@yuants/vendor-okx 0.23.0 → 0.23.2
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- package/dist/ohlc.js.map +1 -1
- package/dist/provideSeriesFromTimeBackwardService.js +11 -6
- package/dist/provideSeriesFromTimeBackwardService.js.map +1 -1
- package/lib/ohlc.js.map +1 -1
- package/lib/provideSeriesFromTimeBackwardService.d.ts +1 -1
- package/lib/provideSeriesFromTimeBackwardService.d.ts.map +1 -1
- package/lib/provideSeriesFromTimeBackwardService.js +11 -6
- package/lib/provideSeriesFromTimeBackwardService.js.map +1 -1
- package/package.json +2 -2
- package/temp/package-deps.json +6 -6
package/dist/ohlc.js.map
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{ IOHLC } from '@yuants/data-ohlc';\nimport { createSeriesProvider } from '@yuants/data-series';\nimport { Terminal } from '@yuants/protocol';\nimport { writeToSQL } from '@yuants/sql';\nimport { convertDurationToOffset, decodePath, formatTime } from '@yuants/utils';\nimport { firstValueFrom, map, timer } from 'rxjs';\nimport { client } from './api';\nimport { provideOHLCFromTimeBackwardService } from './provideOHLCFromTimeBackwardService';\nimport { useOHLC } from './ws';\n// import { useOHLC } from './websocket';\n\nconst terminal = Terminal.fromNodeEnv();\n\n// 时间粒度，默认值1m\n// 如 [1m/3m/5m/15m/30m/1H/2H/4H]\n// 香港时间开盘价k线：[6H/12H/1D/1W/1M]\n// UTC时间开盘价k线：[6Hutc/12Hutc/1Dutc/1Wutc/1Mutc]\n\nconst DURATION_TO_OKX_BAR_TYPE: Record<string, string> = {\n PT1M: '1m',\n PT3M: '3m',\n PT5M: '5m',\n PT15M: '15m',\n PT30M: '30m',\n\n PT1H: '1H',\n PT2H: '2H',\n PT4H: '4H',\n PT6H: '6H',\n PT12H: '12H',\n\n P1D: '1D',\n P1W: '1W',\n P1M: '1M',\n};\n\nconst DURATION_TO_OKX_CANDLE_TYPE: Record<string, string> = {\n PT1M: 'candle1m',\n PT3M: 'candle3m',\n PT5M: 'candle5m',\n PT15M: 'candle15m',\n PT30M: 'candle30m',\n\n PT1H: 'candle1H',\n PT2H: 'candle2H',\n PT4H: 'candle4H',\n PT6H: 'candle6H',\n PT12H: 'candle12H',\n\n P1D: 'candle1D',\n P1W: 'candle1W',\n P1M: 'candle1M',\n};\n\ncreateSeriesProvider<IOHLC>(terminal, {\n tableName: 'ohlc',\n series_id_prefix_parts: ['OKX'],\n reversed: true,\n serviceOptions: { concurrent: 1 },\n queryFn: async function* ({ series_id, ended_at }) {\n const [datasource_id, product_id, duration] = decodePath(series_id);\n const offset = convertDurationToOffset(duration);\n if (!datasource_id) {\n throw 'datasource_id is required';\n }\n if (!product_id) {\n throw 'product_id is required';\n }\n if (!offset) {\n throw 'duration is invalid';\n }\n const [instType, instId] = decodePath(product_id);\n if (!instId) {\n throw `invalid product_id: ${product_id}`;\n }\n\n const bar = DURATION_TO_OKX_BAR_TYPE[duration];\n if (!bar) {\n throw `unsupported duration: ${duration}`;\n }\n\n let currentStartTime = ended_at;\n\n while (true) {\n // 向前翻页，时间降序，不含 after 时间点\n const res = await client.getHistoryCandles({\n instId,\n bar,\n after: `${currentStartTime}`,\n limit: '100',\n });\n if (res.code !== '0') {\n throw `API failed: ${res.code} ${res.msg}`;\n }\n if (res.data.length === 0) break;\n currentStartTime = +res.data[res.data.length - 1][0];\n const data = res.data.map(\n (x): IOHLC => ({\n series_id,\n datasource_id,\n product_id,\n duration,\n created_at: formatTime(+x[0]),\n closed_at: formatTime(+x[0] + offset),\n open: x[1],\n high: x[2],\n low: x[3],\n close: x[4],\n volume: x[5],\n open_interest: '0',\n }),\n );\n yield data;\n await firstValueFrom(timer(1000));\n }\n },\n});\n\nterminal.channel.publishChannel('ohlc', { pattern: `^OKX/` }, (series_id) => {\n const [datasource_id, product_id, duration] = decodePath(series_id);\n const [, instId] = decodePath(product_id);\n const offset = convertDurationToOffset(duration);\n if (!datasource_id) {\n throw 'datasource_id is required';\n }\n if (!product_id) {\n throw 'product_id is required';\n }\n if (!offset) {\n throw 'duration is invalid';\n }\n const candleType = DURATION_TO_OKX_CANDLE_TYPE[duration];\n console.info(formatTime(Date.now()), `subscribe`, series_id, product_id);\n\n return useOHLC(candleType, instId).pipe(\n map((data): IOHLC => {\n const created_at = Number(data[0][0]);\n const closed_at = created_at + offset;\n const open = data[0][1];\n const high = data[0][2];\n const low = data[0][3];\n const close = data[0][4];\n const volume = data[0][5];\n return {\n closed_at: formatTime(closed_at),\n created_at: formatTime(created_at),\n open,\n high,\n low,\n close,\n series_id,\n datasource_id,\n duration,\n product_id,\n volume,\n open_interest: '0',\n };\n }),\n writeToSQL({\n tableName: 'ohlc',\n conflictKeys: ['created_at', 'series_id'],\n writeInterval: 1000,\n terminal: Terminal.fromNodeEnv(),\n }),\n );\n});\n\nprovideOHLCFromTimeBackwardService({\n terminal,\n datasource_id: 'OKX',\n supported_durations: Object.keys(DURATION_TO_OKX_BAR_TYPE),\n queryFn: async ({ series_id, datasource_id, product_id, duration, offset, time }) => {\n const [instType, instId] = decodePath(product_id);\n if (!instId) {\n throw `invalid product_id: ${product_id}`;\n }\n\n const bar = DURATION_TO_OKX_BAR_TYPE[duration];\n if (!bar) {\n throw `unsupported duration: ${duration}`;\n }\n\n // 从指定时间点向过去获取一页数据\n const res = await client.getHistoryCandles({\n instId,\n bar,\n after: `${new Date(time).getTime()}`,\n limit: `300`,\n });\n\n if (res.code !== '0') {\n throw `API failed: ${res.code} ${res.msg}`;\n }\n\n return res.data.map(\n (x): IOHLC => ({\n series_id,\n datasource_id,\n product_id,\n duration,\n created_at: formatTime(+x[0]),\n closed_at: formatTime(+x[0] + offset),\n open: x[1],\n high: x[2],\n low: x[3],\n close: x[4],\n volume: x[5],\n open_interest: '0',\n }),\n );\n },\n serviceOptions: {\n // Rate limit: 20 requests per 2 seconds\n egress_token_capacity: 20,\n egress_token_refill_interval: 2000,\n },\n});\n"]}
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{ IOHLC } from '@yuants/data-ohlc';\nimport { createSeriesProvider } from '@yuants/data-series';\nimport { Terminal } from '@yuants/protocol';\nimport { writeToSQL } from '@yuants/sql';\nimport { convertDurationToOffset, decodePath, formatTime } from '@yuants/utils';\nimport { firstValueFrom, map, timer } from 'rxjs';\nimport { client } from './api';\nimport { provideOHLCFromTimeBackwardService } from './provideOHLCFromTimeBackwardService';\nimport { useOHLC } from './ws';\n// import { useOHLC } from './websocket';\n\nconst terminal = Terminal.fromNodeEnv();\n\n// 时间粒度，默认值1m\n// 如 [1m/3m/5m/15m/30m/1H/2H/4H]\n// 香港时间开盘价k线：[6H/12H/1D/1W/1M]\n// UTC时间开盘价k线：[6Hutc/12Hutc/1Dutc/1Wutc/1Mutc]\n\nconst DURATION_TO_OKX_BAR_TYPE: Record<string, string> = {\n PT1M: '1m',\n PT3M: '3m',\n PT5M: '5m',\n PT15M: '15m',\n PT30M: '30m',\n\n PT1H: '1H',\n PT2H: '2H',\n PT4H: '4H',\n PT6H: '6H',\n PT12H: '12H',\n\n P1D: '1D',\n P1W: '1W',\n P1M: '1M',\n};\n\nconst DURATION_TO_OKX_CANDLE_TYPE: Record<string, string> = {\n PT1M: 'candle1m',\n PT3M: 'candle3m',\n PT5M: 'candle5m',\n PT15M: 'candle15m',\n PT30M: 'candle30m',\n\n PT1H: 'candle1H',\n PT2H: 'candle2H',\n PT4H: 'candle4H',\n PT6H: 'candle6H',\n PT12H: 'candle12H',\n\n P1D: 'candle1D',\n P1W: 'candle1W',\n P1M: 'candle1M',\n};\n\ncreateSeriesProvider<IOHLC>(terminal, {\n tableName: 'ohlc',\n series_id_prefix_parts: ['OKX'],\n reversed: true,\n serviceOptions: { concurrent: 1 },\n queryFn: async function* ({ series_id, ended_at }) {\n const [datasource_id, product_id, duration] = decodePath(series_id);\n const offset = convertDurationToOffset(duration);\n if (!datasource_id) {\n throw 