@yuants/vendor-okx 0.23.23 → 0.23.25

package/lib/quote.js

@@ -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

@@ -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$).pipe(\n  map((x) => new Map(x.data.map((x: any) => [x.instId, +x.oi] as const))),\n  shareReplay(1),\n);\n"]}
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{ IQuote } from '@yuants/data-quote';\nimport { Terminal } from '@yuants/protocol';\nimport { writeToSQL } from '@yuants/sql';\nimport { decodePath, encodePath, formatTime, listWatch } from '@yuants/utils';\nimport {\n  catchError,\n  concatMap,\n  defer,\n  distinctUntilChanged,\n  EMPTY,\n  filter,\n  first,\n  firstValueFrom,\n  from,\n  groupBy,\n  map,\n  merge,\n  mergeMap,\n  reduce,\n  repeat,\n  retry,\n  scan,\n  share,\n  shareReplay,\n  switchMap,\n  tap,\n  toArray,\n} from 'rxjs';\nimport { getInstruments, getMarketTickers, getOpenInterest, getPositionTiers } from './public-api';\nimport { useOpenInterest, useTicker } from './ws';\n// import { useOpenInterest, useTicker } from './websocket';\n\nconst terminal = Terminal.fromNodeEnv();\n\nconst swapInstruments$ = 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) => [x.instId, +x.oi] as const))),\n  shareReplay(1),\n);\n"]}

package/lib/services.js

@@ -7,6 +7,7 @@ const api_1 = require("./api");
 const terminal = protocol_1.Terminal.fromNodeEnv();
 (0, rxjs_1.defer)(async () => {
     const tradingAccountId = await (0, rxjs_1.firstValueFrom)(account_1.tradingAccountId$);
+    const credential = (0, api_1.getDefaultCredential)();
     terminal.server.provideService('Grid/Algo-Order', {
         required: ['account_id'],
         properties: {
@@ -14,7 +15,7 @@ const terminal = protocol_1.Terminal.fromNodeEnv();
         },
     }, async (msg) => {
         if (msg.req) {
-            const result = await api_1.client.postGridAlgoOrder(msg.req);
+            const result = await (0, api_1.postGridAlgoOrder)(credential, msg.req);
             return { res: { code: 0, message: 'OK', data: result } };
         }
         return { res: { code: 0, message: 'No Params' } };

package/lib/services.js.map

@@ -1 +1 @@
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+{"version":3,"file":"services.js","sourceRoot":"","sources":["../src/services.ts"],"names":[],"mappings":";;AAAA,+CAA4C;AAC5C,+BAA6C;AAC7C,uCAA8C;AAC9C,+BAAgE;AAEhE,MAAM,QAAQ,GAAG,mBAAQ,CAAC,WAAW,EAAE,CAAC;AAExC,IAAA,YAAK,EAAC,KAAK,IAAI,EAAE;IACf,MAAM,gBAAgB,GAAG,MAAM,IAAA,qBAAc,EAAC,2BAAiB,CAAC,CAAC;IACjE,MAAM,UAAU,GAAG,IAAA,0BAAoB,GAAE,CAAC;IAE1C,QAAQ,CAAC,MAAM,CAAC,cAAc,CAC5B,iBAAiB,EACjB;QACE,QAAQ,EAAE,CAAC,YAAY,CAAC;QACxB,UAAU,EAAE;YACV,UAAU,EAAE,EAAE,KAAK,EAAE,gBAAgB,EAAE;SACxC;KACF,EACD,KAAK,EAAE,GAAG,EAAE,EAAE;QACZ,IAAI,GAAG,CAAC,GAAG,EAAE;YACX,MAAM,MAAM,GAAG,MAAM,IAAA,uBAAiB,EAAC,UAAU,EAAE,GAAG,CAAC,GAAU,CAAC,CAAC;YACnE,OAAO,EAAE,GAAG,EAAE,EAAE,IAAI,EAAE,CAAC,EAAE,OAAO,EAAE,IAAI,EAAE,IAAI,EAAE,MAAM,EAAE,EAAE,CAAC;SAC1D;QACD,OAAO,EAAE,GAAG,EAAE,EAAE,IAAI,EAAE,CAAC,EAAE,OAAO,EAAE,WAAW,EAAE,EAAE,CAAC;IACpD,CAAC,CACF,CAAC;AACJ,CAAC,CAAC,CAAC,SAAS,EAAE,CAAC","sourcesContent":["import { Terminal } from '@yuants/protocol';\nimport { defer, firstValueFrom } from 'rxjs';\nimport { tradingAccountId$ } from './account';\nimport { getDefaultCredential, postGridAlgoOrder } from './api';\n\nconst terminal = Terminal.fromNodeEnv();\n\ndefer(async () => {\n  const tradingAccountId = await firstValueFrom(tradingAccountId$);\n  const credential = getDefaultCredential();\n\n  terminal.server.provideService(\n    'Grid/Algo-Order',\n    {\n      required: ['account_id'],\n      properties: {\n        account_id: { const: tradingAccountId },\n      },\n    },\n    async (msg) => {\n      if (msg.req) {\n        const result = await postGridAlgoOrder(credential, msg.req as any);\n        return { res: { code: 0, message: 'OK', data: result } };\n      }\n      return { res: { code: 0, message: 'No Params' } };\n    },\n  );\n}).subscribe();\n"]}

