@yuants/vendor-okx 0.22.4 → 0.22.5

This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
Files changed (7) hide show
  1. package/dist/quote.js +81 -28
  2. package/dist/quote.js.map +1 -1
  3. package/lib/quote.d.ts.map +1 -1
  4. package/lib/quote.js +79 -26
  5. package/lib/quote.js.map +1 -1
  6. package/package.json +1 -1
  7. package/temp/package-deps.json +4 -4
package/dist/quote.js CHANGED
@@ -1,7 +1,7 @@
1
1
  import { Terminal } from '@yuants/protocol';
2
2
  import { writeToSQL } from '@yuants/sql';
3
- import { decodePath, encodePath, listWatch } from '@yuants/utils';
4
- import { defer, filter, from, groupBy, map, merge, mergeMap, Observable, repeat, retry, scan, share, shareReplay, tap, toArray, } from 'rxjs';
3
+ import { decodePath, encodePath, formatTime, listWatch } from '@yuants/utils';
4
+ import { catchError, defer, EMPTY, filter, from, groupBy, map, merge, mergeMap, Observable, repeat, retry, scan, share, shareReplay, tap, timeout, toArray, } from 'rxjs';
5
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  import { client } from './api';
6
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  import { OKXWsClient } from './websocket';
7
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  const wsPool = [];
@@ -27,15 +27,30 @@ const getWsClient = () => {
27
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  wsPool.push({ client: newClient, requests: 1, isFull: false });
28
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  return newClient;
29
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  };
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- const fromWsChannelAndInstId = (channel, instId) => new Observable((subscriber) => {
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+ const fromWsChannelAndInstId = (channel, instId) => defer(() => new Observable((subscriber) => {
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  const client = getWsClient();
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  client.subscribe(channel, instId, (data) => {
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  subscriber.next(data);
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  });
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+ client.ws.addEventListener('error', (err) => {
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+ subscriber.error(err);
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+ });
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+ client.ws.addEventListener('close', () => {
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+ subscriber.error('WS Connection Closed');
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+ });
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  subscriber.add(() => {
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  client.unsubscribe(channel, instId);
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  });
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- });
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+ })).pipe(
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+ // 防止单个连接断开导致数据流关闭
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+ timeout(60000), tap({
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+ error: (err) => {
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+ console.info(formatTime(Date.now()), 'WS_SUBSCRIBE_ERROR', channel, instId, err);
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+ },
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+ }),
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+ // 暂时不太确定是否能支持 retry
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+ // retry({ delay: 1000 }),
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+ catchError(() => EMPTY));
39
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  const swapInstruments$ = defer(() => client.getInstruments({ instType: 'SWAP' })).pipe(repeat({ delay: 3600000 }), retry({ delay: 10000 }), map((x) => x.data), shareReplay(1));
40
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  const spotInstruments$ = defer(() => client.getInstruments({ instType: 'SPOT' })).pipe(repeat({ delay: 3600000 }), retry({ delay: 10000 }), map((x) => x.data), shareReplay(1));
41
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  const spotTickers$ = defer(() => client.getMarketTickers({ instType: 'SPOT' })).pipe(repeat({ delay: 5000 }), retry({ delay: 5000 }), shareReplay(1));
@@ -44,42 +59,80 @@ export const spotMarketTickers$ = defer(() => spotTickers$).pipe(mergeMap((x) =>
44
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  const spotTicker$ = spotInstruments$.pipe(tap((x) => {
45
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  console.info('SPOT INSTRUMENTS', x.length);
46
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  }), listWatch((x) => x.instId, (x) => fromWsChannelAndInstId('tickers', x.instId), () => true), share());
47
- const quote1$ = swapInstruments$.pipe(listWatch((x) => x.instId, (x) => fromWsChannelAndInstId('tickers', x.instId), () => true), map((ticker) => ({
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+ const quoteOfSwapFromRest$ = defer(() => client.getMarketTickers({ instType: 'SWAP' })).pipe(mergeMap((x) => x.data || []), map((x) => ({
48
63
  datasource_id: 'OKX',
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- product_id: encodePath('SWAP', ticker.instId),
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- last_price: ticker.last,
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- ask_price: ticker.askPx,
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- bid_price: ticker.bidPx,
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- ask_volume: ticker.askSz,
