@yuants/vendor-okx 0.19.1 → 0.20.0
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.
- package/dist/api.js +10 -0
- package/dist/api.js.map +1 -1
- package/dist/index.js +4 -2
- package/dist/index.js.map +1 -1
- package/dist/loan-account.js +60 -0
- package/dist/loan-account.js.map +1 -0
- package/dist/quote.js +79 -11
- package/dist/quote.js.map +1 -1
- package/dist/trade.js +1 -0
- package/dist/trade.js.map +1 -1
- package/dist/websocket.js +6 -0
- package/dist/websocket.js.map +1 -1
- package/lib/api.d.ts +32 -0
- package/lib/api.d.ts.map +1 -1
- package/lib/api.js +10 -0
- package/lib/api.js.map +1 -1
- package/lib/index.d.ts +4 -2
- package/lib/index.d.ts.map +1 -1
- package/lib/index.js +4 -2
- package/lib/index.js.map +1 -1
- package/lib/loan-account.d.ts +2 -0
- package/lib/loan-account.d.ts.map +1 -0
- package/lib/loan-account.js +62 -0
- package/lib/loan-account.js.map +1 -0
- package/lib/quote.d.ts +3 -22
- package/lib/quote.d.ts.map +1 -1
- package/lib/quote.js +79 -11
- package/lib/quote.js.map +1 -1
- package/lib/trade.js +1 -0
- package/lib/trade.js.map +1 -1
- package/lib/websocket.d.ts.map +1 -1
- package/lib/websocket.js +6 -0
- package/lib/websocket.js.map +1 -1
- package/package.json +1 -1
- package/temp/image-tag +1 -1
- package/temp/package-deps.json +9 -8
package/lib/quote.js
CHANGED
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@@ -1,16 +1,60 @@
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1
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"use strict";
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Object.defineProperty(exports, "__esModule", { value: true });
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3
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-
exports.swapOpenInterest$ = exports.spotMarketTickers$ =
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const utils_1 = require("@yuants/utils");
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exports.swapOpenInterest$ = exports.spotMarketTickers$ = void 0;
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const protocol_1 = require("@yuants/protocol");
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const sql_1 = require("@yuants/sql");
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const utils_1 = require("@yuants/utils");
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const rxjs_1 = require("rxjs");
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const api_1 = require("./api");
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const
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const websocket_1 = require("./websocket");
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const wsPool = [];
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// ISSUE: 连接限制：3 次/秒 (基于IP)
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//
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// https://www.okx.com/docs-v5/zh/#overview-websocket-connect
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//
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// 当订阅公有频道时，使用公有服务的地址；当订阅私有频道时，使用私有服务的地址
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//
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// 请求限制：
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//
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// 每个连接 对于 订阅/取消订阅/登录 请求的总次数限制为 480 次/小时
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const getWsClient = () => {
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const existing = wsPool.find((item) => !item.isFull);
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if (existing) {
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existing.requests++;
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if (existing.requests >= 480) {
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existing.isFull = true;
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}
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return existing.client;
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}
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const newClient = new websocket_1.OKXWsClient('ws/v5/public');
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wsPool.push({ client: newClient, requests: 1, isFull: false });
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return newClient;
