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/quote.js CHANGED Viewed

@@ -5,18 +5,21 @@ 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 public_api_1 = require("./public-api");
 const ws_1 = require("./ws");
 // import { useOpenInterest, useTicker } from './websocket';
-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));
-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));
-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));
+const terminal = protocol_1.Terminal.fromNodeEnv();
+const swapInstruments$ = (0, rxjs_1.defer)(() => (0, public_api_1.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));
+const spotInstruments$ = (0, rxjs_1.defer)(() => (0, public_api_1.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));
+const shallowEqual = (a, b) => a.length === b.length && a.every((v, i) => v === b[i]);
+const spotInstIds$ = spotInstruments$.pipe((0, rxjs_1.map)((items) => items.map((item) => item.instId)), (0, rxjs_1.distinctUntilChanged)(shallowEqual), (0, rxjs_1.shareReplay)(1));
+const spotTickers$ = (0, rxjs_1.defer)(() => (0, public_api_1.getMarketTickers)({ instType: 'SPOT' })).pipe((0, rxjs_1.repeat)({ delay: 5000 }), (0, rxjs_1.retry)({ delay: 5000 }), (0, rxjs_1.shareReplay)(1));
 // depend by SubmitOrders
 exports.spotMarketTickers$ = (0, rxjs_1.defer)(() => spotTickers$).pipe((0, rxjs_1.mergeMap)((x) => (0, rxjs_1.from)(x.data).pipe((0, rxjs_1.map)((x) => [x.instId, x]), (0, rxjs_1.toArray)(), (0, rxjs_1.map)((x) => Object.fromEntries(x)))), (0, rxjs_1.repeat)({ delay: 5000 }), (0, rxjs_1.retry)({ delay: 5000 }), (0, rxjs_1.shareReplay)(1));
 const spotTicker$ = spotInstruments$.pipe((0, rxjs_1.tap)((x) => {
     console.info('SPOT INSTRUMENTS', x.length);
 }), (0, utils_1.listWatch)((x) => x.instId, (x) => (0, ws_1.useTicker)(x.instId), () => true), (0, rxjs_1.share)());
-const quoteOfSwapFromRest$ = (0, rxjs_1.defer)(() => api_1.client.getMarketTickers({ instType: 'SWAP' })).pipe((0, rxjs_1.mergeMap)((x) => x.data || []), (0, rxjs_1.map)((x) => ({
+const quoteOfSwapFromRest$ = (0, rxjs_1.defer)(() => (0, public_api_1.getMarketTickers)({ instType: 'SWAP' })).pipe((0, rxjs_1.mergeMap)((x) => x.data || []), (0, rxjs_1.map)((x) => ({
     datasource_id: 'OKX',
     product_id: (0, utils_1.encodePath)(x.instType, x.instId),
     last_price: x.last,
@@ -25,7 +28,7 @@ const quoteOfSwapFromRest$ = (0, rxjs_1.defer)(() => api_1.client.getMarketTicke
     ask_volume: x.askSz,
     bid_volume: x.bidSz,
 })), (0, rxjs_1.repeat)({ delay: 1000 }), (0, rxjs_1.retry)({ delay: 1000 }));
-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) => [
+const quoteOfSpotAndMarginFromRest$ = (0, rxjs_1.defer)(() => (0, public_api_1.getMarketTickers)({ instType: 'SPOT' })).pipe((0, rxjs_1.mergeMap)((x) => x.data || []), (0, rxjs_1.mergeMap)((x) => [
     {
         datasource_id: 'OKX',
         product_id: (0, utils_1.encodePath)('SPOT', x.instId),
@@ -74,18 +77,84 @@ const quoteOfSpotAndMarginFromWs$ = spotTicker$.pipe((0, rxjs_1.mergeMap)((ticke
