@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/product.js
CHANGED
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import {
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import { provideQueryProductsService } from '@yuants/data-product';
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import { Terminal } from '@yuants/protocol';
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import {
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import { defer, filter, from, map, mergeMap, repeat, retry, shareReplay, Subject, tap, toArray } from 'rxjs';
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import { encodePath } from '@yuants/utils';
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import { client } from './api';
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const
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export const
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}
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const terminal = Terminal.fromNodeEnv();
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// Provide QueryProducts service with the new design
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export const productService = provideQueryProductsService(terminal, 'OKX', async (req) => {
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const products = [];
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// Get all instrument types in parallel
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const [swapInstruments, marginInstruments, spotInstruments] = await Promise.all([
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client.getInstruments({ instType: 'SWAP' }),
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client.getInstruments({ instType: 'MARGIN' }),
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client.getInstruments({ instType: 'SPOT' }),
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]);
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// Get USDT swap products
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for (const instrument of swapInstruments.data || []) {
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if (instrument.ctType === 'linear' && instrument.settleCcy === 'USDT' && +instrument.lever > 0) {
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products.push({
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datasource_id: 'OKX',
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product_id: encodePath(instrument.instType, instrument.instId),
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name: `${instrument.ctValCcy}-${instrument.settleCcy}-PERP`,
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base_currency: instrument.ctValCcy,
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quote_currency: instrument.settleCcy,
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value_scale: +instrument.ctVal,
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volume_step: +instrument.lotSz,
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price_step: +instrument.tickSz,
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margin_rate: 1 / +instrument.lever,
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value_scale_unit: '',
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value_based_cost: 0,
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volume_based_cost: 0,
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max_position: 0,
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max_volume: 0,
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allow_long: true,
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allow_short: true,
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market_id: 'OKX',
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no_interest_rate: false,
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});
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}
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}