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- bid_volume: ticker.bidSz,
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- })), share());
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- const quote2$ = spotTicker$.pipe(map((ticker) => ({
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+ product_id: encodePath(x.instType, x.instId),
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+ last_price: x.last,
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+ ask_price: x.askPx,
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+ bid_price: x.bidPx,
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+ ask_volume: x.askSz,
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+ bid_volume: x.bidSz,
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+ })), repeat({ delay: 1000 }), retry({ delay: 1000 }));
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+ const quoteOfSpotAndMarginFromRest$ = defer(() => client.getMarketTickers({ instType: 'SPOT' })).pipe(mergeMap((x) => x.data || []), mergeMap((x) => [
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+ {
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+ datasource_id: 'OKX',
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+ product_id: encodePath('SPOT', x.instId),
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+ last_price: x.last,
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+ ask_price: x.askPx,
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+ bid_price: x.bidPx,
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+ ask_volume: x.askSz,
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+ bid_volume: x.bidSz,
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+ },
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+ {
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+ datasource_id: 'OKX',
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+ product_id: encodePath('MARGIN', x.instId),
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+ last_price: x.last,
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+ ask_price: x.askPx,
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+ bid_price: x.bidPx,
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+ ask_volume: x.askSz,
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+ bid_volume: x.bidSz,
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+ },
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+ ]), repeat({ delay: 1000 }), retry({ delay: 1000 }));
91
+ const quoteOfSwapFromWs$ = swapInstruments$.pipe(listWatch((x) => x.instId, (x) => fromWsChannelAndInstId('tickers', x.instId), () => true), map((ticker) => ({
57
92
  datasource_id: 'OKX',
58
- product_id: encodePath('SPOT', ticker.instId),
59
- last_price: ticker.last,
60
- ask_price: ticker.askPx,
61
- bid_price: ticker.bidPx,
62
- ask_volume: ticker.askSz,
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- bid_volume: ticker.bidSz,
64
- })), share());
65
- const quote3$ = spotTicker$.pipe(map((ticker) => ({
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- datasource_id: 'OKX',
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- product_id: encodePath('MARGIN', ticker.instId),
93
+ product_id: encodePath('SWAP', ticker.instId),
68
94
  last_price: ticker.last,
69
95
  ask_price: ticker.askPx,
70
96
  bid_price: ticker.bidPx,
71
97
  ask_volume: ticker.askSz,
72
98
  bid_volume: ticker.bidSz,
73
- })), share());
99
+ })));
100
+ const quoteOfSpotAndMarginFromWs$ = spotTicker$.pipe(mergeMap((ticker) => [
101
+ {
102
+ datasource_id: 'OKX',
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+ product_id: encodePath('SPOT', ticker.instId),
104
+ last_price: ticker.last,
105
+ ask_price: ticker.askPx,
106
+ bid_price: ticker.bidPx,
107
+ ask_volume: ticker.askSz,
108
+ bid_volume: ticker.bidSz,
109
+ },
110
+ {
111
+ datasource_id: 'OKX',
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+ product_id: encodePath('MARGIN', ticker.instId),
113
+ last_price: ticker.last,
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+ ask_price: ticker.askPx,
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+ bid_price: ticker.bidPx,
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+ ask_volume: ticker.askSz,
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+ bid_volume: ticker.bidSz,
118
+ },
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+ ]));
74
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  const swapOpenInterests$ = defer(() => client.getOpenInterest({ instType: 'SWAP' })).pipe(repeat({ delay: 10000 }), retry({ delay: 10000 }), shareReplay(1));
75
- const quote4$ = swapInstruments$.pipe(listWatch((x) => x.instId, (x) => fromWsChannelAndInstId('open-interest', x.instId), () => true), map((x) => ({
121
+ const interestRateOfSwapFromWS$ = swapInstruments$.pipe(listWatch((x) => x.instId, (x) => fromWsChannelAndInstId('open-interest', x.instId), () => true), map((x) => ({
76
122
  datasource_id: 'OKX',
77
123
  product_id: encodePath('SWAP', x.instId),
78
124
  open_interest: x.oi,
79
125
  })), share());
80
- const quote$ = merge(
81
- //
82
- quote1$, quote2$, quote3$, quote4$).pipe(groupBy((x) => encodePath(x.datasource_id, x.product_id)), mergeMap((group$) => {
126
+ const quoteSources$ = [
127
+ quoteOfSwapFromWs$,
128
+ interestRateOfSwapFromWS$,
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+ quoteOfSwapFromRest$,
130
+ quoteOfSpotAndMarginFromWs$,
131
+ quoteOfSpotAndMarginFromRest$,
132
+ ];
133
+ const quote$ = defer(() => merge(...quoteSources$.map((x$) => defer(() => x$).pipe(
134
+ // 防止单个流关闭导致整体关闭
135
+ catchError(() => EMPTY))))).pipe(groupBy((x) => encodePath(x.datasource_id, x.product_id)), mergeMap((group$) => {
