@yuants/vendor-okx 0.22.1 → 0.22.2

This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
Files changed (8) hide show
  1. package/dist/quote.js +15 -29
  2. package/dist/quote.js.map +1 -1
  3. package/lib/quote.d.ts.map +1 -1
  4. package/lib/quote.js +13 -27
  5. package/lib/quote.js.map +1 -1
  6. package/package.json +1 -1
  7. package/temp/image-tag +1 -1
  8. package/temp/package-deps.json +4 -4
package/dist/quote.js CHANGED
@@ -1,7 +1,7 @@
1
1
  import { Terminal } from '@yuants/protocol';
2
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  import { writeToSQL } from '@yuants/sql';
3
- import { decodePath, encodePath } from '@yuants/utils';
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- import { defer, filter, from, groupBy, map, merge, mergeMap, Observable, repeat, retry, scan, share, shareReplay, toArray, } from 'rxjs';
3
+ import { decodePath, encodePath, listWatch } from '@yuants/utils';
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+ import { defer, filter, from, groupBy, map, merge, mergeMap, Observable, repeat, retry, scan, share, shareReplay, tap, toArray, } from 'rxjs';
5
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  import { client } from './api';
6
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  import { OKXWsClient } from './websocket';
7
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  const wsPool = [];
@@ -27,31 +27,24 @@ const getWsClient = () => {
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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 fromWsChannelAndInstId = (channel, instId) => new Observable((subscriber) => {
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+ const client = getWsClient();
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+ client.subscribe(channel, instId, (data) => {
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+ subscriber.next(data);
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+ });
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+ subscriber.add(() => {
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+ client.unsubscribe(channel, instId);
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+ });
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+ });
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  const swapInstruments$ = defer(() => client.getInstruments({ instType: 'SWAP' })).pipe(repeat({ delay: 3600000 }), retry({ delay: 10000 }), map((x) => x.data), shareReplay(1));
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  const spotInstruments$ = defer(() => client.getInstruments({ instType: 'SPOT' })).pipe(repeat({ delay: 3600000 }), retry({ delay: 10000 }), map((x) => x.data), shareReplay(1));
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  const spotTickers$ = defer(() => client.getMarketTickers({ instType: 'SPOT' })).pipe(repeat({ delay: 5000 }), retry({ delay: 5000 }), shareReplay(1));
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  // depend by SubmitOrders
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  export const spotMarketTickers$ = defer(() => spotTickers$).pipe(mergeMap((x) => from(x.data).pipe(map((x) => [x.instId, x]), toArray(), map((x) => Object.fromEntries(x)))), repeat({ delay: 5000 }), retry({ delay: 5000 }), shareReplay(1));
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- const swapTicker$ = swapInstruments$.pipe(mergeMap((x) => {
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- return new Observable((subscriber) => {
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- for (const inst of x) {
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- getWsClient().subscribe('tickers', inst.instId, (data) => {
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- subscriber.next(data);
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- });
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- }
