@yuants/vendor-okx 0.22.19 → 0.22.21
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/account.js +5 -10
- package/dist/account.js.map +1 -1
- package/dist/interest_rate.js +2 -2
- package/dist/interest_rate.js.map +1 -1
- package/dist/legacy_index.js +3 -3
- package/dist/legacy_index.js.map +1 -1
- package/dist/ohlc.js +4 -0
- package/dist/ohlc.js.map +1 -1
- package/dist/product.js +88 -81
- package/dist/product.js.map +1 -1
- package/lib/account.js +4 -9
- package/lib/account.js.map +1 -1
- package/lib/interest_rate.js +1 -1
- package/lib/interest_rate.js.map +1 -1
- package/lib/legacy_index.js +2 -2
- package/lib/legacy_index.js.map +1 -1
- package/lib/ohlc.js +4 -0
- package/lib/ohlc.js.map +1 -1
- package/lib/product.d.ts +1 -5
- package/lib/product.d.ts.map +1 -1
- package/lib/product.js +89 -82
- package/lib/product.js.map +1 -1
- package/package.json +3 -3
- package/temp/package-deps.json +10 -10
package/dist/account.js
CHANGED
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@@ -3,7 +3,7 @@ import { Terminal } from '@yuants/protocol';
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3
3
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import { encodePath } from '@yuants/utils';
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4
4
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import { defer, filter, firstValueFrom, map, repeat, retry, shareReplay } from 'rxjs';
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5
5
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import { client } from './api';
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6
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-
import {
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6
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+
import { productService } from './product';
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7
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const terminal = Terminal.fromNodeEnv();
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8
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export const accountConfig$ = defer(() => client.getAccountConfig()).pipe(repeat({ delay: 10000 }), retry({ delay: 10000 }), shareReplay(1));
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9
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const subAccountUids$ = defer(() => client.getSubAccountList()).pipe(repeat({ delay: 10000 }), retry({ delay: 10000 }), shareReplay(1));
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@@ -53,11 +53,10 @@ defer(async () => {
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addAccountMarket(terminal, { account_id: tradingAccountId, market_id: 'OKX' });
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provideAccountInfoService(terminal, tradingAccountId, async () => {
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var _a;
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56
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-
const [positionsApi, balanceApi,
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56
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+
const [positionsApi, balanceApi, mapProductIdToProduct, marketIndexTickerUSDT] = await Promise.all([
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client.getAccountPositions({}),
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client.getAccountBalance({}),
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59
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-
firstValueFrom(
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60
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-
firstValueFrom(mapProductIdToMarginProduct$),
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59
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+
firstValueFrom(productService.mapProductIdToProduct$),
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firstValueFrom(marketIndexTickerUSDT$),
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]);
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let totalEquity = 0;
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@@ -97,16 +96,12 @@ defer(async () => {
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}
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});
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positionsApi.data.forEach((x) => {
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100
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-
var _a, _b
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99
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+
var _a, _b;
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const direction = x.posSide === 'long' ? 'LONG' : x.posSide === 'short' ? 'SHORT' : +x.pos > 0 ? 'LONG' : 'SHORT';
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102
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const volume = Math.abs(+x.pos);
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103
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const product_id = encodePath(x.instType, x.instId);
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const closable_price = +x.last;
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105
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-
const valuation =
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106
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? ((_b = (_a = mapProductIdToUsdtSwapProduct.get(product_id)) === null || _a === void 0 ? void 0 : _a.value_scale) !== null && _b !== void 0 ? _b : 1) * volume * closable_price
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107
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: x.instType === 'MARGIN'
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108
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? ((_d = (_c = mapProductIdToMarginProduct.get(product_id)) === null || _c === void 0 ? void 0 : _c.value_scale) !== null && _d !== void 0 ? _d : 1) * volume * closable_price
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109
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-
: 0;
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104
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+
const valuation = ((_b = (_a = mapProductIdToProduct.get(product_id)) === null || _a === void 0 ? void 0 : _a.value_scale) !== null && _b !== void 0 ? _b : 1) * volume * closable_price || 0;
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positions.push({
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position_id: x.posId,
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112
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datasource_id: 'OKX',
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package/dist/account.js.map
CHANGED
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@@ -1 +1 @@
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1
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-
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{ addAccountMarket, IPosition, provideAccountInfoService } from '@yuants/data-account';\nimport { IOrder } from '@yuants/data-order';\nimport { Terminal } from '@yuants/protocol';\nimport { encodePath } from '@yuants/utils';\nimport { defer, filter, firstValueFrom, map, repeat, retry, shareReplay } from 'rxjs';\nimport { client } from './api';\nimport { mapProductIdToMarginProduct$, mapProductIdToUsdtSwapProduct$ } from './product';\n\nconst terminal = Terminal.fromNodeEnv();\n\nexport const accountConfig$ = defer(() => client.getAccountConfig()).pipe(\n repeat({ delay: 10_000 }),\n retry({ delay: 10_000 }),\n shareReplay(1),\n);\n\nconst subAccountUids$ = defer(() => client.getSubAccountList()).pipe(\n repeat({ delay: 10_000 }),\n retry({ delay: 10_000 }),\n shareReplay(1),\n);\n\nexport const accountUid$ = accountConfig$.pipe(\n map((x) => x.data[0].uid),\n filter((x) => !!x),\n shareReplay(1),\n);\n\ndefer(async () => {\n const uid = await firstValueFrom(accountUid$);\n const account_id = `okx/${uid}/trading`;\n terminal.server.provideService(\n 'QueryPendingOrders',\n {\n required: ['account_id'],\n properties: { account_id: { type: 'string', const: account_id } },\n },\n async () => {\n const orders = await client.getTradeOrdersPending({});\n const data = orders.data.map((x): IOrder => {\n const order_type = x.ordType === 'market' ? 