83
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  return group$.pipe(
84
137
  //
85
138
  scan((acc, cur) => Object.assign(acc, cur), {}));
package/dist/quote.js.map CHANGED
@@ -1 +1 @@
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{ IQuote } from '@yuants/data-quote';\nimport { Terminal } from '@yuants/protocol';\nimport { writeToSQL } from '@yuants/sql';\nimport { decodePath, encodePath, listWatch } from '@yuants/utils';\nimport {\n defer,\n filter,\n from,\n groupBy,\n map,\n merge,\n mergeMap,\n Observable,\n repeat,\n retry,\n scan,\n share,\n shareReplay,\n tap,\n toArray,\n} from 'rxjs';\nimport { client } from './api';\nimport { OKXWsClient } from './websocket';\n\nconst wsPool: {\n client: OKXWsClient;\n requests: number;\n isFull: boolean;\n}[] = [];\n\n// ISSUE: 连接限制：3 次/秒 (基于IP)\n//\n// https://www.okx.com/docs-v5/zh/#overview-websocket-connect\n//\n// 当订阅公有频道时，使用公有服务的地址；当订阅私有频道时，使用私有服务的地址\n//\n// 请求限制：\n//\n// 每个连接 对于 订阅/取消订阅/登录 请求的总次数限制为 480 次/小时\nconst getWsClient = () => {\n const existing = wsPool.find((item) => !item.isFull);\n if (existing) {\n existing.requests++;\n if (existing.requests >= 480) {\n existing.isFull = true;\n }\n return existing.client;\n }\n const newClient = new OKXWsClient('ws/v5/public');\n wsPool.push({ client: newClient, requests: 1, isFull: false });\n return newClient;\n};\n\nconst fromWsChannelAndInstId = (channel: string, instId: string) =>\n new Observable<any>((subscriber) => {\n const client = getWsClient();\n client.subscribe(channel, instId, (data: any) => {\n subscriber.next(data);\n });\n subscriber.add(() => {\n client.unsubscribe(channel, instId);\n });\n });\n\nconst swapInstruments$ = defer(() => client.getInstruments({ instType: 'SWAP' })).pipe(\n repeat({ delay: 3600_000 }),\n retry({ delay: 10_000 }),\n map((x) => x.data),\n shareReplay(1),\n);\nconst spotInstruments$ = defer(() => client.getInstruments({ instType: 'SPOT' })).pipe(\n repeat({ delay: 3600_000 }),\n retry({ delay: 10_000 }),\n map((x) => x.data),\n shareReplay(1),\n);\n\nconst spotTickers$ = defer(() => client.getMarketTickers({ instType: 'SPOT' })).pipe(\n repeat({ delay: 5000 }),\n retry({ delay: 5000 }),\n shareReplay(1),\n);\n\n// depend by SubmitOrders\nexport const spotMarketTickers$ = defer(() => spotTickers$).pipe(\n mergeMap((x) =>\n from(x.data).pipe(\n map((x) => [x.instId, x] as const),\n toArray(),\n map((x) => Object.fromEntries(x)),\n ),\n ),\n repeat({ delay: 5000 }),\n retry({ delay: 5000 }),\n shareReplay(1),\n);\n\nconst spotTicker$ = spotInstruments$.pipe(\n tap((x) => {\n console.info('SPOT INSTRUMENTS', x.length);\n }),\n listWatch(\n (x) => x.instId,\n (x) => fromWsChannelAndInstId('tickers', x.instId),\n () => true,\n ),\n share(),\n);\n\nconst quote1$ = swapInstruments$.pipe(\n listWatch(\n (x) => x.instId,\n (x) => fromWsChannelAndInstId('tickers', x.instId),\n () => true,\n ),\n map((ticker) => ({\n datasource_id: 'OKX',\n product_id: encodePath('SWAP', ticker.instId),\n last_price: ticker.last,\n ask_price: ticker.askPx,\n bid_price: ticker.bidPx,\n ask_volume: ticker.askSz,\n bid_volume: ticker.bidSz,\n })),\n share(),\n);\n\nconst quote2$ = spotTicker$.pipe(\n map((ticker) => ({\n datasource_id: 'OKX',\n product_id: encodePath('SPOT', ticker.instId),\n last_price: ticker.last,\n ask_price: ticker.askPx,\n bid_price: ticker.bidPx,\n ask_volume: ticker.askSz,\n bid_volume: ticker.bidSz,\n })),\n share(),\n);\n\nconst quote3$ = spotTicker$.pipe(\n map((ticker) => ({\n datasource_id: 'OKX',\n product_id: encodePath('MARGIN', ticker.instId),\n last_price: ticker.last,\n ask_price: ticker.askPx,\n bid_price: ticker.bidPx,\n ask_volume: ticker.askSz,\n bid_volume: ticker.bidSz,\n })),\n share(),\n);\n\nconst swapOpenInterests$ = defer(() => client.getOpenInterest({ instType: 'SWAP' })).pipe(\n repeat({ delay: 10_000 }),\n retry({ delay: 10_000 }),\n shareReplay(1),\n);\n\nconst quote4$ = swapInstruments$.pipe(\n listWatch(\n (x) => x.instId,\n (x) => fromWsChannelAndInstId('open-interest', x.instId),\n () => true,\n ),\n map(\n (x): Partial<IQuote> => ({\n datasource_id: 'OKX',\n product_id: encodePath('SWAP', x.instId),\n open_interest: x.oi,\n }),\n ),\n share(),\n);\n\nconst quote$ = merge(\n //\n quote1$,\n quote2$,\n quote3$,\n quote4$,\n).pipe(\n groupBy((x) => encodePath(x.datasource_id, x.product_id)),\n mergeMap((group$) => {\n return group$.pipe(\n //\n scan((acc, cur) => Object.assign(acc, cur), {} as Partial<IQuote>),\n );\n }),\n share(),\n);\n\n// 合并不同来源的数据并进行合并，避免死锁\nif (process.env.WRITE_QUOTE_TO_SQL === 'true') {\n Terminal.fromNodeEnv().channel.publishChannel('quote', { pattern: `^OKX/` }, (channel_id) => {\n const [datasource_id, product_id] = decodePath(channel_id);\n if (!datasource_id) {\n throw 'datasource_id is required';\n }\n if (!product_id) {\n throw 'product_id is required';\n }\n return quote$.pipe(filter((x) => x.product_id === product_id));\n });\n\n quote$\n .pipe(\n writeToSQL({\n terminal: Terminal.fromNodeEnv(),\n writeInterval: 1000,\n tableName: 'quote',\n conflictKeys: ['datasource_id', 'product_id'],\n }),\n )\n .subscribe();\n}\n\nexport const swapOpenInterest$ = defer(() => swapOpenInterests$).pipe(\n map((x) => new Map(x.data.map((x: any) => [x.instId, +x.oi] as const))),\n shareReplay(1),\n);\n"]}
1
