@yuants/vendor-okx 0.20.1 → 0.20.3

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/ohlc.js CHANGED
@@ -37,19 +37,19 @@ const DURATION_TO_OKX_BAR_TYPE = {
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  P1M: '1M',
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  };
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  const DURATION_TO_OKX_CANDLE_TYPE = {
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- PT1M: 'mark-price-candle1m',
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- PT3M: 'mark-price-candle3m',
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- PT5M: 'mark-price-candle5m',
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- PT15M: 'mark-price-candle15m',
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- PT30M: 'mark-price-candle30m',
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- PT1H: 'mark-price-candle1H',
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- PT2H: 'mark-price-candle2H',
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- PT4H: 'mark-price-candle4H',
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- PT6H: 'mark-price-candle6H',
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- PT12H: 'mark-price-candle12H',
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- P1D: 'mark-price-candle1D',
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- P1W: 'mark-price-candle1W',
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- P1M: 'mark-price-candle1M',
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+ PT1M: 'candle1m',
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+ PT3M: 'candle3m',
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+ PT5M: 'candle5m',
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+ PT15M: 'candle15m',
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+ PT30M: 'candle30m',
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+ PT1H: 'candle1H',
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+ PT2H: 'candle2H',
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+ PT4H: 'candle4H',
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+ PT6H: 'candle6H',
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+ PT12H: 'candle12H',
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+ P1D: 'candle1D',
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+ P1W: 'candle1W',
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+ P1M: 'candle1M',
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  };
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  createSeriesProvider(Terminal.fromNodeEnv(), {
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  tableName: 'ohlc',
@@ -127,21 +127,22 @@ Terminal.fromNodeEnv().channel.publishChannel('ohlc', { pattern: `^OKX/` }, (ser
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  throw 'duration is invalid';
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  }
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  const candleType = DURATION_TO_OKX_CANDLE_TYPE[duration];
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- console.info(formatTime(Date.now()), `subscribe`, series_id);
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+ console.info(formatTime(Date.now()), `subscribe`, series_id, product_id);
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  return new Observable((subscriber) => {
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  console.info(formatTime(Date.now()), `subscribe`, candleType, instId);
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  const okxBusinessWsClient = new OKXWsClient('ws/v5/business');
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  okxBusinessWsClient.subscribe(candleType, instId, async (data) => {
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+ console.info(formatTime(Date.now()), `#######Data`, data);
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  const created_at = Number(data[0]);
