npm - @yuants/vendor-okx - Versions diffs - 0.17.0 → 0.17.2 - Mend

@yuants/vendor-okx 0.17.0 → 0.17.2

This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.

Files changed (18) hide show

package/dist/account.js CHANGED Viewed

@@ -95,31 +95,31 @@ export const tradingAccountInfo$ = accountPosition$.pipe(withLatestFrom(accountU
         account_id: account_id,
         updated_at: Date.now(),
         money: money,
-        currencies: [money],
         positions: positions,
-        orders: orders.data.map((x) => {
-            const order_type = x.ordType === 'market' ? 'MARKET' : x.ordType === 'limit' ? 'LIMIT' : 'UNKNOWN';
-            const order_direction = x.side === 'buy'
-                ? x.posSide === 'long'
-                    ? 'OPEN_LONG'
-                    : 'CLOSE_SHORT'
-                : x.posSide === 'short'
-                    ? 'OPEN_SHORT'
-                    : 'CLOSE_LONG';
-            return {
-                order_id: x.ordId,
-                account_id,
-                product_id: encodePath(x.instType, x.instId),
-                submit_at: +x.cTime,
-                filled_at: +x.fillTime,
-                order_type,
-                order_direction,
-                volume: +x.sz,
-                traded_volume: +x.accFillSz,
-                price: +x.px,
-                traded_price: +x.avgPx,
-            };
-        }),
+        // orders: orders.data.map((x): IOrder => {
+        //   const order_type = x.ordType === 'market' ? 'MARKET' : x.ordType === 'limit' ? 'LIMIT' : 'UNKNOWN';
+        //   const order_direction =
+        //     x.side === 'buy'
+        //       ? x.posSide === 'long'
+        //         ? 'OPEN_LONG'
+        //         : 'CLOSE_SHORT'
+        //       : x.posSide === 'short'
+        //       ? 'OPEN_SHORT'
+        //       : 'CLOSE_LONG';
+        //   return {
+        //     order_id: x.ordId,
+        //     account_id,
+        //     product_id: encodePath(x.instType, x.instId),
+        //     submit_at: +x.cTime,
+        //     filled_at: +x.fillTime,
+        //     order_type,
+        //     order_direction,
+        //     volume: +x.sz,
+        //     traded_volume: +x.accFillSz,
+        //     price: +x.px,
+        //     traded_price: +x.avgPx,
+        //   };
+        // }),
     };
 }), shareReplay(1));
 const sub = defer(() => accountUid$)
@@ -166,9 +166,7 @@ const fundingAccountInfo$ = combineLatest([accountUid$, assetBalance$, marketInd
         account_id: `okx/${uid}/funding/USDT`,
         updated_at: Date.now(),
         money: money,
-        currencies: [money],
         positions: positions,
-        orders: [],
     };
 }), shareReplay(1));
 const savingBalance$ = defer(() => client.getFinanceSavingsBalance({})).pipe(repeat({ delay: 5000 }), retry({ delay: 5000 }), shareReplay(1));
@@ -190,9 +188,7 @@ const earningAccountInfo$ = combineLatest([accountUid$, savingBalance$]).pipe(ma
         account_id: `okx/${uid}/earning/USDT`,
         updated_at: Date.now(),
         money: money,
-        currencies: [money],
         positions: [],
-        orders: [],
     };
 }), shareReplay(1));
 //# sourceMappingURL=account.js.map

package/dist/account.js.map CHANGED Viewed

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

package/dist/ohlc.js CHANGED Viewed

@@ -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 CHANGED Viewed

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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/websocket.js ADDED Viewed

@@ -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 ADDED Viewed

@@ -0,0 +1 @@

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// 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/account.d.ts.map CHANGED Viewed

	@@ -1 +1 @@
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1	+ {"version":3,"file":"account.d.ts","sourceRoot":"","sources":["../src/account.ts"],"names":[],"mappings":"AAAA,OAAO,EAEL,YAAY,EAIb,MAAM,sBAAsB,CAAC;AAU9B,eAAO,MAAM,gBAAgB;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;EAI5B,CAAC;AAEF,eAAO,MAAM,cAAc;;;;;;;;;;;;;;;;;;;;;;;;;EAI1B,CAAC;AAQF,eAAO,MAAM,WAAW,mCAIvB,CAAC;AA+BF,eAAO,MAAM,mBAAmB,yCAoI/B,CAAC"}