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// Get margin products
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for (const instrument of marginInstruments.data || []) {
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if (+instrument.lever > 0) {
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products.push({
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datasource_id: 'OKX',
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product_id: encodePath(instrument.instType, instrument.instId),
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base_currency: instrument.baseCcy,
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quote_currency: instrument.quoteCcy,
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value_scale: 1,
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volume_step: +instrument.lotSz,
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price_step: +instrument.tickSz,
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margin_rate: 1 / +instrument.lever,
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name: `${instrument.baseCcy}-${instrument.quoteCcy}-MARGIN`,
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value_scale_unit: '',
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value_based_cost: 0,
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volume_based_cost: 0,
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max_position: 0,
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max_volume: 0,
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allow_long: true,
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allow_short: true,
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market_id: 'OKX',
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no_interest_rate: false,
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});
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}
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}
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// Get spot products
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for (const instrument of spotInstruments.data || []) {
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products.push({
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datasource_id: 'OKX',
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product_id: encodePath(instrument.instType, instrument.instId),
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base_currency: instrument.baseCcy,
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quote_currency: instrument.quoteCcy,
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value_scale: 1,
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volume_step: +instrument.lotSz,
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price_step: +instrument.tickSz,
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margin_rate: 1,
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name: `${instrument.baseCcy}-${instrument.quoteCcy}-SPOT`,
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value_scale_unit: '',
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value_based_cost: 0,
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volume_based_cost: 0,
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max_position: 0,
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max_volume: 0,
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allow_long: true,
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allow_short: true,
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market_id: 'OKX',
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no_interest_rate: true,
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});
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}
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return products;
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}, {
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auto_refresh_interval: 3600000,
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});
