npm - @yuants/vendor-okx - Versions diffs - 0.23.23 → 0.23.24 - Mend

@yuants/vendor-okx 0.23.23 → 0.23.24

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 (52) hide show

package/lib/legacy_index.js.map CHANGED Viewed

	@@ -1 +1 @@
1	- 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{ IOrder } from '@yuants/data-order';\nimport { Terminal } from '@yuants/protocol';\nimport { addAccountTransferAddress } from '@yuants/transfer';\nimport { decodePath, encodePath, formatTime, roundToStep } from '@yuants/utils';\nimport { defer, filter, firstValueFrom, from, map, mergeMap, repeat, retry, shareReplay } from 'rxjs';\nimport { accountConfig$, tradingAccountId$ } from './account';\nimport { client } from './api';\nimport { productService } from './product';\nimport { spotMarketTickers$ } from './quote';\n\nconst terminal = Terminal.fromNodeEnv();\n\nconsole.info(formatTime(Date.now()), 'Terminal', terminal.terminalInfo.terminal_id);\n\nconst resOfAssetCurrencies = defer(() => client.getAssetCurrencies()).pipe(\n repeat({ delay: 3600_000 }),\n retry({ delay: 10_000 }),\n shareReplay(1),\n);\n\nresOfAssetCurrencies.subscribe(); // make it hot\n\nconst memoizeMap = <T extends (...params: any[]) => any>(fn: T): T => {\n const cache: Record<string, any> = {};\n return ((...params: any[]) => (cache[encodePath(params)] ??= fn(...params))) as T;\n};\n\nconst fundingRate$ = memoizeMap((product_id: string) =>\n defer(() => client.getFundingRate({ instId: decodePath(product_id)[1] })).pipe(\n mergeMap((x) => x.data),\n repeat({ delay: 5000 }),\n retry({ delay: 5000 }),\n shareReplay(1),\n ),\n);\n\nconst interestRateLoanQuota$ = defer(() => client.getInterestRateLoanQuota()).pipe(\n repeat({ delay: 60_000 }),\n retry({ delay: 60_000 }),\n shareReplay(1),\n);\n\nconst interestRateByCurrency$ = memoizeMap((currency: string) =>\n interestRateLoanQuota$.pipe(\n mergeMap((x) =>\n from(x.data \|\| []).pipe(\n mergeMap((x) => x.basic),\n filter((x) => x.ccy === currency),\n map((x) => +x.rate),\n ),\n ),\n shareReplay(1),\n ),\n);\n\n// provideTicks(terminal, 'OKX', (product_id) => {\n// const [instType, instId] = decodePath(product_id);\n// if (instType === 'SWAP') {\n// return defer(async () => {\n// const products = await firstValueFrom(usdtSwapProducts$);\n// const theProduct = products.find((x) => x.product_id === product_id);\n// if (!theProduct) throw `No Found ProductID ${product_id}`;\n// const theTicker$ = swapMarketTickers$.pipe(\n// map((x) => x[instId]),\n// shareReplay(1),\n// );\n// return [of(theProduct), theTicker$, fundingRate$(product_id), swapOpenInterest$] as const;\n// }).pipe(\n// catchError(() => EMPTY),\n// mergeMap((x) =>\n// combineLatest(x).pipe(\n// map(([theProduct, ticker, fundingRate, swapOpenInterest]): ITick => {\n// return {\n// datasource_id: 'OKX',\n// product_id,\n// updated_at: Date.now(),\n// settlement_scheduled_at: +fundingRate.fundingTime,\n// price: +ticker.last,\n// ask: +ticker.askPx,\n// bid: +ticker.bidPx,\n// volume: +ticker.lastSz,\n// interest_rate_for_long: -+fundingRate.fundingRate,\n// interest_rate_for_short: +fundingRate.fundingRate,\n// open_interest: swapOpenInterest.get(instId),\n// };\n// }),\n// ),\n// ),\n// );\n// }\n// if (instType === 'MARGIN') {\n// return defer(async () => {\n// const products = await firstValueFrom(marginProducts$);\n// const theProduct = products.find((x) => x.product_id === product_id);\n// if (!theProduct) throw `No Found ProductID ${product_id}`;\n// const theTicker$ = spotMarketTickers$.pipe(\n// map((x) => x[instId]),\n// shareReplay(1),\n// );\n// return [\n// of(theProduct),\n// theTicker$,\n// interestRateByCurrency$(theProduct.base_currency!),\n// interestRateByCurrency$(theProduct.quote_currency!),\n// ] as const;\n// }).pipe(\n// catchError(() => EMPTY),\n// mergeMap((x) =>\n// combineLatest(x).pipe(\n// map(\n// ([theProduct, ticker, interestRateForBase, interestRateForQuote]): ITick => ({\n// datasource_id: 'OKX',\n// product_id,\n// updated_at: Date.now(),\n// price: +ticker.last,\n// volume: +ticker.lastSz,\n// // 在下一个整点扣除利息 See 如何计算利息 https://www.okx.com/zh-hans/help/how-to-calculate-borrowing-interest\n// settlement_scheduled_at: new Date().setMinutes(0, 0, 0) + 3600_000,\n// interest_rate_for_long: -interestRateForQuote / 24,\n// interest_rate_for_short: -interestRateForBase / 24,\n// }),\n// ),\n// ),\n// ),\n// );\n// }\n// return EMPTY;\n// });\n\ndefer(async () => {\n const account_config = await firstValueFrom(accountConfig$);\n console.info(formatTime(Date.now()), 'AccountConfig', JSON.stringify(account_config));\n const { mainUid, uid } = account_config.data[0];\n const isMainAccount = mainUid === uid;\n\n const TRADING_ACCOUNT_ID = `okx/${uid}/trading`;\n const FUNDING_ACCOUNT_ID = `okx/${uid}/funding/USDT`;\n const EARNING_ACCOUNT_ID = `okx/${uid}/earning/USDT`;\n\n // BLOCK_CHAIN: only available for main account\n if (isMainAccount) {\n const depositAddressRes = await client.getAssetDepositAddress({ ccy: 'USDT' });\n console.info(formatTime(Date.now()), 'DepositAddress', JSON.stringify(depositAddressRes.data));\n const addresses = depositAddressRes.data.filter((v) => v.chain === 'USDT-TRC20' && v.to === '6');\n for (const address of addresses) {\n addAccountTransferAddress({\n terminal,\n account_id: FUNDING_ACCOUNT_ID,\n network_id: 'TRC20',\n currency: 'USDT',\n address: address.addr,\n onApply: {\n INIT: async (order) => {\n if (\n !order.current_amount \|\|\n order.current_amount < 3 // 最小提币额度\n ) {\n return { state: 'ERROR', message: 'Amount too small' };\n }\n const res = await firstValueFrom(resOfAssetCurrencies);\n const theRes = res.data?.find((x) => x.ccy === 'USDT' && x.chain === 'USDT-TRC20');\n const _fee = theRes?.minFee;\n if (!