+ 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{ IQuote } from '@yuants/data-quote';\nimport { Terminal } from '@yuants/protocol';\nimport { writeToSQL } from '@yuants/sql';\nimport { decodePath, encodePath, formatTime, listWatch } from '@yuants/utils';\nimport {\n catchError,\n defer,\n EMPTY,\n filter,\n from,\n groupBy,\n map,\n merge,\n mergeMap,\n Observable,\n repeat,\n retry,\n scan,\n share,\n shareReplay,\n tap,\n timeout,\n toArray,\n} from 'rxjs';\nimport { client } from './api';\nimport { OKXWsClient } from './websocket';\n\nconst wsPool: {\n client: OKXWsClient;\n requests: number;\n isFull: boolean;\n}[] = [];\n\n// ISSUE: 连接限制：3 次/秒 (基于IP)\n//\n// https://www.okx.com/docs-v5/zh/#overview-websocket-connect\n//\n// 当订阅公有频道时，使用公有服务的地址；当订阅私有频道时，使用私有服务的地址\n//\n// 请求限制：\n//\n// 每个连接 对于 订阅/取消订阅/登录 请求的总次数限制为 480 次/小时\nconst getWsClient = () => {\n const existing = wsPool.find((item) => !item.isFull);\n if (existing) {\n existing.requests++;\n if (existing.requests >= 480) {\n existing.isFull = true;\n }\n return existing.client;\n }\n const newClient = new OKXWsClient('ws/v5/public');\n wsPool.push({ client: newClient, requests: 1, isFull: false });\n return newClient;\n};\n\nconst fromWsChannelAndInstId = (channel: string, instId: string) =>\n defer(\n () =>\n new Observable<any>((subscriber) => {\n const client = getWsClient();\n client.subscribe(channel, instId, (data: any) => {\n subscriber.next(data);\n });\n client.ws.addEventListener('error', (err) => {\n subscriber.error(err);\n });\n client.ws.addEventListener('close', () => {\n subscriber.error('WS Connection Closed');\n });\n subscriber.add(() => {\n client.unsubscribe(channel, instId);\n });\n }),\n ).pipe(\n // 防止单个连接断开导致数据流关闭\n timeout(60_000),\n tap({\n error: (err) => {\n console.info(formatTime(Date.now()), 'WS_SUBSCRIBE_ERROR', channel, instId, err);\n },\n }),\n // 暂时不太确定是否能支持 retry\n // retry({ delay: 1000 }),\n catchError(() => EMPTY),\n );\n\nconst swapInstruments$ = defer(() => client.getInstruments({ instType: 'SWAP' })).pipe(\n repeat({ delay: 3600_000 }),\n retry({ delay: 10_000 }),\n map((x) => x.data),\n shareReplay(1),\n);\nconst spotInstruments$ = defer(() => client.getInstruments({ instType: 'SPOT' })).pipe(\n repeat({ delay: 3600_000 }),\n retry({ delay: 10_000 }),\n map((x) => x.data),\n shareReplay(1),\n);\n\nconst spotTickers$ = defer(() => client.getMarketTickers({ instType: 'SPOT' })).pipe(\n repeat({ delay: 5000 }),\n retry({ delay: 5000 }),\n shareReplay(1),\n);\n\n// depend by SubmitOrders\nexport const spotMarketTickers$ = defer(() => spotTickers$).pipe(\n mergeMap((x) =>\n from(x.data).pipe(\n map((x) => [x.instId, x] as const),\n toArray(),\n map((x) => Object.fromEntries(x)),\n ),\n ),\n repeat({ delay: 5000 }),\n retry({ delay: 5000 }),\n shareReplay(1),\n);\n\nconst spotTicker$ = spotInstruments$.pipe(\n tap((x) => {\n console.info('SPOT INSTRUMENTS', x.length);\n }),\n listWatch(\n (x) => x.instId,\n (x) => fromWsChannelAndInstId('tickers', x.instId),\n () => true,\n ),\n share(),\n);\n\nconst quoteOfSwapFromRest$ = defer(() => client.getMarketTickers({ instType: 'SWAP' })).pipe(\n mergeMap((x) => x.data || []),\n map(\n (x): Partial<IQuote> => ({\n datasource_id: 'OKX',\n product_id: encodePath(x.instType, x.instId),\n last_price: x.last,\n ask_price: x.askPx,\n bid_price: x.bidPx,\n ask_volume: x.askSz,\n bid_volume: x.bidSz,\n }),\n ),\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n);\n\nconst quoteOfSpotAndMarginFromRest$ = defer(() => client.getMarketTickers({ instType: 'SPOT' })).pipe(\n mergeMap((x) => x.data || []),\n mergeMap((x): Partial<IQuote>[] => [\n {\n datasource_id: 'OKX',\n product_id: encodePath('SPOT', x.instId),\n last_price: x.last,\n ask_price: x.askPx,\n bid_price: x.bidPx,\n ask_volume: x.askSz,\n bid_volume: x.bidSz,\n },\n {\n datasource_id: 'OKX',\n product_id: encodePath('MARGIN', x.instId),\n last_price: x.last,\n ask_price: x.askPx,\n bid_price: x.bidPx,\n ask_volume: x.askSz,\n bid_volume: x.bidSz,\n },\n ]),\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n);\n\nconst quoteOfSwapFromWs$ = swapInstruments$.pipe(\n listWatch(\n (x) => x.instId,\n (x) => fromWsChannelAndInstId('tickers', x.instId),\n () => true,\n ),\n map(\n (ticker): Partial<IQuote> => ({\n datasource_id: 'OKX',\n product_id: encodePath('SWAP', ticker.instId),\n last_price: ticker.last,\n ask_price: ticker.askPx,\n bid_price: ticker.bidPx,\n ask_volume: ticker.askSz,\n bid_volume: ticker.bidSz,\n }),\n ),\n);\n\nconst quoteOfSpotAndMarginFromWs$ = spotTicker$.pipe(\n mergeMap((ticker): Partial<IQuote>[] => [\n {\n datasource_id: 'OKX',\n product_id: encodePath('SPOT', ticker.instId),\n last_price: ticker.last,\n ask_price: ticker.askPx,\n bid_price: ticker.bidPx,\n ask_volume: ticker.askSz,\n bid_volume: ticker.bidSz,\n },\n {\n datasource_id: 'OKX',\n product_id: encodePath('MARGIN', ticker.instId),\n last_price: ticker.last,\n ask_price: ticker.askPx,\n bid_price: ticker.bidPx,\n ask_volume: ticker.askSz,\n bid_volume: ticker.bidSz,\n },\n ]),\n);\n\nconst swapOpenInterests$ = defer(() => client.getOpenInterest({ instType: 'SWAP' })).pipe(\n repeat({ delay: 10_000 }),\n retry({ delay: 10_000 }),\n shareReplay(1),\n);\n\nconst interestRateOfSwapFromWS$ = swapInstruments$.pipe(\n listWatch(\n (x) => x.instId,\n (x) => fromWsChannelAndInstId('open-interest', x.instId),\n () => true,\n ),\n map(\n (x): Partial<IQuote> => ({\n datasource_id: 'OKX',\n product_id: encodePath('SWAP', x.instId),\n open_interest: x.oi,\n }),\n ),\n share(),\n);\n\nconst quoteSources$ = [\n quoteOfSwapFromWs$,\n interestRateOfSwapFromWS$,\n quoteOfSwapFromRest$,\n quoteOfSpotAndMarginFromWs$,\n quoteOfSpotAndMarginFromRest$,\n];\n\nconst quote$ = defer(() =>\n merge(\n ...quoteSources$.map((x$) =>\n defer(() => x$).pipe(\n // 防止单个流关闭导致整体关闭\n catchError(() => EMPTY),\n ),\n ),\n ),\n).pipe(\n groupBy((x) => encodePath(x.datasource_id, x.product_id)),\n mergeMap((group$) => {\n return group$.pipe(\n //\n scan((acc, cur) => Object.assign(acc, cur), {} as Partial<IQuote>),\n );\n }),\n share(),\n);\n\n// 合并不同来源的数据并进行合并，避免死锁\nif (process.env.WRITE_QUOTE_TO_SQL === 'true') {\n Terminal.fromNodeEnv().channel.publishChannel('quote', { pattern: `^OKX/` }, (channel_id) => {\n const [datasource_id, product_id] = decodePath(channel_id);\n if (!datasource_id) {\n throw 'datasource_id is required';\n }\n if (!product_id) {\n throw 'product_id is required';\n }\n return quote$.pipe(filter((x) => x.product_id === product_id));\n });\n\n quote$\n .pipe(\n writeToSQL({\n terminal: Terminal.fromNodeEnv(),\n writeInterval: 1000,\n tableName: 'quote',\n conflictKeys: ['datasource_id', 'product_id'],\n }),\n )\n .subscribe();\n}\n\nexport const swapOpenInterest$ = defer(() => swapOpenInterests$).pipe(\n map((x) => new Map(x.data.map((x: any) => [x.instId, +x.oi] as const))),\n shareReplay(1),\n);\n"]}