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};
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const swapInstruments$ = (0, rxjs_1.defer)(() => api_1.client.getInstruments({ instType: 'SWAP' })).pipe((0, rxjs_1.repeat)({ delay: 3600000 }), (0, rxjs_1.retry)({ delay: 10000 }), (0, rxjs_1.map)((x) => x.data), (0, rxjs_1.shareReplay)(1));
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const spotInstruments$ = (0, rxjs_1.defer)(() => api_1.client.getInstruments({ instType: 'SPOT' })).pipe((0, rxjs_1.repeat)({ delay: 3600000 }), (0, rxjs_1.retry)({ delay: 10000 }), (0, rxjs_1.map)((x) => x.data), (0, rxjs_1.shareReplay)(1));
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const spotTickers$ = (0, rxjs_1.defer)(() => api_1.client.getMarketTickers({ instType: 'SPOT' })).pipe((0, rxjs_1.repeat)({ delay: 5000 }), (0, rxjs_1.retry)({ delay: 5000 }), (0, rxjs_1.shareReplay)(1));
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// depend by SubmitOrders
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exports.spotMarketTickers$ = (0, rxjs_1.defer)(() => spotTickers$).pipe((0, rxjs_1.mergeMap)((x) => (0, rxjs_1.from)(x.data).pipe((0, rxjs_1.map)((x) => [x.instId, x]), (0, rxjs_1.toArray)(), (0, rxjs_1.map)((x) => Object.fromEntries(x)))), (0, rxjs_1.repeat)({ delay: 5000 }), (0, rxjs_1.retry)({ delay: 5000 }), (0, rxjs_1.shareReplay)(1));
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const
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const swapTicker$ = swapInstruments$.pipe((0, rxjs_1.mergeMap)((x) => {
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return new rxjs_1.Observable((subscriber) => {
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for (const inst of x) {
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getWsClient().subscribe('tickers', inst.instId, (data) => {
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subscriber.next(data);
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});
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}
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});
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}), (0, rxjs_1.share)());
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const spotTicker$ = spotInstruments$.pipe((0, rxjs_1.mergeMap)((x) => {
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console.info('SPOT INSTRUMENTS', x.length);
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return new rxjs_1.Observable((subscriber) => {
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for (const inst of x) {
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getWsClient().subscribe('tickers', inst.instId, (data) => {
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subscriber.next(data);
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});
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}
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});
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}), (0, rxjs_1.share)());
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const quote1$ = swapTicker$.pipe((0, rxjs_1.map)((ticker) => ({
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datasource_id: 'OKX',
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product_id: (0, utils_1.encodePath)('SWAP', ticker.instId),
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last_price: ticker.last,
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@@ -18,8 +62,8 @@ const quote1$ = swapTickers$.pipe((0, rxjs_1.mergeMap)((x) => x.data || []), (0,
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bid_price: ticker.bidPx,
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ask_volume: ticker.askSz,
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bid_volume: ticker.bidSz,
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})));
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const quote2$ =
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})), (0, rxjs_1.share)());
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const quote2$ = spotTicker$.pipe((0, rxjs_1.map)((ticker) => ({
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datasource_id: 'OKX',
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product_id: (0, utils_1.encodePath)('SPOT', ticker.instId),
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last_price: ticker.last,
