npm - @yuants/vendor-okx - Versions diffs - 0.22.12 → 0.22.14 - Mend

@yuants/vendor-okx 0.22.12 → 0.22.14

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

Files changed (18) hide show

package/dist/ohlc.js CHANGED Viewed

@@ -12,11 +12,11 @@ var __asyncGenerator = (this && this.__asyncGenerator) || function (thisArg, _ar
 };
 import { createSeriesProvider } from '@yuants/data-series';
 import { Terminal } from '@yuants/protocol';
+import { writeToSQL } from '@yuants/sql';
 import { convertDurationToOffset, decodePath, formatTime } from '@yuants/utils';
-import { firstValueFrom, Observable, timer } from 'rxjs';
+import { firstValueFrom, map, timer } from 'rxjs';
 import { client } from './api';
-import { OKXWsClient } from './websocket';
-import { writeToSQL } from '@yuants/sql';
+import { useOHLC } from './websocket';
 // 时间粒度，默认值1m
 // 如 [1m/3m/5m/15m/30m/1H/2H/4H]
 // 香港时间开盘价k线：[6H/12H/1D/1W/1M]
@@ -113,7 +113,6 @@ createSeriesProvider(Terminal.fromNodeEnv(), {
     },
 });
 Terminal.fromNodeEnv().channel.publishChannel('ohlc', { pattern: `^OKX/` }, (series_id) => {
-    // const [] = decodePath(args)
     const [datasource_id, product_id, duration] = decodePath(series_id);
     const [, instId] = decodePath(product_id);
     const offset = convertDurationToOffset(duration);
@@ -128,41 +127,29 @@ Terminal.fromNodeEnv().channel.publishChannel('ohlc', { pattern: `^OKX/` }, (ser
     }
     const candleType = DURATION_TO_OKX_CANDLE_TYPE[duration];
     console.info(formatTime(Date.now()), `subscribe`, series_id, product_id);
-    return new Observable((subscriber) => {
-        console.info(formatTime(Date.now()), `subscribe`, candleType, instId);
-        const okxBusinessWsClient = new OKXWsClient('ws/v5/business');
-        okxBusinessWsClient.subscribe(candleType, instId, async (data) => {
-            console.info(formatTime(Date.now()), `#######Data`, data);
-            const created_at = Number(data[0]);
-            const closed_at = created_at + offset;
-            const open = data[1];
-            const high = data[2];
-            const low = data[3];
-            const close = data[4];
-            const volume = data[5];
-            if (isNaN(closed_at)) {
-                return;
-            }
-            const cancelData = {
-                closed_at: formatTime(closed_at),
-                created_at: formatTime(created_at),
-                open,
-                high,
-                low,
-                close,
-                series_id,
-                datasource_id,
-                duration,
-                product_id,
-                volume,
-                open_interest: '0',
-            };
-            subscriber.next(cancelData);
-        });
-        return () => {
-            okxBusinessWsClient.unsubscribe(candleType, instId);
+    return useOHLC(candleType, instId).pipe(map((data) => {
+        const created_at = Number(data[0]);
+        const closed_at = created_at + offset;
+        const open = data[1];
+        const high = data[2];
+        const low = data[3];
+        const close = data[4];
+        const volume = data[5];
+        return {
+            closed_at: formatTime(closed_at),
+            created_at: formatTime(created_at),
+            open,
+            high,
+            low,
+            close,
+            series_id,
+            datasource_id,
+            duration,
+            product_id,
+            volume,
+            open_interest: '0',
         };
-    }).pipe(writeToSQL({
+    }), writeToSQL({
         tableName: 'ohlc',
         conflictKeys: ['created_at', 'series_id'],
         writeInterval: 1000,

package/dist/ohlc.js.map CHANGED Viewed

	@@ -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: '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 }),\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 { writeToSQL } from '@yuants/sql';\nimport { convertDurationToOffset, decodePath, formatTime } from '@yuants/utils';\nimport { firstValueFrom, map, timer } from 'rxjs';\nimport { client } from './api';\nimport { useOHLC } from './websocket';\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 [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\n return useOHLC(candleType, instId).pipe(\n map((data): IOHLC => {\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 return {\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 }),\n writeToSQL({\n tableName: 'ohlc',\n conflictKeys: ['created_at', 'series_id'],\n writeInterval: 1000,\n terminal: Terminal.fromNodeEnv(),\n }),\n );\n});\n"]}

package/dist/quote.js CHANGED Viewed

@@ -1,56 +1,9 @@
 import { Terminal } from '@yuants/protocol';
 import { writeToSQL } from '@yuants/sql';
-import { decodePath, encodePath, formatTime, listWatch } from '@yuants/utils';
-import { catchError, defer, EMPTY, filter, from, groupBy, map, merge, mergeMap, Observable, repeat, retry, scan, share, shareReplay, tap, timeout, toArray, } from 'rxjs';
+import { decodePath, encodePath, listWatch } from '@yuants/utils';
+import { catchError, defer, EMPTY, filter, from, groupBy, map, merge, mergeMap, repeat, retry, scan, share, shareReplay, tap, toArray, } from 'rxjs';
 import { client } from './api';
-import { OKXWsClient } from './websocket';
-const wsPool = [];
-// ISSUE: 连接限制：3 次/秒 (基于IP)
-//
-// https://www.okx.com/docs-v5/zh/#overview-websocket-connect
-//
-// 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
-//
-// 请求限制：
-//
-// 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
-const getWsClient = () => {
-    const existing = wsPool.find((item) => !item.isFull);
-    if (existing) {
-        existing.requests++;
-        if (existing.requests >= 480) {
-            existing.isFull = true;
-        }
-        return existing.client;
-    }
-    const newClient = new OKXWsClient('ws/v5/public');
-    wsPool.push({ client: newClient, requests: 1, isFull: false });
-    return newClient;
-};
-const fromWsChannelAndInstId = (channel, instId) => defer(() => new Observable((subscriber) => {
-    const client = getWsClient();
-    client.subscribe(channel, instId, (data) => {
-        subscriber.next(data);
-    });
-    client.ws.addEventListener('error', (err) => {
-        subscriber.error(err);
-    });
-    client.ws.addEventListener('close', () => {
-        subscriber.error('WS Connection Closed');
-    });
-    subscriber.add(() => {
-        client.unsubscribe(channel, instId);
-    });
-})).pipe(
-// 防止单个连接断开导致数据流关闭
-timeout(60000), tap({
-    error: (err) => {
-        console.info(formatTime(Date.now()), 'WS_SUBSCRIBE_ERROR', channel, instId, err);
-    },
-}),
-// 暂时不太确定是否能支持 retry
-// retry({ delay: 1000 }),
-catchError(() => EMPTY));
+import { useOpenInterest, useTicker } from './websocket';
 const swapInstruments$ = defer(() => client.getInstruments({ instType: 'SWAP' })).pipe(repeat({ delay: 3600000 }), retry({ delay: 10000 }), map((x) => x.data), shareReplay(1));
 const spotInstruments$ = defer(() => client.getInstruments({ instType: 'SPOT' })).pipe(repeat({ delay: 3600000 }), retry({ delay: 10000 }), map((x) => x.data), shareReplay(1));
 const spotTickers$ = defer(() => client.getMarketTickers({ instType: 'SPOT' })).pipe(repeat({ delay: 5000 }), retry({ delay: 5000 }), shareReplay(1));
@@ -58,7 +11,7 @@ const spotTickers$ = defer(() => client.getMarketTickers({ instType: 'SPOT' })).
 export const spotMarketTickers$ = defer(() => spotTickers$).pipe(mergeMap((x) => from(x.data).pipe(map((x) => [x.instId, x]), toArray(), map((x) => Object.fromEntries(x)))), repeat({ delay: 5000 }), retry({ delay: 5000 }), shareReplay(1));
 const spotTicker$ = spotInstruments$.pipe(tap((x) => {
     console.info('SPOT INSTRUMENTS', x.length);
-}), listWatch((x) => x.instId, (x) => fromWsChannelAndInstId('tickers', x.instId), () => true), share());
+}), listWatch((x) => x.instId, (x) => useTicker(x.instId), () => true), share());
 const quoteOfSwapFromRest$ = defer(() => client.getMarketTickers({ instType: 'SWAP' })).pipe(mergeMap((x) => x.data || []), map((x) => ({
     datasource_id: 'OKX',
     product_id: encodePath(x.instType, x.instId),
@@ -88,7 +41,7 @@ const quoteOfSpotAndMarginFromRest$ = defer(() => client.getMarketTickers({ inst
         bid_volume: x.bidSz,
     },
 ]), repeat({ delay: 1000 }), retry({ delay: 1000 }));
-const quoteOfSwapFromWs$ = swapInstruments$.pipe(listWatch((x) => x.instId, (x) => fromWsChannelAndInstId('tickers', x.instId), () => true), map((ticker) => ({
+const quoteOfSwapFromWs$ = swapInstruments$.pipe(listWatch((x) => x.instId, (x) => useTicker(x.instId), () => true), map((ticker) => ({
     datasource_id: 'OKX',
     product_id: encodePath('SWAP', ticker.instId),
     last_price: ticker.last,
@@ -118,7 +71,7 @@ const quoteOfSpotAndMarginFromWs$ = spotTicker$.pipe(mergeMap((ticker) => [
     },
 ]));
 const swapOpenInterests$ = defer(() => client.getOpenInterest({ instType: 'SWAP' })).pipe(repeat({ delay: 10000 }), retry({ delay: 10000 }), shareReplay(1));
-const interestRateOfSwapFromWS$ = swapInstruments$.pipe(listWatch((x) => x.instId, (x) => fromWsChannelAndInstId('open-interest', x.instId), () => true), map((x) => ({
+const interestRateOfSwapFromWS$ = swapInstruments$.pipe(listWatch((x) => x.instId, (x) => useOpenInterest(x.instId), () => true), map((x) => ({
     datasource_id: 'OKX',
     product_id: encodePath('SWAP', x.instId),
     open_interest: x.oi,

