@yuants/vendor-okx 0.17.1 → 0.17.3

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Files changed (18) hide show
  1. package/dist/account.js +24 -28
  2. package/dist/account.js.map +1 -1
  3. package/dist/ohlc.js +2 -1
  4. package/dist/ohlc.js.map +1 -1
  5. package/dist/websocket.js +15 -2
  6. package/dist/websocket.js.map +1 -1
  7. package/lib/account.d.ts.map +1 -1
  8. package/lib/account.js +24 -28
  9. package/lib/account.js.map +1 -1
  10. package/lib/ohlc.js +3 -2
  11. package/lib/ohlc.js.map +1 -1
  12. package/lib/websocket.d.ts +3 -3
  13. package/lib/websocket.d.ts.map +1 -1
  14. package/lib/websocket.js +16 -2
  15. package/lib/websocket.js.map +1 -1
  16. package/package.json +2 -2
  17. package/temp/image-tag +1 -1
  18. package/temp/package-deps.json +7 -7
package/dist/account.js CHANGED
@@ -95,31 +95,31 @@ export const tradingAccountInfo$ = accountPosition$.pipe(withLatestFrom(accountU
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  account_id: account_id,
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  updated_at: Date.now(),
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  money: money,
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- currencies: [money],
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  positions: positions,
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- orders: orders.data.map((x) => {
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- const order_type = x.ordType === 'market' ? 'MARKET' : x.ordType === 'limit' ? 'LIMIT' : 'UNKNOWN';
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- const order_direction = x.side === 'buy'
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- ? x.posSide === 'long'
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- ? 'OPEN_LONG'
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- : 'CLOSE_SHORT'
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- : x.posSide === 'short'
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- ? 'OPEN_SHORT'
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- : 'CLOSE_LONG';
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- return {
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- order_id: x.ordId,
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- account_id,
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- product_id: encodePath(x.instType, x.instId),
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- submit_at: +x.cTime,
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- filled_at: +x.fillTime,
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- order_type,
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- order_direction,
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- volume: +x.sz,
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- traded_volume: +x.accFillSz,
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- price: +x.px,
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- traded_price: +x.avgPx,
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- };
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- }),
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+ // orders: orders.data.map((x): IOrder => {
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+ // const order_type = x.ordType === 'market' ? 'MARKET' : x.ordType === 'limit' ? 'LIMIT' : 'UNKNOWN';
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+ // const order_direction =
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+ // x.side === 'buy'
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+ // ? x.posSide === 'long'
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+ // ? 'OPEN_LONG'
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+ // : 'CLOSE_SHORT'
