@yuants/vendor-okx 0.22.17 → 0.22.18
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- package/dist/ohlc.js +8 -7
- package/dist/ohlc.js.map +1 -1
- package/dist/quote.js +22 -21
- package/dist/quote.js.map +1 -1
- package/dist/ws.js +242 -0
- package/dist/ws.js.map +1 -0
- package/lib/ohlc.js +9 -8
- package/lib/ohlc.js.map +1 -1
- package/lib/quote.d.ts.map +1 -1
- package/lib/quote.js +25 -24
- package/lib/quote.js.map +1 -1
- package/lib/ws.d.ts +15 -0
- package/lib/ws.d.ts.map +1 -0
- package/lib/ws.js +248 -0
- package/lib/ws.js.map +1 -0
- package/package.json +1 -1
- package/temp/package-deps.json +6 -5
package/dist/ohlc.js
CHANGED
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@@ -16,7 +16,8 @@ import { writeToSQL } from '@yuants/sql';
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import { convertDurationToOffset, decodePath, formatTime } from '@yuants/utils';
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import { firstValueFrom, map, timer } from 'rxjs';
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import { client } from './api';
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-
import { useOHLC } from './
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+
import { useOHLC } from './ws';
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// import { useOHLC } from './websocket';
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// 时间粒度，默认值1m
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// 如 [1m/3m/5m/15m/30m/1H/2H/4H]
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// 香港时间开盘价k线：[6H/12H/1D/1W/1M]
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@@ -128,13 +129,13 @@ Terminal.fromNodeEnv().channel.publishChannel('ohlc', { pattern: `^OKX/` }, (ser
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const candleType = DURATION_TO_OKX_CANDLE_TYPE[duration];
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console.info(formatTime(Date.now()), `subscribe`, series_id, product_id);
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return useOHLC(candleType, instId).pipe(map((data) => {
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-
const created_at = Number(data[0]);
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+
const created_at = Number(data[0][0]);
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const closed_at = created_at + offset;
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-
const open = data[1];
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-
const high = data[2];
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const low = data[3];
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-
const close = data[4];
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-
const volume = data[5];
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const open = data[0][1];
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const high = data[0][2];
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const low = data[0][3];
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const close = data[0][4];
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const volume = data[0][5];
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return {
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closed_at: formatTime(closed_at),
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created_at: formatTime(created_at),
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package/dist/ohlc.js.map
CHANGED
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@@ -1 +1 @@
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1
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-
{"version":3,"file":"ohlc.js","sourceRoot":"","sources":["../src/ohlc.ts"],"names":[],"mappings":";;;;;;;;;;;;AACA,OAAO,EAAE,oBAAoB,EAAE,MAAM,qBAAqB,CAAC;AAC3D,OAAO,EAAE,QAAQ,EAAE,MAAM,kBAAkB,CAAC;AAC5C,OAAO,EAAE,UAAU,EAAE,MAAM,aAAa,CAAC;AACzC,OAAO,EAAE,uBAAuB,EAAE,UAAU,EAAE,UAAU,EAAE,MAAM,eAAe,CAAC;AAChF,OAAO,EAAE,cAAc,EAAE,GAAG,EAAE,KAAK,EAAE,MAAM,MAAM,CAAC;AAClD,OAAO,EAAE,MAAM,EAAE,MAAM,OAAO,CAAC;AAC/B,OAAO,EAAE,OAAO,EAAE,MAAM,
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1
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+
{"version":3,"file":"ohlc.js","sourceRoot":"","sources":["../src/ohlc.ts"],"names":[],"mappings":";;;;;;;;;;;;AACA,OAAO,EAAE,oBAAoB,EAAE,MAAM,qBAAqB,CAAC;AAC3D,OAAO,EAAE,QAAQ,EAAE,MAAM,kBAAkB,CAAC;AAC5C,OAAO,EAAE,UAAU,EAAE,MAAM,aAAa,CAAC;AACzC,OAAO,EAAE,uBAAuB,EAAE,UAAU,EAAE,UAAU,EAAE,MAAM,eAAe,CAAC;AAChF,OAAO,EAAE,cAAc,EAAE,GAAG,EAAE,KAAK,EAAE,MAAM,MAAM,CAAC;AAClD,OAAO,EAAE,MAAM,EAAE,MAAM,OAAO,CAAC;AAC/B,OAAO,EAAE,OAAO,EAAE,MAAM,MAAM,CAAC;AAC/B,yCAAyC;AAEzC,aAAa;AACb,gCAAgC;AAChC,8BAA8B;AAC9B,8CAA8C;AAE9C,MAAM,wBAAwB,GAA2B;IACvD,IAAI,EAAE,IAAI;IACV,IAAI,EAAE,IAAI;IACV,IAAI,EAAE,IAAI;IACV,KAAK,EAAE,KAAK;IACZ,KAAK,EAAE,KAAK;IAEZ,IAAI,EAAE,IAAI;IACV,IAAI,EAAE,IAAI;IACV,IAAI,EAAE,IAAI;IACV,IAAI,EAAE,IAAI;IACV,KAAK,EAAE,KAAK;IAEZ,GAAG,EAAE,IAAI;IACT,GAAG,EAAE,IAAI;IACT,GAAG,EAAE,IAAI;CACV,CAAC;AAEF,MAAM,2BAA2B,GAA2B;IAC1D,IAAI,EAAE,UAAU;IAChB,IAAI,EAAE,UAAU;IAChB,IAAI,EAAE,UAAU;IAChB,KAAK,EAAE,WAAW;IAClB,KAAK,EAAE,WAAW;IAElB,IAAI,EAAE,UAAU;IAChB,IAAI,EAAE,UAAU;IAChB,IAAI,EAAE,UAAU;IAChB,IAAI,EAAE,UAAU;IAChB,KAAK,EAAE,WAAW;IAElB,GAAG,EAAE,UAAU;IACf,GAAG,EAAE,UAAU;IACf,GAAG,EAAE,UAAU;CAChB,CAAC;AAEF,oBAAoB,CAAQ,QAAQ,CAAC,WAAW,EAAE,EAAE;IAClD,SAAS,EAAE,MAAM;IACjB,sBAAsB,EAAE,CAAC,KAAK,CAAC;IAC/B,QAAQ,EAAE,IAAI;IACd,cAAc,EAAE,EAAE,UAAU,EAAE,CAAC,EAAE;IACjC,OAAO,EAAE,UAAiB,EAAE,SAAS,EAAE,QAAQ,EAAE;;YAC/C,MAAM,CAAC,aAAa,EAAE,UAAU,EAAE,QAAQ,CAAC,GAAG,UAAU,CAAC,SAAS,CAAC,CAAC;YACpE,MAAM,MAAM,GAAG,uBAAuB,CAAC,QAAQ,CAAC,CAAC;YACjD,IAAI,CAAC,aAAa,EAAE;gBAClB,MAAM,2BAA2B,CAAC;aACnC;YACD,IAAI,CAAC,UAAU,EAAE;gBACf,MAAM,wBAAwB,CAAC;aAChC;YACD,IAAI,CAAC,MAAM,EAAE;gBACX,MAAM,qBAAqB,CAAC;aAC7B;YACD,MAAM,CAAC,QAAQ,EAAE,MAAM,CAAC,GAAG,UAAU,CAAC,UAAU,CAAC,CAAC;YAClD,IAAI,CAAC,MAAM,EAAE;gBACX,MAAM,uBAAuB,UAAU,EAAE,CAAC;aAC3C;YAED,MAAM,GAAG,GAAG,wBAAwB,CAAC,QAAQ,CAAC,CAAC;YAC/C,IAAI,CAAC,GAAG,EAAE;gBACR,MAAM,yBAAyB,QAAQ,EAAE,CAAC;aAC3C;YAED,IAAI,gBAAgB,GAAG,QAAQ,CAAC;YAEhC,OAAO,IAAI,EAAE;gBACX,yBAAyB;gBACzB,MAAM,GAAG,GAAG,cAAM,MAAM,CAAC,iBAAiB,CAAC;oBACzC,MAAM;oBACN,GAAG;oBACH,KAAK,EAAE,GAAG,gBAAgB,EAAE;oBAC5B,KAAK,EAAE,KAAK;iBACb,CAAC,CAAA,CAAC;gBACH,IAAI,GAAG,CAAC,IAAI,KAAK,GAAG,EAAE;oBACpB,MAAM,eAAe,GAAG,CAAC,IAAI,IAAI,GAAG,CAAC,GAAG,EAAE,CAAC;iBAC5C;gBACD,IAAI,GAAG,CAAC,IAAI,CAAC,MAAM,KAAK,CAAC;oBAAE,MAAM;gBACjC,gBAAgB,GAAG,CAAC,GAAG,CAAC,IAAI,CAAC,GAAG,CAAC,IAAI,CAAC,MAAM,GAAG,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC;gBACrD,MAAM,IAAI,GAAG,GAAG,CAAC,IAAI,CAAC,GAAG,CACvB,CAAC,CAAC,EAAS,EAAE,CAAC,CAAC;oBACb,SAAS;oBACT,aAAa;oBACb,UAAU;oBACV,QAAQ;oBACR,UAAU,EAAE,UAAU,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC;oBAC7B,SAAS,EAAE,UAAU,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,GAAG,MAAM,CAAC;oBACrC,IAAI,EAAE,CAAC,CAAC,CAAC,CAAC;oBACV,IAAI,EAAE,CAAC,CAAC,CAAC,CAAC;oBACV,GAAG,EAAE,CAAC,CAAC,CAAC,CAAC;oBACT,KAAK,EAAE,CAAC,CAAC,CAAC,CAAC;oBACX,MAAM,EAAE,CAAC,CAAC,CAAC,CAAC;oBACZ,aAAa,EAAE,GAAG;iBACnB,CAAC,CACH,CAAC;gBACF,oBAAM,IAAI,CAAA,CAAC;gBACX,cAAM,cAAc,CAAC,KAAK,CAAC,IAAI,CAAC,CAAC,CAAA,CAAC;aACnC;QACH,CAAC;KAAA;CACF,CAAC,CAAC;AAEH,QAAQ,CAAC,WAAW,EAAE,CAAC,OAAO,CAAC,cAAc,CAAC,MAAM,EAAE,EAAE,OAAO,EAAE,OAAO,EAAE,EAAE,CAAC,SAAS,EAAE,EAAE;IACxF,MAAM,CAAC,aAAa,EAAE,UAAU,EAAE,QAAQ,CAAC,GAAG,UAAU,CAAC,SAAS,CAAC,CAAC;IACpE,MAAM,CAAC,EAAE,MAAM,CAAC,GAAG,UAAU,CAAC,UAAU,CAAC,CAAC;IAC1C,MAAM,MAAM,GAAG,uBAAuB,CAAC,QAAQ,CAAC,CAAC;IACjD,IAAI,CAAC,aAAa,EAAE;QAClB,MAAM,2BAA2B,CAAC;KACnC;IACD,IAAI,CAAC,UAAU,EAAE;QACf,MAAM,wBAAwB,CAAC;KAChC;IACD,IAAI,CAAC,MAAM,EAAE;QACX,MAAM,qBAAqB,CAAC;KAC7B;IACD,MAAM,UAAU,GAAG,2BAA2B,CAAC,QAAQ,CAAC,CAAC;IACzD,OAAO,CAAC,IAAI,CAAC,UAAU,CAAC,IAAI,CAAC,GAAG,EAAE,CAAC,EAAE,WAAW,EAAE,SAAS,EAAE,UAAU,CAAC,CAAC;IAEzE,OAAO,OAAO,CAAC,UAAU,EAAE,MAAM,CAAC,CAAC,IAAI,CACrC,GAAG,CAAC,CAAC,IAAI,EAAS,EAAE;QAClB,MAAM,UAAU,GAAG,MAAM,CAAC,IAAI,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC;QACtC,MAAM,SAAS,GAAG,UAAU,GAAG,MAAM,CAAC;QACtC,MAAM,IAAI,GAAG,IAAI,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC;QACxB,MAAM,IAAI,GAAG,IAAI,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC;QACxB,MAAM,GAAG,GAAG,IAAI,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC;QACvB,MAAM,KAAK,GAAG,IAAI,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC;QACzB,MAAM,MAAM,GAAG,IAAI,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC;QAC1B,OAAO;YACL,SAAS,EAAE,UAAU,CAAC,SAAS,CAAC;YAChC,UAAU,EAAE,UAAU,CAAC,UAAU,CAAC;YAClC,IAAI;YACJ,IAAI;YACJ,GAAG;YACH,KAAK;YACL,SAAS;YACT,aAAa;YACb,QAAQ;YACR,UAAU;YACV,MAAM;YACN,aAAa,EAAE,GAAG;SACnB,CAAC;IACJ,CAAC,CAAC,EACF,UAAU,CAAC;QACT,SAAS,EAAE,MAAM;QACjB,YAAY,EAAE,CAAC,YAAY,EAAE,WAAW,CAAC;QACzC,aAAa,EAAE,IAAI;QACnB,QAAQ,EAAE,QAAQ,CAAC,WAAW,EAAE;KACjC,CAAC,CACH,CAAC;AACJ,CAAC,CAAC,CAAC","sourcesContent":["import { 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 './ws';\n// import { 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][0]);\n const closed_at = created_at + offset;\n const open = data[0][1];\n const high = data[0][2];\n const low = data[0][3];\n const close = data[0][4];\n const volume = data[0][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"]}
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package/dist/quote.js
CHANGED
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@@ -3,7 +3,8 @@ import { writeToSQL } from '@yuants/sql';
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import { decodePath, encodePath, listWatch } from '@yuants/utils';
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import { catchError, defer, EMPTY, filter, from, groupBy, map, merge, mergeMap, repeat, retry, scan, share, shareReplay, tap, toArray, } from 'rxjs';
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import { client } from './api';
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import { useOpenInterest, useTicker } from './
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import { useOpenInterest, useTicker } from './ws';
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// import { useOpenInterest, useTicker } from './websocket';