'datasource_id is required';\n }\n if (!product_id) {\n throw 'product_id is required';\n }\n if (!offset) {\n throw 'duration is invalid';\n }\n const [instType, instId] = decodePath(product_id);\n if (!instId) {\n throw `invalid product_id: ${product_id}`;\n }\n\n const bar = DURATION_TO_OKX_BAR_TYPE[duration];\n if (!bar) {\n throw `unsupported duration: ${duration}`;\n }\n\n let currentStartTime = ended_at;\n\n while (true) {\n // 向前翻页，时间降序，不含 after 时间点\n const res = await client.getHistoryCandles({\n instId,\n bar,\n after: `${currentStartTime}`,\n limit: '100',\n });\n if (res.code !== '0') {\n throw `API failed: ${res.code} ${res.msg}`;\n }\n if (res.data.length === 0) break;\n currentStartTime = +res.data[res.data.length - 1][0];\n const data = res.data.map(\n (x): IOHLC => ({\n series_id,\n datasource_id,\n product_id,\n duration,\n created_at: formatTime(+x[0]),\n closed_at: formatTime(+x[0] + offset),\n open: x[1],\n high: x[2],\n low: x[3],\n close: x[4],\n volume: x[5],\n open_interest: '0',\n }),\n );\n yield data;\n await firstValueFrom(timer(1000));\n }\n },\n});\n\nterminal.channel.publishChannel('ohlc', { pattern: `^OKX/` }, (series_id) => {\n const [datasource_id, product_id, duration] = decodePath(series_id);\n const [, instId] = decodePath(product_id);\n const offset = convertDurationToOffset(duration);\n if (!datasource_id) {\n throw 'datasource_id is required';\n }\n if (!product_id) {\n throw 'product_id is required';\n }\n if (!offset) {\n throw 'duration is invalid';\n }\n const candleType = DURATION_TO_OKX_CANDLE_TYPE[duration];\n console.info(formatTime(Date.now()), `subscribe`, series_id, product_id);\n\n return useOHLC(candleType, instId).pipe(\n map((data): IOHLC => {\n const created_at = Number(data[0][0]);\n const closed_at = created_at + offset;\n const open = data[0][1];\n const high = data[0][2];\n const low = data[0][3];\n const close = data[0][4];\n const volume = data[0][5];\n return {\n closed_at: formatTime(closed_at),\n created_at: formatTime(created_at),\n open,\n high,\n low,\n close,\n series_id,\n datasource_id,\n duration,\n product_id,\n volume,\n open_interest: '0',\n };\n }),\n writeToSQL({\n tableName: 'ohlc',\n conflictKeys: ['created_at', 'series_id'],\n writeInterval: 1000,\n terminal: Terminal.fromNodeEnv(),\n }),\n );\n});\n\nprovideOHLCFromTimeBackwardService({\n terminal,\n datasource_id: 'OKX',\n supported_durations: Object.keys(DURATION_TO_OKX_BAR_TYPE),\n queryFn: async ({ series_id, datasource_id, product_id, duration, offset, time }) => {\n const [instType, instId] = decodePath(product_id);\n if (!instId) {\n throw `invalid product_id: ${product_id}`;\n }\n\n const bar = DURATION_TO_OKX_BAR_TYPE[duration];\n if (!bar) {\n throw `unsupported duration: ${duration}`;\n }\n\n // 从指定时间点向过去获取一页数据\n const res = await client.getHistoryCandles({\n instId,\n bar,\n after: `${new Date(time).getTime()}`, // 不包含该时间点 (标准的右开)\n limit: `300`,\n });\n\n if (res.code !== '0') {\n throw `API failed: ${res.code} ${res.msg}`;\n }\n\n return res.data.map(\n (x): IOHLC => ({\n series_id,\n datasource_id,\n product_id,\n duration,\n created_at: formatTime(+x[0]),\n closed_at: formatTime(+x[0] + offset),\n open: x[1],\n high: x[2],\n low: x[3],\n close: x[4],\n volume: x[5],\n open_interest: '0',\n }),\n );\n },\n serviceOptions: {\n // Rate limit: 20 requests per 2 seconds\n egress_token_capacity: 20,\n egress_token_refill_interval: 2000,\n },\n});\n"]}
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@@ -3,7 +3,7 @@ import { encodePath, escapeRegExp } from '@yuants/utils';
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/**
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* Provide series from time backward service