package/dist/quote.js.map CHANGED Viewed

	@@ -1 +1 @@
1	- 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{ IQuote } from '@yuants/data-quote';\nimport { Terminal } from '@yuants/protocol';\nimport { writeToSQL } from '@yuants/sql';\nimport { decodePath, encodePath, formatTime, listWatch } from '@yuants/utils';\nimport {\n catchError,\n defer,\n EMPTY,\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 timeout,\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 defer(\n () =>\n new Observable<any>((subscriber) => {\n const client = getWsClient();\n client.subscribe(channel, instId, (data: any) => {\n subscriber.next(data);\n });\n client.ws.addEventListener('error', (err) => {\n subscriber.error(err);\n });\n client.ws.addEventListener('close', () => {\n subscriber.error('WS Connection Closed');\n });\n subscriber.add(() => {\n client.unsubscribe(channel, instId);\n });\n }),\n ).pipe(\n // 防止单个连接断开导致数据流关闭\n timeout(60_000),\n tap({\n error: (err) => {\n console.info(formatTime(Date.now()), 'WS_SUBSCRIBE_ERROR', channel, instId, err);\n },\n }),\n // 暂时不太确定是否能支持 retry\n // retry({ delay: 1000 }),\n catchError(() => EMPTY),\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$.pipe(\n tap((x) => {\n console.info('SPOT INSTRUMENTS', x.length);\n }),\n listWatch(\n (x) => x.instId,\n (x) => fromWsChannelAndInstId('tickers', x.instId),\n () => true,\n ),\n share(),\n);\n\nconst quoteOfSwapFromRest$ = defer(() => client.getMarketTickers({ instType: 'SWAP' })).pipe(\n mergeMap((x) => x.data \|\| []),\n map(\n (x): Partial<IQuote> => ({\n datasource_id: 'OKX',\n product_id: encodePath(x.instType, x.instId),\n last_price: x.last,\n ask_price: x.askPx,\n bid_price: x.bidPx,\n ask_volume: x.askSz,\n bid_volume: x.bidSz,\n }),\n ),\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n);\n\nconst quoteOfSpotAndMarginFromRest$ = defer(() => client.getMarketTickers({ instType: 'SPOT' })).pipe(\n mergeMap((x) => x.data \|\| []),\n mergeMap((x): Partial<IQuote>[] => [\n {\n datasource_id: 'OKX',\n product_id: encodePath('SPOT', x.instId),\n last_price: x.last,\n ask_price: x.askPx,\n bid_price: x.bidPx,\n ask_volume: x.askSz,\n bid_volume: x.bidSz,\n },\n {\n datasource_id: 'OKX',\n product_id: encodePath('MARGIN', x.instId),\n last_price: x.last,\n ask_price: x.askPx,\n bid_price: x.bidPx,\n ask_volume: x.askSz,\n bid_volume: x.bidSz,\n },\n ]),\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n);\n\nconst quoteOfSwapFromWs$ = swapInstruments$.pipe(\n listWatch(\n (x) => x.instId,\n (x) => fromWsChannelAndInstId('tickers', x.instId),\n () => true,\n ),\n map(\n (ticker): Partial<IQuote> => ({\n datasource_id: 'OKX',\n product_id: encodePath('SWAP', ticker.instId),\n last_price: ticker.last,\n ask_price: ticker.askPx,\n bid_price: ticker.bidPx,\n ask_volume: ticker.askSz,\n bid_volume: ticker.bidSz,\n }),\n ),\n);\n\nconst quoteOfSpotAndMarginFromWs$ = spotTicker$.pipe(\n mergeMap((ticker): Partial<IQuote>[] => [\n {\n datasource_id: 'OKX',\n product_id: encodePath('SPOT', ticker.instId),\n last_price: ticker.last,\n ask_price: ticker.askPx,\n bid_price: ticker.bidPx,\n ask_volume: ticker.askSz,\n bid_volume: ticker.bidSz,\n },\n {\n datasource_id: 'OKX',\n product_id: encodePath('MARGIN', ticker.instId),\n last_price: ticker.last,\n ask_price: ticker.askPx,\n bid_price: ticker.bidPx,\n ask_volume: ticker.askSz,\n bid_volume: ticker.bidSz,\n },\n ]),\n);\n\nconst swapOpenInterests$ = defer(() => client.getOpenInterest({ instType: 'SWAP' })).pipe(\n repeat({ delay: 10_000 }),\n retry({ delay: 10_000 }),\n shareReplay(1),\n);\n\nconst interestRateOfSwapFromWS$ = swapInstruments$.pipe(\n listWatch(\n (x) => x.instId,\n (x) => fromWsChannelAndInstId('open-interest', x.instId),\n () => true,\n ),\n map(\n (x): Partial<IQuote> => ({\n datasource_id: 'OKX',\n product_id: encodePath('SWAP', x.instId),\n open_interest: x.oi,\n }),\n ),\n share(),\n);\n\nconst quoteSources$ = [\n quoteOfSwapFromWs$,\n interestRateOfSwapFromWS$,\n quoteOfSwapFromRest$,\n quoteOfSpotAndMarginFromWs$,\n quoteOfSpotAndMarginFromRest$,\n];\n\nconst quote$ = defer(() =>\n merge(\n ...quoteSources$.map((x$) =>\n defer(() => x$).pipe(\n // 防止单个流关闭导致整体关闭\n catchError(() => EMPTY),\n ),\n ),\n ),\n).pipe(\n groupBy((x) => encodePath(x.datasource_id, x.product_id)),\n mergeMap((group$) => {\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$).pipe(\n map((x) => new Map(x.data.map((x: any) => [x.instId, +x.oi] as const))),\n shareReplay(1),\n);\n"]}
1	+ 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{ IQuote } from '@yuants/data-quote';\nimport { Terminal } from '@yuants/protocol';\nimport { writeToSQL } from '@yuants/sql';\nimport { decodePath, encodePath, listWatch } from '@yuants/utils';\nimport {\n catchError,\n defer,\n EMPTY,\n filter,\n from,\n groupBy,\n map,\n merge,\n mergeMap,\n repeat,\n retry,\n scan,\n share,\n shareReplay,\n tap,\n toArray,\n} from 'rxjs';\nimport { client } from './api';\nimport { useOpenInterest, useTicker } from './websocket';\n\nconst swapInstruments$ = 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$.pipe(\n tap((x) => {\n console.info('SPOT INSTRUMENTS', x.length);\n }),\n listWatch(\n (x) => x.instId,\n (x) => useTicker(x.instId),\n () => true,\n ),\n share(),\n);\n\nconst quoteOfSwapFromRest$ = defer(() => client.getMarketTickers({ instType: 'SWAP' })).pipe(\n mergeMap((x) => x.data \|\| []),\n map(\n (x): Partial<IQuote> => ({\n datasource_id: 'OKX',\n product_id: encodePath(x.instType, x.instId),\n last_price: x.last,\n ask_price: x.askPx,\n bid_price: x.bidPx,\n ask_volume: x.askSz,\n bid_volume: x.bidSz,\n }),\n ),\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n);\n\nconst quoteOfSpotAndMarginFromRest$ = defer(() => client.getMarketTickers({ instType: 'SPOT' })).pipe(\n mergeMap((x) => x.data \|\| []),\n mergeMap((x): Partial<IQuote>[] => [\n {\n datasource_id: 'OKX',\n product_id: encodePath('SPOT', x.instId),\n last_price: x.last,\n ask_price: x.askPx,\n bid_price: x.bidPx,\n ask_volume: x.askSz,\n bid_volume: x.bidSz,\n },\n {\n datasource_id: 'OKX',\n product_id: encodePath('MARGIN', x.instId),\n last_price: x.last,\n ask_price: x.askPx,\n bid_price: x.bidPx,\n ask_volume: x.askSz,\n bid_volume: x.bidSz,\n },\n ]),\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n);\n\nconst quoteOfSwapFromWs$ = swapInstruments$.pipe(\n listWatch(\n (x) => x.instId,\n (x) => useTicker(x.instId),\n () => true,\n ),\n map(\n (ticker): Partial<IQuote> => ({\n datasource_id: 'OKX',\n product_id: encodePath('SWAP', ticker.instId),\n last_price: ticker.last,\n ask_price: ticker.askPx,\n bid_price: ticker.bidPx,\n ask_volume: ticker.askSz,\n bid_volume: ticker.bidSz,\n }),\n ),\n);\n\nconst quoteOfSpotAndMarginFromWs$ = spotTicker$.pipe(\n mergeMap((ticker): Partial<IQuote>[] => [\n {\n datasource_id: 'OKX',\n product_id: encodePath('SPOT', ticker.instId),\n last_price: ticker.last,\n ask_price: ticker.askPx,\n bid_price: ticker.bidPx,\n ask_volume: ticker.askSz,\n bid_volume: ticker.bidSz,\n },\n {\n datasource_id: 'OKX',\n product_id: encodePath('MARGIN', ticker.instId),\n last_price: ticker.last,\n ask_price: ticker.askPx,\n bid_price: ticker.bidPx,\n ask_volume: ticker.askSz,\n bid_volume: ticker.bidSz,\n },\n ]),\n);\n\nconst swapOpenInterests$ = defer(() => client.getOpenInterest({ instType: 'SWAP' })).pipe(\n repeat({ delay: 10_000 }),\n retry({ delay: 10_000 }),\n shareReplay(1),\n);\n\nconst interestRateOfSwapFromWS$ = swapInstruments$.pipe(\n listWatch(\n (x) => x.instId,\n (x) => useOpenInterest(x.instId),\n () => true,\n ),\n map(\n (x): Partial<IQuote> => ({\n datasource_id: 'OKX',\n product_id: encodePath('SWAP', x.instId),\n open_interest: x.oi,\n }),\n ),\n share(),\n);\n\nconst quoteSources$ = [\n quoteOfSwapFromWs$,\n interestRateOfSwapFromWS$,\n quoteOfSwapFromRest$,\n quoteOfSpotAndMarginFromWs$,\n quoteOfSpotAndMarginFromRest$,\n];\n\nconst quote$ = defer(() =>\n merge(\n ...quoteSources$.map((x$) =>\n defer(() => x$).pipe(\n // 防止单个流关闭导致整体关闭\n catchError(() => EMPTY),\n ),\n ),\n ),\n).pipe(\n groupBy((x) => encodePath(x.datasource_id, x.product_id)),\n mergeMap((group$) => {\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/dist/websocket.js CHANGED Viewed

@@ -1,7 +1,6 @@
 import { encodePath, formatTime } from '@yuants/utils';
-import { interval, tap } from 'rxjs';
-// import WebSocket from 'ws';
-export class OKXWsClient {
+import { catchError, defer, EMPTY, interval, Observable, tap, timeout } from 'rxjs';
+class OKXWsClient {
     constructor(path) {
         this.connected = false;
         this.baseURL = `wss://ws.okx.com:8443`;
@@ -97,4 +96,54 @@ export class OKXWsClient {
         console.info(formatTime(Date.now()), `📩 Sent unsubscribe for ${channelId}`);
     }
 }
+const wsPool = [];
+// ISSUE: 连接限制：3 次/秒 (基于IP)
+//
+// https://www.okx.com/docs-v5/zh/#overview-websocket-connect
+//
+// 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
+//
+// 请求限制：
+//
+// 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
+const getWsClient = (path) => {
+    const existing = wsPool.find((item) => item.path === path && !item.isFull);
+    if (existing) {
+        existing.requests++;
+        if (existing.requests >= 480) {
+            existing.isFull = true;
+        }
+        return existing.client;
+    }
+    const newClient = new OKXWsClient(path);
+    wsPool.push({ path, client: newClient, requests: 1, isFull: false });
+    return newClient;
+};
+const fromWsChannelAndInstId = (path, channel, instId) => defer(() => new Observable((subscriber) => {
+    const client = getWsClient(path);
+    client.subscribe(channel, instId, (data) => {
+        subscriber.next(data);
+    });
+    client.ws.addEventListener('error', (err) => {
+        subscriber.error(err);
+    });
+    client.ws.addEventListener('close', () => {
+        subscriber.error('WS Connection Closed');
+    });
+    subscriber.add(() => {
+        client.unsubscribe(channel, instId);
+    });
+})).pipe(
+// 防止单个连接断开导致数据流关闭
+timeout(60000), tap({
+    error: (err) => {
+        console.info(formatTime(Date.now()), 'WS_SUBSCRIBE_ERROR', channel, instId, err);
+    },
+}),
+// 暂时不太确定是否能支持 retry
+// retry({ delay: 1000 }),
+catchError(() => EMPTY));
+export const useTicker = (instId) => fromWsChannelAndInstId('ws/v5/public', 'tickers', instId);
+export const useOpenInterest = (instId) => fromWsChannelAndInstId('ws/v5/public', 'open-interest', instId);
+export const useOHLC = (candleType, instId) => fromWsChannelAndInstId('ws/v5/business', candleType, instId);
 //# sourceMappingURL=websocket.js.map

