@yuants/vendor-okx 0.23.7 → 0.23.9

package/dist/market-order.js

@@ -1,8 +1,7 @@
 import { Terminal } from '@yuants/protocol';
-import { client } from './api';
 import { decodePath, formatTime } from '@yuants/utils';
 import { useMarketBooks } from './ws';
-import { map } from 'rxjs';
+import { map, tap } from 'rxjs';
 const terminal = Terminal.fromNodeEnv();
 terminal.server.provideService('QueryMarketBooks', {
     required: ['product_id', 'datasource_id'],
@@ -11,23 +10,46 @@ terminal.server.provideService('QueryMarketBooks', {
         datasource_id: { type: 'string', const: 'OKX' },
     },
 }, async (msg) => {
+    var _a, _b;
     const { sz = '1', product_id } = msg.req;
-    const [, instId] = decodePath(product_id);
-    const result = await client.getMarketBooks({
-        sz,
-        instId,
-    });
-    if (result.code === '0') {
-        return { res: { code: 0, message: 'OK', data: result.data } };
+    const books = mapProductIdToMarketBooks.get(product_id);
+    if (books) {
+        return {
+            res: {
+                code: 0,
+                message: 'OK',
+                data: {
+                    seqId: books.seqId,
+                    bids: Array.from((_a = books.bids.values()) !== null && _a !== void 0 ? _a : []).sort((a, b) => +b[0] - +a[0]),
+                    asks: Array.from((_b = books === null || books === void 0 ? void 0 : books.asks.values()) !== null && _b !== void 0 ? _b : []).sort((a, b) => +a[0] - +b[0]),
+                },
+            },
+        };
     }
     return { res: { code: 500, message: 'Server Error' } };
 });
+const mapProductIdToMarketBooks = new Map();
 terminal.channel.publishChannel('MarketBooks', { pattern: `^OKX/` }, (id) => {
     const [datasource_id, product_id] = decodePath(id);
     const [, instId] = decodePath(product_id);
     console.info(formatTime(Date.now()), `SubscribeMarketBooks`, id);
     return useMarketBooks('books', instId).pipe(map((data) => {
         return data[0];
+    }), tap({
+        next: (v) => {
+            if (!mapProductIdToMarketBooks.get(product_id)) {
+                mapProductIdToMarketBooks.set(product_id, {
+                    seqId: v.seqId,
+                    asks: new Map(),
+                    bids: new Map(),
+                });
+            }
+            v.asks.map((ask) => { var _a; return (_a = mapProductIdToMarketBooks.get(product_id)) === null || _a === void 0 ? void 0 : _a.asks.set(ask[0], ask); });
+            v.bids.map((bid) => { var _a; return (_a = mapProductIdToMarketBooks.get(product_id)) === null || _a === void 0 ? void 0 : _a.bids.set(bid[0], bid); });
+        },
+        finalize: () => {
+            mapProductIdToMarketBooks.delete(product_id);
+        },
     }));
 });
 //# sourceMappingURL=market-order.js.map

package/dist/market-order.js.map

@@ -1 +1 @@
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+{"version":3,"file":"market-order.js","sourceRoot":"","sources":["../src/market-order.ts"],"names":[],"mappings":"AAAA,OAAO,EAAE,QAAQ,EAAE,MAAM,kBAAkB,CAAC;AAE5C,OAAO,EAAE,UAAU,EAAE,UAAU,EAAE,MAAM,eAAe,CAAC;AACvD,OAAO,EAAE,cAAc,EAAE,MAAM,MAAM,CAAC;AACtC,OAAO,EAAE,GAAG,EAAe,GAAG,EAAE,MAAM,MAAM,CAAC;AAE7C,MAAM,QAAQ,GAAG,QAAQ,CAAC,WAAW,EAAE,CAAC;AAExC,QAAQ,CAAC,MAAM,CAAC,cAAc,CAC5B,kBAAkB,EAClB;IACE,QAAQ,EAAE,CAAC,YAAY,EAAE,eAAe,CAAC;IACzC,UAAU,EAAE;QACV,UAAU,EAAE,EAAE,IAAI,EAAE,QAAQ,EAAE;QAC9B,aAAa,EAAE,EAAE,IAAI,EAAE,QAAQ,EAAE,KAAK,EAAE,KAAK,EAAE;KAChD;CACF,EACD,KAAK,EAAE,GAAG,EAAE,EAAE;;IACZ,MAAM,EAAE,EAAE,GAAG,GAAG,EAAE,UAAU,EAAE,GAAG,GAAG,CAAC,GAA0C,CAAC;IAChF,MAAM,KAAK,GAAG,yBAAyB,CAAC,GAAG,CAAC,UAAU,CAAC,CAAC;IAExD,IAAI,KAAK,EAAE;QACT,OAAO;YACL,GAAG,EAAE;gBACH,IAAI,EAAE,CAAC;gBACP,OAAO,EAAE,IAAI;gBACb,IAAI,EAAE;oBACJ,KAAK,EAAE,KAAK,CAAC,KAAK;oBAClB,IAAI,EAAE,KAAK,CAAC,IAAI,CAAC,MAAA,KAAK,CAAC,IAAI,CAAC,MAAM,EAAE,mCAAI,EAAE,CAAC,CAAC,IAAI,CAAC,CAAC,CAAC,EAAE,CAAC,EAAE,EAAE,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,GAAG,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC;oBACzE,IAAI,EAAE,KAAK,CAAC,IAAI,CAAC,MAAA,KAAK,aAAL,KAAK,uBAAL,KAAK,CAAE,IAAI,CAAC,MAAM,EAAE,mCAAI,EAAE,CAAC,CAAC,IAAI,CAAC,CAAC,CAAC,EAAE,CAAC,EAAE,EAAE,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,GAAG,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC;iBAC3E;aACF;SACF,CAAC;KACH;IACD,OAAO,EAAE,GAAG,EAAE,EAAE,IAAI,EAAE,GAAG,EAAE,OAAO,EAAE,cAAc,EAAE,EAAE,CAAC;AACzD,CAAC,CACF,CAAC;AAWF,MAAM,yBAAyB,GAAG,IAAI,GAAG,EAOtC,CAAC;AAEJ,QAAQ,CAAC,OAAO,CAAC,cAAc,CAAC,aAAa,EAAE,EAAE,OAAO,EAAE,OAAO,EAAE,EAAE,CAAC,EAAE,EAAE,EAAE;IAC1E,MAAM,CAAC,aAAa,EAAE,UAAU,CAAC,GAAG,UAAU,CAAC,EAAE,CAAC,CAAC;IACnD,MAAM,CAAC,EAAE,MAAM,CAAC,GAAG,UAAU,CAAC,UAAU,CAAC,CAAC;IAC1C,OAAO,CAAC,IAAI,CAAC,UAAU,CAAC,IAAI,CAAC,GAAG,EAAE,CAAC,EAAE,sBAAsB,EAAE,EAAE,CAAC,CAAC;IAEjE,OAAO,cAAc,CAAC,OAAO,EAAE,MAAM,CAAC,CAAC,IAAI,CACzC,GAAG,CAAC,CAAC,IAAI,EAAE,EAAE;QACX,OAAO,IAAI,CAAC,CAAC,CAAC,CAAC;IACjB,CAAC,CAAC,EACF,GAAG,CAAC;QACF,IAAI,EAAE,CAAC,CAAC,EAAE,EAAE;YACV,IAAI,CAAC,yBAAyB,CAAC,GAAG,CAAC,UAAU,CAAC,EAAE;gBAC9C,yBAAyB,CAAC,GAAG,CAAC,UAAU,EAAE;oBACxC,KAAK,EAAE,CAAC,CAAC,KAAK;oBACd,IAAI,EAAE,IAAI,GAAG,EAAkF;oBAC/F,IAAI,EAAE,IAAI,GAAG,EAAkF;iBAChG,CAAC,CAAC;aACJ;YACD,CAAC,CAAC,IAAI,CAAC,GAAG,CAAC,CAAC,GAAG,EAAE,EAAE,WAAC,OAAA,MAAA,yBAAyB,CAAC,GAAG,CAAC,UAAU,CAAC,0CAAE,IAAI,CAAC,GAAG,CAAC,GAAG,CAAC,CAAC,CAAC,EAAE,GAAG,CAAC,CAAA,EAAA,CAAC,CAAC;YACtF,CAAC,CAAC,IAAI,CAAC,GAAG,CAAC,CAAC,GAAG,EAAE,EAAE,WAAC,OAAA,MAAA,yBAAyB,CAAC,GAAG,CAAC,UAAU,CAAC,0CAAE,IAAI,CAAC,GAAG,CAAC,GAAG,CAAC,CAAC,CAAC,EAAE,GAAG,CAAC,CAAA,EAAA,CAAC,CAAC;QACxF,CAAC;QACD,QAAQ,EAAE,GAAG,EAAE;YACb,yBAAyB,CAAC,MAAM,CAAC,UAAU,CAAC,CAAC;QAC/C,CAAC;KACF,CAAC,CACH,CAAC;AACJ,CAAC,CAAC,CAAC","sourcesContent":["import { Terminal } from '@yuants/protocol';\nimport { client } from './api';\nimport { decodePath, formatTime } from '@yuants/utils';\nimport { useMarketBooks } from './ws';\nimport { map, shareReplay, tap } from 'rxjs';\n\nconst terminal = Terminal.fromNodeEnv();\n\nterminal.server.provideService(\n  'QueryMarketBooks',\n  {\n    required: ['product_id', 'datasource_id'],\n    properties: {\n      product_id: { type: 'string' },\n      datasource_id: { type: 'string', const: 'OKX' },\n    },\n  },\n  async (msg) => {\n    const { sz = '1', product_id } = msg.req as { sz?: string; product_id: string };\n    const books = mapProductIdToMarketBooks.get(product_id);\n\n    if (books) {\n      return {\n        res: {\n          code: 0,\n          message: 'OK',\n          data: {\n            seqId: books.seqId,\n            bids: Array.from(books.bids.values() ?? []).sort((a, b) => +b[0] - +a[0]),\n            asks: Array.from(books?.asks.values() ?? []).sort((a, b) => +a[0] - +b[0]),\n          },\n        },\n      };\n    }\n    return { res: { code: 500, message: 'Server Error' } };\n  },\n);\n\nexport interface IWSOrderBook {\n  asks: [price: string, volume: string, abandon: string, order_number: string][];\n  bids: [price: string, volume: string, abandon: string, order_number: string][];\n  ts: string;\n  prevSeqId: number;\n  seqId: number;\n  checksum: number;\n}\n\nconst mapProductIdToMarketBooks = new Map<\n  string,\n  {\n    asks: Map<string, [price: string, volume: string, abandon: string, order_number: string]>;\n    bids: Map<string, [price: string, volume: string, abandon: string, order_number: string]>;\n    seqId: number;\n  }\n>();\n\nterminal.channel.publishChannel('MarketBooks', { pattern: `^OKX/` }, (id) => {\n  const [datasource_id, product_id] = decodePath(id);\n  const [, instId] = decodePath(product_id);\n  console.info(formatTime(Date.now()), `SubscribeMarketBooks`, id);\n\n  return useMarketBooks('books', instId).pipe(\n    map((data) => {\n      return data[0];\n    }),\n    tap({\n      next: (v) => {\n        if (!mapProductIdToMarketBooks.get(product_id)) {\n          mapProductIdToMarketBooks.set(product_id, {\n            seqId: v.seqId,\n            asks: new Map<string, [price: string, volume: string, abandon: string, order_number: string]>(),\n            bids: new Map<string, [price: string, volume: string, abandon: string, order_number: string]>(),\n          });\n        }\n        v.asks.map((ask) => mapProductIdToMarketBooks.get(product_id)?.asks.set(ask[0], ask));\n        v.bids.map((bid) => mapProductIdToMarketBooks.get(product_id)?.bids.set(bid[0], bid));\n      },\n      finalize: () => {\n        mapProductIdToMarketBooks.delete(product_id);\n      },\n    }),\n  );\n});\n"]}