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*
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*
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* 提供从时间点向前 (不包含该时间点) 查询序列数据的服务
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*
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* @public
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*/
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@@ -36,16 +36,21 @@ export const provideSeriesFromTimeBackwardService = (ctx) => {
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const
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}
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const res = await ctx.terminal.client.requestForResponse('QuerySeriesFromTimeBackward', msg.req);
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}
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if (res.data.length > 0) {
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await requestSQL(ctx.terminal, buildInsertManyIntoTableSQL(res.data, 'ohlc', {
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conflictKeys: ['series_id', 'created_at'],
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}));
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count: data.length,
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-
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1
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{ IOHLC } from '@yuants/data-ohlc';\nimport { createSeriesProvider } from '@yuants/data-series';\nimport { Terminal } from '@yuants/protocol';\nimport { writeToSQL } from '@yuants/sql';\nimport { convertDurationToOffset, decodePath, formatTime } from '@yuants/utils';\nimport { firstValueFrom, map, timer } from 'rxjs';\nimport { client } from './api';\nimport { provideOHLCFromTimeBackwardService } from './provideOHLCFromTimeBackwardService';\nimport { useOHLC } from './ws';\n// import { useOHLC } from './websocket';\n\nconst terminal = Terminal.fromNodeEnv();\n\n// 时间粒度，默认值1m\n// 如 [1m/3m/5m/15m/30m/1H/2H/4H]\n// 香港时间开盘价k线：[6H/12H/1D/1W/1M]\n// UTC时间开盘价k线：[6Hutc/12Hutc/1Dutc/1Wutc/1Mutc]\n\nconst DURATION_TO_OKX_BAR_TYPE: Record<string, string> = {\n PT1M: '1m',\n PT3M: '3m',\n PT5M: '5m',\n PT15M: '15m',\n PT30M: '30m',\n\n PT1H: '1H',\n PT2H: '2H',\n PT4H: '4H',\n PT6H: '6H',\n PT12H: '12H',\n\n P1D: '1D',\n P1W: '1W',\n P1M: '1M',\n};\n\nconst DURATION_TO_OKX_CANDLE_TYPE: Record<string, string> = {\n PT1M: 'candle1m',\n PT3M: 'candle3m',\n PT5M: 'candle5m',\n PT15M: 'candle15m',\n PT30M: 'candle30m',\n\n PT1H: 'candle1H',\n PT2H: 'candle2H',\n PT4H: 'candle4H',\n PT6H: 'candle6H',\n PT12H: 'candle12H',\n\n P1D: 'candle1D',\n P1W: 'candle1W',\n P1M: 'candle1M',\n};\n\ncreateSeriesProvider<IOHLC>(terminal, {\n tableName: 'ohlc',\n series_id_prefix_parts: ['OKX'],\n reversed: true,\n serviceOptions: { concurrent: 1 },\n queryFn: async function* ({ series_id, ended_at }) {\n const [datasource_id, product_id, duration] = decodePath(series_id);\n const offset = convertDurationToOffset(duration);\n if (!datasource_id) {\n throw 'datasource_id is required';\n }\n if (!product_id) {\n throw 'product_id is required';\n }\n if (!offset) {\n throw 'duration is invalid';\n }\n const [instType, instId] = decodePath(product_id);\n if (!instId) {\n throw `invalid product_id: ${product_id}`;\n }\n\n const bar = DURATION_TO_OKX_BAR_TYPE[duration];\n if (!bar) {\n throw `unsupported duration: ${duration}`;\n }\n\n let currentStartTime = ended_at;\n\n while (true) {\n // 向前翻页，时间降序，不含 after 时间点\n const res = await client.getHistoryCandles({\n instId,\n bar,\n after: `${currentStartTime}`,\n limit: '100',\n });\n if (res.code !