_fee) return { state: 'ERROR', message: 'Currency Info not found, cannot get fee' };\n const fee = +_fee;\n const amt = Math.floor(order.current_amount - fee);\n const transferResult = await client.postAssetWithdrawal({\n amt: `${amt}`,\n ccy: 'USDT',\n chain: 'USDT-TRC20',\n fee: `${fee}`,\n dest: '4', // 链上提币\n toAddr: order.current_rx_address!,\n });\n if (transferResult.code !== '0') {\n return { state: 'INIT', message: transferResult.msg };\n }\n const wdId = transferResult.data[0]?.wdId;\n return { state: 'AWAIT_TX_ID', context: wdId };\n },\n AWAIT_TX_ID: async (transferOrder) => {\n const wdId = transferOrder.current_tx_context;\n const withdrawalHistory = await client.getAssetWithdrawalHistory({ wdId });\n const txId = withdrawalHistory.data?.[0]?.txId;\n if (!txId) {\n return { state: 'AWAIT_TX_ID', context: wdId };\n }\n return { state: 'COMPLETE', transaction_id: txId };\n },\n },\n onEval: async (transferOrder) => {\n const checkResult = await client.getAssetDepositHistory({\n ccy: 'USDT',\n txId: transferOrder.current_transaction_id,\n type: '4',\n });\n\n if (checkResult.code !== '0') {\n return {\n state: 'INIT',\n };\n }\n\n if (checkResult.data[0].state !== '2') {\n return { state: 'PENDING' };\n }\n const received_amount = +checkResult.data[0].amt;\n return { state: 'COMPLETE', received_amount };\n },\n });\n }\n }\n\n // Funding-Trading\n {\n const FUNDING_TRADING_NETWORK_ID = `OKX/${uid}/Funding-Trading`;\n addAccountTransferAddress({\n terminal,\n account_id: FUNDING_ACCOUNT_ID,\n network_id: FUNDING_TRADING_NETWORK_ID,\n currency: 'USDT',\n address: 'funding',\n onApply: {\n INIT: async (order) => {\n const transferResult = await client.postAssetTransfer({\n type: '0',\n ccy: 'USDT',\n amt: `${order.current_amount}`,\n from: '6',\n to: '18',\n });\n if (transferResult.code !== '0') {\n return { state: 'INIT', message: transferResult.msg };\n }\n const transaction_id = transferResult.data[0].transId;\n return { state: 'COMPLETE', transaction_id };\n },\n },\n onEval: async (transferOrder) => {\n return { state: 'COMPLETE', received_amount: transferOrder.current_amount };\n },\n });\n addAccountTransferAddress({\n terminal,\n account_id: TRADING_ACCOUNT_ID,\n network_id: FUNDING_TRADING_NETWORK_ID,\n currency: 'USDT',\n address: 'trading',\n onApply: {\n INIT: async (order) => {\n const transferResult = await client.postAssetTransfer({\n type: '0',\n ccy: order.currency,\n amt: `${order.current_amount}`,\n from: '18',\n to: '6',\n });\n if (transferResult.code !== '0') {\n return { state: 'INIT', message: transferResult.msg };\n }\n const transaction_id = transferResult.data[0].transId;\n return { state: 'COMPLETE', transaction_id };\n },\n },\n onEval: async (transferOrder) => {\n return { state: 'COMPLETE', received_amount: transferOrder.current_amount };\n },\n });\n }\n // Funding-Earning\n {\n const FUNDING_EARNING_NETWORK_ID = `OKX/${uid}/Funding-Earning`;\n addAccountTransferAddress({\n terminal,\n account_id: FUNDING_ACCOUNT_ID,\n network_id: FUNDING_EARNING_NETWORK_ID,\n currency: 'USDT',\n address: 'funding',\n onApply: {\n INIT: async (order) => {\n const transferResult = await client.postFinanceSavingsPurchaseRedempt({\n ccy: 'USDT',\n amt: `${order.current_amount}`,\n side: 'purchase',\n rate: '0.01',\n });\n if (transferResult.code !== '0') {\n return { state: 'INIT', message: transferResult.msg };\n }\n return { state: 'COMPLETE', transaction_id: 'ok' };\n },\n },\n onEval: async (transferOrder) => {\n return { state: 'COMPLETE', received_amount: transferOrder.current_amount };\n },\n });\n addAccountTransferAddress({\n terminal,\n account_id: EARNING_ACCOUNT_ID,\n network_id: FUNDING_EARNING_NETWORK_ID,\n currency: 'USDT',\n address: 'earning',\n onApply: {\n INIT: async (order) => {\n const transferResult = await client.postFinanceSavingsPurchaseRedempt({\n ccy: 'USDT',\n amt: `${order.current_amount}`,\n side: 'redempt',\n rate: '0.01',\n });\n if (transferResult.code !== '0') {\n return { state: 'INIT', message: transferResult.msg };\n }\n return { state: 'COMPLETE', transaction_id: 'ok' };\n },\n },\n onEval: async (transferOrder) => {\n return { state: 'COMPLETE', received_amount: transferOrder.current_amount };\n },\n });\n }\n\n // SubAccount\n {\n const getSubAccountNetworkId = (subUid: string) => `OKX/${mainUid}/SubAccount/${subUid}`;\n if (isMainAccount) {\n const subAcctsRes = await client.getSubAccountList();\n for (const item of subAcctsRes.data \|\| []) {\n addAccountTransferAddress({\n terminal,\n account_id: FUNDING_ACCOUNT_ID,\n network_id: getSubAccountNetworkId(item.uid),\n currency: 'USDT',\n address: 'main',\n onApply: {\n INIT: async (order) => {\n const transferResult = await client.postAssetTransfer({\n type: '1',\n ccy: 'USDT',\n amt: `${order.current_amount}`,\n from: '6',\n to: '6',\n subAcct: item.subAcct,\n });\n if (transferResult.code !== '0') {\n return { state: 'INIT', message: transferResult.msg };\n }\n const transaction_id = transferResult.data[0].transId;\n return { state: 'COMPLETE', transaction_id };\n },\n },\n onEval: async (order) => {\n // ISSUE: OKX API Issue: transId is incorrect or transId does not match with ‘ type’\n // const checkResult = await client.getAssetTransferState({ transId: order.current_transaction_id });\n // const received_amount = checkResult?.data?.[0]?.amt;\n // if (!received_amount) {\n // return { state: 'INIT', message: checkResult.msg };\n // }\n // return { state: 'COMPLETE', received_amount: +received_amount };\n\n return { state: 'COMPLETE', received_amount: order.current_amount };\n },\n });\n }\n }\n // SubAccount API\n else {\n addAccountTransferAddress({\n terminal,\n account_id: FUNDING_ACCOUNT_ID,\n network_id: getSubAccountNetworkId(uid),\n currency: 'USDT',\n address: 'sub',\n onApply: {\n INIT: async (order) => {\n const transferResult = await client.postAssetTransfer({\n type: '3',\n ccy: 'USDT',\n amt: `${order.current_amount}`,\n from: '6',\n to: '6',\n });\n if (transferResult.code !