package/lib/quote.d.ts.map CHANGED
@@ -1 +1 @@
1
- {"version":3,"file":"quote.d.ts","sourceRoot":"","sources":["../src/quote.ts"],"names":[],"mappings":"AAIA,OAAO,EAQL,UAAU,EAQX,MAAM,MAAM,CAAC;AAgEd,eAAO,MAAM,kBAAkB;;;;;;;;;;;;;;;;;;;EAW9B,CAAC;AA0HF,eAAO,MAAM,iBAAiB,8BAG7B,CAAC"}
1
+ {"version":3,"file":"quote.d.ts","sourceRoot":"","sources":["../src/quote.ts"],"names":[],"mappings":"AAIA,OAAO,EAUL,UAAU,EASX,MAAM,MAAM,CAAC;AAoFd,eAAO,MAAM,kBAAkB;;;;;;;;;;;;;;;;;;;EAW9B,CAAC;AA8KF,eAAO,MAAM,iBAAiB,8BAG7B,CAAC"}
package/lib/quote.js CHANGED
@@ -30,15 +30,30 @@ const getWsClient = () => {
30
30
  wsPool.push({ client: newClient, requests: 1, isFull: false });
31
31
  return newClient;
32
32
  };
33
- const fromWsChannelAndInstId = (channel, instId) => new rxjs_1.Observable((subscriber) => {
33
+ const fromWsChannelAndInstId = (channel, instId) => (0, rxjs_1.defer)(() => new rxjs_1.Observable((subscriber) => {
34
34
  const client = getWsClient();
35
35
  client.subscribe(channel, instId, (data) => {
36
36
  subscriber.next(data);
37
37
  });
38
+ client.ws.addEventListener('error', (err) => {
39
+ subscriber.error(err);
40
+ });
41
+ client.ws.addEventListener('close', () => {
42
+ subscriber.error('WS Connection Closed');
43
+ });
38
44
  subscriber.add(() => {
39
45
  client.unsubscribe(channel, instId);
40
46
  });
41
- });
47
+ })).pipe(
48
+ // 防止单个连接断开导致数据流关闭
49
+ (0, rxjs_1.timeout)(60000), (0, rxjs_1.tap)({
50
+ error: (err) => {
51
+ console.info((0, utils_1.formatTime)(Date.now()), 'WS_SUBSCRIBE_ERROR', channel, instId, err);
52
+ },
53
+ }),
54
+ // 暂时不太确定是否能支持 retry
55
+ // retry({ delay: 1000 }),
56
+ (0, rxjs_1.catchError)(() => rxjs_1.EMPTY));
42
57
  const swapInstruments$ = (0, rxjs_1.defer)(() => api_1.client.getInstruments({ instType: 'SWAP' })).pipe((0, rxjs_1.repeat)({ delay: 3600000 }), (0, rxjs_1.retry)({ delay: 10000 }), (0, rxjs_1.map)((x) => x.data), (0, rxjs_1.shareReplay)(1));
43
58
  const spotInstruments$ = (0, rxjs_1.defer)(() => api_1.client.getInstruments({ instType: 'SPOT' })).pipe((0, rxjs_1.repeat)({ delay: 3600000 }), (0, rxjs_1.retry)({ delay: 10000 }), (0, rxjs_1.map)((x) => x.data), (0, rxjs_1.shareReplay)(1));
44
59
  const spotTickers$ = (0, rxjs_1.defer)(() => api_1.client.getMarketTickers({ instType: 'SPOT' })).pipe((0, rxjs_1.repeat)({ delay: 5000 }), (0, rxjs_1.retry)({ delay: 5000 }), (0, rxjs_1.shareReplay)(1));
@@ -47,42 +62,80 @@ exports.spotMarketTickers$ = (0, rxjs_1.defer)(() => spotTickers$).pipe((0, rxjs
47
62
  const spotTicker$ = spotInstruments$.pipe((0, rxjs_1.tap)((x) => {
48
63
  console.info('SPOT INSTRUMENTS', x.length);
49
64
  }), (0, utils_1.listWatch)((x) => x.instId, (x) => fromWsChannelAndInstId('tickers', x.instId), () => true), (0, rxjs_1.share)());
50
- const quote1$ = swapInstruments$.pipe((0, utils_1.listWatch)((x) => x.instId, (x) => fromWsChannelAndInstId('tickers', x.instId), () => true), (0, rxjs_1.map)((ticker) => ({
65
+ const quoteOfSwapFromRest$ = (0, rxjs_1.defer)(() => api_1.client.getMarketTickers({ instType: 'SWAP' })).pipe((0, rxjs_1.mergeMap)((x) => x.data || []), (0, rxjs_1.map)((x) => ({
51
66
  datasource_id: 'OKX',
52
- product_id: (0, utils_1.encodePath)('SWAP', ticker.instId),
53
- last_price: ticker.last,
54
- ask_price: ticker.askPx,
55
- bid_price: ticker.bidPx,
56
- ask_volume: ticker.askSz,
57
- bid_volume: ticker.bidSz,
58
- })), (0, rxjs_1.share)());
59
- const quote2$ = spotTicker$.pipe((0, rxjs_1.map)((ticker) => ({
67
+ product_id: (0, utils_1.encodePath)(x.instType, x.instId),
68
+ last_price: x.last,
69
+ ask_price: x.askPx,
70
+ bid_price: x.bidPx,
71
+ ask_volume: x.askSz,
72
+ bid_volume: x.bidSz,
73
+ })), (0, rxjs_1.repeat)({ delay: 1000 }), (0, rxjs_1.retry)({ delay: 1000 }));
74
+ const quoteOfSpotAndMarginFromRest$ = (0, rxjs_1.defer)(() => api_1.client.getMarketTickers({ instType: 'SPOT' })).pipe((0, rxjs_1.mergeMap)((x) => x.data || []), (0, rxjs_1.mergeMap)((x) => [
75
+ {
76
+ datasource_id: 'OKX',
77
+ product_id: (0, utils_1.encodePath)('SPOT', x.instId),
78
+ last_price: x.last,
79
+ ask_price: x.askPx,
80
+ bid_price: x.bidPx,
81
+ ask_volume: x.askSz,
82
+ bid_volume: x.bidSz,
83
+ },
84
+ {
85
+ datasource_id: 'OKX',
86
+ product_id: (0, utils_1.encodePath)('MARGIN', x.instId),
87
+ last_price: x.last,
88
+ ask_price: x.askPx,
89
+ bid_price: x.bidPx,
90
+ ask_volume: x.askSz,
91
+ bid_volume: x.bidSz,
92
+ },
93
+ ]), (0, rxjs_1.repeat)({ delay: 1000 }), (0, rxjs_1.retry)({ delay: 1000 }));
94
+ const quoteOfSwapFromWs$ = swapInstruments$.pipe((0, utils_1.listWatch)((x) => x.instId, (x) => fromWsChannelAndInstId('tickers', x.instId), () => true), (0, rxjs_1.map)((ticker) => ({
60
95
  datasource_id: 'OKX',
61
- product_id: (0, utils_1.encodePath)('SPOT', ticker.instId),
62
- last_price: ticker.last,
63
- ask_price: ticker.askPx,
64