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+ // : x.posSide === 'short'
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+ // ? 'OPEN_SHORT'
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+ // : 'CLOSE_LONG';
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+ // return {
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+ // order_id: x.ordId,
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+ // account_id,
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+ // product_id: encodePath(x.instType, x.instId),
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+ // submit_at: +x.cTime,
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+ // filled_at: +x.fillTime,
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+ // order_type,
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+ // order_direction,
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+ // volume: +x.sz,
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+ // traded_volume: +x.accFillSz,
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+ // price: +x.px,
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+ // traded_price: +x.avgPx,
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+ // };
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+ // }),
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  };
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  }), shareReplay(1));
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  const sub = defer(() => accountUid$)
@@ -166,9 +166,7 @@ const fundingAccountInfo$ = combineLatest([accountUid$, assetBalance$, marketInd
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  account_id: `okx/${uid}/funding/USDT`,
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  updated_at: Date.now(),
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  money: money,
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- currencies: [money],
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  positions: positions,
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- orders: [],
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  };
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  }), shareReplay(1));
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  const savingBalance$ = defer(() => client.getFinanceSavingsBalance({})).pipe(repeat({ delay: 5000 }), retry({ delay: 5000 }), shareReplay(1));
@@ -190,9 +188,7 @@ const earningAccountInfo$ = combineLatest([accountUid$, savingBalance$]).pipe(ma
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  account_id: `okx/${uid}/earning/USDT`,
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  updated_at: Date.now(),
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  money: money,
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- currencies: [money],
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  positions: [],
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- orders: [],
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  };
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  }), shareReplay(1));
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  //# sourceMappingURL=account.js.map
package/dist/account.js.map CHANGED
@@ -1 +1 @@
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{\n addAccountMarket,\n IAccountInfo,\n IAccountMoney,\n IPosition,\n publishAccountInfo,\n} from '@yuants/data-account';\nimport { IOrder } from '@yuants/data-order';\nimport { Terminal } from '@yuants/protocol';\nimport { encodePath } from '@yuants/utils';\nimport { combineLatest, defer, filter, first, map, repeat, retry, shareReplay, withLatestFrom } from 'rxjs';\nimport { client } from './api';\nimport { mapProductIdToMarginProduct$, 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