         bid_volume: ticker[0].bidSz,
     },
 ]));
-const swapOpenInterests$ = (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));
+const swapOpenInterests$ = (0, rxjs_1.defer)(() => (0, public_api_1.getOpenInterest)({ instType: 'SWAP' })).pipe((0, rxjs_1.repeat)({ delay: 10000 }), (0, rxjs_1.retry)({ delay: 10000 }), (0, rxjs_1.shareReplay)(1));
 const interestRateOfSwapFromWS$ = swapInstruments$.pipe((0, utils_1.listWatch)((x) => x.instId, (x) => (0, ws_1.useOpenInterest)(x.instId), () => true), (0, rxjs_1.map)((x) => ({
     datasource_id: 'OKX',
     product_id: (0, utils_1.encodePath)('SWAP', x[0].instId),
     open_interest: x[0].oi,
 })), (0, rxjs_1.share)());
+const marginPositionTiersMap$ = (0, rxjs_1.defer)(() => spotInstIds$.pipe((0, rxjs_1.first)(), (0, rxjs_1.map)((instIds) => instIds.filter((id) => id.endsWith('USDT') || id.endsWith('USDC'))), (0, rxjs_1.switchMap)((instIds) => {
+    const total = instIds.length;
+    let processed = 0;
+    return (0, rxjs_1.from)(instIds).pipe((0, rxjs_1.concatMap)((instId) => (0, rxjs_1.defer)(async () => {
+        const tiers = await terminal.client.requestForResponseData('OKX/PositionTiers', {
+            instType: 'MARGIN',
+            tdMode: 'cross',
+            instId,
+        });
+        if (!(tiers === null || tiers === void 0 ? void 0 : tiers.data)) {
+            throw new Error(`Failed to load position tiers for ${instId}: ${tiers.msg}`);
+        }
+        return {
+            instId,
+            tiers,
+        };
+    }).pipe((0, rxjs_1.retry)({ delay: 2000 }))), (0, rxjs_1.reduce)((map, { instId, tiers }) => {
+        processed += 1;
+        console.info((0, utils_1.formatTime)(Date.now()), `Loaded margin position tiers ${processed}/${total} (${instId})`);
+        if (tiers === null || tiers === void 0 ? void 0 : tiers.data) {
+            map.set(instId, tiers.data);
+        }
+        return map;
+    }, new Map()));
+}))).pipe(
+//
+(0, rxjs_1.retry)({ delay: 60000 }), (0, rxjs_1.repeat)({ delay: 86400000 }), (0, rxjs_1.shareReplay)(1));
+// Margin 的 open interest 只依赖 position-tier：
+// 1) 启动时先拉全量 MARGIN 仓位档位并缓存，下次直接命中；
+// 2) 档位内只保留同 tier 杠杆最高的记录；
+// 3) 当前策略只使用 tier=1 的 quoteMaxLoan 作为持仓上限，不再混合 /account/max-size；
+// 4) 每个 instId 60 秒刷新一次，并在接口报错时 10 秒重试。
+const marginOpenInterest$ = spotInstIds$.pipe((0, rxjs_1.mergeMap)((instIds) => (0, rxjs_1.from)(instIds).pipe((0, rxjs_1.mergeMap)((instId) => (0, rxjs_1.defer)(async () => {
+    var _a;
+    const tiersMap = await (0, rxjs_1.firstValueFrom)(marginPositionTiersMap$);
+    const tiers = tiersMap.get(instId);
+    if (!(tiers === null || tiers === void 0 ? void 0 : tiers.length)) {
+        return null;
+    }
+    const tierByLevel = tiers
+        .filter((tier) => !tier.instId || tier.instId === instId)
+        .reduce((mapTierToTierInfo, tierInfo) => {
+        const existing = mapTierToTierInfo.get(tierInfo.tier);
+        if (!existing || +tierInfo.maxLever > +existing.maxLever) {
