}`);\n      return;\n    }\n\n    const subMsg = {\n      op: 'subscribe',\n      args: [{ channel, instId }],\n    };\n\n    if (this.connected) {\n      this.ws.send(JSON.stringify(subMsg));\n      console.info(formatTime(Date.now()), `📩 Sent subscribe for ${channelId}`);\n    } else {\n      this.pendingSub.push(JSON.stringify(subMsg));\n      console.info(formatTime(Date.now()), `📩 add subscribe for ${channelId} to pending list`);\n    }\n    this.subscriptions.add(channelId);\n    if (handler) {\n      this.handlers[channelId] = handler;\n    }\n  }\n\n  // 取消订阅\n  unsubscribe(channel: string, instId?: string) {\n    const channelId = encodePath(channel, instId);\n    if (!this.subscriptions.has(channelId)) return;\n\n    const unSubMsg = {\n      op: 'unsubscribe',\n      args: [{ channel, instId }],\n    };\n\n    this.ws.send(JSON.stringify(unSubMsg));\n    this.subscriptions.delete(channelId);\n    delete this.handlers[channelId];\n    console.info(`📩 Sent unsubscribe for ${channelId}`);\n  }\n}\n\nexport const okxBusinessWsClient = new OKXWsClient('wss://wspap.okx.com:8443/ws/v5/business');\n"]}

package/lib/ohlc.js

@@ -17,6 +17,8 @@ const protocol_1 = require("@yuants/protocol");
 const utils_1 = require("@yuants/utils");
 const rxjs_1 = require("rxjs");
 const api_1 = require("./api");
+const websocket_1 = require("./websocket");
+const sql_1 = require("@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]
@@ -36,6 +38,21 @@ const DURATION_TO_OKX_BAR_TYPE = {
     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',
+};
 (0, data_series_1.createSeriesProvider)(protocol_1.Terminal.fromNodeEnv(), {
     tableName: 'ohlc',
     series_id_prefix_parts: ['OKX'],
@@ -97,4 +114,60 @@ const DURATION_TO_OKX_BAR_TYPE = {
         });
     },
 });
+protocol_1.Terminal.fromNodeEnv().channel.publishChannel('ohlc', { pattern: `^OKX/` }, (series_id) => {
+    // const [] = decodePath(args)
+    const [datasource_id, product_id, duration] = (0, utils_1.decodePath)(series_id);
+    const [, instId] = (0, utils_1.decodePath)(product_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 candleType = DURATION_TO_OKX_CANDLE_TYPE[duration];
+    console.info((0, utils_1.formatTime)(Date.now()), `subscribe`, series_id);
+    return new rxjs_1.Observable((subscriber) => {
+        console.info((0, utils_1.formatTime)(Date.now()), `subscribe`, candleType, instId);
+        websocket_1.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((0, utils_1.formatTime)(Date.now()), `insertData`, data);
+            const cancelData = {
+                closed_at: (0, utils_1.formatTime)(closed_at),
+                created_at: (0, utils_1.formatTime)(created_at),
+                open,
+                high,
+                low,
+                close,
+                series_id,
+                datasource_id,
+                duration,
+                product_id,
+                volume: '0',
+                open_interest: '0',
+            };
+            subscriber.next(cancelData);
+        });
+        return () => {
+            websocket_1.okxBusinessWsClient.unsubscribe(candleType, instId);
+        };
+    }).pipe((0, sql_1.writeToSQL)({
+        tableName: 'ohlc',
+        conflictKeys: ['created_at', 'series_id'],
+        writeInterval: 1000,
+        terminal: protocol_1.Terminal.fromNodeEnv(),
+        keyFn: (x) => (0, utils_1.encodePath)(x.created_at, x.series_id),
+    }));
+});
 //# sourceMappingURL=ohlc.js.map