package/dist/websocket.js.map CHANGED Viewed

	@@ -1 +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 ${channelId}`);\n }\n}\n"]}
1	+ 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{ encodePath, formatTime } from '@yuants/utils';\nimport { catchError, defer, EMPTY, interval, Observable, Subscription, tap, timeout } from 'rxjs';\n\nclass OKXWsClient {\n ws: WebSocket;\n connected: boolean = false;\n subscriptions: Set<string>;\n handlers: Record<string, Function>;\n pendingSub: string[];\n keepAlive: Subscription;\n\n baseURL: string = `wss://ws.okx.com:8443`;\n constructor(path: string) {\n // this.instId = instId;\n this.ws = new WebSocket(`${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\nconst wsPool: {\n path: string;\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 = (path: string) => {\n const existing = wsPool.find((item) => item.path === path && !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(path);\n wsPool.push({ path, client: newClient, requests: 1, isFull: false });\n return newClient;\n};\n\nconst fromWsChannelAndInstId = <T>(path: string, channel: string, instId: string) =>\n defer(\n () =>\n new Observable<T>((subscriber) => {\n const client = getWsClient(path);\n client.subscribe(channel, instId, (data: T) => {\n subscriber.next(data);\n });\n client.ws.addEventListener('error', (err) => {\n subscriber.error(err);\n });\n client.ws.addEventListener('close', () => {\n subscriber.error('WS Connection Closed');\n });\n subscriber.add(() => {\n client.unsubscribe(channel, instId);\n });\n }),\n ).pipe(\n // 防止单个连接断开导致数据流关闭\n timeout(60_000),\n tap({\n error: (err) => {\n console.info(formatTime(Date.now()), 'WS_SUBSCRIBE_ERROR', channel, instId, err);\n },\n }),\n // 暂时不太确定是否能支持 retry\n // retry({ delay: 1000 }),\n catchError(() => EMPTY),\n );\n\nexport const useTicker = (instId: string) =>\n fromWsChannelAndInstId<{\n instId: string;\n last: string;\n askPx: string;\n bidPx: string;\n askSz: string;\n bidSz: string;\n }>('ws/v5/public', 'tickers', instId);\n\nexport const useOpenInterest = (instId: string) =>\n fromWsChannelAndInstId<{\n instId: string;\n oi: string; // open interest\n }>('ws/v5/public', 'open-interest', instId);\n\nexport const useOHLC = (candleType: string, instId: string) =>\n fromWsChannelAndInstId<string[]>('ws/v5/business', candleType, instId);\n"]}

package/lib/ohlc.js CHANGED Viewed

@@ -14,11 +14,11 @@ var __asyncGenerator = (this && this.__asyncGenerator) || function (thisArg, _ar
 Object.defineProperty(exports, "__esModule", { value: true });
 const data_series_1 = require("@yuants/data-series");
 const protocol_1 = require("@yuants/protocol");
+const sql_1 = require("@yuants/sql");
 const utils_1 = require("@yuants/utils");
 const rxjs_1 = require("rxjs");
 const api_1 = require("./api");
 const websocket_1 = require("./websocket");
-const sql_1 = require("@yuants/sql");
 // 时间粒度，默认值1m
 // 如 [1m/3m/5m/15m/30m/1H/2H/4H]
 // 香港时间开盘价k线：[6H/12H/1D/1W/1M]
@@ -115,7 +115,6 @@ const DURATION_TO_OKX_CANDLE_TYPE = {
     },
 });
 protocol_1.Terminal.fromNodeEnv().channel.publishChannel('ohlc', { pattern: `^OKX/` }, (series_id) => {
-    // const [] = decodePath(args)
     const [datasource_id, product_id, duration] = (0, utils_1.decodePath)(series_id);
     const [, instId] = (0, utils_1.decodePath)(product_id);
     const offset = (0, utils_1.convertDurationToOffset)(duration);
@@ -130,41 +129,29 @@ protocol_1.Terminal.fromNodeEnv().channel.publishChannel('ohlc', { pattern: `^OK
     }
     const candleType = DURATION_TO_OKX_CANDLE_TYPE[duration];
     console.info((0, utils_1.formatTime)(Date.now()), `subscribe`, series_id, product_id);
-    return new rxjs_1.Observable((subscriber) => {
-        console.info((0, utils_1.formatTime)(Date.now()), `subscribe`, candleType, instId);
-        const okxBusinessWsClient = new websocket_1.OKXWsClient('ws/v5/business');
-        okxBusinessWsClient.subscribe(candleType, instId, async (data) => {
-            console.info((0, utils_1.formatTime)(Date.now()), `#######Data`, data);
-            const created_at = Number(data[0]);
-            const closed_at = created_at + offset;
-            const open = data[1];
-            const high = data[2];
-            const low = data[3];
-            const close = data[4];
-            const volume = data[5];
-            if (isNaN(closed_at)) {
-                return;
-            }
-            const cancelData = {
-                closed_at: (0, utils_1.formatTime)(closed_at),
-                created_at: (0, utils_1.formatTime)(created_at),
-                open,
-                high,
-                low,
-                close,
-                series_id,
-                datasource_id,
-                duration,
-                product_id,
-                volume,
-                open_interest: '0',
-            };
-            subscriber.next(cancelData);
-        });
-        return () => {
-            okxBusinessWsClient.unsubscribe(candleType, instId);
+    return (0, websocket_1.useOHLC)(candleType, instId).pipe((0, rxjs_1.map)((data) => {
+        const created_at = Number(data[0]);
+        const closed_at = created_at + offset;
+        const open = data[1];
+        const high = data[2];
+        const low = data[3];
+        const close = data[4];
+        const volume = data[5];
+        return {
+            closed_at: (0, utils_1.formatTime)(closed_at),
+            created_at: (0, utils_1.formatTime)(created_at),
+            open,
+            high,
+            low,
+            close,
+            series_id,
+            datasource_id,
+            duration,
+            product_id,
+            volume,
+            open_interest: '0',
         };
-    }).pipe((0, sql_1.writeToSQL)({
+    }), (0, sql_1.writeToSQL)({
         tableName: 'ohlc',
         conflictKeys: ['created_at', 'series_id'],
         writeInterval: 1000,

package/lib/ohlc.js.map CHANGED Viewed

	@@ -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: '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 }),\n );\n});\n"]}
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{ IOHLC } from '@yuants/data-ohlc';\nimport { createSeriesProvider } from '@yuants/data-series';\nimport { Terminal } from '@yuants/protocol';\nimport { writeToSQL } from '@yuants/sql';\nimport { convertDurationToOffset, decodePath, formatTime } from '@yuants/utils';\nimport { firstValueFrom, map, timer } from 'rxjs';\nimport { client } from './api';\nimport { useOHLC } from './websocket';\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 [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\n return useOHLC(candleType, instId).pipe(\n map((data): IOHLC => {\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 return {\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 }),\n writeToSQL({\n tableName: 'ohlc',\n conflictKeys: ['created_at', 'series_id'],\n writeInterval: 1000,\n terminal: Terminal.fromNodeEnv(),\n }),\n );\n});\n"]}

