@yuants/vendor-okx 0.22.4 → 0.22.6

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 +12 -12
  7. package/temp/package-deps.json +15 -15
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;
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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
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  datasource_id: 'OKX',
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- product_id: encodePath('SWAP', ticker.instId),
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- last_price: ticker.last,
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- ask_price: ticker.askPx,
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- bid_price: ticker.bidPx,
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- ask_volume: ticker.askSz,
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- bid_volume: ticker.bidSz,
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- })), 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$.pipe(mergeMap((ticker) => [
101
+ {
102
+ datasource_id: 'OKX',
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+ product_id: encodePath('SPOT', ticker.instId),
104
+ last_price: ticker.last,
105
+ ask_price: ticker.askPx,
106
+ bid_price: ticker.bidPx,
107
+ ask_volume: ticker.askSz,
108
+ bid_volume: ticker.bidSz,
109
+ },
110
+ {
111
+ datasource_id: 'OKX',
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+ product_id: encodePath('MARGIN', ticker.instId),
113
+ last_price: ticker.last,
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+ ask_price: ticker.askPx,
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+ bid_price: ticker.bidPx,
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+ ask_volume: ticker.askSz,
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+ bid_volume: ticker.bidSz,
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+ },
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+ ]));
74
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  const swapOpenInterests$ = 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$,
130
+ quoteOfSpotAndMarginFromWs$,
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+ 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
136
  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": "0.22.6",
4
4
  "bin": "lib/cli.js",
5
5
  "main": "lib/index.js",
6
6
  "files": [
@@ -10,18 +10,18 @@
10
10
  ],
11
11
  "dependencies": {
12
12
  "@yuants/protocol": "0.42.1",
13
- "@yuants/transfer": "0.2.13",
14
- "@yuants/data-account": "0.4.1",
15
- "@yuants/data-order": "0.2.10",
13
+ "@yuants/transfer": "0.2.14",
14
+ "@yuants/data-account": "0.4.2",
15
+ "@yuants/data-order": "0.2.11",
16
16
  "@yuants/utils": "0.8.0",
17
- "@yuants/sql": "0.9.4",
18
- "@yuants/data-series": "0.3.25",
19
- "@yuants/data-product": "0.2.14",
20
- "@yuants/data-ohlc": "0.3.21",
21
- "@yuants/data-interest-rate": "0.1.22",
22
- "@yuants/data-quote": "0.2.17",
23
- "@yuants/data-trade": "0.0.10",
24
- "@yuants/secret": "0.2.8",
17
+ "@yuants/sql": "0.9.5",
18
+ "@yuants/data-series": "0.3.26",
19
+ "@yuants/data-product": "0.2.15",
20
+ "@yuants/data-ohlc": "0.3.22",
21
+ "@yuants/data-interest-rate": "0.1.23",
22
+ "@yuants/data-quote": "0.2.18",
23
+ "@yuants/data-trade": "0.0.11",
24
+ "@yuants/secret": "0.2.9",
25
25
  "rxjs": "~7.5.6",
26
26
  "crypto-js": "^4.2.0",
27
27
  "ws": "~8.8.1"
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": "e3d9e46f7cb31810208d5e9ace7baf55eb7f1291",
3
+ "apps/vendor-okx/CHANGELOG.md": "92290585b53f30183ea840de876b29277feda216",
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": "50856fdd90412e857d73cdbe109bf9878ed40581",
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",
@@ -20,25 +20,25 @@
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",
27
27
  "apps/vendor-okx/tsconfig.json": "81da8f78196974b5d15da0edb6b2d9f48641063c",
28
28
  "apps/vendor-okx/.rush/temp/shrinkwrap-deps.json": "0a6205550d411d42b6d36324572e5e2a0ba166b2",
29
29
  "libraries/protocol/temp/package-deps.json": "68f1211ef6fa964309505e53f0b94ddcaf6d2909",
30
- "libraries/transfer/temp/package-deps.json": "c7e6540230425de9372b9817e0311a13a51d3422",
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- "libraries/data-account/temp/package-deps.json": "9be03165ffc03d1ebe7c93f1acba11bd35e4b89c",
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- "libraries/data-order/temp/package-deps.json": "731f14faef09e1d43637a778fe2214c940d15ce3",
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+ "libraries/transfer/temp/package-deps.json": "b2172632c3a3b19d5826f422ce390334ebd29f07",
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+ "libraries/data-account/temp/package-deps.json": "2144511ab715a1601e984a443e4eba9ec0524372",
32
+ "libraries/data-order/temp/package-deps.json": "6205d96b3edd4f1570cc3ebf3dddc8c62a31f26b",
33
33
  "libraries/utils/temp/package-deps.json": "c0ccd6946461153e7eb1b04a3061e075788fad2a",
34
- "libraries/sql/temp/package-deps.json": "0d5252756a74ebb7ec08680f8a8b4be12241a90d",
35
- "libraries/data-series/temp/package-deps.json": "d165e48d81cb126840dea31435e03776c76baf4d",
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- "libraries/data-product/temp/package-deps.json": "bc7c03c62de2df960d705469d0c42d851cd51a62",
37
- "libraries/data-ohlc/temp/package-deps.json": "106c33d9c2f3ff01b21e764bf9a6ffd383353d0e",
38
- "libraries/data-interest-rate/temp/package-deps.json": "aa7bfce06421a83b35809a13b8cecb2f35c21b12",
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- "libraries/data-quote/temp/package-deps.json": "7cd7c110193b497e4f4ed111a090f8c55593c5e2",
40
- "libraries/data-trade/temp/package-deps.json": "1d0b7fde514dc6ac87844ffe0d3dc9c2ab5a38b0",
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- "libraries/secret/temp/package-deps.json": "bc18c8383f4c1511ff2b37e47a3df5b46a763de2",
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+ "libraries/sql/temp/package-deps.json": "ad3a35187374a87704492b34a5d287432d96b6f5",
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+ "libraries/data-series/temp/package-deps.json": "e449261379774595e4fd0b1033bb8409afe4fb9c",
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+ "libraries/data-product/temp/package-deps.json": "e9a9715ab74c3d2c301ef5e301d14fa8a0e4e445",
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+ "libraries/data-ohlc/temp/package-deps.json": "5c888fdba40a855dcd84a6ed170a2af4eb07fedf",
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+ "libraries/data-interest-rate/temp/package-deps.json": "7eba2fb9af329c328497677d58a39a62bccf84cc",
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+ "libraries/data-quote/temp/package-deps.json": "91cce4546eb249249e2818412e9d7bf033f27567",
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+ "libraries/data-trade/temp/package-deps.json": "637fc4607f8ab223717642ec6b9a0d8d3272cc90",
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+ "libraries/secret/temp/package-deps.json": "37a1d4fa9de6cc38b4df8b05137442bfb845becc",
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42
  "libraries/extension/temp/package-deps.json": "abcd1ce716b9fd88f33173d01f02c4c3a9462009",
43
43
  "tools/toolkit/temp/package-deps.json": "3bef053db16659f0cdaceea64c8a8580c0131633"
44
44
  }