'MARKET' : x.ordType === 'limit' ? 'LIMIT' : 'UNKNOWN';\n\n const order_direction =\n x.side === 'buy'\n ? x.posSide === 'long'\n ? 'OPEN_LONG'\n : 'CLOSE_SHORT'\n : x.posSide === 'short'\n ? 'OPEN_SHORT'\n : 'CLOSE_LONG';\n return {\n order_id: x.ordId,\n account_id,\n product_id: encodePath(x.instType, x.instId),\n submit_at: +x.cTime,\n filled_at: +x.fillTime,\n order_type,\n order_direction,\n volume: +x.sz,\n traded_volume: +x.accFillSz,\n price: +x.px,\n traded_price: +x.avgPx,\n };\n });\n return { res: { code: 0, message: 'OK', data } };\n },\n );\n}).subscribe();\n\nconst marketIndexTickerUSDT$ = defer(() => client.getMarketIndexTicker({ quoteCcy: 'USDT' })).pipe(\n map((x) => {\n const mapInstIdToPrice = new Map<string, number>();\n x.data.forEach((inst) => mapInstIdToPrice.set(inst.instId, Number(inst.idxPx)));\n return mapInstIdToPrice;\n }),\n repeat({ delay: 1000 }),\n retry({ delay: 5000 }),\n shareReplay(1),\n);\n\nexport const tradingAccountId$ = accountUid$.pipe(\n map((uid) => `okx/${uid}/trading`),\n shareReplay(1),\n);\n\ndefer(async () => {\n const tradingAccountId = await firstValueFrom(tradingAccountId$);\n addAccountMarket(terminal, { account_id: tradingAccountId, market_id: 'OKX' });\n\n provideAccountInfoService(\n terminal,\n tradingAccountId,\n async () => {\n const [\n positionsApi,\n balanceApi,\n mapProductIdToUsdtSwapProduct,\n mapProductIdToMarginProduct,\n marketIndexTickerUSDT,\n ] = await Promise.all([\n client.getAccountPositions({}),\n client.getAccountBalance({}),\n firstValueFrom(mapProductIdToUsdtSwapProduct$),\n firstValueFrom(mapProductIdToMarginProduct$),\n firstValueFrom(marketIndexTickerUSDT$),\n ]);\n\n let totalEquity = 0;\n let totalFree = 0;\n const positions: IPosition[] = [];\n\n balanceApi.data[0]?.details.forEach((detail) => {\n if (detail.ccy === 'USDT') {\n const balance = +(detail.cashBal ?? 0);\n const free = Math.min(\n balance, // free should no more than balance if there is much profits\n +(detail.availEq ?? 0),\n );\n const equity = +(detail.eq ?? 0) - +(detail.stgyEq ?? 0);\n totalEquity += equity;\n totalFree += free;\n } else {\n const volume = +(detail.cashBal ?? 0);\n const free_volume = Math.min(\n volume, // free should no more than balance if there is much profits\n +(detail.availEq ?? 0),\n );\n const closable_price = marketIndexTickerUSDT.get(detail.ccy + '-USDT') || 0;\n const delta_equity = volume * closable_price || 0;\n const delta_profit = +detail.totalPnl || 0;\n\n const product_id = encodePath('SPOT', `${detail.ccy}-USDT`);\n positions.push({\n position_id: product_id,\n datasource_id: 'OKX',\n product_id: product_id,\n direction: 'LONG',\n volume: volume,\n free_volume: free_volume,\n position_price: +detail.accAvgPx,\n floating_profit: delta_profit,\n closable_price: closable_price,\n valuation: delta_equity,\n });\n\n totalEquity += delta_equity;\n }\n });\n positionsApi.data.forEach((x) => {\n const direction =\n x.posSide === 'long' ? 'LONG' : x.posSide === 'short' ? 'SHORT' : +x.pos > 0 ? 'LONG' : 'SHORT';\n const volume = Math.abs(+x.pos);\n const product_id = encodePath(x.instType, x.instId);\n const closable_price = +x.last;\n const valuation =\n x.instType === 'SWAP'\n ? (mapProductIdToUsdtSwapProduct.get(product_id)?.value_scale ?? 1) * volume * closable_price\n : x.instType === 'MARGIN'\n ? (mapProductIdToMarginProduct.get(product_id)?.value_scale ?? 1) * volume * closable_price\n : 0;\n\n positions.push({\n position_id: x.posId,\n datasource_id: 'OKX',\n product_id,\n direction,\n volume: volume,\n free_volume: +x.availPos,\n closable_price,\n position_price: +x.avgPx,\n floating_profit: +x.upl,\n valuation,\n });\n });\n return {\n money: {\n currency: 'USDT',\n equity: totalEquity,\n free: totalFree,\n },\n positions: positions,\n };\n },\n { auto_refresh_interval: 1000 },\n );\n}).subscribe();\n\ndefer(async () => {\n const uid = await firstValueFrom(accountUid$);\n\n const fundingAccountId = `okx/${uid}/funding/USDT`;\n\n provideAccountInfoService(\n terminal,\n fundingAccountId,\n async () => {\n const [assetBalances, marketIndexTickerUSDT] = await Promise.all([\n client.getAssetBalances({}),\n firstValueFrom(marketIndexTickerUSDT$),\n ]);\n\n const positions: IPosition[] = [];\n let equity = 0;\n let free = 0;\n\n assetBalances.data.forEach((x) => {\n if (x.ccy === 'USDT') {\n const balance = +x.bal;\n equity += balance;\n free += balance;\n return;\n }\n\n const price = marketIndexTickerUSDT.get(`${x.ccy}-USDT`) || 0;\n const valuation = price * +x.bal || 0;\n const productId = encodePath('SPOT', `${x.ccy}-USDT`);\n\n positions.push({\n datasource_id: 'OKX',\n position_id: productId,\n product_id: productId,\n direction: 'LONG',\n volume: +x.bal,\n free_volume: +x.bal,\n position_price: price,\n floating_profit: 0,\n closable_price: price,\n valuation,\n });\n\n equity += valuation;\n });\n\n return {\n money: {\n currency: 'USDT',\n equity,\n free,\n },\n positions,\n };\n },\n { auto_refresh_interval: 1000 },\n );\n}).subscribe();\n\ndefer(async () => {\n const uid = await firstValueFrom(accountUid$);\n const earningAccountId = `okx/${uid}/earning/USDT`;\n provideAccountInfoService(\n terminal,\n earningAccountId,\n async () => {\n const offers = await client.getFinanceSavingsBalance({});\n const equity = offers.data.filter((x) => x.ccy === 'USDT').reduce((acc, x) => acc + +x.amt, 0);\n const free = equity;\n return {\n money: {\n currency: 'USDT',\n equity,\n free,\n },\n positions: [],\n };\n },\n { auto_refresh_interval: 5000 },\n );\n}).subscribe();\n"]}
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+
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{ addAccountMarket, IPosition, provideAccountInfoService } from '@yuants/data-account';\nimport { IOrder } from '@yuants/data-order';\nimport { Terminal } from '@yuants/protocol';\nimport { encodePath } from '@yuants/utils';\nimport { defer, filter, firstValueFrom, map, repeat, retry, shareReplay } from 'rxjs';\nimport { client } from './api';\nimport { productService } from './product';\n\nconst terminal = Terminal.fromNodeEnv();\n\nexport const accountConfig$ = defer(() => client.getAccountConfig()).pipe(\n repeat({ delay: 10_000 }),\n retry({ delay: 10_000 }),\n shareReplay(1),\n);\n\nconst subAccountUids$ = defer(() => client.getSubAccountList()).pipe(\n repeat({ delay: 10_000 }),\n retry({ delay: 10_000 }),\n shareReplay(1),\n);\n\nexport const accountUid$ = accountConfig$.pipe(\n map((x) => x.data[0].uid),\n filter((x) => !!x),\n shareReplay(1),\n);\n\ndefer(async () => {\n const uid = await firstValueFrom(accountUid$);\n const account_id = `okx/${uid}/trading`;\n terminal.server.provideService(\n 'QueryPendingOrders',\n {\n required: ['account_id'],\n properties: { account_id: { type: 'string', const: account_id } },\n },\n async () => {\n const orders = await client.getTradeOrdersPending({});\n const data = orders.data.map((x): IOrder => {\n const order_type = x.ordType === 'market' ? 'MARKET' : x.ordType === 'limit' ? 'LIMIT' : 'UNKNOWN';\n\n const order_direction =\n x.side === 'buy'\n ? x.posSide === 'long'\n ? 'OPEN_LONG'\n : 'CLOSE_SHORT'\n : x.posSide === 'short'\n ? 'OPEN_SHORT'\n : 'CLOSE_LONG';\n return {\n order_id: x.ordId,\n account_id,\n product_id: encodePath(x.instType, x.instId),\n submit_at: +x.cTime,\n filled_at: +x.fillTime,\n order_type,\n order_direction,\n volume: +x.sz,\n traded_volume: +x.accFillSz,\n price: +x.px,\n traded_price: +x.avgPx,\n };\n });\n return { res: { code: 0, message: 'OK', data } };\n },\n );\n}).subscribe();\n\nconst marketIndexTickerUSDT$ = defer(() => client.getMarketIndexTicker({ quoteCcy: 'USDT' })).pipe(\n map((x) => {\n const mapInstIdToPrice = new Map<string, number>();\n x.data.forEach((inst) => mapInstIdToPrice.set(inst.instId, Number(inst.idxPx)));\n return mapInstIdToPrice;\n }),\n repeat({ delay: 1000 }),\n retry({ delay: 5000 }),\n shareReplay(1),\n);\n\nexport const tradingAccountId$ = accountUid$.pipe(\n map((uid) => `okx/${uid}/trading`),\n shareReplay(1),\n);\n\ndefer(async () => {\n const tradingAccountId = await firstValueFrom(tradingAccountId$);\n addAccountMarket(terminal, { account_id: tradingAccountId, market_id: 'OKX' });\n\n provideAccountInfoService(\n terminal,\n tradingAccountId,\n async () => {\n const [positionsApi, balanceApi, mapProductIdToProduct, marketIndexTickerUSDT] = await Promise.all([\n client.getAccountPositions({}),\n client.getAccountBalance({}),\n firstValueFrom(productService.mapProductIdToProduct$),\n firstValueFrom(marketIndexTickerUSDT$),\n ]);\n\n let totalEquity = 0;\n let totalFree = 0;\n const positions: IPosition[] = [];\n\n balanceApi.data[0]?.details.forEach((detail) => {\n if (detail.ccy === 'USDT') {\n const balance = +(detail.cashBal ?? 