== '0') {\n throw `API failed: ${res.code} ${res.msg}`;\n }\n if (res.data.length === 0) break;\n currentStartTime = +res.data[res.data.length - 1][0];\n const data = res.data.map(\n (x): IOHLC => ({\n series_id,\n datasource_id,\n product_id,\n duration,\n created_at: formatTime(+x[0]),\n closed_at: formatTime(+x[0] + offset),\n open: x[1],\n high: x[2],\n low: x[3],\n close: x[4],\n volume: x[5],\n open_interest: '0',\n }),\n );\n yield data;\n await firstValueFrom(timer(1000));\n }\n },\n});\n\nterminal.channel.publishChannel('ohlc', { pattern: `^OKX/` }, (series_id) => {\n const [datasource_id, product_id, duration] = decodePath(series_id);\n const [, instId] = decodePath(product_id);\n const offset = convertDurationToOffset(duration);\n if (!datasource_id) {\n throw 'datasource_id is required';\n }\n if (!product_id) {\n throw 'product_id is required';\n }\n if (!offset) {\n throw 'duration is invalid';\n }\n const candleType = DURATION_TO_OKX_CANDLE_TYPE[duration];\n console.info(formatTime(Date.now()), `subscribe`, series_id, product_id);\n\n return useOHLC(candleType, instId).pipe(\n map((data): IOHLC => {\n const created_at = Number(data[0][0]);\n const closed_at = created_at + offset;\n const open = data[0][1];\n const high = data[0][2];\n const low = data[0][3];\n const close = data[0][4];\n const volume = data[0][5];\n return {\n closed_at: formatTime(closed_at),\n created_at: formatTime(created_at),\n open,\n high,\n low,\n close,\n series_id,\n datasource_id,\n duration,\n product_id,\n volume,\n open_interest: '0',\n };\n }),\n writeToSQL({\n tableName: 'ohlc',\n conflictKeys: ['created_at', 'series_id'],\n writeInterval: 1000,\n terminal: Terminal.fromNodeEnv(),\n }),\n );\n});\n\nprovideOHLCFromTimeBackwardService({\n terminal,\n datasource_id: 'OKX',\n supported_durations: Object.keys(DURATION_TO_OKX_BAR_TYPE),\n queryFn: async ({ series_id, datasource_id, product_id, duration, offset, time }) => {\n const [instType, instId] = decodePath(product_id);\n if (!instId) {\n throw `invalid product_id: ${product_id}`;\n }\n\n const bar = DURATION_TO_OKX_BAR_TYPE[duration];\n if (!bar) {\n throw `unsupported duration: ${duration}`;\n }\n\n // 从指定时间点向过去获取一页数据\n const res = await client.getHistoryCandles({\n instId,\n bar,\n after: `${new Date(time).getTime()}`,\n limit: `300`,\n });\n\n if (res.code !== '0') {\n throw `API failed: ${res.code} ${res.msg}`;\n }\n\n return res.data.map(\n (x): IOHLC => ({\n series_id,\n datasource_id,\n product_id,\n duration,\n created_at: formatTime(+x[0]),\n closed_at: formatTime(+x[0] + offset),\n open: x[1],\n high: x[2],\n low: x[3],\n close: x[4],\n volume: x[5],\n open_interest: '0',\n }),\n );\n },\n serviceOptions: {\n // Rate limit: 20 requests per 2 seconds\n egress_token_capacity: 20,\n egress_token_refill_interval: 2000,\n },\n});\n"]}
|
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{ IOHLC } from '@yuants/data-ohlc';\nimport { createSeriesProvider } from '@yuants/data-series';\nimport { Terminal } from '@yuants/protocol';\nimport { writeToSQL } from '@yuants/sql';\nimport { convertDurationToOffset, decodePath, formatTime } from '@yuants/utils';\nimport { firstValueFrom, map, timer } from 'rxjs';\nimport { client } from './api';\nimport { provideOHLCFromTimeBackwardService } from './provideOHLCFromTimeBackwardService';\nimport { useOHLC } from './ws';\n// import { useOHLC } from './websocket';\n\nconst terminal = Terminal.fromNodeEnv();\n\n// 时间粒度，默认值1m\n// 如 [1m/3m/5m/15m/30m/1H/2H/4H]\n// 香港时间开盘价k线：[6H/12H/1D/1W/1M]\n// UTC时间开盘价k线：[6Hutc/12Hutc/1Dutc/1Wutc/1Mutc]\n\nconst DURATION_TO_OKX_BAR_TYPE: Record<string, string> = {\n PT1M: '1m',\n PT3M: '3m',\n PT5M: '5m',\n PT15M: '15m',\n PT30M: '30m',\n\n PT1H: '1H',\n PT2H: '2H',\n PT4H: '4H',\n PT6H: '6H',\n PT12H: '12H',\n\n