package/dist/strategy-account.js

@@ -19,9 +19,11 @@ defer(async () => {
         const positions = [];
         const gridPositionsRes = await Promise.all(gridAlgoOrders.data.map((item) => client.getGridPositions({ algoOrdType: 'contract_grid', algoId: item.algoId })));
         gridPositionsRes.forEach((gridPositions, index) => {
-            var _a;
-            (_a = gridPositions === null || gridPositions === void 0 ? void 0 : gridPositions.data) === null || _a === void 0 ? void 0 : _a.forEach((position) => {
-                var _a, _b, _c, _d;
+            var _a, _b, _c, _d;
+            let positionValuation = 0;
+            const leverage = +((_a = gridAlgoOrders.data) === null || _a === void 0 ? void 0 : _a[index].actualLever);
+            (_b = gridPositions === null || gridPositions === void 0 ? void 0 : gridPositions.data) === null || _b === void 0 ? void 0 : _b.forEach((position) => {
+                var _a, _b, _c;
                 if (+position.pos !== 0) {
                     const directionRaw = (_c = (_b = (_a = gridAlgoOrders.data) === null || _a === void 0 ? void 0 : _a[index]) === null || _b === void 0 ? void 0 : _b.direction) !== null && _c !== void 0 ? _c : '';
                     const direction = directionRaw ? directionRaw.toUpperCase() : 'LONG';
@@ -37,11 +39,18 @@ defer(async () => {
                         closable_price: +position.last,
                         valuation: +position.notionalUsd,
                     });
-                    // 历史提取金额不会从 investment, totalPnl 扣减
-                    // 计算净值需要通过仓位的名义价值和实际杠杆计算
-                    totalEquity += +position.notionalUsd / +((_d = gridAlgoOrders.data) === null || _d === void 0 ? void 0 : _d[index].actualLever);
+                    positionValuation += +position.notionalUsd;
                 }
             });
+            if (leverage === 0) {
+                // 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
+                totalEquity += +((_c = gridAlgoOrders.data) === null || _c === void 0 ? void 0 : _c[index].investment) + +((_d = gridAlgoOrders.data) === null || _d === void 0 ? void 0 : _d[index].totalPnl);
+            }
+            else {
+                // 历史提取金额不会从 investment, totalPnl 扣减
+                // 计算净值需要通过仓位的名义价值和实际杠杆计算
+                totalEquity += positionValuation / leverage;
+            }
         });
         return {
             money: {

package/dist/strategy-account.js.map

@@ -1 +1 @@
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'';\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\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 += +position.notionalUsd / +gridAlgoOrders.data?.[index].actualLever;\n          }\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$).subscribe(() => sub.unsubscribe());\n"]}
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{ addAccountMarket, IPosition, provideAccountInfoService } from '@yuants/data-account';\nimport { Terminal } from '@yuants/protocol';\nimport { encodePath } from '@yuants/utils';\nimport { defer, filter, first, firstValueFrom, map, repeat, retry, shareReplay } from 'rxjs';\nimport { client } from './api';\n\nconst terminal = Terminal.fromNodeEnv();\n\nexport const accountConfig$ = defer(() => client.getAccountConfig()).pipe(\n  repeat({ delay: 10_000 }),\n  retry({ delay: 10_000 }),\n  shareReplay(1),\n);\n\nexport const accountUid$ = accountConfig$.pipe(\n  map((x) => x.data[0].uid),\n  filter((x) => !!x),\n  shareReplay(1),\n);\n\nexport const strategyAccountId$ = accountUid$.pipe(\n  map((uid) => `okx/${uid}/strategy`),\n  shareReplay(1),\n);\ndefer(async () => {\n  const strategyAccountId = await firstValueFrom(strategyAccountId$);\n\n  provideAccountInfoService(\n    terminal,\n    strategyAccountId,\n    async () => {\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          client.getGridPositions({ algoOrdType: 'contract_grid', algoId: item.algoId }),\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/dist/ws.js.map