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export const mapProductIdToUsdtSwapProduct$ = usdtSwapProducts$.pipe(map((x) => new Map(x.map((x) => [x.product_id, x]))), shareReplay(1));
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//# sourceMappingURL=product.js.map
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package/dist/product.js.map
CHANGED
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{"version":3,"file":"product.js","sourceRoot":"","sources":["../src/product.ts"],"names":[],"mappings":"AAAA,OAAO,
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{"version":3,"file":"product.js","sourceRoot":"","sources":["../src/product.ts"],"names":[],"mappings":"AAAA,OAAO,EAAmC,2BAA2B,EAAE,MAAM,sBAAsB,CAAC;AACpG,OAAO,EAAE,QAAQ,EAAE,MAAM,kBAAkB,CAAC;AAC5C,OAAO,EAAE,UAAU,EAAE,MAAM,eAAe,CAAC;AAC3C,OAAO,EAAE,MAAM,EAAE,MAAM,OAAO,CAAC;AAE/B,MAAM,QAAQ,GAAG,QAAQ,CAAC,WAAW,EAAE,CAAC;AAExC,oDAAoD;AACpD,MAAM,CAAC,MAAM,cAAc,GAAG,2BAA2B,CACvD,QAAQ,EACR,KAAK,EACL,KAAK,EAAE,GAA0B,EAAuB,EAAE;IACxD,MAAM,QAAQ,GAAe,EAAE,CAAC;IAEhC,uCAAuC;IACvC,MAAM,CAAC,eAAe,EAAE,iBAAiB,EAAE,eAAe,CAAC,GAAG,MAAM,OAAO,CAAC,GAAG,CAAC;QAC9E,MAAM,CAAC,cAAc,CAAC,EAAE,QAAQ,EAAE,MAAM,EAAE,CAAC;QAC3C,MAAM,CAAC,cAAc,CAAC,EAAE,QAAQ,EAAE,QAAQ,EAAE,CAAC;QAC7C,MAAM,CAAC,cAAc,CAAC,EAAE,QAAQ,EAAE,MAAM,EAAE,CAAC;KAC5C,CAAC,CAAC;IAEH,yBAAyB;IACzB,KAAK,MAAM,UAAU,IAAI,eAAe,CAAC,IAAI,IAAI,EAAE,EAAE;QACnD,IAAI,UAAU,CAAC,MAAM,KAAK,QAAQ,IAAI,UAAU,CAAC,SAAS,KAAK,MAAM,IAAI,CAAC,UAAU,CAAC,KAAK,GAAG,CAAC,EAAE;YAC9F,QAAQ,CAAC,IAAI,CAAC;gBACZ,aAAa,EAAE,KAAK;gBACpB,UAAU,EAAE,UAAU,CAAC,UAAU,CAAC,QAAQ,EAAE,UAAU,CAAC,MAAM,CAAC;gBAC9D,IAAI,EAAE,GAAG,UAAU,CAAC,QAAQ,IAAI,UAAU,CAAC,SAAS,OAAO;gBAC3D,aAAa,EAAE,UAAU,CAAC,QAAQ;gBAClC,cAAc,EAAE,UAAU,CAAC,SAAS;gBACpC,WAAW,EAAE,CAAC,UAAU,CAAC,KAAK;gBAC9B,WAAW,EAAE,CAAC,UAAU,CAAC,KAAK;gBAC9B,UAAU,EAAE,CAAC,UAAU,CAAC,MAAM;gBAC9B,WAAW,EAAE,CAAC,GAAG,CAAC,UAAU,CAAC,KAAK;gBAClC,gBAAgB,EAAE,EAAE;gBACpB,gBAAgB,EAAE,CAAC;gBACnB,iBAAiB,EAAE,CAAC;gBACpB,YAAY,EAAE,CAAC;gBACf,UAAU,EAAE,CAAC;gBACb,UAAU,EAAE,IAAI;gBAChB,WAAW,EAAE,IAAI;gBACjB,SAAS,EAAE,KAAK;gBAChB,gBAAgB,EAAE,KAAK;aACxB,CAAC,CAAC;SACJ;KACF;IAED,sBAAsB;IACtB,KAAK,MAAM,UAAU,IAAI,iBAAiB,CAAC,IAAI,IAAI,EAAE,EAAE;QACrD,IAAI,CAAC,UAAU,CAAC,KAAK,GAAG,CAAC,EAAE;YACzB,QAAQ,CAAC,IAAI,CAAC;gBACZ,aAAa,EAAE,KAAK;gBACpB,UAAU,EAAE,UAAU,CAAC,UAAU,CAAC,QAAQ,EAAE,UAAU,CAAC,MAAM,CAAC;gBAC9D,aAAa,EAAE,UAAU,CAAC,OAAO;gBACjC,cAAc,EAAE,UAAU,CAAC,QAAQ;gBACnC,WAAW,EAAE,CAAC;gBACd,WAAW,EAAE,CAAC,UAAU,CAAC,KAAK;gBAC9B,UAAU,EAAE,CAAC,UAAU,CAAC,MAAM;gBAC9B,WAAW,EAAE,CAAC,GAAG,CAAC,UAAU,CAAC,KAAK;gBAClC,IAAI,EAAE,GAAG,UAAU,CAAC,OAAO,IAAI,UAAU,CAAC,QAAQ,SAAS;gBAC3D,gBAAgB,EAAE,EAAE;gBACpB,gBAAgB,EAAE,CAAC;gBACnB,iBAAiB,EAAE,CAAC;gBACpB,YAAY,EAAE,CAAC;gBACf,UAAU,EAAE,CAAC;gBACb,UAAU,EAAE,IAAI;gBAChB,WAAW,EAAE,IAAI;gBACjB,SAAS,EAAE,KAAK;gBAChB,gBAAgB,EAAE,KAAK;aACxB,CAAC,CAAC;SACJ;KACF;IAED,oBAAoB;IACpB,KAAK,MAAM,UAAU,IAAI,eAAe,CAAC,IAAI,IAAI,EAAE,EAAE;QACnD,QAAQ,CAAC,IAAI,CAAC;YACZ,aAAa,EAAE,KAAK;YACpB,UAAU,EAAE,UAAU,CAAC,UAAU,CAAC,QAAQ,EAAE,UAAU,CAAC,MAAM,CAAC;YAC9D,aAAa,EAAE,UAAU,CAAC,OAAO;YACjC,cAAc,EAAE,UAAU,CAAC,QAAQ;YACnC,WAAW,EAAE,CAAC;YACd,WAAW,EAAE,CAAC,UAAU,CAAC,KAAK;YAC9B,UAAU,EAAE,CAAC,UAAU,CAAC,MAAM;YAC9B,WAAW,EAAE,CAAC;YACd,IAAI,EAAE,GAAG,UAAU,CAAC,OAAO,IAAI,UAAU,CAAC,QAAQ,OAAO;YACzD,gBAAgB,EAAE,EAAE;YACpB,gBAAgB,EAAE,CAAC;YACnB,iBAAiB,EAAE,CAAC;YACpB,YAAY,EAAE,CAAC;YACf,UAAU,EAAE,CAAC;YACb,UAAU,EAAE,IAAI;YAChB,WAAW,EAAE,IAAI;YACjB,SAAS,EAAE,KAAK;YAChB,gBAAgB,EAAE,IAAI;SACvB,CAAC,CAAC;KACJ;IAED,OAAO,QAAQ,CAAC;AAClB,CAAC,EACD;IACE,qBAAqB,EAAE,OAAQ;CAChC,CACF,CAAC","sourcesContent":["import { IProduct, IQueryProductsRequest, provideQueryProductsService } from '@yuants/data-product';\nimport { Terminal } from '@yuants/protocol';\nimport { encodePath } from '@yuants/utils';\nimport { client } from './api';\n\nconst terminal = Terminal.fromNodeEnv();\n\n// Provide QueryProducts service with the new design\nexport const productService = provideQueryProductsService(\n terminal,\n 'OKX',\n async (req: IQueryProductsRequest): Promise<IProduct[]> => {\n