== '0') {\n return { state: 'INIT', message: transferResult.msg };\n }\n const transaction_id = transferResult.data[0].transId;\n return { state: 'COMPLETE', transaction_id };\n },\n },\n onEval: async (order) => {\n // ISSUE: OKX API Issue: transId is incorrect or transId does not match with ‘ type’\n // const checkResult = await client.getAssetTransferState({ transId: order.current_transaction_id });\n // const received_amount = checkResult?.data?.[0]?.amt;\n // if (!received_amount) {\n // return { state: 'INIT', message: checkResult.msg };\n // }\n // return { state: 'COMPLETE', received_amount: +received_amount };\n return { state: 'COMPLETE', received_amount: order.current_amount };\n },\n });\n }\n }\n}).subscribe();\n\ndefer(async () => {\n const tradingAccountId = await firstValueFrom(tradingAccountId$);\n terminal.server.provideService<IOrder, { order_id?: string }>(\n 'SubmitOrder',\n {\n required: ['account_id'],\n properties: {\n account_id: { const: tradingAccountId },\n },\n },\n async (msg) => {\n console.info(formatTime(Date.now()), 'SubmitOrder', JSON.stringify(msg));\n const order = msg.req;\n const [instType, instId] = decodePath(order.product_id);\n\n const mapOrderDirectionToSide = (direction?: string) => {\n switch (direction) {\n case 'OPEN_LONG':\n case 'CLOSE_SHORT':\n return 'buy';\n case 'OPEN_SHORT':\n case 'CLOSE_LONG':\n return 'sell';\n }\n throw new Error(`Unknown direction: ${direction}`);\n };\n const mapOrderDirectionToPosSide = (direction?: string) => {\n switch (direction) {\n case 'OPEN_LONG':\n case 'CLOSE_LONG':\n return 'long';\n case 'CLOSE_SHORT':\n case 'OPEN_SHORT':\n return 'short';\n }\n throw new Error(`Unknown direction: ${direction}`);\n };\n const mapOrderTypeToOrdType = (order_type?: string) => {\n switch (order_type) {\n case 'LIMIT':\n return 'limit';\n case 'MARKET':\n return 'market';\n case 'MAKER':\n return 'post_only';\n }\n throw new Error(`Unknown order type: ${order_type}`);\n };\n\n // 交易数量，表示要购买或者出售的数量。\n // 当币币/币币杠杆以限价买入和卖出时，指交易货币数量。\n // 当币币杠杆以市价买入时，指计价货币的数量。\n // 当币币杠杆以市价卖出时，指交易货币的数量。\n // 对于币币市价单，单位由 tgtCcy 决定\n // 当交割、永续、期权买入和卖出时，指合约张数。\n const mapOrderVolumeToSz = async (order: IOrder) => {\n if (instType === 'SWAP') {\n return order.volume;\n }\n if (instType === 'MARGIN') {\n if (order.order_type === 'LIMIT') {\n return order.volume;\n }\n if (order.order_type === 'MAKER') {\n return order.volume;\n }\n if (order.order_type === 'MARKET') {\n if (order.order_direction === 'OPEN_SHORT' \|\| order.order_direction === 'CLOSE_LONG') {\n return order.volume;\n }\n //\n const price = await firstValueFrom(\n spotMarketTickers$.pipe(\n map((x) =>\n mapOrderDirectionToPosSide(order.order_direction) === 'long'\n ? +x[instId].askPx\n : +x[instId].bidPx,\n ),\n ),\n );\n if (!price) {\n throw new Error(`invalid tick: ${price}`);\n }\n console.info(formatTime(Date.now()), 'SubmitOrder', 'price', price);\n const theProduct = await firstValueFrom(\n productService.mapProductIdToProduct$.pipe(map((x) => x.get(order.product_id))),\n );\n if (!theProduct) {\n throw new Error(`Unknown product: ${order.position_id}`);\n }\n return roundToStep(order.volume * price, theProduct.volume_step!);\n }\n\n return 0;\n }\n\n if (instType === 'SPOT') {\n return order.volume;\n }\n\n throw new Error(`Unknown instType: ${instType}`);\n };\n\n const params = {\n instId,\n tdMode: instType === 'SPOT' ? 'cash' : 'cross',\n side: mapOrderDirectionToSide(order.order_direction),\n posSide:\n instType === 'MARGIN' \|\| instType === 'SPOT'\n ? 'net'\n : mapOrderDirectionToPosSide(order.order_direction),\n ordType: mapOrderTypeToOrdType(order.order_type),\n sz: (await mapOrderVolumeToSz(order)).toString(),\n tgtCcy: instType === 'SPOT' && order.order_type === 'MARKET' ? 'base_ccy' : undefined,\n reduceOnly:\n instType === 'MARGIN' && ['CLOSE_LONG', 'CLOSE_SHORT'].includes(order.order_direction ?? '')\n ? 'true'\n : undefined,\n px:\n order.order_type === 'LIMIT' \|\| order.order_type === 'MAKER' ? order.price!.toString() : undefined,\n ccy: instType === 'MARGIN' ? 'USDT' : undefined,\n };\n console.info(formatTime(Date.now()), 'SubmitOrder', 'params', JSON.stringify(params));\n const res = await client.postTradeOrder(params);\n if (res.code === '0' && res.data?.[0]?.ordId) {\n return {\n res: {\n code: 0,\n message: 'OK',\n data: {\n order_id: res.data[0].ordId,\n },\n },\n };\n }\n return { res: { code: +res.code, message: res.msg } };\n },\n );\n\n terminal.server.provideService<IOrder>(\n 'ModifyOrder',\n {\n required: ['account_id'],\n properties: {\n account_id: { const: tradingAccountId },\n },\n },\n async (msg) => {\n console.info(formatTime(Date.now()), 'ModifyOrder', JSON.stringify(msg));\n const order = msg.req;\n const [instType, instId] = decodePath(order.product_id);\n\n const params: any = {\n instId,\n ordId: order.order_id, // 使用现有订单ID\n };\n\n // 如果需要修改价格\n if (order.price !== undefined) {\n params.newPx = order.price.toString();\n }\n\n // 如果需要修改数量\n if (order.volume !== undefined) {\n // 处理数量修改，类似于 SubmitOrder 中的逻辑\n if (instType === 'SWAP') {\n params.newSz = order.volume.toString();\n } else if (instType === 'SPOT') {\n params.newSz = order.volume.toString();\n } else if (instType === 'MARGIN') {\n if (order.order_type === 'LIMIT') {\n params.newSz = order.volume.toString();\n }\n if (order.order_type === 'MAKER') {\n params.newSz = order.volume.toString();\n }\n if (order.order_type === 'MARKET') {\n // 对于市价单，可能需要根据当前价格计算新的数量\n const price = await firstValueFrom(\n spotMarketTickers$.pipe(\n map((x) =>\n order.order_direction === 'OPEN_LONG' \|\| order.order_direction === 'CLOSE_SHORT'\n ? +x[instId].askPx\n : +x[instId].bidPx,\n ),\n ),\n );\n if (!price) {\n throw new Error(`invalid tick: ${price}`);\n }\n console.info(formatTime(Date.now()), 'ModifyOrder', 'price', price);\n const theProduct = await firstValueFrom(\n productService.mapProductIdToProduct$.pipe(map((x) => x.get(order.product_id))),\n );\n if (!theProduct) {\n throw new Error(`Unknown product: ${order.position_id}`);\n }\n params.newSz = roundToStep(order.volume * price, theProduct.volume_step!).toString();\n }\n } else {\n throw new Error(`Unknown instType: ${instType}`);\n }\n }\n\n console.info(formatTime(Date.now()), 'ModifyOrder', 'params', JSON.stringify(params));\n\n const res = await client.postTradeAmendOrder(params);\n if (res.code !