package/lib/strategy-account.d.ts

@@ -13,9 +13,9 @@ export declare const accountConfig$: import("rxjs").Observable<{
         uid: string;
         label: string;
         roleType: string;
-        traderInsts: any[];
+        traderInsts: unknown[];
         spotRoleType: string;
-        spotTraderInsts: any[];
+        spotTraderInsts: unknown[];
         opAuth: string;
         kycLv: string;
         ip: string;

package/lib/strategy-account.d.ts.map

@@ -1 +1 @@
-{"version":3,"file":"strategy-account.d.ts","sourceRoot":"","sources":["../src/strategy-account.ts"],"names":[],"mappings":"AAQA,eAAO,MAAM,cAAc;;;;;;;;;;;;;;;;;;;;;;;;;EAI1B,CAAC;AAEF,eAAO,MAAM,WAAW,mCAIvB,CAAC;AAEF,eAAO,MAAM,kBAAkB,mCAG9B,CAAC"}
+{"version":3,"file":"strategy-account.d.ts","sourceRoot":"","sources":["../src/strategy-account.ts"],"names":[],"mappings":"AASA,eAAO,MAAM,cAAc;;;;;;;;;;;;;;;;;;;;;;;;;EAI1B,CAAC;AAEF,eAAO,MAAM,WAAW,mCAIvB,CAAC;AAEF,eAAO,MAAM,kBAAkB,mCAG9B,CAAC"}

package/lib/strategy-account.js

@@ -7,7 +7,8 @@ const utils_1 = require("@yuants/utils");
 const rxjs_1 = require("rxjs");
 const api_1 = require("./api");
 const terminal = protocol_1.Terminal.fromNodeEnv();
-exports.accountConfig$ = (0, rxjs_1.defer)(() => api_1.client.getAccountConfig()).pipe((0, rxjs_1.repeat)({ delay: 10000 }), (0, rxjs_1.retry)({ delay: 10000 }), (0, rxjs_1.shareReplay)(1));
+const credential = (0, api_1.getDefaultCredential)();
+exports.accountConfig$ = (0, rxjs_1.defer)(() => (0, api_1.getAccountConfig)(credential)).pipe((0, rxjs_1.repeat)({ delay: 10000 }), (0, rxjs_1.retry)({ delay: 10000 }), (0, rxjs_1.shareReplay)(1));
 exports.accountUid$ = exports.accountConfig$.pipe((0, rxjs_1.map)((x) => x.data[0].uid), (0, rxjs_1.filter)((x) => !!x), (0, rxjs_1.shareReplay)(1));
 exports.strategyAccountId$ = exports.accountUid$.pipe((0, rxjs_1.map)((uid) => `okx/${uid}/strategy`), (0, rxjs_1.shareReplay)(1));
 (0, rxjs_1.defer)(async () => {
@@ -24,7 +25,7 @@ exports.strategyAccountId$ = exports.accountUid$.pipe((0, rxjs_1.map)((uid) => `
             res: {
                 code: 0,
                 message: 'OK',
-                data: await api_1.client.getGridPositions({ algoOrdType: 'contract_grid', algoId: msg.req.algoId }),
+                data: await (0, api_1.getGridPositions)(credential, { algoOrdType: 'contract_grid', algoId: msg.req.algoId }),
             },
         };
     }, {
@@ -34,7 +35,7 @@ exports.strategyAccountId$ = exports.accountUid$.pipe((0, rxjs_1.map)((uid) => `
     (0, data_account_1.provideAccountInfoService)(terminal, strategyAccountId, async () => {
         // TODO: 需要分页获取所有的网格订单 (每页 100 条)
         const [gridAlgoOrders] = await Promise.all([
-            api_1.client.getGridOrdersAlgoPending({
+            (0, api_1.getGridOrdersAlgoPending)(credential, {
                 algoOrdType: 'contract_grid',
             }),
         ]);