const products: IProduct[] = [];\n\n // Get all instrument types in parallel\n const [swapInstruments, marginInstruments, spotInstruments] = await Promise.all([\n client.getInstruments({ instType: 'SWAP' }),\n client.getInstruments({ instType: 'MARGIN' }),\n client.getInstruments({ instType: 'SPOT' }),\n ]);\n\n // Get USDT swap products\n for (const instrument of swapInstruments.data || []) {\n if (instrument.ctType === 'linear' && instrument.settleCcy === 'USDT' && +instrument.lever > 0) {\n products.push({\n datasource_id: 'OKX',\n product_id: encodePath(instrument.instType, instrument.instId),\n name: `${instrument.ctValCcy}-${instrument.settleCcy}-PERP`,\n base_currency: instrument.ctValCcy,\n quote_currency: instrument.settleCcy,\n value_scale: +instrument.ctVal,\n volume_step: +instrument.lotSz,\n price_step: +instrument.tickSz,\n margin_rate: 1 / +instrument.lever,\n value_scale_unit: '',\n value_based_cost: 0,\n volume_based_cost: 0,\n max_position: 0,\n max_volume: 0,\n allow_long: true,\n allow_short: true,\n market_id: 'OKX',\n no_interest_rate: false,\n });\n }\n }\n\n // Get margin products\n for (const instrument of marginInstruments.data || []) {\n if (+instrument.lever > 0) {\n products.push({\n datasource_id: 'OKX',\n product_id: encodePath(instrument.instType, instrument.instId),\n base_currency: instrument.baseCcy,\n quote_currency: instrument.quoteCcy,\n value_scale: 1,\n volume_step: +instrument.lotSz,\n price_step: +instrument.tickSz,\n margin_rate: 1 / +instrument.lever,\n name: `${instrument.baseCcy}-${instrument.quoteCcy}-MARGIN`,\n value_scale_unit: '',\n value_based_cost: 0,\n volume_based_cost: 0,\n max_position: 0,\n max_volume: 0,\n allow_long: true,\n allow_short: true,\n market_id: 'OKX',\n no_interest_rate: false,\n });\n }\n }\n\n // Get spot products\n for (const instrument of spotInstruments.data || []) {\n products.push({\n datasource_id: 'OKX',\n product_id: encodePath(instrument.instType, instrument.instId),\n base_currency: instrument.baseCcy,\n quote_currency: instrument.quoteCcy,\n value_scale: 1,\n volume_step: +instrument.lotSz,\n price_step: +instrument.tickSz,\n margin_rate: 1,\n name: `${instrument.baseCcy}-${instrument.quoteCcy}-SPOT`,\n value_scale_unit: '',\n value_based_cost: 0,\n volume_based_cost: 0,\n max_position: 0,\n max_volume: 0,\n allow_long: true,\n allow_short: true,\n market_id: 'OKX',\n no_interest_rate: true,\n });\n }\n\n return products;\n },\n {\n auto_refresh_interval: 3600_000,\n },\n);\n"]}
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package/lib/account.js
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(0, data_account_1.addAccountMarket)(terminal, { account_id: tradingAccountId, market_id: 'OKX' });
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(0, data_account_1.provideAccountInfoService)(terminal, tradingAccountId, async () => {
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const [positionsApi, balanceApi,
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const [positionsApi, balanceApi, mapProductIdToProduct, marketIndexTickerUSDT] = await Promise.all([
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api_1.client.getAccountPositions({}),
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api_1.client.getAccountBalance({}),
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(0, rxjs_1.firstValueFrom)(product_1.mapProductIdToMarginProduct$),
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(0, rxjs_1.firstValueFrom)(product_1.productService.mapProductIdToProduct$),
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(0, rxjs_1.firstValueFrom)(marketIndexTickerUSDT$),
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]);
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let totalEquity = 0;
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positionsApi.data.forEach((x) => {
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var _a, _b;
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103