@@ -15,7 +15,7 @@ import { Terminal } from '@yuants/protocol';
15
15
  import { convertDurationToOffset, decodePath, encodePath, formatTime } from '@yuants/utils';
16
16
  import { firstValueFrom, Observable, timer } from 'rxjs';
17
17
  import { client } from './api';
18
- import { okxBusinessWsClient } from './websocket';
18
+ import { OKXWsClient } from './websocket';
19
19
  import { writeToSQL } from '@yuants/sql';
20
20
  // 时间粒度，默认值1m
21
21
  // 如 [1m/3m/5m/15m/30m/1H/2H/4H]
@@ -130,6 +130,7 @@ Terminal.fromNodeEnv().channel.publishChannel('ohlc', { pattern: `^OKX/` }, (ser
130
130
  console.info(formatTime(Date.now()), `subscribe`, series_id);
131
131
  return new Observable((subscriber) => {
132
132
  console.info(formatTime(Date.now()), `subscribe`, candleType, instId);
133
+ const okxBusinessWsClient = new OKXWsClient('wss://wspap.okx.com:8443/ws/v5/business');
133
134
  okxBusinessWsClient.subscribe(candleType, instId, async (data) => {
134
135
  const created_at = Number(data[0]);
135
136
  const closed_at = created_at + offset;
package/dist/ohlc.js.map CHANGED
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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"]}
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 { OKXWsClient } from './websocket';\nimport { 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 const okxBusinessWsClient = new OKXWsClient('wss://wspap.okx.com:8443/ws/v5/business');\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 CHANGED
@@ -1,11 +1,19 @@
1
1
  import { encodePath, formatTime } from '@yuants/utils';
2
+ import { interval, tap } from 'rxjs';
2
3
  // import WebSocket from 'ws';
3
- class OKXWsClient {
4
+ export class OKXWsClient {
4
5
  constructor(url) {
5
6
  this.connected = false;
6
7
  // this.instId = instId;
7
8
  this.ws = new WebSocket(url);
8
9
  this.pendingSub = [];
10
+ this.keepAlive = interval(25000)
11
+ .pipe(tap(() => {
12
+ if (this.connected) {
13
+ this.ws.send('ping');
14
+ }
15
+ }))
16
+ .subscribe();
9
17
  // this.ws.
10
18
  this.ws.addEventListener('open', () => {
11
19
  this.connected = true;
@@ -25,6 +33,9 @@ class OKXWsClient {
25
33
  // 处理消息
26
34
  handleMessage(raw) {
27
35
  var _a, _b;
36
+ if (raw.data === 'pong') {
37
+ return;
38
+ }
28
39
  const msg = JSON.parse(raw.data);
29
40
  if ((_a = msg.arg) === null || _a === void 0 ? void 0 : _a.channel) {
30
41
  const channelId = encodePath(msg.arg.channel, msg.arg.instId);
@@ -72,9 +83,11 @@ class OKXWsClient {
72
83
  };
73
84
  this.ws.send(JSON.stringify(unSubMsg));
74
85
  this.subscriptions.delete(channelId);
86
+ if (this.subscriptions.size === 0) {
87
+ this.keepAlive.unsubscribe();
88
+ }
75
89
  delete this.handlers[channelId];
76
90
  console.info(`📩 Sent unsubscribe for ${channelId}`);
77
91
  }
78
92
  }
79
- export const okxBusinessWsClient = new OKXWsClient('wss://wspap.okx.com:8443/ws/v5/business');
80
93
  //# sourceMappingURL=websocket.js.map
package/dist/websocket.js.map CHANGED
@@ -1 +1 @@
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"]}
1
+ {"version":3,"file":"websocket.js","sourceRoot":"","sources":["../src/websocket.ts"],"names":[],"mappings":"AAAA,OAAO,EAAE,UAAU,EAAE,UAAU,EAAE,MAAM,eAAe,CAAC;AACvD,OAAO,EAAE,QAAQ,EAAgB,GAAG,EAAE,MAAM,MAAM,CAAC;AACnD,8BAA8B;AAE9B,MAAM,OAAO,WAAW;IAOtB,YAAY,GAAW;QALvB,cAAS,GAAY,KAAK,CAAC;QAMzB,wBAAwB;QACxB,IAAI,CAAC,EAAE,GAAG,IAAI,SAAS,CAAC,GAAG,CAAC,CAAC;QAC7B,IAAI,CAAC,UAAU,GAAG,EAAE,CAAC;QACrB,IAAI,CAAC,SAAS,GAAG,QAAQ,CAAC,KAAK,CAAC;aAC7B,IAAI,CACH,GAAG,CAAC,GAAG,EAAE;YACP,IAAI,IAAI,CAAC,SAAS,EAAE;gBAClB,IAAI,CAAC,EAAE,CAAC,IAAI,CAAC,MAAM,CAAC,CAAC;aACtB;QACH,CAAC,CAAC,CACH;aACA,SAAS,EAAE,CAAC;QACf,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;QAEH,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,IAAI,GAAG,CAAC,IAAI,KAAK,MAAM,EAAE;YACvB,OAAO;SACR;QACD,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,IAAI,IAAI,CAAC,aAAa,CAAC,IAAI,KAAK,CAAC,EAAE;YACjC,IAAI,CAAC,SAAS,CAAC,WAAW,EAAE,CAAC;SAC9B;QACD,OAAO,IAAI,CAAC,QAAQ,CAAC,SAAS,CAAC,CAAC;QAChC,OAAO,CAAC,IAAI,CAAC,2BAA2B,SAAS,EAAE,CAAC,CAAC;IACvD,CAAC;CACF","sourcesContent":["import { encodePath, formatTime } from '@yuants/utils';\nimport { interval, Subscription, tap } from 'rxjs';\n// import WebSocket from 'ws';\n\nexport class OKXWsClient {\n ws: WebSocket;\n connected: boolean = false;\n subscriptions: Set<string>;\n handlers: Record<string, Function>;\n pendingSub: string[];\n keepAlive: Subscription;\n constructor(url: string) {\n // this.instId = instId;\n this.ws = new WebSocket(url);\n this.pendingSub = [];\n this.keepAlive = interval(25000)\n .pipe(\n tap(() => {\n if (this.connected) {\n this.ws.send('ping');\n }\n }),\n )\n .subscribe();\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\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 if (raw.data === 'pong') {\n return;\n }\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 if (this.subscriptions.size === 0) {\n this.keepAlive.unsubscribe();\n }\n delete this.handlers[channelId];\n console.info(`📩 Sent unsubscribe for ${channelId}`);\n }\n}\n"]}
package/lib/account.d.ts.map CHANGED
@@ -1 +1 @@
1
- {"version":3,"file":"account.d.ts","sourceRoot":"","sources":["../src/account.ts"],"names":[],"mappings":"AAAA,OAAO,EAEL,YAAY,EAIb,MAAM,sBAAsB,CAAC;AAU9B,eAAO,MAAM,gBAAgB;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;EAI5B,CAAC;AAEF,eAAO,MAAM,cAAc;;;;;;;;;;;;;;;;;;;;;;;;;EAI1B,CAAC;AAQF,eAAO,MAAM,WAAW,mCAIvB,CAAC;AA+BF,eAAO,MAAM,mBAAmB,yCAqI/B,CAAC"}
1
+ {"version":3,"file":"account.d.ts","sourceRoot":"","sources":["../src/account.ts"],"names":[],"mappings":"AAAA,OAAO,EAEL,YAAY,EAIb,MAAM,sBAAsB,CAAC;AAU9B,eAAO,MAAM,gBAAgB;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;EAI5B,CAAC;AAEF,eAAO,MAAM,cAAc;;;;;;;;;;;;;;;;;;;;;;;;;EAI1B,CAAC;AAQF,eAAO,MAAM,WAAW,mCAIvB,CAAC;AA+BF,eAAO,MAAM,mBAAmB,yCAoI/B,CAAC"}
package/lib/account.js CHANGED
@@ -98,31 +98,31 @@ exports.tradingAccountInfo$ = exports.accountPosition$.pipe((0, rxjs_1.withLates
98
98
  account_id: account_id,
99
99
  updated_at: Date.now(),
100
100
  money: money,
101
- currencies: [money],
102
101
  positions: positions,
103
- orders: orders.data.map((x) => {
104
- const order_type = x.ordType === 'market' ? 'MARKET' : x.ordType === 'limit' ? 'LIMIT' : 'UNKNOWN';
105
- const order_direction = x.side === 'buy'
106
- ? x.posSide === 'long'
107
- ? 'OPEN_LONG'
108
- : 'CLOSE_SHORT'
109
- : x.posSide === 'short'
110
- ? 'OPEN_SHORT'
111
- : 'CLOSE_LONG';
112
- return {
113
- order_id: x.ordId,
114
- account_id,
115
- product_id: (0, utils_1.encodePath)(x.instType, x.instId),
116
- submit_at: +x.cTime,
117
- filled_at: +x.fillTime,
118
- order_type,
119
- order_direction,
120
- volume: +x.sz,
121
- traded_volume: +x.accFillSz,
122
- price: +x.px,
123
- traded_price: +x.avgPx,
124
- };
125
- }),
102
+ // orders: orders.data.map((x): IOrder => {
103
+ // const order_type = x.ordType === 'market' ? 'MARKET' : x.ordType === 'limit' ? 'LIMIT' : 'UNKNOWN';
104
+ // const order_direction =
105
+ // x.side === 'buy'
106
+ // ? x.posSide === 'long'
107
+ // ? 'OPEN_LONG'
108
+ // : 'CLOSE_SHORT'
109
+ // : x.posSide === 'short'
110
+ // ? 'OPEN_SHORT'
111
+ // : 'CLOSE_LONG';
112
+ // return {
113
+ // order_id: x.ordId,
114
+ // account_id,
115
+ // product_id: encodePath(x.instType, x.instId),
116
+ // submit_at: +x.cTime,
117
+ // filled_at: +x.fillTime,
118
+ // order_type,
119
+ // order_direction,
120
+ // volume: +x.sz,
121
+ // traded_volume: +x.accFillSz,
122
+ // price: +x.px,
123
+ // traded_price: +x.avgPx,
124