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- });
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- }), share());
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- const spotTicker$ = spotInstruments$.pipe(mergeMap((x) => {
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+ const spotTicker$ = spotInstruments$.pipe(tap((x) => {
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  console.info('SPOT INSTRUMENTS', x.length);
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- return new Observable((subscriber) => {
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- for (const inst of x) {
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- getWsClient().subscribe('tickers', inst.instId, (data) => {
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- subscriber.next(data);
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- });
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- }
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- });
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- }), share());
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- const quote1$ = swapTicker$.pipe(map((ticker) => ({
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+ }), listWatch((x) => x.instId, (x) => fromWsChannelAndInstId('tickers', x.instId), () => true), share());
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+ const quote1$ = swapInstruments$.pipe(listWatch((x) => x.instId, (x) => fromWsChannelAndInstId('tickers', x.instId), () => true), map((ticker) => ({
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  datasource_id: 'OKX',
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  product_id: encodePath('SWAP', ticker.instId),
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  last_price: ticker.last,
@@ -78,15 +71,8 @@ const quote3$ = spotTicker$.pipe(map((ticker) => ({
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  ask_volume: ticker.askSz,
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  bid_volume: ticker.bidSz,
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  })), share());
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- const swapOpenInterestInner$ = swapInstruments$.pipe(mergeMap((x) => new Observable((subscriber) => {
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- for (const inst of x) {
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- getWsClient().subscribe('open-interest', inst.instId, (data) => {
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- subscriber.next(data);
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- });
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- }
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- })));
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  const swapOpenInterests$ = defer(() => client.getOpenInterest({ instType: 'SWAP' })).pipe(repeat({ delay: 10000 }), retry({ delay: 10000 }), shareReplay(1));
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- const quote4$ = swapOpenInterestInner$.pipe(map((x) => ({
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+ const quote4$ = swapInstruments$.pipe(listWatch((x) => x.instId, (x) => fromWsChannelAndInstId('open-interest', x.instId), () => true), map((x) => ({
90
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  datasource_id: 'OKX',
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  product_id: encodePath('SWAP', x.instId),
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78
  open_interest: x.oi,
package/dist/quote.js.map CHANGED
@@ -1 +1 @@