@@ -1 +1 @@
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{ PromRegistry, Terminal } from '@yuants/protocol';\nimport { encodePath, formatTime } from '@yuants/utils';\nimport { catchError, defer, EMPTY, filter, interval, Observable, Subscription, tap, timeout } from 'rxjs';\n\nconst MetricsWebSocketConnectionsGauge = PromRegistry.create(\n  'gauge',\n  'okx_websocket_connections',\n  'Number of active OKX WebSocket connections',\n);\n\nconst MetricsWebSocketChannelGauge = PromRegistry.create(\n  'gauge',\n  'okx_websocket_channel',\n  'Number of OKX WebSocket channels subscribed',\n);\n\ntype ConnectStatus = 'connecting' | 'connected' | 'closed' | 'reconnecting';\nconst terminal = Terminal.fromNodeEnv();\n\nclass OKXWsClient {\n  private static readonly pool: {\n    path: string;\n    client: OKXWsClient;\n    requests: number;\n    isFull: boolean;\n  }[] = [];\n\n  // ISSUE: 连接限制：3 次/秒 (基于IP)\n  // https://www.okx.com/docs-v5/zh/#overview-websocket-connect\n  // 每个连接 对于 订阅/取消订阅/登录 请求的总次数限制为 480 次/小时\n  static GetWsClient(path: string): OKXWsClient {\n    const existing = OKXWsClient.pool.find((item) => item.path === path && !item.isFull);\n    if (existing && !existing.client.isClosed()) {\n      existing.requests++;\n      if (existing.requests >= 480) {\n        existing.isFull = true;\n      }\n      return existing.client;\n    }\n\n    const client = existing?.client?.isClosed() ? existing.client.revive() : new OKXWsClient(path);\n    if (existing) {\n      existing.client = client;\n      existing.requests = 1;\n      existing.isFull = false;\n    } else {\n      OKXWsClient.pool.push({ path, client, requests: 1, isFull: false });\n    }\n    return client;\n  }\n\n  private readonly baseURL: string = `wss://ws.okx.com:8443`;\n  private readonly path: string;\n  private ws!: WebSocket;\n  private connectStatus: ConnectStatus = 'closed';\n  private keepAlive?: Subscription;\n  private readonly subscriptions = new Map<\n    string,\n    {\n      channel: string;\n      instId?: string;\n    }\n  >();\n  private readonly handlers: Record<string, Function> = {};\n  private readonly connectionListeners: Record<'error' | 'close', Set<EventListener>> = {\n    error: new Set(),\n    close: new Set(),\n  };\n\n  private readonly handleOpen = () => {\n    this.connectStatus = 'connected';\n    console.info(formatTime(Date.now()), '✅ WS connected');\n    for (const { channel, instId } of this.subscriptions.values()) {\n      this.sendSubscribeMessage(channel, instId);\n    }\n  };\n\n  private readonly handleMessage = (raw: MessageEvent) => {\n    if (raw.data === 'pong') {\n      return;\n    }\n    const msg = JSON.parse(raw.data);\n    if (msg.arg?.channel) {\n      const channelId = encodePath(msg.arg.channel, msg.arg.instId);\n      const data = msg.data;\n      const handler = this.handlers[channelId];\n      if (data && handler) {\n        handler(data, msg.arg);\n      }\n    } else if (msg.event) {\n      console.info(formatTime(Date.now()), 'Event:', msg);\n    }\n  };\n\n  private readonly handleError = (event: Event) => {\n    console.error(formatTime(Date.now()), '❌ WS error', event);\n  };\n\n  private readonly handleClose = (event: CloseEvent) => {\n    console.error(formatTime(Date.now()), '❌ WS closed', event);\n    MetricsWebSocketConnectionsGauge.dec({ path: this.path });\n\n    const closedSocket = event.target as WebSocket;\n    if (closedSocket !== this.ws) {\n      return;\n    }\n\n    if (this.connectStatus === 'reconnecting') {\n      return;\n    }\n\n    this.connectStatus = 'closed';\n\n    if (this.subscriptions.size === 0) {\n      return;\n    }\n\n    this.connectStatus = 'reconnecting';\n    setTimeout(() => {\n      if (this.connectStatus === 'connecting' || this.connectStatus === 'connected') {\n        return;\n      }\n      if (this.subscriptions.size === 0) {\n        this.connectStatus = 'closed';\n        return;\n      }\n      this.initSocket();\n    }, 1000);\n  };\n\n  constructor(path: string) {\n    this.path = path;\n    this.initSocket();\n    this.startKeepAlive();\n  }\n\n  private revive(): OKXWsClient {\n    this.initSocket();\n    this.startKeepAlive();\n    return this;\n  }\n\n  private initSocket() {\n    this.connectStatus = 'connecting';\n    this.ws = new WebSocket(`${this.baseURL}/${this.path}`);\n    MetricsWebSocketConnectionsGauge.inc({ path: this.path, terminal_id: terminal.terminal_id });\n\n    this.ws.addEventListener('open', this.handleOpen);\n    this.ws.addEventListener('message', this.handleMessage);\n    this.ws.addEventListener('error', this.handleError);\n    this.ws.addEventListener('close', this.handleClose);\n\n    for (const listener of this.connectionListeners.error) {\n      this.ws.addEventListener('error', listener);\n    }\n    for (const listener of this.connectionListeners.close) {\n      this.ws.addEventListener('close', listener);\n    }\n  }\n\n  private startKeepAlive() {\n    if (this.keepAlive && !this.keepAlive.closed) {\n      return;\n    }\n    this.keepAlive = interval(25_000)\n      .pipe(\n        tap(() => {\n          if (this.connectStatus === 'connected') {\n            this.ws.send('ping');\n          }\n        }),\n      )\n      .subscribe();\n  }\n\n  private stopKeepAlive() {\n    if (this.keepAlive && !this.keepAlive.closed) {\n      this.keepAlive.unsubscribe();\n    }\n  }\n\n  private isClosed() {\n    return this.ws?.readyState === WebSocket.CLOSING || this.ws?.readyState === WebSocket.CLOSED;\n  }\n\n  private sendSubscribeMessage(channel: string, instId?: string) {\n    const message = {\n      op: 'subscribe',\n      args: [{ channel, instId }],\n    };\n    this.ws.send(JSON.stringify(message));\n    const channelId = encodePath(channel, instId);\n    console.info(formatTime(Date.now()), `📩 Sent subscribe for ${channelId}`);\n  }\n\n  private sendUnsubscribeMessage(channel: string, instId?: string) {\n    const message = {\n      op: 'unsubscribe',\n      args: [{ channel, instId }],\n    };\n    this.ws.send(JSON.stringify(message));\n    const channelId = encodePath(channel, instId);\n    console.info(formatTime(Date.now()), `📩 Sent unsubscribe for ${channelId}`);\n  }\n\n  addConnectionListener(type: 'error' | 'close', listener: EventListener): () => void {\n    this.connectionListeners[type].add(listener);\n    this.ws.addEventListener(type, listener);\n    return () => {\n      this.connectionListeners[type].delete(listener);\n      this.ws.removeEventListener(type, listener);\n    };\n  }\n\n  subscribe(channel: string, instId?: string, handler?: Function) {\n    const channelId = encodePath(channel, instId);\n    if (this.subscriptions.has(channelId)) {\n      console.info(formatTime(Date.now()), `⚠️ Already subscribed: ${channelId}`);\n      return;\n    }\n\n    this.subscriptions.set(channelId, { channel, instId });\n    MetricsWebSocketChannelGauge.inc({ channel, terminal_id: terminal.terminal_id });\n\n    if (handler) {\n      this.handlers[channelId] = handler;\n    }\n\n    this.startKeepAlive();\n\n    if (this.connectStatus === 'connected') {\n      this.sendSubscribeMessage(channel, instId);\n    } else if (this.isClosed()) {\n      this.initSocket();\n    } else {\n      console.info(formatTime(Date.now()), `📩 Queued subscribe for ${channelId} waiting for connection`);\n    }\n  }\n\n  unsubscribe(channel: string, instId?: string) {\n    const channelId = encodePath(channel, instId);\n    if (!this.subscriptions.has(channelId)) return;\n\n    if (this.connectStatus === 'connected') {\n      this.sendUnsubscribeMessage(channel, instId);\n    }\n    this.subscriptions.delete(channelId);\n    MetricsWebSocketChannelGauge.dec({ channel });\n    delete this.handlers[channelId];\n\n    if (this.subscriptions.size === 0) {\n      this.stopKeepAlive();\n      if (this.ws.readyState === WebSocket.OPEN || this.ws.readyState === WebSocket.CONNECTING) {\n        this.ws.close();\n      }\n    }\n  }\n}\n\nconst fromWsChannelAndInstId = <T>(path: string, channel: string, instId: string) =>\n  defer(\n    () =>\n      new Observable<T>((subscriber) => {\n        const client = OKXWsClient.GetWsClient(path);\n        client.subscribe(channel, instId, (data: T) => {\n          subscriber.next(data);\n        });\n        const removeError = client.addConnectionListener('error', (err) => {\n          subscriber.error(err);\n        });\n        const removeClose = client.addConnectionListener('close', () => {\n          subscriber.error('WS Connection Closed');\n        });\n        subscriber.add(() => {\n          removeError();\n          removeClose();\n          client.unsubscribe(channel, instId);\n        });\n      }),\n  ).pipe(\n    // 防止单个连接断开导致数据流关闭\n    timeout(60_000),\n    tap({\n      error: (err) => {\n        console.info(formatTime(Date.now()), 'WS_SUBSCRIBE_ERROR', channel, instId, err);\n      },\n    }),\n    // 暂时不太确定是否能支持 retry\n    // retry({ delay: 1000 }),\n    catchError(() => EMPTY),\n  );\n\nexport const useTicker = (instId: string) =>\n  fromWsChannelAndInstId<\n    {\n      instId: string;\n      last: string;\n      askPx: string;\n      bidPx: string;\n      askSz: string;\n      bidSz: string;\n    }[]\n  >('ws/v5/public', 'tickers', instId).pipe(\n    //\n    filter((data) => data.length > 0),\n  );\n\nexport const useOpenInterest = (instId: string) =>\n  fromWsChannelAndInstId<\n    {\n      instId: string;\n      oi: string; // open interest\n    }[]\n  >('ws/v5/public', 'open-interest', instId).pipe(\n    //\n    filter((data) => data.length > 0),\n  );\n\nexport const useOHLC = (candleType: string, instId: string) =>\n  fromWsChannelAndInstId<string[][]>('ws/v5/business', candleType, instId).pipe(\n    //\n    filter((data) => data.length > 0),\n  );\n\nexport const useMarketBooks = (\n  channel: 'books' | 'books5' | 'bbo-tbt' | 'books-l2-tbt' | 'books50-l2-tbt',\n  instId: string,\n) =>\n  fromWsChannelAndInstId<\n    {\n      asks: [price: string, volume: string, abandon: string, order_number: string][];\n      bids: [price: string, volume: string, abandon: string, order_number: string][];\n      ts: string;\n      prevSeqId: number;\n      seqId: number;\n      checksum: number;\n    }[]\n  >('ws/v5/public', channel, instId).pipe(\n    //\n    filter((data) => data.length > 0),\n  );\n"]}
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{ PromRegistry, Terminal } from '@yuants/protocol';\nimport { encodePath, formatTime } from '@yuants/utils';\nimport { catchError, defer, EMPTY, filter, interval, Observable, Subscription, tap, timeout } from 'rxjs';\nimport { IWSOrderBook } from './market-order';\n\nconst MetricsWebSocketConnectionsGauge = PromRegistry.create(\n  'gauge',\n  'okx_websocket_connections',\n  'Number of active OKX WebSocket connections',\n);\n\nconst MetricsWebSocketChannelGauge = PromRegistry.create(\n  'gauge',\n  'okx_websocket_channel',\n  'Number of OKX WebSocket channels subscribed',\n);\n\ntype ConnectStatus = 'connecting' | 'connected' | 'closed' | 'reconnecting';\nconst terminal = Terminal.fromNodeEnv();\n\nclass OKXWsClient {\n  private static readonly pool: {\n    path: string;\n    client: OKXWsClient;\n    requests: number;\n    isFull: boolean;\n  }[] = [];\n\n  // ISSUE: 连接限制：3 次/秒 (基于IP)\n  // https://www.okx.com/docs-v5/zh/#overview-websocket-connect\n  // 每个连接 对于 订阅/取消订阅/登录 请求的总次数限制为 480 次/小时\n  static GetWsClient(path: string): OKXWsClient {\n    const existing = OKXWsClient.pool.find((item) => item.path === path && !item.isFull);\n    if (existing && !existing.client.isClosed()) {\n      existing.requests++;\n      if (existing.requests >= 480) {\n        existing.isFull = true;\n      }\n      return existing.client;\n    }\n\n    const client = existing?.client?.isClosed() ? existing.client.revive() : new OKXWsClient(path);\n    if (existing) {\n      existing.client = client;\n      existing.requests = 1;\n      existing.isFull = false;\n    } else {\n      OKXWsClient.pool.push({ path, client, requests: 1, isFull: false });\n    }\n    return client;\n  }\n\n  private readonly baseURL: string = `wss://ws.okx.com:8443`;\n  private readonly path: string;\n  private ws!: WebSocket;\n  private connectStatus: ConnectStatus = 'closed';\n  private keepAlive?: Subscription;\n  private readonly subscriptions = new Map<\n    string,\n    {\n      channel: string;\n      instId?: string;\n    }\n  >();\n  private readonly handlers: Record<string, Function> = {};\n  private readonly connectionListeners: Record<'error' | 'close', Set<EventListener>> = {\n    error: new Set(),\n    close: new Set(),\n  };\n\n  private readonly handleOpen = () => {\n    this.connectStatus = 'connected';\n    console.info(formatTime(Date.now()), '✅ WS connected');\n    for (const { channel, instId } of this.subscriptions.values()) {\n      this.sendSubscribeMessage(channel, instId);\n    }\n  };\n\n  private readonly handleMessage = (raw: MessageEvent) => {\n    if (raw.data === 'pong') {\n      return;\n    }\n    const msg = JSON.parse(raw.data);\n    if (msg.arg?.channel) {\n      const channelId = encodePath(msg.arg.channel, msg.arg.instId);\n      const data = msg.data;\n      const handler = this.handlers[channelId];\n      if (data && handler) {\n        handler(data, msg.arg);\n      }\n    } else if (msg.event) {\n      console.info(formatTime(Date.now()), 'Event:', msg);\n    }\n  };\n\n  private readonly handleError = (event: Event) => {\n    console.error(formatTime(Date.now()), '❌ WS error', event);\n  };\n\n  private readonly handleClose = (event: CloseEvent) => {\n    console.error(formatTime(Date.now()), '❌ WS closed', event);\n    MetricsWebSocketConnectionsGauge.dec({ path: this.path });\n\n    const closedSocket = event.target as WebSocket;\n    if (closedSocket !== this.ws) {\n      return;\n    }\n\n    if (this.connectStatus === 'reconnecting') {\n      return;\n    }\n\n    this.connectStatus = 'closed';\n\n    if (this.subscriptions.size === 0) {\n      return;\n    }\n\n    this.connectStatus = 'reconnecting';\n    setTimeout(() => {\n      if (this.connectStatus === 'connecting' || this.connectStatus === 'connected') {\n        return;\n      }\n      if (this.subscriptions.size === 0) {\n        this.connectStatus = 'closed';\n        return;\n      }\n      this.initSocket();\n    }, 1000);\n  };\n\n  constructor(path: string) {\n    this.path = path;\n    this.initSocket();\n    this.startKeepAlive();\n  }\n\n  private revive(): OKXWsClient {\n    this.initSocket();\n    this.startKeepAlive();\n    return this;\n  }\n\n  private initSocket() {\n    this.connectStatus = 'connecting';\n    this.ws = new WebSocket(`${this.baseURL}/${this.path}`);\n    MetricsWebSocketConnectionsGauge.inc({ path: this.path, terminal_id: terminal.terminal_id });\n\n    this.ws.addEventListener('open', this.handleOpen);\n    this.ws.addEventListener('message', this.handleMessage);\n    this.ws.addEventListener('error', this.handleError);\n    this.ws.addEventListener('close', this.handleClose);\n\n    for (const listener of this.connectionListeners.error) {\n      this.ws.addEventListener('error', listener);\n    }\n    for (const listener of this.connectionListeners.close) {\n      this.ws.addEventListener('close', listener);\n    }\n  }\n\n  private startKeepAlive() {\n    if (this.keepAlive && !this.keepAlive.closed) {\n      return;\n    }\n    this.keepAlive = interval(25_000)\n      .pipe(\n        tap(() => {\n          if (this.connectStatus === 'connected') {\n            this.ws.send('ping');\n          }\n        }),\n      )\n      .subscribe();\n  }\n\n  private stopKeepAlive() {\n    if (this.keepAlive && !this.keepAlive.closed) {\n      this.keepAlive.unsubscribe();\n    }\n  }\n\n  private isClosed() {\n    return this.ws?.readyState === WebSocket.CLOSING || this.ws?.readyState === WebSocket.CLOSED;\n  }\n\n  private sendSubscribeMessage(channel: string, instId?: string) {\n    const message = {\n      op: 'subscribe',\n      args: [{ channel, instId }],\n    };\n    this.ws.send(JSON.stringify(message));\n    const channelId = encodePath(channel, instId);\n    console.info(formatTime(Date.now()), `📩 Sent subscribe for ${channelId}`);\n  }\n\n  private sendUnsubscribeMessage(channel: string, instId?: string) {\n    const message = {\n      op: 'unsubscribe',\n      args: [{ channel, instId }],\n    };\n    this.ws.send(JSON.stringify(message));\n    const channelId = encodePath(channel, instId);\n    console.info(formatTime(Date.now()), `📩 Sent unsubscribe for ${channelId}`);\n  }\n\n  addConnectionListener(type: 'error' | 'close', listener: EventListener): () => void {\n    this.connectionListeners[type].add(listener);\n    this.ws.addEventListener(type, listener);\n    return () => {\n      this.connectionListeners[type].delete(listener);\n      this.ws.removeEventListener(type, listener);\n    };\n  }\n\n  subscribe(channel: string, instId?: string, handler?: Function) {\n    const channelId = encodePath(channel, instId);\n    if (this.subscriptions.has(channelId)) {\n      console.info(formatTime(Date.now()), `⚠️ Already subscribed: ${channelId}`);\n      return;\n    }\n\n    this.subscriptions.set(channelId, { channel, instId });\n    MetricsWebSocketChannelGauge.inc({ channel, terminal_id: terminal.terminal_id });\n\n    if (handler) {\n      this.handlers[channelId] = handler;\n    }\n\n    this.startKeepAlive();\n\n    if (this.connectStatus === 'connected') {\n      this.sendSubscribeMessage(channel, instId);\n    } else if (this.isClosed()) {\n      this.initSocket();\n    } else {\n      console.info(formatTime(Date.now()), `📩 Queued subscribe for ${channelId} waiting for connection`);\n    }\n  }\n\n  unsubscribe(channel: string, instId?: string) {\n    const channelId = encodePath(channel, instId);\n    if (!this.subscriptions.has(channelId)) return;\n\n    if (this.connectStatus === 'connected') {\n      this.sendUnsubscribeMessage(channel, instId);\n    }\n    this.subscriptions.delete(channelId);\n    MetricsWebSocketChannelGauge.dec({ channel });\n    delete this.handlers[channelId];\n\n    if (this.subscriptions.size === 0) {\n      this.stopKeepAlive();\n      if (this.ws.readyState === WebSocket.OPEN || this.ws.readyState === WebSocket.CONNECTING) {\n        this.ws.close();\n      }\n    }\n  }\n}\n\nconst fromWsChannelAndInstId = <T>(path: string, channel: string, instId: string) =>\n  defer(\n    () =>\n      new Observable<T>((subscriber) => {\n        const client = OKXWsClient.GetWsClient(path);\n        client.subscribe(channel, instId, (data: T) => {\n          subscriber.next(data);\n        });\n        const removeError = client.addConnectionListener('error', (err) => {\n          subscriber.error(err);\n        });\n        const removeClose = client.addConnectionListener('close', () => {\n          subscriber.error('WS Connection Closed');\n        });\n        subscriber.add(() => {\n          removeError();\n          removeClose();\n          client.unsubscribe(channel, instId);\n        });\n      }),\n  ).pipe(\n    // 防止单个连接断开导致数据流关闭\n    timeout(60_000),\n    tap({\n      error: (err) => {\n        console.info(formatTime(Date.now()), 'WS_SUBSCRIBE_ERROR', channel, instId, err);\n      },\n    }),\n    // 暂时不太确定是否能支持 retry\n    // retry({ delay: 1000 }),\n    catchError(() => EMPTY),\n  );\n\nexport const useTicker = (instId: string) =>\n  fromWsChannelAndInstId<\n    {\n      instId: string;\n      last: string;\n      askPx: string;\n      bidPx: string;\n      askSz: string;\n      bidSz: string;\n    }[]\n  >('ws/v5/public', 'tickers', instId).pipe(\n    //\n    filter((data) => data.length > 0),\n  );\n\nexport const useOpenInterest = (instId: string) =>\n  fromWsChannelAndInstId<\n    {\n      instId: string;\n      oi: string; // open interest\n    }[]\n  >('ws/v5/public', 'open-interest', instId).pipe(\n    //\n    filter((data) => data.length > 0),\n  );\n\nexport const useOHLC = (candleType: string, instId: string) =>\n  fromWsChannelAndInstId<string[][]>('ws/v5/business', candleType, instId).pipe(\n    //\n    filter((data) => data.length > 0),\n  );\n\nexport const useMarketBooks = (\n  channel: 'books' | 'books5' | 'bbo-tbt' | 'books-l2-tbt' | 'books50-l2-tbt',\n  instId: string,\n) =>\n  fromWsChannelAndInstId<IWSOrderBook[]>('ws/v5/public', channel, instId).pipe(\n    //\n    filter((data) => data.length > 0),\n  );\n"]}