package/lib/account.js CHANGED Viewed

@@ -98,31 +98,31 @@ exports.tradingAccountInfo$ = exports.accountPosition$.pipe((0, rxjs_1.withLates
         account_id: account_id,
         updated_at: Date.now(),
         money: money,
-        currencies: [money],
         positions: positions,
-        orders: orders.data.map((x) => {
-            const order_type = x.ordType === 'market' ? 'MARKET' : x.ordType === 'limit' ? 'LIMIT' : 'UNKNOWN';
-            const order_direction = x.side === 'buy'
-                ? x.posSide === 'long'
-                    ? 'OPEN_LONG'
-                    : 'CLOSE_SHORT'
-                : x.posSide === 'short'
-                    ? 'OPEN_SHORT'
-                    : 'CLOSE_LONG';
-            return {
-                order_id: x.ordId,
-                account_id,
-                product_id: (0, utils_1.encodePath)(x.instType, x.instId),
-                submit_at: +x.cTime,
-                filled_at: +x.fillTime,
-                order_type,
-                order_direction,
-                volume: +x.sz,
-                traded_volume: +x.accFillSz,
-                price: +x.px,
-                traded_price: +x.avgPx,
-            };
-        }),
+        // orders: orders.data.map((x): IOrder => {
+        //   const order_type = x.ordType === 'market' ? 'MARKET' : x.ordType === 'limit' ? 'LIMIT' : 'UNKNOWN';
+        //   const order_direction =
+        //     x.side === 'buy'
+        //       ? x.posSide === 'long'
+        //         ? 'OPEN_LONG'
+        //         : 'CLOSE_SHORT'
+        //       : x.posSide === 'short'
+        //       ? 'OPEN_SHORT'
+        //       : 'CLOSE_LONG';
+        //   return {
+        //     order_id: x.ordId,
+        //     account_id,
+        //     product_id: encodePath(x.instType, x.instId),
+        //     submit_at: +x.cTime,
+        //     filled_at: +x.fillTime,
+        //     order_type,
+        //     order_direction,
+        //     volume: +x.sz,
+        //     traded_volume: +x.accFillSz,
+        //     price: +x.px,
+        //     traded_price: +x.avgPx,
+        //   };
+        // }),
     };
 }), (0, rxjs_1.shareReplay)(1));
 const sub = (0, rxjs_1.defer)(() => exports.accountUid$)
@@ -169,9 +169,7 @@ const fundingAccountInfo$ = (0, rxjs_1.combineLatest)([exports.accountUid$, asse
         account_id: `okx/${uid}/funding/USDT`,
         updated_at: Date.now(),
         money: money,
-        currencies: [money],
         positions: positions,
-        orders: [],
     };
 }), (0, rxjs_1.shareReplay)(1));
 const savingBalance$ = (0, rxjs_1.defer)(() => api_1.client.getFinanceSavingsBalance({})).pipe((0, rxjs_1.repeat)({ delay: 5000 }), (0, rxjs_1.retry)({ delay: 5000 }), (0, rxjs_1.shareReplay)(1));
@@ -193,9 +191,7 @@ const earningAccountInfo$ = (0, rxjs_1.combineLatest)([exports.accountUid$, savi
         account_id: `okx/${uid}/earning/USDT`,
         updated_at: Date.now(),
         money: money,
-        currencies: [money],
         positions: [],
-        orders: [],
     };
 }), (0, rxjs_1.shareReplay)(1));
 //# sourceMappingURL=account.js.map

package/lib/account.js.map CHANGED Viewed

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

package/lib/ohlc.js CHANGED Viewed

@@ -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 CHANGED Viewed

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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/lib/websocket.d.ts ADDED Viewed

@@ -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 ADDED Viewed

@@ -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 ADDED Viewed

@@ -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 ADDED Viewed

@@ -0,0 +1 @@

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// 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 CHANGED Viewed

@@ -1,6 +1,6 @@
 {
 	"name": "@yuants/vendor-okx",
-	"version": "0.17.0",
+	"version": "0.17.2",
 	"bin": "lib/cli.js",
 	"files": [
 		"dist",
@@ -10,7 +10,7 @@
 	"dependencies": {
 		"@yuants/protocol": "0.37.2",
 		"@yuants/transfer": "0.2.4",
-		"@yuants/data-account": "0.3.3",
+		"@yuants/data-account": "0.3.4",
 		"@yuants/data-order": "0.2.1",
 		"@yuants/utils": "0.5.0",
 		"@yuants/sql": "0.8.3",
@@ -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 CHANGED Viewed

	@@ -1 +1 @@
1	- sha-~~2f48570b296b869ba0bf6c49ff7fe9707d2cfbbd~~
1	+ sha-228c9502ea76194e265da7d2fac1dcb84e0d7ba1

package/temp/package-deps.json CHANGED Viewed

@@ -1,6 +1,6 @@
 {
-    "apps/vendor-okx/CHANGELOG.json": "06dc61c9cbeeabc83f26bd6ec0f11d37f0af8bdd",
-    "apps/vendor-okx/CHANGELOG.md": "426114c52bd9c1b297b89d2ff9e7d758a3531c0f",
+    "apps/vendor-okx/CHANGELOG.json": "e9e9f3ddafe30e5b667b2d328dcc6c667bfa698a",
+    "apps/vendor-okx/CHANGELOG.md": "b72c199aac0887db83707bd58ea43847304afbd2",
     "apps/vendor-okx/README.md": "ac3d1f6c4c8d73066664699b0bb1b01db02e67a2",
     "apps/vendor-okx/api-extractor.json": "62f4fd324425b9a235f0c117975967aab09ced0c",
     "apps/vendor-okx/build/Dockerfile": "e625b9593e496c343297c9ce133d6cc4be9617a7",
@@ -8,8 +8,8 @@
     "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/src/account.ts": "ee25dbdc249b056856d64d3a67e654d8aa2dc53b",
+    "apps/vendor-okx/package.json": "bc9c23f69c35eca3a4923f35b050135aec0dd676",
+    "apps/vendor-okx/src/account.ts": "7e8bb44845269a401a850aff2e5bf170b0811bd8",
     "apps/vendor-okx/src/api.ts": "0433a359ec1fb84c866c1875b630cbb861696533",
     "apps/vendor-okx/src/cli.ts": "9bf6b5559a6c6f33da20e74cc6c5d702c60ec891",
     "apps/vendor-okx/src/cluster.ts": "9971d8d5e6af16e09d2d1fe5e9f05ccee87281e8",
@@ -18,15 +18,16 @@
     "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",
+    "libraries/data-account/temp/package-deps.json": "0e5bd33f40288d3bc2a3b32cf51188a346a8dd34",
     "libraries/data-order/temp/package-deps.json": "58c4daa9bd7c6420bbf92efd003aa311ade858ae",
     "libraries/utils/temp/package-deps.json": "c747617da1c0a40843603c62a7477da641ff0aef",
     "libraries/sql/temp/package-deps.json": "1cb2248873d01ed732e8473f7b242a41f987fdd7",