package/lib/quote.d.ts CHANGED Viewed

@@ -1,5 +1,4 @@
-import { Observable } from 'rxjs';
-export declare const spotMarketTickers$: Observable<{
+export declare const spotMarketTickers$: import("rxjs").Observable<{
     [k: string]: {
         instType: string;
         instId: string;
@@ -19,5 +18,5 @@ export declare const spotMarketTickers$: Observable<{
         ts: string;
     };
 }>;
-export declare const swapOpenInterest$: Observable<Map<any, number>>;
+export declare const swapOpenInterest$: import("rxjs").Observable<Map<any, number>>;
 //# sourceMappingURL=quote.d.ts.map

package/lib/quote.d.ts.map CHANGED Viewed

	@@ -1 +1 @@
1	- {"version":3,"file":"quote.d.ts","sourceRoot":"","sources":["../src/quote.ts"],"names":[],"mappings":"~~AAIA~~,~~OAAO,EAUL,UAAU,EASX,MAAM,MAAM,CAAC;AAoFd,~~eAAO,MAAM,kBAAkB;;;;;;;;;;;;;;;;;;;EAW9B,CAAC;AA8KF,eAAO,MAAM,iBAAiB,~~8BAG7B~~,CAAC"}
1	+ {"version":3,"file":"quote.d.ts","sourceRoot":"","sources":["../src/quote.ts"],"names":[],"mappings":"AA6CA,eAAO,MAAM,kBAAkB;;;;;;;;;;;;;;;;;;;EAW9B,CAAC;AA8KF,eAAO,MAAM,iBAAiB,6CAG7B,CAAC"}

package/lib/quote.js CHANGED Viewed

@@ -7,53 +7,6 @@ const utils_1 = require("@yuants/utils");
 const rxjs_1 = require("rxjs");
 const api_1 = require("./api");
 const websocket_1 = require("./websocket");
-const wsPool = [];
-// ISSUE: 连接限制：3 次/秒 (基于IP)
-//
-// https://www.okx.com/docs-v5/zh/#overview-websocket-connect
-//
-// 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
-//
-// 请求限制：
-//
-// 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
-const getWsClient = () => {
-    const existing = wsPool.find((item) => !item.isFull);
-    if (existing) {
-        existing.requests++;
-        if (existing.requests >= 480) {
-            existing.isFull = true;
-        }
-        return existing.client;
-    }
-    const newClient = new websocket_1.OKXWsClient('ws/v5/public');
-    wsPool.push({ client: newClient, requests: 1, isFull: false });
-    return newClient;
-};
-const fromWsChannelAndInstId = (channel, instId) => (0, rxjs_1.defer)(() => new rxjs_1.Observable((subscriber) => {
-    const client = getWsClient();
-    client.subscribe(channel, instId, (data) => {
-        subscriber.next(data);
-    });
-    client.ws.addEventListener('error', (err) => {
-        subscriber.error(err);
-    });
-    client.ws.addEventListener('close', () => {
-        subscriber.error('WS Connection Closed');
-    });
-    subscriber.add(() => {
-        client.unsubscribe(channel, instId);
-    });
-})).pipe(
-// 防止单个连接断开导致数据流关闭
-(0, rxjs_1.timeout)(60000), (0, rxjs_1.tap)({
-    error: (err) => {
-        console.info((0, utils_1.formatTime)(Date.now()), 'WS_SUBSCRIBE_ERROR', channel, instId, err);
-    },
-}),
-// 暂时不太确定是否能支持 retry
-// retry({ delay: 1000 }),
-(0, rxjs_1.catchError)(() => rxjs_1.EMPTY));
 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));
 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));
 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));
@@ -61,7 +14,7 @@ const spotTickers$ = (0, rxjs_1.defer)(() => api_1.client.getMarketTickers({ ins
 exports.spotMarketTickers$ = (0, rxjs_1.defer)(() => spotTickers$).pipe((0, rxjs_1.mergeMap)((x) => (0, rxjs_1.from)(x.data).pipe((0, rxjs_1.map)((x) => [x.instId, x]), (0, rxjs_1.toArray)(), (0, rxjs_1.map)((x) => Object.fromEntries(x)))), (0, rxjs_1.repeat)({ delay: 5000 }), (0, rxjs_1.retry)({ delay: 5000 }), (0, rxjs_1.shareReplay)(1));
 const spotTicker$ = spotInstruments$.pipe((0, rxjs_1.tap)((x) => {
     console.info('SPOT INSTRUMENTS', x.length);
-}), (0, utils_1.listWatch)((x) => x.instId, (x) => fromWsChannelAndInstId('tickers', x.instId), () => true), (0, rxjs_1.share)());
+}), (0, utils_1.listWatch)((x) => x.instId, (x) => (0, websocket_1.useTicker)(x.instId), () => true), (0, rxjs_1.share)());
 const quoteOfSwapFromRest$ = (0, rxjs_1.defer)(() => api_1.client.getMarketTickers({ instType: 'SWAP' })).pipe((0, rxjs_1.mergeMap)((x) => x.data || []), (0, rxjs_1.map)((x) => ({
     datasource_id: 'OKX',
     product_id: (0, utils_1.encodePath)(x.instType, x.instId),
@@ -91,7 +44,7 @@ const quoteOfSpotAndMarginFromRest$ = (0, rxjs_1.defer)(() => api_1.client.getMa
         bid_volume: x.bidSz,
     },
 ]), (0, rxjs_1.repeat)({ delay: 1000 }), (0, rxjs_1.retry)({ delay: 1000 }));
-const quoteOfSwapFromWs$ = swapInstruments$.pipe((0, utils_1.listWatch)((x) => x.instId, (x) => fromWsChannelAndInstId('tickers', x.instId), () => true), (0, rxjs_1.map)((ticker) => ({
+const quoteOfSwapFromWs$ = swapInstruments$.pipe((0, utils_1.listWatch)((x) => x.instId, (x) => (0, websocket_1.useTicker)(x.instId), () => true), (0, rxjs_1.map)((ticker) => ({
     datasource_id: 'OKX',
     product_id: (0, utils_1.encodePath)('SWAP', ticker.instId),
     last_price: ticker.last,
@@ -121,7 +74,7 @@ const quoteOfSpotAndMarginFromWs$ = spotTicker$.pipe((0, rxjs_1.mergeMap)((ticke
     },
 ]));
 const swapOpenInterests$ = (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));
-const interestRateOfSwapFromWS$ = swapInstruments$.pipe((0, utils_1.listWatch)((x) => x.instId, (x) => fromWsChannelAndInstId('open-interest', x.instId), () => true), (0, rxjs_1.map)((x) => ({
+const interestRateOfSwapFromWS$ = swapInstruments$.pipe((0, utils_1.listWatch)((x) => x.instId, (x) => (0, websocket_1.useOpenInterest)(x.instId), () => true), (0, rxjs_1.map)((x) => ({
     datasource_id: 'OKX',
     product_id: (0, utils_1.encodePath)('SWAP', x.instId),
     open_interest: x.oi,