package/lib/strategy-account.js.map

@@ -1 +1 @@
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U : T;\n\n  terminal.server.provideService<\n    { account_id: string; algoId: string },\n    InferPromise<ReturnType<typeof client.getGridPositions>>\n  >(\n    `OKX/QueryGridPositions`,\n    {\n      required: ['account_id', 'algoId'],\n      properties: {\n        account_id: { type: 'string', const: strategyAccountId },\n        algoId: { type: 'string' },\n      },\n    },\n    async (msg) => {\n      //\n      return {\n        res: {\n          code: 0,\n          message: 'OK',\n          data: await client.getGridPositions({ algoOrdType: 'contract_grid', algoId: msg.req.algoId }),\n        },\n      };\n    },\n    {\n      egress_token_capacity: 20,\n      egress_token_refill_interval: 4000, // 每 4 秒恢复 20 个令牌 (双倍冗余限流)\n    },\n  );\n\n  provideAccountInfoService(\n    terminal,\n    strategyAccountId,\n    async () => {\n      // TODO: 需要分页获取所有的网格订单 (每页 100 条)\n      const [gridAlgoOrders] = await Promise.all([\n        client.getGridOrdersAlgoPending({\n          algoOrdType: 'contract_grid',\n        }),\n      ]);\n\n      let totalEquity = 0;\n      const positions: IPosition[] = [];\n\n      const gridPositionsRes = await Promise.all(\n        gridAlgoOrders.data.map((item) =>\n          terminal.client.requestForResponseData<\n            { account_id: string; algoId: string },\n            InferPromise<ReturnType<typeof client.getGridPositions>>\n          >('OKX/QueryGridPositions', {\n            account_id: strategyAccountId,\n            algoId: item.algoId,\n          }),\n        ),\n      );\n\n      gridPositionsRes.forEach((gridPositions, index) => {\n        let positionValuation = 0;\n        const leverage = +gridAlgoOrders.data?.[index].actualLever;\n        gridPositions?.data?.forEach((position) => {\n          if (+position.pos !== 0) {\n            const directionRaw = gridAlgoOrders.data?.[index]?.direction ?? 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U : T;\n\n  terminal.server.provideService<\n    { account_id: string; algoId: string },\n    InferPromise<ReturnType<typeof getGridPositions>>\n  >(\n    `OKX/QueryGridPositions`,\n    {\n      required: ['account_id', 'algoId'],\n      properties: {\n        account_id: { type: 'string', const: strategyAccountId },\n        algoId: { type: 'string' },\n      },\n    },\n    async (msg) => {\n      //\n      return {\n        res: {\n          code: 0,\n          message: 'OK',\n          data: await getGridPositions(credential, { algoOrdType: 'contract_grid', algoId: msg.req.algoId }),\n        },\n      };\n    },\n    {\n      egress_token_capacity: 20,\n      egress_token_refill_interval: 4000, // 每 4 秒恢复 