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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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@@ -43,38 +44,38 @@ const quoteOfSpotAndMarginFromRest$ = defer(() => client.getMarketTickers({ inst
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]), repeat({ delay: 1000 }), retry({ delay: 1000 }));
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const quoteOfSwapFromWs$ = swapInstruments$.pipe(listWatch((x) => x.instId, (x) => useTicker(x.instId), () => true), map((ticker) => ({
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datasource_id: 'OKX',
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product_id: encodePath('SWAP', ticker.instId),
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last_price: ticker.last,
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ask_price: ticker.askPx,
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bid_price: ticker.bidPx,
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ask_volume: ticker.askSz,
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bid_volume: ticker.bidSz,
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product_id: encodePath('SWAP', ticker[0].instId),
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last_price: ticker[0].last,
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ask_price: ticker[0].askPx,
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bid_price: ticker[0].bidPx,
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ask_volume: ticker[0].askSz,
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bid_volume: ticker[0].bidSz,
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})));
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const quoteOfSpotAndMarginFromWs$ = spotTicker$.pipe(mergeMap((ticker) => [
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{
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datasource_id: 'OKX',
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product_id: encodePath('SPOT', ticker.instId),
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last_price: ticker.last,
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ask_price: ticker.askPx,
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bid_price: ticker.bidPx,
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ask_volume: ticker.askSz,
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bid_volume: ticker.bidSz,
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product_id: encodePath('SPOT', ticker[0].instId),
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last_price: ticker[0].last,
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ask_price: ticker[0].askPx,
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bid_price: ticker[0].bidPx,
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ask_volume: ticker[0].askSz,
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bid_volume: ticker[0].bidSz,
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},
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{
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datasource_id: 'OKX',
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product_id: encodePath('MARGIN', ticker.instId),
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last_price: ticker.last,
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ask_price: ticker.askPx,
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bid_price: ticker.bidPx,
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ask_volume: ticker.askSz,
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bid_volume: ticker.bidSz,
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product_id: encodePath('MARGIN', ticker[0].instId),
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last_price: ticker[0].last,
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ask_price: ticker[0].askPx,
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bid_price: ticker[0].bidPx,
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ask_volume: ticker[0].askSz,
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bid_volume: ticker[0].bidSz,
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},
|
|
72
73
|
]));
|
|
73
74
|
const swapOpenInterests$ = defer(() => client.getOpenInterest({ instType: 'SWAP' })).pipe(repeat({ delay: 10000 }), retry({ delay: 10000 }), shareReplay(1));
|
|
74
75
|
const interestRateOfSwapFromWS$ = swapInstruments$.pipe(listWatch((x) => x.instId, (x) => useOpenInterest(x.instId), () => true), map((x) => ({
|
|
75
76
|
datasource_id: 'OKX',
|
|
76
|
-
product_id: encodePath('SWAP', x.instId),
|
|
77
|
-
open_interest: x.oi,
|
|
77
|
+
product_id: encodePath('SWAP', x[0].instId),
|
|
78
|
+
open_interest: x[0].oi,
|
|
78
79
|
})), share());
|
|
79
80
|
const quoteSources$ = [
|
|
80
81
|
quoteOfSwapFromWs$,
|
package/dist/quote.js.map
CHANGED
|
@@ -1 +1 @@
|
|
|
1
|
-
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{ IQuote } from '@yuants/data-quote';\nimport { Terminal } from '@yuants/protocol';\nimport { writeToSQL } from '@yuants/sql';\nimport { decodePath, encodePath, listWatch } from '@yuants/utils';\nimport {\n catchError,\n defer,\n EMPTY,\n filter,\n from,\n groupBy,\n map,\n merge,\n mergeMap,\n repeat,\n retry,\n scan,\n share,\n shareReplay,\n tap,\n toArray,\n} from 'rxjs';\nimport { client } from './api';\nimport { useOpenInterest, useTicker } from './websocket';\n\nconst swapInstruments$ = 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$).pipe(\n map((x) => new Map(x.data.map((x: any) => [x.instId, +x.oi] as const))),\n shareReplay(1),\n);\n"]}
|
|
1
|
+
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{ IQuote } from '@yuants/data-quote';\nimport { Terminal } from '@yuants/protocol';\nimport { writeToSQL } from '@yuants/sql';\nimport { decodePath, encodePath, listWatch } from '@yuants/utils';\nimport {\n catchError,\n defer,\n EMPTY,\n filter,\n from,\n groupBy,\n map,\n merge,\n mergeMap,\n repeat,\n retry,\n scan,\n share,\n shareReplay,\n tap,\n toArray,\n} from 'rxjs';\nimport { client } from './api';\nimport { useOpenInterest, useTicker } from './ws';\n// import { useOpenInterest, useTicker } from './websocket';\n\nconst swapInstruments$ = 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$.pipe(\n listWatch(\n (x) => x.instId,\n (x) => useTicker(x.instId),\n () => true,\n ),\n map(\n (ticker): Partial<IQuote> => ({\n datasource_id: 'OKX',\n product_id: encodePath('SWAP', ticker[0].instId),\n last_price: ticker[0].last,\n ask_price: ticker[0].askPx,\n bid_price: ticker[0].bidPx,\n ask_volume: ticker[0].askSz,\n bid_volume: ticker[0].bidSz,\n }),\n ),\n);\n\nconst quoteOfSpotAndMarginFromWs$ = spotTicker$.pipe(\n mergeMap((ticker): Partial<IQuote>[] => [\n {\n datasource_id: 'OKX',\n product_id: encodePath('SPOT', ticker[0].instId),\n last_price: ticker[0].last,\n ask_price: ticker[0].askPx,\n bid_price: ticker[0].bidPx,\n ask_volume: ticker[0].askSz,\n bid_volume: ticker[0].bidSz,\n },\n {\n datasource_id: 'OKX',\n product_id: encodePath('MARGIN', ticker[0].instId),\n last_price: ticker[0].last,\n ask_price: ticker[0].askPx,\n bid_price: ticker[0].bidPx,\n ask_volume: ticker[0].askSz,\n bid_volume: ticker[0].bidSz,\n },\n ]),\n);\n\nconst swapOpenInterests$ = defer(() => client.getOpenInterest({ instType: 'SWAP' })).pipe(\n repeat({ delay: 10_000 }),\n retry({ delay: 10_000 }),\n shareReplay(1),\n);\n\nconst interestRateOfSwapFromWS$ = swapInstruments$.pipe(\n listWatch(\n (x) => x.instId,\n (x) => useOpenInterest(x.instId),\n () => true,\n ),\n map(\n (x): Partial<IQuote> => ({\n datasource_id: 'OKX',\n product_id: encodePath('SWAP', x[0].instId),\n open_interest: x[0].oi,\n }),\n ),\n share(),\n);\n\nconst quoteSources$ = [\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/ws.js
ADDED
|
@@ -0,0 +1,242 @@
|
|
|
1
|
+
import { PromRegistry, Terminal } from '@yuants/protocol';
|
|
2
|
+
import { encodePath, formatTime } from '@yuants/utils';
|
|
3
|
+
import { catchError, defer, EMPTY, filter, interval, Observable, tap, timeout } from 'rxjs';
|
|
4
|
+
const MetricsWebSocketConnectionsGauge = PromRegistry.create('gauge', 'okx_websocket_connections', 'Number of active OKX WebSocket connections');
|
|
5
|
+
const MetricsWebSocketChannelGauge = PromRegistry.create('gauge', 'okx_websocket_channel', 'Number of OKX WebSocket channels subscribed');
|
|
6
|
+
const terminal = Terminal.fromNodeEnv();
|
|
7
|
+
class OKXWsClient {
|
|
8
|
+
constructor(path) {
|
|
9
|
+
this.baseURL = `wss://ws.okx.com:8443`;
|
|
10
|
+
this.connectStatus = 'closed';
|
|
11
|
+
this.subscriptions = new Map();
|
|
12
|
+
this.handlers = {};
|
|
13
|
+
this.connectionListeners = {
|
|
14
|
+
error: new Set(),
|
|
15
|
+
close: new Set(),
|
|
16
|
+
};
|
|
17
|
+
this.handleOpen = () => {
|
|
18
|
+
this.connectStatus = 'connected';
|
|
19
|
+
console.info(formatTime(Date.now()), '✅ WS connected');
|
|
20
|
+
for (const { channel, instId } of this.subscriptions.values()) {
|
|
21
|
+
this.sendSubscribeMessage(channel, instId);
|
|
22
|
+
}
|
|
23
|
+
};
|
|
24
|
+
this.handleMessage = (raw) => {
|
|
25
|
+
var _a;
|
|
26
|
+
if (raw.data === 'pong') {
|
|
27
|
+
return;
|
|
28
|
+
}
|
|
29
|
+
const msg = JSON.parse(raw.data);
|
|
30
|
+
if ((_a = msg.arg) === null || _a === void 0 ? void 0 : _a.channel) {
|
|
31
|
+
const channelId = encodePath(msg.arg.channel, msg.arg.instId);
|
|
32
|
+
const data = msg.data;
|
|
33
|
+
const handler = this.handlers[channelId];
|
|
34
|
+
if (data && handler) {
|
|
35
|
+
handler(data, msg.arg);
|
|
36
|
+
}
|
|
37
|
+
}
|
|
38
|
+
else if (msg.event) {
|
|
39
|
+
console.info(formatTime(Date.now()), 'Event:', msg);
|
|
40
|
+
}
|
|
41
|
+
};
|
|
42
|
+
this.handleError = (event) => {
|
|
43
|
+
console.error(formatTime(Date.now()), '❌ WS error', event);
|
|
44
|
+
};
|
|
45
|
+
this.handleClose = (event) => {
|
|
46
|
+
console.error(formatTime(Date.now()), '❌ WS closed', event);
|
|
47
|
+
MetricsWebSocketConnectionsGauge.dec({ path: this.path });
|
|
48
|
+
const closedSocket = event.target;
|
|
49
|
+
if (closedSocket !== this.ws) {
|
|
50
|
+
return;
|
|
51
|
+
}
|
|
52
|
+
if (this.connectStatus === 'reconnecting') {
|
|
53
|
+
return;
|
|
54
|
+
}
|
|
55
|
+
this.connectStatus = 'closed';
