npm - @yuants/vendor-okx - Versions diffs - 0.23.8 → 0.23.10 - Mend

@yuants/vendor-okx 0.23.8 → 0.23.10

This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.

Files changed (16) hide show

package/dist/market-order.js +31 -9
package/dist/market-order.js.map +1 -1
package/dist/strategy-account.js +39 -7
package/dist/strategy-account.js.map +1 -1
package/dist/ws.js.map +1 -1
package/lib/market-order.d.ts +8 -1
package/lib/market-order.d.ts.map +1 -1
package/lib/market-order.js +30 -8
package/lib/market-order.js.map +1 -1
package/lib/strategy-account.js +39 -7
package/lib/strategy-account.js.map +1 -1
package/lib/ws.d.ts +2 -8
package/lib/ws.d.ts.map +1 -1
package/lib/ws.js.map +1 -1
package/package.json +13 -13
package/temp/package-deps.json +18 -18

package/dist/market-order.js CHANGED Viewed

@@ -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 CHANGED Viewed

	@@ -1 +1 @@
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1	+ {"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 CHANGED Viewed

@@ -9,7 +9,27 @@ export const accountUid$ = accountConfig$.pipe(map((x) => x.data[0].uid), filter
 export const strategyAccountId$ = accountUid$.pipe(map((uid) => `okx/${uid}/strategy`), shareReplay(1));
 defer(async () => {
     const strategyAccountId = await firstValueFrom(strategyAccountId$);
+    terminal.server.provideService(`OKX/QueryGridPositions`, {
+        required: ['account_id', 'algoId'],
+        properties: {
+            account_id: { type: 'string', const: strategyAccountId },
+            algoId: { type: 'string' },
+        },
+    }, async (msg) => {
+        //
+        return {
+            res: {
+                code: 0,
+                message: 'OK',
+                data: await client.getGridPositions({ algoOrdType: 'contract_grid', algoId: msg.req.algoId }),
+            },
+        };
+    }, {
+        egress_token_capacity: 20,
+        egress_token_refill_interval: 4000, // 每 4 秒恢复 20 个令牌 (双倍冗余限流)
+    });
     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([
             client.getGridOrdersAlgoPending({
                 algoOrdType: 'contract_grid',
@@ -17,11 +37,16 @@ defer(async () => {
         ]);
         let totalEquity = 0;
         const positions = [];
-        const gridPositionsRes = await Promise.all(gridAlgoOrders.data.map((item) => client.getGridPositions({ algoOrdType: 'contract_grid', algoId: item.algoId })));
+        const gridPositionsRes = await Promise.all(gridAlgoOrders.data.map((item) => terminal.client.requestForResponseData('OKX/QueryGridPositions', {
+            account_id: strategyAccountId,
+            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 +62,18 @@ 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 CHANGED Viewed

	@@ -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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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 ?? '';\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 CHANGED Viewed

	@@ -1 +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"]}
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';\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 CHANGED Viewed

@@ -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 CHANGED Viewed

	@@ -1 +1 @@
1	- {"version":3,"file":"market-order.d.ts","sourceRoot":"","sources":["../src/market-order.ts"],"names":[],"mappings":""}
1	+ {"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 CHANGED Viewed

@@ -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 CHANGED Viewed

	@@ -1 +1 @@
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[]).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 CHANGED Viewed