20 个令牌 (双倍冗余限流)\n    },\n  );\n\n  provideAccountInfoService(\n    terminal,\n    strategyAccountId,\n    async () => {\n      // TODO: 需要分页获取所有的网格订单 (每页 100 条)\n      const [gridAlgoOrders] = await Promise.all([\n        getGridOrdersAlgoPending(credential, {\n          algoOrdType: 'contract_grid',\n        }),\n      ]);\n\n      let totalEquity = 0;\n      const positions: IPosition[] = [];\n\n      const gridPositionsRes = await Promise.all(\n        gridAlgoOrders.data.map((item) =>\n          terminal.client.requestForResponseData<\n            { account_id: string; algoId: string },\n            InferPromise<ReturnType<typeof getGridPositions>>\n          >('OKX/QueryGridPositions', {\n            account_id: strategyAccountId,\n            algoId: item.algoId,\n          }),\n        ),\n      );\n\n      gridPositionsRes.forEach((gridPositions, index) => {\n        let positionValuation = 0;\n        const leverage = +gridAlgoOrders.data?.[index].actualLever;\n        gridPositions?.data?.forEach((position) => {\n          if (+position.pos !== 0) {\n            const directionRaw = gridAlgoOrders.data?.[index]?.direction ?? '';\n            const direction = directionRaw ? directionRaw.toUpperCase() : 'LONG';\n            positions.push({\n              position_id: encodePath(position.algoId, position.instId),\n              datasource_id: 'OKX',\n              product_id: encodePath(position.instType, position.instId),\n              direction,\n              volume: Math.abs(+position.pos),\n              free_volume: +position.pos,\n              position_price: +position.avgPx,\n              floating_profit: +position.upl,\n              closable_price: +position.last,\n              valuation: +position.notionalUsd,\n            });\n            positionValuation += +position.notionalUsd;\n          }\n        });\n        if (leverage === 0) {\n          // 实际杠杆为 0，说明没有持仓，直接把投资金额和累计盈亏算到净值里\n          totalEquity += +gridAlgoOrders.data?.[index].investment + +gridAlgoOrders.data?.[index].totalPnl;\n        } else {\n          // 历史提取金额不会从 investment, totalPnl 扣减\n          // 计算净值需要通过仓位的名义价值和实际杠杆计算\n          totalEquity += positionValuation / leverage;\n        }\n      });\n\n      return {\n        money: {\n          currency: 'USDT',\n          equity: totalEquity,\n          // TODO: 累计策略的可提取资金作为 free\n          free: 0,\n        },\n        positions,\n      };\n    },\n    { auto_refresh_interval: 5000 },\n  );\n}).subscribe();\n\nconst sub = defer(() => accountUid$)\n  .pipe(first())\n  .subscribe((uid) => {\n    addAccountMarket(terminal, { account_id: `okx/${uid}/strategy`, market_id: 'OKX' });\n  });\ndefer(() => terminal.dispose$).subscribe(() => sub.unsubscribe());\n"]}