package/lib/market-order.d.ts

@@ -1,2 +1,9 @@
-export {};
+export interface IWSOrderBook {
+    asks: [price: string, volume: string, abandon: string, order_number: string][];
+    bids: [price: string, volume: string, abandon: string, order_number: string][];
+    ts: string;
+    prevSeqId: number;
+    seqId: number;
+    checksum: number;
+}
 //# sourceMappingURL=market-order.d.ts.map

package/lib/market-order.d.ts.map

@@ -1 +1 @@
-{"version":3,"file":"market-order.d.ts","sourceRoot":"","sources":["../src/market-order.ts"],"names":[],"mappings":""}
+{"version":3,"file":"market-order.d.ts","sourceRoot":"","sources":["../src/market-order.ts"],"names":[],"mappings":"AAsCA,MAAM,WAAW,YAAY;IAC3B,IAAI,EAAE,CAAC,KAAK,EAAE,MAAM,EAAE,MAAM,EAAE,MAAM,EAAE,OAAO,EAAE,MAAM,EAAE,YAAY,EAAE,MAAM,CAAC,EAAE,CAAC;IAC/E,IAAI,EAAE,CAAC,KAAK,EAAE,MAAM,EAAE,MAAM,EAAE,MAAM,EAAE,OAAO,EAAE,MAAM,EAAE,YAAY,EAAE,MAAM,CAAC,EAAE,CAAC;IAC/E,EAAE,EAAE,MAAM,CAAC;IACX,SAAS,EAAE,MAAM,CAAC;IAClB,KAAK,EAAE,MAAM,CAAC;IACd,QAAQ,EAAE,MAAM,CAAC;CAClB"}

package/lib/market-order.js

@@ -1,7 +1,6 @@
 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
 const protocol_1 = require("@yuants/protocol");
-const api_1 = require("./api");
 const utils_1 = require("@yuants/utils");
 const ws_1 = require("./ws");
 const rxjs_1 = require("rxjs");
@@ -13,23 +12,46 @@ terminal.server.provideService('QueryMarketBooks', {
         datasource_id: { type: 'string', const: 'OKX' },
     },
 }, async (msg) => {
+    var _a, _b;
     const { sz = '1', product_id } = msg.req;
-    const [, instId] = (0, utils_1.decodePath)(product_id);
-    const result = await api_1.client.getMarketBooks({
-        sz,
-        instId,
-    });
-    if (result.code === '0') {
-        return { res: { code: 0, message: 'OK', data: result.data } };
+    const books = mapProductIdToMarketBooks.get(product_id);
+    if (books) {
+        return {
+            res: {
+                code: 0,
+                message: 'OK',
+                data: {
+                    seqId: books.seqId,
+                    bids: Array.from((_a = books.bids.values()) !== null && _a !== void 0 ? _a : []).sort((a, b) => +b[0] - +a[0]),
+                    asks: Array.from((_b = books === null || books === void 0 ? void 0 : books.asks.values()) !== null && _b !== void 0 ? _b : []).sort((a, b) => +a[0] - +b[0]),
+                },
+            },
+        };
     }
     return { res: { code: 500, message: 'Server Error' } };
 });
+const mapProductIdToMarketBooks = new Map();
 terminal.channel.publishChannel('MarketBooks', { pattern: `^OKX/` }, (id) => {
     const [datasource_id, product_id] = (0, utils_1.decodePath)(id);
     const [, instId] = (0, utils_1.decodePath)(product_id);
     console.info((0, utils_1.formatTime)(Date.now()), `SubscribeMarketBooks`, id);
     return (0, ws_1.useMarketBooks)('books', instId).pipe((0, rxjs_1.map)((data) => {
         return data[0];
+    }), (0, rxjs_1.tap)({
+        next: (v) => {
+            if (!mapProductIdToMarketBooks.get(product_id)) {
+                mapProductIdToMarketBooks.set(product_id, {
+                    seqId: v.seqId,
+                    asks: new Map(),
+                    bids: new Map(),
+                });
+            }
+            v.asks.map((ask) => { var _a; return (_a = mapProductIdToMarketBooks.get(product_id)) === null || _a === void 0 ? void 0 : _a.asks.set(ask[0], ask); });
+            v.bids.map((bid) => { var _a; return (_a = mapProductIdToMarketBooks.get(product_id)) === null || _a === void 0 ? void 0 : _a.bids.set(bid[0], bid); });
+        },
+        finalize: () => {
+            mapProductIdToMarketBooks.delete(product_id);
+        },
     }));
 });
 //# sourceMappingURL=market-order.js.map