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@@ -27,8 +71,8 @@ const quote2$ = spotTickers$.pipe((0, rxjs_1.mergeMap)((x) => x.data || []), (0,
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bid_price: ticker.bidPx,
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ask_volume: ticker.askSz,
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bid_volume: ticker.bidSz,
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})));
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const
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})), (0, rxjs_1.share)());
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const quote3$ = spotTicker$.pipe((0, rxjs_1.map)((ticker) => ({
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datasource_id: 'OKX',
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product_id: (0, utils_1.encodePath)('MARGIN', ticker.instId),
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last_price: ticker.last,
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@@ -36,13 +80,37 @@ const quote4$ = spotTickers$.pipe((0, rxjs_1.mergeMap)((x) => x.data || []), (0,
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bid_price: ticker.bidPx,
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ask_volume: ticker.askSz,
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bid_volume: ticker.bidSz,
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})), (0, rxjs_1.share)());
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const swapOpenInterestInner$ = swapInstruments$.pipe((0, rxjs_1.mergeMap)((x) => new rxjs_1.Observable((subscriber) => {
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for (const inst of x) {
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getWsClient().subscribe('open-interest', inst.instId, (data) => {
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subscriber.next(data);
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});
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}
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})));
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const swapOpenInterests$ = (0, rxjs_1.defer)(() => api_1.client.getOpenInterest({ instType: 'SWAP' })).pipe((0, rxjs_1.repeat)({ delay: 10000 }), (0, rxjs_1.retry)({ delay: 10000 }), (0, rxjs_1.shareReplay)(1));
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const
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const quote4$ = swapOpenInterestInner$.pipe((0, rxjs_1.map)((x) => ({
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datasource_id: 'OKX',
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product_id: (0, utils_1.encodePath)('SWAP', x.instId),
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open_interest: x.oi,
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})));
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})), (0, rxjs_1.share)());
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const quote$ = (0, rxjs_1.merge)(
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//
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quote1$, quote2$, quote3$, quote4$).pipe((0, rxjs_1.groupBy)((x) => (0, utils_1.encodePath)(x.datasource_id, x.product_id)), (0, rxjs_1.mergeMap)((group$) => {
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return group$.pipe(
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//
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(0, rxjs_1.scan)((acc, cur) => Object.assign(acc, cur), {}));
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}), (0, rxjs_1.share)());
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protocol_1.Terminal.fromNodeEnv().channel.publishChannel('quote', { pattern: `^OKX/` }, (channel_id) => {
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const [datasource_id, product_id] = (0, utils_1.decodePath)(channel_id);
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if (!datasource_id) {
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throw 'datasource_id is required';
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}
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if (!product_id) {
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throw 'product_id is required';
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}
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return quote$.pipe((0, rxjs_1.filter)((x) => x.product_id === product_id));