package/lib/quote.js.map CHANGED Viewed

	@@ -1 +1 @@
1	- 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{ IQuote } from '@yuants/data-quote';\nimport { Terminal } from '@yuants/protocol';\nimport { writeToSQL } from '@yuants/sql';\nimport { decodePath, encodePath, formatTime, listWatch } from '@yuants/utils';\nimport {\n catchError,\n defer,\n EMPTY,\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 timeout,\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 defer(\n () =>\n new Observable<any>((subscriber) => {\n const client = getWsClient();\n client.subscribe(channel, instId, (data: any) => {\n subscriber.next(data);\n });\n client.ws.addEventListener('error', (err) => {\n subscriber.error(err);\n });\n client.ws.addEventListener('close', () => {\n subscriber.error('WS Connection Closed');\n });\n subscriber.add(() => {\n client.unsubscribe(channel, instId);\n });\n }),\n ).pipe(\n // 防止单个连接断开导致数据流关闭\n timeout(60_000),\n tap({\n error: (err) => {\n console.info(formatTime(Date.now()), 'WS_SUBSCRIBE_ERROR', channel, instId, err);\n },\n }),\n // 暂时不太确定是否能支持 retry\n // retry({ delay: 1000 }),\n catchError(() => EMPTY),\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$.pipe(\n tap((x) => {\n console.info('SPOT INSTRUMENTS', x.length);\n }),\n listWatch(\n (x) => x.instId,\n (x) => fromWsChannelAndInstId('tickers', x.instId),\n () => true,\n ),\n share(),\n);\n\nconst quoteOfSwapFromRest$ = defer(() => client.getMarketTickers({ instType: 'SWAP' })).pipe(\n mergeMap((x) => x.data \|\| []),\n map(\n (x): Partial<IQuote> => ({\n datasource_id: 'OKX',\n product_id: encodePath(x.instType, x.instId),\n last_price: x.last,\n ask_price: x.askPx,\n bid_price: x.bidPx,\n ask_volume: x.askSz,\n bid_volume: x.bidSz,\n }),\n ),\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n);\n\nconst quoteOfSpotAndMarginFromRest$ = defer(() => client.getMarketTickers({ instType: 'SPOT' })).pipe(\n mergeMap((x) => x.data \|\| []),\n mergeMap((x): Partial<IQuote>[] => [\n {\n datasource_id: 'OKX',\n product_id: encodePath('SPOT', x.instId),\n last_price: x.last,\n ask_price: x.askPx,\n bid_price: x.bidPx,\n ask_volume: x.askSz,\n bid_volume: x.bidSz,\n },\n {\n datasource_id: 'OKX',\n product_id: encodePath('MARGIN', x.instId),\n last_price: x.last,\n ask_price: x.askPx,\n bid_price: x.bidPx,\n ask_volume: x.askSz,\n bid_volume: x.bidSz,\n },\n ]),\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n);\n\nconst quoteOfSwapFromWs$ = swapInstruments$.pipe(\n listWatch(\n (x) => x.instId,\n (x) => fromWsChannelAndInstId('tickers', x.instId),\n () => true,\n ),\n map(\n (ticker): Partial<IQuote> => ({\n datasource_id: 'OKX',\n product_id: encodePath('SWAP', ticker.instId),\n last_price: ticker.last,\n ask_price: ticker.askPx,\n bid_price: ticker.bidPx,\n ask_volume: ticker.askSz,\n bid_volume: ticker.bidSz,\n }),\n ),\n);\n\nconst quoteOfSpotAndMarginFromWs$ = spotTicker$.pipe(\n mergeMap((ticker): Partial<IQuote>[] => [\n {\n datasource_id: 'OKX',\n product_id: encodePath('SPOT', ticker.instId),\n last_price: ticker.last,\n ask_price: ticker.askPx,\n bid_price: ticker.bidPx,\n ask_volume: ticker.askSz,\n bid_volume: ticker.bidSz,\n },\n {\n datasource_id: 'OKX',\n product_id: encodePath('MARGIN', ticker.instId),\n last_price: ticker.last,\n ask_price: ticker.askPx,\n bid_price: ticker.bidPx,\n ask_volume: ticker.askSz,\n bid_volume: ticker.bidSz,\n },\n ]),\n);\n\nconst swapOpenInterests$ = defer(() => client.getOpenInterest({ instType: 'SWAP' })).pipe(\n repeat({ delay: 10_000 }),\n retry({ delay: 10_000 }),\n shareReplay(1),\n);\n\nconst interestRateOfSwapFromWS$ = swapInstruments$.pipe(\n listWatch(\n (x) => x.instId,\n (x) => fromWsChannelAndInstId('open-interest', x.instId),\n () => true,\n ),\n map(\n (x): Partial<IQuote> => ({\n datasource_id: 'OKX',\n product_id: encodePath('SWAP', x.instId),\n open_interest: x.oi,\n }),\n ),\n share(),\n);\n\nconst quoteSources$ = [\n quoteOfSwapFromWs$,\n interestRateOfSwapFromWS$,\n quoteOfSwapFromRest$,\n quoteOfSpotAndMarginFromWs$,\n quoteOfSpotAndMarginFromRest$,\n];\n\nconst quote$ = defer(() =>\n merge(\n ...quoteSources$.map((x$) =>\n defer(() => x$).pipe(\n // 防止单个流关闭导致整体关闭\n catchError(() => EMPTY),\n ),\n ),\n ),\n).pipe(\n groupBy((x) => encodePath(x.datasource_id, x.product_id)),\n mergeMap((group$) => {\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$).pipe(\n map((x) => new Map(x.data.map((x: any) => [x.instId, +x.oi] as const))),\n shareReplay(1),\n);\n"]}
1	+ 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{ IQuote } from '@yuants/data-quote';\nimport { Terminal } from '@yuants/protocol';\nimport { writeToSQL } from '@yuants/sql';\nimport { decodePath, encodePath, listWatch } from '@yuants/utils';\nimport {\n catchError,\n defer,\n EMPTY,\n filter,\n from,\n groupBy,\n map,\n merge,\n mergeMap,\n repeat,\n retry,\n scan,\n share,\n shareReplay,\n tap,\n toArray,\n} from 'rxjs';\nimport { client } from './api';\nimport { useOpenInterest, useTicker } from './websocket';\n\nconst swapInstruments$ = 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$.pipe(\n tap((x) => {\n console.info('SPOT INSTRUMENTS', x.length);\n }),\n listWatch(\n (x) => x.instId,\n (x) => useTicker(x.instId),\n () => true,\n ),\n share(),\n);\n\nconst quoteOfSwapFromRest$ = defer(() => client.getMarketTickers({ instType: 'SWAP' })).pipe(\n mergeMap((x) => x.data \|\| []),\n map(\n (x): Partial<IQuote> => ({\n datasource_id: 'OKX',\n product_id: encodePath(x.instType, x.instId),\n last_price: x.last,\n ask_price: x.askPx,\n bid_price: x.bidPx,\n ask_volume: x.askSz,\n bid_volume: x.bidSz,\n }),\n ),\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n);\n\nconst quoteOfSpotAndMarginFromRest$ = defer(() => client.getMarketTickers({ instType: 'SPOT' })).pipe(\n mergeMap((x) => x.data \|\| []),\n mergeMap((x): Partial<IQuote>[] => [\n {\n datasource_id: 'OKX',\n product_id: encodePath('SPOT', x.instId),\n last_price: x.last,\n ask_price: x.askPx,\n bid_price: x.bidPx,\n ask_volume: x.askSz,\n bid_volume: x.bidSz,\n },\n {\n datasource_id: 'OKX',\n product_id: encodePath('MARGIN', x.instId),\n last_price: x.last,\n ask_price: x.askPx,\n bid_price: x.bidPx,\n ask_volume: x.askSz,\n bid_volume: x.bidSz,\n },\n ]),\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n);\n\nconst quoteOfSwapFromWs$ = swapInstruments$.pipe(\n listWatch(\n (x) => x.instId,\n (x) => useTicker(x.instId),\n () => true,\n ),\n map(\n (ticker): Partial<IQuote> => ({\n datasource_id: 'OKX',\n product_id: encodePath('SWAP', ticker.instId),\n last_price: ticker.last,\n ask_price: ticker.askPx,\n bid_price: ticker.bidPx,\n ask_volume: ticker.askSz,\n bid_volume: ticker.bidSz,\n }),\n ),\n);\n\nconst quoteOfSpotAndMarginFromWs$ = spotTicker$.pipe(\n mergeMap((ticker): Partial<IQuote>[] => [\n {\n datasource_id: 'OKX',\n product_id: encodePath('SPOT', ticker.instId),\n last_price: ticker.last,\n ask_price: ticker.askPx,\n bid_price: ticker.bidPx,\n ask_volume: ticker.askSz,\n bid_volume: ticker.bidSz,\n },\n {\n datasource_id: 'OKX',\n product_id: encodePath('MARGIN', ticker.instId),\n last_price: ticker.last,\n ask_price: ticker.askPx,\n bid_price: ticker.bidPx,\n ask_volume: ticker.askSz,\n bid_volume: ticker.bidSz,\n },\n ]),\n);\n\nconst swapOpenInterests$ = defer(() => client.getOpenInterest({ instType: 'SWAP' })).pipe(\n repeat({ delay: 10_000 }),\n retry({ delay: 10_000 }),\n shareReplay(1),\n);\n\nconst interestRateOfSwapFromWS$ = swapInstruments$.pipe(\n listWatch(\n (x) => x.instId,\n (x) => useOpenInterest(x.instId),\n () => true,\n ),\n map(\n (x): Partial<IQuote> => ({\n datasource_id: 'OKX',\n product_id: encodePath('SWAP', x.instId),\n open_interest: x.oi,\n }),\n ),\n share(),\n);\n\nconst quoteSources$ = [\n quoteOfSwapFromWs$,\n interestRateOfSwapFromWS$,\n quoteOfSwapFromRest$,\n quoteOfSpotAndMarginFromWs$,\n quoteOfSpotAndMarginFromRest$,\n];\n\nconst quote$ = defer(() =>\n merge(\n ...quoteSources$.map((x$) =>\n defer(() => x$).pipe(\n // 防止单个流关闭导致整体关闭\n catchError(() => EMPTY),\n ),\n ),\n ),\n).pipe(\n groupBy((x) => encodePath(x.datasource_id, x.product_id)),\n mergeMap((group$) => {\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/websocket.d.ts CHANGED Viewed