package/lib/market-order.js.map

@@ -1 +1 @@
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+{"version":3,"file":"market-order.js","sourceRoot":"","sources":["../src/market-order.ts"],"names":[],"mappings":";;AAAA,+CAA4C;AAE5C,yCAAuD;AACvD,6BAAsC;AACtC,+BAA6C;AAE7C,MAAM,QAAQ,GAAG,mBAAQ,CAAC,WAAW,EAAE,CAAC;AAExC,QAAQ,CAAC,MAAM,CAAC,cAAc,CAC5B,kBAAkB,EAClB;IACE,QAAQ,EAAE,CAAC,YAAY,EAAE,eAAe,CAAC;IACzC,UAAU,EAAE;QACV,UAAU,EAAE,EAAE,IAAI,EAAE,QAAQ,EAAE;QAC9B,aAAa,EAAE,EAAE,IAAI,EAAE,QAAQ,EAAE,KAAK,EAAE,KAAK,EAAE;KAChD;CACF,EACD,KAAK,EAAE,GAAG,EAAE,EAAE;;IACZ,MAAM,EAAE,EAAE,GAAG,GAAG,EAAE,UAAU,EAAE,GAAG,GAAG,CAAC,GAA0C,CAAC;IAChF,MAAM,KAAK,GAAG,yBAAyB,CAAC,GAAG,CAAC,UAAU,CAAC,CAAC;IAExD,IAAI,KAAK,EAAE;QACT,OAAO;YACL,GAAG,EAAE;gBACH,IAAI,EAAE,CAAC;gBACP,OAAO,EAAE,IAAI;gBACb,IAAI,EAAE;oBACJ,KAAK,EAAE,KAAK,CAAC,KAAK;oBAClB,IAAI,EAAE,KAAK,CAAC,IAAI,CAAC,MAAA,KAAK,CAAC,IAAI,CAAC,MAAM,EAAE,mCAAI,EAAE,CAAC,CAAC,IAAI,CAAC,CAAC,CAAC,EAAE,CAAC,EAAE,EAAE,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,GAAG,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC;oBACzE,IAAI,EAAE,KAAK,CAAC,IAAI,CAAC,MAAA,KAAK,aAAL,KAAK,uBAAL,KAAK,CAAE,IAAI,CAAC,MAAM,EAAE,mCAAI,EAAE,CAAC,CAAC,IAAI,CAAC,CAAC,CAAC,EAAE,CAAC,EAAE,EAAE,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,GAAG,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC;iBAC3E;aACF;SACF,CAAC;KACH;IACD,OAAO,EAAE,GAAG,EAAE,EAAE,IAAI,EAAE,GAAG,EAAE,OAAO,EAAE,cAAc,EAAE,EAAE,CAAC;AACzD,CAAC,CACF,CAAC;AAWF,MAAM,yBAAyB,GAAG,IAAI,GAAG,EAOtC,CAAC;AAEJ,QAAQ,CAAC,OAAO,CAAC,cAAc,CAAC,aAAa,EAAE,EAAE,OAAO,EAAE,OAAO,EAAE,EAAE,CAAC,EAAE,EAAE,EAAE;IAC1E,MAAM,CAAC,aAAa,EAAE,UAAU,CAAC,GAAG,IAAA,kBAAU,EAAC,EAAE,CAAC,CAAC;IACnD,MAAM,CAAC,EAAE,MAAM,CAAC,GAAG,IAAA,kBAAU,EAAC,UAAU,CAAC,CAAC;IAC1C,OAAO,CAAC,IAAI,CAAC,IAAA,kBAAU,EAAC,IAAI,CAAC,GAAG,EAAE,CAAC,EAAE,sBAAsB,EAAE,EAAE,CAAC,CAAC;IAEjE,OAAO,IAAA,mBAAc,EAAC,OAAO,EAAE,MAAM,CAAC,CAAC,IAAI,CACzC,IAAA,UAAG,EAAC,CAAC,IAAI,EAAE,EAAE;QACX,OAAO,IAAI,CAAC,CAAC,CAAC,CAAC;IACjB,CAAC,CAAC,EACF,IAAA,UAAG,EAAC;QACF,IAAI,EAAE,CAAC,CAAC,EAAE,EAAE;YACV,IAAI,CAAC,yBAAyB,CAAC,GAAG,CAAC,UAAU,CAAC,EAAE;gBAC9C,yBAAyB,CAAC,GAAG,CAAC,UAAU,EAAE;oBACxC,KAAK,EAAE,CAAC,CAAC,KAAK;oBACd,IAAI,EAAE,IAAI,GAAG,EAAkF;oBAC/F,IAAI,EAAE,IAAI,GAAG,EAAkF;iBAChG,CAAC,CAAC;aACJ;YACD,CAAC,CAAC,IAAI,CAAC,GAAG,CAAC,CAAC,GAAG,EAAE,EAAE,WAAC,OAAA,MAAA,yBAAyB,CAAC,GAAG,CAAC,UAAU,CAAC,0CAAE,IAAI,CAAC,GAAG,CAAC,GAAG,CAAC,CAAC,CAAC,EAAE,GAAG,CAAC,CAAA,EAAA,CAAC,CAAC;YACtF,CAAC,CAAC,IAAI,CAAC,GAAG,CAAC,CAAC,GAAG,EAAE,EAAE,WAAC,OAAA,MAAA,yBAAyB,CAAC,GAAG,CAAC,UAAU,CAAC,0CAAE,IAAI,CAAC,GAAG,CAAC,GAAG,CAAC,CAAC,CAAC,EAAE,GAAG,CAAC,CAAA,EAAA,CAAC,CAAC;QACxF,CAAC;QACD,QAAQ,EAAE,GAAG,EAAE;YACb,yBAAyB,CAAC,MAAM,CAAC,UAAU,CAAC,CAAC;QAC/C,CAAC;KACF,CAAC,CACH,CAAC;AACJ,CAAC,CAAC,CAAC","sourcesContent":["import { Terminal } from '@yuants/protocol';\nimport { client } from './api';\nimport { decodePath, formatTime } from '@yuants/utils';\nimport { useMarketBooks } from './ws';\nimport { map, shareReplay, tap } from 'rxjs';\n\nconst terminal = Terminal.fromNodeEnv();\n\nterminal.server.provideService(\n  'QueryMarketBooks',\n  {\n    required: ['product_id', 'datasource_id'],\n    properties: {\n      product_id: { type: 'string' },\n      datasource_id: { type: 'string', const: 'OKX' },\n    },\n  },\n  async (msg) => {\n    const { sz = '1', product_id } = msg.req as { sz?: string; product_id: string };\n    const books = mapProductIdToMarketBooks.get(product_id);\n\n    if (books) {\n      return {\n        res: {\n          code: 0,\n          message: 'OK',\n          data: {\n            seqId: books.seqId,\n            bids: Array.from(books.bids.values() ?? []).sort((a, b) => +b[0] - +a[0]),\n            asks: Array.from(books?.asks.values() ?? []).sort((a, b) => +a[0] - +b[0]),\n          },\n        },\n      };\n    }\n    return { res: { code: 500, message: 'Server Error' } };\n  },\n);\n\nexport interface IWSOrderBook {\n  asks: [price: string, volume: string, abandon: string, order_number: string][];\n  bids: [price: string, volume: string, abandon: string, order_number: string][];\n  ts: string;\n  prevSeqId: number;\n  seqId: number;\n  checksum: number;\n}\n\nconst mapProductIdToMarketBooks = new Map<\n  string,\n  {\n    asks: Map<string, [price: string, volume: string, abandon: string, order_number: string]>;\n    bids: Map<string, [price: string, volume: string, abandon: string, order_number: string]>;\n    seqId: number;\n  }\n>();\n\nterminal.channel.publishChannel('MarketBooks', { pattern: `^OKX/` }, (id) => {\n  const [datasource_id, product_id] = decodePath(id);\n  const [, instId] = decodePath(product_id);\n  console.info(formatTime(Date.now()), `SubscribeMarketBooks`, id);\n\n  return useMarketBooks('books', instId).pipe(\n    map((data) => {\n      return data[0];\n    }),\n    tap({\n      next: (v) => {\n        if (!mapProductIdToMarketBooks.get(product_id)) {\n          mapProductIdToMarketBooks.set(product_id, {\n            seqId: v.seqId,\n            asks: new Map<string, [price: string, volume: string, abandon: string, order_number: string]>(),\n            bids: new Map<string, [price: string, volume: string, abandon: string, order_number: string]>(),\n          });\n        }\n        v.asks.map((ask) => mapProductIdToMarketBooks.get(product_id)?.asks.set(ask[0], ask));\n        v.bids.map((bid) => mapProductIdToMarketBooks.get(product_id)?.bids.set(bid[0], bid));\n      },\n      finalize: () => {\n        mapProductIdToMarketBooks.delete(product_id);\n      },\n    }),\n  );\n});\n"]}

package/lib/strategy-account.js

@@ -22,9 +22,11 @@ exports.strategyAccountId$ = exports.accountUid$.pipe((0, rxjs_1.map)((uid) => `
         const positions = [];
         const gridPositionsRes = await Promise.all(gridAlgoOrders.data.map((item) => api_1.client.getGridPositions({ algoOrdType: 'contract_grid', algoId: item.algoId })));
         gridPositionsRes.forEach((gridPositions, index) => {
-            var _a;
-            (_a = gridPositions === null || gridPositions === void 0 ? void 0 : gridPositions.data) === null || _a === void 0 ? void 0 : _a.forEach((position) => {
-                var _a, _b, _c, _d;
+            var _a, _b, _c, _d;
+            let positionValuation = 0;
+            const leverage = +((_a = gridAlgoOrders.data) === null || _a === void 0 ? void 0 : _a[index].actualLever);
+            (_b = gridPositions === null || gridPositions === void 0 ? void 0 : gridPositions.data) === null || _b === void 0 ? void 0 : _b.forEach((position) => {
+                var _a, _b, _c;
                 if (+position.pos !== 0) {
                     const directionRaw = (_c = (_b = (_a = gridAlgoOrders.data) === null || _a === void 0 ? void 0 : _a[index]) === null || _b === void 0 ? void 0 : _b.direction) !== null && _c !== void 0 ? _c : '';
                     const direction = directionRaw ? directionRaw.toUpperCase() : 'LONG';
@@ -40,11 +42,18 @@ exports.strategyAccountId$ = exports.accountUid$.pipe((0, rxjs_1.map)((uid) => `
                         closable_price: +position.last,
                         valuation: +position.notionalUsd,
                     });
-                    // 历史提取金额不会从 investment, totalPnl 扣减
-                    // 计算净值需要通过仓位的名义价值和实际杠杆计算
-                    totalEquity += +position.notionalUsd / +((_d = gridAlgoOrders.data) === null || _d === void 0 ? void 0 : _d[index].actualLever);
+                    positionValuation += +position.notionalUsd;
                 }
             });
+            if (leverage === 0) {
+                // 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
+                totalEquity += +((_c = gridAlgoOrders.data) === null || _c === void 0 ? void 0 : _c[index].investment) + +((_d = gridAlgoOrders.data) === null || _d === void 0 ? void 0 : _d[index].totalPnl);
+            }
+            else {
+                // 历史提取金额不会从 investment, totalPnl 扣减
+                // 计算净值需要通过仓位的名义价值和实际杠杆计算
+                totalEquity += positionValuation / leverage;
+            }
         });
         return {
             money: {

package/lib/strategy-account.js.map

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'';\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\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 += +position.notionalUsd / +gridAlgoOrders.data?.[index].actualLever;\n          }\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$).subscribe(() => sub.unsubscribe());\n"]}
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{ addAccountMarket, IPosition, provideAccountInfoService } from '@yuants/data-account';\nimport { Terminal } from '@yuants/protocol';\nimport { encodePath } from '@yuants/utils';\nimport { defer, filter, first, firstValueFrom, map, repeat, retry, shareReplay } from 'rxjs';\nimport { client } from './api';\n\nconst terminal = Terminal.fromNodeEnv();\n\nexport const accountConfig$ = defer(() => client.getAccountConfig()).pipe(\n  repeat({ delay: 10_000 }),\n  retry({ delay: 10_000 }),\n  shareReplay(1),\n);\n\nexport const accountUid$ = accountConfig$.pipe(\n  map((x) => x.data[0].uid),\n  filter((x) => !!x),\n  shareReplay(1),\n);\n\nexport const strategyAccountId$ = accountUid$.pipe(\n  map((uid) => `okx/${uid}/strategy`),\n  shareReplay(1),\n);\ndefer(async () => {\n  const strategyAccountId = await firstValueFrom(strategyAccountId$);\n\n  provideAccountInfoService(\n    terminal,\n    strategyAccountId,\n    async () => {\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          client.getGridPositions({ algoOrdType: 'contract_grid', algoId: item.algoId }),\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/ws.d.ts