P1D: '1D',\n P1W: '1W',\n P1M: '1M',\n};\n\nconst DURATION_TO_OKX_CANDLE_TYPE: Record<string, string> = {\n PT1M: 'candle1m',\n PT3M: 'candle3m',\n PT5M: 'candle5m',\n PT15M: 'candle15m',\n PT30M: 'candle30m',\n\n PT1H: 'candle1H',\n PT2H: 'candle2H',\n PT4H: 'candle4H',\n PT6H: 'candle6H',\n PT12H: 'candle12H',\n\n P1D: 'candle1D',\n P1W: 'candle1W',\n P1M: 'candle1M',\n};\n\ncreateSeriesProvider<IOHLC>(terminal, {\n tableName: 'ohlc',\n series_id_prefix_parts: ['OKX'],\n reversed: true,\n serviceOptions: { concurrent: 1 },\n queryFn: async function* ({ series_id, ended_at }) {\n const [datasource_id, product_id, duration] = decodePath(series_id);\n const offset = convertDurationToOffset(duration);\n if (!datasource_id) {\n throw 'datasource_id is required';\n }\n if (!product_id) {\n throw 'product_id is required';\n }\n if (!offset) {\n throw 'duration is invalid';\n }\n const [instType, instId] = decodePath(product_id);\n if (!instId) {\n throw `invalid product_id: ${product_id}`;\n }\n\n const bar = DURATION_TO_OKX_BAR_TYPE[duration];\n if (!bar) {\n throw `unsupported duration: ${duration}`;\n }\n\n let currentStartTime = ended_at;\n\n while (true) {\n // 向前翻页，时间降序，不含 after 时间点\n const res = await client.getHistoryCandles({\n instId,\n bar,\n after: `${currentStartTime}`,\n limit: '100',\n });\n if (res.code !== '0') {\n throw `API failed: ${res.code} ${res.msg}`;\n }\n if (res.data.length === 0) break;\n currentStartTime = +res.data[res.data.length - 1][0];\n const data = res.data.map(\n (x): IOHLC => ({\n series_id,\n datasource_id,\n product_id,\n duration,\n created_at: formatTime(+x[0]),\n closed_at: formatTime(+x[0] + offset),\n open: x[1],\n high: x[2],\n low: x[3],\n close: x[4],\n volume: x[5],\n open_interest: '0',\n }),\n );\n yield data;\n await firstValueFrom(timer(1000));\n }\n },\n});\n\nterminal.channel.publishChannel('ohlc', { pattern: `^OKX/` }, (series_id) => {\n const [datasource_id, product_id, duration] = decodePath(series_id);\n const [, instId] = decodePath(product_id);\n const offset = convertDurationToOffset(duration);\n if (!datasource_id) {\n throw 'datasource_id is required';\n }\n if (!product_id) {\n throw 'product_id is required';\n }\n if (!offset) {\n throw 'duration is invalid';\n }\n const candleType = DURATION_TO_OKX_CANDLE_TYPE[duration];\n console.info(formatTime(Date.now()), `subscribe`, series_id, product_id);\n\n return useOHLC(candleType, instId).pipe(\n map((data): IOHLC => {\n const created_at = Number(data[0][0]);\n const closed_at = created_at + offset;\n const open = data[0][1];\n const high = data[0][2];\n const low = data[0][3];\n const close = data[0][4];\n const volume = data[0][5];\n return {\n closed_at: formatTime(closed_at),\n created_at: formatTime(created_at),\n open,\n high,\n low,\n close,\n series_id,\n datasource_id,\n duration,\n product_id,\n volume,\n open_interest: '0',\n };\n }),\n writeToSQL({\n tableName: 'ohlc',\n conflictKeys: ['created_at', 'series_id'],\n writeInterval: 1000,\n terminal: Terminal.fromNodeEnv(),\n }),\n );\n});\n\nprovideOHLCFromTimeBackwardService({\n terminal,\n datasource_id: 'OKX',\n supported_durations: Object.keys(DURATION_TO_OKX_BAR_TYPE),\n queryFn: async ({ series_id, datasource_id, product_id, duration, offset, time }) => {\n const [instType, instId] = decodePath(product_id);\n if (!instId) {\n throw `invalid product_id: ${product_id}`;\n }\n\n const bar = DURATION_TO_OKX_BAR_TYPE[duration];\n if (!bar) {\n throw `unsupported duration: ${duration}`;\n }\n\n // 从指定时间点向过去获取一页数据\n const res = await client.getHistoryCandles({\n instId,\n bar,\n after: `${new Date(time).getTime()}`, // 不包含该时间点 (标准的右开)\n limit: `300`,\n });\n\n if (res.code !== '0') {\n throw `API failed: ${res.code} ${res.msg}`;\n }\n\n return res.data.map(\n (x): IOHLC => ({\n series_id,\n datasource_id,\n product_id,\n duration,\n created_at: formatTime(+x[0]),\n closed_at: formatTime(+x[0] + offset),\n open: x[1],\n high: x[2],\n low: x[3],\n close: x[4],\n volume: x[5],\n open_interest: '0',\n }),\n );\n },\n serviceOptions: {\n // Rate limit: 20 requests per 2 seconds\n egress_token_capacity: 20,\n egress_token_refill_interval: 2000,\n },\n});\n"]}