package/lib/ohlc.js.map

@@ -1 +1 @@
-{"version":3,"file":"ohlc.js","sourceRoot":"","sources":["../src/ohlc.ts"],"names":[],"mappings":";;;;;;;;;;;;;;AACA,qDAA2D;AAC3D,+CAA4C;AAC5C,yCAAgF;AAChF,+BAA6C;AAC7C,+BAA+B;AAE/B,aAAa;AACb,gCAAgC;AAChC,8BAA8B;AAC9B,8CAA8C;AAE9C,MAAM,wBAAwB,GAA2B;IACvD,IAAI,EAAE,IAAI;IACV,IAAI,EAAE,IAAI;IACV,IAAI,EAAE,IAAI;IACV,KAAK,EAAE,KAAK;IACZ,KAAK,EAAE,KAAK;IAEZ,IAAI,EAAE,IAAI;IACV,IAAI,EAAE,IAAI;IACV,IAAI,EAAE,IAAI;IACV,IAAI,EAAE,IAAI;IACV,KAAK,EAAE,KAAK;IAEZ,GAAG,EAAE,IAAI;IACT,GAAG,EAAE,IAAI;IACT,GAAG,EAAE,IAAI;CACV,CAAC;AAEF,IAAA,kCAAoB,EAAQ,mBAAQ,CAAC,WAAW,EAAE,EAAE;IAClD,SAAS,EAAE,MAAM;IACjB,sBAAsB,EAAE,CAAC,KAAK,CAAC;IAC/B,QAAQ,EAAE,IAAI;IACd,cAAc,EAAE,EAAE,UAAU,EAAE,CAAC,EAAE;IACjC,OAAO,EAAE,UAAiB,EAAE,SAAS,EAAE,QAAQ,EAAE;;YAC/C,MAAM,CAAC,aAAa,EAAE,UAAU,EAAE,QAAQ,CAAC,GAAG,IAAA,kBAAU,EAAC,SAAS,CAAC,CAAC;YACpE,MAAM,MAAM,GAAG,IAAA,+BAAuB,EAAC,QAAQ,CAAC,CAAC;YACjD,IAAI,CAAC,aAAa,EAAE;gBAClB,MAAM,2BAA2B,CAAC;aACnC;YACD,IAAI,CAAC,UAAU,EAAE;gBACf,MAAM,wBAAwB,CAAC;aAChC;YACD,IAAI,CAAC,MAAM,EAAE;gBACX,MAAM,qBAAqB,CAAC;aAC7B;YACD,MAAM,CAAC,QAAQ,EAAE,MAAM,CAAC,GAAG,IAAA,kBAAU,EAAC,UAAU,CAAC,CAAC;YAClD,IAAI,CAAC,MAAM,EAAE;gBACX,MAAM,uBAAuB,UAAU,EAAE,CAAC;aAC3C;YAED,MAAM,GAAG,GAAG,wBAAwB,CAAC,QAAQ,CAAC,CAAC;YAC/C,IAAI,CAAC,GAAG,EAAE;gBACR,MAAM,yBAAyB,QAAQ,EAAE,CAAC;aAC3C;YAED,IAAI,gBAAgB,GAAG,QAAQ,CAAC;YAEhC,OAAO,IAAI,EAAE;gBACX,yBAAyB;gBACzB,MAAM,GAAG,GAAG,cAAM,YAAM,CAAC,iBAAiB,CAAC;oBACzC,MAAM;oBACN,GAAG;oBACH,KAAK,EAAE,GAAG,gBAAgB,EAAE;oBAC5B,KAAK,EAAE,KAAK;iBACb,CAAC,CAAA,CAAC;gBACH,IAAI,GAAG,CAAC,IAAI,KAAK,GAAG,EAAE;oBACpB,MAAM,eAAe,GAAG,CAAC,IAAI,IAAI,GAAG,CAAC,GAAG,EAAE,CAAC;iBAC5C;gBACD,IAAI,GAAG,CAAC,IAAI,CAAC,MAAM,KAAK,CAAC;oBAAE,MAAM;gBACjC,gBAAgB,GAAG,CAAC,GAAG,CAAC,IAAI,CAAC,GAAG,CAAC,IAAI,CAAC,MAAM,GAAG,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC;gBACrD,MAAM,IAAI,GAAG,GAAG,CAAC,IAAI,CAAC,GAAG,CACvB,CAAC,CAAC,EAAS,EAAE,CAAC,CAAC;oBACb,SAAS;oBACT,aAAa;oBACb,UAAU;oBACV,QAAQ;oBACR,UAAU,EAAE,IAAA,kBAAU,EAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC;oBAC7B,SAAS,EAAE,IAAA,kBAAU,EAAC,CAAC,CAAC,CAAC,CAAC,CAAC,GAAG,MAAM,CAAC;oBACrC,IAAI,EAAE,CAAC,CAAC,CAAC,CAAC;oBACV,IAAI,EAAE,CAAC,CAAC,CAAC,CAAC;oBACV,GAAG,EAAE,CAAC,CAAC,CAAC,CAAC;oBACT,KAAK,EAAE,CAAC,CAAC,CAAC,CAAC;oBACX,MAAM,EAAE,CAAC,CAAC,CAAC,CAAC;oBACZ,aAAa,EAAE,GAAG;iBACnB,CAAC,CACH,CAAC;gBACF,oBAAM,IAAI,CAAA,CAAC;gBACX,cAAM,IAAA,qBAAc,EAAC,IAAA,YAAK,EAAC,IAAI,CAAC,CAAC,CAAA,CAAC;aACnC;QACH,CAAC;KAAA;CACF,CAAC,CAAC","sourcesContent":["import { IOHLC } from '@yuants/data-ohlc';\nimport { createSeriesProvider } from '@yuants/data-series';\nimport { Terminal } from '@yuants/protocol';\nimport { convertDurationToOffset, decodePath, formatTime } from '@yuants/utils';\nimport { firstValueFrom, timer } from 'rxjs';\nimport { client } from './api';\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\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"]}