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{ IQuote } from '@yuants/data-quote';\nimport { Terminal } from '@yuants/protocol';\nimport { writeToSQL } from '@yuants/sql';\nimport { decodePath, encodePath } from '@yuants/utils';\nimport {\n defer,\n filter,\n from,\n groupBy,\n map,\n merge,\n mergeMap,\n Observable,\n repeat,\n retry,\n scan,\n share,\n shareReplay,\n toArray,\n} from 'rxjs';\nimport { client } from './api';\nimport { OKXWsClient } from './websocket';\n\nconst wsPool: {\n client: OKXWsClient;\n requests: number;\n isFull: boolean;\n}[] = [];\n\n// ISSUE: 连接限制：3 次/秒 (基于IP)\n//\n// https://www.okx.com/docs-v5/zh/#overview-websocket-connect\n//\n// 当订阅公有频道时，使用公有服务的地址；当订阅私有频道时，使用私有服务的地址\n//\n// 请求限制：\n//\n// 每个连接 对于 订阅/取消订阅/登录 请求的总次数限制为 480 次/小时\nconst getWsClient = () => {\n const existing = wsPool.find((item) => !item.isFull);\n if (existing) {\n existing.requests++;\n if (existing.requests >= 480) {\n existing.isFull = true;\n }\n return existing.client;\n }\n const newClient = new OKXWsClient('ws/v5/public');\n wsPool.push({ client: newClient, requests: 1, isFull: false });\n return newClient;\n};\n\nconst swapInstruments$ = 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\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 Terminal.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$.pipe(filter((x) => x.product_id === product_id));\n });\n\n quote$\n .pipe(\n writeToSQL({\n terminal: Terminal.fromNodeEnv(),\n writeInterval: 1000,\n tableName: 'quote',\n conflictKeys: ['datasource_id', 'product_id'],\n }),\n )\n .subscribe();\n}\n\nexport const swapOpenInterest$ = defer(() => swapOpenInterests$).pipe(\n map((x) => new Map(x.data.map((x: any) => [x.instId, +x.oi] as const))),\n shareReplay(1),\n);\n"]}
1
+ 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{ IQuote } from '@yuants/data-quote';\nimport { Terminal } from '@yuants/protocol';\nimport { writeToSQL } from '@yuants/sql';\nimport { decodePath, encodePath, listWatch } from '@yuants/utils';\nimport {\n defer,\n filter,\n from,\n groupBy,\n map,\n merge,\n mergeMap,\n Observable,\n repeat,\n retry,\n scan,\n share,\n shareReplay,\n tap,\n toArray,\n} from 'rxjs';\nimport { client } from './api';\nimport { OKXWsClient } from './websocket';\n\nconst wsPool: {\n client: OKXWsClient;\n requests: number;\n isFull: boolean;\n}[] = [];\n\n// ISSUE: 连接限制：3 次/秒 (基于IP)\n//\n// https://www.okx.com/docs-v5/zh/#overview-websocket-connect\n//\n// 当订阅公有频道时，使用公有服务的地址；当订阅私有频道时，使用私有服务的地址\n//\n// 请求限制：\n//\n// 每个连接 对于 订阅/取消订阅/登录 请求的总次数限制为 480 次/小时\nconst getWsClient = () => {\n const existing = wsPool.find((item) => !item.isFull);\n if (existing) {\n existing.requests++;\n if (existing.requests >= 480) {\n existing.isFull = true;\n }\n return existing.client;\n }\n const newClient = new OKXWsClient('ws/v5/public');\n wsPool.push({ client: newClient, requests: 1, isFull: false });\n return newClient;\n};\n\nconst fromWsChannelAndInstId = (channel: string, instId: string) =>\n new Observable<any>((subscriber) => {\n const client = getWsClient();\n client.subscribe(channel, instId, (data: any) => {\n subscriber.next(data);\n });\n subscriber.add(() => {\n client.unsubscribe(channel, instId);\n });\n });\n\nconst swapInstruments$ = 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$).pipe(\n mergeMap((x) =>\n from(x.data).pipe(\n map((x) => [x.instId, x] as const),\n toArray(),\n map((x) => Object.fromEntries(x)),\n ),\n ),\n repeat({ delay: 5000 }),\n retry({ delay: 5000 }),\n shareReplay(1),\n);\n\nconst spotTicker$ = spotInstruments$.pipe(\n tap((x) => {\n console.info('SPOT INSTRUMENTS', x.length);\n }),\n listWatch(\n (x) => x.instId,\n (x) => fromWsChannelAndInstId('tickers', x.instId),\n () => true,\n ),\n share(),\n);\n\nconst quote1$ = swapInstruments$.pipe(\n listWatch(\n (x) => x.instId,\n (x) => fromWsChannelAndInstId('tickers', x.instId),\n () => true,\n ),\n map((ticker) => ({\n datasource_id: 'OKX',\n product_id: encodePath('SWAP', ticker.instId),\n last_price: ticker.last,\n ask_price: ticker.askPx,\n bid_price: ticker.bidPx,\n ask_volume: ticker.askSz,\n bid_volume: ticker.bidSz,\n })),\n share(),\n);\n\nconst quote2$ = 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$.pipe(\n