== '0') {\n return {\n res: {\n code: +res.code,\n message: res.msg,\n },\n };\n }\n\n return { res: { code: 0, message: 'OK' } };\n },\n );\n\n terminal.server.provideService<IOrder>(\n 'CancelOrder',\n {\n required: ['account_id'],\n properties: {\n account_id: { const: tradingAccountId },\n },\n },\n (msg) =>\n defer(async () => {\n const order = msg.req;\n const [instType, instId] = decodePath(order.product_id);\n const res = await client.postTradeCancelOrder({\n instId,\n ordId: order.order_id,\n });\n if (res.code !== '0') {\n return { res: { code: +res.code, message: res.msg } };\n }\n return { res: { code: 0, message: 'OK' } };\n }),\n );\n}).subscribe();\n"]}
1	+ 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{ IOrder } from '@yuants/data-order';\nimport { Terminal } from '@yuants/protocol';\nimport { addAccountTransferAddress } from '@yuants/transfer';\nimport { decodePath, encodePath, formatTime, roundToStep } from '@yuants/utils';\nimport { defer, filter, firstValueFrom, from, map, mergeMap, repeat, retry, shareReplay } from 'rxjs';\nimport { accountConfig$, tradingAccountId$ } from './account';\nimport { client } from './api';\nimport { productService } from './product';\nimport { getFundingRate, getInterestRateLoanQuota } from './public-api';\nimport { spotMarketTickers$ } from './quote';\n\nconst terminal = Terminal.fromNodeEnv();\n\nconsole.info(formatTime(Date.now()), 'Terminal', terminal.terminalInfo.terminal_id);\n\nconst resOfAssetCurrencies = defer(() => client.getAssetCurrencies()).pipe(\n repeat({ delay: 3600_000 }),\n retry({ delay: 10_000 }),\n shareReplay(1),\n);\n\nresOfAssetCurrencies.subscribe(); // make it hot\n\nconst memoizeMap = <T extends (...params: any[]) => any>(fn: T): T => {\n const cache: Record<string, any> = {};\n return ((...params: any[]) => (cache[encodePath(params)] ??= fn(...params))) as T;\n};\n\nconst fundingRate$ = memoizeMap((product_id: string) =>\n defer(() => getFundingRate({ instId: decodePath(product_id)[1] })).pipe(\n mergeMap((x) => x.data),\n repeat({ delay: 5000 }),\n retry({ delay: 5000 }),\n shareReplay(1),\n ),\n);\n\nconst interestRateLoanQuota$ = defer(() => getInterestRateLoanQuota()).pipe(\n repeat({ delay: 60_000 }),\n retry({ delay: 60_000 }),\n shareReplay(1),\n);\n\nconst interestRateByCurrency$ = memoizeMap((currency: string) =>\n interestRateLoanQuota$.pipe(\n mergeMap((x) =>\n from(x.data \|\| []).pipe(\n mergeMap((x) => x.basic),\n filter((x) => x.ccy === currency),\n map((x) => +x.rate),\n ),\n ),\n shareReplay(1),\n ),\n);\n\n// provideTicks(terminal, 'OKX', (product_id) => {\n// const [instType, instId] = decodePath(product_id);\n// if (instType === 'SWAP') {\n// return defer(async () => {\n// const products = await firstValueFrom(usdtSwapProducts$);\n// const theProduct = products.find((x) => x.product_id === product_id);\n// if (!theProduct) throw `No Found ProductID ${product_id}`;\n// const theTicker$ = swapMarketTickers$.pipe(\n// map((x) => x[instId]),\n// shareReplay(1),\n// );\n// return [of(theProduct), theTicker$, fundingRate$(product_id), swapOpenInterest$] as const;\n// }).pipe(\n// catchError(() => EMPTY),\n// mergeMap((x) =>\n// combineLatest(x).pipe(\n// map(([theProduct, ticker, fundingRate, swapOpenInterest]): ITick => {\n// return {\n// datasource_id: 'OKX',\n// product_id,\n// updated_at: Date.now(),\n// settlement_scheduled_at: +fundingRate.fundingTime,\n// price: +ticker.last,\n// ask: +ticker.askPx,\n// bid: +ticker.bidPx,\n// volume: +ticker.lastSz,\n// interest_rate_for_long: -+fundingRate.fundingRate,\n// interest_rate_for_short: +fundingRate.fundingRate,\n// open_interest: swapOpenInterest.get(instId),\n// };\n// }),\n// ),\n// ),\n// );\n// }\n// if (instType === 'MARGIN') {\n// return defer(async () => {\n// const products = await firstValueFrom(marginProducts$);\n// const theProduct = products.find((x) => x.product_id === product_id);\n// if (!theProduct) throw `No Found ProductID ${product_id}`;\n// const theTicker$ = spotMarketTickers$.pipe(\n// map((x) => x[instId]),\n// shareReplay(1),\n// );\n// return [\n// of(theProduct),\n// theTicker$,\n// interestRateByCurrency$(theProduct.base_currency!),\n// interestRateByCurrency$(theProduct.quote_currency!),\n// ] as const;\n// }).pipe(\n// catchError(() => EMPTY),\n// mergeMap((x) =>\n// combineLatest(x).pipe(\n// map(\n// ([theProduct, ticker, interestRateForBase, interestRateForQuote]): ITick => ({\n// datasource_id: 'OKX',\n// product_id,\n// updated_at: Date.now(),\n// price: +ticker.last,\n// volume: +ticker.lastSz,\n// // 在下一个整点扣除利息 See 如何计算利息 https://www.okx.com/zh-hans/help/how-to-calculate-borrowing-interest\n// settlement_scheduled_at: new Date().setMinutes(0, 0, 0) + 3600_000,\n// interest_rate_for_long: -interestRateForQuote / 24,\n// interest_rate_for_short: -interestRateForBase / 24,\n// }),\n// ),\n// ),\n// ),\n// );\n// }\n// return EMPTY;\n// });\n\ndefer(async () => {\n const account_config = await firstValueFrom(accountConfig$);\n console.info(formatTime(Date.now()), 'AccountConfig', JSON.stringify(account_config));\n const { mainUid, uid } = account_config.data[0];\n const isMainAccount = mainUid === uid;\n\n const TRADING_ACCOUNT_ID = `okx/${uid}/trading`;\n const FUNDING_ACCOUNT_ID = `okx/${uid}/funding/USDT`;\n const EARNING_ACCOUNT_ID = `okx/${uid}/earning/USDT`;\n\n // BLOCK_CHAIN: only available for main account\n if (isMainAccount) {\n const depositAddressRes = await client.getAssetDepositAddress({ ccy: 'USDT' });\n console.info(formatTime(Date.now()), 'DepositAddress', JSON.stringify(depositAddressRes.data));\n const addresses = depositAddressRes.data.filter((v) => v.chain === 'USDT-TRC20' && v.to === '6');\n for (const address of addresses) {\n addAccountTransferAddress({\n terminal,\n account_id: FUNDING_ACCOUNT_ID,\n network_id: 'TRC20',\n currency: 'USDT',\n address: address.addr,\n onApply: {\n INIT: async (order) => {\n if (\n !order.current_amount \|\|\n order.current_amount < 3 // 最小提币额度\n ) {\n return { state: 'ERROR', message: 'Amount too small' };\n }\n const res = await firstValueFrom(resOfAssetCurrencies);\n const theRes = res.data?.find((x) => x.ccy === 'USDT' && x.chain === 'USDT-TRC20');\n const _fee = theRes?.minFee;\n if (!_fee) return { state: 'ERROR', message: 'Currency Info not found, cannot get fee' };\n const fee = +_fee;\n const amt = Math.floor(order.current_amount - fee);\n const transferResult = await client.postAssetWithdrawal({\n amt: `${amt}`,\n ccy: 'USDT',\n chain: 'USDT-TRC20',\n fee: `${fee}`,\n dest: '4', // 链上提币\n toAddr: order.current_rx_address!,\n });\n if (transferResult.code !== '0') {\n return { state: 'INIT', message: transferResult.msg };\n }\n const wdId = transferResult.data[0]?.wdId;\n return { state: 'AWAIT_TX_ID', context: wdId };\n },\n AWAIT_TX_ID: async (transferOrder) => {\n const wdId = transferOrder.current_tx_context;\n const withdrawalHistory = await client.getAssetWithdrawalHistory({ wdId });\n const txId = withdrawalHistory.data?.[0]?.txId;\n if (!txId) {\n return { state: 'AWAIT_TX_ID', context: wdId };\n }\n return { state: 'COMPLETE', transaction_id: txId };\n },\n },\n onEval: async (transferOrder) => {\n const checkResult = await client.getAssetDepositHistory({\n ccy: 'USDT',\n txId: transferOrder.current_transaction_id,\n type: '4',\n });\n\n if (checkResult.code !== '0') {\n return {\n state: 'INIT',\n };\n }\n\n if (checkResult.data[0].state !== '2') {\n return { state: 'PENDING' };\n }\n const received_amount = +checkResult.data[0].amt;\n return { state: 'COMPLETE', received_amount };\n },\n });\n }\n }\n\n // Funding-Trading\n {\n const FUNDING_TRADING_NETWORK_ID = `OKX/${uid}/Funding-Trading`;\n addAccountTransferAddress({\n terminal,\n account_id: FUNDING_ACCOUNT_ID,\n network_id: FUNDING_TRADING_NETWORK_ID,\n currency: 'USDT',\n address: 'funding',\n onApply: {\n INIT: async (order) => {\n const transferResult = await client.postAssetTransfer({\n type: '0',\n ccy: 'USDT',\n amt: `${order.current_amount}`,\n from: '6',\n to: '18',\n });\n if (transferResult.code !== '0') {\n return { state: 'INIT', message: transferResult.msg };\n }\n const transaction_id = transferResult.data[0].transId;\n return { state: 'COMPLETE', transaction_id };\n },\n },\n onEval: async (transferOrder) => {\n return { state: 'COMPLETE', received_amount: transferOrder.current_amount };\n },\n });\n addAccountTransferAddress({\n terminal,\n account_id: TRADING_ACCOUNT_ID,\n network_id: FUNDING_TRADING_NETWORK_ID,\n currency: 'USDT',\n address: 'trading',\n onApply: {\n INIT: async (order) => {\n const transferResult = await client.postAssetTransfer({\n type: '0',\n ccy: order.currency,\n amt: `${order.current_amount}`,\n from: '18',\n to: '6',\n });\n if (transferResult.code !== '0') {\n return { state: 'INIT', message: transferResult.msg };\n }\n const transaction_id = transferResult.data[0].transId;\n return { state: 'COMPLETE', transaction_id };\n },\n },\n onEval: async (transferOrder) => {\n return { state: 'COMPLETE', received_amount: transferOrder.current_amount };\n },\n });\n }\n // Funding-Earning\n {\n const FUNDING_EARNING_NETWORK_ID = `OKX/${uid}/Funding-Earning`;\n addAccountTransferAddress({\n terminal,\n account_id: FUNDING_ACCOUNT_ID,\n network_id: FUNDING_EARNING_NETWORK_ID,\n currency: 'USDT',\n address: 'funding',\n onApply: {\n INIT: async (order) => {\n const transferResult = await client.postFinanceSavingsPurchaseRedempt({\n ccy: 'USDT',\n amt: `${order.current_amount}`,\n side: 'purchase',\n rate: '0.01',\n });\n if (transferResult.code !== '0') {\n return { state: 'INIT', message: transferResult.msg };\n }\n return { state: 'COMPLETE', transaction_id: 'ok' };\n },\n },\n onEval: async (transferOrder) => {\n return { state: 'COMPLETE', received_amount: transferOrder.current_amount };\n },\n });\n addAccountTransferAddress({\n terminal,\n account_id: EARNING_ACCOUNT_ID,\n network_id: FUNDING_EARNING_NETWORK_ID,\n currency: 'USDT',\n address: 'earning',\n onApply: {\n INIT: async (order) => {\n const transferResult = await client.postFinanceSavingsPurchaseRedempt({\n ccy: 'USDT',\n amt: `${order.current_amount}`,\n side: 'redempt',\n rate: '0.01',\n });\n if (transferResult.code !== '0') {\n return { state: 'INIT', message: transferResult.msg };\n }\n return { state: 'COMPLETE', transaction_id: 'ok' };\n },\n },\n onEval: async (transferOrder) => {\n return { state: 'COMPLETE', received_amount: transferOrder.current_amount };\n },\n });\n }\n\n // SubAccount\n {\n const getSubAccountNetworkId = (subUid: string) => `OKX/${mainUid}/SubAccount/${subUid}`;\n if (isMainAccount) {\n const subAcctsRes = await client.getSubAccountList();\n for (const item of subAcctsRes.data \|\| []) {\n addAccountTransferAddress({\n terminal,\n account_id: FUNDING_ACCOUNT_ID,\n network_id: getSubAccountNetworkId(item.uid),\n currency: 'USDT',\n address: 'main',\n onApply: {\n INIT: async (order) => {\n const transferResult = await client.postAssetTransfer({\n type: '1',\n ccy: 'USDT',\n amt: `${order.current_amount}`,\n from: '6',\n to: '6',\n subAcct: item.subAcct,\n });\n if (transferResult.code !