+{"version":3,"file":"ohlc.js","sourceRoot":"","sources":["../src/ohlc.ts"],"names":[],"mappings":";;;;;;;;;;;;;;AACA,qDAA2D;AAC3D,+CAA4C;AAC5C,yCAA4F;AAC5F,+BAA6D;AAC7D,+BAA+B;AAC/B,2CAAkD;AAClD,qCAAkF;AAElF,aAAa;AACb,gCAAgC;AAChC,8BAA8B;AAC9B,8CAA8C;AAE9C,MAAM,wBAAwB,GAA2B;IACvD,IAAI,EAAE,IAAI;IACV,IAAI,EAAE,IAAI;IACV,IAAI,EAAE,IAAI;IACV,KAAK,EAAE,KAAK;IACZ,KAAK,EAAE,KAAK;IAEZ,IAAI,EAAE,IAAI;IACV,IAAI,EAAE,IAAI;IACV,IAAI,EAAE,IAAI;IACV,IAAI,EAAE,IAAI;IACV,KAAK,EAAE,KAAK;IAEZ,GAAG,EAAE,IAAI;IACT,GAAG,EAAE,IAAI;IACT,GAAG,EAAE,IAAI;CACV,CAAC;AAEF,MAAM,2BAA2B,GAA2B;IAC1D,IAAI,EAAE,qBAAqB;IAC3B,IAAI,EAAE,qBAAqB;IAC3B,IAAI,EAAE,qBAAqB;IAC3B,KAAK,EAAE,sBAAsB;IAC7B,KAAK,EAAE,sBAAsB;IAE7B,IAAI,EAAE,qBAAqB;IAC3B,IAAI,EAAE,qBAAqB;IAC3B,IAAI,EAAE,qBAAqB;IAC3B,IAAI,EAAE,qBAAqB;IAC3B,KAAK,EAAE,sBAAsB;IAE7B,GAAG,EAAE,qBAAqB;IAC1B,GAAG,EAAE,qBAAqB;IAC1B,GAAG,EAAE,qBAAqB;CAC3B,CAAC;AAEF,IAAA,kCAAoB,EAAQ,mBAAQ,CAAC,WAAW,EAAE,EAAE;IAClD,SAAS,EAAE,MAAM;IACjB,sBAAsB,EAAE,CAAC,KAAK,CAAC;IAC/B,QAAQ,EAAE,IAAI;IACd,cAAc,EAAE,EAAE,UAAU,EAAE,CAAC,EAAE;IACjC,OAAO,EAAE,UAAiB,EAAE,SAAS,EAAE,QAAQ,EAAE;;YAC/C,MAAM,CAAC,aAAa,EAAE,UAAU,EAAE,QAAQ,CAAC,GAAG,IAAA,kBAAU,EAAC,SAAS,CAAC,CAAC;YACpE,MAAM,MAAM,GAAG,IAAA,+BAAuB,EAAC,QAAQ,CAAC,CAAC;YACjD,IAAI,CAAC,aAAa,EAAE;gBAClB,MAAM,2BAA2B,CAAC;aACnC;YACD,IAAI,CAAC,UAAU,EAAE;gBACf,MAAM,wBAAwB,CAAC;aAChC;YACD,IAAI,CAAC,MAAM,EAAE;gBACX,MAAM,qBAAqB,CAAC;aAC7B;YACD,MAAM,CAAC,QAAQ,EAAE,MAAM,CAAC,GAAG,IAAA,kBAAU,EAAC,UAAU,CAAC,CAAC;YAClD,IAAI,CAAC,MAAM,EAAE;gBACX,MAAM,uBAAuB,UAAU,EAAE,CAAC;aAC3C;YAED,MAAM,GAAG,GAAG,wBAAwB,CAAC,QAAQ,CAAC,CAAC;YAC/C,IAAI,CAAC,GAAG,EAAE;gBACR,MAAM,yBAAyB,QAAQ,EAAE,CAAC;aAC3C;YAED,IAAI,gBAAgB,GAAG,QAAQ,CAAC;YAEhC,OAAO,IAAI,EAAE;gBACX,yBAAyB;gBACzB,MAAM,GAAG,GAAG,cAAM,YAAM,CAAC,iBAAiB,CAAC;oBACzC,MAAM;oBACN,GAAG;oBACH,KAAK,EAAE,GAAG,gBAAgB,EAAE;oBAC5B,KAAK,EAAE,KAAK;iBACb,CAAC,CAAA,CAAC;gBACH,IAAI,GAAG,CAAC,IAAI,KAAK,GAAG,EAAE;oBACpB,MAAM,eAAe,GAAG,CAAC,IAAI,IAAI,GAAG,CAAC,GAAG,EAAE,CAAC;iBAC5C;gBACD,IAAI,GAAG,CAAC,IAAI,CAAC,MAAM,KAAK,CAAC;oBAAE,MAAM;gBACjC,gBAAgB,GAAG,CAAC,GAAG,CAAC,IAAI,CAAC,GAAG,CAAC,IAAI,CAAC,MAAM,GAAG,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC;gBACrD,MAAM,IAAI,GAAG,GAAG,CAAC,IAAI,CAAC,GAAG,CACvB,CAAC,CAAC,EAAS,EAAE,CAAC,CAAC;oBACb,SAAS;oBACT,aAAa;oBACb,UAAU;oBACV,QAAQ;oBACR,UAAU,