@@ -1,4 +1,5 @@
 import { Observable } from 'rxjs';
+import { IWSOrderBook } from './market-order';
 export declare const useTicker: (instId: string) => Observable<{
     instId: string;
     last: string;
@@ -12,12 +13,5 @@ export declare const useOpenInterest: (instId: string) => Observable<{
     oi: string;
 }[]>;
 export declare const useOHLC: (candleType: string, instId: string) => Observable<string[][]>;
-export declare const useMarketBooks: (channel: 'books' | 'books5' | 'bbo-tbt' | 'books-l2-tbt' | 'books50-l2-tbt', instId: string) => Observable<{
-    asks: [price: string, volume: string, abandon: string, order_number: string][];
-    bids: [price: string, volume: string, abandon: string, order_number: string][];
-    ts: string;
-    prevSeqId: number;
-    seqId: number;
-    checksum: number;
-}[]>;
+export declare const useMarketBooks: (channel: 'books' | 'books5' | 'bbo-tbt' | 'books-l2-tbt' | 'books50-l2-tbt', instId: string) => Observable<IWSOrderBook[]>;
 //# sourceMappingURL=ws.d.ts.map

package/lib/ws.d.ts.map

@@ -1 +1 @@
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package/lib/ws.js.map

@@ -1 +1 @@
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{ PromRegistry, Terminal } from '@yuants/protocol';\nimport { encodePath, formatTime } from '@yuants/utils';\nimport { catchError, defer, EMPTY, filter, interval, Observable, Subscription, tap, timeout } from 'rxjs';\n\nconst MetricsWebSocketConnectionsGauge = PromRegistry.create(\n  'gauge',\n  'okx_websocket_connections',\n  'Number of active OKX WebSocket connections',\n);\n\nconst MetricsWebSocketChannelGauge = PromRegistry.create(\n  'gauge',\n  'okx_websocket_channel',\n  'Number of OKX WebSocket channels subscribed',\n);\n\ntype ConnectStatus = 'connecting' | 'connected' | 'closed' | 'reconnecting';\nconst terminal = Terminal.fromNodeEnv();\n\nclass OKXWsClient {\n  private static readonly pool: {\n    path: string;\n    client: OKXWsClient;\n    requests: number;\n    isFull: boolean;\n  }[] = [];\n\n  // ISSUE: 连接限制：3 次/秒 (基于IP)\n  // https://www.okx.com/docs-v5/zh/#overview-websocket-connect\n  // 每个连接 对于 订阅/取消订阅/登录 请求的总次数限制为 480 次/小时\n  static GetWsClient(path: string): OKXWsClient {\n    const existing = OKXWsClient.pool.find((item) => item.path === path && !item.isFull);\n    if (existing && !existing.client.isClosed()) {\n      existing.requests++;\n      if (existing.requests >= 480) {\n        existing.isFull = true;\n      }\n      return existing.client;\n    }\n\n    const client = existing?.client?.isClosed() ? existing.client.revive() : new OKXWsClient(path);\n    if (existing) {\n      existing.client = client;\n      existing.requests = 1;\n      existing.isFull = false;\n    } else {\n      OKXWsClient.pool.push({ path, client, requests: 1, isFull: false });\n    }\n    return client;\n  }\n\n  private readonly baseURL: string = `wss://ws.okx.com:8443`;\n  private readonly path: string;\n  private ws!: WebSocket;\n  private connectStatus: ConnectStatus = 'closed';\n  private keepAlive?: Subscription;\n  private readonly subscriptions = new Map<\n    string,\n    {\n      channel: string;\n      instId?: string;\n    }\n  >();\n  private readonly handlers: Record<string, Function> = {};\n  private readonly connectionListeners: Record<'error' | 'close', Set<EventListener>> = {\n    error: new Set(),\n    close: new Set(),\n  };\n\n  private readonly handleOpen = () => {\n    this.connectStatus = 'connected';\n    console.info(formatTime(Date.now()), '✅ WS connected');\n    for (const { channel, instId } of this.subscriptions.values()) {\n      this.sendSubscribeMessage(channel, instId);\n    }\n  };\n\n  private readonly handleMessage = (raw: MessageEvent) => {\n    if (raw.data === 'pong') {\n      return;\n    }\n    const msg = JSON.parse(raw.data);\n    if (msg.arg?.channel) {\n      const channelId = encodePath(msg.arg.channel, msg.arg.instId);\n      const data = msg.data;\n      const handler = this.handlers[channelId];\n      if (data && handler) {\n        handler(data, msg.arg);\n      }\n    } else if (msg.event) {\n      console.info(formatTime(Date.now()), 'Event:', msg);\n    }\n  };\n\n  private readonly handleError = (event: Event) => {\n    console.error(formatTime(Date.now()), '❌ WS error', event);\n  };\n\n  private readonly handleClose = (event: CloseEvent) => {\n    console.error(formatTime(Date.now()), '❌ WS closed', event);\n    MetricsWebSocketConnectionsGauge.dec({ path: this.path });\n\n    const closedSocket = event.target as WebSocket;\n    if (closedSocket !== this.ws) {\n      return;\n    }\n\n    if (this.connectStatus === 'reconnecting') {\n      return;\n    }\n\n    this.connectStatus = 'closed';\n\n    if (this.subscriptions.size === 0) {\n      return;\n    }\n\n    this.connectStatus = 'reconnecting';\n    setTimeout(() => {\n      if (this.connectStatus === 'connecting' || this.connectStatus === 'connected') {\n        return;\n      }\n      if (this.subscriptions.size === 0) {\n        this.connectStatus = 'closed';\n        return;\n      }\n      this.initSocket();\n    }, 1000);\n  };\n\n  constructor(path: string) {\n    this.path = path;\n    this.initSocket();\n    this.startKeepAlive();\n  }\n\n  private revive(): OKXWsClient {\n    this.initSocket();\n    this.startKeepAlive();\n    return this;\n  }\n\n  private initSocket() {\n    this.connectStatus = 'connecting';\n    this.ws = new WebSocket(`${this.baseURL}/${this.path}`);\n    MetricsWebSocketConnectionsGauge.inc({ path: this.path, terminal_id: terminal.terminal_id });\n\n    this.ws.addEventListener('open', this.handleOpen);\n    this.ws.addEventListener('message', this.handleMessage);\n    this.ws.addEventListener('error', this.handleError);\n    this.ws.addEventListener('close', this.handleClose);\n\n    for (const listener of this.connectionListeners.error) {\n      this.ws.addEventListener('error', listener);\n    }\n    for (const listener of this.connectionListeners.close) {\n      this.ws.addEventListener('close', listener);\n    }\n  }\n\n  private startKeepAlive() {\n    if (this.keepAlive && !this.keepAlive.closed) {\n      return;\n    }\n    this.keepAlive = interval(25_000)\n      .pipe(\n        tap(() => {\n          if (this.connectStatus === 'connected') {\n            this.ws.send('ping');\n          }\n        }),\n      )\n      .subscribe();\n  }\n\n  private stopKeepAlive() {\n    if (this.keepAlive && !this.keepAlive.closed) {\n      this.keepAlive.unsubscribe();\n    }\n  }\n\n  private isClosed() {\n    return this.ws?.readyState === WebSocket.CLOSING || this.ws?.readyState === WebSocket.CLOSED;\n  }\n\n  private sendSubscribeMessage(channel: string, instId?: string) {\n    const message = {\n      op: 'subscribe',\n      args: [{ channel, instId }],\n    };\n    this.ws.send(JSON.stringify(message));\n    const channelId = encodePath(channel, instId);\n    console.info(formatTime(Date.now()), `📩 Sent subscribe for ${channelId}`);\n  }\n\n  private sendUnsubscribeMessage(channel: string, instId?: string) {\n    const message = {\n      op: 'unsubscribe',\n      args: [{ channel, instId }],\n    };\n    this.ws.send(JSON.stringify(message));\n    const channelId = encodePath(channel, instId);\n    console.info(formatTime(Date.now()), `📩 Sent unsubscribe for ${channelId}`);\n  }\n\n  addConnectionListener(type: 'error' | 'close', listener: EventListener): () => void {\n    this.connectionListeners[type].add(listener);\n    this.ws.addEventListener(type, listener);\n    return () => {\n      this.connectionListeners[type].delete(listener);\n      this.ws.removeEventListener(type, listener);\n    };\n  }\n\n  subscribe(channel: string, instId?: string, handler?: Function) {\n    const channelId = encodePath(channel, instId);\n    if (this.subscriptions.has(channelId)) {\n      console.info(formatTime(Date.now()), `⚠️ Already subscribed: ${channelId}`);\n      return;\n    }\n\n    this.subscriptions.set(channelId, { channel, instId });\n    MetricsWebSocketChannelGauge.inc({ channel, terminal_id: terminal.terminal_id });\n\n    if (handler) {\n      this.handlers[channelId] = handler;\n    }\n\n    this.startKeepAlive();\n\n    if (this.connectStatus === 'connected') {\n      this.sendSubscribeMessage(channel, instId);\n    } else if (this.isClosed()) {\n      this.initSocket();\n    } else {\n      console.info(formatTime(Date.now()), `📩 Queued subscribe for ${channelId} waiting for connection`);\n    }\n  }\n\n  unsubscribe(channel: string, instId?: string) {\n    const channelId = encodePath(channel, instId);\n    if (!this.subscriptions.has(channelId)) return;\n\n    if (this.connectStatus === 'connected') {\n      this.sendUnsubscribeMessage(channel, instId);\n    }\n    this.subscriptions.delete(channelId);\n    MetricsWebSocketChannelGauge.dec({ channel });\n    delete this.handlers[channelId];\n\n    if (this.subscriptions.size === 0) {\n      this.stopKeepAlive();\n      if (this.ws.readyState === WebSocket.OPEN || this.ws.readyState === WebSocket.CONNECTING) {\n        this.ws.close();\n      }\n    }\n  }\n}\n\nconst fromWsChannelAndInstId = <T>(path: string, channel: string, instId: string) =>\n  defer(\n    () =>\n      new Observable<T>((subscriber) => {\n        const client = OKXWsClient.GetWsClient(path);\n        client.subscribe(channel, instId, (data: T) => {\n          subscriber.next(data);\n        });\n        const removeError = client.addConnectionListener('error', (err) => {\n          subscriber.error(err);\n        });\n        const removeClose = client.addConnectionListener('close', () => {\n          subscriber.error('WS Connection Closed');\n        });\n        subscriber.add(() => {\n          removeError();\n          removeClose();\n          client.unsubscribe(channel, instId);\n        });\n      }),\n  ).pipe(\n    // 防止单个连接断开导致数据流关闭\n    timeout(60_000),\n    tap({\n      error: (err) => {\n        console.info(formatTime(Date.now()), 'WS_SUBSCRIBE_ERROR', channel, instId, err);\n      },\n    }),\n    // 暂时不太确定是否能支持 retry\n    // retry({ delay: 1000 }),\n    catchError(() => EMPTY),\n  );\n\nexport const useTicker = (instId: string) =>\n  fromWsChannelAndInstId<\n    {\n      instId: string;\n      last: string;\n      askPx: string;\n      bidPx: string;\n      askSz: string;\n      bidSz: string;\n    }[]\n  >('ws/v5/public', 'tickers', instId).pipe(\n    //\n    filter((data) => data.length > 0),\n  );\n\nexport const useOpenInterest = (instId: string) =>\n  fromWsChannelAndInstId<\n    {\n      instId: string;\n      oi: string; // open interest\n    }[]\n  >('ws/v5/public', 'open-interest', instId).pipe(\n    //\n    filter((data) => data.length > 0),\n  );\n\nexport const useOHLC = (candleType: string, instId: string) =>\n  fromWsChannelAndInstId<string[][]>('ws/v5/business', candleType, instId).pipe(\n    //\n    filter((data) => data.length > 0),\n  );\n\nexport const useMarketBooks = (\n  channel: 'books' | 'books5' | 'bbo-tbt' | 'books-l2-tbt' | 'books50-l2-tbt',\n  instId: string,\n) =>\n  fromWsChannelAndInstId<\n    {\n      asks: [price: string, volume: string, abandon: string, order_number: string][];\n      bids: [price: string, volume: string, abandon: string, order_number: string][];\n      ts: string;\n      prevSeqId: number;\n      seqId: number;\n      checksum: number;\n    }[]\n  >('ws/v5/public', channel, instId).pipe(\n    //\n    filter((data) => data.length > 0),\n  );\n"]}