== '0') {\n return { state: 'INIT', message: transferResult.msg };\n }\n const transaction_id = transferResult.data[0].transId;\n return { state: 'COMPLETE', transaction_id };\n },\n },\n onEval: async (order) => {\n // ISSUE: OKX API Issue: transId is incorrect or transId does not match with ‘ type’\n // const checkResult = await client.getAssetTransferState({ transId: order.current_transaction_id });\n // const received_amount = checkResult?.data?.[0]?.amt;\n // if (!received_amount) {\n // return { state: 'INIT', message: checkResult.msg };\n // }\n // return { state: 'COMPLETE', received_amount: +received_amount };\n\n return { state: 'COMPLETE', received_amount: order.current_amount };\n },\n });\n }\n }\n // SubAccount API\n else {\n addAccountTransferAddress({\n terminal,\n account_id: FUNDING_ACCOUNT_ID,\n network_id: getSubAccountNetworkId(uid),\n currency: 'USDT',\n address: 'sub',\n onApply: {\n INIT: async (order) => {\n const transferResult = await client.postAssetTransfer({\n type: '3',\n ccy: 'USDT',\n amt: `${order.current_amount}`,\n from: '6',\n to: '6',\n });\n if (transferResult.code !== '0') {\n return { state: 'INIT', message: transferResult.msg };\n }\n const transaction_id = transferResult.data[0].transId;\n return { state: 'COMPLETE', transaction_id };\n },\n },\n onEval: async (order) => {\n // ISSUE: OKX API Issue: transId is incorrect or transId does not match with ‘ type’\n // const checkResult = await client.getAssetTransferState({ transId: order.current_transaction_id });\n // const received_amount = checkResult?.data?.[0]?.amt;\n // if (!received_amount) {\n // return { state: 'INIT', message: checkResult.msg };\n // }\n // return { state: 'COMPLETE', received_amount: +received_amount };\n return { state: 'COMPLETE', received_amount: order.current_amount };\n },\n });\n }\n }\n}).subscribe();\n\ndefer(async () => {\n const tradingAccountId = await firstValueFrom(tradingAccountId$);\n terminal.server.provideService<IOrder, { order_id?: string }>(\n 'SubmitOrder',\n {\n required: ['account_id'],\n properties: {\n account_id: { const: tradingAccountId },\n },\n },\n async (msg) => {\n console.info(formatTime(Date.now()), 'SubmitOrder', JSON.stringify(msg));\n const order = msg.req;\n const [instType, instId] = decodePath(order.product_id);\n\n const mapOrderDirectionToSide = (direction?: string) => {\n switch (direction) {\n case 'OPEN_LONG':\n case 'CLOSE_SHORT':\n return 'buy';\n case 'OPEN_SHORT':\n case 'CLOSE_LONG':\n return 'sell';\n }\n throw new Error(`Unknown direction: ${direction}`);\n };\n const mapOrderDirectionToPosSide = (direction?: string) => {\n switch (direction) {\n case 'OPEN_LONG':\n case 'CLOSE_LONG':\n return 'long';\n case 'CLOSE_SHORT':\n case 'OPEN_SHORT':\n return 'short';\n }\n throw new Error(`Unknown direction: ${direction}`);\n };\n const mapOrderTypeToOrdType = (order_type?: string) => {\n switch (order_type) {\n case 'LIMIT':\n return 'limit';\n case 'MARKET':\n return 'market';\n case 'MAKER':\n return 'post_only';\n }\n throw new Error(`Unknown order type: ${order_type}`);\n };\n\n // 交易数量，表示要购买或者出售的数量。\n // 当币币/币币杠杆以限价买入和卖出时，指交易货币数量。\n // 当币币杠杆以市价买入时，指计价货币的数量。\n // 当币币杠杆以市价卖出时，指交易货币的数量。\n // 对于币币市价单，单位由 tgtCcy 决定\n // 当交割、永续、期权买入和卖出时，指合约张数。\n const mapOrderVolumeToSz = async (order: IOrder) => {\n if (instType === 'SWAP') {\n return order.volume;\n }\n if (instType === 'MARGIN') {\n if (order.order_type === 'LIMIT') {\n return order.volume;\n }\n if (order.order_type === 'MAKER') {\n return order.volume;\n }\n if (order.order_type === 'MARKET') {\n if (order.order_direction === 'OPEN_SHORT' \|\| order.order_direction === 'CLOSE_LONG') {\n return order.volume;\n }\n //\n const price = await firstValueFrom(\n spotMarketTickers$.pipe(\n map((x) =>\n mapOrderDirectionToPosSide(order.order_direction) === 'long'\n ? +x[instId].askPx\n : +x[instId].bidPx,\n ),\n ),\n );\n if (!price) {\n throw new Error(`invalid tick: ${price}`);\n }\n console.info(formatTime(Date.now()), 'SubmitOrder', 'price', price);\n const theProduct = await firstValueFrom(\n productService.mapProductIdToProduct$.pipe(map((x) => x.get(order.product_id))),\n );\n if (!theProduct) {\n throw new Error(`Unknown product: ${order.position_id}`);\n }\n return roundToStep(order.volume * price, theProduct.volume_step!);\n }\n\n return 0;\n }\n\n if (instType === 'SPOT') {\n return order.volume;\n }\n\n throw new Error(`Unknown instType: ${instType}`);\n };\n\n const params = {\n instId,\n tdMode: instType === 'SPOT' ? 'cash' : 'cross',\n side: mapOrderDirectionToSide(order.order_direction),\n posSide:\n instType === 'MARGIN' \|\| instType === 'SPOT'\n ? 'net'\n : mapOrderDirectionToPosSide(order.order_direction),\n ordType: mapOrderTypeToOrdType(order.order_type),\n sz: (await mapOrderVolumeToSz(order)).toString(),\n tgtCcy: instType === 'SPOT' && order.order_type === 'MARKET' ? 'base_ccy' : undefined,\n reduceOnly:\n instType === 'MARGIN' && ['CLOSE_LONG', 'CLOSE_SHORT'].includes(order.order_direction ?? '')\n ? 'true'\n : undefined,\n px:\n order.order_type === 'LIMIT' \|\| order.order_type === 'MAKER' ? order.price!.toString() : undefined,\n ccy: instType === 'MARGIN' ? 'USDT' : undefined,\n };\n console.info(formatTime(Date.now()), 'SubmitOrder', 'params', JSON.stringify(params));\n const res = await client.postTradeOrder(params);\n if (res.code === '0' && res.data?.[0]?.ordId) {\n return {\n res: {\n code: 0,\n message: 'OK',\n data: {\n order_id: res.data[0].ordId,\n },\n },\n };\n }\n return { res: { code: +res.code, message: res.msg } };\n },\n );\n\n terminal.server.provideService<IOrder>(\n 'ModifyOrder',\n {\n required: ['account_id'],\n properties: {\n account_id: { const: tradingAccountId },\n },\n },\n async (msg) => {\n console.info(formatTime(Date.now()), 'ModifyOrder', JSON.stringify(msg));\n const order = msg.req;\n const [instType, instId] = decodePath(order.product_id);\n\n const params: any = {\n instId,\n ordId: order.order_id, // 使用现有订单ID\n };\n\n // 如果需要修改价格\n if (order.price !