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const direction = x.posSide === 'long' ? 'LONG' : x.posSide === 'short' ? 'SHORT' : +x.pos > 0 ? 'LONG' : 'SHORT';
|
|
105
104
|
const volume = Math.abs(+x.pos);
|
|
106
105
|
const product_id = (0, utils_1.encodePath)(x.instType, x.instId);
|
|
107
106
|
const closable_price = +x.last;
|
|
108
|
-
const valuation =
|
|
109
|
-
? ((_b = (_a = mapProductIdToUsdtSwapProduct.get(product_id)) === null || _a === void 0 ? void 0 : _a.value_scale) !== null && _b !== void 0 ? _b : 1) * volume * closable_price
|
|
110
|
-
: x.instType === 'MARGIN'
|
|
111
|
-
? ((_d = (_c = mapProductIdToMarginProduct.get(product_id)) === null || _c === void 0 ? void 0 : _c.value_scale) !== null && _d !== void 0 ? _d : 1) * volume * closable_price
|
|
112
|
-
: 0;
|
|
107
|
+
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;
|
|
113
108
|
positions.push({
|
|
114
109
|
position_id: x.posId,
|
|
115
110
|
datasource_id: 'OKX',
|
package/lib/account.js.map
CHANGED
|
@@ -1 +1 @@
|
|
|
1
|
-
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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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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 { 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/${uid}/earning/USDT`;\n provideAccountInfoService(\n terminal,\n earningAccountId,\n async () => {\n const offers = await client.getFinanceSavingsBalance({});\n const equity = offers.data.filter((x) => x.ccy === 'USDT').reduce((acc, x) => acc + +x.amt, 0);\n const free = equity;\n return {\n money: {\n currency: 'USDT',\n equity,\n free,\n },\n positions: [],\n };\n },\n { auto_refresh_interval: 5000 },\n );\n}).subscribe();\n"]}
|
package/lib/interest_rate.js
CHANGED
|
@@ -20,7 +20,7 @@ const rxjs_1 = require("rxjs");
|
|
|
20
20
|
const api_1 = require("./api");
|
|
21
21
|
const product_1 = require("./product");
|
|
22
22
|
(0, sql_1.createSQLWriter)(protocol_1.Terminal.fromNodeEnv(), {
|
|
23
|
-
data$: product_1.
|
|
23
|
+
data$: product_1.productService.products$.pipe((0, rxjs_1.mergeAll)(), (0, rxjs_1.map)((x) => ({
|
|
24
24
|
series_id: (0, utils_1.encodePath)(x.datasource_id, x.product_id),
|
|
25
25
|
table_name: 'interest_rate',
|
|
26
26
|
cron_pattern: '0 * * * *',
|
package/lib/interest_rate.js.map
CHANGED
|
@@ -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: `${-short_rate}`,\n settlement_price: '',\n });\n });\n\n yield data;\n current_end = new Date(data[data.length - 1].created_at).getTime();\n if (current_end <= start) {\n break;\n }\n // for API rate limit\n await firstValueFrom(timer(1000));\n }\n }\n },\n});\n"]}
|
package/lib/legacy_index.js
CHANGED
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@@ -434,7 +434,7 @@ const interestRateByCurrency$ = memoizeMap((currency) => interestRateLoanQuota$.
|
|
|
434
434
|
throw new Error(`invalid tick: ${price}`);
|
|
435
435
|
}
|
|
436
436
|
console.info((0, utils_1.formatTime)(Date.now()), 'SubmitOrder', 'price', price);
|
|
437
|
-
const theProduct = await (0, rxjs_1.firstValueFrom)(product_1.
|
|
437
|
+
const theProduct = await (0, rxjs_1.firstValueFrom)(product_1.productService.mapProductIdToProduct$.pipe((0, rxjs_1.map)((x) => x.get(order.product_id))));
|
|
438
438
|
if (!theProduct) {
|
|
439
439
|
throw new Error(`Unknown product: ${order.position_id}`);
|
|
440
440
|
}
|
|
@@ -520,7 +520,7 @@ const interestRateByCurrency$ = memoizeMap((currency) => interestRateLoanQuota$.
|
|
|
520
520
|
throw new Error(`invalid tick: ${price}`);
|
|
521
521
|
}
|
|
522
522
|
console.info((0, utils_1.formatTime)(Date.now()), 'ModifyOrder', 'price', price);
|
|
523
|
-
const theProduct = await (0, rxjs_1.firstValueFrom)(product_1.
|
|
523
|
+
const theProduct = await (0, rxjs_1.firstValueFrom)(product_1.productService.mapProductIdToProduct$.pipe((0, rxjs_1.map)((x) => x.get(order.product_id))));
|
|
524
524
|
if (!theProduct) {
|
|
525
525
|
throw new Error(`Unknown product: ${order.position_id}`);
|
|
526
526
|
}
|