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{"version":3,"file":"provideSeriesFromTimeBackwardService.d.ts","sourceRoot":"","sources":["../src/provideSeriesFromTimeBackwardService.ts"],"names":[],"mappings":"AAAA,OAAO,EAAE,eAAe,EAAE,QAAQ,EAAE,MAAM,kBAAkB,CAAC;AAI7D;;;;;;GAMG;AACH,eAAO,MAAM,oCAAoC;eACxB,MAAM;gBAAc,MAAM;;cAEvC,QAAQ;UACZ,MAAM;4BACY,MAAM,EAAE;mBACjB;QAAE,SAAS,EAAE,MAAM,CAAC;QAAC,IAAI,EAAE,MAAM,CAAA;KAAE;;
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{"version":3,"file":"provideSeriesFromTimeBackwardService.d.ts","sourceRoot":"","sources":["../src/provideSeriesFromTimeBackwardService.ts"],"names":[],"mappings":"AAAA,OAAO,EAAE,eAAe,EAAE,QAAQ,EAAE,MAAM,kBAAkB,CAAC;AAI7D;;;;;;GAMG;AACH,eAAO,MAAM,oCAAoC;eACxB,MAAM;gBAAc,MAAM;;cAEvC,QAAQ;UACZ,MAAM;4BACY,MAAM,EAAE;mBACjB;QAAE,SAAS,EAAE,MAAM,CAAC;QAAC,IAAI,EAAE,MAAM,CAAA;KAAE;;UA6EnD,CAAC"}
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@@ -6,7 +6,7 @@ const utils_1 = require("@yuants/utils");
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/**
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* Provide series from time backward service
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*
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*
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* 提供从时间点向前 (不包含该时间点) 查询序列数据的服务
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@@ -39,16 +39,21 @@ const provideSeriesFromTimeBackwardService = (ctx) => {
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}
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const res = await ctx.terminal.client.requestForResponse('QuerySeriesFromTimeBackward', msg.req);
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return { res };
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}
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if (res.data.length > 0) {
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await (0, sql_1.requestSQL)(ctx.terminal, (0, sql_1.buildInsertManyIntoTableSQL)(res.data, 'ohlc', {
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}
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count: data.length,
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-
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1
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+
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package/package.json
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{
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"name": "@yuants/vendor-okx",
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"version": "0.23.
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"version": "0.23.2",
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"bin": "lib/cli.js",
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"main": "lib/index.js",
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"files": [
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"@yuants/utils": "0.8.0",
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"@yuants/sql": "0.9.9",
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18
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"@yuants/data-series": "0.3.30",
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-
"@yuants/data-product": "0.3.
