@yuants/vendor-okx 0.28.2 → 0.28.4
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.
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@@ -12,24 +12,9 @@ var __asyncGenerator = (this && this.__asyncGenerator) || function (thisArg, _ar
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};
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import { createSeriesProvider } from '@yuants/data-series';
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import { Terminal } from '@yuants/protocol';
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import {
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import {
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import { firstValueFrom, map, mergeAll, timer } from 'rxjs';
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import { decodePath, formatTime } from '@yuants/utils';
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import { firstValueFrom, timer } from 'rxjs';
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import { getFundingRateHistory, getLendingRateHistory } from '../api/public-api';
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import { productService } from './product';
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createSQLWriter(Terminal.fromNodeEnv(), {
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data$: productService.products$.pipe(mergeAll(), map((x) => ({
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series_id: encodePath(x.datasource_id, x.product_id),
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table_name: 'interest_rate',
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cron_pattern: '0 * * * *',
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cron_timezone: 'UTC',
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disabled: false,
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replay_count: 0,
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}))),
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tableName: 'series_collecting_task',
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writeInterval: 1000,
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conflictKeys: ['series_id', 'table_name'],
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});
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createSeriesProvider(Terminal.fromNodeEnv(), {
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tableName: 'interest_rate',
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series_id_prefix_parts: ['OKX'],
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@@ -39,8 +24,7 @@ createSeriesProvider(Terminal.fromNodeEnv(), {
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return __asyncGenerator(this, arguments, function* () {
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const start = started_at || 0;
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const end = ended_at || Date.now();
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const [
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const [instType, instId] = decodePath(product_id);
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const [, instType, instId] = decodePath(series_id);
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if (instType === 'SWAP') {
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let current_end = end;
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while (true) {
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@@ -59,8 +43,8 @@ createSeriesProvider(Terminal.fromNodeEnv(), {
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console.info(formatTime(Date.now()), 'getFundingRateHistory', JSON.stringify(res.data));
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const data = res.data.map((v) => ({
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series_id: series_id,
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product_id,
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datasource_id,
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product_id: series_id,