+            mapTierToTierInfo.set(tierInfo.tier, tierInfo);
+        }
+        return mapTierToTierInfo;
+    }, new Map());
+    // 获取一级杠杆的最大可借贷额度作为持仓量
+    const openInterest = +(((_a = tierByLevel.get('1')) === null || _a === void 0 ? void 0 : _a.quoteMaxLoan) || 0);
+    return {
+        instId,
+        openInterest,
+    };
+}).pipe((0, rxjs_1.retry)({ delay: 10000 }), (0, rxjs_1.repeat)({ delay: 60000 }))))), (0, rxjs_1.filter)((result) => result !== null), (0, rxjs_1.map)(({ instId, openInterest }) => {
+    const partial = {
+        datasource_id: 'OKX',
+        product_id: (0, utils_1.encodePath)('MARGIN', instId),
+    };
+    if (typeof openInterest === 'number' && Number.isFinite(openInterest)) {
+        partial.open_interest = `${openInterest}`;
+    }
+    return partial;
+}), (0, rxjs_1.share)());
+marginOpenInterest$.subscribe();
 const quoteSources$ = [
     quoteOfSwapFromWs$,
     interestRateOfSwapFromWS$,
     quoteOfSwapFromRest$,
     quoteOfSpotAndMarginFromWs$,
     quoteOfSpotAndMarginFromRest$,
+    marginOpenInterest$,
 ];
 const quote$ = (0, rxjs_1.defer)(() => (0, rxjs_1.merge)(...quoteSources$.map((x$) => (0, rxjs_1.defer)(() => x$).pipe(
 // 防止单个流关闭导致整体关闭
@@ -96,7 +165,7 @@ const quote$ = (0, rxjs_1.defer)(() => (0, rxjs_1.merge)(...quoteSources$.map((x
 }), (0, rxjs_1.share)());
 // 合并不同来源的数据并进行合并，避免死锁
 if (process.env.WRITE_QUOTE_TO_SQL === 'true') {
-    protocol_1.Terminal.fromNodeEnv().channel.publishChannel('quote', { pattern: `^OKX/` }, (channel_id) => {
+    terminal.channel.publishChannel('quote', { pattern: `^OKX/` }, (channel_id) => {
         const [datasource_id, product_id] = (0, utils_1.decodePath)(channel_id);
         if (!datasource_id) {
             throw 'datasource_id is required';
@@ -108,7 +177,7 @@ if (process.env.WRITE_QUOTE_TO_SQL === 'true') {
     });
     quote$
         .pipe((0, sql_1.writeToSQL)({
-        terminal: protocol_1.Terminal.fromNodeEnv(),
+        terminal,
         writeInterval: 1000,
         tableName: 'quote',
         conflictKeys: ['datasource_id', 'product_id'],

package/lib/quote.js.map CHANGED Viewed

	@@ -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 catchError,\n defer,\n EMPTY,\n filter,\n from,\n groupBy,\n map,\n merge,\n mergeMap,\n repeat,\n retry,\n scan,\n share,\n shareReplay,\n tap,\n toArray,\n} from 'rxjs';\nimport { client } from './api';\nimport { useOpenInterest, useTicker } from './ws';\n// import { useOpenInterest, useTicker } from './websocket';\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$.pipe(\n tap((x) => {\n console.info('SPOT INSTRUMENTS', x.length);\n }),\n listWatch(\n (x) => x.instId,\n (x) => useTicker(x.instId),\n () => true,\n ),\n share(),\n);\n\nconst quoteOfSwapFromRest$ = 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$.pipe(\n listWatch(\n (x) => x.instId,\n (x) => useTicker(x.instId),\n () => true,\n ),\n map(\n (ticker): Partial<IQuote> => ({\n datasource_id: 'OKX',\n product_id: encodePath('SWAP', ticker[0].instId),\n last_price: ticker[0].last,\n ask_price: ticker[0].askPx,\n bid_price: ticker[0].bidPx,\n ask_volume: ticker[0].askSz,\n bid_volume: ticker[0].bidSz,\n }),\n ),\n);\n\nconst quoteOfSpotAndMarginFromWs$ = spotTicker$.pipe(\n mergeMap((ticker): Partial<IQuote>[] => [\n {\n datasource_id: 'OKX',\n product_id: encodePath('SPOT', ticker[0].instId),\n last_price: ticker[0].last,\n ask_price: ticker[0].askPx,\n bid_price: ticker[0].bidPx,\n ask_volume: ticker[0].askSz,\n bid_volume: ticker[0].bidSz,\n },\n {\n datasource_id: 'OKX',\n product_id: encodePath('MARGIN', ticker[0].instId),\n last_price: ticker[0].last,\n ask_price: ticker[0].askPx,\n bid_price: ticker[0].bidPx,\n ask_volume: ticker[0].askSz,\n bid_volume: ticker[0].bidSz,\n },\n ]),\n);\n\nconst swapOpenInterests$ = defer(() => client.getOpenInterest({ instType: 'SWAP' })).pipe(\n repeat({ delay: 10_000 }),\n retry({ delay: 10_000 }),\n shareReplay(1),\n);\n\nconst interestRateOfSwapFromWS$ = swapInstruments$.pipe(\n listWatch(\n (x) => x.instId,\n (x) => useOpenInterest(x.instId),\n () => true,\n ),\n map(\n (x): Partial<IQuote> => ({\n datasource_id: 'OKX',\n product_id: encodePath('SWAP', x[0].instId),\n open_interest: x[0].oi,\n }),\n ),\n share(),\n);\n\nconst quoteSources$ = [\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$).pipe(\n map((x) => new Map(x.data.map((x: any) => [x.instId, +x.oi] as const))),\n shareReplay(1),\n);\n"]}
1	+ 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{ IQuote } from '@yuants/data-quote';\nimport { Terminal } from '@yuants/protocol';\nimport { writeToSQL } from '@yuants/sql';\nimport { decodePath, encodePath, formatTime, listWatch } from '@yuants/utils';\nimport {\n catchError,\n concatMap,\n defer,\n distinctUntilChanged,\n EMPTY,\n filter,\n first,\n firstValueFrom,\n from,\n groupBy,\n map,\n merge,\n mergeMap,\n reduce,\n repeat,\n retry,\n scan,\n share,\n shareReplay,\n switchMap,\n tap,\n toArray,\n} from 'rxjs';\nimport { getInstruments, getMarketTickers, getOpenInterest, getPositionTiers } from './public-api';\nimport { useOpenInterest, useTicker } from './ws';\n// import { useOpenInterest, useTicker } from './websocket';\n\nconst terminal = Terminal.fromNodeEnv();\n\nconst swapInstruments$ = defer(() => 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(() => 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 shallowEqual = (a: string[], b: string[]) => a.length === b.length && a.every((v, i) => v === b[i]);\n\nconst spotInstIds$ = spotInstruments$.pipe(\n map((items) => items.map((item) => item.instId)),\n distinctUntilChanged(shallowEqual),\n shareReplay(1),\n);\n\nconst spotTickers$ = defer(() => 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$.pipe(\n tap((x) => {\n console.info('SPOT INSTRUMENTS', x.length);\n }),\n listWatch(\n (x) => x.instId,\n (x) => useTicker(x.instId),\n () => true,\n ),\n share(),\n);\n\nconst quoteOfSwapFromRest$ = defer(() => 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(() => 