- bid_price: ticker.bidPx,
65
- ask_volume: ticker.askSz,
66
- bid_volume: ticker.bidSz,
67
- })), (0, rxjs_1.share)());
68
- const quote3$ = spotTicker$.pipe((0, rxjs_1.map)((ticker) => ({
69
- datasource_id: 'OKX',
70
- product_id: (0, utils_1.encodePath)('MARGIN', ticker.instId),
96
+ product_id: (0, utils_1.encodePath)('SWAP', ticker.instId),
71
97
  last_price: ticker.last,
72
98
  ask_price: ticker.askPx,
73
99
  bid_price: ticker.bidPx,
74
100
  ask_volume: ticker.askSz,
75
101
  bid_volume: ticker.bidSz,
76
- })), (0, rxjs_1.share)());
102
+ })));
103
+ const quoteOfSpotAndMarginFromWs$ = spotTicker$.pipe((0, rxjs_1.mergeMap)((ticker) => [
104
+ {
105
+ datasource_id: 'OKX',
106
+ product_id: (0, utils_1.encodePath)('SPOT', ticker.instId),
107
+ last_price: ticker.last,
108
+ ask_price: ticker.askPx,
109
+ bid_price: ticker.bidPx,
110
+ ask_volume: ticker.askSz,
111
+ bid_volume: ticker.bidSz,
112
+ },
113
+ {
114
+ datasource_id: 'OKX',
115
+ product_id: (0, utils_1.encodePath)('MARGIN', ticker.instId),
116
+ last_price: ticker.last,
117
+ ask_price: ticker.askPx,
118
+ bid_price: ticker.bidPx,
119
+ ask_volume: ticker.askSz,
120
+ bid_volume: ticker.bidSz,
121
+ },
122
+ ]));
77
123
  const swapOpenInterests$ = (0, rxjs_1.defer)(() => api_1.client.getOpenInterest({ instType: 'SWAP' })).pipe((0, rxjs_1.repeat)({ delay: 10000 }), (0, rxjs_1.retry)({ delay: 10000 }), (0, rxjs_1.shareReplay)(1));
78
- const quote4$ = swapInstruments$.pipe((0, utils_1.listWatch)((x) => x.instId, (x) => fromWsChannelAndInstId('open-interest', x.instId), () => true), (0, rxjs_1.map)((x) => ({
124
+ const interestRateOfSwapFromWS$ = swapInstruments$.pipe((0, utils_1.listWatch)((x) => x.instId, (x) => fromWsChannelAndInstId('open-interest', x.instId), () => true), (0, rxjs_1.map)((x) => ({
79
125
  datasource_id: 'OKX',
80
126
  product_id: (0, utils_1.encodePath)('SWAP', x.instId),
81
127
  open_interest: x.oi,
82
128
  })), (0, rxjs_1.share)());
83
- const quote$ = (0, rxjs_1.merge)(
84
- //
85
- quote1$, quote2$, quote3$, quote4$).pipe((0, rxjs_1.groupBy)((x) => (0, utils_1.encodePath)(x.datasource_id, x.product_id)), (0, rxjs_1.mergeMap)((group$) => {
129
+ const quoteSources$ = [
130
+ quoteOfSwapFromWs$,
131
+ interestRateOfSwapFromWS$,
132
+ quoteOfSwapFromRest$,
133
+ quoteOfSpotAndMarginFromWs$,
134
+ quoteOfSpotAndMarginFromRest$,
135
+ ];
136
+ const quote$ = (0, rxjs_1.defer)(() => (0, rxjs_1.merge)(...quoteSources$.map((x$) => (0, rxjs_1.defer)(() => x$).pipe(
137
+ // 防止单个流关闭导致整体关闭
138
+ (0, rxjs_1.catchError)(() => rxjs_1.EMPTY))))).pipe((0, rxjs_1.groupBy)((x) => (0, utils_1.encodePath)(x.datasource_id, x.product_id)), (0, rxjs_1.mergeMap)((group$) => {
86
139
  return group$.pipe(
87
140
  //
88
141
  (0, rxjs_1.scan)((acc, cur) => Object.assign(acc, cur), {}));
package/lib/quote.js.map CHANGED
@@ -1 +1 @@
1
- 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{ IQuote } from '@yuants/data-quote';\nimport { Terminal } from '@yuants/protocol';\nimport { writeToSQL } from '@yuants/sql';\nimport { decodePath, encodePath, listWatch } from '@yuants/utils';\nimport {\n defer,\n filter,\n from,\n groupBy,\n map,\n merge,\n mergeMap,\n Observable,\n repeat,\n retry,\n scan,\n share,\n shareReplay,\n tap,\n toArray,\n} from 'rxjs';\nimport { client } from './api';\nimport { OKXWsClient } from './websocket';\n\nconst wsPool: {\n client: OKXWsClient;\n requests: number;\n isFull: boolean;\n}[] = [];\n\n// ISSUE: 连接限制：3 次/秒 (基于IP)\n//\n// https://www.okx.com/docs-v5/zh/#overview-websocket-connect\n//\n// 当订阅公有频道时，使用公有服务的地址；当订阅私有频道时，使用私有服务的地址\n//\n// 请求限制：\n//\n// 每个连接 对于 订阅/取消订阅/登录 请求的总次数限制为 480 次/小时\nconst getWsClient = () => {\n const existing = wsPool.find((item) => !item.isFull);\n if (existing) {\n existing.requests++;\n if (existing.requests >= 480) {\n existing.isFull = true;\n }\n return existing.client;\n }\n const newClient = new OKXWsClient('ws/v5/public');\n wsPool.push({ client: newClient, requests: 1, isFull: false });\n return newClient;\n};\n\nconst fromWsChannelAndInstId = (channel: string, instId: string) =>\n new Observable<any>((subscriber) => {\n const client = getWsClient();\n client.subscribe(channel, instId, (data: any) => {\n subscriber.next(data);\n });\n subscriber.add(() => {\n client.unsubscribe(channel, instId);\n });\n });\n\nconst swapInstruments$ = defer(() => client.getInstruments({ instType: 'SWAP' })).pipe(\n repeat({ delay: 3600_000 }),\n retry({ delay: 10_000 }),\n map((x) => x.data),\n shareReplay(1),\n);\nconst spotInstruments$ = defer(() => client.getInstruments({ instType: 'SPOT' })).pipe(\n repeat({ delay: 3600_000 }),\n retry({ delay: 10_000 }),\n map((x) => x.data),\n shareReplay(1),\n);\n\nconst spotTickers$ = defer(() => client.getMarketTickers({ instType: 'SPOT' })).pipe(\n repeat({ delay: 5000 }),\n retry({ delay: 5000 }),\n shareReplay(1),\n);\n\n// depend by SubmitOrders\nexport const spotMarketTickers$ = defer(() => spotTickers$).pipe(\n mergeMap((x) =>\n from(x.data).pipe(\n map((x) => [x.instId, x] as const),\n toArray(),\n map((x) => Object.fromEntries(x)),\n ),\n ),\n repeat({ delay: 5000 }),\n retry({ delay: 5000 }),\n shareReplay(1),\n);\n\nconst spotTicker$ = spotInstruments$.pipe(\n tap((x) => {\n console.info('SPOT INSTRUMENTS', x.length);\n }),\n listWatch(\n (x) => x.instId,\n (x) => fromWsChannelAndInstId('tickers', x.instId),\n () => true,\n ),\n share(),\n);\n\nconst quote1$ = swapInstruments$.pipe(\n listWatch(\n (x) => x.instId,\n (x) => fromWsChannelAndInstId('tickers', x.instId),\n () => true,\n ),\n map((ticker) => ({\n datasource_id: 'OKX',\n product_id: encodePath('SWAP', ticker.instId),\n last_price: ticker.last,\n ask_price: ticker.askPx,\n