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  const closed_at = created_at + offset;
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  const open = data[1];
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  const high = data[2];
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  const low = data[3];
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  const close = data[4];
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+ const volume = data[5];
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  if (isNaN(closed_at)) {
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  return;
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  }
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- console.info(formatTime(Date.now()), `insertData`, data);
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  const cancelData = {
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  closed_at: formatTime(closed_at),
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  created_at: formatTime(created_at),
@@ -153,7 +154,7 @@ Terminal.fromNodeEnv().channel.publishChannel('ohlc', { pattern: `^OKX/` }, (ser
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  datasource_id,
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  duration,
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  product_id,
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- volume: '0',
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+ volume,
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  open_interest: '0',
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  };
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  subscriber.next(cancelData);
package/dist/ohlc.js.map CHANGED
@@ -1 +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('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"]}
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: 'candle1m',\n PT3M: 'candle3m',\n PT5M: 'candle5m',\n PT15M: 'candle15m',\n PT30M: 'candle30m',\n\n PT1H: 'candle1H',\n PT2H: 'candle2H',\n PT4H: 'candle4H',\n PT6H: 'candle6H',\n PT12H: 'candle12H',\n\n P1D: 'candle1D',\n P1W: 'candle1W',\n P1M: '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, product_id);\n return new Observable<IOHLC>((subscriber) => {\n console.info(formatTime(Date.now()), `subscribe`, candleType, instId);\n const okxBusinessWsClient = new OKXWsClient('ws/v5/business');\n okxBusinessWsClient.subscribe(candleType, instId, async (data: string[]) => {\n console.info(formatTime(Date.now()), `#######Data`, data);\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 const volume = data[5];\n if (isNaN(closed_at)) {\n return;\n }\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,\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/ohlc.js CHANGED
@@ -39,19 +39,19 @@ const DURATION_TO_OKX_BAR_TYPE = {
39
39
  P1M: '1M',
40
40
  };
41
41
  const DURATION_TO_OKX_CANDLE_TYPE = {
42
- PT1M: 'mark-price-candle1m',
43
- PT3M: 'mark-price-candle3m',
44
- PT5M: 'mark-price-candle5m',
45
- PT15M: 'mark-price-candle15m',
46
- PT30M: 'mark-price-candle30m',
47
- PT1H: 'mark-price-candle1H',
48
- PT2H: 'mark-price-candle2H',
49
- PT4H: 'mark-price-candle4H',
50
- PT6H: 'mark-price-candle6H',
51
- PT12H: 'mark-price-candle12H',
52
- P1D: 'mark-price-candle1D',
53
- P1W: 'mark-price-candle1W',
54
- P1M: 'mark-price-candle1M',
42
+ PT1M: 'candle1m',
43
+ PT3M: 'candle3m',
44
+ PT5M: 'candle5m',
45
+ PT15M: 'candle15m',
46
+ PT30M: 'candle30m',
47
+ PT1H: 'candle1H',
48
+ PT2H: 'candle2H',
49
+ PT4H: 'candle4H',
50
+ PT6H: 'candle6H',
51
+ PT12H: 'candle12H',
52
+ P1D: 'candle1D',
53
+ P1W: 'candle1W',
54
+ P1M: 'candle1M',
55
55
  };
56
56
  (0, data_series_1.createSeriesProvider)(protocol_1.Terminal.fromNodeEnv(), {
57
57
  tableName: 'ohlc',
@@ -129,21 +129,22 @@ protocol_1.Terminal.fromNodeEnv().channel.publishChannel('ohlc', { pattern: `^OK
129
129
  throw 'duration is invalid';
130
130
  }