|
|
56
|
+
if (this.subscriptions.size === 0) {
|
|
57
|
+
return;
|
|
58
|
+
}
|
|
59
|
+
this.connectStatus = 'reconnecting';
|
|
60
|
+
setTimeout(() => {
|
|
61
|
+
if (this.connectStatus === 'connecting' || this.connectStatus === 'connected') {
|
|
62
|
+
return;
|
|
63
|
+
}
|
|
64
|
+
if (this.subscriptions.size === 0) {
|
|
65
|
+
this.connectStatus = 'closed';
|
|
66
|
+
return;
|
|
67
|
+
}
|
|
68
|
+
this.initSocket();
|
|
69
|
+
}, 1000);
|
|
70
|
+
};
|
|
71
|
+
this.path = path;
|
|
72
|
+
this.initSocket();
|
|
73
|
+
this.startKeepAlive();
|
|
74
|
+
}
|
|
75
|
+
// ISSUE: 连接限制：3 次/秒 (基于IP)
|
|
76
|
+
// https://www.okx.com/docs-v5/zh/#overview-websocket-connect
|
|
77
|
+
// 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
|
|
78
|
+
static GetWsClient(path) {
|
|
79
|
+
var _a;
|
|
80
|
+
const existing = OKXWsClient.pool.find((item) => item.path === path && !item.isFull);
|
|
81
|
+
if (existing && !existing.client.isClosed()) {
|
|
82
|
+
existing.requests++;
|
|
83
|
+
if (existing.requests >= 480) {
|
|
84
|
+
existing.isFull = true;
|
|
85
|
+
}
|
|
86
|
+
return existing.client;
|
|
87
|
+
}
|
|
88
|
+
const client = ((_a = existing === null || existing === void 0 ? void 0 : existing.client) === null || _a === void 0 ? void 0 : _a.isClosed()) ? existing.client.revive() : new OKXWsClient(path);
|
|
89
|
+
if (existing) {
|
|
90
|
+
existing.client = client;
|
|
91
|
+
existing.requests = 1;
|
|
92
|
+
existing.isFull = false;
|
|
93
|
+
}
|
|
94
|
+
else {
|
|
95
|
+
OKXWsClient.pool.push({ path, client, requests: 1, isFull: false });
|
|
96
|
+
}
|
|
97
|
+
return client;
|
|
98
|
+
}
|
|
99
|
+
revive() {
|
|
100
|
+
this.initSocket();
|
|
101
|
+
this.startKeepAlive();
|
|
102
|
+
return this;
|
|
103
|
+
}
|
|
104
|
+
initSocket() {
|
|
105
|
+
this.connectStatus = 'connecting';
|
|
106
|
+
this.ws = new WebSocket(`${this.baseURL}/${this.path}`);
|
|
107
|
+
MetricsWebSocketConnectionsGauge.inc({ path: this.path, terminal_id: terminal.terminal_id });
|
|
108
|
+
this.ws.addEventListener('open', this.handleOpen);
|
|
109
|
+
this.ws.addEventListener('message', this.handleMessage);
|
|
110
|
+
this.ws.addEventListener('error', this.handleError);
|
|
111
|
+
this.ws.addEventListener('close', this.handleClose);
|
|
112
|
+
for (const listener of this.connectionListeners.error) {
|
|
113
|
+
this.ws.addEventListener('error', listener);
|
|
114
|
+
}
|
|
115
|
+
for (const listener of this.connectionListeners.close) {
|
|
116
|
+
this.ws.addEventListener('close', listener);
|
|
117
|
+
}
|
|
118
|
+
}
|
|
119
|
+
startKeepAlive() {
|
|
120
|
+
if (this.keepAlive && !this.keepAlive.closed) {
|
|
121
|
+
return;
|
|
122
|
+
}
|
|
123
|
+
this.keepAlive = interval(25000)
|
|
124
|
+
.pipe(tap(() => {
|
|
125
|
+
if (this.connectStatus === 'connected') {
|
|
126
|
+
this.ws.send('ping');
|
|
127
|
+
}
|
|
128
|
+
}))
|
|
129
|
+
.subscribe();
|
|
130
|
+
}
|
|
131
|
+
stopKeepAlive() {
|
|
132
|
+
if (this.keepAlive && !this.keepAlive.closed) {
|
|
133
|
+
this.keepAlive.unsubscribe();
|
|
134
|
+
}
|
|
135
|
+
}
|
|
136
|
+
isClosed() {
|
|
137
|
+
var _a, _b;
|
|
138
|
+
return ((_a = this.ws) === null || _a === void 0 ? void 0 : _a.readyState) === WebSocket.CLOSING || ((_b = this.ws) === null || _b === void 0 ? void 0 : _b.readyState) === WebSocket.CLOSED;
|
|
139
|
+
}
|
|
140
|
+
sendSubscribeMessage(channel, instId) {
|
|
141
|
+
const message = {
|
|
142
|
+
op: 'subscribe',
|
|
143
|
+
args: [{ channel, instId }],
|
|
144
|
+
};
|
|
145
|
+
this.ws.send(JSON.stringify(message));
|
|
146
|
+
const channelId = encodePath(channel, instId);
|
|
147
|
+
console.info(formatTime(Date.now()), `📩 Sent subscribe for ${channelId}`);
|
|
148
|
+
}
|
|
149
|
+
sendUnsubscribeMessage(channel, instId) {
|
|
150
|
+
const message = {
|
|
151
|
+
op: 'unsubscribe',
|
|
152
|
+
args: [{ channel, instId }],
|
|
153
|
+
};
|
|
154
|
+
this.ws.send(JSON.stringify(message));
|
|
155
|
+
const channelId = encodePath(channel, instId);
|
|
156
|
+
console.info(formatTime(Date.now()), `📩 Sent unsubscribe for ${channelId}`);
|
|
157
|
+
}
|
|
158
|
+
addConnectionListener(type, listener) {
|
|
159
|
+
this.connectionListeners[type].add(listener);
|
|
160
|
+
this.ws.addEventListener(type, listener);
|
|
161
|
+
return () => {
|
|
162
|
+
this.connectionListeners[type].delete(listener);
|
|
163
|
+
this.ws.removeEventListener(type, listener);
|
|
164
|
+
};
|
|
165
|
+
}
|
|
166
|
+
subscribe(channel, instId, handler) {
|
|
167
|
+
const channelId = encodePath(channel, instId);
|
|
168
|
+
if (this.subscriptions.has(channelId)) {
|
|
169
|
+
console.info(formatTime(Date.now()), `⚠️ Already subscribed: ${channelId}`);
|
|
170
|
+
return;
|
|
171
|
+
}
|
|
172
|
+
this.subscriptions.set(channelId, { channel, instId });
|
|
173
|
+
MetricsWebSocketChannelGauge.inc({ channel, terminal_id: terminal.terminal_id });
|
|
174
|
+
if (handler) {
|
|
175
|
+
this.handlers[channelId] = handler;
|
|
176
|
+
}
|
|
177
|
+
this.startKeepAlive();
|
|
178
|
+
if (this.connectStatus === 'connected') {
|
|
179
|
+
this.sendSubscribeMessage(channel, instId);
|
|
180
|
+
}
|
|
181
|
+
else if (this.isClosed()) {
|
|
182
|
+
this.initSocket();
|
|
183
|
+
}
|
|
184
|
+
else {
|
|
185
|
+
console.info(formatTime(Date.now()), `📩 Queued subscribe for ${channelId} waiting for connection`);
|
|
186
|
+
}
|
|
187
|
+
}
|
|
188
|
+
unsubscribe(channel, instId) {
|
|
189
|
+
const channelId = encodePath(channel, instId);
|
|
190
|
+
if (!this.subscriptions.has(channelId))
|
|
191
|
+
return;
|
|
192
|
+
if (this.connectStatus === 'connected') {
|
|
193
|
+
this.sendUnsubscribeMessage(channel, instId);
|
|
194
|
+
}
|
|
195
|
+
this.subscriptions.delete(channelId);
|
|
196
|
+
MetricsWebSocketChannelGauge.dec({ channel });
|
|
197
|
+
delete this.handlers[channelId];
|
|
198
|
+
if (this.subscriptions.size === 0) {
|
|
199
|
+
this.stopKeepAlive();
|
|
200
|
+
if (this.ws.readyState === WebSocket.OPEN || this.ws.readyState === WebSocket.CONNECTING) {
|
|
201
|
+
this.ws.close();
|
|
202
|
+
}
|
|
203
|
+
}
|
|
204
|
+
}
|
|
205
|
+
}
|
|
206
|
+
OKXWsClient.pool = [];
|
|
207
|
+
const fromWsChannelAndInstId = (path, channel, instId) => defer(() => new Observable((subscriber) => {
|
|
208
|
+
const client = OKXWsClient.GetWsClient(path);
|
|
209
|
+
client.subscribe(channel, instId, (data) => {
|
|
210
|
+
subscriber.next(data);
|
|
211
|
+
});
|
|
212
|
+
const removeError = client.addConnectionListener('error', (err) => {
|
|
213
|
+
subscriber.error(err);
|
|
214
|
+
});
|
|
215
|
+
const removeClose = client.addConnectionListener('close', () => {
|
|
216
|
+
subscriber.error('WS Connection Closed');
|
|
217
|
+
});
|
|
218
|
+
subscriber.add(() => {
|
|
219
|
+
removeError();
|
|
220
|
+
removeClose();
|
|
221
|
+
client.unsubscribe(channel, instId);
|
|
222
|
+
});
|
|
223
|
+
})).pipe(
|
|
224
|
+
// 防止单个连接断开导致数据流关闭
|
|
225
|
+
timeout(60000), tap({
|
|
226
|
+
error: (err) => {
|
|
227
|
+
console.info(formatTime(Date.now()), 'WS_SUBSCRIBE_ERROR', channel, instId, err);
|
|
228
|
+
},
|
|
229
|
+
}),
|
|
230
|
+
// 暂时不太确定是否能支持 retry
|
|
231
|
+
// retry({ delay: 1000 }),
|
|
232
|
+
catchError(() => EMPTY));
|
|
233
|
+
export const useTicker = (instId) => fromWsChannelAndInstId('ws/v5/public', 'tickers', instId).pipe(
|
|
234
|
+
//
|
|
235
|
+
filter((data) => data.length > 0));
|
|
236
|
+
export const useOpenInterest = (instId) => fromWsChannelAndInstId('ws/v5/public', 'open-interest', instId).pipe(
|
|
237
|
+
//
|
|
238
|
+
filter((data) => data.length > 0));
|
|
239
|
+
export const useOHLC = (candleType, instId) => fromWsChannelAndInstId('ws/v5/business', candleType, instId).pipe(
|
|
240
|
+
//
|
|
241
|
+
filter((data) => data.length > 0));
|
|
242
|
+
//# sourceMappingURL=ws.js.map
|
package/dist/ws.js.map
ADDED
|
@@ -0,0 +1 @@
|
|
|
1
|
+
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{ PromRegistry, Terminal } from '@yuants/protocol';\nimport { encodePath, formatTime } from '@yuants/utils';\nimport { catchError, defer, EMPTY, filter, interval, Observable, Subscription, tap, timeout } from 'rxjs';\n\nconst MetricsWebSocketConnectionsGauge = PromRegistry.create(\n 'gauge',\n 'okx_websocket_connections',\n 'Number of active OKX WebSocket connections',\n);\n\nconst MetricsWebSocketChannelGauge = PromRegistry.create(\n 'gauge',\n 'okx_websocket_channel',\n 'Number of OKX WebSocket channels subscribed',\n);\n\ntype ConnectStatus = 'connecting' | 'connected' | 'closed' | 'reconnecting';\nconst terminal = Terminal.fromNodeEnv();\n\nclass OKXWsClient {\n private static readonly pool: {\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 // https://www.okx.com/docs-v5/zh/#overview-websocket-connect\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\n static GetWsClient(path: string): OKXWsClient {\n const existing = OKXWsClient.pool.find((item) => item.path === path && !item.isFull);\n if (existing && !existing.client.isClosed()) {\n existing.requests++;\n if (existing.requests >= 480) {\n existing.isFull = true;\n }\n return existing.client;\n }\n\n const client = existing?.client?.isClosed() ? existing.client.revive() : new OKXWsClient(path);\n if (existing) {\n existing.client = client;\n existing.requests = 1;\n existing.isFull = false;\n } else {\n OKXWsClient.pool.push({ path, client, requests: 1, isFull: false });\n }\n return client;\n }\n\n private readonly baseURL: string = `wss://ws.okx.com:8443`;\n private readonly path: string;\n private ws!: WebSocket;\n private connectStatus: ConnectStatus = 'closed';\n private keepAlive?: Subscription;\n private readonly subscriptions = new Map<\n string,\n {\n channel: string;\n instId?: string;\n }\n >();\n private readonly handlers: Record<string, Function> = {};\n private readonly connectionListeners: Record<'error' | 'close', Set<EventListener>> = {\n error: new Set(),\n close: new Set(),\n };\n\n private readonly handleOpen = () => {\n this.connectStatus = 'connected';\n console.info(formatTime(Date.now()), '✅ WS connected');\n for (const { channel, instId } of this.subscriptions.values()) {\n this.sendSubscribeMessage(channel, instId);\n }\n };\n\n private readonly handleMessage = (raw: MessageEvent) => {\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;\n const handler = this.handlers[channelId];\n if (data && handler) {\n handler(data, msg.arg);\n }\n } else if (msg.event) {\n console.info(formatTime(Date.now()), 'Event:', msg);\n }\n };\n\n private readonly handleError = (event: Event) => {\n console.error(formatTime(Date.now()), '❌ WS error', event);\n };\n\n private readonly handleClose = (event: CloseEvent) => {\n console.error(formatTime(Date.now()), '❌ WS closed', event);\n MetricsWebSocketConnectionsGauge.dec({ path: this.path });\n\n const closedSocket = event.target as WebSocket;\n if (closedSocket !