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});
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// 合并不同来源的数据并进行合并，避免死锁
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if (process.env.WRITE_QUOTE_TO_SQL === 'true') {
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(0, rxjs_1.merge)(quote1$, quote2$, quote3$, quote4$)
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package/lib/quote.js.map
CHANGED
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@@ -1 +1 @@
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-
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{ encodePath } from '@yuants/utils';\nimport { IQuote } from '@yuants/data-quote';\nimport { Terminal } from '@yuants/protocol';\nimport { writeToSQL } from '@yuants/sql';\nimport { defer, from, groupBy, map, merge, mergeMap, repeat, retry, scan, shareReplay, toArray } from 'rxjs';\nimport { client } from './api';\n\nconst swapTickers$ = defer(() => client.getMarketTickers({ instType: 'SWAP' })).pipe(\n repeat({ delay: 5000 }),\n retry({ delay: 5000 }),\n shareReplay(1),\n);\n\nconst spotTickers$ = defer(() => client.getMarketTickers({ instType: 'SPOT' })).pipe(\n repeat({ delay: 5000 }),\n retry({ delay: 5000 }),\n shareReplay(1),\n);\n\nexport const swapMarketTickers$ = defer(() => swapTickers$).pipe(\n mergeMap((x) =>\n from(x.data).pipe(\n map((x) => [x.instId, x] as const),\n toArray(),\n map((x) => Object.fromEntries(x)),\n ),\n ),\n repeat({ delay: 5000 }),\n retry({ delay: 5000 }),\n shareReplay(1),\n);\n\nexport const spotMarketTickers$ = defer(() => spotTickers$).pipe(\n mergeMap((x) =>\n from(x.data).pipe(\n map((x) => [x.instId, x] as const),\n toArray(),\n map((x) => Object.fromEntries(x)),\n ),\n ),\n repeat({ delay: 5000 }),\n retry({ delay: 5000 }),\n shareReplay(1),\n);\n\nconst quote1$ = swapTickers$.pipe(\n mergeMap((x) => x.data || []),\n map(\n (ticker): Partial<IQuote> => ({\n datasource_id: 'OKX',\n product_id: encodePath('SWAP', ticker.instId),\n last_price: ticker.last,\n ask_price: ticker.askPx,\n bid_price: ticker.bidPx,\n ask_volume: ticker.askSz,\n bid_volume: ticker.bidSz,\n }),\n ),\n);\n\nconst quote2$ = spotTickers$.pipe(\n mergeMap((x) => x.data || []),\n map(\n (ticker): Partial<IQuote> => ({\n datasource_id: 'OKX',\n product_id: encodePath('SPOT', ticker.instId),\n last_price: ticker.last,\n ask_price: ticker.askPx,\n bid_price: ticker.bidPx,\n ask_volume: ticker.askSz,\n bid_volume: ticker.bidSz,\n }),\n ),\n);\n\nconst quote4$ = spotTickers$.pipe(\n mergeMap((x) => x.data || []),\n map(\n (ticker): Partial<IQuote> => ({\n datasource_id: 'OKX',\n product_id: encodePath('MARGIN', ticker.instId),\n last_price: ticker.last,\n ask_price: ticker.askPx,\n bid_price: ticker.bidPx,\n ask_volume: ticker.askSz,\n bid_volume: ticker.bidSz,\n }),\n ),\n);\n\nconst swapOpenInterests$ = defer(() => client.getOpenInterest({ instType: 'SWAP' })).pipe(\n repeat({ delay: 10_000 }),\n retry({ delay: 10_000 }),\n shareReplay(1),\n);\n\nconst quote3$ = swapOpenInterests$.pipe(\n mergeMap((x) => x.data || []),\n map(\n (x): Partial<IQuote> => ({\n datasource_id: 'OKX',\n product_id: encodePath('SWAP', x.instId),\n open_interest: x.oi,\n }),\n ),\n);\n\n// 合并不同来源的数据并进行合并，避免死锁\nif (process.env.WRITE_QUOTE_TO_SQL === 'true') {\n merge(quote1$, quote2$, quote3$, quote4$)\n .pipe(\n groupBy((x) => encodePath(x.datasource_id, x.product_id)),\n mergeMap((group$) => {\n return group$.pipe(scan((acc, cur) => Object.assign(acc, cur), {} as Partial<IQuote>));\n }),\n writeToSQL({\n terminal: Terminal.fromNodeEnv(),\n writeInterval: 1000,\n tableName: 'quote',\n keyFn: (quote) => encodePath(quote.datasource_id, quote.product_id),\n conflictKeys: ['datasource_id', 'product_id'],\n }),\n )\n .subscribe();\n}\n\nexport const swapOpenInterest$ = defer(() => swapOpenInterests$).pipe(\n map((x) => new Map(x.data.map((x) => [x.instId, +x.oi] as const))),\n shareReplay(1),\n);\n"]}
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+