== undefined) {\n params.newPx = order.price.toString();\n }\n\n // 如果需要修改数量\n if (order.volume !== undefined) {\n // 处理数量修改，类似于 SubmitOrder 中的逻辑\n if (instType === 'SWAP') {\n params.newSz = order.volume.toString();\n } else if (instType === 'SPOT') {\n params.newSz = order.volume.toString();\n } else if (instType === 'MARGIN') {\n if (order.order_type === 'LIMIT') {\n params.newSz = order.volume.toString();\n }\n if (order.order_type === 'MAKER') {\n params.newSz = order.volume.toString();\n }\n if (order.order_type === 'MARKET') {\n // 对于市价单，可能需要根据当前价格计算新的数量\n const price = await firstValueFrom(\n spotMarketTickers$.pipe(\n map((x) =>\n order.order_direction === 'OPEN_LONG' \|\| order.order_direction === 'CLOSE_SHORT'\n ? +x[instId].askPx\n : +x[instId].bidPx,\n ),\n ),\n );\n if (!price) {\n throw new Error(`invalid tick: ${price}`);\n }\n console.info(formatTime(Date.now()), 'ModifyOrder', 'price', price);\n const theProduct = await firstValueFrom(\n productService.mapProductIdToProduct$.pipe(map((x) => x.get(order.product_id))),\n );\n if (!theProduct) {\n throw new Error(`Unknown product: ${order.position_id}`);\n }\n params.newSz = roundToStep(order.volume * price, theProduct.volume_step!).toString();\n }\n } else {\n throw new Error(`Unknown instType: ${instType}`);\n }\n }\n\n console.info(formatTime(Date.now()), 'ModifyOrder', 'params', JSON.stringify(params));\n\n const res = await client.postTradeAmendOrder(params);\n if (res.code !== '0') {\n return {\n res: {\n code: +res.code,\n message: res.msg,\n },\n };\n }\n\n return { res: { code: 0, message: 'OK' } };\n },\n );\n\n terminal.server.provideService<IOrder>(\n 'CancelOrder',\n {\n required: ['account_id'],\n properties: {\n account_id: { const: tradingAccountId },\n },\n },\n (msg) =>\n defer(async () => {\n const order = msg.req;\n const [instType, instId] = decodePath(order.product_id);\n const res = await client.postTradeCancelOrder({\n instId,\n ordId: order.order_id,\n });\n if (res.code !== '0') {\n return { res: { code: +res.code, message: res.msg } };\n }\n return { res: { code: 0, message: 'OK' } };\n }),\n );\n}).subscribe();\n"]}

package/lib/ohlc.js CHANGED Viewed

@@ -17,8 +17,8 @@ const protocol_1 = require("@yuants/protocol");
 const sql_1 = require("@yuants/sql");
 const utils_1 = require("@yuants/utils");
 const rxjs_1 = require("rxjs");
-const api_1 = require("./api");
 const provideOHLCFromTimeBackwardService_1 = require("./provideOHLCFromTimeBackwardService");
+const public_api_1 = require("./public-api");
 const ws_1 = require("./ws");
 // import { useOHLC } from './websocket';
 const terminal = protocol_1.Terminal.fromNodeEnv();
@@ -85,7 +85,7 @@ const DURATION_TO_OKX_CANDLE_TYPE = {
             let currentStartTime = ended_at;
             while (true) {
                 // 向前翻页，时间降序，不含 after 时间点
-                const res = yield __await(api_1.client.getHistoryCandles({
+                const res = yield __await((0, public_api_1.getHistoryCandles)({
                     instId,
                     bar,
                     after: `${currentStartTime}`,
@@ -175,7 +175,7 @@ terminal.channel.publishChannel('ohlc', { pattern: `^OKX/` }, (series_id) => {
             throw `unsupported duration: ${duration}`;
         }
         // 从指定时间点向过去获取一页数据
-        const res = await api_1.client.getHistoryCandles({
+        const res = await (0, public_api_1.getHistoryCandles)({
             instId,
             bar,
             after: `${new Date(time).getTime()}`,

package/lib/ohlc.js.map CHANGED Viewed

	@@ -1 +1 @@
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()}`, // 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"]}
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 { provideOHLCFromTimeBackwardService } from './provideOHLCFromTimeBackwardService';\nimport { getHistoryCandles } from './public-api';\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: ${duration}`;\n }\n\n let currentStartTime = ended_at;\n\n while (true) {\n // 向前翻页，时间降序，不含 after 时间点\n const res = await getHistoryCandles({\n instId,\n bar,\n after: `${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: ${duration}`;\n }\n\n // 从指定时间点向过去获取一页数据\n const res = await getHistoryCandles({\n instId,\n bar,\n after: `${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"]}

package/lib/product.js CHANGED Viewed

@@ -4,16 +4,16 @@ exports.productService = void 0;
 const data_product_1 = require("@yuants/data-product");
 const protocol_1 = require("@yuants/protocol");
 const utils_1 = require("@yuants/utils");
-const api_1 = require("./api");
+const public_api_1 = require("./public-api");
 const terminal = protocol_1.Terminal.fromNodeEnv();
 // Provide QueryProducts service with the new design
 exports.productService = (0, data_product_1.provideQueryProductsService)(terminal, 'OKX', async (req) => {
     const products = [];
     // Get all instrument types in parallel
     const [swapInstruments, marginInstruments, spotInstruments] = await Promise.all([
-        api_1.client.getInstruments({ instType: 'SWAP' }),
-        api_1.client.getInstruments({ instType: 'MARGIN' }),
-        api_1.client.getInstruments({ instType: 'SPOT' }),
+        (0, public_api_1.getInstruments)({ instType: 'SWAP' }),
+        (0, public_api_1.getInstruments)({ instType: 'MARGIN' }),
+        (0, public_api_1.getInstruments)({ instType: 'SPOT' }),
     ]);
     // Get USDT swap products
     for (const instrument of swapInstruments.data || []) {

package/lib/product.js.map CHANGED Viewed

	@@ -1 +1 @@