== this.ws) {\n return;\n }\n\n if (this.connectStatus === 'reconnecting') {\n return;\n }\n\n this.connectStatus = 'closed';\n\n if (this.subscriptions.size === 0) {\n return;\n }\n\n this.connectStatus = 'reconnecting';\n setTimeout(() => {\n if (this.connectStatus === 'connecting' || this.connectStatus === 'connected') {\n return;\n }\n if (this.subscriptions.size === 0) {\n this.connectStatus = 'closed';\n return;\n }\n this.initSocket();\n }, 1000);\n };\n\n constructor(path: string) {\n this.path = path;\n this.initSocket();\n this.startKeepAlive();\n }\n\n private revive(): OKXWsClient {\n this.initSocket();\n this.startKeepAlive();\n return this;\n }\n\n private initSocket() {\n this.connectStatus = 'connecting';\n this.ws = new WebSocket(`${this.baseURL}/${this.path}`);\n MetricsWebSocketConnectionsGauge.inc({ path: this.path, terminal_id: terminal.terminal_id });\n\n this.ws.addEventListener('open', this.handleOpen);\n this.ws.addEventListener('message', this.handleMessage);\n this.ws.addEventListener('error', this.handleError);\n this.ws.addEventListener('close', this.handleClose);\n\n for (const listener of this.connectionListeners.error) {\n this.ws.addEventListener('error', listener);\n }\n for (const listener of this.connectionListeners.close) {\n this.ws.addEventListener('close', listener);\n }\n }\n\n private startKeepAlive() {\n if (this.keepAlive && !this.keepAlive.closed) {\n return;\n }\n this.keepAlive = interval(25_000)\n .pipe(\n tap(() => {\n if (this.connectStatus === 'connected') {\n this.ws.send('ping');\n }\n }),\n )\n .subscribe();\n }\n\n private stopKeepAlive() {\n if (this.keepAlive && !this.keepAlive.closed) {\n this.keepAlive.unsubscribe();\n }\n }\n\n private isClosed() {\n return this.ws?.readyState === WebSocket.CLOSING || this.ws?.readyState === WebSocket.CLOSED;\n }\n\n private sendSubscribeMessage(channel: string, instId?: string) {\n const message = {\n op: 'subscribe',\n args: [{ channel, instId }],\n };\n this.ws.send(JSON.stringify(message));\n const channelId = encodePath(channel, instId);\n console.info(formatTime(Date.now()), `📩 Sent subscribe for ${channelId}`);\n }\n\n private sendUnsubscribeMessage(channel: string, instId?: string) {\n const message = {\n op: 'unsubscribe',\n args: [{ channel, instId }],\n };\n this.ws.send(JSON.stringify(message));\n const channelId = encodePath(channel, instId);\n console.info(formatTime(Date.now()), `📩 Sent unsubscribe for ${channelId}`);\n }\n\n addConnectionListener(type: 'error' | 'close', listener: EventListener): () => void {\n this.connectionListeners[type].add(listener);\n this.ws.addEventListener(type, listener);\n return () => {\n this.connectionListeners[type].delete(listener);\n this.ws.removeEventListener(type, listener);\n };\n }\n\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 this.subscriptions.set(channelId, { channel, instId });\n MetricsWebSocketChannelGauge.inc({ channel, terminal_id: terminal.terminal_id });\n\n if (handler) {\n this.handlers[channelId] = handler;\n }\n\n this.startKeepAlive();\n\n if (this.connectStatus === 'connected') {\n this.sendSubscribeMessage(channel, instId);\n } else if (this.isClosed()) {\n this.initSocket();\n } else {\n console.info(formatTime(Date.now()), `📩 Queued subscribe for ${channelId} waiting for connection`);\n }\n }\n\n unsubscribe(channel: string, instId?: string) {\n const channelId = encodePath(channel, instId);\n if (!this.subscriptions.has(channelId)) return;\n\n if (this.connectStatus === 'connected') {\n this.sendUnsubscribeMessage(channel, instId);\n }\n this.subscriptions.delete(channelId);\n MetricsWebSocketChannelGauge.dec({ channel });\n delete this.handlers[channelId];\n\n if (this.subscriptions.size === 0) {\n this.stopKeepAlive();\n if (this.ws.readyState === WebSocket.OPEN || this.ws.readyState === WebSocket.CONNECTING) {\n this.ws.close();\n }\n }\n }\n}\n\nconst fromWsChannelAndInstId = <T>(path: string, channel: string, instId: string) =>\n defer(\n () =>\n new Observable<T>((subscriber) => {\n const client = OKXWsClient.GetWsClient(path);\n client.subscribe(channel, instId, (data: T) => {\n subscriber.next(data);\n });\n const removeError = client.addConnectionListener('error', (err) => {\n subscriber.error(err);\n });\n const removeClose = client.addConnectionListener('close', () => {\n subscriber.error('WS Connection Closed');\n });\n subscriber.add(() => {\n removeError();\n removeClose();\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 {\n instId: string;\n last: string;\n askPx: string;\n bidPx: string;\n askSz: string;\n bidSz: string;\n }[]\n >('ws/v5/public', 'tickers', instId).pipe(\n //\n filter((data) => data.length > 0),\n );\n\nexport const useOpenInterest = (instId: string) =>\n fromWsChannelAndInstId<\n {\n instId: string;\n oi: string; // open interest\n }[]\n >('ws/v5/public', 'open-interest', instId).pipe(\n //\n filter((data) => data.length > 0),\n );\n\nexport const useOHLC = (candleType: string, instId: string) =>\n fromWsChannelAndInstId<string[][]>('ws/v5/business', candleType, instId).pipe(\n //\n filter((data) => data.length > 0),\n );\n"]}
|
package/lib/ohlc.js
CHANGED
|
@@ -18,7 +18,8 @@ const sql_1 = require("@yuants/sql");
|
|
|
18
18
|
const utils_1 = require("@yuants/utils");
|
|
19
19
|
const rxjs_1 = require("rxjs");
|
|
20
20
|
const api_1 = require("./api");
|
|
21
|
-
const
|
|
21
|
+
const ws_1 = require("./ws");
|
|
22
|
+
// import { useOHLC } from './websocket';
|
|
22
23
|
// 时间粒度，默认值1m
|
|
23
24
|
// 如 [1m/3m/5m/15m/30m/1H/2H/4H]
|
|
24
25
|
// 香港时间开盘价k线：[6H/12H/1D/1W/1M]
|
|
@@ -129,14 +130,14 @@ protocol_1.Terminal.fromNodeEnv().channel.publishChannel('ohlc', { pattern: `^OK
|
|
|
129
130
|
}
|
|
130
131
|
const candleType = DURATION_TO_OKX_CANDLE_TYPE[duration];
|
|
131
132
|
console.info((0, utils_1.formatTime)(Date.now()), `subscribe`, series_id, product_id);
|
|
132
|
-
return (0,
|
|
133
|
-
const created_at = Number(data[0]);
|
|
133
|
+
return (0, ws_1.useOHLC)(candleType, instId).pipe((0, rxjs_1.map)((data) => {
|
|
134
|
+
const created_at = Number(data[0][0]);
|
|
134
135
|
const closed_at = created_at + offset;
|
|
135
|
-
const open = data[1];
|
|
136
|
-
const high = data[2];
|
|
137
|
-
const low = data[3];
|
|
138
|
-
const close = data[4];
|
|
139
|
-
const volume = data[5];
|
|
136
|
+
const open = data[0][1];
|
|
137
|
+
const high = data[0][2];
|
|
138
|
+
const low = data[0][3];
|
|
139
|
+
const close = data[0][4];
|
|
140
|
+
const volume = data[0][5];
|
|
140
141
|
return {
|
|
141
142
|
closed_at: (0, utils_1.formatTime)(closed_at),
|
|
142
143
|
created_at: (0, utils_1.formatTime)(created_at),
|
package/lib/ohlc.js.map
CHANGED
|
@@ -1 +1 @@
|
|
|
1
|
-
{"version":3,"file":"ohlc.js","sourceRoot":"","sources":["../src/ohlc.ts"],"names":[],"mappings":";;;;;;;;;;;;;;AACA,qDAA2D;AAC3D,+CAA4C;AAC5C,qCAAyC;AACzC,yCAAgF;AAChF,+BAAkD;AAClD,+BAA+B;AAC/B,
|
|
1
|
+
{"version":3,"file":"ohlc.js","sourceRoot":"","sources":["../src/ohlc.ts"],"names":[],"mappings":";;;;;;;;;;;;;;AACA,qDAA2D;AAC3D,+CAA4C;AAC5C,qCAAyC;AACzC,yCAAgF;AAChF,+BAAkD;AAClD,+BAA+B;AAC/B,6BAA+B;AAC/B,yCAAyC;AAEzC,aAAa;AACb,gCAAgC;AAChC,8BAA8B;AAC9B,8CAA8C;AAE9C,MAAM,wBAAwB,GAA2B;IACvD,IAAI,EAAE,IAAI;IACV,IAAI,EAAE,IAAI;IACV,IAAI,EAAE,IAAI;IACV,KAAK,EAAE,KAAK;IACZ,KAAK,EAAE,KAAK;IAEZ,IAAI,EAAE,IAAI;IACV,IAAI,EAAE,IAAI;IACV,IAAI,EAAE,IAAI;IACV,IAAI,EAAE,IAAI;IACV,KAAK,EAAE,KAAK;IAEZ,GAAG,EAAE,IAAI;IACT,GAAG,EAAE,IAAI;IACT,GAAG,EAAE,IAAI;CACV,CAAC;AAEF,MAAM,2BAA2B,GAA2B;IAC1D,IAAI,EAAE,UAAU;IAChB,IAAI,EAAE,UAAU;IAChB,IAAI,EAAE,UAAU;IAChB,KAAK,EAAE,WAAW;IAClB,KAAK,EAAE,WAAW;IAElB,IAAI,EAAE,UAAU;IAChB,IAAI,EAAE,UAAU;IAChB,IAAI,EAAE,UAAU;IAChB,IAAI,EAAE,UAAU;IAChB,KAAK,EAAE,WAAW;IAElB,GAAG,EAAE,UAAU;IACf,GAAG,EAAE,UAAU;IACf,GAAG,EAAE,UAAU;CAChB,CAAC;AAEF,IAAA,kCAAoB,EAAQ,mBAAQ,CAAC,WAAW,EAAE,EAAE;IAClD,SAAS,EAAE,MAAM;IACjB,sBAAsB,EAAE,CAAC,KAAK,CAAC;IAC/B,QAAQ,EAAE,IAAI;IACd,cAAc,EAAE,EAAE,UAAU,EAAE,CAAC,EAAE;IACjC,OAAO,EAAE,UAAiB,EAAE,SAAS,EAAE,QAAQ,EAAE;;YAC/C,MAAM,CAAC,aAAa,EAAE,UAAU,EAAE,QAAQ,CAAC,GAAG,IAAA,kBAAU,EAAC,SAAS,CAAC,CAAC;YACpE,MAAM,MAAM,GAAG,IAAA,+BAAuB,EAAC,QAAQ,CAAC,CAAC;YACjD,IAAI,CAAC,aAAa,EAAE;gBAClB,MAAM,2BAA2B,CAAC;aACnC;YACD,IAAI,CAAC,UAAU,EAAE;gBACf,MAAM,wBAAwB,CAAC;aAChC;YACD,IAAI,CAAC,MAAM,EAAE;gBACX,MAAM,qBAAqB,CAAC;aAC7B;YACD,MAAM,CAAC,QAAQ,EAAE,MAAM,CAAC,GAAG,IAAA,kBAAU,EAAC,UAAU,CAAC,CAAC;YAClD,IAAI,CAAC,MAAM,EAAE;gBACX,MAAM,uBAAuB,UAAU,EAAE,CAAC;aAC3C;YAED,MAAM,GAAG,GAAG,wBAAwB,CAAC,QAAQ,CAAC,CAAC;YAC/C,IAAI,CAAC,GAAG,EAAE;gBACR,MAAM,yBAAyB,QAAQ,EAAE,CAAC;aAC3C;YAED,IAAI,gBAAgB,GAAG,QAAQ,CAAC;YAEhC,OAAO,IAAI,EAAE;gBACX,yBAAyB;gBACzB,MAAM,GAAG,GAAG,cAAM,YAAM,CAAC,iBAAiB,CAAC;oBACzC,MAAM;oBACN,GAAG;oBACH,KAAK,EAAE,GAAG,gBAAgB,EAAE;oBAC5B,KAAK,EAAE,KAAK;iBACb,CAAC,CAAA,CAAC;gBACH,IAAI,GAAG,CAAC,IAAI,KAAK,GAAG,EAAE;oBACpB,MAAM,eAAe,GAAG,CAAC,IAAI,IAAI,GAAG,CAAC,GAAG,EAAE,CAAC;iBAC5C;gBACD,IAAI,GAAG,CAAC,IAAI,CAAC,MAAM,KAAK,CAAC;oBAAE,MAAM;gBACjC,gBAAgB,GAAG,CAAC,GAAG,CAAC,IAAI,CAAC,GAAG,CAAC,IAAI,CAAC,MAAM,GAAG,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC;gBACrD,MAAM,IAAI,GAAG,GAAG,CAAC,IAAI,CAAC,GAAG,CACvB,CAAC,CAAC,EAAS,EAAE,CAAC,CAAC;oBACb,SAAS;oBACT,aAAa;oBACb,UAAU;oBACV,QAAQ;oBACR,UAAU,EAAE,IAAA,kBAAU,EAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC;oBAC7B,SAAS,EAAE,IAAA,kBAAU,EAAC,CAAC,CAAC,CAAC,CAAC,CAAC,GAAG,MAAM,CAAC;oBACrC,IAAI,EAAE,CAAC,CAAC,CAAC,CAAC;oBACV,IAAI,EAAE,CAAC,CAAC,CAAC,CAAC;oBACV,GAAG,EAAE,CAAC,CAAC,CAAC,CAAC;oBACT,KAAK,EAAE,CAAC,CAAC,CAAC,CAAC;oBACX,MAAM,EAAE,CAAC,CAAC,CAAC,CAAC;oBACZ,aAAa,EAAE,GAAG;iBACnB,CAAC,CACH,CAAC;gBACF,oBAAM,IAAI,CAAA,CAAC;gBACX,cAAM,IAAA,qBAAc,EAAC,IAAA,YAAK,EAAC,IAAI,CAAC,CAAC,CAAA,CAAC;aACnC;QACH,CAAC;KAAA;CACF,CAAC,CAAC;AAEH,mBAAQ,CAAC,WAAW,EAAE,CAAC,OAAO,CAAC,cAAc,CAAC,MAAM,EAAE,EAAE,OAAO,EAAE,OAAO,EAAE,EAAE,CAAC,SAAS,EAAE,EAAE;IACxF,MAAM,CAAC,aAAa,EAAE,UAAU,EAAE,QAAQ,CAAC,GAAG,IAAA,kBAAU,EAAC,SAAS,CAAC,CAAC;IACpE,MAAM,CAAC,EAAE,MAAM,CAAC,GAAG,IAAA,kBAAU,EAAC,UAAU,CAAC,CAAC;IAC1C,MAAM,MAAM,GAAG,IAAA,+BAAuB,EAAC,QAAQ,CAAC,CAAC;IACjD,IAAI,CAAC,aAAa,EAAE;QAClB,MAAM,2BAA2B,CAAC;KACnC;IACD,IAAI,CAAC,UAAU,EAAE;QACf,MAAM,wBAAwB,CAAC;KAChC;IACD,IAAI,CAAC,MAAM,EAAE;QACX,MAAM,qBAAqB,CAAC;KAC7B;IACD,MAAM,UAAU,GAAG,2BAA2B,CAAC,QAAQ,CAAC,CAAC;IACzD,OAAO,CAAC,IAAI,CAAC,IAAA,kBAAU,EAAC,IAAI,CAAC,GAAG,EAAE,CAAC,EAAE,WAAW,EAAE,SAAS,EAAE,UAAU,CAAC,CAAC;IAEzE,OAAO,IAAA,YAAO,EAAC,UAAU,EAAE,MAAM,CAAC,CAAC,IAAI,CACrC,IAAA,UAAG,EAAC,CAAC,IAAI,EAAS,EAAE;QAClB,MAAM,UAAU,GAAG,MAAM,CAAC,IAAI,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC;QACtC,MAAM,SAAS,GAAG,UAAU,GAAG,MAAM,CAAC;QACtC,MAAM,IAAI,GAAG,IAAI,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC;QACxB,MAAM,IAAI,GAAG,IAAI,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC;QACxB,MAAM,GAAG,GAAG,IAAI,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC;QACvB,MAAM,KAAK,GAAG,IAAI,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC;QACzB,MAAM,MAAM,GAAG,IAAI,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC;QAC1B,OAAO;YACL,SAAS,EAAE,IAAA,kBAAU,EAAC,SAAS,CAAC;YAChC,UAAU,EAAE,IAAA,kBAAU,EAAC,UAAU,CAAC;YAClC,IAAI;YACJ,IAAI;YACJ,GAAG;YACH,KAAK;YACL,SAAS;YACT,aAAa;YACb,QAAQ;YACR,UAAU;YACV,MAAM;YACN,aAAa,EAAE,GAAG;SACnB,CAAC;IACJ,CAAC,CAAC,EACF,IAAA,gBAAU,EAAC;QACT,SAAS,EAAE,MAAM;QACjB,YAAY,EAAE,CAAC,YAAY,EAAE,WAAW,CAAC;QACzC,aAAa,EAAE,IAAI;QACnB,QAAQ,EAAE,mBAAQ,CAAC,WAAW,EAAE;KACjC,CAAC,CACH,CAAC;AACJ,CAAC,CAAC,CAAC","sourcesContent":["import { 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 './ws';\n// import { 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][0]);\n const closed_at = created_at + offset;\n const open = data[0][1];\n const high = data[0][2];\n const low = data[0][3];\n const close = data[0][4];\n const volume = data[0][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.map
CHANGED
|
@@ -1 +1 @@
|
|
|
1
|
-
{"version":3,"file":"quote.d.ts","sourceRoot":"","sources":["../src/quote.ts"],"names":[],"mappings":"
|
|
1
|
+
{"version":3,"file":"quote.d.ts","sourceRoot":"","sources":["../src/quote.ts"],"names":[],"mappings":"AA8CA,eAAO,MAAM,kBAAkB;;;;;;;;;;;;;;;;;;;EAW9B,CAAC;AA8KF,eAAO,MAAM,iBAAiB,6CAG7B,CAAC"}
|
package/lib/quote.js
CHANGED
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@@ -6,7 +6,8 @@ const sql_1 = require("@yuants/sql");
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6
6
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const utils_1 = require("@yuants/utils");
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7
7
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const rxjs_1 = require("rxjs");
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8
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const api_1 = require("./api");
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9
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-
const
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9
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+
const ws_1 = require("./ws");
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10
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// import { useOpenInterest, useTicker } from './websocket';
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const swapInstruments$ = (0, rxjs_1.defer)(() => api_1.client.getInstruments({ instType: 'SWAP' })).pipe((0, rxjs_1.repeat)({ delay: 3600000 }), (0, rxjs_1.retry)({ delay: 10000 }), (0, rxjs_1.map)((x) => x.data), (0, rxjs_1.shareReplay)(1));
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const spotInstruments$ = (0, rxjs_1.defer)(() => api_1.client.getInstruments({ instType: 'SPOT' })).pipe((0, rxjs_1.repeat)({ delay: 3600000 }), (0, rxjs_1.retry)({ delay: 10000 }), (0, rxjs_1.map)((x) => x.data), (0, rxjs_1.shareReplay)(1));
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const spotTickers$ = (0, rxjs_1.defer)(() => api_1.client.getMarketTickers({ instType: 'SPOT' })).pipe((0, rxjs_1.repeat)({ delay: 5000 }), (0, rxjs_1.retry)({ delay: 5000 }), (0, rxjs_1.shareReplay)(1));
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@@ -14,7 +15,7 @@ const spotTickers$ = (0, rxjs_1.defer)(() => api_1.client.getMarketTickers({ ins
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15
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exports.spotMarketTickers$ = (0, rxjs_1.defer)(() => spotTickers$).pipe((0, rxjs_1.mergeMap)((x) => (0, rxjs_1.from)(x.data).pipe((0, rxjs_1.map)((x) => [x.instId, x]), (0, rxjs_1.toArray)(), (0, rxjs_1.map)((x) => Object.fromEntries(x)))), (0, rxjs_1.repeat)({ delay: 5000 }), (0, rxjs_1.retry)({ delay: 5000 }), (0, rxjs_1.shareReplay)(1));
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15
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const spotTicker$ = spotInstruments$.pipe((0, rxjs_1.tap)((x) => {
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16
17
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console.info('SPOT INSTRUMENTS', x.length);
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17
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-
}), (0, utils_1.listWatch)((x) => x.instId, (x) => (0,
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18
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+
}), (0, utils_1.listWatch)((x) => x.instId, (x) => (0, ws_1.useTicker)(x.instId), () => true), (0, rxjs_1.share)());
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const quoteOfSwapFromRest$ = (0, rxjs_1.defer)(() => api_1.client.getMarketTickers({ instType: 'SWAP' })).pipe((0, rxjs_1.mergeMap)((x) => x.data || []), (0, rxjs_1.map)((x) => ({
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datasource_id: 'OKX',
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product_id: (0, utils_1.encodePath)(x.instType, x.instId),
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@@ -44,40 +45,40 @@ const quoteOfSpotAndMarginFromRest$ = (0, rxjs_1.defer)(() => api_1.client.getMa
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44
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bid_volume: x.bidSz,
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45
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},
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]), (0, rxjs_1.repeat)({ delay: 1000 }), (0, rxjs_1.retry)({ delay: 1000 }));
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47
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-
const quoteOfSwapFromWs$ = swapInstruments$.pipe((0, utils_1.listWatch)((x) => x.instId, (x) => (0,
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48
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+
const quoteOfSwapFromWs$ = swapInstruments$.pipe((0, utils_1.listWatch)((x) => x.instId, (x) => (0, ws_1.useTicker)(x.instId), () => true), (0, rxjs_1.map)((ticker) => ({
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datasource_id: 'OKX',
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49
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-
product_id: (0, utils_1.encodePath)('SWAP', ticker.instId),
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50
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-
last_price: ticker.last,
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51
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-
ask_price: ticker.askPx,
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52
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-
bid_price: ticker.bidPx,
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53
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-
ask_volume: ticker.askSz,
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54
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-
bid_volume: ticker.bidSz,
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50
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+
product_id: (0, utils_1.encodePath)('SWAP', ticker[0].instId),
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51
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+
last_price: ticker[0].last,
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52
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+
ask_price: ticker[0].askPx,
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53
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+
bid_price: ticker[0].bidPx,
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54
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+
ask_volume: ticker[0].askSz,
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55
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+
bid_volume: ticker[0].bidSz,
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55
56
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})));
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56
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const quoteOfSpotAndMarginFromWs$ = spotTicker$.pipe((0, rxjs_1.mergeMap)((ticker) => [
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{
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datasource_id: 'OKX',
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59
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-
product_id: (0, utils_1.encodePath)('SPOT', ticker.instId),
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60
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-
last_price: ticker.last,
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61
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-
ask_price: ticker.askPx,
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62
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-
bid_price: ticker.bidPx,
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63
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-
ask_volume: ticker.askSz,
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64