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{ IQuote } from '@yuants/data-quote';\nimport { Terminal } from '@yuants/protocol';\nimport { writeToSQL } from '@yuants/sql';\nimport { decodePath, encodePath } from '@yuants/utils';\nimport {\n defer,\n filter,\n from,\n groupBy,\n map,\n merge,\n mergeMap,\n Observable,\n repeat,\n retry,\n scan,\n share,\n shareReplay,\n toArray,\n} from 'rxjs';\nimport { client } from './api';\nimport { OKXWsClient } from './websocket';\n\nconst wsPool: {\n client: OKXWsClient;\n requests: number;\n isFull: boolean;\n}[] = [];\n\n// ISSUE: 连接限制：3 次/秒 (基于IP)\n//\n// https://www.okx.com/docs-v5/zh/#overview-websocket-connect\n//\n// 当订阅公有频道时，使用公有服务的地址；当订阅私有频道时，使用私有服务的地址\n//\n// 请求限制：\n//\n// 每个连接 对于 订阅/取消订阅/登录 请求的总次数限制为 480 次/小时\nconst getWsClient = () => {\n const existing = wsPool.find((item) => !item.isFull);\n if (existing) {\n existing.requests++;\n if (existing.requests >= 480) {\n existing.isFull = true;\n }\n return existing.client;\n }\n const newClient = new OKXWsClient('ws/v5/public');\n wsPool.push({ client: newClient, requests: 1, isFull: false });\n return newClient;\n};\n\nconst swapInstruments$ = defer(() => client.getInstruments({ instType: 'SWAP' })).pipe(\n repeat({ delay: 3600_000 }),\n retry({ delay: 10_000 }),\n map((x) => x.data),\n shareReplay(1),\n);\nconst spotInstruments$ = defer(() => client.getInstruments({ instType: 'SPOT' })).pipe(\n repeat({ delay: 3600_000 }),\n retry({ delay: 10_000 }),\n map((x) => x.data),\n shareReplay(1),\n);\n\nconst spotTickers$ = defer(() => client.getMarketTickers({ instType: 'SPOT' })).pipe(\n repeat({ delay: 5000 }),\n retry({ delay: 5000 }),\n shareReplay(1),\n);\n\n// depend by SubmitOrders\nexport const spotMarketTickers$ = defer(() => spotTickers$).pipe(\n mergeMap((x) =>\n from(x.data).pipe(\n map((x) => [x.instId, x] as const),\n toArray(),\n map((x) => Object.fromEntries(x)),\n ),\n ),\n repeat({ delay: 5000 }),\n retry({ delay: 5000 }),\n shareReplay(1),\n);\n\nconst swapTicker$ = swapInstruments$.pipe(\n mergeMap((x) => {\n return new Observable<any>((subscriber) => {\n for (const inst of x) {\n getWsClient().subscribe('tickers', inst.instId, (data: any) => {\n subscriber.next(data);\n });\n }\n });\n }),\n share(),\n);\nconst spotTicker$ = spotInstruments$.pipe(\n mergeMap((x) => {\n console.info('SPOT INSTRUMENTS', x.length);\n return new Observable<any>((subscriber) => {\n for (const inst of x) {\n getWsClient().subscribe('tickers', inst.instId, (data: any) => {\n subscriber.next(data);\n });\n }\n });\n }),\n share(),\n);\n\nconst quote1$ = swapTicker$.pipe(\n map((ticker) => ({\n datasource_id: 'OKX',\n product_id: encodePath('SWAP', ticker.instId),\n last_price: ticker.last,\n ask_price: ticker.askPx,\n bid_price: ticker.bidPx,\n ask_volume: ticker.askSz,\n bid_volume: ticker.bidSz,\n })),\n share(),\n);\nconst quote2$ = spotTicker$.pipe(\n map((ticker) => ({\n datasource_id: 'OKX',\n product_id: encodePath('SPOT', ticker.instId),\n last_price: ticker.last,\n ask_price: ticker.askPx,\n bid_price: ticker.bidPx,\n ask_volume: ticker.askSz,\n bid_volume: ticker.bidSz,\n })),\n share(),\n);\n\nconst quote3$ = spotTicker$.pipe(\n map((ticker) => ({\n datasource_id: 'OKX',\n product_id: encodePath('MARGIN', ticker.instId),\n last_price: ticker.last,\n ask_price: ticker.askPx,\n bid_price: ticker.bidPx,\n ask_volume: ticker.askSz,\n bid_volume: ticker.bidSz,\n })),\n share(),\n);\n\nconst swapOpenInterestInner$ = swapInstruments$.pipe(\n mergeMap(\n (x) =>\n new Observable<any>((subscriber) => {\n for (const inst of x) {\n getWsClient().subscribe('open-interest', inst.instId, (data: any) => {\n subscriber.next(data);\n });\n }\n }),\n ),\n);\n\nconst swapOpenInterests$ = defer(() => client.getOpenInterest({ instType: 'SWAP' })).pipe(\n repeat({ delay: 10_000 }),\n retry({ delay: 10_000 }),\n shareReplay(1),\n);\n\nconst quote4$ = swapOpenInterestInner$.pipe(\n map(\n (x): Partial<IQuote> => ({\n datasource_id: 'OKX',\n product_id: encodePath('SWAP', x.instId),\n open_interest: x.oi,\n }),\n ),\n share(),\n);\n\nconst quote$ = merge(\n //\n quote1$,\n quote2$,\n quote3$,\n quote4$,\n).pipe(\n groupBy((x) => encodePath(x.datasource_id, x.product_id)),\n mergeMap((group$) => {\n return group$.pipe(\n //\n scan((acc, cur) => Object.assign(acc, cur), {} as Partial<IQuote>),\n );\n }),\n share(),\n);\n\nTerminal.fromNodeEnv().channel.publishChannel('quote', { pattern: `^OKX/` }, (channel_id) => {\n const [datasource_id, product_id] = decodePath(channel_id);\n if (!datasource_id) {\n throw 'datasource_id is required';\n }\n if (!product_id) {\n throw 'product_id is required';\n }\n return quote$.pipe(filter((x) => x.product_id === product_id));\n});\n\n// 合并不同来源的数据并进行合并，避免死锁\nif (process.env.WRITE_QUOTE_TO_SQL === 'true') {\n merge(quote1$, quote2$, quote3$, quote4$)\n .pipe(\n groupBy((x) => encodePath(x.datasource_id, x.product_id)),\n mergeMap((group$) => {\n return group$.pipe(scan((acc, cur) => Object.assign(acc, cur), {} as Partial<IQuote>));\n }),\n writeToSQL({\n terminal: Terminal.fromNodeEnv(),\n writeInterval: 1000,\n tableName: 'quote',\n keyFn: (quote) => encodePath(quote.datasource_id, quote.product_id),\n conflictKeys: ['datasource_id', 'product_id'],\n }),\n )\n .subscribe();\n}\n\nexport const swapOpenInterest$ = defer(() => swapOpenInterests$).pipe(\n map((x) => new Map(x.data.map((x: any) => [x.instId, +x.oi] as const))),\n shareReplay(1),\n);\n"]}
|
package/lib/trade.js
CHANGED
|
@@ -31,6 +31,7 @@ const tradeParser = async (accountId, params) => {
|
|
|
31
31
|
v.forEach((bill) => {
|
|
32
32
|
trade.created_at = Math.max(Number(trade.created_at), Number(bill.ts)).toString();
|
|
33
33
|
trade.product_id = bill.instId;
|
|
34
|
+
trade.traded_price = bill.px;
|
|
34
35
|
if (bill.instType === 'SWAP') {
|
|
35
36
|
if (bill.subType === '3')
|
|
36
37
|
trade.direction = 'OPEN_LONG';
|
package/lib/trade.js.map
CHANGED
|
@@ -1 +1 @@
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|
|
1
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-
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{ catchError, defer, first, firstValueFrom, interval, of, repeat, retry, timeout } from 'rxjs';\nimport { client } from './api';\nimport { ITrade } from '@yuants/data-trade';\nimport { accountUid$ } from './account';\nimport { formatTime } from '@yuants/utils';\nimport { buildInsertManyIntoTableSQL, escapeSQL, requestSQL } from '@yuants/sql';\nimport { Terminal } from '@yuants/protocol';\nconst tradeParser = async (accountId: string, params: Record<string, string>): Promise<ITrade[]> => {\n const tradeList: ITrade[] = [];\n const result = await client.getAccountBillsArchive(params);\n\n if (result.code === '0' && result.data) {\n const data = result.data;\n const mapTradeIdToBillList = new Map<string, typeof data>();\n data.forEach((item) =>\n mapTradeIdToBillList.set(item.tradeId, [...(mapTradeIdToBillList.get(item.tradeId) ?? []), item]),\n );\n mapTradeIdToBillList.forEach((v, tradeId) => {\n if (!((v[0].instType === 'SPOT' && v.length === 2) || v[0].instType === 'SWAP')) return;\n\n const trade: ITrade = {\n id: tradeId,\n account_id: accountId,\n product_id: '',\n direction: '',\n traded_volume: '',\n traded_price: '',\n traded_value: '',\n fee: '',\n fee_currency: '',\n created_at: '0',\n };\n\n v.forEach((bill) => {\n trade.created_at = Math.max(Number(trade.created_at), Number(bill.ts)).toString();\n trade.product_id = bill.instId;\n if (bill.instType === 'SWAP') {\n if (bill.subType === '3') trade.direction = 'OPEN_LONG';\n if (bill.subType === '4') trade.direction = 'OPEN_SHORT';\n if (bill.subType === '5') trade.direction = 'CLOSE_LONG';\n if (bill.subType === '6') trade.direction = 'CLOSE_SHORT';\n trade.traded_volume = bill.sz;\n trade.traded_value = (Number(bill.sz) * Number(bill.px)).toString();\n }\n if (bill.instType === 'SPOT') {\n if (bill.subType === '1') {\n if (bill.ccy !== 'USDT') {\n trade.direction = 'OPEN_LONG';\n } else {\n trade.direction = 'CLOSE_LONG';\n }\n }\n\n if (bill.ccy !== 'USDT') {\n trade.traded_volume = bill.sz;\n }\n if (bill.ccy === 'USDT') {\n trade.traded_value = bill.sz;\n }\n }\n // fee\n if (bill.fee !== '0') {\n trade.fee = Math.abs(Number(bill.fee)).toString();\n trade.fee_currency = bill.ccy;\n }\n });\n trade.created_at = formatTime(Number(trade.created_at));\n tradeList.push(trade);\n });\n }\n return tradeList;\n};\n\nconst getAccountTradeWithAccountId = async (accountId: string) => {\n const currentTrade = await requestSQL<ITrade[]>(\n Terminal.fromNodeEnv(),\n `\n select * from trade where account_id=${escapeSQL(accountId)} order by created_at desc limit 1;\n `,\n );\n const params: Record<string, string> = {\n type: '2',\n };\n if (currentTrade.length === 1) {\n params['begin'] = new Date(currentTrade[0].created_at ?? 