1	- 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{ IProduct, IQueryProductsRequest, provideQueryProductsService } from '@yuants/data-product';\nimport { Terminal } from '@yuants/protocol';\nimport { encodePath } from '@yuants/utils';\nimport { ~~client~~ } from './api';\n\nconst terminal = Terminal.fromNodeEnv();\n\n// Provide QueryProducts service with the new design\nexport const productService = provideQueryProductsService(\n terminal,\n 'OKX',\n async (req: IQueryProductsRequest): Promise<IProduct[]> => {\n const products: IProduct[] = [];\n\n // Get all instrument types in parallel\n const [swapInstruments, marginInstruments, spotInstruments] = await Promise.all([\n ~~client.~~getInstruments({ instType: 'SWAP' }),\n ~~client.~~getInstruments({ instType: 'MARGIN' }),\n ~~client.~~getInstruments({ instType: 'SPOT' }),\n ]);\n\n // Get USDT swap products\n for (const instrument of swapInstruments.data \|\| []) {\n if (instrument.ctType === 'linear' && instrument.settleCcy === 'USDT' && +instrument.lever > 0) {\n products.push({\n datasource_id: 'OKX',\n product_id: encodePath(instrument.instType, instrument.instId),\n name: `${instrument.ctValCcy}-${instrument.settleCcy}-PERP`,\n base_currency: instrument.ctValCcy,\n quote_currency: instrument.settleCcy,\n value_scale: +instrument.ctVal,\n volume_step: +instrument.lotSz,\n price_step: +instrument.tickSz,\n margin_rate: 1 / +instrument.lever,\n value_scale_unit: '',\n value_based_cost: 0,\n volume_based_cost: 0,\n max_position: 0,\n max_volume: 0,\n allow_long: true,\n allow_short: true,\n market_id: 'OKX',\n no_interest_rate: false,\n });\n }\n }\n\n // Get margin products\n for (const instrument of marginInstruments.data \|\| []) {\n if (+instrument.lever > 0) {\n products.push({\n datasource_id: 'OKX',\n product_id: encodePath(instrument.instType, instrument.instId),\n base_currency: instrument.baseCcy,\n quote_currency: instrument.quoteCcy,\n value_scale: 1,\n volume_step: +instrument.lotSz,\n price_step: +instrument.tickSz,\n margin_rate: 1 / +instrument.lever,\n name: `${instrument.baseCcy}-${instrument.quoteCcy}-MARGIN`,\n value_scale_unit: '',\n value_based_cost: 0,\n volume_based_cost: 0,\n max_position: 0,\n max_volume: 0,\n allow_long: true,\n allow_short: true,\n market_id: 'OKX',\n no_interest_rate: false,\n });\n }\n }\n\n // Get spot products\n for (const instrument of spotInstruments.data \|\| []) {\n products.push({\n datasource_id: 'OKX',\n product_id: encodePath(instrument.instType, instrument.instId),\n base_currency: instrument.baseCcy,\n quote_currency: instrument.quoteCcy,\n value_scale: 1,\n volume_step: +instrument.lotSz,\n price_step: +instrument.tickSz,\n margin_rate: 1,\n name: `${instrument.baseCcy}-${instrument.quoteCcy}-SPOT`,\n value_scale_unit: '',\n value_based_cost: 0,\n volume_based_cost: 0,\n max_position: 0,\n max_volume: 0,\n allow_long: true,\n allow_short: true,\n market_id: 'OKX',\n no_interest_rate: true,\n });\n }\n\n return products;\n },\n {\n auto_refresh_interval: 3600_000,\n },\n);\n"]}
1	+ 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{ IProduct, IQueryProductsRequest, provideQueryProductsService } from '@yuants/data-product';\nimport { Terminal } from '@yuants/protocol';\nimport { encodePath } from '@yuants/utils';\nimport { getInstruments } from './public-api';\n\nconst terminal = Terminal.fromNodeEnv();\n\n// Provide QueryProducts service with the new design\nexport const productService = provideQueryProductsService(\n terminal,\n 'OKX',\n async (req: IQueryProductsRequest): Promise<IProduct[]> => {\n const products: IProduct[] = [];\n\n // Get all instrument types in parallel\n const [swapInstruments, marginInstruments, spotInstruments] = await Promise.all([\n getInstruments({ instType: 'SWAP' }),\n getInstruments({ instType: 'MARGIN' }),\n getInstruments({ instType: 'SPOT' }),\n ]);\n\n // Get USDT swap products\n for (const instrument of swapInstruments.data \|\| []) {\n if (instrument.ctType === 'linear' && instrument.settleCcy === 'USDT' && +instrument.lever > 0) {\n products.push({\n datasource_id: 'OKX',\n product_id: encodePath(instrument.instType, instrument.instId),\n name: `${instrument.ctValCcy}-${instrument.settleCcy}-PERP`,\n base_currency: instrument.ctValCcy,\n quote_currency: instrument.settleCcy,\n value_scale: +instrument.ctVal,\n volume_step: +instrument.lotSz,\n price_step: +instrument.tickSz,\n margin_rate: 1 / +instrument.lever,\n value_scale_unit: '',\n value_based_cost: 0,\n volume_based_cost: 0,\n max_position: 0,\n max_volume: 0,\n allow_long: true,\n allow_short: true,\n market_id: 'OKX',\n no_interest_rate: false,\n });\n }\n }\n\n // Get margin products\n for (const instrument of marginInstruments.data \|\| []) {\n if (+instrument.lever > 0) {\n products.push({\n datasource_id: 'OKX',\n product_id: encodePath(instrument.instType, instrument.instId),\n base_currency: instrument.baseCcy,\n quote_currency: instrument.quoteCcy,\n value_scale: 1,\n volume_step: +instrument.lotSz,\n price_step: +instrument.tickSz,\n margin_rate: 1 / +instrument.lever,\n name: `${instrument.baseCcy}-${instrument.quoteCcy}-MARGIN`,\n value_scale_unit: '',\n value_based_cost: 0,\n volume_based_cost: 0,\n max_position: 0,\n max_volume: 0,\n allow_long: true,\n allow_short: true,\n market_id: 'OKX',\n no_interest_rate: false,\n });\n }\n }\n\n // Get spot products\n for (const instrument of spotInstruments.data \|\| []) {\n products.push({\n datasource_id: 'OKX',\n product_id: encodePath(instrument.instType, instrument.instId),\n base_currency: instrument.baseCcy,\n quote_currency: instrument.quoteCcy,\n value_scale: 1,\n volume_step: +instrument.lotSz,\n price_step: +instrument.tickSz,\n margin_rate: 1,\n name: `${instrument.baseCcy}-${instrument.quoteCcy}-SPOT`,\n value_scale_unit: '',\n value_based_cost: 0,\n volume_based_cost: 0,\n max_position: 0,\n max_volume: 0,\n allow_long: true,\n allow_short: true,\n market_id: 'OKX',\n no_interest_rate: true,\n });\n }\n\n return products;\n },\n {\n auto_refresh_interval: 3600_000,\n },\n);\n"]}