bid_price: ticker.bidPx,\n ask_volume: ticker.askSz,\n bid_volume: ticker.bidSz,\n })),\n share(),\n);\n\nconst quote2$ = spotTicker$.pipe(\n map((ticker) => ({\n datasource_id: 'OKX',\n product_id: encodePath('SPOT', ticker.instId),\n last_price: ticker.last,\n ask_price: ticker.askPx,\n bid_price: ticker.bidPx,\n ask_volume: ticker.askSz,\n bid_volume: ticker.bidSz,\n })),\n share(),\n);\n\nconst quote3$ = spotTicker$.pipe(\n map((ticker) => ({\n datasource_id: 'OKX',\n product_id: encodePath('MARGIN', ticker.instId),\n last_price: ticker.last,\n ask_price: ticker.askPx,\n bid_price: ticker.bidPx,\n ask_volume: ticker.askSz,\n bid_volume: ticker.bidSz,\n })),\n share(),\n);\n\nconst swapOpenInterests$ = defer(() => client.getOpenInterest({ instType: 'SWAP' })).pipe(\n repeat({ delay: 10_000 }),\n retry({ delay: 10_000 }),\n shareReplay(1),\n);\n\nconst quote4$ = swapInstruments$.pipe(\n listWatch(\n (x) => x.instId,\n (x) => fromWsChannelAndInstId('open-interest', x.instId),\n () => true,\n ),\n map(\n (x): Partial<IQuote> => ({\n datasource_id: 'OKX',\n product_id: encodePath('SWAP', x.instId),\n open_interest: x.oi,\n }),\n ),\n share(),\n);\n\nconst quote$ = merge(\n //\n quote1$,\n quote2$,\n quote3$,\n quote4$,\n).pipe(\n groupBy((x) => encodePath(x.datasource_id, x.product_id)),\n mergeMap((group$) => {\n return group$.pipe(\n //\n scan((acc, cur) => Object.assign(acc, cur), {} as Partial<IQuote>),\n );\n }),\n share(),\n);\n\n// 合并不同来源的数据并进行合并，避免死锁\nif (process.env.WRITE_QUOTE_TO_SQL === 'true') {\n Terminal.fromNodeEnv().channel.publishChannel('quote', { pattern: `^OKX/` }, (channel_id) => {\n const [datasource_id, product_id] = decodePath(channel_id);\n if (!datasource_id) {\n throw 'datasource_id is required';\n }\n if (!product_id) {\n throw 'product_id is required';\n }\n return quote$.pipe(filter((x) => x.product_id === product_id));\n });\n\n quote$\n .pipe(\n writeToSQL({\n terminal: Terminal.fromNodeEnv(),\n writeInterval: 1000,\n tableName: 'quote',\n conflictKeys: ['datasource_id', 'product_id'],\n }),\n )\n .subscribe();\n}\n\nexport const swapOpenInterest$ = defer(() => swapOpenInterests$).pipe(\n map((x) => new Map(x.data.map((x: any) => [x.instId, +x.oi] as const))),\n shareReplay(1),\n);\n"]}
1
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{ IQuote } from '@yuants/data-quote';\nimport { Terminal } from '@yuants/protocol';\nimport { writeToSQL } from '@yuants/sql';\nimport { decodePath, encodePath, formatTime, listWatch } from '@yuants/utils';\nimport {\n catchError,\n defer,\n EMPTY,\n filter,\n from,\n groupBy,\n map,\n merge,\n mergeMap,\n Observable,\n repeat,\n retry,\n scan,\n share,\n shareReplay,\n tap,\n timeout,\n toArray,\n} from 'rxjs';\nimport { client } from './api';\nimport { OKXWsClient } from './websocket';\n\nconst wsPool: {\n client: OKXWsClient;\n requests: number;\n isFull: boolean;\n}[] = [];\n\n// ISSUE: 连接限制：3 次/秒 (基于IP)\n//\n// https://www.okx.com/docs-v5/zh/#overview-websocket-connect\n//\n// 当订阅公有频道时，使用公有服务的地址；当订阅私有频道时，使用私有服务的地址\n//\n// 请求限制：\n//\n// 每个连接 对于 订阅/取消订阅/登录 请求的总次数限制为 480 次/小时\nconst getWsClient = () => {\n const existing = wsPool.find((item) => !item.isFull);\n if (existing) {\n existing.requests++;\n if (existing.requests >= 480) {\n existing.isFull = true;\n }\n return existing.client;\n }\n const newClient = new OKXWsClient('ws/v5/public');\n wsPool.push({ client: newClient, requests: 1, isFull: false });\n return newClient;\n};\n\nconst fromWsChannelAndInstId = (channel: string, instId: string) =>\n defer(\n () =>\n new Observable<any>((subscriber) => {\n const client = getWsClient();\n client.subscribe(channel, instId, (data: any) => {\n subscriber.next(data);\n });\n client.ws.addEventListener('error', (err) => {\n subscriber.error(err);\n });\n client.ws.addEventListener('close', () => {\n subscriber.error('WS Connection Closed');\n });\n subscriber.add(() => {\n client.unsubscribe(channel, instId);\n });\n }),\n ).pipe(\n // 防止单个连接断开导致数据流关闭\n timeout(60_000),\n tap({\n error: (err) => {\n console.info(formatTime(Date.now()), 'WS_SUBSCRIBE_ERROR', channel, instId, err);\n },\n }),\n // 暂时不太确定是否能支持 retry\n // retry({ delay: 1000 }),\n catchError(() => EMPTY),\n );\n\nconst swapInstruments$ = defer(() => client.getInstruments({ instType: 'SWAP' })).pipe(\n repeat({ delay: 3600_000 }),\n retry({ delay: 10_000 }),\n map((x) => x.data),\n shareReplay(1),\n);\nconst spotInstruments$ = defer(() => client.getInstruments({ instType: 'SPOT' })).pipe(\n repeat({ delay: 3600_000 }),\n retry({ delay: 10_000 }),\n map((x) => x.data),\n shareReplay(1),\n);\n\nconst spotTickers$ = defer(() => client.getMarketTickers({ instType: 'SPOT' })).pipe(\n repeat({ delay: 5000 }),\n retry({ delay: 5000 }),\n shareReplay(1),\n);\n\n// depend by SubmitOrders\nexport const spotMarketTickers$ = defer(() => spotTickers$).pipe(\n mergeMap((x) =>\n from(x.data).pipe(\n map((x) => [x.instId, x] as const),\n toArray(),\n map((x) => Object.fromEntries(x)),\n ),\n ),\n repeat({ delay: 5000 }),\n retry({ delay: 5000 }),\n shareReplay(1),\n);\n\nconst spotTicker$ = spotInstruments$.pipe(\n tap((x) => {\n console.info('SPOT INSTRUMENTS', x.length);\n }),\n listWatch(\n (x) => x.instId,\n (x) => fromWsChannelAndInstId('tickers', x.instId),\n () => true,\n ),\n share(),\n);\n\nconst quoteOfSwapFromRest$ = defer(() => client.getMarketTickers({ instType: 'SWAP' })).pipe(\n mergeMap((x) => x.data || []),\n map(\n (x): Partial<IQuote> => ({\n datasource_id: 'OKX',\n product_id: encodePath(x.instType, x.instId),\n last_price: x.last,\n ask_price: x.askPx,\n bid_price: x.bidPx,\n ask_volume: x.askSz,\n bid_volume: x.bidSz,\n }),\n ),\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n);\n\nconst quoteOfSpotAndMarginFromRest$ = defer(() => client.getMarketTickers({ instType: 'SPOT' })).pipe(\n mergeMap((x) => x.data || []),\n mergeMap((x): Partial<IQuote>[] => [\n {\n datasource_id: 'OKX',\n product_id: encodePath('SPOT', x.instId),\n last_price: x.last,\n ask_price: x.askPx,\n bid_price: x.bidPx,\n ask_volume: x.askSz,\n bid_volume: x.bidSz,\n },\n {\n datasource_id: 'OKX',\n product_id: encodePath('MARGIN', x.instId),\n last_price: x.last,\n ask_price: x.askPx,\n bid_price: x.bidPx,\n ask_volume: x.askSz,\n bid_volume: x.bidSz,\n },\n ]),\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n);\n\nconst quoteOfSwapFromWs$ = swapInstruments$.pipe(\n listWatch(\n (x) => x.instId,\n (x) => fromWsChannelAndInstId('tickers', x.instId),\n () => true,\n ),\n map(\n (ticker): Partial<IQuote> => ({\n datasource_id: 'OKX',\n product_id: encodePath('SWAP', ticker.instId),\n last_price: ticker.last,\n ask_price: ticker.askPx,\n bid_price: ticker.bidPx,\n ask_volume: ticker.askSz,\n bid_volume: ticker.bidSz,\n }),\n ),\n);\n\nconst quoteOfSpotAndMarginFromWs$ = spotTicker$.pipe(\n mergeMap((ticker): Partial<IQuote>[] => [\n {\n datasource_id: 'OKX',\n product_id: encodePath('SPOT', ticker.instId),\n last_price: ticker.last,\n ask_price: ticker.askPx,\n bid_price: ticker.bidPx,\n ask_volume: ticker.askSz,\n bid_volume: ticker.bidSz,\n },\n {\n datasource_id: 'OKX',\n product_id: encodePath('MARGIN', ticker.instId),\n last_price: ticker.last,\n ask_price: ticker.askPx,\n bid_price: ticker.bidPx,\n ask_volume: ticker.askSz,\n bid_volume: ticker.bidSz,\n },\n ]),\n);\n\nconst swapOpenInterests$ = defer(() => client.getOpenInterest({ instType: 'SWAP' })).pipe(\n repeat({ delay: 10_000 }),\n retry({ delay: 10_000 }),\n shareReplay(1),\n);\n\nconst interestRateOfSwapFromWS$ = swapInstruments$.pipe(\n listWatch(\n (x) => x.instId,\n (x) => fromWsChannelAndInstId('open-interest', x.instId),\n () => true,\n ),\n map(\n (x): Partial<IQuote> => ({\n datasource_id: 'OKX',\n product_id: encodePath('SWAP', x.instId),\n open_interest: x.oi,\n }),\n ),\n share(),\n);\n\nconst quoteSources$ = [\n quoteOfSwapFromWs$,\n interestRateOfSwapFromWS$,\n quoteOfSwapFromRest$,\n quoteOfSpotAndMarginFromWs$,\n quoteOfSpotAndMarginFromRest$,\n];\n\nconst quote$ = defer(() =>\n merge(\n ...quoteSources$.map((x$) =>\n defer(() => x$).pipe(\n // 防止单个流关闭导致整体关闭\n catchError(() => EMPTY),\n ),\n ),\n ),\n).pipe(\n groupBy((x) => encodePath(x.datasource_id, x.product_id)),\n mergeMap((group$) => {\n return group$.pipe(\n //\n scan((acc, cur) => Object.assign(acc, cur), {} as Partial<IQuote>),\n );\n }),\n share(),\n);\n\n// 合并不同来源的数据并进行合并，避免死锁\nif (process.env.WRITE_QUOTE_TO_SQL === 'true') {\n Terminal.fromNodeEnv().channel.publishChannel('quote', { pattern: `^OKX/` }, (channel_id) => {\n const [datasource_id, product_id] = decodePath(channel_id);\n if (!datasource_id) {\n throw 'datasource_id is required';\n }\n if (!product_id) {\n throw 'product_id is required';\n }\n return quote$.pipe(filter((x) => x.product_id === product_id));\n });\n\n quote$\n .pipe(\n writeToSQL({\n terminal: Terminal.fromNodeEnv(),\n writeInterval: 1000,\n tableName: 'quote',\n conflictKeys: ['datasource_id', 'product_id'],\n }),\n )\n .subscribe();\n}\n\nexport const swapOpenInterest$ = defer(() => swapOpenInterests$).pipe(\n map((x) => new Map(x.data.map((x: any) => [x.instId, +x.oi] as const))),\n shareReplay(1),\n);\n"]}
package/package.json CHANGED
@@ -1,6 +1,6 @@
1
1
  {
2
2
  "name": "@yuants/vendor-okx",
3
- "version": "0.22.4",
3
+ "version": "0.22.5",
4
4
  "bin": "lib/cli.js",
5
5
  "main": "lib/index.js",
6
6
  "files": [
package/temp/package-deps.json CHANGED
@@ -1,13 +1,13 @@
1
1
  {
2
- "apps/vendor-okx/CHANGELOG.json": "66452fa66559340a90524ccc99eeaad74d6634c4",
3
- "apps/vendor-okx/CHANGELOG.md": "112059089c0cd7bbde6356c692819340c2029b26",
2
+ "apps/vendor-okx/CHANGELOG.json": "49841fc841cb06bc29d612aa914be57d169a5cfd",
3
+ "apps/vendor-okx/CHANGELOG.md": "2dd82c660951d312f278f2cc4c41afbba232f81a",
4
4
  "apps/vendor-okx/README.md": "ac3d1f6c4c8d73066664699b0bb1b01db02e67a2",
5
5
  "apps/vendor-okx/api-extractor.json": "62f4fd324425b9a235f0c117975967aab09ced0c",
6
6
  "apps/vendor-okx/config/jest.config.json": "4bb17bde3ee911163a3edb36a6eb71491d80b1bd",
7
7
  "apps/vendor-okx/config/rig.json": "f6c7b5537dc77a3170ba9f008bae3b6c3ee11956",
8
8
  "apps/vendor-okx/config/typescript.json": "854907e8a821f2050f6533368db160c649c25348",
9
9
  "apps/vendor-okx/etc/vendor-okx.api.md": "92c54ccd547d2ad81ca6088158ca193e85c208df",
10
- "apps/vendor-okx/package.json": "3ef111b891263888efb1518f6d10e7e4961ceaa2",
10
+ "apps/vendor-okx/package.json": "fa8789f947b058d6b81db24ad71aef3830ebd852",
11
11
  "apps/vendor-okx/src/account.ts": "27500bdf012fe19e2f73db72a4f086437235dc5b",
12
12
  "apps/vendor-okx/src/api.ts": "36fa856ff6ce83b9ccf5b5f4319850065afe3226",
13
13
  "apps/vendor-okx/src/cli.ts": "9bf6b5559a6c6f33da20e74cc6c5d702c60ec891",
@@ -20,7 +20,7 @@
20
20
  "apps/vendor-okx/src/ohlc.ts": "7a8375fc004931ba411e900195ef936372a0400f",
21
21
  "apps/vendor-okx/src/order.ts": "945865088271a194eb1c684af0f10e6b54d89f6b",
22
22
  "apps/vendor-okx/src/product.ts": "a2e7feb86bc01fe3b1af6dcb9a9ebfba6be91434",
23
- "apps/vendor-okx/src/quote.ts": "469c96cc864eec03d2c872a8359886d7f80f2d80",
23
+ "apps/vendor-okx/src/quote.ts": "38293b3781eb52ab2f82cdc8c467fc5e6c732c10",
24
24
  "apps/vendor-okx/src/services.ts": "7b7df830a6d78b6de5cee44bbcec66f282ab53ab",
25
25
  "apps/vendor-okx/src/trade.ts": "aed7272d4231567918d68661e5cbae64165d2f60",
26
26
  "apps/vendor-okx/src/websocket.ts": "bf3d19090361e96a81ecafb47b9d00bff88193c7",