+ // };
125
+ // }),
126
126
  };
127
127
  }), (0, rxjs_1.shareReplay)(1));
128
128
  const sub = (0, rxjs_1.defer)(() => exports.accountUid$)
@@ -169,9 +169,7 @@ const fundingAccountInfo$ = (0, rxjs_1.combineLatest)([exports.accountUid$, asse
169
169
  account_id: `okx/${uid}/funding/USDT`,
170
170
  updated_at: Date.now(),
171
171
  money: money,
172
- currencies: [money],
173
172
  positions: positions,
174
- orders: [],
175
173
  };
176
174
  }), (0, rxjs_1.shareReplay)(1));
177
175
  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$, savi
193
191
  account_id: `okx/${uid}/earning/USDT`,
194
192
  updated_at: Date.now(),
195
193
  money: money,
196
- currencies: [money],
197
194
  positions: [],
198
- orders: [],
199
195
  };
200
196
  }), (0, rxjs_1.shareReplay)(1));
201
197
  //# sourceMappingURL=account.js.map
package/lib/account.js.map CHANGED
@@ -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
@@ -132,7 +132,8 @@ protocol_1.Terminal.fromNodeEnv().channel.publishChannel('ohlc', { pattern: `^OK
132
132
  console.info((0, utils_1.formatTime)(Date.now()), `subscribe`, series_id);
133
133
  return new rxjs_1.Observable((subscriber) => {
134
134
  console.info((0, utils_1.formatTime)(Date.now()), `subscribe`, candleType, instId);
135
- websocket_1.okxBusinessWsClient.subscribe(candleType, instId, async (data) => {
135
+ const okxBusinessWsClient = new websocket_1.OKXWsClient('wss://wspap.okx.com:8443/ws/v5/business');
136
+ okxBusinessWsClient.subscribe(candleType, instId, async (data) => {
136
137
  const created_at = Number(data[0]);
137
138
  const closed_at = created_at + offset;
138
139
  const open = data[1];
@@ -160,7 +161,7 @@ protocol_1.Terminal.fromNodeEnv().channel.publishChannel('ohlc', { pattern: `^OK
160
161
  subscriber.next(cancelData);
161
162
  });
162
163
  return () => {
163
- websocket_1.okxBusinessWsClient.unsubscribe(candleType, instId);
164
+ okxBusinessWsClient.unsubscribe(candleType, instId);
164
165
  };
165
166
  }).pipe((0, sql_1.writeToSQL)({
166
167
  tableName: 'ohlc',
package/lib/ohlc.js.map CHANGED
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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"]}
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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 { OKXWsClient } from './websocket';\nimport { 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 const okxBusinessWsClient = new OKXWsClient('wss://wspap.okx.com:8443/ws/v5/business');\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 CHANGED
@@ -1,14 +1,14 @@
1
- declare class OKXWsClient {
1
+ import { Subscription } from 'rxjs';
2
+ export declare class OKXWsClient {
2
3
  ws: WebSocket;
3
4
  connected: boolean;
4
5
  subscriptions: Set<string>;
5
6
  handlers: Record<string, Function>;
6
7
  pendingSub: string[];
8
+ keepAlive: Subscription;
7
9
  constructor(url: string);
8
10
  handleMessage(raw: any): void;
9
11
  subscribe(channel: string, instId?: string, handler?: Function): void;
10
12
  unsubscribe(channel: string, instId?: string): void;
11
13
  }
12
- export declare const okxBusinessWsClient: OKXWsClient;
13
- export {};
14
14
  //# sourceMappingURL=websocket.d.ts.map
package/lib/websocket.d.ts.map CHANGED
@@ -1 +1 @@
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"}
1
+ {"version":3,"file":"websocket.d.ts","sourceRoot":"","sources":["../src/websocket.ts"],"names":[],"mappings":"AACA,OAAO,EAAY,YAAY,EAAO,MAAM,MAAM,CAAC;AAGnD,qBAAa,WAAW;IACtB,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;IACrB,SAAS,EAAE,YAAY,CAAC;gBACZ,GAAG,EAAE,MAAM;IAgCvB,aAAa,CAAC,GAAG,EAAE,GAAG;IAiBtB,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;CAiB7C"}
package/lib/websocket.js CHANGED
@@ -1,7 +1,8 @@
1
1
  "use strict";
2
2