EAAE,IAAA,kBAAU,EAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC;oBAC7B,SAAS,EAAE,IAAA,kBAAU,EAAC,CAAC,CAAC,CAAC,CAAC,CAAC,GAAG,MAAM,CAAC;oBACrC,IAAI,EAAE,CAAC,CAAC,CAAC,CAAC;oBACV,IAAI,EAAE,CAAC,CAAC,CAAC,CAAC;oBACV,GAAG,EAAE,CAAC,CAAC,CAAC,CAAC;oBACT,KAAK,EAAE,CAAC,CAAC,CAAC,CAAC;oBACX,MAAM,EAAE,CAAC,CAAC,CAAC,CAAC;oBACZ,aAAa,EAAE,GAAG;iBACnB,CAAC,CACH,CAAC;gBACF,oBAAM,IAAI,CAAA,CAAC;gBACX,cAAM,IAAA,qBAAc,EAAC,IAAA,YAAK,EAAC,IAAI,CAAC,CAAC,CAAA,CAAC;aACnC;QACH,CAAC;KAAA;CACF,CAAC,CAAC;AAEH,mBAAQ,CAAC,WAAW,EAAE,CAAC,OAAO,CAAC,cAAc,CAAC,MAAM,EAAE,EAAE,OAAO,EAAE,OAAO,EAAE,EAAE,CAAC,SAAS,EAAE,EAAE;IACxF,8BAA8B;IAC9B,MAAM,CAAC,aAAa,EAAE,UAAU,EAAE,QAAQ,CAAC,GAAG,IAAA,kBAAU,EAAC,SAAS,CAAC,CAAC;IACpE,MAAM,CAAC,EAAE,MAAM,CAAC,GAAG,IAAA,kBAAU,EAAC,UAAU,CAAC,CAAC;IAC1C,MAAM,MAAM,GAAG,IAAA,+BAAuB,EAAC,QAAQ,CAAC,CAAC;IACjD,IAAI,CAAC,aAAa,EAAE;QAClB,MAAM,2BAA2B,CAAC;KACnC;IACD,IAAI,CAAC,UAAU,EAAE;QACf,MAAM,wBAAwB,CAAC;KAChC;IACD,IAAI,CAAC,MAAM,EAAE;QACX,MAAM,qBAAqB,CAAC;KAC7B;IACD,MAAM,UAAU,GAAG,2BAA2B,CAAC,QAAQ,CAAC,CAAC;IACzD,OAAO,CAAC,IAAI,CAAC,IAAA,kBAAU,EAAC,IAAI,CAAC,GAAG,EAAE,CAAC,EAAE,WAAW,EAAE,SAAS,CAAC,CAAC;IAC7D,OAAO,IAAI,iBAAU,CAAQ,CAAC,UAAU,EAAE,EAAE;QAC1C,OAAO,CAAC,IAAI,CAAC,IAAA,kBAAU,EAAC,IAAI,CAAC,GAAG,EAAE,CAAC,EAAE,WAAW,EAAE,UAAU,EAAE,MAAM,CAAC,CAAC;QACtE,+BAAmB,CAAC,SAAS,CAAC,UAAU,EAAE,MAAM,EAAE,KAAK,EAAE,IAAc,EAAE,EAAE;YACzE,MAAM,UAAU,GAAG,MAAM,CAAC,IAAI,CAAC,CAAC,CAAC,CAAC,CAAC;YACnC,MAAM,SAAS,GAAG,UAAU,GAAG,MAAM,CAAC;YACtC,MAAM,IAAI,GAAG,IAAI,CAAC,CAAC,CAAC,CAAC;YACrB,MAAM,IAAI,GAAG,IAAI,CAAC,CAAC,CAAC,CAAC;YACrB,MAAM,GAAG,GAAG,IAAI,CAAC,CAAC,CAAC,CAAC;YACpB,MAAM,KAAK,GAAG,IAAI,CAAC,CAAC,CAAC,CAAC;YACtB,IAAI,KAAK,CAAC,SAAS,CAAC,EAAE;gBACpB,OAAO;aACR;YACD,OAAO,CAAC,IAAI,CAAC,IAAA,kBAAU,EAAC,IAAI,CAAC,GAAG,EAAE,CAAC,EAAE,YAAY,EAAE,IAAI,CAAC,CAAC;YACzD,MAAM,UAAU,GAAU;gBACxB,SAAS,EAAE,IAAA,kBAAU,EAAC,SAAS,CAAC;gBAChC,UAAU,EAAE,IAAA,kBAAU,EAAC,UAAU,CAAC;gBAClC,IAAI;gBACJ,IAAI;gBACJ,GAAG;gBACH,KAAK;gBACL,SAAS;gBACT,aAAa;gBACb,QAAQ;gBACR,UAAU;gBACV,MAAM,EAAE,GAAG;gBACX,aAAa,EAAE,GAAG;aACnB,CAAC;YACF,UAAU,CAAC,IAAI,CAAC,UAAU,CAAC,CAAC;QAC9B,CAAC,CAAC,CAAC;QACH,OAAO,GAAG,EAAE;YACV,+BAAmB,CAAC,WAAW,CAAC,UAAU,EAAE,MAAM,CAAC,CAAC;QACtD,CAAC,CAAC;IACJ,CAAC,CAAC,CAAC,IAAI,CACL,IAAA,gBAAU,EAAC;QACT,SAAS,EAAE,MAAM;QACjB,YAAY,EAAE,CAAC,YAAY,EAAE,WAAW,CAAC;QACzC,aAAa,EAAE,IAAI;QACnB,QAAQ,EAAE,mBAAQ,CAAC,WAAW,EAAE;QAChC,KAAK,EAAE,CAAC,CAAC,EAAE,EAAE,CAAC,IAAA,kBAAU,EAAC,CAAC,CAAC,UAAU,EAAE,CAAC,CAAC,SAAS,CAAC;KACpD,CAAC,CACH,CAAC;AACJ,CAAC,CAAC,CAAC","sourcesContent":["import { 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/lib/websocket.d.ts