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-
bid_volume: ticker.bidSz,
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60
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+
product_id: (0, utils_1.encodePath)('SPOT', ticker[0].instId),
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61
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+
last_price: ticker[0].last,
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62
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+
ask_price: ticker[0].askPx,
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63
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+
bid_price: ticker[0].bidPx,
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64
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+
ask_volume: ticker[0].askSz,
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65
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+
bid_volume: ticker[0].bidSz,
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65
66
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},
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66
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{
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datasource_id: 'OKX',
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68
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-
product_id: (0, utils_1.encodePath)('MARGIN', ticker.instId),
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69
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-
last_price: ticker.last,
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70
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-
ask_price: ticker.askPx,
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71
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-
bid_price: ticker.bidPx,
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72
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-
ask_volume: ticker.askSz,
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73
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-
bid_volume: ticker.bidSz,
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69
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+
product_id: (0, utils_1.encodePath)('MARGIN', ticker[0].instId),
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70
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+
last_price: ticker[0].last,
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71
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+
ask_price: ticker[0].askPx,
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72
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+
bid_price: ticker[0].bidPx,
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73
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+
ask_volume: ticker[0].askSz,
|
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74
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+
bid_volume: ticker[0].bidSz,
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74
75
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},
|
|
75
76
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]));
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|
76
77
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const swapOpenInterests$ = (0, rxjs_1.defer)(() => api_1.client.getOpenInterest({ instType: 'SWAP' })).pipe((0, rxjs_1.repeat)({ delay: 10000 }), (0, rxjs_1.retry)({ delay: 10000 }), (0, rxjs_1.shareReplay)(1));
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77
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-
const interestRateOfSwapFromWS$ = swapInstruments$.pipe((0, utils_1.listWatch)((x) => x.instId, (x) => (0,
|
|
78
|
+
const interestRateOfSwapFromWS$ = swapInstruments$.pipe((0, utils_1.listWatch)((x) => x.instId, (x) => (0, ws_1.useOpenInterest)(x.instId), () => true), (0, rxjs_1.map)((x) => ({
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78
79
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datasource_id: 'OKX',
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79
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-
product_id: (0, utils_1.encodePath)('SWAP', x.instId),
|
|
80
|
-
open_interest: x.oi,
|
|
80
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+
product_id: (0, utils_1.encodePath)('SWAP', x[0].instId),
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81
|
+
open_interest: x[0].oi,
|
|
81
82
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})), (0, rxjs_1.share)());
|
|
82
83
|
const quoteSources$ = [
|
|
83
84
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quoteOfSwapFromWs$,
|
package/lib/quote.js.map
CHANGED
|
@@ -1 +1 @@
|
|
|
1
|
-
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{ IQuote } from '@yuants/data-quote';\nimport { Terminal } from '@yuants/protocol';\nimport { writeToSQL } from '@yuants/sql';\nimport { decodePath, encodePath, listWatch } from '@yuants/utils';\nimport {\n catchError,\n defer,\n EMPTY,\n filter,\n from,\n groupBy,\n map,\n merge,\n mergeMap,\n repeat,\n retry,\n scan,\n share,\n shareReplay,\n tap,\n toArray,\n} from 'rxjs';\nimport { client } from './api';\nimport { useOpenInterest, useTicker } from './websocket';\n\nconst swapInstruments$ = 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$).pipe(\n map((x) => new Map(x.data.map((x: any) => [x.instId, +x.oi] as const))),\n shareReplay(1),\n);\n"]}
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+
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{ IQuote } from '@yuants/data-quote';\nimport { Terminal } from '@yuants/protocol';\nimport { writeToSQL } from '@yuants/sql';\nimport { decodePath, encodePath, listWatch } from '@yuants/utils';\nimport {\n catchError,\n defer,\n EMPTY,\n filter,\n from,\n groupBy,\n map,\n merge,\n mergeMap,\n repeat,\n retry,\n scan,\n share,\n shareReplay,\n tap,\n toArray,\n} from 'rxjs';\nimport { client } from './api';\nimport { useOpenInterest, useTicker } from './ws';\n// import { useOpenInterest, useTicker } from './websocket';\n\nconst swapInstruments$ = 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$.pipe(\n listWatch(\n (x) => x.instId,\n (x) => useTicker(x.instId),\n () => true,\n ),\n map(\n (ticker): Partial<IQuote> => ({\n datasource_id: 'OKX',\n product_id: encodePath('SWAP', ticker[0].instId),\n last_price: ticker[0].last,\n ask_price: ticker[0].askPx,\n bid_price: ticker[0].bidPx,\n ask_volume: ticker[0].askSz,\n bid_volume: ticker[0].bidSz,\n }),\n ),\n);\n\nconst quoteOfSpotAndMarginFromWs$ = spotTicker$.pipe(\n mergeMap((ticker): Partial<IQuote>[] => [\n {\n datasource_id: 'OKX',\n product_id: encodePath('SPOT', ticker[0].instId),\n last_price: ticker[0].last,\n ask_price: ticker[0].askPx,\n bid_price: ticker[0].bidPx,\n ask_volume: ticker[0].askSz,\n bid_volume: ticker[0].bidSz,\n },\n {\n datasource_id: 'OKX',\n product_id: encodePath('MARGIN', ticker[0].instId),\n last_price: ticker[0].last,\n ask_price: ticker[0].askPx,\n bid_price: ticker[0].bidPx,\n ask_volume: ticker[0].askSz,\n bid_volume: ticker[0].bidSz,\n },\n ]),\n);\n\nconst swapOpenInterests$ = defer(() => client.getOpenInterest({ instType: 'SWAP' })).pipe(\n repeat({ delay: 10_000 }),\n retry({ delay: 10_000 }),\n shareReplay(1),\n);\n\nconst interestRateOfSwapFromWS$ = swapInstruments$.pipe(\n listWatch(\n (x) => x.instId,\n (x) => useOpenInterest(x.instId),\n () => true,\n ),\n map(\n (x): Partial<IQuote> => ({\n datasource_id: 'OKX',\n product_id: encodePath('SWAP', x[0].instId),\n open_interest: x[0].oi,\n }),\n ),\n share(),\n);\n\nconst quoteSources$ = [\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/ws.d.ts
ADDED
|
@@ -0,0 +1,15 @@
|
|
|
1
|
+
import { Observable } from 'rxjs';
|
|
2
|
+
export declare const useTicker: (instId: string) => Observable<{
|
|
3
|
+
instId: string;
|
|
4
|
+
last: string;
|
|
5
|
+
askPx: string;
|
|
6
|
+
bidPx: string;
|
|
7
|
+
askSz: string;
|
|
8
|
+
bidSz: string;
|
|
9
|
+
}[]>;
|
|
10
|
+
export declare const useOpenInterest: (instId: string) => Observable<{
|
|
11
|
+
instId: string;
|
|
12
|
+
oi: string;
|
|
13
|
+
}[]>;
|
|
14
|
+
export declare const useOHLC: (candleType: string, instId: string) => Observable<string[][]>;
|
|
15
|
+
//# sourceMappingURL=ws.d.ts.map
|
package/lib/ws.d.ts.map
ADDED
|
@@ -0,0 +1 @@
|
|
|
1
|
+
{"version":3,"file":"ws.d.ts","sourceRoot":"","sources":["../src/ws.ts"],"names":[],"mappings":"AAEA,OAAO,EAA8C,UAAU,EAA8B,MAAM,MAAM,CAAC;AAkS1G,eAAO,MAAM,SAAS,WAAY,MAAM;YAG1B,MAAM;UACR,MAAM;WACL,MAAM;WACN,MAAM;WACN,MAAM;WACN,MAAM;IAKhB,CAAC;AAEJ,eAAO,MAAM,eAAe,WAAY,MAAM;YAGhC,MAAM;QACV,MAAM;IAKb,CAAC;AAEJ,eAAO,MAAM,OAAO,eAAgB,MAAM,UAAU,MAAM,2BAIvD,CAAC"}
|
package/lib/ws.js
ADDED
|
@@ -0,0 +1,248 @@
|
|
|
1
|
+
"use strict";
|
|
2
|
+
Object.defineProperty(exports, "__esModule", { value: true });
|
|
3
|
+
exports.useOHLC = exports.useOpenInterest = exports.useTicker = void 0;
|
|
4
|
+
const protocol_1 = require("@yuants/protocol");
|
|
5
|
+
const utils_1 = require("@yuants/utils");
|
|
6
|
+
const rxjs_1 = require("rxjs");
|
|
7
|
+
const MetricsWebSocketConnectionsGauge = protocol_1.PromRegistry.create('gauge', 'okx_websocket_connections', 'Number of active OKX WebSocket connections');
|
|
8
|
+
const MetricsWebSocketChannelGauge = protocol_1.PromRegistry.create('gauge', 'okx_websocket_channel', 'Number of OKX WebSocket channels subscribed');
|
|
9
|
+
const terminal = protocol_1.Terminal.fromNodeEnv();
|
|
10
|
+
class OKXWsClient {
|
|
11
|
+
constructor(path) {
|
|
12
|
+
this.baseURL = `wss://ws.okx.com:8443`;
|
|
13
|
+
this.connectStatus = 'closed';
|
|
14
|
+
this.subscriptions = new Map();
|
|
15
|
+
this.handlers = {};
|
|
16
|
+
this.connectionListeners = {
|
|
17
|
+
error: new Set(),
|
|
18
|
+
close: new Set(),
|
|
19
|
+
};
|
|
20
|
+
this.handleOpen = () => {
|
|
21
|
+
this.connectStatus = 'connected';
|
|
22
|
+
console.info((0, utils_1.formatTime)(Date.now()), '✅ WS connected');
|
|
23
|
+
for (const { channel, instId } of this.subscriptions.values()) {
|
|
24
|
+
this.sendSubscribeMessage(channel, instId);
|
|
25
|
+
}
|
|
26
|
+
};
|
|
27
|
+
this.handleMessage = (raw) => {
|
|
28
|
+
var _a;
|
|
29
|
+