@@ -1,15 +1,15 @@
-import { Subscription } from 'rxjs';
-export declare class OKXWsClient {
-    ws: WebSocket;
-    connected: boolean;
-    subscriptions: Set<string>;
-    handlers: Record<string, Function>;
-    pendingSub: string[];
-    keepAlive: Subscription;
-    baseURL: string;
-    constructor(path: string);
-    handleMessage(raw: any): void;
-    subscribe(channel: string, instId?: string, handler?: Function): void;
-    unsubscribe(channel: string, instId?: string): void;
-}
+import { Observable } from 'rxjs';
+export declare const useTicker: (instId: string) => Observable<{
+    instId: string;
+    last: string;
+    askPx: string;
+    bidPx: string;
+    askSz: string;
+    bidSz: string;
+}>;
+export declare const useOpenInterest: (instId: string) => Observable<{
+    instId: string;
+    oi: string;
+}>;
+export declare const useOHLC: (candleType: string, instId: string) => Observable<string[]>;
 //# sourceMappingURL=websocket.d.ts.map

package/lib/websocket.d.ts.map CHANGED Viewed

	@@ -1 +1 @@
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1	+ {"version":3,"file":"websocket.d.ts","sourceRoot":"","sources":["../src/websocket.ts"],"names":[],"mappings":"AACA,OAAO,EAAsC,UAAU,EAA8B,MAAM,MAAM,CAAC;AA4KlG,eAAO,MAAM,SAAS,WAAY,MAAM;YAE5B,MAAM;UACR,MAAM;WACL,MAAM;WACN,MAAM;WACN,MAAM;WACN,MAAM;EACsB,CAAC;AAExC,eAAO,MAAM,eAAe,WAAY,MAAM;YAElC,MAAM;QACV,MAAM;EAC+B,CAAC;AAE9C,eAAO,MAAM,OAAO,eAAgB,MAAM,UAAU,MAAM,yBACc,CAAC"}

package/lib/websocket.js CHANGED Viewed

@@ -1,9 +1,8 @@
 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
-exports.OKXWsClient = void 0;
+exports.useOHLC = exports.useOpenInterest = exports.useTicker = void 0;
 const utils_1 = require("@yuants/utils");
 const rxjs_1 = require("rxjs");
-// import WebSocket from 'ws';
 class OKXWsClient {
     constructor(path) {
         this.connected = false;
@@ -100,5 +99,57 @@ class OKXWsClient {
         console.info((0, utils_1.formatTime)(Date.now()), `📩 Sent unsubscribe for ${channelId}`);
     }
 }
-exports.OKXWsClient = OKXWsClient;
+const wsPool = [];
+// ISSUE: 连接限制：3 次/秒 (基于IP)
+//
+// https://www.okx.com/docs-v5/zh/#overview-websocket-connect
+//
+// 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
+//
+// 请求限制：
+//
+// 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
+const getWsClient = (path) => {
+    const existing = wsPool.find((item) => item.path === path && !item.isFull);
+    if (existing) {
+        existing.requests++;
+        if (existing.requests >= 480) {
+            existing.isFull = true;
+        }
+        return existing.client;
+    }
+    const newClient = new OKXWsClient(path);
+    wsPool.push({ path, client: newClient, requests: 1, isFull: false });
+    return newClient;
+};
+const fromWsChannelAndInstId = (path, channel, instId) => (0, rxjs_1.defer)(() => new rxjs_1.Observable((subscriber) => {
+    const client = getWsClient(path);
+    client.subscribe(channel, instId, (data) => {
+        subscriber.next(data);
+    });
+    client.ws.addEventListener('error', (err) => {
+        subscriber.error(err);
+    });
+    client.ws.addEventListener('close', () => {
+        subscriber.error('WS Connection Closed');
+    });
+    subscriber.add(() => {
+        client.unsubscribe(channel, instId);
+    });
+})).pipe(
+// 防止单个连接断开导致数据流关闭
+(0, rxjs_1.timeout)(60000), (0, rxjs_1.tap)({
+    error: (err) => {
+        console.info((0, utils_1.formatTime)(Date.now()), 'WS_SUBSCRIBE_ERROR', channel, instId, err);
+    },
+}),
+// 暂时不太确定是否能支持 retry
+// retry({ delay: 1000 }),
+(0, rxjs_1.catchError)(() => rxjs_1.EMPTY));
+const useTicker = (instId) => fromWsChannelAndInstId('ws/v5/public', 'tickers', instId);
+exports.useTicker = useTicker;
+const useOpenInterest = (instId) => fromWsChannelAndInstId('ws/v5/public', 'open-interest', instId);
+exports.useOpenInterest = useOpenInterest;
+const useOHLC = (candleType, instId) => fromWsChannelAndInstId('ws/v5/business', candleType, instId);
+exports.useOHLC = useOHLC;
 //# sourceMappingURL=websocket.js.map