@@ -0,0 +1,14 @@
+declare class OKXWsClient {
+    ws: WebSocket;
+    connected: boolean;
+    subscriptions: Set<string>;
+    handlers: Record<string, Function>;
+    pendingSub: string[];
+    constructor(url: string);
+    handleMessage(raw: any): void;
+    subscribe(channel: string, instId?: string, handler?: Function): void;
+    unsubscribe(channel: string, instId?: string): void;
+}
+export declare const okxBusinessWsClient: OKXWsClient;
+export {};
+//# sourceMappingURL=websocket.d.ts.map

package/lib/websocket.d.ts.map

@@ -0,0 +1 @@
+{"version":3,"file":"websocket.d.ts","sourceRoot":"","sources":["../src/websocket.ts"],"names":[],"mappings":"AAGA,cAAM,WAAW;IACf,EAAE,EAAE,SAAS,CAAC;IACd,SAAS,EAAE,OAAO,CAAS;IAC3B,aAAa,EAAE,GAAG,CAAC,MAAM,CAAC,CAAC;IAC3B,QAAQ,EAAE,MAAM,CAAC,MAAM,EAAE,QAAQ,CAAC,CAAC;IACnC,UAAU,EAAE,MAAM,EAAE,CAAC;gBACT,GAAG,EAAE,MAAM;IAsBvB,aAAa,CAAC,GAAG,EAAE,GAAG;IActB,SAAS,CAAC,OAAO,EAAE,MAAM,EAAE,MAAM,CAAC,EAAE,MAAM,EAAE,OAAO,CAAC,EAAE,QAAQ;IA0B9D,WAAW,CAAC,OAAO,EAAE,MAAM,EAAE,MAAM,CAAC,EAAE,MAAM;CAc7C;AAED,eAAO,MAAM,mBAAmB,aAA6D,CAAC"}

package/lib/websocket.js

@@ -0,0 +1,83 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.okxBusinessWsClient = void 0;
+const utils_1 = require("@yuants/utils");
+// import WebSocket from 'ws';
+class OKXWsClient {
+    constructor(url) {
+        this.connected = false;
+        // this.instId = instId;
+        this.ws = new WebSocket(url);
+        this.pendingSub = [];
+        // this.ws.
+        this.ws.addEventListener('open', () => {
+            this.connected = true;
+            console.info((0, utils_1.formatTime)(Date.now()), '✅ WS connected');
+            while (this.pendingSub.length > 0) {
+                const msg = this.pendingSub.shift();
+                if (msg) {
+                    this.ws.send(msg);
+                    console.info((0, utils_1.formatTime)(Date.now()), `📩 Sent subscribe for ${msg}`);
+                }
+            }
+        });
+        this.ws.addEventListener('message', (raw) => this.handleMessage(raw));
+        this.subscriptions = new Set();
+        this.handlers = {}; // key: channel, value: callback
+    }
+    // 处理消息
+    handleMessage(raw) {
+        var _a, _b;
+        const msg = JSON.parse(raw.data);
+        if ((_a = msg.arg) === null || _a === void 0 ? void 0 : _a.channel) {
+            const channelId = (0, utils_1.encodePath)(msg.arg.channel, msg.arg.instId);
+            const data = (_b = msg.data) === null || _b === void 0 ? void 0 : _b[0];
+            if (data && this.handlers[channelId]) {
+                this.handlers[channelId](data, msg.arg);
+            }
+        }
+        else if (msg.event) {
+            console.info('Event:', msg);
+        }
+    }
+    // 调用订阅
+    subscribe(channel, instId, handler) {
+        const channelId = (0, utils_1.encodePath)(channel, instId);
+        if (this.subscriptions.has(channelId)) {
+            console.info((0, utils_1.formatTime)(Date.now()), `⚠️ Already subscribed: ${channelId}`);
+            return;
+        }
+        const subMsg = {
+            op: 'subscribe',
+            args: [{ channel, instId }],
+        };
+        if (this.connected) {
+            this.ws.send(JSON.stringify(subMsg));
+            console.info((0, utils_1.formatTime)(Date.now()), `📩 Sent subscribe for ${channelId}`);
+        }
+        else {
+            this.pendingSub.push(JSON.stringify(subMsg));
+            console.info((0, utils_1.formatTime)(Date.now()), `📩 add subscribe for ${channelId} to pending list`);
+        }
+        this.subscriptions.add(channelId);
+        if (handler) {
+            this.handlers[channelId] = handler;
+        }
+    }
+    // 取消订阅
+    unsubscribe(channel, instId) {
+        const channelId = (0, utils_1.encodePath)(channel, instId);
+        if (!this.subscriptions.has(channelId))
+            return;
+        const unSubMsg = {
+            op: 'unsubscribe',
+            args: [{ channel, instId }],
+        };
+        this.ws.send(JSON.stringify(unSubMsg));
+        this.subscriptions.delete(channelId);
+        delete this.handlers[channelId];
+        console.info(`📩 Sent unsubscribe for ${channelId}`);
+    }
+}
+exports.okxBusinessWsClient = new OKXWsClient('wss://wspap.okx.com:8443/ws/v5/business');
+//# sourceMappingURL=websocket.js.map