if (raw.data === 'pong') {
|
|
30
|
+
return;
|
|
31
|
+
}
|
|
32
|
+
const msg = JSON.parse(raw.data);
|
|
33
|
+
if ((_a = msg.arg) === null || _a === void 0 ? void 0 : _a.channel) {
|
|
34
|
+
const channelId = (0, utils_1.encodePath)(msg.arg.channel, msg.arg.instId);
|
|
35
|
+
const data = msg.data;
|
|
36
|
+
const handler = this.handlers[channelId];
|
|
37
|
+
if (data && handler) {
|
|
38
|
+
handler(data, msg.arg);
|
|
39
|
+
}
|
|
40
|
+
}
|
|
41
|
+
else if (msg.event) {
|
|
42
|
+
console.info((0, utils_1.formatTime)(Date.now()), 'Event:', msg);
|
|
43
|
+
}
|
|
44
|
+
};
|
|
45
|
+
this.handleError = (event) => {
|
|
46
|
+
console.error((0, utils_1.formatTime)(Date.now()), '❌ WS error', event);
|
|
47
|
+
};
|
|
48
|
+
this.handleClose = (event) => {
|
|
49
|
+
console.error((0, utils_1.formatTime)(Date.now()), '❌ WS closed', event);
|
|
50
|
+
MetricsWebSocketConnectionsGauge.dec({ path: this.path });
|
|
51
|
+
const closedSocket = event.target;
|
|
52
|
+
if (closedSocket !== this.ws) {
|
|
53
|
+
return;
|
|
54
|
+
}
|
|
55
|
+
if (this.connectStatus === 'reconnecting') {
|
|
56
|
+
return;
|
|
57
|
+
}
|
|
58
|
+
this.connectStatus = 'closed';
|
|
59
|
+
if (this.subscriptions.size === 0) {
|
|
60
|
+
return;
|
|
61
|
+
}
|
|
62
|
+
this.connectStatus = 'reconnecting';
|
|
63
|
+
setTimeout(() => {
|
|
64
|
+
if (this.connectStatus === 'connecting' || this.connectStatus === 'connected') {
|
|
65
|
+
return;
|
|
66
|
+
}
|
|
67
|
+
if (this.subscriptions.size === 0) {
|
|
68
|
+
this.connectStatus = 'closed';
|
|
69
|
+
return;
|
|
70
|
+
}
|
|
71
|
+
this.initSocket();
|
|
72
|
+
}, 1000);
|
|
73
|
+
};
|
|
74
|
+
this.path = path;
|
|
75
|
+
this.initSocket();
|
|
76
|
+
this.startKeepAlive();
|
|
77
|
+
}
|
|
78
|
+
// ISSUE: 连接限制：3 次/秒 (基于IP)
|
|
79
|
+
// https://www.okx.com/docs-v5/zh/#overview-websocket-connect
|
|
80
|
+
// 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
|
|
81
|
+
static GetWsClient(path) {
|
|
82
|
+
var _a;
|
|
83
|
+
const existing = OKXWsClient.pool.find((item) => item.path === path && !item.isFull);
|
|
84
|
+
if (existing && !existing.client.isClosed()) {
|
|
85
|
+
existing.requests++;
|
|
86
|
+
if (existing.requests >= 480) {
|
|
87
|
+
existing.isFull = true;
|
|
88
|
+
}
|
|
89
|
+
return existing.client;
|
|
90
|
+
}
|
|
91
|
+
const client = ((_a = existing === null || existing === void 0 ? void 0 : existing.client) === null || _a === void 0 ? void 0 : _a.isClosed()) ? existing.client.revive() : new OKXWsClient(path);
|
|
92
|
+
if (existing) {
|
|
93
|
+
existing.client = client;
|
|
94
|
+
existing.requests = 1;
|
|
95
|
+
existing.isFull = false;
|
|
96
|
+
}
|
|
97
|
+
else {
|
|
98
|
+
OKXWsClient.pool.push({ path, client, requests: 1, isFull: false });
|
|
99
|
+
}
|
|
100
|
+
return client;
|
|
101
|
+
}
|
|
102
|
+
revive() {
|
|
103
|
+
this.initSocket();
|
|
104
|
+
this.startKeepAlive();
|
|
105
|
+
return this;
|
|
106
|
+
}
|
|
107
|
+
initSocket() {
|
|
108
|
+
this.connectStatus = 'connecting';
|
|
109
|
+
this.ws = new WebSocket(`${this.baseURL}/${this.path}`);
|
|
110
|
+
MetricsWebSocketConnectionsGauge.inc({ path: this.path, terminal_id: terminal.terminal_id });
|
|
111
|
+
this.ws.addEventListener('open', this.handleOpen);
|
|
112
|
+
this.ws.addEventListener('message', this.handleMessage);
|
|
113
|
+
this.ws.addEventListener('error', this.handleError);
|
|
114
|
+
this.ws.addEventListener('close', this.handleClose);
|
|
115
|
+
for (const listener of this.connectionListeners.error) {
|
|
116
|
+
this.ws.addEventListener('error', listener);
|
|
117
|
+
}
|
|
118
|
+
for (const listener of this.connectionListeners.close) {
|
|
119
|
+
this.ws.addEventListener('close', listener);
|
|
120
|
+
}
|
|
121
|
+
}
|
|
122
|
+
startKeepAlive() {
|
|
123
|
+
if (this.keepAlive && !this.keepAlive.closed) {
|
|
124
|
+
return;
|
|
125
|
+
}
|
|
126
|
+
this.keepAlive = (0, rxjs_1.interval)(25000)
|
|
127
|
+
.pipe((0, rxjs_1.tap)(() => {
|
|
128
|
+
if (this.connectStatus === 'connected') {
|
|
129
|
+
this.ws.send('ping');
|
|
130
|
+
}
|
|
131
|
+
}))
|
|
132
|
+
.subscribe();
|
|
133
|
+
}
|
|
134
|
+
stopKeepAlive() {
|
|
135
|
+
if (this.keepAlive && !this.keepAlive.closed) {
|
|
136
|
+
this.keepAlive.unsubscribe();
|
|
137
|
+
}
|
|
138
|
+
}
|
|
139
|
+
isClosed() {
|
|
140
|
+
var _a, _b;
|
|
141
|
+
return ((_a = this.ws) === null || _a === void 0 ? void 0 : _a.readyState) === WebSocket.CLOSING || ((_b = this.ws) === null || _b === void 0 ? void 0 : _b.readyState) === WebSocket.CLOSED;
|
|
142
|
+
}
|
|
143
|
+
sendSubscribeMessage(channel, instId) {
|
|
144
|
+
const message = {
|
|
145
|
+
op: 'subscribe',
|
|
146
|
+
args: [{ channel, instId }],
|
|
147
|
+
};
|
|
148
|
+
this.ws.send(JSON.stringify(message));
|
|
149
|
+
const channelId = (0, utils_1.encodePath)(channel, instId);
|
|
150
|
+
console.info((0, utils_1.formatTime)(Date.now()), `📩 Sent subscribe for ${channelId}`);
|
|
151
|
+
}
|
|
152
|
+
sendUnsubscribeMessage(channel, instId) {
|
|
153
|
+
const message = {
|
|
154
|
+
op: 'unsubscribe',
|
|
155
|
+
args: [{ channel, instId }],
|
|
156
|
+
};
|
|
157
|
+
this.ws.send(JSON.stringify(message));
|
|
158
|
+
const channelId = (0, utils_1.encodePath)(channel, instId);
|
|
159
|
+
console.info((0, utils_1.formatTime)(Date.now()), `📩 Sent unsubscribe for ${channelId}`);
|
|
160
|
+
}
|
|
161
|
+
addConnectionListener(type, listener) {
|
|
162
|
+
this.connectionListeners[type].add(listener);
|
|
163
|
+
this.ws.addEventListener(type, listener);
|
|
164
|
+
return () => {
|
|
165
|
+
this.connectionListeners[type].delete(listener);
|
|
166
|
+
this.ws.removeEventListener(type, listener);
|
|
167
|
+
};
|
|
168
|
+
}
|
|
169
|
+
subscribe(channel, instId, handler) {
|
|
170
|
+
const channelId = (0, utils_1.encodePath)(channel, instId);
|
|
171
|
+
if (this.subscriptions.has(channelId)) {
|
|
172
|
+
console.info((0, utils_1.formatTime)(Date.now()), `⚠️ Already subscribed: ${channelId}`);
|
|
173
|
+
return;
|
|
174
|
+
}
|
|
175
|
+
this.subscriptions.set(channelId, { channel, instId });
|
|
176
|
+
MetricsWebSocketChannelGauge.inc({ channel, terminal_id: terminal.terminal_id });
|
|
177
|
+
if (handler) {
|
|
178
|
+
this.handlers[channelId] = handler;
|
|
179
|
+
}
|
|
180
|
+
this.startKeepAlive();
|
|
181
|
+
if (this.connectStatus === 'connected') {
|
|
182
|
+
this.sendSubscribeMessage(channel, instId);
|
|
183
|
+
}
|
|
184
|
+
else if (this.isClosed()) {
|
|
185
|
+
this.initSocket();
|
|
186
|
+
}
|
|
187
|
+
else {
|
|
188
|
+
console.info((0, utils_1.formatTime)(Date.now()), `📩 Queued subscribe for ${channelId} waiting for connection`);
|
|
189
|
+
}
|
|
190
|
+
}
|
|
191
|
+
unsubscribe(channel, instId) {
|
|
192
|
+
const channelId = (0, utils_1.encodePath)(channel, instId);
|
|
193
|
+
if (!this.subscriptions.has(channelId))
|
|
194
|
+
return;
|
|
195
|
+
if (this.connectStatus === 'connected') {
|
|
196
|
+
this.sendUnsubscribeMessage(channel, instId);
|
|
197
|
+
}
|
|
198
|
+
this.subscriptions.delete(channelId);
|
|
199
|
+
MetricsWebSocketChannelGauge.dec({ channel });
|
|
200
|
+
delete this.handlers[channelId];
|
|
201
|
+
if (this.subscriptions.size === 0) {
|
|
202
|
+
this.stopKeepAlive();
|
|
203
|
+
if (this.ws.readyState === WebSocket.OPEN || this.ws.readyState === WebSocket.CONNECTING) {
|
|
204
|
+
this.ws.close();
|
|
205
|
+
}
|
|
206
|
+
}
|
|
207
|
+
}
|
|
208
|
+
}
|
|
209
|
+
OKXWsClient.pool = [];
|
|
210
|
+
const fromWsChannelAndInstId = (path, channel, instId) => (0, rxjs_1.defer)(() => new rxjs_1.Observable((subscriber) => {
|
|
211
|
+
const client = OKXWsClient.GetWsClient(path);
|
|
212
|
+
client.subscribe(channel, instId, (data) => {
|
|
213
|
+
subscriber.next(data);
|
|
214
|
+
});
|
|
215
|
+
const removeError = client.addConnectionListener('error', (err) => {
|
|
216
|
+
subscriber.error(err);
|
|
217
|
+
});
|
|
218
|
+
const removeClose = client.addConnectionListener('close', () => {
|
|
219
|
+
subscriber.error('WS Connection Closed');
|
|
220
|
+
});
|
|
221
|
+
subscriber.add(() => {
|
|
222
|
+
removeError();
|
|
223
|
+
removeClose();
|
|
224
|
+
client.unsubscribe(channel, instId);
|
|
225
|
+
});
|
|
226
|
+
})).pipe(
|
|
227
|
+
// 防止单个连接断开导致数据流关闭
|
|
228
|
+
(0, rxjs_1.timeout)(60000), (0, rxjs_1.tap)({
|
|
229
|
+
error: (err) => {
|
|
230
|
+
console.info((0, utils_1.formatTime)(Date.now()), 'WS_SUBSCRIBE_ERROR', channel, instId, err);
|
|
231
|
+
},
|
|
232
|
+
}),
|
|
233
|
+
// 暂时不太确定是否能支持 retry
|
|
234
|
+
// retry({ delay: 1000 }),
|
|
235
|
+
(0, rxjs_1.catchError)(() => rxjs_1.EMPTY));
|
|
236
|
+
const useTicker = (instId) => fromWsChannelAndInstId('ws/v5/public', 'tickers', instId).pipe(
|
|
237
|
+
//
|
|
238
|
+
(0, rxjs_1.filter)((data) => data.length > 0));
|
|
239
|
+
exports.useTicker = useTicker;
|
|
240
|
+
const useOpenInterest = (instId) => fromWsChannelAndInstId('ws/v5/public', 'open-interest', instId).pipe(
|
|
241
|
+
//
|
|
242
|
+
(0, rxjs_1.filter)((data) => data.length > 0));
|
|
243
|
+
exports.useOpenInterest = useOpenInterest;
|
|
244
|
+
const useOHLC = (candleType, instId) => fromWsChannelAndInstId('ws/v5/business', candleType, instId).pipe(
|
|
245
|
+
//
|
|
246
|
+
(0, rxjs_1.filter)((data) => data.length > 0));
|
|
247
|
+
exports.useOHLC = useOHLC;
|
|
248
|
+
//# sourceMappingURL=ws.js.map
|
package/lib/ws.js.map
ADDED
|
@@ -0,0 +1 @@
|
|
|
1
|
+