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$.pipe(\n listWatch(\n (x) => x.instId,\n (x) => useTicker(x.instId),\n () => true,\n ),\n map(\n (ticker): Partial<IQuote> => ({\n datasource_id: 'OKX',\n product_id: encodePath('SWAP', ticker[0].instId),\n last_price: ticker[0].last,\n ask_price: ticker[0].askPx,\n bid_price: ticker[0].bidPx,\n ask_volume: ticker[0].askSz,\n bid_volume: ticker[0].bidSz,\n }),\n ),\n);\n\nconst quoteOfSpotAndMarginFromWs$ = spotTicker$.pipe(\n mergeMap((ticker): Partial<IQuote>[] => [\n {\n datasource_id: 'OKX',\n product_id: encodePath('SPOT', ticker[0].instId),\n last_price: ticker[0].last,\n ask_price: ticker[0].askPx,\n bid_price: ticker[0].bidPx,\n ask_volume: ticker[0].askSz,\n bid_volume: ticker[0].bidSz,\n },\n {\n datasource_id: 'OKX',\n product_id: encodePath('MARGIN', ticker[0].instId),\n last_price: ticker[0].last,\n ask_price: ticker[0].askPx,\n bid_price: ticker[0].bidPx,\n ask_volume: ticker[0].askSz,\n bid_volume: ticker[0].bidSz,\n },\n ]),\n);\n\nconst swapOpenInterests$ = defer(() => getOpenInterest({ instType: 'SWAP' })).pipe(\n repeat({ delay: 10_000 }),\n retry({ delay: 10_000 }),\n shareReplay(1),\n);\n\nconst interestRateOfSwapFromWS$ = swapInstruments$.pipe(\n listWatch(\n (x) => x.instId,\n (x) => useOpenInterest(x.instId),\n () => true,\n ),\n map(\n (x): Partial<IQuote> => ({\n datasource_id: 'OKX',\n product_id: encodePath('SWAP', x[0].instId),\n open_interest: x[0].oi,\n }),\n ),\n share(),\n);\n\ntype PositionTiersResponse = Awaited<ReturnType<typeof getPositionTiers>>;\ntype PositionTiersEntry = PositionTiersResponse['data'];\n\nconst marginPositionTiersMap$ = defer(() =>\n spotInstIds$.pipe(\n first(),\n map((instIds) => instIds.filter((id) => id.endsWith('USDT') \|\| id.endsWith('USDC'))),\n switchMap((instIds) => {\n const total = instIds.length;\n let processed = 0;\n return from(instIds).pipe(\n concatMap((instId) =>\n defer(async () => {\n const tiers = await terminal.client.requestForResponseData<\n { instType: string; tdMode: string; instId: string },\n PositionTiersResponse\n >('OKX/PositionTiers', {\n instType: 'MARGIN',\n tdMode: 'cross',\n instId,\n });\n if (!tiers?.data) {\n throw new Error(`Failed to load position tiers for ${instId}: ${tiers.msg}`);\n }\n return {\n instId,\n tiers,\n };\n }).pipe(retry({ delay: 2000 })),\n ),\n reduce((map, { instId, tiers }) => {\n processed += 1;\n console.info(\n formatTime(Date.now()),\n `Loaded margin position tiers ${processed}/${total} (${instId})`,\n );\n if (tiers?.data) {\n map.set(instId, tiers.data);\n }\n return map;\n }, new Map<string, PositionTiersEntry>()),\n );\n }),\n ),\n).pipe(\n //\n retry({ delay: 60_000 }),\n repeat({ delay: 86400_000 }),\n shareReplay(1),\n);\n\n// Margin 的 open interest 只依赖 position-tier：\n// 1) 启动时先拉全量 MARGIN 仓位档位并缓存，下次直接命中；\n// 2) 档位内只保留同 tier 杠杆最高的记录；\n// 3) 当前策略只使用 tier=1 的 quoteMaxLoan 作为持仓上限，不再混合 /account/max-size；\n// 4) 每个 instId 60 秒刷新一次，并在接口报错时 10 秒重试。