0);\n const free = Math.min(\n balance, // free should no more than balance if there is much profits\n +(detail.availEq ?? 0),\n );\n const equity = +(detail.eq ?? 0) - +(detail.stgyEq ?? 0);\n totalEquity += equity;\n totalFree += free;\n } else {\n const volume = +(detail.cashBal ?? 0);\n const free_volume = Math.min(\n volume, // free should no more than balance if there is much profits\n +(detail.availEq ?? 0),\n );\n const closable_price = marketIndexTickerUSDT.get(detail.ccy + '-USDT') || 0;\n const delta_equity = volume * closable_price || 0;\n const delta_profit = +detail.totalPnl || 0;\n\n const product_id = encodePath('SPOT', `${detail.ccy}-USDT`);\n positions.push({\n position_id: product_id,\n datasource_id: 'OKX',\n product_id: product_id,\n direction: 'LONG',\n volume: volume,\n free_volume: free_volume,\n position_price: +detail.accAvgPx,\n floating_profit: delta_profit,\n closable_price: closable_price,\n valuation: delta_equity,\n });\n\n totalEquity += delta_equity;\n }\n });\n positionsApi.data.forEach((x) => {\n const direction =\n x.posSide === 'long' ? 'LONG' : x.posSide === 'short' ? 'SHORT' : +x.pos > 0 ? 'LONG' : 'SHORT';\n const volume = Math.abs(+x.pos);\n const product_id = encodePath(x.instType, x.instId);\n const closable_price = +x.last;\n const valuation =\n (mapProductIdToProduct.get(product_id)?.value_scale ?? 1) * volume * closable_price || 0;\n\n positions.push({\n position_id: x.posId,\n datasource_id: 'OKX',\n product_id,\n direction,\n volume: volume,\n free_volume: +x.availPos,\n closable_price,\n position_price: +x.avgPx,\n floating_profit: +x.upl,\n valuation,\n });\n });\n return {\n money: {\n currency: 'USDT',\n equity: totalEquity,\n free: totalFree,\n },\n positions: positions,\n };\n },\n { auto_refresh_interval: 1000 },\n );\n}).subscribe();\n\ndefer(async () => {\n const uid = await firstValueFrom(accountUid$);\n\n const fundingAccountId = `okx/${uid}/funding/USDT`;\n\n provideAccountInfoService(\n terminal,\n fundingAccountId,\n async () => {\n const [assetBalances, marketIndexTickerUSDT] = await Promise.all([\n client.getAssetBalances({}),\n firstValueFrom(marketIndexTickerUSDT$),\n ]);\n\n const positions: IPosition[] = [];\n let equity = 0;\n let free = 0;\n\n assetBalances.data.forEach((x) => {\n if (x.ccy === 'USDT') {\n const balance = +x.bal;\n equity += balance;\n free += balance;\n return;\n }\n\n const price = marketIndexTickerUSDT.get(`${x.ccy}-USDT`) || 0;\n const valuation = price * +x.bal || 0;\n const productId = encodePath('SPOT', `${x.ccy}-USDT`);\n\n positions.push({\n datasource_id: 'OKX',\n position_id: productId,\n product_id: productId,\n direction: 'LONG',\n volume: +x.bal,\n free_volume: +x.bal,\n position_price: price,\n floating_profit: 0,\n closable_price: price,\n valuation,\n });\n\n equity += valuation;\n });\n\n return {\n money: {\n currency: 'USDT',\n equity,\n free,\n },\n positions,\n };\n },\n { auto_refresh_interval: 1000 },\n );\n}).subscribe();\n\ndefer(async () => {\n const uid = await firstValueFrom(accountUid$);\n const earningAccountId = `okx/${uid}/earning/USDT`;\n provideAccountInfoService(\n terminal,\n earningAccountId,\n async () => {\n const offers = await client.getFinanceSavingsBalance({});\n const equity = offers.data.filter((x) => x.ccy === 'USDT').reduce((acc, x) => acc + +x.amt, 0);\n const free = equity;\n return {\n money: {\n currency: 'USDT',\n equity,\n free,\n },\n positions: [],\n };\n },\n { auto_refresh_interval: 5000 },\n );\n}).subscribe();\n"]}
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package/dist/interest_rate.js
CHANGED
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@@ -16,9 +16,9 @@ import { createSQLWriter } from '@yuants/sql';
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import { decodePath, encodePath, formatTime } from '@yuants/utils';
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import { firstValueFrom, map, mergeAll, timer } from 'rxjs';
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import { client } from './api';
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import {
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import { productService } from './product';
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createSQLWriter(Terminal.fromNodeEnv(), {
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data$:
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21
|
+
data$: productService.products$.pipe(mergeAll(), map((x) => ({
|
|
22
22
|
series_id: encodePath(x.datasource_id, x.product_id),
|
|
23
23
|
table_name: 'interest_rate',
|
|
24
24
|
cron_pattern: '0 * * * *',
|
|
@@ -1 +1 @@
|
|
|
1
|
-
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|
|
1
|
+
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{ IInterestRate } from '@yuants/data-interest-rate';\nimport { createSeriesProvider, ISeriesCollectingTask } from '@yuants/data-series';\nimport { Terminal } from '@yuants/protocol';\nimport { createSQLWriter } from '@yuants/sql';\nimport { decodePath, encodePath, formatTime } from '@yuants/utils';\nimport { firstValueFrom, map, mergeAll, timer } from 'rxjs';\nimport { client } from './api';\nimport { productService } from './product';\n\ncreateSQLWriter<ISeriesCollectingTask>(Terminal.fromNodeEnv(), {\n data$: productService.products$.pipe(\n mergeAll(),\n map(\n (x): ISeriesCollectingTask => ({\n series_id: encodePath(x.datasource_id, x.product_id),\n table_name: 'interest_rate',\n cron_pattern: '0 * * * *', // 每小时执行一次\n cron_timezone: 'UTC',\n disabled: false,\n replay_count: 0,\n }),\n ),\n ),\n tableName: 'series_collecting_task',\n writeInterval: 1000,\n conflictKeys: ['series_id', 'table_name'],\n});\n\ncreateSeriesProvider<IInterestRate>(Terminal.fromNodeEnv(), {\n tableName: 'interest_rate',\n series_id_prefix_parts: ['OKX'],\n reversed: true,\n serviceOptions: { concurrent: 1 },\n queryFn: async function* ({ series_id, started_at, ended_at }) {\n const start = started_at || 0;\n const end = ended_at || Date.now();\n const [datasource_id, product_id] = decodePath(series_id);\n const [instType, instId] = decodePath(product_id);\n\n if (instType === 'SWAP') {\n let current_end = end;\n while (true) {\n // 接口行为备注：向前翻页，时间降序，不含 after 当前时间点\n const res = await client.getFundingRateHistory({\n instId: instId,\n after: `${current_end}`,\n });\n if (res.code !== '0') {\n throw `getFundingRateHistory failed: ${res.code} ${res.msg}`;\n }\n // 如果没有数据了，就退出\n if (res.data.length === 0) {\n break;\n }\n console.info(formatTime(Date.now()), 'getFundingRateHistory', JSON.stringify(res.data));\n const data = res.data.map(\n (v): IInterestRate => ({\n series_id: series_id,\n product_id,\n datasource_id,\n created_at: formatTime(+v.fundingTime),\n long_rate: `${-v.fundingRate}`,\n short_rate: `${v.fundingRate}`,\n settlement_price: '',\n }),\n );\n yield data;\n current_end = +res.data[res.data.length - 1].fundingTime;\n if (current_end <= start) {\n break;\n }\n // for API rate limit\n await firstValueFrom(timer(1000));\n }\n }\n\n if (instType === 'MARGIN') {\n // MARGIN/BTC-USDT\n const [base, quote] = instId.split('-');\n let current_end = end;\n while (true) {\n const resBase = await client.getLendingRateHistory({ ccy: base, after: `${current_end}` });\n const resQuote = await client.getLendingRateHistory({ ccy: quote, after: `${current_end}` });\n\n if (resBase.code !== '0') {\n throw `getLendingRateHistory failed: ${resBase.code} ${resBase.msg}`;\n }\n if (resBase.data.length === 0) {\n break;\n }\n console.info(formatTime(Date.now()), 'getLendingRateHistory', JSON.stringify(resBase.data));\n\n if (resQuote.code !== '0') {\n throw `getLendingRateHistory failed: ${resQuote.code} ${resQuote.msg}`;\n }\n if (resQuote.data.length === 0) {\n break;\n }\n console.info(formatTime(Date.now()), 'getLendingRateHistory', JSON.stringify(resQuote.data));\n\n // 做多时，借入 quote 的资金，做空时，借入 base 的资金\n // 用 quote 的 rate 作为 long_rate，base 的 rate 作为 short_rate\n\n const mapTsToBaseRate = new Map<string, string>();\n resBase.data.forEach((v) => {\n mapTsToBaseRate.set(v.ts, v.rate);\n });\n\n const data: IInterestRate[] = [];\n\n resQuote.data.forEach((v) => {\n if (!mapTsToBaseRate.has(v.ts)) return;\n const long_rate = +v.rate / 365 / 24; // 转换为小时利率\n const short_rate = +mapTsToBaseRate.get(v.ts)! / 365 / 24; // 转换为小时利率\n data.push({\n series_id,\n product_id,\n datasource_id,\n created_at: formatTime(+v.ts),\n long_rate: `${-long_rate}`,\n short_rate: `${-short_rate}`,\n settlement_price: '',\n });\n });\n\n yield data;\n current_end = new Date(data[data.length - 1].created_at).getTime();\n if (current_end <= start) {\n break;\n }\n // for API rate limit\n await firstValueFrom(timer(1000));\n }\n }\n },\n});\n"]}