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{ PromRegistry, Terminal } from '@yuants/protocol';\nimport { encodePath, formatTime } from '@yuants/utils';\nimport { catchError, defer, EMPTY, filter, interval, Observable, Subscription, tap, timeout } from 'rxjs';\nimport { IWSOrderBook } from './market-order';\n\nconst MetricsWebSocketConnectionsGauge = PromRegistry.create(\n  'gauge',\n  'okx_websocket_connections',\n  'Number of active OKX WebSocket connections',\n);\n\nconst MetricsWebSocketChannelGauge = PromRegistry.create(\n  'gauge',\n  'okx_websocket_channel',\n  'Number of OKX WebSocket channels subscribed',\n);\n\ntype ConnectStatus = 'connecting' | 'connected' | 'closed' | 'reconnecting';\nconst terminal = Terminal.fromNodeEnv();\n\nclass OKXWsClient {\n  private static readonly pool: {\n    path: string;\n    client: OKXWsClient;\n    requests: number;\n    isFull: boolean;\n  }[] = [];\n\n  // ISSUE: 连接限制：3 次/秒 (基于IP)\n  // https://www.okx.com/docs-v5/zh/#overview-websocket-connect\n  // 每个连接 对于 订阅/取消订阅/登录 请求的总次数限制为 480 次/小时\n  static GetWsClient(path: string): OKXWsClient {\n    const existing = OKXWsClient.pool.find((item) => item.path === path && !item.isFull);\n    if (existing && !existing.client.isClosed()) {\n      existing.requests++;\n      if (existing.requests >= 480) {\n        existing.isFull = true;\n      }\n      return existing.client;\n    }\n\n    const client = existing?.client?.isClosed() ? existing.client.revive() : new OKXWsClient(path);\n    if (existing) {\n      existing.client = client;\n      existing.requests = 1;\n      existing.isFull = false;\n    } else {\n      OKXWsClient.pool.push({ path, client, requests: 1, isFull: false });\n    }\n    return client;\n  }\n\n  private readonly baseURL: string = `wss://ws.okx.com:8443`;\n  private readonly path: string;\n  private ws!: WebSocket;\n  private connectStatus: ConnectStatus = 'closed';\n  private keepAlive?: Subscription;\n  private readonly subscriptions = new Map<\n    string,\n    {\n      channel: string;\n      instId?: string;\n    }\n  >();\n  private readonly handlers: Record<string, Function> = {};\n  private readonly connectionListeners: Record<'error' | 'close', Set<EventListener>> = {\n    error: new Set(),\n    close: new Set(),\n  };\n\n  private readonly handleOpen = () => {\n    this.connectStatus = 'connected';\n    console.info(formatTime(Date.now()), '✅ WS connected');\n    for (const { channel, instId } of this.subscriptions.values()) {\n      this.sendSubscribeMessage(channel, instId);\n    }\n  };\n\n  private readonly handleMessage = (raw: MessageEvent) => {\n    if (raw.data === 'pong') {\n      return;\n    }\n    const msg = JSON.parse(raw.data);\n    if (msg.arg?.channel) {\n      const channelId = encodePath(msg.arg.channel, msg.arg.instId);\n      const data = msg.data;\n      const handler = this.handlers[channelId];\n      if (data && handler) {\n        handler(data, msg.arg);\n      }\n    } else if (msg.event) {\n      console.info(formatTime(Date.now()), 'Event:', msg);\n    }\n  };\n\n  private readonly handleError = (event: Event) => {\n    console.error(formatTime(Date.now()), '❌ WS error', event);\n  };\n\n  private readonly handleClose = (event: CloseEvent) => {\n    console.error(formatTime(Date.now()), '❌ WS closed', event);\n    MetricsWebSocketConnectionsGauge.dec({ path: this.path });\n\n    const closedSocket = event.target as WebSocket;\n    if (closedSocket !== this.ws) {\n      return;\n    }\n\n    if (this.connectStatus === 'reconnecting') {\n      return;\n    }\n\n    this.connectStatus = 'closed';\n\n    if (this.subscriptions.size === 0) {\n      return;\n    }\n\n    this.connectStatus = 'reconnecting';\n    setTimeout(() => {\n      if (this.connectStatus === 'connecting' || this.connectStatus === 'connected') {\n        return;\n      }\n      if (this.subscriptions.size === 0) {\n        this.connectStatus = 'closed';\n        return;\n      }\n      this.initSocket();\n    }, 1000);\n  };\n\n  constructor(path: string) {\n    this.path = path;\n    this.initSocket();\n    this.startKeepAlive();\n  }\n\n  private revive(): OKXWsClient {\n    this.initSocket();\n    this.startKeepAlive();\n    return this;\n  }\n\n  private initSocket() {\n    this.connectStatus = 'connecting';\n    this.ws = new WebSocket(`${this.baseURL}/${this.path}`);\n    MetricsWebSocketConnectionsGauge.inc({ path: this.path, terminal_id: terminal.terminal_id });\n\n    this.ws.addEventListener('open', this.handleOpen);\n    this.ws.addEventListener('message', this.handleMessage);\n    this.ws.addEventListener('error', this.handleError);\n    this.ws.addEventListener('close', this.handleClose);\n\n    for (const listener of this.connectionListeners.error) {\n      this.ws.addEventListener('error', listener);\n    }\n    for (const listener of this.connectionListeners.close) {\n      this.ws.addEventListener('close', listener);\n    }\n  }\n\n  private startKeepAlive() {\n    if (this.keepAlive && !this.keepAlive.closed) {\n      return;\n    }\n    this.keepAlive = interval(25_000)\n      .pipe(\n        tap(() => {\n          if (this.connectStatus === 'connected') {\n            this.ws.send('ping');\n          }\n        }),\n      )\n      .subscribe();\n  }\n\n  private stopKeepAlive() {\n    if (this.keepAlive && !this.keepAlive.closed) {\n      this.keepAlive.unsubscribe();\n    }\n  }\n\n  private isClosed() {\n    return this.ws?.readyState === WebSocket.CLOSING || this.ws?.readyState === WebSocket.CLOSED;\n  }\n\n  private sendSubscribeMessage(channel: string, instId?: string) {\n    const message = {\n      op: 'subscribe',\n      args: [{ channel, instId }],\n    };\n    this.ws.send(JSON.stringify(message));\n    const channelId = encodePath(channel, instId);\n    console.info(formatTime(Date.now()), `📩 Sent subscribe for ${channelId}`);\n  }\n\n  private sendUnsubscribeMessage(channel: string, instId?: string) {\n    const message = {\n      op: 'unsubscribe',\n      args: [{ channel, instId }],\n    };\n    this.ws.send(JSON.stringify(message));\n    const channelId = encodePath(channel, instId);\n    console.info(formatTime(Date.now()), `📩 Sent unsubscribe for ${channelId}`);\n  }\n\n  addConnectionListener(type: 'error' | 'close', listener: EventListener): () => void {\n    this.connectionListeners[type].add(listener);\n    this.ws.addEventListener(type, listener);\n    return () => {\n      this.connectionListeners[type].delete(listener);\n      this.ws.removeEventListener(type, listener);\n    };\n  }\n\n  subscribe(channel: string, instId?: string, handler?: Function) {\n    const channelId = encodePath(channel, instId);\n    if (this.subscriptions.has(channelId)) {\n      console.info(formatTime(Date.now()), `⚠️ Already subscribed: ${channelId}`);\n      return;\n    }\n\n    this.subscriptions.set(channelId, { channel, instId });\n    MetricsWebSocketChannelGauge.inc({ channel, terminal_id: terminal.terminal_id });\n\n    if (handler) {\n      this.handlers[channelId] = handler;\n    }\n\n    this.startKeepAlive();\n\n    if (this.connectStatus === 'connected') {\n      this.sendSubscribeMessage(channel, instId);\n    } else if (this.isClosed()) {\n      this.initSocket();\n    } else {\n      console.info(formatTime(Date.now()), `📩 Queued subscribe for ${channelId} waiting for connection`);\n    }\n  }\n\n  unsubscribe(channel: string, instId?: string) {\n    const channelId = encodePath(channel, instId);\n    if (!this.subscriptions.has(channelId)) return;\n\n    if (this.connectStatus === 'connected') {\n      this.sendUnsubscribeMessage(channel, instId);\n    }\n    this.subscriptions.delete(channelId);\n    MetricsWebSocketChannelGauge.dec({ channel });\n    delete this.handlers[channelId];\n\n    if (this.subscriptions.size === 0) {\n      this.stopKeepAlive();\n      if (this.ws.readyState === WebSocket.OPEN || this.ws.readyState === WebSocket.CONNECTING) {\n        this.ws.close();\n      }\n    }\n  }\n}\n\nconst fromWsChannelAndInstId = <T>(path: string, channel: string, instId: string) =>\n  defer(\n    () =>\n      new Observable<T>((subscriber) => {\n        const client = OKXWsClient.GetWsClient(path);\n        client.subscribe(channel, instId, (data: T) => {\n          subscriber.next(data);\n        });\n        const removeError = client.addConnectionListener('error', (err) => {\n          subscriber.error(err);\n        });\n        const removeClose = client.addConnectionListener('close', () => {\n          subscriber.error('WS Connection Closed');\n        });\n        subscriber.add(() => {\n          removeError();\n          removeClose();\n          client.unsubscribe(channel, instId);\n        });\n      }),\n  ).pipe(\n    // 防止单个连接断开导致数据流关闭\n    timeout(60_000),\n    tap({\n      error: (err) => {\n        console.info(formatTime(Date.now()), 'WS_SUBSCRIBE_ERROR', channel, instId, err);\n      },\n    }),\n    // 暂时不太确定是否能支持 retry\n    // retry({ delay: 1000 }),\n    catchError(() => EMPTY),\n  );\n\nexport const useTicker = (instId: string) =>\n  fromWsChannelAndInstId<\n    {\n      instId: string;\n      last: string;\n      askPx: string;\n      bidPx: string;\n      askSz: string;\n      bidSz: string;\n    }[]\n  >('ws/v5/public', 'tickers', instId).pipe(\n    //\n    filter((data) => data.length > 0),\n  );\n\nexport const useOpenInterest = (instId: string) =>\n  fromWsChannelAndInstId<\n    {\n      instId: string;\n      oi: string; // open interest\n    }[]\n  >('ws/v5/public', 'open-interest', instId).pipe(\n    //\n    filter((data) => data.length > 0),\n  );\n\nexport const useOHLC = (candleType: string, instId: string) =>\n  fromWsChannelAndInstId<string[][]>('ws/v5/business', candleType, instId).pipe(\n    //\n    filter((data) => data.length > 0),\n  );\n\nexport const useMarketBooks = (\n  channel: 'books' | 'books5' | 'bbo-tbt' | 'books-l2-tbt' | 'books50-l2-tbt',\n  instId: string,\n) =>\n  fromWsChannelAndInstId<IWSOrderBook[]>('ws/v5/public', channel, instId).pipe(\n    //\n    filter((data) => data.length > 0),\n  );\n"]}