131
131
  const candleType = DURATION_TO_OKX_CANDLE_TYPE[duration];
132
- console.info((0, utils_1.formatTime)(Date.now()), `subscribe`, series_id);
132
+ console.info((0, utils_1.formatTime)(Date.now()), `subscribe`, series_id, product_id);
133
133
  return new rxjs_1.Observable((subscriber) => {
134
134
  console.info((0, utils_1.formatTime)(Date.now()), `subscribe`, candleType, instId);
135
135
  const okxBusinessWsClient = new websocket_1.OKXWsClient('ws/v5/business');
136
136
  okxBusinessWsClient.subscribe(candleType, instId, async (data) => {
137
+ console.info((0, utils_1.formatTime)(Date.now()), `#######Data`, data);
137
138
  const created_at = Number(data[0]);
138
139
  const closed_at = created_at + offset;
139
140
  const open = data[1];
140
141
  const high = data[2];
141
142
  const low = data[3];
142
143
  const close = data[4];
144
+ const volume = data[5];
143
145
  if (isNaN(closed_at)) {
144
146
  return;
145
147
  }
146
- console.info((0, utils_1.formatTime)(Date.now()), `insertData`, data);
147
148
  const cancelData = {
148
149
  closed_at: (0, utils_1.formatTime)(closed_at),
149
150
  created_at: (0, utils_1.formatTime)(created_at),
@@ -155,7 +156,7 @@ protocol_1.Terminal.fromNodeEnv().channel.publishChannel('ohlc', { pattern: `^OK
155
156
  datasource_id,
156
157
  duration,
157
158
  product_id,
158
- volume: '0',
159
+ volume,
159
160
  open_interest: '0',
160
161
  };
161
162
  subscriber.next(cancelData);
package/lib/ohlc.js.map CHANGED
@@ -1 +1 @@
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('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"]}
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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: 'candle1m',\n PT3M: 'candle3m',\n PT5M: 'candle5m',\n PT15M: 'candle15m',\n PT30M: 'candle30m',\n\n PT1H: 'candle1H',\n PT2H: 'candle2H',\n PT4H: 'candle4H',\n PT6H: 'candle6H',\n PT12H: 'candle12H',\n\n P1D: 'candle1D',\n P1W: 'candle1W',\n P1M: '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, product_id);\n return new Observable<IOHLC>((subscriber) => {\n console.info(formatTime(Date.now()), `subscribe`, candleType, instId);\n const okxBusinessWsClient = new OKXWsClient('ws/v5/business');\n okxBusinessWsClient.subscribe(candleType, instId, async (data: string[]) => {\n console.info(formatTime(Date.now()), `#######Data`, data);\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 const volume = data[5];\n if (isNaN(closed_at)) {\n return;\n }\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,\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/package.json CHANGED
@@ -1,6 +1,6 @@
1
1
  {
2
2
  "name": "@yuants/vendor-okx",
3
- "version": "0.20.1",
3
+ "version": "0.20.3",
4
4
  "bin": "lib/cli.js",
5
5
  "main": "lib/index.js",
6
6
  "files": [
@@ -9,19 +9,19 @@
9
9
  "temp"
10
10
  ],
11
11
  "dependencies": {
12
- "@yuants/protocol": "0.37.3",
13
- "@yuants/transfer": "0.2.5",
14
- "@yuants/data-account": "0.3.6",
15
- "@yuants/data-order": "0.2.2",
12
+ "@yuants/protocol": "0.38.0",
13
+ "@yuants/transfer": "0.2.6",
14
+ "@yuants/data-account": "0.3.7",
15
+ "@yuants/data-order": "0.2.3",
16
16
  "@yuants/utils": "0.6.0",
17
- "@yuants/sql": "0.8.4",
18
- "@yuants/data-series": "0.3.17",
19
- "@yuants/data-product": "0.2.6",
20
- "@yuants/data-ohlc": "0.3.13",
21
- "@yuants/data-interest-rate": "0.1.14",
22
- "@yuants/data-quote": "0.2.9",
23
- "@yuants/data-trade": "0.0.2",
24
- "@yuants/secret": "0.2.0",
17
+ "@yuants/sql": "0.8.5",
18
+ "@yuants/data-series": "0.3.18",
19
+ "@yuants/data-product": "0.2.7",
20
+ "@yuants/data-ohlc": "0.3.14",
21
+ "@yuants/data-interest-rate": "0.1.15",
22
+ "@yuants/data-quote": "0.2.10",
23
+ "@yuants/data-trade": "0.0.3",
24
+ "@yuants/secret": "0.2.1",
25
25
  "rxjs": "~7.5.6",
26
26
  "crypto-js": "^4.2.0",
27
27
  "ws": "~8.8.1"
package/temp/image-tag CHANGED
@@ -1 +1 @@
1
- sha-9f6871e5ca3d550227e8da0403db8218b8871d24