|
package/dist/legacy_index.js
CHANGED
|
@@ -4,7 +4,7 @@ import { decodePath, encodePath, formatTime, roundToStep } from '@yuants/utils';
|
|
|
4
4
|
import { defer, filter, firstValueFrom, from, map, mergeMap, repeat, retry, shareReplay } from 'rxjs';
|
|
5
5
|
import { accountConfig$, tradingAccountId$ } from './account';
|
|
6
6
|
import { client } from './api';
|
|
7
|
-
import {
|
|
7
|
+
import { productService } from './product';
|
|
8
8
|
import { spotMarketTickers$ } from './quote';
|
|
9
9
|
const terminal = Terminal.fromNodeEnv();
|
|
10
10
|
console.info(formatTime(Date.now()), 'Terminal', terminal.terminalInfo.terminal_id);
|
|
@@ -432,7 +432,7 @@ defer(async () => {
|
|
|
432
432
|
throw new Error(`invalid tick: ${price}`);
|
|
433
433
|
}
|
|
434
434
|
console.info(formatTime(Date.now()), 'SubmitOrder', 'price', price);
|
|
435
|
-
const theProduct = await firstValueFrom(
|
|
435
|
+
const theProduct = await firstValueFrom(productService.mapProductIdToProduct$.pipe(map((x) => x.get(order.product_id))));
|
|
436
436
|
if (!theProduct) {
|
|
437
437
|
throw new Error(`Unknown product: ${order.position_id}`);
|
|
438
438
|
}
|
|
@@ -518,7 +518,7 @@ defer(async () => {
|
|
|
518
518
|
throw new Error(`invalid tick: ${price}`);
|
|
519
519
|
}
|
|
520
520
|
console.info(formatTime(Date.now()), 'ModifyOrder', 'price', price);
|
|
521
|
-
const theProduct = await firstValueFrom(
|
|
521
|
+
const theProduct = await firstValueFrom(productService.mapProductIdToProduct$.pipe(map((x) => x.get(order.product_id))));
|
|
522
522
|
if (!theProduct) {
|
|
523
523
|
throw new Error(`Unknown product: ${order.position_id}`);
|
|
524
524
|
}
|
package/dist/legacy_index.js.map
CHANGED
|
@@ -1 +1 @@
|
|
|
1
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-
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{ IOrder } from '@yuants/data-order';\nimport { Terminal } from '@yuants/protocol';\nimport { addAccountTransferAddress } from '@yuants/transfer';\nimport { decodePath, encodePath, formatTime, roundToStep } from '@yuants/utils';\nimport { defer, filter, firstValueFrom, from, map, mergeMap, repeat, retry, shareReplay } from 'rxjs';\nimport { accountConfig$, tradingAccountId$ } from './account';\nimport { client } from './api';\nimport { mapProductIdToMarginProduct$ } from './product';\nimport { spotMarketTickers$ } from './quote';\n\nconst terminal = Terminal.fromNodeEnv();\n\nconsole.info(formatTime(Date.now()), 'Terminal', terminal.terminalInfo.terminal_id);\n\nconst resOfAssetCurrencies = defer(() => client.getAssetCurrencies()).pipe(\n repeat({ delay: 3600_000 }),\n retry({ delay: 10_000 }),\n shareReplay(1),\n);\n\nresOfAssetCurrencies.subscribe(); // make it hot\n\nconst memoizeMap = <T extends (...params: any[]) => any>(fn: T): T => {\n const cache: Record<string, any> = {};\n return ((...params: any[]) => (cache[encodePath(params)] ??= fn(...params))) as T;\n};\n\nconst fundingRate$ = memoizeMap((product_id: string) =>\n defer(() => client.getFundingRate({ instId: decodePath(product_id)[1] })).pipe(\n mergeMap((x) => x.data),\n repeat({ delay: 5000 }),\n retry({ delay: 5000 }),\n shareReplay(1),\n ),\n);\n\nconst interestRateLoanQuota$ = defer(() => client.getInterestRateLoanQuota()).pipe(\n repeat({ delay: 60_000 }),\n retry({ delay: 60_000 }),\n shareReplay(1),\n);\n\nconst interestRateByCurrency$ = memoizeMap((currency: string) =>\n interestRateLoanQuota$.pipe(\n mergeMap((x) =>\n from(x.data || []).pipe(\n mergeMap((x) => x.basic),\n filter((x) => x.ccy === currency),\n map((x) => +x.rate),\n ),\n ),\n shareReplay(1),\n ),\n);\n\n// provideTicks(terminal, 'OKX', (product_id) => {\n// const [instType, instId] = decodePath(product_id);\n// if (instType === 'SWAP') {\n// return defer(async () => {\n// const products = await firstValueFrom(usdtSwapProducts$);\n// const theProduct = products.find((x) => x.product_id === product_id);\n// if (!theProduct) throw `No Found ProductID ${product_id}`;\n// const theTicker$ = swapMarketTickers$.pipe(\n// map((x) => x[instId]),\n// shareReplay(1),\n// );\n// return [of(theProduct), theTicker$, fundingRate$(product_id), swapOpenInterest$] as const;\n// }).pipe(\n// catchError(() => EMPTY),\n// mergeMap((x) =>\n// combineLatest(x).pipe(\n// map(([theProduct, ticker, fundingRate, swapOpenInterest]): ITick => {\n// return {\n// datasource_id: 'OKX',\n// product_id,\n// updated_at: Date.now(),\n// settlement_scheduled_at: +fundingRate.fundingTime,\n// price: +ticker.last,\n// ask: +ticker.askPx,\n// bid: +ticker.bidPx,\n// volume: +ticker.lastSz,\n// interest_rate_for_long: -+fundingRate.fundingRate,\n// interest_rate_for_short: +fundingRate.fundingRate,\n// open_interest: swapOpenInterest.get(instId),\n// };\n// }),\n// ),\n// ),\n// );\n// }\n// if (instType === 'MARGIN') {\n// return defer(async () => {\n// const products = await firstValueFrom(marginProducts$);\n// const theProduct = products.find((x) => x.product_id === product_id);\n// if (!theProduct) throw `No Found ProductID ${product_id}`;\n// const theTicker$ = spotMarketTickers$.pipe(\n// map((x) => x[instId]),\n// shareReplay(1),\n// );\n// return [\n// of(theProduct),\n// theTicker$,\n// interestRateByCurrency$(theProduct.base_currency!),\n// interestRateByCurrency$(theProduct.quote_currency!),\n// ] as const;\n// }).pipe(\n// catchError(() => EMPTY),\n// mergeMap((x) =>\n// combineLatest(x).pipe(\n// map(\n// ([theProduct, ticker, interestRateForBase, interestRateForQuote]): ITick => ({\n// datasource_id: 'OKX',\n// product_id,\n// updated_at: Date.now(),\n// price: +ticker.last,\n// volume: +ticker.lastSz,\n// // 在下一个整点扣除利息 See 如何计算利息 https://www.okx.com/zh-hans/help/how-to-calculate-borrowing-interest\n// settlement_scheduled_at: new Date().setMinutes(0, 0, 0) + 3600_000,\n// interest_rate_for_long: -interestRateForQuote / 24,\n// interest_rate_for_short: -interestRateForBase / 24,\n// }),\n// ),\n// ),\n// ),\n// );\n// }\n// return EMPTY;\n// });\n\ndefer(async () => {\n const account_config = await firstValueFrom(accountConfig$);\n console.info(formatTime(Date.now()), 'AccountConfig', JSON.stringify(account_config));\n const { mainUid, uid } = account_config.data[0];\n const isMainAccount = mainUid === uid;\n\n const TRADING_ACCOUNT_ID = `okx/${uid}/trading`;\n const FUNDING_ACCOUNT_ID = `okx/${uid}/funding/USDT`;\n const EARNING_ACCOUNT_ID = `okx/${uid}/earning/USDT`;\n\n // BLOCK_CHAIN: only available for main account\n if (isMainAccount) {\n const depositAddressRes = await client.getAssetDepositAddress({ ccy: 'USDT' });\n console.info(formatTime(Date.now()), 'DepositAddress', JSON.stringify(depositAddressRes.data));\n const addresses = depositAddressRes.data.filter((v) => v.chain === 'USDT-TRC20' && v.to === '6');\n for (const address of addresses) {\n addAccountTransferAddress({\n terminal,\n account_id: FUNDING_ACCOUNT_ID,\n network_id: 'TRC20',\n currency: 'USDT',\n address: address.addr,\n onApply: {\n INIT: async (order) => {\n if (\n !order.current_amount ||\n order.current_amount < 3 // 最小提币额度\n ) {\n return { state: 'ERROR', message: 'Amount too small' };\n }\n const res = await firstValueFrom(resOfAssetCurrencies);\n const theRes = res.data?.find((x) => x.ccy === 'USDT' && x.chain === 'USDT-TRC20');\n const _fee = theRes?.minFee;\n if (!_fee) return { state: 'ERROR', message: 'Currency Info not found, cannot get fee' };\n const fee = +_fee;\n const amt = Math.floor(order.current_amount - fee);\n const transferResult = await client.postAssetWithdrawal({\n amt: `${amt}`,\n ccy: 'USDT',\n chain: 'USDT-TRC20',\n fee: `${fee}`,\n dest: '4', // 链上提币\n toAddr: order.current_rx_address!,\n });\n if (transferResult.code !