map((ticker) => ({\n datasource_id: 'OKX',\n product_id: encodePath('MARGIN', ticker.instId),\n last_price: ticker.last,\n ask_price: ticker.askPx,\n bid_price: ticker.bidPx,\n ask_volume: ticker.askSz,\n bid_volume: ticker.bidSz,\n })),\n share(),\n);\n\nconst swapOpenInterests$ = defer(() => client.getOpenInterest({ instType: 'SWAP' })).pipe(\n repeat({ delay: 10_000 }),\n retry({ delay: 10_000 }),\n shareReplay(1),\n);\n\nconst quote4$ = swapInstruments$.pipe(\n listWatch(\n (x) => x.instId,\n (x) => fromWsChannelAndInstId('open-interest', x.instId),\n () => true,\n ),\n map(\n (x): Partial<IQuote> => ({\n datasource_id: 'OKX',\n product_id: encodePath('SWAP', x.instId),\n open_interest: x.oi,\n }),\n ),\n share(),\n);\n\nconst quote$ = 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\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 Terminal.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$.pipe(filter((x) => x.product_id === product_id));\n });\n\n quote$\n .pipe(\n writeToSQL({\n terminal: Terminal.fromNodeEnv(),\n writeInterval: 1000,\n tableName: 'quote',\n conflictKeys: ['datasource_id', 'product_id'],\n }),\n )\n .subscribe();\n}\n\nexport const swapOpenInterest$ = defer(() => swapOpenInterests$).pipe(\n map((x) => new Map(x.data.map((x: any) => [x.instId, +x.oi] as const))),\n shareReplay(1),\n);\n"]}
package/lib/quote.d.ts.map CHANGED
@@ -1 +1 @@
1
- {"version":3,"file":"quote.d.ts","sourceRoot":"","sources":["../src/quote.ts"],"names":[],"mappings":"AAIA,OAAO,EAQL,UAAU,EAOX,MAAM,MAAM,CAAC;AAqDd,eAAO,MAAM,kBAAkB;;;;;;;;;;;;;;;;;;;EAW9B,CAAC;AA0IF,eAAO,MAAM,iBAAiB,8BAG7B,CAAC"}
1
+ {"version":3,"file":"quote.d.ts","sourceRoot":"","sources":["../src/quote.ts"],"names":[],"mappings":"AAIA,OAAO,EAQL,UAAU,EAQX,MAAM,MAAM,CAAC;AAgEd,eAAO,MAAM,kBAAkB;;;;;;;;;;;;;;;;;;;EAW9B,CAAC;AA0HF,eAAO,MAAM,iBAAiB,8BAG7B,CAAC"}
package/lib/quote.js CHANGED
@@ -30,31 +30,24 @@ const getWsClient = () => {
30
30
  wsPool.push({ client: newClient, requests: 1, isFull: false });
31
31
  return newClient;
32
32
  };
33
+ const fromWsChannelAndInstId = (channel, instId) => new rxjs_1.Observable((subscriber) => {
34
+ const client = getWsClient();
35
+ client.subscribe(channel, instId, (data) => {
36
+ subscriber.next(data);
37
+ });
38
+ subscriber.add(() => {
39
+ client.unsubscribe(channel, instId);
40
+ });
41
+ });
33
42
  const swapInstruments$ = (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));
34
43
  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));
35
44
  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));
36
45
  // depend by SubmitOrders
37
46
  exports.spotMarketTickers$ = (0, rxjs_1.defer)(() => spotTickers$).pipe((0, rxjs_1.mergeMap)((x) => (0, rxjs_1.from)(x.data).pipe((0, rxjs_1.map)((x) => [x.instId, x]), (0, rxjs_1.toArray)(), (0, rxjs_1.map)((x) => Object.fromEntries(x)))), (0, rxjs_1.repeat)({ delay: 5000 }), (0, rxjs_1.retry)({ delay: 5000 }), (0, rxjs_1.shareReplay)(1));
38
- const swapTicker$ = swapInstruments$.pipe((0, rxjs_1.mergeMap)((x) => {
39
- return new rxjs_1.Observable((subscriber) => {
40
- for (const inst of x) {
41
- getWsClient().subscribe('tickers', inst.instId, (data) => {
42
- subscriber.next(data);
43
- });
44
- }
45
- });
46
- }), (0, rxjs_1.share)());
47
- const spotTicker$ = spotInstruments$.pipe((0, rxjs_1.mergeMap)((x) => {
47
+ const spotTicker$ = spotInstruments$.pipe((0, rxjs_1.tap)((x) => {
48
48
  console.info('SPOT INSTRUMENTS', x.length);
49
- return new rxjs_1.Observable((subscriber) => {
50
- for (const inst of x) {
51
- getWsClient().subscribe('tickers', inst.instId, (data) => {
52
- subscriber.next(data);
53
- });
54
- }
55
- });
56
- }), (0, rxjs_1.share)());
57
- const quote1$ = swapTicker$.pipe((0, rxjs_1.map)((ticker) => ({
49
+ }), (0, utils_1.listWatch)((x) => x.instId, (x) => fromWsChannelAndInstId('tickers', x.instId), () => true), (0, rxjs_1.share)());