0).getTime().toString();\n params['end'] = Date.now().toString();\n }\n console.log(formatTime(Date.now()), 'getAccountTrade', `params: ${JSON.stringify(params)}`);\n const tradeList = await tradeParser(accountId, params);\n console.log(formatTime(Date.now()), 'getAccountTrade', `tradeList: ${JSON.stringify(tradeList)}`);\n await requestSQL(\n Terminal.fromNodeEnv(),\n buildInsertManyIntoTableSQL(tradeList, 'trade', {\n columns: [\n 'id',\n 'account_id',\n 'product_id',\n 'traded_volume',\n 'traded_value',\n 'traded_price',\n 'direction',\n 'fee',\n 'fee_currency',\n 'created_at',\n ],\n conflictKeys: ['id'],\n }),\n );\n};\n\ndefer(() => accountUid$)\n .pipe(first())\n .subscribe((uid) => {\n const account_id = `okx/${uid}/trading`;\n console.log(formatTime(Date.now()), 'getAccountTrade', `AccountID: ${account_id}`);\n defer(() => getAccountTradeWithAccountId(account_id))\n .pipe(\n //\n repeat({ delay: 30_000 }),\n retry({ delay: 5000 }),\n timeout(10_000), // 超时设定：10 秒\n catchError((err) => {\n console.error(formatTime(Date.now()), 'getAccountTradeError', err);\n return of([]);\n }),\n )\n .subscribe();\n });\n"]}
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1
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+
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{ catchError, defer, first, firstValueFrom, interval, of, repeat, retry, timeout } from 'rxjs';\nimport { client } from './api';\nimport { ITrade } from '@yuants/data-trade';\nimport { accountUid$ } from './account';\nimport { formatTime } from '@yuants/utils';\nimport { buildInsertManyIntoTableSQL, escapeSQL, requestSQL } from '@yuants/sql';\nimport { Terminal } from '@yuants/protocol';\nconst tradeParser = async (accountId: string, params: Record<string, string>): Promise<ITrade[]> => {\n const tradeList: ITrade[] = [];\n const result = await client.getAccountBillsArchive(params);\n\n if (result.code === '0' && result.data) {\n const data = result.data;\n const mapTradeIdToBillList = new Map<string, typeof data>();\n data.forEach((item) =>\n mapTradeIdToBillList.set(item.tradeId, [...(mapTradeIdToBillList.get(item.tradeId) ?? []), item]),\n );\n mapTradeIdToBillList.forEach((v, tradeId) => {\n if (!((v[0].instType === 'SPOT' && v.length === 2) || v[0].instType === 'SWAP')) return;\n\n const trade: ITrade = {\n id: tradeId,\n account_id: accountId,\n product_id: '',\n direction: '',\n traded_volume: '',\n traded_price: '',\n traded_value: '',\n fee: '',\n fee_currency: '',\n created_at: '0',\n };\n\n v.forEach((bill) => {\n trade.created_at = Math.max(Number(trade.created_at), Number(bill.ts)).toString();\n trade.product_id = bill.instId;\n trade.traded_price = bill.px;\n if (bill.instType === 'SWAP') {\n if (bill.subType === '3') trade.direction = 'OPEN_LONG';\n if (bill.subType === '4') trade.direction = 'OPEN_SHORT';\n if (bill.subType === '5') trade.direction = 'CLOSE_LONG';\n if (bill.subType === '6') trade.direction = 'CLOSE_SHORT';\n trade.traded_volume = bill.sz;\n trade.traded_value = (Number(bill.sz) * Number(bill.px)).toString();\n }\n if (bill.instType === 'SPOT') {\n if (bill.subType === '1') {\n if (bill.ccy !== 'USDT') {\n trade.direction = 'OPEN_LONG';\n } else {\n trade.direction = 'CLOSE_LONG';\n }\n }\n\n if (bill.ccy !== 'USDT') {\n trade.traded_volume = bill.sz;\n }\n if (bill.ccy === 'USDT') {\n trade.traded_value = bill.sz;\n }\n }\n // fee\n if (bill.fee !== '0') {\n trade.fee = Math.abs(Number(bill.fee)).toString();\n trade.fee_currency = bill.ccy;\n }\n });\n trade.created_at = formatTime(Number(trade.created_at));\n tradeList.push(trade);\n });\n }\n return tradeList;\n};\n\nconst getAccountTradeWithAccountId = async (accountId: string) => {\n const currentTrade = await requestSQL<ITrade[]>(\n Terminal.fromNodeEnv(),\n `\n select * from trade where account_id=${escapeSQL(accountId)} order by created_at desc limit 1;\n `,\n );\n const params: Record<string, string> = {\n type: '2',\n };\n if (currentTrade.length === 1) {\n params['begin'] = new Date(currentTrade[0].created_at ?? 0).getTime().toString();\n params['end'] = Date.now().toString();\n }\n console.log(formatTime(Date.now()), 'getAccountTrade', `params: ${JSON.stringify(params)}`);\n const tradeList = await tradeParser(accountId, params);\n console.log(formatTime(Date.now()), 'getAccountTrade', `tradeList: ${JSON.stringify(tradeList)}`);\n await requestSQL(\n Terminal.fromNodeEnv(),\n buildInsertManyIntoTableSQL(tradeList, 'trade', {\n columns: [\n 'id',\n 'account_id',\n 'product_id',\n 'traded_volume',\n 'traded_value',\n 'traded_price',\n 'direction',\n 'fee',\n 'fee_currency',\n 'created_at',\n ],\n conflictKeys: ['id'],\n }),\n );\n};\n\ndefer(() => accountUid$)\n .pipe(first())\n .subscribe((uid) => {\n const account_id = `okx/${uid}/trading`;\n console.log(formatTime(Date.now()), 'getAccountTrade', `AccountID: ${account_id}`);\n defer(() => getAccountTradeWithAccountId(account_id))\n .pipe(\n //\n repeat({ delay: 30_000 }),\n retry({ delay: 5000 }),\n timeout(10_000), // 超时设定：10 秒\n catchError((err) => {\n console.error(formatTime(Date.now()), 'getAccountTradeError', err);\n return of([]);\n }),\n )\n .subscribe();\n });\n"]}