\nconst marginOpenInterest$ = spotInstIds$.pipe(\n mergeMap((instIds) =>\n from(instIds).pipe(\n mergeMap((instId) =>\n defer(async () => {\n const tiersMap = await firstValueFrom(marginPositionTiersMap$);\n const tiers = tiersMap.get(instId);\n if (!tiers?.length) {\n return null;\n }\n\n const tierByLevel = tiers\n .filter((tier) => !tier.instId \|\| tier.instId === instId)\n .reduce((mapTierToTierInfo, tierInfo) => {\n const existing = mapTierToTierInfo.get(tierInfo.tier);\n if (!existing \|\| +tierInfo.maxLever > +existing.maxLever) {\n mapTierToTierInfo.set(tierInfo.tier, tierInfo);\n }\n return mapTierToTierInfo;\n }, new Map<string, (typeof tiers)[number]>());\n // 获取一级杠杆的最大可借贷额度作为持仓量\n const openInterest = +(tierByLevel.get('1')?.quoteMaxLoan \|\| 0);\n\n return {\n instId,\n openInterest,\n };\n }).pipe(retry({ delay: 10_000 }), repeat({ delay: 60_000 })),\n ),\n ),\n ),\n filter((result): result is { instId: string; openInterest: number } => result !== null),\n map(({ instId, openInterest }) => {\n const partial: Partial<IQuote> = {\n datasource_id: 'OKX',\n product_id: encodePath('MARGIN', instId),\n };\n if (typeof openInterest === 'number' && Number.isFinite(openInterest)) {\n partial.open_interest = `${openInterest}`;\n }\n return partial;\n }),\n share(),\n);\n\nmarginOpenInterest$.subscribe();\n\nconst quoteSources$ = [\n quoteOfSwapFromWs$,\n interestRateOfSwapFromWS$,\n quoteOfSwapFromRest$,\n quoteOfSpotAndMarginFromWs$,\n quoteOfSpotAndMarginFromRest$,\n marginOpenInterest$,\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$.pipe(\n //\n scan((acc, cur) => Object.assign(acc, cur), {} as Partial<IQuote>),\n );\n }),\n share(),\n);\n\n// 合并不同来源的数据并进行合并，避免死锁\nif (process.env.WRITE_QUOTE_TO_SQL === 'true') {\n terminal.channel.publishChannel('quote', { pattern: `^OKX/` }, (channel_id) => {\n const [datasource_id, product_id] = decodePath(channel_id);\n if (!datasource_id) {\n throw 'datasource_id is required';\n }\n if (!product_id) {\n throw 'product_id is required';\n }\n return quote$.pipe(filter((x) => x.product_id === product_id));\n });\n\n quote$\n .pipe(\n writeToSQL({\n terminal,\n writeInterval: 1000,\n tableName: 'quote',\n conflictKeys: ['datasource_id', 'product_id'],\n }),\n )\n .subscribe();\n}\n\nexport const swapOpenInterest$ = 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 Viewed

@@ -1,6 +1,6 @@
 {
 	"name": "@yuants/vendor-okx",
-	"version": "0.23.23",
+	"version": "0.23.24",
 	"bin": "lib/cli.js",
 	"main": "lib/index.js",
 	"files": [

package/temp/package-deps.json CHANGED Viewed

@@ -1,28 +1,30 @@
 {
-    "apps/vendor-okx/CHANGELOG.json": "69673ba8815bf7b75abd93da91c78c6959bc4dc7",
-    "apps/vendor-okx/CHANGELOG.md": "95c71c1c6c766cf2f1cf46fce18e14a0c3acfab5",
+    "apps/vendor-okx/CHANGELOG.json": "349de38d564082f436e8daf9c3effcbf995a1458",
+    "apps/vendor-okx/CHANGELOG.md": "c2e055d12fe50b671289c08f383b12cff3198007",
     "apps/vendor-okx/README.md": "ac3d1f6c4c8d73066664699b0bb1b01db02e67a2",