50
+ const quote1$ = swapInstruments$.pipe((0, utils_1.listWatch)((x) => x.instId, (x) => fromWsChannelAndInstId('tickers', x.instId), () => true), (0, rxjs_1.map)((ticker) => ({
58
51
  datasource_id: 'OKX',
59
52
  product_id: (0, utils_1.encodePath)('SWAP', ticker.instId),
60
53
  last_price: ticker.last,
@@ -81,15 +74,8 @@ const quote3$ = spotTicker$.pipe((0, rxjs_1.map)((ticker) => ({
81
74
  ask_volume: ticker.askSz,
82
75
  bid_volume: ticker.bidSz,
83
76
  })), (0, rxjs_1.share)());
84
- const swapOpenInterestInner$ = swapInstruments$.pipe((0, rxjs_1.mergeMap)((x) => new rxjs_1.Observable((subscriber) => {
85
- for (const inst of x) {
86
- getWsClient().subscribe('open-interest', inst.instId, (data) => {
87
- subscriber.next(data);
88
- });
89
- }
90
- })));
91
77
  const swapOpenInterests$ = (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));
92
- const quote4$ = swapOpenInterestInner$.pipe((0, rxjs_1.map)((x) => ({
78
+ const quote4$ = swapInstruments$.pipe((0, utils_1.listWatch)((x) => x.instId, (x) => fromWsChannelAndInstId('open-interest', x.instId), () => true), (0, rxjs_1.map)((x) => ({
93
79
  datasource_id: 'OKX',
94
80
  product_id: (0, utils_1.encodePath)('SWAP', x.instId),
95
81
  open_interest: x.oi,
package/lib/quote.js.map CHANGED
@@ -1 +1 @@
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{ IQuote } from '@yuants/data-quote';\nimport { Terminal } from '@yuants/protocol';\nimport { writeToSQL } from '@yuants/sql';\nimport { decodePath, encodePath } from '@yuants/utils';\nimport {\n defer,\n filter,\n from,\n groupBy,\n map,\n merge,\n mergeMap,\n Observable,\n repeat,\n retry,\n scan,\n share,\n shareReplay,\n toArray,\n} from 'rxjs';\nimport { client } from './api';\nimport { OKXWsClient } from './websocket';\n\nconst wsPool: {\n client: OKXWsClient;\n requests: number;\n isFull: boolean;\n}[] = [];\n\n// ISSUE: 连接限制：3 次/秒 (基于IP)\n//\n// https://www.okx.com/docs-v5/zh/#overview-websocket-connect\n//\n// 当订阅公有频道时，使用公有服务的地址；当订阅私有频道时，使用私有服务的地址\n//\n// 请求限制：\n//\n// 每个连接 对于 订阅/取消订阅/登录 请求的总次数限制为 480 次/小时\nconst getWsClient = () => {\n const existing = wsPool.find((item) => !item.isFull);\n if (existing) {\n existing.requests++;\n if (existing.requests >= 480) {\n existing.isFull = true;\n }\n return existing.client;\n }\n const newClient = new OKXWsClient('ws/v5/public');\n wsPool.push({ client: newClient, requests: 1, isFull: false });\n return newClient;\n};\n\nconst swapInstruments$ = 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\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 Terminal.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$.pipe(filter((x) => x.product_id === product_id));\n });\n\n quote$\n .pipe(\n writeToSQL({\n terminal: Terminal.fromNodeEnv(),\n writeInterval: 1000,\n tableName: 'quote',\n conflictKeys: ['datasource_id', 'product_id'],\n }),\n )\n .subscribe();\n}\n\nexport const swapOpenInterest$ = defer(() => swapOpenInterests$).pipe(\n map((x) => new Map(x.data.map((x: any) => [x.instId, +x.oi] as const))),\n shareReplay(1),\n);\n"]}
1
+ 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{ IQuote } from '@yuants/data-quote';\nimport { Terminal } from '@yuants/protocol';\nimport { writeToSQL } from '@yuants/sql';\nimport { decodePath, encodePath, listWatch } from '@yuants/utils';\nimport {\n defer,\n filter,\n from,\n groupBy,\n map,\n merge,\n mergeMap,\n Observable,\n repeat,\n retry,\n scan,\n share,\n shareReplay,\n tap,\n toArray,\n} from 'rxjs';\nimport { client } from './api';\nimport { OKXWsClient } from './websocket';\n\nconst wsPool: {\n client: OKXWsClient;\n requests: number;\n isFull: boolean;\n}[] = [];\n\n// ISSUE: 连接限制：3 次/秒 (基于IP)\n//\n// https://www.okx.com/docs-v5/zh/#overview-websocket-connect\n//\n// 当订阅公有频道时，使用公有服务的地址；当订阅私有频道时，使用私有服务的地址\n//\n// 请求限制：\n//\n// 每个连接 