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{ PromRegistry, Terminal } from '@yuants/protocol';\nimport { encodePath, formatTime } from '@yuants/utils';\nimport { catchError, defer, EMPTY, filter, interval, Observable, Subscription, tap, timeout } from 'rxjs';\n\nconst MetricsWebSocketConnectionsGauge = PromRegistry.create(\n 'gauge',\n 'okx_websocket_connections',\n 'Number of active OKX WebSocket connections',\n);\n\nconst MetricsWebSocketChannelGauge = PromRegistry.create(\n 'gauge',\n 'okx_websocket_channel',\n 'Number of OKX WebSocket channels subscribed',\n);\n\ntype ConnectStatus = 'connecting' | 'connected' | 'closed' | 'reconnecting';\nconst terminal = Terminal.fromNodeEnv();\n\nclass OKXWsClient {\n private static readonly pool: {\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 // https://www.okx.com/docs-v5/zh/#overview-websocket-connect\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\n static GetWsClient(path: string): OKXWsClient {\n const existing = OKXWsClient.pool.find((item) => item.path === path && !item.isFull);\n if (existing && !existing.client.isClosed()) {\n existing.requests++;\n if (existing.requests >= 480) {\n existing.isFull = true;\n }\n return existing.client;\n }\n\n const client = existing?.client?.isClosed() ? existing.client.revive() : new OKXWsClient(path);\n if (existing) {\n existing.client = client;\n existing.requests = 1;\n existing.isFull = false;\n } else {\n OKXWsClient.pool.push({ path, client, requests: 1, isFull: false });\n }\n return client;\n }\n\n private readonly baseURL: string = `wss://ws.okx.com:8443`;\n private readonly path: string;\n private ws!: WebSocket;\n private connectStatus: ConnectStatus = 'closed';\n private keepAlive?: Subscription;\n private readonly subscriptions = new Map<\n string,\n {\n channel: string;\n instId?: string;\n }\n >();\n private readonly handlers: Record<string, Function> = {};\n private readonly connectionListeners: Record<'error' | 'close', Set<EventListener>> = {\n error: new Set(),\n close: new Set(),\n };\n\n private readonly handleOpen = () => {\n this.connectStatus = 'connected';\n console.info(formatTime(Date.now()), '✅ WS connected');\n for (const { channel, instId } of this.subscriptions.values()) {\n this.sendSubscribeMessage(channel, instId);\n }\n };\n\n private readonly handleMessage = (raw: MessageEvent) => {\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;\n const handler = this.handlers[channelId];\n if (data && handler) {\n handler(data, msg.arg);\n }\n } else if (msg.event) {\n console.info(formatTime(Date.now()), 'Event:', msg);\n }\n };\n\n private readonly handleError = (event: Event) => {\n console.error(formatTime(Date.now()), '❌ WS error', event);\n };\n\n private readonly handleClose = (event: CloseEvent) => {\n console.error(formatTime(Date.now()), '❌ WS closed', event);\n MetricsWebSocketConnectionsGauge.dec({ path: this.path });\n\n const closedSocket = event.target as WebSocket;\n if (closedSocket !== this.ws) {\n return;\n }\n\n if (this.connectStatus === 'reconnecting') {\n return;\n }\n\n this.connectStatus = 'closed';\n\n if (this.subscriptions.size === 0) {\n return;\n }\n\n this.connectStatus = 'reconnecting';\n setTimeout(() => {\n if (this.connectStatus === 'connecting' || this.connectStatus === 'connected') {\n return;\n }\n if (this.subscriptions.size === 0) {\n this.connectStatus = 'closed';\n return;\n }\n this.initSocket();\n }, 1000);\n };\n\n constructor(path: string) {\n this.path = path;\n this.initSocket();\n this.startKeepAlive();\n }\n\n private revive(): OKXWsClient {\n this.initSocket();\n this.startKeepAlive();\n return this;\n }\n\n private initSocket() {\n this.connectStatus = 'connecting';\n this.ws = new WebSocket(`${this.baseURL}/${this.path}`);\n MetricsWebSocketConnectionsGauge.inc({ path: this.path, terminal_id: terminal.terminal_id });\n\n this.ws.addEventListener('open', this.handleOpen);\n this.ws.addEventListener('message', this.handleMessage);\n this.ws.addEventListener('error', this.handleError);\n this.ws.addEventListener('close', this.handleClose);\n\n for (const listener of this.connectionListeners.error) {\n this.ws.addEventListener('error', listener);\n }\n for (const listener of this.connectionListeners.close) {\n this.ws.addEventListener('close', listener);\n }\n }\n\n private startKeepAlive() {\n if (this.keepAlive && !this.keepAlive.closed) {\n return;\n }\n this.keepAlive = interval(25_000)\n .pipe(\n tap(() => {\n if (this.connectStatus === 'connected') {\n this.ws.send('ping');\n }\n }),\n )\n .subscribe();\n }\n\n private stopKeepAlive() {\n if (this.keepAlive && !this.keepAlive.closed) {\n this.keepAlive.unsubscribe();\n }\n }\n\n private isClosed() {\n return this.ws?.readyState === WebSocket.CLOSING || this.ws?.readyState === WebSocket.CLOSED;\n }\n\n private sendSubscribeMessage(channel: string, instId?: string) {\n const message = {\n op: 'subscribe',\n args: [{ channel, instId }],\n };\n this.ws.send(JSON.stringify(message));\n const channelId = encodePath(channel, instId);\n console.info(formatTime(Date.now()), `📩 Sent subscribe for ${channelId}`);\n }\n\n private sendUnsubscribeMessage(channel: string, instId?: string) {\n const message = {\n op: 'unsubscribe',\n args: [{ channel, instId }],\n };\n this.ws.send(JSON.stringify(message));\n const channelId = encodePath(channel, instId);\n console.info(formatTime(Date.now()), `📩 Sent unsubscribe for ${channelId}`);\n }\n\n addConnectionListener(type: 'error' | 'close', listener: EventListener): () => void {\n this.connectionListeners[type].add(listener);\n this.ws.addEventListener(type, listener);\n return () => {\n this.connectionListeners[type].delete(listener);\n this.ws.removeEventListener(type, listener);\n };\n }\n\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 this.subscriptions.set(channelId, { channel, instId });\n MetricsWebSocketChannelGauge.inc({ channel, terminal_id: terminal.terminal_id });\n\n if (handler) {\n this.handlers[channelId] = handler;\n }\n\n this.startKeepAlive();\n\n if (this.connectStatus === 'connected') {\n this.sendSubscribeMessage(channel, instId);\n } else if (this.isClosed()) {\n this.initSocket();\n } else {\n console.info(formatTime(Date.now()), `📩 Queued subscribe for ${channelId} waiting for connection`);\n }\n }\n\n unsubscribe(channel: string, instId?: string) {\n const channelId = encodePath(channel, instId);\n if (!this.subscriptions.has(channelId)) return;\n\n if (this.connectStatus === 'connected') {\n this.sendUnsubscribeMessage(channel, instId);\n }\n this.subscriptions.delete(channelId);\n MetricsWebSocketChannelGauge.dec({ channel });\n delete this.handlers[channelId];\n\n if (this.subscriptions.size === 0) {\n this.stopKeepAlive();\n if (this.ws.readyState === WebSocket.OPEN || this.ws.readyState === WebSocket.CONNECTING) {\n this.ws.close();\n }\n }\n }\n}\n\nconst fromWsChannelAndInstId = <T>(path: string, channel: string, instId: string) =>\n defer(\n () =>\n new Observable<T>((subscriber) => {\n const client = OKXWsClient.GetWsClient(path);\n client.subscribe(channel, instId, (data: T) => {\n subscriber.next(data);\n });\n const removeError = client.addConnectionListener('error', (err) => {\n subscriber.error(err);\n });\n const removeClose = client.addConnectionListener('close', () => {\n subscriber.error('WS Connection Closed');\n });\n subscriber.add(() => {\n removeError();\n removeClose();\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 {\n instId: string;\n last: string;\n askPx: string;\n bidPx: string;\n askSz: string;\n bidSz: string;\n }[]\n >('ws/v5/public', 'tickers', instId).pipe(\n //\n filter((data) => data.length > 0),\n );\n\nexport const useOpenInterest = (instId: string) =>\n fromWsChannelAndInstId<\n {\n instId: string;\n oi: string; // open interest\n }[]\n >('ws/v5/public', 'open-interest', instId).pipe(\n //\n filter((data) => data.length > 0),\n );\n\nexport const useOHLC = (candleType: string, instId: string) =>\n fromWsChannelAndInstId<string[][]>('ws/v5/business', candleType, instId).pipe(\n //\n filter((data) => data.length > 0),\n );\n"]}
|
package/package.json
CHANGED
package/temp/package-deps.json
CHANGED
|
@@ -1,13 +1,13 @@
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|
|
1
1
|
{
|
|
2
|
-
"apps/vendor-okx/CHANGELOG.json": "
|
|
3
|
-
"apps/vendor-okx/CHANGELOG.md": "
|
|
2
|
+
"apps/vendor-okx/CHANGELOG.json": "da7fecdc85f27a90c089e73897b2f3c030ace41c",
|
|
3
|
+
"apps/vendor-okx/CHANGELOG.md": "a8ff50d391426ad725e5ab6001039c8333d8cc46",
|
|
4
4
|
"apps/vendor-okx/README.md": "ac3d1f6c4c8d73066664699b0bb1b01db02e67a2",
|
|
5
5
|
"apps/vendor-okx/api-extractor.json": "62f4fd324425b9a235f0c117975967aab09ced0c",
|
|
6
6
|
"apps/vendor-okx/config/jest.config.json": "4bb17bde3ee911163a3edb36a6eb71491d80b1bd",
|
|
7
7
|
"apps/vendor-okx/config/rig.json": "f6c7b5537dc77a3170ba9f008bae3b6c3ee11956",
|
|
8
8
|
"apps/vendor-okx/config/typescript.json": "854907e8a821f2050f6533368db160c649c25348",
|
|
9
9
|
"apps/vendor-okx/etc/vendor-okx.api.md": "92c54ccd547d2ad81ca6088158ca193e85c208df",
|
|
10
|
-
"apps/vendor-okx/package.json": "
|
|
10
|
+
"apps/vendor-okx/package.json": "d060dedb51f231ff6e7a5ae263bebefa1ef61eca",
|
|
11
11
|
"apps/vendor-okx/src/account.ts": "a5d141e20b48f57ded83d35d395abb438ed11848",
|
|
12
12
|
"apps/vendor-okx/src/api.ts": "a818895fddbfe76eab517cd0bbba9fafe6c0c2cc",
|
|
13
13
|
"apps/vendor-okx/src/cli.ts": "9bf6b5559a6c6f33da20e74cc6c5d702c60ec891",
|
|
@@ -17,14 +17,15 @@
|
|
|
17
17
|
"apps/vendor-okx/src/legacy_index.ts": "b22571034e3ab5ef8759a35dfe67129d6b413250",
|
|
18
18
|
"apps/vendor-okx/src/loan-account.ts": "fa37d6e51a992443ddba130e5136de7a58c34286",
|
|
19
19
|
"apps/vendor-okx/src/logger.ts": "d25d427e74f46819a601e0cb17d5358b22c8db7b",
|
|
20
|
-
"apps/vendor-okx/src/ohlc.ts": "
|
|
20
|
+
"apps/vendor-okx/src/ohlc.ts": "e6b3e911ddd0111af233566d9c39fec1d8536be8",
|
|
21
21
|
"apps/vendor-okx/src/order.ts": "945865088271a194eb1c684af0f10e6b54d89f6b",
|
|
22
22
|
"apps/vendor-okx/src/product.ts": "a2e7feb86bc01fe3b1af6dcb9a9ebfba6be91434",
|
|
23
|
-
"apps/vendor-okx/src/quote.ts": "
|
|
23
|
+
"apps/vendor-okx/src/quote.ts": "e289161a274db61505efcdecfafb817e7376742f",
|
|
24
24
|
"apps/vendor-okx/src/services.ts": "7b7df830a6d78b6de5cee44bbcec66f282ab53ab",
|
|
25
25
|
"apps/vendor-okx/src/strategy-account.ts": "b5669b8b9338792597d16ed611e8569b59266fe4",
|
|
26
26
|
"apps/vendor-okx/src/trade.ts": "beab4381745eb173faf11ccedd3e80636659e3e9",
|
|
27
27
|
"apps/vendor-okx/src/websocket.ts": "6c0199bbb9db714ec96b59d90b35b3c801975194",
|
|
28
|
+
"apps/vendor-okx/src/ws.ts": "27f5dbc86937905136203e02bd6214c4a93e8eb1",
|
|
28
29
|
"apps/vendor-okx/tsconfig.json": "81da8f78196974b5d15da0edb6b2d9f48641063c",
|
|
29
30
|
"apps/vendor-okx/.rush/temp/shrinkwrap-deps.json": "0a6205550d411d42b6d36324572e5e2a0ba166b2",
|
|
30
31
|
"libraries/protocol/temp/package-deps.json": "ff231b7689ff7d151498b496f70944d4598fcf33",
|