package/lib/trade.js

@@ -1,14 +1,15 @@
 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
+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 account_1 = require("./account");
-const utils_1 = require("@yuants/utils");
-const sql_1 = require("@yuants/sql");
-const protocol_1 = require("@yuants/protocol");
+const api_1 = require("./api");
 const tradeParser = async (accountId, params) => {
     const tradeList = [];
-    const result = await api_1.client.getAccountBillsArchive(params);
+    const credential = (0, api_1.getDefaultCredential)();
+    const result = await (0, api_1.getAccountBillsArchive)(credential, params);
     const productIdToProduct = new Map();
     const productIdSet = new Set();
     if (result.code === '0' && result.data) {

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{ defer, first, of, repeat, retry, tap, timeout } from 'rxjs';\nimport { client } from './api';\nimport { ITrade } from '@yuants/data-trade';\nimport { accountUid$ } from './account';\nimport { encodePath, formatTime } from '@yuants/utils';\nimport { buildInsertManyIntoTableSQL, escapeSQL, requestSQL } from '@yuants/sql';\nimport { Terminal } from '@yuants/protocol';\nimport { IProduct } from '@yuants/data-product';\nconst tradeParser = async (accountId: string, params: Record<string, string>): Promise<ITrade[]> => {\n  const tradeList: ITrade[] = [];\n  const result = await client.getAccountBillsArchive(params);\n  const productIdToProduct = new Map<string, IProduct>();\n  const productIdSet = new Set<string>();\n  if (result.code === '0' && result.data) {\n    const data = result.data;\n    const mapTradeIdToBillList = new Map<string, typeof data>();\n    data.forEach((item) => {\n      productIdSet.add(encodePath(item.instType, item.instId));\n      mapTradeIdToBillList.set(item.tradeId, [...(mapTradeIdToBillList.get(item.tradeId) ?? []), item]);\n    });\n    if (productIdSet.size > 0) {\n      const productList = await requestSQL<IProduct[]>(\n        Terminal.fromNodeEnv(),\n        `\n        select * from product where product_id in (${Array.from(productIdSet)\n          .map((productId) => escapeSQL(productId))\n          .join(',')})\n      `,\n      );\n      if (productList.length > 0) {\n        productList.forEach((p) => productIdToProduct.set(p.product_id, p));\n      }\n    }\n    mapTradeIdToBillList.forEach(async (v, tradeId) => {\n      if (!((v[0].instType === 'SPOT' && v.length === 2) || v[0].instType === 'SWAP')) return;\n\n      const trade: ITrade = {\n        id: tradeId,\n        account_id: accountId,\n        product_id: '',\n        direction: '',\n        traded_volume: '',\n        traded_price: '',\n        traded_value: '',\n        post_volume: '',\n        fee: '',\n        fee_currency: '',\n        created_at: '0',\n      };\n\n      v.forEach((bill) => {\n        trade.created_at = Math.max(Number(trade.created_at), Number(bill.ts)).toString();\n        trade.product_id = encodePath(bill.instType, bill.instId);\n        trade.traded_price = bill.px;\n        if (bill.instType === 'SWAP') {\n          if (bill.subType === '1') trade.direction = 'OPEN_LONG';\n          if (bill.subType === '2') trade.direction = 'CLOSE_LONG';\n          if (bill.subType === '3') trade.direction = 'OPEN_LONG';\n          if (bill.subType === '4') trade.direction = 'OPEN_SHORT';\n          if (bill.subType === '5') trade.direction = 'CLOSE_LONG';\n          if (bill.subType === '6') trade.direction = 'CLOSE_SHORT';\n          trade.traded_volume = bill.sz;\n          trade.traded_value = (Number(bill.sz) * Number(bill.px)).toString();\n        }\n        if (bill.instType === 'SPOT') {\n          if (bill.subType === '1') {\n            if (bill.ccy !== 'USDT') {\n              trade.direction = 'OPEN_LONG';\n            } else {\n              trade.direction = 'CLOSE_LONG';\n            }\n          }\n\n          if (bill.ccy !== 'USDT') {\n            trade.traded_volume = bill.sz;\n          }\n          if (bill.ccy === 'USDT') {\n            trade.traded_value = bill.sz;\n          }\n        }\n        // fee\n        if (bill.fee !