package/lib/websocket.js.map

@@ -0,0 +1 @@
+{"version":3,"file":"websocket.js","sourceRoot":"","sources":["../src/websocket.ts"],"names":[],"mappings":";;;AAAA,yCAAuD;AACvD,8BAA8B;AAE9B,MAAM,WAAW;IAMf,YAAY,GAAW;QAJvB,cAAS,GAAY,KAAK,CAAC;QAKzB,wBAAwB;QACxB,IAAI,CAAC,EAAE,GAAG,IAAI,SAAS,CAAC,GAAG,CAAC,CAAC;QAC7B,IAAI,CAAC,UAAU,GAAG,EAAE,CAAC;QACrB,WAAW;QACX,IAAI,CAAC,EAAE,CAAC,gBAAgB,CAAC,MAAM,EAAE,GAAG,EAAE;YACpC,IAAI,CAAC,SAAS,GAAG,IAAI,CAAC;YACtB,OAAO,CAAC,IAAI,CAAC,IAAA,kBAAU,EAAC,IAAI,CAAC,GAAG,EAAE,CAAC,EAAE,gBAAgB,CAAC,CAAC;YACvD,OAAO,IAAI,CAAC,UAAU,CAAC,MAAM,GAAG,CAAC,EAAE;gBACjC,MAAM,GAAG,GAAG,IAAI,CAAC,UAAU,CAAC,KAAK,EAAE,CAAC;gBACpC,IAAI,GAAG,EAAE;oBACP,IAAI,CAAC,EAAE,CAAC,IAAI,CAAC,GAAG,CAAC,CAAC;oBAClB,OAAO,CAAC,IAAI,CAAC,IAAA,kBAAU,EAAC,IAAI,CAAC,GAAG,EAAE,CAAC,EAAE,yBAAyB,GAAG,EAAE,CAAC,CAAC;iBACtE;aACF;QACH,CAAC,CAAC,CAAC;QACH,IAAI,CAAC,EAAE,CAAC,gBAAgB,CAAC,SAAS,EAAE,CAAC,GAAG,EAAE,EAAE,CAAC,IAAI,CAAC,aAAa,CAAC,GAAG,CAAC,CAAC,CAAC;QACtE,IAAI,CAAC,aAAa,GAAG,IAAI,GAAG,EAAE,CAAC;QAC/B,IAAI,CAAC,QAAQ,GAAG,EAAE,CAAC,CAAC,gCAAgC;IACtD,CAAC;IAED,OAAO;IACP,aAAa,CAAC,GAAQ;;QACpB,MAAM,GAAG,GAAG,IAAI,CAAC,KAAK,CAAC,GAAG,CAAC,IAAI,CAAC,CAAC;QACjC,IAAI,MAAA,GAAG,CAAC,GAAG,0CAAE,OAAO,EAAE;YACpB,MAAM,SAAS,GAAG,IAAA,kBAAU,EAAC,GAAG,CAAC,GAAG,CAAC,OAAO,EAAE,GAAG,CAAC,GAAG,CAAC,MAAM,CAAC,CAAC;YAC9D,MAAM,IAAI,GAAG,MAAA,GAAG,CAAC,IAAI,0CAAG,CAAC,CAAC,CAAC;YAC3B,IAAI,IAAI,IAAI,IAAI,CAAC,QAAQ,CAAC,SAAS,CAAC,EAAE;gBACpC,IAAI,CAAC,QAAQ,CAAC,SAAS,CAAC,CAAC,IAAI,EAAE,GAAG,CAAC,GAAG,CAAC,CAAC;aACzC;SACF;aAAM,IAAI,GAAG,CAAC,KAAK,EAAE;YACpB,OAAO,CAAC,IAAI,CAAC,QAAQ,EAAE,GAAG,CAAC,CAAC;SAC7B;IACH,CAAC;IAED,OAAO;IACP,SAAS,CAAC,OAAe,EAAE,MAAe,EAAE,OAAkB;QAC5D,MAAM,SAAS,GAAG,IAAA,kBAAU,EAAC,OAAO,EAAE,MAAM,CAAC,CAAC;QAC9C,IAAI,IAAI,CAAC,aAAa,CAAC,GAAG,CAAC,SAAS,CAAC,EAAE;YACrC,OAAO,CAAC,IAAI,CAAC,IAAA,kBAAU,EAAC,IAAI,CAAC,GAAG,EAAE,CAAC,EAAE,0BAA0B,SAAS,EAAE,CAAC,CAAC;YAC5E,OAAO;SACR;QAED,MAAM,MAAM,GAAG;YACb,EAAE,EAAE,WAAW;YACf,IAAI,EAAE,CAAC,EAAE,OAAO,EAAE,MAAM,EAAE,CAAC;SAC5B,CAAC;QAEF,IAAI,IAAI,CAAC,SAAS,EAAE;YAClB,IAAI,CAAC,EAAE,CAAC,IAAI,CAAC,IAAI,CAAC,SAAS,CAAC,MAAM,CAAC,CAAC,CAAC;YACrC,OAAO,CAAC,IAAI,CAAC,IAAA,kBAAU,EAAC,IAAI,CAAC,GAAG,EAAE,CAAC,EAAE,yBAAyB,SAAS,EAAE,CAAC,CAAC;SAC5E;aAAM;YACL,IAAI,CAAC,UAAU,CAAC,IAAI,CAAC,IAAI,CAAC,SAAS,CAAC,MAAM,CAAC,CAAC,CAAC;YAC7C,OAAO,CAAC,IAAI,CAAC,IAAA,kBAAU,EAAC,IAAI,CAAC,GAAG,EAAE,CAAC,EAAE,wBAAwB,SAAS,kBAAkB,CAAC,CAAC;SAC3F;QACD,IAAI,CAAC,aAAa,CAAC,GAAG,CAAC,SAAS,CAAC,CAAC;QAClC,IAAI,OAAO,EAAE;YACX,IAAI,CAAC,QAAQ,CAAC,SAAS,CAAC,GAAG,OAAO,CAAC;SACpC;IACH,CAAC;IAED,OAAO;IACP,WAAW,CAAC,OAAe,EAAE,MAAe;QAC1C,MAAM,SAAS,GAAG,IAAA,kBAAU,EAAC,OAAO,EAAE,MAAM,CAAC,CAAC;QAC9C,IAAI,CAAC,IAAI,CAAC,aAAa,CAAC,GAAG,CAAC,SAAS,CAAC;YAAE,OAAO;QAE/C,MAAM,QAAQ,GAAG;YACf,EAAE,EAAE,aAAa;YACjB,IAAI,EAAE,CAAC,EAAE,OAAO,EAAE,MAAM,EAAE,CAAC;SAC5B,CAAC;QAEF,IAAI,CAAC,EAAE,CAAC,IAAI,CAAC,IAAI,CAAC,SAAS,CAAC,QAAQ,CAAC,CAAC,CAAC;QACvC,IAAI,CAAC,aAAa,CAAC,MAAM,CAAC,SAAS,CAAC,CAAC;QACrC,OAAO,IAAI,CAAC,QAAQ,CAAC,SAAS,CAAC,CAAC;QAChC,OAAO,CAAC,IAAI,CAAC,2BAA2B,SAAS,EAAE,CAAC,CAAC;IACvD,CAAC;CACF;AAEY,QAAA,mBAAmB,GAAG,IAAI,WAAW,CAAC,yCAAyC,CAAC,CAAC","sourcesContent":["import { encodePath, formatTime } from '@yuants/utils';\n// import WebSocket from 'ws';\n\nclass OKXWsClient {\n  ws: WebSocket;\n  connected: boolean = false;\n  subscriptions: Set<string>;\n  handlers: Record<string, Function>;\n  pendingSub: string[];\n  constructor(url: string) {\n    // this.instId = instId;\n    this.ws = new WebSocket(url);\n    this.pendingSub = [];\n    // this.ws.\n    this.ws.addEventListener('open', () => {\n      this.connected = true;\n      console.info(formatTime(Date.now()), '✅ WS connected');\n      while (this.pendingSub.length > 0) {\n        const msg = this.pendingSub.shift();\n        if (msg) {\n          this.ws.send(msg);\n          console.info(formatTime(Date.now()), `📩 Sent subscribe for ${msg}`);\n        }\n      }\n    });\n    this.ws.addEventListener('message', (raw) => this.handleMessage(raw));\n    this.subscriptions = new Set();\n    this.handlers = {}; // key: channel, value: callback\n  }\n\n  // 处理消息\n  handleMessage(raw: any) {\n    const msg = JSON.parse(raw.data);\n    if (msg.arg?.channel) {\n      const channelId = encodePath(msg.arg.channel, msg.arg.instId);\n      const data = msg.data?.[0];\n      if (data && this.handlers[channelId]) {\n        this.handlers[channelId](data, msg.arg);\n      }\n    } else if (msg.event) {\n      console.info('Event:', msg);\n    }\n  }\n\n  // 调用订阅\n  subscribe(channel: string, instId?: string, handler?: Function) {\n    const channelId = encodePath(channel, instId);\n    if (this.subscriptions.has(channelId)) {\n      console.info(formatTime(Date.now()), `⚠️ Already subscribed: ${channelId}`);\n      return;\n    }\n\n    const subMsg = {\n      op: 'subscribe',\n      args: [{ channel, instId }],\n    };\n\n    if (this.connected) {\n      this.ws.send(JSON.stringify(subMsg));\n      console.info(formatTime(Date.now()), `📩 Sent subscribe for ${channelId}`);\n    } else {\n      this.pendingSub.push(JSON.stringify(subMsg));\n      console.info(formatTime(Date.now()), `📩 add subscribe for ${channelId} to pending list`);\n    }\n    this.subscriptions.add(channelId);\n    if (handler) {\n      this.handlers[channelId] = handler;\n    }\n  }\n\n  // 取消订阅\n  unsubscribe(channel: string, instId?: string) {\n    const channelId = encodePath(channel, instId);\n    if (!this.subscriptions.has(channelId)) return;\n\n    const unSubMsg = {\n      op: 'unsubscribe',\n      args: [{ channel, instId }],\n    };\n\n    this.ws.send(JSON.stringify(unSubMsg));\n    this.subscriptions.delete(channelId);\n    delete this.handlers[channelId];\n    console.info(`📩 Sent unsubscribe for ${channelId}`);\n  }\n}\n\nexport const okxBusinessWsClient = new OKXWsClient('wss://wspap.okx.com:8443/ws/v5/business');\n"]}