== '0') {\n return { state: 'INIT', message: transferResult.msg };\n }\n const wdId = transferResult.data[0]?.wdId;\n return { state: 'AWAIT_TX_ID', context: wdId };\n },\n AWAIT_TX_ID: async (transferOrder) => {\n const wdId = transferOrder.current_tx_context;\n const withdrawalHistory = await client.getAssetWithdrawalHistory({ wdId });\n const txId = withdrawalHistory.data?.[0]?.txId;\n if (!txId) {\n return { state: 'AWAIT_TX_ID', context: wdId };\n }\n return { state: 'COMPLETE', transaction_id: txId };\n },\n },\n onEval: async (transferOrder) => {\n const checkResult = await client.getAssetDepositHistory({\n ccy: 'USDT',\n txId: transferOrder.current_transaction_id,\n type: '4',\n });\n\n if (checkResult.code !== '0') {\n return {\n state: 'INIT',\n };\n }\n\n if (checkResult.data[0].state !== '2') {\n return { state: 'PENDING' };\n }\n const received_amount = +checkResult.data[0].amt;\n return { state: 'COMPLETE', received_amount };\n },\n });\n }\n }\n\n // Funding-Trading\n {\n const FUNDING_TRADING_NETWORK_ID = `OKX/${uid}/Funding-Trading`;\n addAccountTransferAddress({\n terminal,\n account_id: FUNDING_ACCOUNT_ID,\n network_id: FUNDING_TRADING_NETWORK_ID,\n currency: 'USDT',\n address: 'funding',\n onApply: {\n INIT: async (order) => {\n const transferResult = await client.postAssetTransfer({\n type: '0',\n ccy: 'USDT',\n amt: `${order.current_amount}`,\n from: '6',\n to: '18',\n });\n if (transferResult.code !== '0') {\n return { state: 'INIT', message: transferResult.msg };\n }\n const transaction_id = transferResult.data[0].transId;\n return { state: 'COMPLETE', transaction_id };\n },\n },\n onEval: async (transferOrder) => {\n return { state: 'COMPLETE', received_amount: transferOrder.current_amount };\n },\n });\n addAccountTransferAddress({\n terminal,\n account_id: TRADING_ACCOUNT_ID,\n network_id: FUNDING_TRADING_NETWORK_ID,\n currency: 'USDT',\n address: 'trading',\n onApply: {\n INIT: async (order) => {\n const transferResult = await client.postAssetTransfer({\n type: '0',\n ccy: order.currency,\n amt: `${order.current_amount}`,\n from: '18',\n to: '6',\n });\n if (transferResult.code !== '0') {\n return { state: 'INIT', message: transferResult.msg };\n }\n const transaction_id = transferResult.data[0].transId;\n return { state: 'COMPLETE', transaction_id };\n },\n },\n onEval: async (transferOrder) => {\n return { state: 'COMPLETE', received_amount: transferOrder.current_amount };\n },\n });\n }\n // Funding-Earning\n {\n const FUNDING_EARNING_NETWORK_ID = `OKX/${uid}/Funding-Earning`;\n addAccountTransferAddress({\n terminal,\n account_id: FUNDING_ACCOUNT_ID,\n network_id: FUNDING_EARNING_NETWORK_ID,\n currency: 'USDT',\n address: 'funding',\n onApply: {\n INIT: async (order) => {\n const transferResult = await client.postFinanceSavingsPurchaseRedempt({\n ccy: 'USDT',\n amt: `${order.current_amount}`,\n side: 'purchase',\n rate: '0.01',\n });\n if (transferResult.code !== '0') {\n return { state: 'INIT', message: transferResult.msg };\n }\n return { state: 'COMPLETE', transaction_id: 'ok' };\n },\n },\n onEval: async (transferOrder) => {\n return { state: 'COMPLETE', received_amount: transferOrder.current_amount };\n },\n });\n addAccountTransferAddress({\n terminal,\n account_id: EARNING_ACCOUNT_ID,\n network_id: FUNDING_EARNING_NETWORK_ID,\n currency: 'USDT',\n address: 'earning',\n onApply: {\n INIT: async (order) => {\n const transferResult = await client.postFinanceSavingsPurchaseRedempt({\n ccy: 'USDT',\n amt: `${order.current_amount}`,\n side: 'redempt',\n rate: '0.01',\n });\n if (transferResult.code !== '0') {\n return { state: 'INIT', message: transferResult.msg };\n }\n return { state: 'COMPLETE', transaction_id: 'ok' };\n },\n },\n onEval: async (transferOrder) => {\n return { state: 'COMPLETE', received_amount: transferOrder.current_amount };\n },\n });\n }\n\n // SubAccount\n {\n const getSubAccountNetworkId = (subUid: string) => `OKX/${mainUid}/SubAccount/${subUid}`;\n if (isMainAccount) {\n const subAcctsRes = await client.getSubAccountList();\n for (const item of subAcctsRes.data || []) {\n addAccountTransferAddress({\n terminal,\n account_id: FUNDING_ACCOUNT_ID,\n network_id: getSubAccountNetworkId(item.uid),\n currency: 'USDT',\n address: 'main',\n onApply: {\n INIT: async (order) => {\n const transferResult = await client.postAssetTransfer({\n type: '1',\n ccy: 'USDT',\n amt: `${order.current_amount}`,\n from: '6',\n to: '6',\n subAcct: item.subAcct,\n });\n if (transferResult.code !== '0') {\n return { state: 'INIT', message: transferResult.msg };\n }\n const transaction_id = transferResult.data[0].transId;\n return { state: 'COMPLETE', transaction_id };\n },\n },\n onEval: async (order) => {\n // ISSUE: OKX API Issue: transId is incorrect or transId does not match with ‘ type’\n // const checkResult = await client.getAssetTransferState({ transId: order.current_transaction_id });\n // const received_amount = checkResult?.data?.[0]?.amt;\n // if (!received_amount) {\n // return { state: 'INIT', message: checkResult.msg };\n // }\n // return { state: 'COMPLETE', received_amount: +received_amount };\n\n return { state: 'COMPLETE', received_amount: order.current_amount };\n },\n });\n }\n }\n // SubAccount API\n else {\n addAccountTransferAddress({\n terminal,\n account_id: FUNDING_ACCOUNT_ID,\n network_id: getSubAccountNetworkId(uid),\n currency: 'USDT',\n address: 'sub',\n onApply: {\n INIT: async (order) => {\n const transferResult = await client.postAssetTransfer({\n type: '3',\n ccy: 'USDT',\n amt: `${order.current_amount}`,\n from: '6',\n to: '6',\n });\n if (transferResult.code !== '0') {\n return { state: 'INIT', message: transferResult.msg };\n }\n const transaction_id = transferResult.data[0].transId;\n return { state: 'COMPLETE', transaction_id };\n },\n },\n onEval: async (order) => {\n // ISSUE: OKX API Issue: transId is incorrect or transId does not match with ‘ type’\n // const checkResult = await client.getAssetTransferState({ transId: order.current_transaction_id });\n // const received_amount = checkResult?.data?.[0]?.amt;\n // if (!received_amount) {\n // return { state: 'INIT', message: checkResult.msg };\n // }\n // return { state: 'COMPLETE', received_amount: +received_amount };\n return { state: 'COMPLETE', received_amount: order.current_amount };\n },\n });\n }\n }\n}).subscribe();\n\ndefer(async () => {\n const tradingAccountId = await firstValueFrom(tradingAccountId$);\n terminal.server.provideService<IOrder, { order_id?: string }>(\n 'SubmitOrder',\n {\n required: ['account_id'],\n properties: {\n account_id: { const: tradingAccountId },\n },\n },\n async (msg) => {\n console.info(formatTime(Date.now()), 'SubmitOrder', JSON.stringify(msg));\n const order = msg.req;\n const [instType, instId] = decodePath(order.product_id);\n\n const mapOrderDirectionToSide = (direction?: string) => {\n switch (direction) {\n case 'OPEN_LONG':\n case 'CLOSE_SHORT':\n return 'buy';\n case 'OPEN_SHORT':\n case 'CLOSE_LONG':\n return 'sell';\n }\n throw new Error(`Unknown direction: ${direction}`);\n };\n const mapOrderDirectionToPosSide = (direction?: string) => {\n switch (direction) {\n case 'OPEN_LONG':\n case 'CLOSE_LONG':\n return 'long';\n case 'CLOSE_SHORT':\n case 'OPEN_SHORT':\n return 'short';\n }\n throw new Error(`Unknown direction: ${direction}`);\n };\n const mapOrderTypeToOrdType = (order_type?: string) => {\n switch (order_type) {\n case 'LIMIT':\n return 'limit';\n case 'MARKET':\n return 'market';\n case 'MAKER':\n return 'post_only';\n }\n throw new Error(`Unknown order type: ${order_type}`);\n };\n\n // 交易数量，表示要购买或者出售的数量。\n // 当币币/币币杠杆以限价买入和卖出时，指交易货币数量。\n // 当币币杠杆以市价买入时，指计价货币的数量。\n // 当币币杠杆以市价卖出时，指交易货币的数量。\n // 对于币币市价单，单位由 tgtCcy 决定\n // 当交割、永续、期权买入和卖出时，指合约张数。