== '0') {\n          trade.fee = Math.abs(Number(bill.fee)).toString();\n          trade.fee_currency = bill.ccy;\n        }\n      });\n      trade.created_at = formatTime(Number(trade.created_at));\n      if (productIdToProduct.has(trade.product_id)) {\n        trade.traded_value = (\n          +trade.traded_value * +(productIdToProduct.get(trade.product_id)?.value_scale ?? 1)\n        ).toString();\n      } else {\n        throw new Error(`Not Found Product With Product Id: ${trade.product_id}`);\n      }\n      tradeList.push(trade);\n    });\n  }\n  return tradeList;\n};\n\nconst getAccountTradeWithAccountId = async (accountId: string) => {\n  const currentTrade = await requestSQL<ITrade[]>(\n    Terminal.fromNodeEnv(),\n    `\n    select * from trade where account_id=${escapeSQL(accountId)} order by created_at desc limit 1;\n  `,\n  );\n  const params: Record<string, string> = {\n    type: '2',\n    begin: (new Date().getTime() - 1000 * 60 * 60 * 24 * 30 * 3).toString(),\n  };\n  if (currentTrade.length === 1) {\n    params['begin'] = new Date(currentTrade[0].created_at ?? 0).getTime().toString();\n  }\n  console.log(formatTime(Date.now()), 'getAccountTrade', `params: ${JSON.stringify(params)}`);\n  const tradeList = await tradeParser(accountId, params);\n  console.log(formatTime(Date.now()), 'getAccountTrade', `tradeList: ${JSON.stringify(tradeList)}`);\n  await requestSQL(\n    Terminal.fromNodeEnv(),\n    buildInsertManyIntoTableSQL(tradeList, 'trade', {\n      columns: [\n        'id',\n        'account_id',\n        'product_id',\n        'traded_volume',\n        'traded_value',\n        'traded_price',\n        'direction',\n        'fee',\n        'fee_currency',\n        'created_at',\n      ],\n      conflictKeys: ['id'],\n    }),\n  );\n};\n\ndefer(() => accountUid$)\n  .pipe(first())\n  .subscribe((uid) => {\n    const account_id = `okx/${uid}/trading`;\n    console.log(formatTime(Date.now()), 'getAccountTrade', `AccountID: ${account_id}`);\n    defer(() => getAccountTradeWithAccountId(account_id))\n      .pipe(\n        //\n        timeout(10_000), //  超时设定：10 秒\n        tap({\n          error: (err) => {\n            console.error(formatTime(Date.now()), 'getAccountTradeError', err);\n          },\n        }),\n        repeat({ delay: 30_000 }),\n        retry({ delay: 5000 }),\n      )\n      .subscribe();\n  });\n"]}
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{ IProduct } from '@yuants/data-product';\nimport { ITrade } from '@yuants/data-trade';\nimport { Terminal } from '@yuants/protocol';\nimport { buildInsertManyIntoTableSQL, escapeSQL, requestSQL } from '@yuants/sql';\nimport { encodePath, formatTime } from '@yuants/utils';\nimport { defer, first, repeat, retry, tap, timeout } from 'rxjs';\nimport { accountUid$ } from './account';\nimport { getAccountBillsArchive, getDefaultCredential } from './api';\n\nconst tradeParser = async (accountId: string, params: Record<string, string>): Promise<ITrade[]> => {\n  const tradeList: ITrade[] = [];\n  const credential = getDefaultCredential();\n  const result = await getAccountBillsArchive(credential, params);\n  const productIdToProduct = new Map<string, IProduct>();\n  const productIdSet = new Set<string>();\n  if (result.code === '0' && result.data) {\n    const data = result.data;\n    const mapTradeIdToBillList = new Map<string, typeof data>();\n    data.forEach((item) => {\n      productIdSet.add(encodePath(item.instType, item.instId));\n      mapTradeIdToBillList.set(item.tradeId, [...(mapTradeIdToBillList.get(item.tradeId) ?? []), item]);\n    });\n    if (productIdSet.size > 0) {\n      const productList = await requestSQL<IProduct[]>(\n        Terminal.fromNodeEnv(),\n        `\n        select * from product where product_id in (${Array.from(productIdSet)\n          .map((productId) => escapeSQL(productId))\n          .join(',')})\n      `,\n      );\n      if (productList.length > 0) {\n        productList.forEach((p) => productIdToProduct.set(p.product_id, p));\n      }\n    }\n    mapTradeIdToBillList.forEach(async (v, tradeId) => {\n      if (!