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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 ${channelId}`);\n }\n}\n"]}
1	+ 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{ encodePath, formatTime } from '@yuants/utils';\nimport { catchError, defer, EMPTY, interval, Observable, Subscription, tap, timeout } from 'rxjs';\n\nclass OKXWsClient {\n ws: WebSocket;\n connected: boolean = false;\n subscriptions: Set<string>;\n handlers: Record<string, Function>;\n pendingSub: string[];\n keepAlive: Subscription;\n\n baseURL: string = `wss://ws.okx.com:8443`;\n constructor(path: string) {\n // this.instId = instId;\n this.ws = new WebSocket(`${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\nconst wsPool: {\n path: string;\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 = (path: string) => {\n const existing = wsPool.find((item) => item.path === path && !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(path);\n wsPool.push({ path, client: newClient, requests: 1, isFull: false });\n return newClient;\n};\n\nconst fromWsChannelAndInstId = <T>(path: string, channel: string, instId: string) =>\n defer(\n () =>\n new Observable<T>((subscriber) => {\n const client = getWsClient(path);\n client.subscribe(channel, instId, (data: T) => {\n subscriber.next(data);\n });\n client.ws.addEventListener('error', (err) => {\n subscriber.error(err);\n });\n client.ws.addEventListener('close', () => {\n subscriber.error('WS Connection Closed');\n });\n subscriber.add(() => {\n client.unsubscribe(channel, instId);\n });\n }),\n ).pipe(\n // 防止单个连接断开导致数据流关闭\n timeout(60_000),\n tap({\n error: (err) => {\n console.info(formatTime(Date.now()), 'WS_SUBSCRIBE_ERROR', channel, instId, err);\n },\n }),\n // 暂时不太确定是否能支持 retry\n // retry({ delay: 1000 }),\n catchError(() => EMPTY),\n );\n\nexport const useTicker = (instId: string) =>\n fromWsChannelAndInstId<{\n instId: string;\n last: string;\n askPx: string;\n bidPx: string;\n askSz: string;\n bidSz: string;\n }>('ws/v5/public', 'tickers', instId);\n\nexport const useOpenInterest = (instId: string) =>\n fromWsChannelAndInstId<{\n instId: string;\n oi: string; // open interest\n }>('ws/v5/public', 'open-interest', instId);\n\nexport const useOHLC = (candleType: string, instId: string) =>\n fromWsChannelAndInstId<string[]>('ws/v5/business', candleType, instId);\n"]}

package/package.json CHANGED Viewed

@@ -1,6 +1,6 @@
 {
 	"name": "@yuants/vendor-okx",
-	"version": "0.22.12",
+	"version": "0.22.14",
 	"bin": "lib/cli.js",
 	"main": "lib/index.js",
 	"files": [
@@ -9,19 +9,19 @@
 		"temp"
 	],
 	"dependencies": {
-		"@yuants/protocol": "0.43.0",
-		"@yuants/transfer": "0.2.15",
-		"@yuants/data-account": "0.4.4",
-		"@yuants/data-order": "0.2.12",
+		"@yuants/protocol": "0.45.0",
+		"@yuants/transfer": "0.2.17",
+		"@yuants/data-account": "0.4.6",
+		"@yuants/data-order": "0.2.14",
 		"@yuants/utils": "0.8.0",
-		"@yuants/sql": "0.9.6",
-		"@yuants/data-series": "0.3.27",
-		"@yuants/data-product": "0.2.16",
-		"@yuants/data-ohlc": "0.3.23",
-		"@yuants/data-interest-rate": "0.1.24",
-		"@yuants/data-quote": "0.2.19",
-		"@yuants/data-trade": "0.0.12",
-		"@yuants/secret": "0.2.10",
+		"@yuants/sql": "0.9.8",
+		"@yuants/data-series": "0.3.29",
+		"@yuants/data-product": "0.2.18",
+		"@yuants/data-ohlc": "0.3.25",
+		"@yuants/data-interest-rate": "0.1.26",
+		"@yuants/data-quote": "0.2.21",
+		"@yuants/data-trade": "0.0.14",
+		"@yuants/secret": "0.2.12",
 		"rxjs": "~7.5.6",
 		"crypto-js": "^4.2.0",
 		"ws": "~8.8.1"

package/temp/package-deps.json CHANGED Viewed

@@ -1,13 +1,13 @@
 {
-    "apps/vendor-okx/CHANGELOG.json": "168bb7261f81a75564a12ee1e6832aa4211392ea",
-    "apps/vendor-okx/CHANGELOG.md": "c184ce88c2017b8d91f6dfe17a8442d005a91d61",
+    "apps/vendor-okx/CHANGELOG.json": "85d0e2d6bb985ebee6d566f9bb3c77253ab7c787",
+    "apps/vendor-okx/CHANGELOG.md": "4cebe980d7586e87f5cba6b497c39db9c4303417",
     "apps/vendor-okx/README.md": "ac3d1f6c4c8d73066664699b0bb1b01db02e67a2",
     "apps/vendor-okx/api-extractor.json": "62f4fd324425b9a235f0c117975967aab09ced0c",
     "apps/vendor-okx/config/jest.config.json": "4bb17bde3ee911163a3edb36a6eb71491d80b1bd",
     "apps/vendor-okx/config/rig.json": "f6c7b5537dc77a3170ba9f008bae3b6c3ee11956",
     "apps/vendor-okx/config/typescript.json": "854907e8a821f2050f6533368db160c649c25348",
     "apps/vendor-okx/etc/vendor-okx.api.md": "92c54ccd547d2ad81ca6088158ca193e85c208df",
-    "apps/vendor-okx/package.json": "26868a233b26c445c2bbc6df9fd8871f8adf34b1",
+    "apps/vendor-okx/package.json": "98474693d37e322ee30827623285df95ec29aede",
     "apps/vendor-okx/src/account.ts": "02d5860d8432ecd5a4c31ed70fb860131fef21c0",
     "apps/vendor-okx/src/api.ts": "36fa856ff6ce83b9ccf5b5f4319850065afe3226",
     "apps/vendor-okx/src/cli.ts": "9bf6b5559a6c6f33da20e74cc6c5d702c60ec891",
@@ -17,28 +17,28 @@
     "apps/vendor-okx/src/legacy_index.ts": "b22571034e3ab5ef8759a35dfe67129d6b413250",
     "apps/vendor-okx/src/loan-account.ts": "0be2842d859f5e8a7dc7a22c64e230f8fc7d25bb",
     "apps/vendor-okx/src/logger.ts": "d25d427e74f46819a601e0cb17d5358b22c8db7b",
-    "apps/vendor-okx/src/ohlc.ts": "7a8375fc004931ba411e900195ef936372a0400f",
+    "apps/vendor-okx/src/ohlc.ts": "635405fd8f971b708937a9d61378190e63cf8cf8",
     "apps/vendor-okx/src/order.ts": "945865088271a194eb1c684af0f10e6b54d89f6b",
     "apps/vendor-okx/src/product.ts": "a2e7feb86bc01fe3b1af6dcb9a9ebfba6be91434",
-    "apps/vendor-okx/src/quote.ts": "38293b3781eb52ab2f82cdc8c467fc5e6c732c10",
+    "apps/vendor-okx/src/quote.ts": "40b3a637b9348f380d6461b50ccc07eaea3fb635",
     "apps/vendor-okx/src/services.ts": "7b7df830a6d78b6de5cee44bbcec66f282ab53ab",
     "apps/vendor-okx/src/trade.ts": "7e9f345bda2c9584d25a0ba0f0224eb2839f0ec1",
-    "apps/vendor-okx/src/websocket.ts": "bf3d19090361e96a81ecafb47b9d00bff88193c7",
+    "apps/vendor-okx/src/websocket.ts": "b927cd323ad7cb2edeaeadfd64bd415f3e51d478",
     "apps/vendor-okx/tsconfig.json": "81da8f78196974b5d15da0edb6b2d9f48641063c",
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