\n const mapOrderVolumeToSz = async (order: IOrder) => {\n if (instType === 'SWAP') {\n return order.volume;\n }\n if (instType === 'MARGIN') {\n if (order.order_type === 'LIMIT') {\n return order.volume;\n }\n if (order.order_type === 'MAKER') {\n return order.volume;\n }\n if (order.order_type === 'MARKET') {\n if (order.order_direction === 'OPEN_SHORT' || order.order_direction === 'CLOSE_LONG') {\n return order.volume;\n }\n //\n const price = await firstValueFrom(\n spotMarketTickers$.pipe(\n map((x) =>\n mapOrderDirectionToPosSide(order.order_direction) === 'long'\n ? +x[instId].askPx\n : +x[instId].bidPx,\n ),\n ),\n );\n if (!price) {\n throw new Error(`invalid tick: ${price}`);\n }\n console.info(formatTime(Date.now()), 'SubmitOrder', 'price', price);\n const theProduct = await firstValueFrom(\n mapProductIdToMarginProduct$.pipe(map((x) => x.get(order.product_id))),\n );\n if (!theProduct) {\n throw new Error(`Unknown product: ${order.position_id}`);\n }\n return roundToStep(order.volume * price, theProduct.volume_step!);\n }\n\n return 0;\n }\n\n if (instType === 'SPOT') {\n return order.volume;\n }\n\n throw new Error(`Unknown instType: ${instType}`);\n };\n\n const params = {\n instId,\n tdMode: instType === 'SPOT' ? 'cash' : 'cross',\n side: mapOrderDirectionToSide(order.order_direction),\n posSide:\n instType === 'MARGIN' || instType === 'SPOT'\n ? 'net'\n : mapOrderDirectionToPosSide(order.order_direction),\n ordType: mapOrderTypeToOrdType(order.order_type),\n sz: (await mapOrderVolumeToSz(order)).toString(),\n tgtCcy: instType === 'SPOT' && order.order_type === 'MARKET' ? 'base_ccy' : undefined,\n reduceOnly:\n instType === 'MARGIN' && ['CLOSE_LONG', 'CLOSE_SHORT'].includes(order.order_direction ?? '')\n ? 'true'\n : undefined,\n px:\n order.order_type === 'LIMIT' || order.order_type === 'MAKER' ? order.price!.toString() : undefined,\n ccy: instType === 'MARGIN' ? 'USDT' : undefined,\n };\n console.info(formatTime(Date.now()), 'SubmitOrder', 'params', JSON.stringify(params));\n const res = await client.postTradeOrder(params);\n if (res.code === '0' && res.data?.[0]?.ordId) {\n return {\n res: {\n code: 0,\n message: 'OK',\n data: {\n order_id: res.data[0].ordId,\n },\n },\n };\n }\n return { res: { code: +res.code, message: res.msg } };\n },\n );\n\n terminal.server.provideService<IOrder>(\n 'ModifyOrder',\n {\n required: ['account_id'],\n properties: {\n account_id: { const: tradingAccountId },\n },\n },\n async (msg) => {\n console.info(formatTime(Date.now()), 'ModifyOrder', JSON.stringify(msg));\n const order = msg.req;\n const [instType, instId] = decodePath(order.product_id);\n\n const params: any = {\n instId,\n ordId: order.order_id, // 使用现有订单ID\n };\n\n // 如果需要修改价格\n if (order.price !== undefined) {\n params.newPx = order.price.toString();\n }\n\n // 如果需要修改数量\n if (order.volume !== undefined) {\n // 处理数量修改，类似于 SubmitOrder 中的逻辑\n if (instType === 'SWAP') {\n params.newSz = order.volume.toString();\n } else if (instType === 'SPOT') {\n params.newSz = order.volume.toString();\n } else if (instType === 'MARGIN') {\n if (order.order_type === 'LIMIT') {\n params.newSz = order.volume.toString();\n }\n if (order.order_type === 'MAKER') {\n params.newSz = order.volume.toString();\n }\n if (order.order_type === 'MARKET') {\n // 对于市价单，可能需要根据当前价格计算新的数量\n const price = await firstValueFrom(\n spotMarketTickers$.pipe(\n map((x) =>\n order.order_direction === 'OPEN_LONG' || order.order_direction === 'CLOSE_SHORT'\n ? +x[instId].askPx\n : +x[instId].bidPx,\n ),\n ),\n );\n if (!price) {\n throw new Error(`invalid tick: ${price}`);\n }\n console.info(formatTime(Date.now()), 'ModifyOrder', 'price', price);\n const theProduct = await firstValueFrom(\n mapProductIdToMarginProduct$.pipe(map((x) => x.get(order.product_id))),\n );\n if (!theProduct) {\n throw new Error(`Unknown product: ${order.position_id}`);\n }\n params.newSz = roundToStep(order.volume * price, theProduct.volume_step!).toString();\n }\n } else {\n throw new Error(`Unknown instType: ${instType}`);\n }\n }\n\n console.info(formatTime(Date.now()), 'ModifyOrder', 'params', JSON.stringify(params));\n\n const res = await client.postTradeAmendOrder(params);\n if (res.code !== '0') {\n return {\n res: {\n code: +res.code,\n message: res.msg,\n },\n };\n }\n\n return { res: { code: 0, message: 'OK' } };\n },\n );\n\n terminal.server.provideService<IOrder>(\n 'CancelOrder',\n {\n required: ['account_id'],\n properties: {\n account_id: { const: tradingAccountId },\n },\n },\n (msg) =>\n defer(async () => {\n const order = msg.req;\n const [instType, instId] = decodePath(order.product_id);\n const res = await client.postTradeCancelOrder({\n instId,\n ordId: order.order_id,\n });\n if (res.code !== '0') {\n return { res: { code: +res.code, message: res.msg } };\n }\n return { res: { code: 0, message: 'OK' } };\n }),\n );\n}).subscribe();\n"]}
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+
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{ IOrder } from '@yuants/data-order';\nimport { Terminal } from '@yuants/protocol';\nimport { addAccountTransferAddress } from '@yuants/transfer';\nimport { decodePath, encodePath, formatTime, roundToStep } from '@yuants/utils';\nimport { defer, filter, firstValueFrom, from, map, mergeMap, repeat, retry, shareReplay } from 'rxjs';\nimport { accountConfig$, tradingAccountId$ } from './account';\nimport { client } from './api';\nimport { productService } from './product';\nimport { spotMarketTickers$ } from './quote';\n\nconst terminal = Terminal.fromNodeEnv();\n\nconsole.info(formatTime(Date.now()), 'Terminal', terminal.terminalInfo.terminal_id);\n\nconst resOfAssetCurrencies = defer(() => client.getAssetCurrencies()).pipe(\n repeat({ delay: 3600_000 }),\n retry({ delay: 10_000 }),\n shareReplay(1),\n);\n\nresOfAssetCurrencies.subscribe(); // make it hot\n\nconst memoizeMap = <T extends (...params: any[]) => any>(fn: T): T => {\n const cache: Record<string, any> = {};\n return ((...params: any[]) => (cache[encodePath(params)] ??= fn(...params))) as T;\n};\n\nconst fundingRate$ = memoizeMap((product_id: string) =>\n defer(() => client.getFundingRate({ instId: decodePath(product_id)[1] })).pipe(\n mergeMap((x) => x.data),\n repeat({ delay: 5000 }),\n retry({ delay: 5000 }),\n shareReplay(1),\n ),\n);\n\nconst interestRateLoanQuota$ = defer(() => client.getInterestRateLoanQuota()).pipe(\n repeat({ delay: 60_000 }),\n retry({ delay: 60_000 }),\n shareReplay(1),\n);\n\nconst interestRateByCurrency$ = memoizeMap((currency: string) =>\n interestRateLoanQuota$.pipe(\n mergeMap((x) =>\n from(x.data || []).pipe(\n mergeMap((x) => x.basic),\n filter((x) => x.ccy === currency),\n map((x) => +x.rate),\n ),\n ),\n shareReplay(1),\n ),\n);\n\n// provideTicks(terminal, 'OKX', (product_id) => {\n// const [instType, instId] = decodePath(product_id);\n// if (instType === 'SWAP') {\n// return defer(async () => {\n// const products = await firstValueFrom(usdtSwapProducts$);\n// const theProduct = products.find((x) => x.product_id === product_id);\n// if (!theProduct) throw `No Found ProductID ${product_id}`;\n// const theTicker$ = swapMarketTickers$.pipe(\n// map((x) => x[instId]),\n// shareReplay(1),\n// );\n// return [of(theProduct), theTicker$, fundingRate$(product_id), swapOpenInterest$] as const;\n// }).pipe(\n// catchError(() => EMPTY),\n// mergeMap((x) =>\n// combineLatest(x).pipe(\n// map(([theProduct, ticker, fundingRate, swapOpenInterest]): ITick => {\n// return {\n// datasource_id: 'OKX',\n// product_id,\n// updated_at: Date.now(),\n// settlement_scheduled_at: +fundingRate.fundingTime,\n// price: +ticker.last,\n// ask: +ticker.askPx,\n// bid: +ticker.bidPx,\n// volume: +ticker.lastSz,\n// interest_rate_for_long: -+fundingRate.fundingRate,\n// interest_rate_for_short: +fundingRate.fundingRate,\n// open_interest: swapOpenInterest.get(instId),\n// };\n// }),\n// ),\n// ),\n// );\n// }\n// if (instType === 'MARGIN') {\n// return defer(async () => {\n// const products = await firstValueFrom(marginProducts$);\n// const theProduct = products.find((x) => x.product_id === product_id);\n// if (!theProduct) throw `No Found ProductID ${product_id}`;\n// const theTicker$ = spotMarketTickers$.pipe(\n// map((x) => x[instId]),\n// shareReplay(1),\n// );\n// return [\n// of(theProduct),\n// theTicker$,\n// interestRateByCurrency$(theProduct.base_currency!),\n// interestRateByCurrency$(theProduct.quote_currency!),\n// ] as const;\n// }).pipe(\n// catchError(() => EMPTY),\n// mergeMap((x) =>\n// combineLatest(x).pipe(\n// map(\n// ([theProduct, ticker, interestRateForBase, interestRateForQuote]): ITick => ({\n// datasource_id: 'OKX',\n// product_id,\n// updated_at: Date.now(),\n// price: +ticker.last,\n// volume: +ticker.lastSz,\n// // 在下一个整点扣除利息 See 如何计算利息 https://www.okx.com/zh-hans/help/how-to-calculate-borrowing-interest\n// settlement_scheduled_at: new Date().setMinutes(0, 0, 0) + 3600_000,\n// interest_rate_for_long: -interestRateForQuote / 24,\n// interest_rate_for_short: -interestRateForBase / 24,\n// }),\n// ),\n// ),\n// ),\n// );\n// }\n// return EMPTY;\n// });\n\ndefer(async () => {\n const account_config = await firstValueFrom(accountConfig$);\n console.info(formatTime(Date.now()), 'AccountConfig', JSON.stringify(account_config));\n const { mainUid, uid } = account_config.data[0];\n const isMainAccount = mainUid === uid;\n\n const TRADING_ACCOUNT_ID = `okx/${uid}/trading`;\n const FUNDING_ACCOUNT_ID = `okx/${uid}/funding/USDT`;\n const EARNING_ACCOUNT_ID = `okx/${uid}/earning/USDT`;\n\n // BLOCK_CHAIN: only available for main account\n if (isMainAccount) {\n const depositAddressRes = await client.getAssetDepositAddress({ ccy: 'USDT' });\n console.info(formatTime(Date.now()), 'DepositAddress', JSON.stringify(depositAddressRes.data));\n const addresses = depositAddressRes.data.filter((v) => v.chain === 'USDT-TRC20' && v.to === '6');\n for (const address of addresses) {\n addAccountTransferAddress({\n terminal,\n account_id: FUNDING_ACCOUNT_ID,\n network_id: 'TRC20',\n currency: 'USDT',\n address: address.addr,\n onApply: {\n INIT: async (order) => {\n if (\n !order.current_amount ||\n order.current_amount < 3 // 最小提币额度\n ) {\n return { state: 'ERROR', message: 'Amount too small' };\n }\n const res = await firstValueFrom(resOfAssetCurrencies);\n const theRes = res.data?.find((x) => x.ccy === 'USDT' && x.chain === 'USDT-TRC20');\n const _fee = theRes?.minFee;\n if (!_fee) return { state: 'ERROR', message: 'Currency Info not found, cannot get fee' };\n const fee = +_fee;\n const amt = Math.floor(order.current_amount - fee);\n const transferResult = await client.postAssetWithdrawal({\n amt: `${amt}`,\n ccy: 'USDT',\n chain: 'USDT-TRC20',\n fee: `${fee}`,\n dest: '4', // 链上提币\n toAddr: order.current_rx_address!,\n });\n if (transferResult.code !== '0') {\n return { state: 'INIT', message: transferResult.msg };\n }\n const wdId = transferResult.data[0]?.wdId;\n return { state: 'AWAIT_TX_ID', context: wdId };\n },\n AWAIT_TX_ID: async (transferOrder) => {\n const wdId = transferOrder.current_tx_context;\n const withdrawalHistory = await client.getAssetWithdrawalHistory({ wdId });\n const txId = withdrawalHistory.data?.[0]?.txId;\n if (!txId) {\n return { state: 'AWAIT_TX_ID', context: wdId };\n }\n return { state: 'COMPLETE', transaction_id: txId };\n },\n },\n onEval: async (transferOrder) => {\n const checkResult = await client.getAssetDepositHistory({\n ccy: 'USDT',\n txId: transferOrder.current_transaction_id,\n type: '4',\n });\n\n if (checkResult.code !== '0') {\n return {\n state: 'INIT',\n };\n }\n\n if (checkResult.data[0].state !== '2') {\n return { state: 'PENDING' };\n }\n const received_amount = +checkResult.data[0].amt;\n return { state: 'COMPLETE', received_amount };\n },\n });\n }\n }\n\n // Funding-Trading\n {\n const FUNDING_TRADING_NETWORK_ID = `OKX/${uid}/Funding-Trading`;\n addAccountTransferAddress({\n terminal,\n account_id: FUNDING_ACCOUNT_ID,\n network_id: FUNDING_TRADING_NETWORK_ID,\n currency: 'USDT',\n address: 'funding',\n onApply: {\n INIT: async (order) => {\n const transferResult = await client.postAssetTransfer({\n type: '0',\n ccy: 'USDT',\n amt: `${order.current_amount}`,\n from: '6',\n to: '18',\n });\n if (transferResult.code !== '0') {\n return { state: 'INIT', message: transferResult.msg };\n }\n const transaction_id = transferResult.data[0].transId;\n return { state: 'COMPLETE', transaction_id };\n },\n },\n onEval: async (transferOrder) => {\n return { state: 'COMPLETE', received_amount: transferOrder.current_amount };\n },\n });\n addAccountTransferAddress({\n terminal,\n account_id: TRADING_ACCOUNT_ID,\n network_id: FUNDING_TRADING_NETWORK_ID,\n currency: 'USDT',\n address: 'trading',\n onApply: {\n INIT: async (order) => {\n const transferResult = await client.postAssetTransfer({\n type: '0',\n ccy: order.currency,\n amt: `${order.current_amount}`,\n from: '18',\n to: '6',\n });\n if (transferResult.code !== '0') {\n return { state: 'INIT', message: transferResult.msg };\n }\n const transaction_id = transferResult.data[0].transId;\n return { state: 'COMPLETE', transaction_id };\n },\n },\n onEval: async (transferOrder) => {\n return { state: 'COMPLETE', received_amount: transferOrder.current_amount };\n },\n });\n }\n // Funding-Earning\n {\n const FUNDING_EARNING_NETWORK_ID = `OKX/${uid}/Funding-Earning`;\n addAccountTransferAddress({\n terminal,\n account_id: FUNDING_ACCOUNT_ID,\n network_id: FUNDING_EARNING_NETWORK_ID,\n currency: 'USDT',\n address: 'funding',\n onApply: {\n INIT: async (order) => {\n const transferResult = await client.postFinanceSavingsPurchaseRedempt({\n ccy: 'USDT',\n amt: `${order.current_amount}`,\n side: 'purchase',\n rate: '0.01',\n });\n if (transferResult.code !== '0') {\n return { state: 'INIT', message: transferResult.msg };\n }\n return { state: 'COMPLETE', transaction_id: 'ok' };\n },\n },\n onEval: async (transferOrder) => {\n return { state: 'COMPLETE', received_amount: transferOrder.current_amount };\n },\n });\n addAccountTransferAddress({\n terminal,\n account_id: EARNING_ACCOUNT_ID,\n network_id: FUNDING_EARNING_NETWORK_ID,\n currency: 'USDT',\n address: 'earning',\n onApply: {\n INIT: async (order) => {\n const transferResult = await client.postFinanceSavingsPurchaseRedempt({\n ccy: 'USDT',\n amt: `${order.current_amount}`,\n side: 'redempt',\n rate: '0.01',\n });\n if (transferResult.code !== '0') {\n return { state: 'INIT', message: transferResult.msg };\n }\n return { state: 'COMPLETE', transaction_id: 'ok' };\n },\n },\n onEval: async (transferOrder) => {\n return { state: 'COMPLETE', received_amount: transferOrder.current_amount };\n },\n });\n }\n\n // SubAccount\n {\n const getSubAccountNetworkId = (subUid: string) => `OKX/${mainUid}/SubAccount/${subUid}`;\n if (isMainAccount) {\n const subAcctsRes = await client.getSubAccountList();\n for (const item of subAcctsRes.data || []) {\n addAccountTransferAddress({\n terminal,\n account_id: FUNDING_ACCOUNT_ID,\n network_id: getSubAccountNetworkId(item.uid),\n currency: 'USDT',\n address: 'main',\n onApply: {\n INIT: async (order) => {\n const transferResult = await client.postAssetTransfer({\n type: '1',\n ccy: 'USDT',\n amt: `${order.current_amount}`,\n from: '6',\n to: '6',\n subAcct: item.subAcct,\n });\n if (transferResult.code !== '0') {\n return { state: 'INIT', message: transferResult.msg };\n }\n const transaction_id = transferResult.data[0].transId;\n return { state: 'COMPLETE', transaction_id };\n },\n },\n onEval: async (order) => {\n // ISSUE: OKX API Issue: transId is incorrect or transId does not match with ‘ type’\n // const checkResult = await client.getAssetTransferState({ transId: order.current_transaction_id });\n // const received_amount = checkResult?.data?.[0]?.amt;\n // if (!received_amount) {\n // return { state: 'INIT', message: checkResult.msg };\n // }\n // return { state: 'COMPLETE', received_amount: +received_amount };\n\n return { state: 'COMPLETE', received_amount: order.current_amount };\n },\n });\n }\n }\n // SubAccount API\n else {\n addAccountTransferAddress({\n terminal,\n account_id: FUNDING_ACCOUNT_ID,\n network_id: getSubAccountNetworkId(uid),\n currency: 'USDT',\n address: 'sub',\n onApply: {\n INIT: async (order) => {\n const transferResult = await client.postAssetTransfer({\n type: '3',\n ccy: 'USDT',\n amt: `${order.current_amount}`,\n from: '6',\n to: '6',\n });\n if (transferResult.code !== '0') {\n return { state: 'INIT', message: transferResult.msg };\n }\n const transaction_id = transferResult.data[0].transId;\n return { state: 'COMPLETE', transaction_id };\n },\n },\n onEval: async (order) => {\n // ISSUE: OKX API Issue: transId is incorrect or transId does not match with ‘ type’\n // const checkResult = await client.getAssetTransferState({ transId: order.current_transaction_id });\n // const received_amount = checkResult?.data?.