  Object.defineProperty(exports, "__esModule", { value: true });
3
- exports.okxBusinessWsClient = void 0;
3
+ exports.OKXWsClient = void 0;
4
4
  const utils_1 = require("@yuants/utils");
5
+ const rxjs_1 = require("rxjs");
5
6
  // import WebSocket from 'ws';
6
7
  class OKXWsClient {
7
8
  constructor(url) {
@@ -9,6 +10,13 @@ class OKXWsClient {
9
10
  // this.instId = instId;
10
11
  this.ws = new WebSocket(url);
11
12
  this.pendingSub = [];
13
+ this.keepAlive = (0, rxjs_1.interval)(25000)
14
+ .pipe((0, rxjs_1.tap)(() => {
15
+ if (this.connected) {
16
+ this.ws.send('ping');
17
+ }
18
+ }))
19
+ .subscribe();
12
20
  // this.ws.
13
21
  this.ws.addEventListener('open', () => {
14
22
  this.connected = true;
@@ -28,6 +36,9 @@ class OKXWsClient {
28
36
  // 处理消息
29
37
  handleMessage(raw) {
30
38
  var _a, _b;
39
+ if (raw.data === 'pong') {
40
+ return;
41
+ }
31
42
  const msg = JSON.parse(raw.data);
32
43
  if ((_a = msg.arg) === null || _a === void 0 ? void 0 : _a.channel) {
33
44
  const channelId = (0, utils_1.encodePath)(msg.arg.channel, msg.arg.instId);
@@ -75,9 +86,12 @@ class OKXWsClient {
75
86
  };
76
87
  this.ws.send(JSON.stringify(unSubMsg));
77
88
  this.subscriptions.delete(channelId);
89
+ if (this.subscriptions.size === 0) {
90
+ this.keepAlive.unsubscribe();
91
+ }
78
92
  delete this.handlers[channelId];
79
93
  console.info(`📩 Sent unsubscribe for ${channelId}`);
80
94
  }
81
95
  }
82
- exports.okxBusinessWsClient = new OKXWsClient('wss://wspap.okx.com:8443/ws/v5/business');
96
+ exports.OKXWsClient = OKXWsClient;
83
97
  //# sourceMappingURL=websocket.js.map
package/lib/websocket.js.map CHANGED
@@ -1 +1 @@
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"]}
1
+ {"version":3,"file":"websocket.js","sourceRoot":"","sources":["../src/websocket.ts"],"names":[],"mappings":";;;AAAA,yCAAuD;AACvD,+BAAmD;AACnD,8BAA8B;AAE9B,MAAa,WAAW;IAOtB,YAAY,GAAW;QALvB,cAAS,GAAY,KAAK,CAAC;QAMzB,wBAAwB;QACxB,IAAI,CAAC,EAAE,GAAG,IAAI,SAAS,CAAC,GAAG,CAAC,CAAC;QAC7B,IAAI,CAAC,UAAU,GAAG,EAAE,CAAC;QACrB,IAAI,CAAC,SAAS,GAAG,IAAA,eAAQ,EAAC,KAAK,CAAC;aAC7B,IAAI,CACH,IAAA,UAAG,EAAC,GAAG,EAAE;YACP,IAAI,IAAI,CAAC,SAAS,EAAE;gBAClB,IAAI,CAAC,EAAE,CAAC,IAAI,CAAC,MAAM,CAAC,CAAC;aACtB;QACH,CAAC,CAAC,CACH;aACA,SAAS,EAAE,CAAC;QACf,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;QAEH,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,IAAI,GAAG,CAAC,IAAI,KAAK,MAAM,EAAE;YACvB,OAAO;SACR;QACD,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,IAAI,IAAI,CAAC,aAAa,CAAC,IAAI,KAAK,CAAC,EAAE;YACjC,IAAI,CAAC,SAAS,CAAC,WAAW,EAAE,CAAC;SAC9B;QACD,OAAO,IAAI,CAAC,QAAQ,CAAC,SAAS,CAAC,CAAC;QAChC,OAAO,CAAC,IAAI,CAAC,2BAA2B,SAAS,EAAE,CAAC,CAAC;IACvD,CAAC;CACF;AAnGD,kCAmGC","sourcesContent":["import { encodePath, formatTime } from '@yuants/utils';\nimport { interval, Subscription, tap } from 'rxjs';\n// import WebSocket from 'ws';\n\nexport class OKXWsClient {\n ws: WebSocket;\n connected: boolean = false;\n subscriptions: Set<string>;\n handlers: Record<string, Function>;\n pendingSub: string[];\n keepAlive: Subscription;\n constructor(url: string) {\n // this.instId = instId;\n this.ws = new WebSocket(url);\n this.pendingSub = [];\n this.keepAlive = interval(25000)\n .pipe(\n tap(() => {\n if (this.connected) {\n this.ws.send('ping');\n }\n }),\n )\n .subscribe();\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\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 if (raw.data === 'pong') {\n return;\n }\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 if (this.subscriptions.size === 0) {\n this.keepAlive.unsubscribe();\n }\n delete this.handlers[channelId];\n console.info(`📩 Sent unsubscribe for ${channelId}`);\n }\n}\n"]}
package/package.json CHANGED
@@ -1,6 +1,6 @@
1
1
  {
2
2
  "name": "@yuants/vendor-okx",
3