package/package.json

@@ -1,6 +1,6 @@
 {
 	"name": "@yuants/vendor-okx",
-	"version": "0.17.0",
+	"version": "0.17.1",
 	"bin": "lib/cli.js",
 	"files": [
 		"dist",
@@ -21,7 +21,8 @@
 		"@yuants/data-quote": "0.2.8",
 		"@yuants/secret": "0.1.8",
 		"rxjs": "~7.5.6",
-		"crypto-js": "^4.2.0"
+		"crypto-js": "^4.2.0",
+		"ws": "~8.8.1"
 	},
 	"devDependencies": {
 		"@microsoft/api-extractor": "~7.30.0",
@@ -33,7 +34,8 @@
 		"@yuants/extension": "0.2.20",
 		"@yuants/tool-kit": "0.1.10",
 		"typescript": "~4.7.4",
-		"ts-node": "~10.9.2"
+		"ts-node": "~10.9.2",
+		"@types/ws": "~8.5.3"
 	},
 	"publishConfig": {
 		"registry": "https://registry.npmjs.org",

package/temp/image-tag

@@ -1 +1 @@
-sha-2f48570b296b869ba0bf6c49ff7fe9707d2cfbbd
+sha-8e0b6ef6a5e54de9f49b72355c2845da5cb055a5

package/temp/package-deps.json

@@ -1,6 +1,6 @@
 {
-    "apps/vendor-okx/CHANGELOG.json": "06dc61c9cbeeabc83f26bd6ec0f11d37f0af8bdd",
-    "apps/vendor-okx/CHANGELOG.md": "426114c52bd9c1b297b89d2ff9e7d758a3531c0f",
+    "apps/vendor-okx/CHANGELOG.json": "065eafb1c1ec13c2d594c989bc205c94a874e9ce",
+    "apps/vendor-okx/CHANGELOG.md": "1d22611d9bf572cbd8f0f7f901dcb555b4a14192",
     "apps/vendor-okx/README.md": "ac3d1f6c4c8d73066664699b0bb1b01db02e67a2",
     "apps/vendor-okx/api-extractor.json": "62f4fd324425b9a235f0c117975967aab09ced0c",
     "apps/vendor-okx/build/Dockerfile": "e625b9593e496c343297c9ce133d6cc4be9617a7",
@@ -8,7 +8,7 @@
     "apps/vendor-okx/config/rig.json": "f6c7b5537dc77a3170ba9f008bae3b6c3ee11956",
     "apps/vendor-okx/config/typescript.json": "854907e8a821f2050f6533368db160c649c25348",
     "apps/vendor-okx/etc/vendor-okx.api.md": "92c54ccd547d2ad81ca6088158ca193e85c208df",
-    "apps/vendor-okx/package.json": "081bb6896ce4f8a4e220cc6d559d4a96cc9e9b58",
+    "apps/vendor-okx/package.json": "38623ab0fceb6799e6363732a5669cb9dd647648",
     "apps/vendor-okx/src/account.ts": "ee25dbdc249b056856d64d3a67e654d8aa2dc53b",
     "apps/vendor-okx/src/api.ts": "0433a359ec1fb84c866c1875b630cbb861696533",
     "apps/vendor-okx/src/cli.ts": "9bf6b5559a6c6f33da20e74cc6c5d702c60ec891",
@@ -18,12 +18,13 @@
     "apps/vendor-okx/src/interest_rate.ts": "da173624ffed4cb083d797328174fe717809769c",
     "apps/vendor-okx/src/legacy_index.ts": "19f9e4af4b6b8ae846e0800b1bd52d5eeaa8a2ce",
     "apps/vendor-okx/src/logger.ts": "d25d427e74f46819a601e0cb17d5358b22c8db7b",
-    "apps/vendor-okx/src/ohlc.ts": "9c65b2bc023456e20dc68df23ce1f337a7069860",
+    "apps/vendor-okx/src/ohlc.ts": "ffbe2feadd43befb925984fdc704d00527717e92",
     "apps/vendor-okx/src/order.ts": "09509ae5af4b212cc1c99c55c436b3b0ce8bda33",
     "apps/vendor-okx/src/product.ts": "a2e7feb86bc01fe3b1af6dcb9a9ebfba6be91434",
     "apps/vendor-okx/src/quote.ts": "b8dd019e6cceb50e486a9d41e54385bda4e21ab0",
+    "apps/vendor-okx/src/websocket.ts": "7a22838b75247cdc3da90c8601100b6e8b34a350",
     "apps/vendor-okx/tsconfig.json": "81da8f78196974b5d15da0edb6b2d9f48641063c",
-    "apps/vendor-okx/.rush/temp/shrinkwrap-deps.json": "36806d63574059eb02c064e905f29e2c595402be",
+    "apps/vendor-okx/.rush/temp/shrinkwrap-deps.json": "87df045a10e829fd62d50013da30fd929442d54c",
     "libraries/protocol/temp/package-deps.json": "d326f24867d9ae3fef16ff84ba537eabb7c8adf0",
     "libraries/transfer/temp/package-deps.json": "cb2786055e5e79cd7d9d0f5787e300ca1c0bf002",
     "libraries/data-account/temp/package-deps.json": "7fcf0ee1dd95c391d26c35e9c380a0fe3636c004",