((v[0].instType === 'SPOT' && v.length === 2) || v[0].instType === 'SWAP')) return;\n\n      const trade: ITrade = {\n        id: tradeId,\n        account_id: accountId,\n        product_id: '',\n        direction: '',\n        traded_volume: '',\n        traded_price: '',\n        traded_value: '',\n        post_volume: '',\n        fee: '',\n        fee_currency: '',\n        created_at: '0',\n      };\n\n      v.forEach((bill) => {\n        trade.created_at = Math.max(Number(trade.created_at), Number(bill.ts)).toString();\n        trade.product_id = encodePath(bill.instType, bill.instId);\n        trade.traded_price = bill.px;\n        if (bill.instType === 'SWAP') {\n          if (bill.subType === '1') trade.direction = 'OPEN_LONG';\n          if (bill.subType === '2') trade.direction = 'CLOSE_LONG';\n          if (bill.subType === '3') trade.direction = 'OPEN_LONG';\n          if (bill.subType === '4') trade.direction = 'OPEN_SHORT';\n          if (bill.subType === '5') trade.direction = 'CLOSE_LONG';\n          if (bill.subType === '6') trade.direction = 'CLOSE_SHORT';\n          trade.traded_volume = bill.sz;\n          trade.traded_value = (Number(bill.sz) * Number(bill.px)).toString();\n        }\n        if (bill.instType === 'SPOT') {\n          if (bill.subType === '1') {\n            if (bill.ccy !== 'USDT') {\n              trade.direction = 'OPEN_LONG';\n            } else {\n              trade.direction = 'CLOSE_LONG';\n            }\n          }\n\n          if (bill.ccy !== 'USDT') {\n            trade.traded_volume = bill.sz;\n          }\n          if (bill.ccy === 'USDT') {\n            trade.traded_value = bill.sz;\n          }\n        }\n        // fee\n        if (bill.fee !== '0') {\n          trade.fee = Math.abs(Number(bill.fee)).toString();\n          trade.fee_currency = bill.ccy;\n        }\n      });\n      trade.created_at = formatTime(Number(trade.created_at));\n      if (productIdToProduct.has(trade.product_id)) {\n        trade.traded_value = (\n          +trade.traded_value * +(productIdToProduct.get(trade.product_id)?.value_scale ?? 1)\n        ).toString();\n      } else {\n        throw new Error(`Not Found Product With Product Id: ${trade.product_id}`);\n      }\n      tradeList.push(trade);\n    });\n  }\n  return tradeList;\n};\n\nconst getAccountTradeWithAccountId = async (accountId: string) => {\n  const currentTrade = await requestSQL<ITrade[]>(\n    Terminal.fromNodeEnv(),\n    `\n    select * from trade where account_id=${escapeSQL(accountId)} order by created_at desc limit 1;\n  `,\n  );\n  const params: Record<string, string> = {\n    type: '2',\n    begin: (new Date().getTime() - 1000 * 60 * 60 * 24 * 30 * 3).toString(),\n  };\n  if (currentTrade.length === 1) {\n    params['begin'] = new Date(currentTrade[0].created_at ?? 0).getTime().toString();\n  }\n  console.log(formatTime(Date.now()), 'getAccountTrade', `params: ${JSON.stringify(params)}`);\n  const tradeList = await tradeParser(accountId, params);\n  console.log(formatTime(Date.now()), 'getAccountTrade', `tradeList: ${JSON.stringify(tradeList)}`);\n  await requestSQL(\n    Terminal.fromNodeEnv(),\n    buildInsertManyIntoTableSQL(tradeList, 'trade', {\n      columns: [\n        'id',\n        'account_id',\n        'product_id',\n        'traded_volume',\n        'traded_value',\n        'traded_price',\n        'direction',\n        'fee',\n        'fee_currency',\n        'created_at',\n      ],\n      conflictKeys: ['id'],\n    }),\n  );\n};\n\ndefer(() => accountUid$)\n  .pipe(first())\n  .subscribe((uid) => {\n    const account_id = `okx/${uid}/trading`;\n    console.log(formatTime(Date.now()), 'getAccountTrade', `AccountID: ${account_id}`);\n    defer(() => getAccountTradeWithAccountId(account_id))\n      .pipe(\n        //\n        timeout(10_000), //  超时设定：10 秒\n        tap({\n          error: (err) => {\n            console.error(formatTime(Date.now()), 'getAccountTradeError', err);\n          },\n        }),\n        repeat({ delay: 30_000 }),\n        retry({ delay: 5000 }),\n      )\n      .subscribe();\n  });\n"]}

package/lib/transfer.d.ts

@@ -0,0 +1,2 @@
+export {};
+//# sourceMappingURL=transfer.d.ts.map

package/lib/transfer.d.ts.map

@@ -0,0 +1 @@
+{"version":3,"file":"transfer.d.ts","sourceRoot":"","sources":["../src/transfer.ts"],"names":[],"mappings":""}