1
+ sha-d47107a53156c430a73afd13422075525a1cbe97
@@ -1,6 +1,6 @@
1
1
  {
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- "apps/vendor-okx/CHANGELOG.json": "efb8d4b79a2ab6efb63fb6a91796f95e507dbe0d",
3
- "apps/vendor-okx/CHANGELOG.md": "b569bb21652ed21ff5c9cce7bea05f375a385865",
2
+ "apps/vendor-okx/CHANGELOG.json": "b54858a6ec1a44b6b4cec24503193b0a80cbad48",
3
+ "apps/vendor-okx/CHANGELOG.md": "c03f76933393d243ff22e1a44df8d9224db97854",
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",
@@ -8,7 +8,7 @@
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": "eb72a23f9643832f8fbd7ef721e6fd477e21f672",
11
+ "apps/vendor-okx/package.json": "36edc59f6602310a5e16bb9331a162d1a034be6a",
12
12
  "apps/vendor-okx/src/account.ts": "7e8bb44845269a401a850aff2e5bf170b0811bd8",
13
13
  "apps/vendor-okx/src/api.ts": "ffcb8471e644c24089b266c88a83224abe177c6a",
14
14
  "apps/vendor-okx/src/cli.ts": "9bf6b5559a6c6f33da20e74cc6c5d702c60ec891",
@@ -19,7 +19,7 @@
19
19
  "apps/vendor-okx/src/legacy_index.ts": "1bf031b9f8f870a099d74867292b257346344e4d",
20
20
  "apps/vendor-okx/src/loan-account.ts": "5e7662b41b90ba307ce1e5689b3613e84ff9ab0b",
21
21
  "apps/vendor-okx/src/logger.ts": "d25d427e74f46819a601e0cb17d5358b22c8db7b",
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- "apps/vendor-okx/src/ohlc.ts": "31f7d72513dc32a31938313e79c7e75b0964906c",
22
+ "apps/vendor-okx/src/ohlc.ts": "5db7fba55a52898c1a2ef256b5972ac3d18a1c92",
23
23
  "apps/vendor-okx/src/order.ts": "09509ae5af4b212cc1c99c55c436b3b0ce8bda33",
24
24
  "apps/vendor-okx/src/product.ts": "a2e7feb86bc01fe3b1af6dcb9a9ebfba6be91434",
25
25
  "apps/vendor-okx/src/quote.ts": "d707e47749a5f6cbeff94934ba520624f15b0a4f",
@@ -27,19 +27,19 @@
27
27
  "apps/vendor-okx/src/websocket.ts": "bf3d19090361e96a81ecafb47b9d00bff88193c7",
28
28
  "apps/vendor-okx/tsconfig.json": "81da8f78196974b5d15da0edb6b2d9f48641063c",
29
29
  "apps/vendor-okx/.rush/temp/shrinkwrap-deps.json": "0a6205550d411d42b6d36324572e5e2a0ba166b2",
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+ "libraries/protocol/temp/package-deps.json": "da96f44ddaba5226fce49a5f221c01f0b7bcd718",
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+ "libraries/data-order/temp/package-deps.json": "f586f2fefb78942acf908056aedae33ceace7eff",
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  "libraries/utils/temp/package-deps.json": "ecdd5e56cb2b6db83ee9caf8784ad342484f1699",
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+ "libraries/sql/temp/package-deps.json": "78a3b4ee6e225de3a42b2db94e5b07c9d43bccda",
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+ "libraries/data-series/temp/package-deps.json": "d4542201cbd459b57e5c0ebeb5160ea7d9f50998",
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+ "libraries/data-product/temp/package-deps.json": "afaa4fd98026b9c0e5b09f817c8ec246931a1759",
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+ "libraries/data-ohlc/temp/package-deps.json": "3e83f0000684b1d3a0889cca889c59abca6e80d3",
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+ "libraries/data-interest-rate/temp/package-deps.json": "b3d2590a1cbb83503faa00388325ad7a426fd4c3",
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+ "libraries/data-quote/temp/package-deps.json": "ca41a15fc97421e5b2585d7cdd4476e51ee3ed76",
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+ "libraries/data-trade/temp/package-deps.json": "fb510c6279b3a113a0719126a2f0c143aac31cb1",
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+ "libraries/secret/temp/package-deps.json": "78ef25a9a721523ed6c912de1a8a5148af3c8376",
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  "libraries/extension/temp/package-deps.json": "f22ec5c30214f7aeeda63f46bd920290be555f57",
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  "tools/toolkit/temp/package-deps.json": "eb0447c467da3a90db0913ed01e42ec0de840234"
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45
  }