|
package/lib/websocket.d.ts.map
CHANGED
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@@ -1 +1 @@
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|
|
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;IAExB,OAAO,EAAE,MAAM,CAA2B;gBAC9B,IAAI,EAAE,MAAM;
|
|
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;IAExB,OAAO,EAAE,MAAM,CAA2B;gBAC9B,IAAI,EAAE,MAAM;IAsCxB,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
|
@@ -31,6 +31,12 @@ class OKXWsClient {
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|
31
31
|
}
|
|
32
32
|
});
|
|
33
33
|
this.ws.addEventListener('message', (raw) => this.handleMessage(raw));
|
|
34
|
+
this.ws.addEventListener('error', (raw) => {
|
|
35
|
+
console.error((0, utils_1.formatTime)(Date.now()), '❌ WS error', raw);
|
|
36
|
+
});
|
|
37
|
+
this.ws.addEventListener('close', (event) => {
|
|
38
|
+
console.error((0, utils_1.formatTime)(Date.now()), '❌ WS closed', event);
|
|
39
|
+
});
|
|
34
40
|
this.subscriptions = new Set();
|
|
35
41
|
this.handlers = {}; // key: channel, value: callback
|
|
36
42
|
}
|
package/lib/websocket.js.map
CHANGED
|
@@ -1 +1 @@
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|
|
1
|
-
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|
|
1
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{ 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\n baseURL: string = `wss://ws.okx.com:8443`;\n constructor(path: string) {\n // this.instId = instId;\n this.ws = new WebSocket(`${this.baseURL}/${path}`);\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.ws.addEventListener('error', (raw) => {\n console.error(formatTime(Date.now()), '❌ WS error', raw);\n });\n this.ws.addEventListener('close', (event) => {\n console.error(formatTime(Date.now()), '❌ WS closed', event);\n });\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(formatTime(Date.now()), '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(formatTime(Date.now()), `📩 Sent unsubscribe for ${channelId}`);\n }\n}\n"]}
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package/package.json
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package/temp/image-tag
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sha-
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{
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"apps/vendor-okx/CHANGELOG.json": "
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"apps/vendor-okx/CHANGELOG.md": "
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"apps/vendor-okx/src/interest_rate.ts": "f5ee44bf6b92a484dccc57863c47a7101a78e793",
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"apps/vendor-okx/src/loan-account.ts": "b0fb41ac3d7ac1d48592e41c81ee859f17a52675",
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21
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"apps/vendor-okx/src/logger.ts": "d25d427e74f46819a601e0cb17d5358b22c8db7b",
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"apps/vendor-okx/src/ohlc.ts": "31f7d72513dc32a31938313e79c7e75b0964906c",
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"apps/vendor-okx/src/quote.ts": "
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"apps/vendor-okx/src/trade.ts": "
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"apps/vendor-okx/src/websocket.ts": "
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|
+
"apps/vendor-okx/src/quote.ts": "d707e47749a5f6cbeff94934ba520624f15b0a4f",
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"apps/vendor-okx/src/trade.ts": "37deab9dc9ff2924ccf464124005822d776aa6fc",
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+
"apps/vendor-okx/src/websocket.ts": "bf3d19090361e96a81ecafb47b9d00bff88193c7",
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"apps/vendor-okx/tsconfig.json": "81da8f78196974b5d15da0edb6b2d9f48641063c",
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