- "version": "0.17.1",
3
+ "version": "0.17.3",
4
4
  "bin": "lib/cli.js",
5
5
  "files": [
6
6
  "dist",
@@ -10,7 +10,7 @@
10
10
  "dependencies": {
11
11
  "@yuants/protocol": "0.37.2",
12
12
  "@yuants/transfer": "0.2.4",
13
- "@yuants/data-account": "0.3.3",
13
+ "@yuants/data-account": "0.3.4",
14
14
  "@yuants/data-order": "0.2.1",
15
15
  "@yuants/utils": "0.5.0",
16
16
  "@yuants/sql": "0.8.3",
package/temp/image-tag CHANGED
@@ -1 +1 @@
1
- sha-8e0b6ef6a5e54de9f49b72355c2845da5cb055a5
1
+ sha-d95979d74a67e3acd2992d0122adf5416f2953aa
package/temp/package-deps.json CHANGED
@@ -1,6 +1,6 @@
1
1
  {
2
- "apps/vendor-okx/CHANGELOG.json": "065eafb1c1ec13c2d594c989bc205c94a874e9ce",
3
- "apps/vendor-okx/CHANGELOG.md": "1d22611d9bf572cbd8f0f7f901dcb555b4a14192",
2
+ "apps/vendor-okx/CHANGELOG.json": "87a6ba0fc2a5e991bf0e1effc2c23e42438992e2",
3
+ "apps/vendor-okx/CHANGELOG.md": "405b54aa42cb886fc0c9b5a441695bad90b5d95a",
4
4
  "apps/vendor-okx/README.md": "ac3d1f6c4c8d73066664699b0bb1b01db02e67a2",
5
5
  "apps/vendor-okx/api-extractor.json": "62f4fd324425b9a235f0c117975967aab09ced0c",
6
6
  "apps/vendor-okx/build/Dockerfile": "e625b9593e496c343297c9ce133d6cc4be9617a7",
@@ -8,8 +8,8 @@
8
8
  "apps/vendor-okx/config/rig.json": "f6c7b5537dc77a3170ba9f008bae3b6c3ee11956",
9
9
  "apps/vendor-okx/config/typescript.json": "854907e8a821f2050f6533368db160c649c25348",
10
10
  "apps/vendor-okx/etc/vendor-okx.api.md": "92c54ccd547d2ad81ca6088158ca193e85c208df",
11
- "apps/vendor-okx/package.json": "38623ab0fceb6799e6363732a5669cb9dd647648",
12
- "apps/vendor-okx/src/account.ts": "ee25dbdc249b056856d64d3a67e654d8aa2dc53b",
11
+ "apps/vendor-okx/package.json": "2fa5993fee4ef8b59320546bfa9c1dd4593f3ed2",
12
+ "apps/vendor-okx/src/account.ts": "7e8bb44845269a401a850aff2e5bf170b0811bd8",
13
13
  "apps/vendor-okx/src/api.ts": "0433a359ec1fb84c866c1875b630cbb861696533",
14
14
  "apps/vendor-okx/src/cli.ts": "9bf6b5559a6c6f33da20e74cc6c5d702c60ec891",
15
15
  "apps/vendor-okx/src/cluster.ts": "9971d8d5e6af16e09d2d1fe5e9f05ccee87281e8",
@@ -18,16 +18,16 @@
18
18
  "apps/vendor-okx/src/interest_rate.ts": "da173624ffed4cb083d797328174fe717809769c",
19
19
  "apps/vendor-okx/src/legacy_index.ts": "19f9e4af4b6b8ae846e0800b1bd52d5eeaa8a2ce",
20
20
  "apps/vendor-okx/src/logger.ts": "d25d427e74f46819a601e0cb17d5358b22c8db7b",
21
- "apps/vendor-okx/src/ohlc.ts": "ffbe2feadd43befb925984fdc704d00527717e92",
21
+ "apps/vendor-okx/src/ohlc.ts": "0b8c9b32238a4e26954dbd5360e129b3850df1ae",
22
22
  "apps/vendor-okx/src/order.ts": "09509ae5af4b212cc1c99c55c436b3b0ce8bda33",
23
23
  "apps/vendor-okx/src/product.ts": "a2e7feb86bc01fe3b1af6dcb9a9ebfba6be91434",
24
24
  "apps/vendor-okx/src/quote.ts": "b8dd019e6cceb50e486a9d41e54385bda4e21ab0",
25
- "apps/vendor-okx/src/websocket.ts": "7a22838b75247cdc3da90c8601100b6e8b34a350",
25
+ "apps/vendor-okx/src/websocket.ts": "59791907faef7adf2d1d4b6876cc6a476b5f7e3e",
26
26
  "apps/vendor-okx/tsconfig.json": "81da8f78196974b5d15da0edb6b2d9f48641063c",
27
27
  "apps/vendor-okx/.rush/temp/shrinkwrap-deps.json": "87df045a10e829fd62d50013da30fd929442d54c",
28
28
  "libraries/protocol/temp/package-deps.json": "d326f24867d9ae3fef16ff84ba537eabb7c8adf0",
29
29
  "libraries/transfer/temp/package-deps.json": "cb2786055e5e79cd7d9d0f5787e300ca1c0bf002",
30
- "libraries/data-account/temp/package-deps.json": "7fcf0ee1dd95c391d26c35e9c380a0fe3636c004",
30
+ "libraries/data-account/temp/package-deps.json": "0e5bd33f40288d3bc2a3b32cf51188a346a8dd34",
31
31
  "libraries/data-order/temp/package-deps.json": "58c4daa9bd7c6420bbf92efd003aa311ade858ae",
32
32
  "libraries/utils/temp/package-deps.json": "c747617da1c0a40843603c62a7477da641ff0aef",
33
33
  "libraries/sql/temp/package-deps.json": "1cb2248873d01ed732e8473f7b242a41f987fdd7",