package/package.json

@@ -1,6 +1,6 @@
 {
 	"name": "@yuants/vendor-okx",
-	"version": "0.23.7",
+	"version": "0.23.9",
 	"bin": "lib/cli.js",
 	"main": "lib/index.js",
 	"files": [
@@ -9,19 +9,19 @@
 		"temp"
 	],
 	"dependencies": {
-		"@yuants/protocol": "0.46.1",
-		"@yuants/transfer": "0.2.20",
-		"@yuants/data-account": "0.5.3",
-		"@yuants/data-order": "0.2.17",
+		"@yuants/protocol": "0.46.2",
+		"@yuants/transfer": "0.2.21",
+		"@yuants/data-account": "0.6.1",
+		"@yuants/data-order": "0.2.18",
 		"@yuants/utils": "0.8.0",
-		"@yuants/sql": "0.9.11",
-		"@yuants/data-series": "0.3.32",
-		"@yuants/data-product": "0.4.0",
-		"@yuants/data-ohlc": "0.4.3",
-		"@yuants/data-interest-rate": "0.1.29",
-		"@yuants/data-quote": "0.2.24",
-		"@yuants/data-trade": "0.1.2",
-		"@yuants/secret": "0.2.15",
+		"@yuants/sql": "0.9.12",
+		"@yuants/data-series": "0.3.33",
+		"@yuants/data-product": "0.4.1",
+		"@yuants/data-ohlc": "0.4.4",
+		"@yuants/data-interest-rate": "0.1.30",
+		"@yuants/data-quote": "0.2.25",
+		"@yuants/data-trade": "0.1.3",
+		"@yuants/secret": "0.2.16",
 		"rxjs": "~7.5.6",
 		"crypto-js": "^4.2.0",
 		"ws": "~8.8.1"

package/temp/package-deps.json

@@ -1,13 +1,13 @@
 {
-    "apps/vendor-okx/CHANGELOG.json": "f18891abc25a1c25d951f6df9cc724e681a08d8c",
-    "apps/vendor-okx/CHANGELOG.md": "4e9afbd9be2d186a7d03be3accf999bd29d58c89",
+    "apps/vendor-okx/CHANGELOG.json": "35cddf491321ab817ce9366304824cdbb2b0af13",
+    "apps/vendor-okx/CHANGELOG.md": "42c022a8cd36c0917eab9827830627912aca4886",
     "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": "37e00d432f34a9347c63cfa775100e444d14a89e",
+    "apps/vendor-okx/package.json": "c0e4124f1a4c20ed74076101ebf4e2c6603b8a8c",
     "apps/vendor-okx/src/account.ts": "ecfbe5017d6b5d4d1bc833de9f48fe72db76bdb7",
     "apps/vendor-okx/src/api.ts": "1ed5d9e4a758523e5f97183a1e6377bed0d75493",
     "apps/vendor-okx/src/cli.ts": "9bf6b5559a6c6f33da20e74cc6c5d702c60ec891",
@@ -17,7 +17,7 @@
     "apps/vendor-okx/src/legacy_index.ts": "e46abcfaa52f957ce5e8c42ca26cd0fc2c576965",
     "apps/vendor-okx/src/loan-account.ts": "fa37d6e51a992443ddba130e5136de7a58c34286",
     "apps/vendor-okx/src/logger.ts": "d25d427e74f46819a601e0cb17d5358b22c8db7b",
-    "apps/vendor-okx/src/market-order.ts": "1c11c55ddf3402469e82a51989e54a47dcfdb5ac",
+    "apps/vendor-okx/src/market-order.ts": "68b5d1bbf56348e06f3091bb5aeb4b9e322b25cb",
     "apps/vendor-okx/src/ohlc.ts": "01861f583022bf33803bd8d376296d170c4aa8f5",
     "apps/vendor-okx/src/order.ts": "945865088271a194eb1c684af0f10e6b54d89f6b",
     "apps/vendor-okx/src/product.ts": "d5aea86778190d0a73f0a61c3b2cf178f3b57df9",
@@ -25,25 +25,25 @@
     "apps/vendor-okx/src/provideSeriesFromTimeBackwardService.ts": "daf3c793eb4fc20e59a740bb69e50fadab5f62f0",
     "apps/vendor-okx/src/quote.ts": "e289161a274db61505efcdecfafb817e7376742f",
     "apps/vendor-okx/src/services.ts": "7b7df830a6d78b6de5cee44bbcec66f282ab53ab",
-    "apps/vendor-okx/src/strategy-account.ts": "b6d0f9b3588277cfe02d73410ec2de8773290a3c",
+    "apps/vendor-okx/src/strategy-account.ts": "900f7cf7707023b52d164b9c9a6935ab57bee4ab",
     "apps/vendor-okx/src/trade.ts": "5265a7215b803c5f357842e1ece7ddca53f7e7fc",
     "apps/vendor-okx/src/websocket.ts": "6c0199bbb9db714ec96b59d90b35b3c801975194",
-    "apps/vendor-okx/src/ws.ts": "1a8cfac0a5e86139db4b6a8f8dfd6d2b0a82e729",
+    "apps/vendor-okx/src/ws.ts": "7aa1561c8c524dee838817eaeda5031d389ec877",
     "apps/vendor-okx/tsconfig.json": "81da8f78196974b5d15da0edb6b2d9f48641063c",
     "apps/vendor-okx/.rush/temp/shrinkwrap-deps.json": "0a6205550d411d42b6d36324572e5e2a0ba166b2",
-    "libraries/protocol/temp/package-deps.json": "62bc1cb0a7d7ffadb33a35dfa823e03a48ad8572",
-    "libraries/transfer/temp/package-deps.json": "6c45e5623e560e2602ecf792eea3e8a3141076cf",
-    "libraries/data-account/temp/package-deps.json": "e77f6cfba0d46e3ea05892041b1bc184c1af7a9f",
-    "libraries/data-order/temp/package-deps.json": "55f1b82dd7d30da8d33d768584241d9a901aa22a",
+    "libraries/protocol/temp/package-deps.json": "691b94fb96f424bb2239117397eebca4a9e085f6",
+    "libraries/transfer/temp/package-deps.json": "96631873c1fff91f3bfce20b29e0d770f42aab2a",
+    "libraries/data-account/temp/package-deps.json": "fae2b5f777de5dea0c4f480473442076199b5327",
+    "libraries/data-order/temp/package-deps.json": "bdba432851fde19665c1d22310143a179f250cdc",
     "libraries/utils/temp/package-deps.json": "56def945d0e67a9d0ca13447d2333155be0138f2",
-    "libraries/sql/temp/package-deps.json": "5e5778a9e2daa9352ca5876b282d3aca297b5d01",
-    "libraries/data-series/temp/package-deps.json": "dd0e72dde51b63200a7665d1172c162a65214f5a",
-    "libraries/data-product/temp/package-deps.json": "3559bdb65b9775cedc68017031fd1868f38e3b20",
-    "libraries/data-ohlc/temp/package-deps.json": "58097dcb73f96778762461d6d8f6de473fe64b44",
-    "libraries/data-interest-rate/temp/package-deps.json": "159afc02f2441c569dc7c73ffecfbec83f65b036",
-    "libraries/data-quote/temp/package-deps.json": "d3eb234bbfb2463cb53367151eaefdfbb03da111",
-    "libraries/data-trade/temp/package-deps.json": "4277985318172b3e8710bfd38a932c8d71a761ea",
-    "libraries/secret/temp/package-deps.json": "f57c6ada82811718f20cf7fa40d53d846678d628",
+    "libraries/sql/temp/package-deps.json": "5386a5ba76a11d2579929a1f89943678cf2d84a3",
+    "libraries/data-series/temp/package-deps.json": "53b68d280dcea89e9c6b0adfada639977342e03c",
+    "libraries/data-product/temp/package-deps.json": "514e69776da364be228317fdfefbf28c155fc4d8",
+    "libraries/data-ohlc/temp/package-deps.json": "db3a25107321e01fdf504aabb1757a6f09c6baf4",
+    "libraries/data-interest-rate/temp/package-deps.json": "383d6cd7a1a213253171969eba5908c6e2f7f04f",
+    "libraries/data-quote/temp/package-deps.json": "60323f4099438057e17baf24d750b02e66d5e61f",
+    "libraries/data-trade/temp/package-deps.json": "16f4fe89bdf24b19d7d237e17318ea6b90bb5a3d",
+    "libraries/secret/temp/package-deps.json": "4c35c6568345efbb9c11ef00aef65da301cbf372",
     "libraries/extension/temp/package-deps.json": "1e2fec9acb35353b204eff0d4cc0af65c3b2582a",
     "tools/toolkit/temp/package-deps.json": "3bef053db16659f0cdaceea64c8a8580c0131633"
 }