对于 订阅/取消订阅/登录 请求的总次数限制为 480 次/小时\nconst getWsClient = () => {\n const existing = wsPool.find((item) => !item.isFull);\n if (existing) {\n existing.requests++;\n if (existing.requests >= 480) {\n existing.isFull = true;\n }\n return existing.client;\n }\n const newClient = new OKXWsClient('ws/v5/public');\n wsPool.push({ client: newClient, requests: 1, isFull: false });\n return newClient;\n};\n\nconst fromWsChannelAndInstId = (channel: string, instId: string) =>\n new Observable<any>((subscriber) => {\n const client = getWsClient();\n client.subscribe(channel, instId, (data: any) => {\n subscriber.next(data);\n });\n subscriber.add(() => {\n client.unsubscribe(channel, instId);\n });\n });\n\nconst swapInstruments$ = 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$).pipe(\n mergeMap((x) =>\n from(x.data).pipe(\n map((x) => [x.instId, x] as const),\n toArray(),\n map((x) => Object.fromEntries(x)),\n ),\n ),\n repeat({ delay: 5000 }),\n retry({ delay: 5000 }),\n shareReplay(1),\n);\n\nconst spotTicker$ = spotInstruments$.pipe(\n tap((x) => {\n console.info('SPOT INSTRUMENTS', x.length);\n }),\n listWatch(\n (x) => x.instId,\n (x) => fromWsChannelAndInstId('tickers', x.instId),\n () => true,\n ),\n share(),\n);\n\nconst quote1$ = swapInstruments$.pipe(\n listWatch(\n (x) => x.instId,\n (x) => fromWsChannelAndInstId('tickers', x.instId),\n () => true,\n ),\n map((ticker) => ({\n datasource_id: 'OKX',\n product_id: encodePath('SWAP', ticker.instId),\n last_price: ticker.last,\n ask_price: ticker.askPx,\n bid_price: ticker.bidPx,\n ask_volume: ticker.askSz,\n bid_volume: ticker.bidSz,\n })),\n share(),\n);\n\nconst quote2$ = 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$.pipe(\n map((ticker) => ({\n datasource_id: 'OKX',\n product_id: encodePath('MARGIN', ticker.instId),\n last_price: ticker.last,\n ask_price: ticker.askPx,\n bid_price: ticker.bidPx,\n ask_volume: ticker.askSz,\n bid_volume: ticker.bidSz,\n })),\n share(),\n);\n\nconst swapOpenInterests$ = defer(() => client.getOpenInterest({ instType: 'SWAP' })).pipe(\n repeat({ delay: 10_000 }),\n retry({ delay: 10_000 }),\n shareReplay(1),\n);\n\nconst quote4$ = swapInstruments$.pipe(\n listWatch(\n (x) => x.instId,\n (x) => fromWsChannelAndInstId('open-interest', x.instId),\n () => true,\n ),\n map(\n (x): Partial<IQuote> => ({\n datasource_id: 'OKX',\n product_id: encodePath('SWAP', x.instId),\n open_interest: x.oi,\n }),\n ),\n share(),\n);\n\nconst quote$ = 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\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 Terminal.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$.pipe(filter((x) => x.product_id === product_id));\n });\n\n quote$\n .pipe(\n writeToSQL({\n terminal: Terminal.fromNodeEnv(),\n writeInterval: 1000,\n tableName: 'quote',\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/package.json CHANGED
@@ -1,6 +1,6 @@
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1
  {
2
2
  "name": "@yuants/vendor-okx",
3
- "version": "0.22.1",
3
+ "version": "0.22.2",
4
4
  "bin": "lib/cli.js",
5
5
  "main": "lib/index.js",
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6
  "files": [
package/temp/image-tag CHANGED
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package/temp/package-deps.json CHANGED
@@ -1,6 +1,6 @@
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  "apps/vendor-okx/src/product.ts": "a2e7feb86bc01fe3b1af6dcb9a9ebfba6be91434",
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+ "apps/vendor-okx/src/quote.ts": "469c96cc864eec03d2c872a8359886d7f80f2d80",
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26
  "apps/vendor-okx/src/services.ts": "7b7df830a6d78b6de5cee44bbcec66f282ab53ab",
27
27
  "apps/vendor-okx/src/trade.ts": "aed7272d4231567918d68661e5cbae64165d2f60",
28
28
  "apps/vendor-okx/src/websocket.ts": "bf3d19090361e96a81ecafb47b9d00bff88193c7",