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19
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+
"@yuants/data-product": "0.3.2",
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20
20
|
"@yuants/data-ohlc": "0.4.1",
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21
|
"@yuants/data-interest-rate": "0.1.27",
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22
|
"@yuants/data-quote": "0.2.22",
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package/temp/package-deps.json
CHANGED
|
@@ -1,13 +1,13 @@
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1
1
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{
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2
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-
"apps/vendor-okx/CHANGELOG.json": "
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-
"apps/vendor-okx/CHANGELOG.md": "
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2
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+
"apps/vendor-okx/CHANGELOG.json": "6ae75b69531f0183605c2d64c23611daa27437d6",
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3
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+
"apps/vendor-okx/CHANGELOG.md": "2002eca375cb9d751d154c839cfefa73bbbd13dc",
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4
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"apps/vendor-okx/README.md": "ac3d1f6c4c8d73066664699b0bb1b01db02e67a2",
|
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5
5
|
"apps/vendor-okx/api-extractor.json": "62f4fd324425b9a235f0c117975967aab09ced0c",
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6
6
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"apps/vendor-okx/config/jest.config.json": "4bb17bde3ee911163a3edb36a6eb71491d80b1bd",
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"apps/vendor-okx/config/rig.json": "f6c7b5537dc77a3170ba9f008bae3b6c3ee11956",
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"apps/vendor-okx/config/typescript.json": "854907e8a821f2050f6533368db160c649c25348",
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9
|
"apps/vendor-okx/etc/vendor-okx.api.md": "92c54ccd547d2ad81ca6088158ca193e85c208df",
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|
-
"apps/vendor-okx/package.json": "
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+
"apps/vendor-okx/package.json": "16459529b5184a58f38a4bf5a5346c758132c759",
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11
|
"apps/vendor-okx/src/account.ts": "ecfbe5017d6b5d4d1bc833de9f48fe72db76bdb7",
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12
|
"apps/vendor-okx/src/api.ts": "a818895fddbfe76eab517cd0bbba9fafe6c0c2cc",
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13
|
"apps/vendor-okx/src/cli.ts": "9bf6b5559a6c6f33da20e74cc6c5d702c60ec891",
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@@ -17,11 +17,11 @@
|
|
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17
17
|
"apps/vendor-okx/src/legacy_index.ts": "e46abcfaa52f957ce5e8c42ca26cd0fc2c576965",
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18
18
|
"apps/vendor-okx/src/loan-account.ts": "fa37d6e51a992443ddba130e5136de7a58c34286",
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19
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"apps/vendor-okx/src/logger.ts": "d25d427e74f46819a601e0cb17d5358b22c8db7b",
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20
|
-
"apps/vendor-okx/src/ohlc.ts": "
|
|
20
|
+
"apps/vendor-okx/src/ohlc.ts": "01861f583022bf33803bd8d376296d170c4aa8f5",
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"apps/vendor-okx/src/order.ts": "945865088271a194eb1c684af0f10e6b54d89f6b",
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|
"apps/vendor-okx/src/product.ts": "d5aea86778190d0a73f0a61c3b2cf178f3b57df9",
|
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|
"apps/vendor-okx/src/provideOHLCFromTimeBackwardService.ts": "3a44206410b5b73683f2395d6c551549b553d7bd",
|
|
24
|
-
"apps/vendor-okx/src/provideSeriesFromTimeBackwardService.ts": "
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|
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|
+
"apps/vendor-okx/src/provideSeriesFromTimeBackwardService.ts": "daf3c793eb4fc20e59a740bb69e50fadab5f62f0",
|
|
25
25
|
"apps/vendor-okx/src/quote.ts": "e289161a274db61505efcdecfafb817e7376742f",
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|
"apps/vendor-okx/src/services.ts": "7b7df830a6d78b6de5cee44bbcec66f282ab53ab",
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|
"apps/vendor-okx/src/strategy-account.ts": "3d55c425df2688eeb3ecdd3a3ff2e428b10fa2a1",
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"libraries/utils/temp/package-deps.json": "56def945d0e67a9d0ca13447d2333155be0138f2",
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"libraries/sql/temp/package-deps.json": "adefb3abae42a2aadc8202df61264d043f9da5a8",
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"libraries/data-series/temp/package-deps.json": "df9b452ea781a20b4b612a575cf968b69a3e5c10",
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"libraries/data-product/temp/package-deps.json": "
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"libraries/data-product/temp/package-deps.json": "fad5653ecbc27dec15bca2e317b452650985984f",
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41
|
"libraries/data-ohlc/temp/package-deps.json": "7fae1d2dbf0986572876372167d1124d581a6e72",
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42
|
"libraries/data-interest-rate/temp/package-deps.json": "04e45ea7313e52a90b746f37b6eda2e3a093d79f",
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|
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|
"libraries/data-quote/temp/package-deps.json": "cbd932831cad0f4240b147f07f2dd8a046da1bf3",
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