     "apps/vendor-okx/api-extractor.json": "62f4fd324425b9a235f0c117975967aab09ced0c",
     "apps/vendor-okx/config/jest.config.json": "4bb17bde3ee911163a3edb36a6eb71491d80b1bd",
     "apps/vendor-okx/config/rig.json": "f6c7b5537dc77a3170ba9f008bae3b6c3ee11956",
     "apps/vendor-okx/config/typescript.json": "854907e8a821f2050f6533368db160c649c25348",
     "apps/vendor-okx/etc/vendor-okx.api.md": "92c54ccd547d2ad81ca6088158ca193e85c208df",
-    "apps/vendor-okx/package.json": "72649df523520fd9db0fe1f633762135456b435e",
-    "apps/vendor-okx/src/account.ts": "dc7dcb268cda38869c8ba4af5dbdb608aa1cbe77",
-    "apps/vendor-okx/src/api.ts": "1ed5d9e4a758523e5f97183a1e6377bed0d75493",
+    "apps/vendor-okx/package.json": "091a155510f69494329f925c3c1923ce985c8727",
+    "apps/vendor-okx/src/account.ts": "8bd61c3cc0b3183a81415dabd0c5d43e41cafe0f",
+    "apps/vendor-okx/src/api-service.ts": "9f236b61d28781eb75ef3d572e75e3b95e4e305a",
+    "apps/vendor-okx/src/api.ts": "463ee502845b02ae52e71107ddfa468cf5740bb4",
     "apps/vendor-okx/src/cli.ts": "9bf6b5559a6c6f33da20e74cc6c5d702c60ec891",
-    "apps/vendor-okx/src/index.ts": "21c3f194a9572692a949bb307005baf87141fbfb",
-    "apps/vendor-okx/src/interest_rate.ts": "cf3a12813e8703add74de929d5ddda0bf3e7b45f",
-    "apps/vendor-okx/src/legacy_index.ts": "e46abcfaa52f957ce5e8c42ca26cd0fc2c576965",
+    "apps/vendor-okx/src/index.ts": "a57b6e81635c58e2c861f30221b794002941d333",
+    "apps/vendor-okx/src/interest_rate.ts": "192ab4c5fb4cc1075bda57ba3ca6d21b4e5714a9",
+    "apps/vendor-okx/src/legacy_index.ts": "dfda996f2b1869b14155f0e7dd76546623c21c71",
     "apps/vendor-okx/src/loan-account.ts": "fa37d6e51a992443ddba130e5136de7a58c34286",
     "apps/vendor-okx/src/logger.ts": "d25d427e74f46819a601e0cb17d5358b22c8db7b",
     "apps/vendor-okx/src/market-order.ts": "68b5d1bbf56348e06f3091bb5aeb4b9e322b25cb",
-    "apps/vendor-okx/src/ohlc.ts": "01861f583022bf33803bd8d376296d170c4aa8f5",
+    "apps/vendor-okx/src/ohlc.ts": "535f802ef8f3df1468d0e45ba5b7f1b8fa78940c",
     "apps/vendor-okx/src/order.ts": "945865088271a194eb1c684af0f10e6b54d89f6b",
-    "apps/vendor-okx/src/product.ts": "d5aea86778190d0a73f0a61c3b2cf178f3b57df9",
+    "apps/vendor-okx/src/product.ts": "2dfbe23705894e3b2d3883aa69c7a989d32ca1d9",
     "apps/vendor-okx/src/provideOHLCFromTimeBackwardService.ts": "3a44206410b5b73683f2395d6c551549b553d7bd",
     "apps/vendor-okx/src/provideSeriesFromTimeBackwardService.ts": "daf3c793eb4fc20e59a740bb69e50fadab5f62f0",
-    "apps/vendor-okx/src/quote.ts": "e289161a274db61505efcdecfafb817e7376742f",
+    "apps/vendor-okx/src/public-api.ts": "ec41299f0bb0d07ecf74e6879e9483a671b027ce",
+    "apps/vendor-okx/src/quote.ts": "43c1cd945ced4176321c3b852cb491b8ee948683",
     "apps/vendor-okx/src/services.ts": "7b7df830a6d78b6de5cee44bbcec66f282ab53ab",
     "apps/vendor-okx/src/strategy-account.ts": "48e1533b6fd42ff621a789eb991cf094a4a9ee64",
     "apps/vendor-okx/src/trade.ts": "5265a7215b803c5f357842e1ece7ddca53f7e7fc",