@@ -12,7 +12,27 @@ exports.accountUid$ = exports.accountConfig$.pipe((0, rxjs_1.map)((x) => x.data[
 exports.strategyAccountId$ = exports.accountUid$.pipe((0, rxjs_1.map)((uid) => `okx/${uid}/strategy`), (0, rxjs_1.shareReplay)(1));
 (0, rxjs_1.defer)(async () => {
     const strategyAccountId = await (0, rxjs_1.firstValueFrom)(exports.strategyAccountId$);
+    terminal.server.provideService(`OKX/QueryGridPositions`, {
+        required: ['account_id', 'algoId'],
+        properties: {
+            account_id: { type: 'string', const: strategyAccountId },
+            algoId: { type: 'string' },
+        },
+    }, async (msg) => {
+        //
+        return {
+            res: {
+                code: 0,
+                message: 'OK',
+                data: await api_1.client.getGridPositions({ algoOrdType: 'contract_grid', algoId: msg.req.algoId }),
+            },
+        };
+    }, {
+        egress_token_capacity: 20,
+        egress_token_refill_interval: 4000, // 每 4 秒恢复 20 个令牌 (双倍冗余限流)
+    });
     (0, data_account_1.provideAccountInfoService)(terminal, strategyAccountId, async () => {
+        // TODO: 需要分页获取所有的网格订单 (每页 100 条)
         const [gridAlgoOrders] = await Promise.all([
             api_1.client.getGridOrdersAlgoPending({
                 algoOrdType: 'contract_grid',
@@ -20,11 +40,16 @@ exports.strategyAccountId$ = exports.accountUid$.pipe((0, rxjs_1.map)((uid) => `
         ]);
         let totalEquity = 0;
         const positions = [];
-        const gridPositionsRes = await Promise.all(gridAlgoOrders.data.map((item) => api_1.client.getGridPositions({ algoOrdType: 'contract_grid', algoId: item.algoId })));
+        const gridPositionsRes = await Promise.all(gridAlgoOrders.data.map((item) => terminal.client.requestForResponseData('OKX/QueryGridPositions', {
+            account_id: strategyAccountId,
+            algoId: item.algoId,
+        })));
         gridPositionsRes.forEach((gridPositions, index) => {
-            var _a;
-            (_a = gridPositions === null || gridPositions === void 0 ? void 0 : gridPositions.data) === null || _a === void 0 ? void 0 : _a.forEach((position) => {
-                var _a, _b, _c, _d;
+            var _a, _b, _c, _d;
+            let positionValuation = 0;
+            const leverage = +((_a = gridAlgoOrders.data) === null || _a === void 0 ? void 0 : _a[index].actualLever);
+            (_b = gridPositions === null || gridPositions === void 0 ? void 0 : gridPositions.data) === null || _b === void 0 ? void 0 : _b.forEach((position) => {
+                var _a, _b, _c;
                 if (+position.pos !== 0) {
                     const directionRaw = (_c = (_b = (_a = gridAlgoOrders.data) === null || _a === void 0 ? void 0 : _a[index]) === null || _b === void 0 ? void 0 : _b.direction) !== null && _c !== void 0 ? _c : '';
                     const direction = directionRaw ? directionRaw.toUpperCase() : 'LONG';
@@ -40,11 +65,18 @@ exports.strategyAccountId$ = 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 CHANGED Viewed

	@@ -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 ?? '';\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 CHANGED Viewed

@@ -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

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	@@ -1 +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"]}
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';\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 CHANGED Viewed

@@ -1,6 +1,6 @@
 {
 	"name": "@yuants/vendor-okx",
-	"version": "0.23.8",
+	"version": "0.23.10",
 	"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": "0.6.0",
-		"@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 CHANGED Viewed

@@ -1,13 +1,13 @@
 {
-    "apps/vendor-okx/CHANGELOG.json": "08ac32207e94e002355f681ce73378ed0b0367f5",
-    "apps/vendor-okx/CHANGELOG.md": "6a7f46a496ccf3bfe5c47cd91369bc36ec335240",
+    "apps/vendor-okx/CHANGELOG.json": "948b848b5b56b883f70e43dbb6daa1cae1a5a820",
+    "apps/vendor-okx/CHANGELOG.md": "f1e3dedde2cbda8c2afd2d032ed6f2ca86563e31",
     "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": "87e3455c3172755d9cbe606d5b522bbf90eb5737",
+    "apps/vendor-okx/package.json": "93702e9eac5126b43ba7c9adc3affa441c31d723",
     "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": "48e1533b6fd42ff621a789eb991cf094a4a9ee64",
     "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": "2d16f693e2605cfc57c2fb7c60ede9e9c2c5bfb0",
-    "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"
 }