[0]?.amt;\n // if (!received_amount) {\n // return { state: 'INIT', message: checkResult.msg };\n // }\n // return { state: 'COMPLETE', received_amount: +received_amount };\n return { state: 'COMPLETE', received_amount: order.current_amount };\n },\n });\n }\n }\n}).subscribe();\n\ndefer(async () => {\n const tradingAccountId = await firstValueFrom(tradingAccountId$);\n terminal.server.provideService<IOrder, { order_id?: string }>(\n 'SubmitOrder',\n {\n required: ['account_id'],\n properties: {\n account_id: { const: tradingAccountId },\n },\n },\n async (msg) => {\n console.info(formatTime(Date.now()), 'SubmitOrder', JSON.stringify(msg));\n const order = msg.req;\n const [instType, instId] = decodePath(order.product_id);\n\n const mapOrderDirectionToSide = (direction?: string) => {\n switch (direction) {\n case 'OPEN_LONG':\n case 'CLOSE_SHORT':\n return 'buy';\n case 'OPEN_SHORT':\n case 'CLOSE_LONG':\n return 'sell';\n }\n throw new Error(`Unknown direction: ${direction}`);\n };\n const mapOrderDirectionToPosSide = (direction?: string) => {\n switch (direction) {\n case 'OPEN_LONG':\n case 'CLOSE_LONG':\n return 'long';\n case 'CLOSE_SHORT':\n case 'OPEN_SHORT':\n return 'short';\n }\n throw new Error(`Unknown direction: ${direction}`);\n };\n const mapOrderTypeToOrdType = (order_type?: string) => {\n switch (order_type) {\n case 'LIMIT':\n return 'limit';\n case 'MARKET':\n return 'market';\n case 'MAKER':\n return 'post_only';\n }\n throw new Error(`Unknown order type: ${order_type}`);\n };\n\n // 交易数量，表示要购买或者出售的数量。\n // 当币币/币币杠杆以限价买入和卖出时，指交易货币数量。\n // 当币币杠杆以市价买入时，指计价货币的数量。\n // 当币币杠杆以市价卖出时，指交易货币的数量。\n // 对于币币市价单，单位由 tgtCcy 决定\n // 当交割、永续、期权买入和卖出时，指合约张数。\n const mapOrderVolumeToSz = async (order: IOrder) => {\n if (instType === 'SWAP') {\n return order.volume;\n }\n if (instType === 'MARGIN') {\n if (order.order_type === 'LIMIT') {\n return order.volume;\n }\n if (order.order_type === 'MAKER') {\n return order.volume;\n }\n if (order.order_type === 'MARKET') {\n if (order.order_direction === 'OPEN_SHORT' || order.order_direction === 'CLOSE_LONG') {\n return order.volume;\n }\n //\n const price = await firstValueFrom(\n spotMarketTickers$.pipe(\n map((x) =>\n mapOrderDirectionToPosSide(order.order_direction) === 'long'\n ? +x[instId].askPx\n : +x[instId].bidPx,\n ),\n ),\n );\n if (!price) {\n throw new Error(`invalid tick: ${price}`);\n }\n console.info(formatTime(Date.now()), 'SubmitOrder', 'price', price);\n const theProduct = await firstValueFrom(\n productService.mapProductIdToProduct$.pipe(map((x) => x.get(order.product_id))),\n );\n if (!theProduct) {\n throw new Error(`Unknown product: ${order.position_id}`);\n }\n return roundToStep(order.volume * price, theProduct.volume_step!);\n }\n\n return 0;\n }\n\n if (instType === 'SPOT') {\n return order.volume;\n }\n\n throw new Error(`Unknown instType: ${instType}`);\n };\n\n const params = {\n instId,\n tdMode: instType === 'SPOT' ? 'cash' : 'cross',\n side: mapOrderDirectionToSide(order.order_direction),\n posSide:\n instType === 'MARGIN' || instType === 'SPOT'\n ? 'net'\n : mapOrderDirectionToPosSide(order.order_direction),\n ordType: mapOrderTypeToOrdType(order.order_type),\n sz: (await mapOrderVolumeToSz(order)).toString(),\n tgtCcy: instType === 'SPOT' && order.order_type === 'MARKET' ? 'base_ccy' : undefined,\n reduceOnly:\n instType === 'MARGIN' && ['CLOSE_LONG', 'CLOSE_SHORT'].includes(order.order_direction ?? '')\n ? 'true'\n : undefined,\n px:\n order.order_type === 'LIMIT' || order.order_type === 'MAKER' ? order.price!.toString() : undefined,\n ccy: instType === 'MARGIN' ? 'USDT' : undefined,\n };\n console.info(formatTime(Date.now()), 'SubmitOrder', 'params', JSON.stringify(params));\n const res = await client.postTradeOrder(params);\n if (res.code === '0' && res.data?.[0]?.ordId) {\n return {\n res: {\n code: 0,\n message: 'OK',\n data: {\n order_id: res.data[0].ordId,\n },\n },\n };\n }\n return { res: { code: +res.code, message: res.msg } };\n },\n );\n\n terminal.server.provideService<IOrder>(\n 'ModifyOrder',\n {\n required: ['account_id'],\n properties: {\n account_id: { const: tradingAccountId },\n },\n },\n async (msg) => {\n console.info(formatTime(Date.now()), 'ModifyOrder', JSON.stringify(msg));\n const order = msg.req;\n const [instType, instId] = decodePath(order.product_id);\n\n const params: any = {\n instId,\n ordId: order.order_id, // 使用现有订单ID\n };\n\n // 如果需要修改价格\n if (order.price !== undefined) {\n params.newPx = order.price.toString();\n }\n\n // 如果需要修改数量\n if (order.volume !== undefined) {\n // 处理数量修改，类似于 SubmitOrder 中的逻辑\n if (instType === 'SWAP') {\n params.newSz = order.volume.toString();\n } else if (instType === 'SPOT') {\n params.newSz = order.volume.toString();\n } else if (instType === 'MARGIN') {\n if (order.order_type === 'LIMIT') {\n params.newSz = order.volume.toString();\n }\n if (order.order_type === 'MAKER') {\n params.newSz = order.volume.toString();\n }\n if (order.order_type === 'MARKET') {\n // 对于市价单，可能需要根据当前价格计算新的数量\n const price = await firstValueFrom(\n spotMarketTickers$.pipe(\n map((x) =>\n order.order_direction === 'OPEN_LONG' || order.order_direction === 'CLOSE_SHORT'\n ? +x[instId].askPx\n : +x[instId].bidPx,\n ),\n ),\n );\n if (!price) {\n throw new Error(`invalid tick: ${price}`);\n }\n console.info(formatTime(Date.now()), 'ModifyOrder', 'price', price);\n const theProduct = await firstValueFrom(\n productService.mapProductIdToProduct$.pipe(map((x) => x.get(order.product_id))),\n );\n if (!theProduct) {\n throw new Error(`Unknown product: ${order.position_id}`);\n }\n params.newSz = roundToStep(order.volume * price, theProduct.volume_step!).toString();\n }\n } else {\n throw new Error(`Unknown instType: ${instType}`);\n }\n }\n\n console.info(formatTime(Date.now()), 'ModifyOrder', 'params', JSON.stringify(params));\n\n const res = await client.postTradeAmendOrder(params);\n if (res.code !== '0') {\n return {\n res: {\n code: +res.code,\n message: res.msg,\n },\n };\n }\n\n return { res: { code: 0, message: 'OK' } };\n },\n );\n\n terminal.server.provideService<IOrder>(\n 'CancelOrder',\n {\n required: ['account_id'],\n properties: {\n account_id: { const: tradingAccountId },\n },\n },\n (msg) =>\n defer(async () => {\n const order = msg.req;\n const [instType, instId] = decodePath(order.product_id);\n const res = await client.postTradeCancelOrder({\n instId,\n ordId: order.order_id,\n });\n if (res.code !== '0') {\n return { res: { code: +res.code, message: res.msg } };\n }\n return { res: { code: 0, message: 'OK' } };\n }),\n );\n}).subscribe();\n"]}
|
package/dist/ohlc.js
CHANGED
|
@@ -10,6 +10,7 @@ var __asyncGenerator = (this && this.__asyncGenerator) || function (thisArg, _ar
|
|
|
10
10
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function reject(value) { resume("throw", value); }
|
|
11
11
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function settle(f, v) { if (f(v), q.shift(), q.length) resume(q[0][0], q[0][1]); }
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12
12
|
};
|
|
13
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+
import { provideOHLCDurationService } from '@yuants/data-ohlc';
|
|
13
14
|
import { createSeriesProvider } from '@yuants/data-series';
|
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14
15
|
import { Terminal } from '@yuants/protocol';
|
|
15
16
|
import { writeToSQL } from '@yuants/sql';
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|
@@ -157,4 +158,7 @@ Terminal.fromNodeEnv().channel.publishChannel('ohlc', { pattern: `^OKX/` }, (ser
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|
|
157
158
|
terminal: Terminal.fromNodeEnv(),
|
|
158
159
|
}));
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|
159
160
|
});
|
|
161
|
+
// 提供 OKX 的K线周期服务
|
|
162
|
+
provideOHLCDurationService(Terminal.fromNodeEnv(), 'OKX', // datasource_id
|
|
163
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+
() => Object.keys(DURATION_TO_OKX_BAR_TYPE));
|
|
160
164
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//# sourceMappingURL=ohlc.js.map
|
package/dist/ohlc.js.map
CHANGED
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@@ -1 +1 @@
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|
1
|
-
{"version":3,"file":"ohlc.js","sourceRoot":"","sources":["../src/ohlc.ts"],"names":[],"mappings":";;;;;;;;;;;;
|
|
1
|
+
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{ IOHLC, provideOHLCDurationService } 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\n// 提供 OKX 的K线周期服务\nprovideOHLCDurationService(\n Terminal.fromNodeEnv(),\n 'OKX', // datasource_id\n () => Object.keys(DURATION_TO_OKX_BAR_TYPE),\n);\n"]}
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