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datasource_id: 'OKX',
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created_at: formatTime(+v.fundingTime),
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long_rate: `${-v.fundingRate}`,
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short_rate: `${v.fundingRate}`,
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@@ -110,8 +94,8 @@ createSeriesProvider(Terminal.fromNodeEnv(), {
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const short_rate = +mapTsToBaseRate.get(v.ts) / 365 / 24; // 转换为小时利率
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data.push({
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series_id,
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product_id,
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datasource_id,
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product_id: series_id,
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datasource_id: 'OKX',
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created_at: formatTime(+v.ts),
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long_rate: `${-long_rate}`,
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short_rate: `${-short_rate}`,
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@@ -1 +1 @@
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{"version":3,"file":"interest_rate.js","sourceRoot":"","sources":["../../src/public-data/interest_rate.ts"],"names":[],"mappings":";;;;;;;;;;;;AACA,OAAO,EAAE,oBAAoB,
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{"version":3,"file":"interest_rate.js","sourceRoot":"","sources":["../../src/public-data/interest_rate.ts"],"names":[],"mappings":";;;;;;;;;;;;AACA,OAAO,EAAE,oBAAoB,EAAE,MAAM,qBAAqB,CAAC;AAC3D,OAAO,EAAE,QAAQ,EAAE,MAAM,kBAAkB,CAAC;AAC5C,OAAO,EAAE,UAAU,EAAE,UAAU,EAAE,MAAM,eAAe,CAAC;AACvD,OAAO,EAAE,cAAc,EAAE,KAAK,EAAE,MAAM,MAAM,CAAC;AAC7C,OAAO,EAAE,qBAAqB,EAAE,qBAAqB,EAAE,MAAM,mBAAmB,CAAC;AAEjF,oBAAoB,CAAgB,QAAQ,CAAC,WAAW,EAAE,EAAE;IAC1D,SAAS,EAAE,eAAe;IAC1B,sBAAsB,EAAE,CAAC,KAAK,CAAC;IAC/B,QAAQ,EAAE,IAAI;IACd,cAAc,EAAE,EAAE,UAAU,EAAE,CAAC,EAAE;IACjC,OAAO,EAAE,UAAiB,EAAE,SAAS,EAAE,UAAU,EAAE,QAAQ,EAAE;;YAC3D,MAAM,KAAK,GAAG,UAAU,IAAI,CAAC,CAAC;YAC9B,MAAM,GAAG,GAAG,QAAQ,IAAI,IAAI,CAAC,GAAG,EAAE,CAAC;YACnC,MAAM,CAAC,EAAE,QAAQ,EAAE,MAAM,CAAC,GAAG,UAAU,CAAC,SAAS,CAAC,CAAC;YAEnD,IAAI,QAAQ,KAAK,MAAM,EAAE;gBACvB,IAAI,WAAW,GAAG,GAAG,CAAC;gBACtB,OAAO,IAAI,EAAE;oBACX,kCAAkC;oBAClC,MAAM,GAAG,GAAG,cAAM,qBAAqB,CAAC;wBACtC,MAAM,EAAE,MAAM;wBACd,KAAK,EAAE,GAAG,WAAW,EAAE;qBACxB,CAAC,CAAA,CAAC;oBACH,IAAI,GAAG,CAAC,IAAI,KAAK,GAAG,EAAE;wBACpB,MAAM,iCAAiC,GAAG,CAAC,IAAI,IAAI,GAAG,CAAC,GAAG,EAAE,CAAC;qBAC9D;oBACD,cAAc;oBACd,IAAI,GAAG,CAAC,IAAI,CAAC,MAAM,KAAK,CAAC,EAAE;wBACzB,MAAM;qBACP;oBACD,OAAO,CAAC,IAAI,CAAC,UAAU,CAAC,IAAI,CAAC,GAAG,EAAE,CAAC,EAAE,uBAAuB,EAAE,IAAI,CAAC,SAAS,CAAC,GAAG,CAAC,IAAI,CAAC,CAAC,CAAC;oBACxF,MAAM,IAAI,GAAG,GAAG,CAAC,IAAI,CAAC,GAAG,CACvB,CAAC,CAAC,EAAiB,EAAE,CAAC,CAAC;wBACrB,SAAS,EAAE,SAAS;wBACpB,UAAU,EAAE,SAAS;wBACrB,aAAa,EAAE,KAAK;wBACpB,UAAU,EAAE,UAAU,CAAC,CAAC,CAAC,CAAC,WAAW,CAAC;wBACtC,SAAS,EAAE,GAAG,CAAC,CAAC,CAAC,WAAW,EAAE;wBAC9B,UAAU,EAAE,GAAG,CAAC,CAAC,WAAW,EAAE;wBAC9B,gBAAgB,EAAE,EAAE;qBACrB,CAAC,CACH,CAAC;oBACF,oBAAM,IAAI,CAAA,CAAC;oBACX,WAAW,GAAG,CAAC,GAAG,CAAC,IAAI,CAAC,GAAG,CAAC,IAAI,CAAC,MAAM,GAAG,CAAC,CAAC,CAAC,WAAW,CAAC;oBACzD,IAAI,WAAW,IAAI,KAAK,EAAE;wBACxB,MAAM;qBACP;oBACD,qBAAqB;oBACrB,cAAM,cAAc,CAAC,KAAK,CAAC,IAAI,CAAC,CAAC,CAAA,CAAC;iBACnC;aACF;YAED,IAAI,QAAQ,KAAK,QAAQ,EAAE;gBACzB,kBAAkB;gBAClB,MAAM,CAAC,IAAI,EAAE,KAAK,CAAC,GAAG,MAAM,CAAC,KAAK,CAAC,GAAG,CAAC,CAAC;gBACxC,IAAI,WAAW,GAAG,GAAG,CAAC;gBACtB,OAAO,IAAI,EAAE;oBACX,MAAM,OAAO,GAAG,cAAM,qBAAqB,CAAC,EAAE,GAAG,EAAE,IAAI,EAAE,KAAK,EAAE,GAAG,WAAW,EAAE,EAAE,CAAC,CAAA,CAAC;oBACpF,MAAM,QAAQ,GAAG,cAAM,qBAAqB,CAAC,EAAE,GAAG,EAAE,KAAK,EAAE,KAAK,EAAE,GAAG,WAAW,EAAE,EAAE,CAAC,CAAA,CAAC;oBAEtF,IAAI,OAAO,CAAC,IAAI,KAAK,GAAG,EAAE;wBACxB,MAAM,iCAAiC,OAAO,CAAC,IAAI,IAAI,OAAO,CAAC,GAAG,EAAE,CAAC;qBACtE;oBACD,IAAI,OAAO,CAAC,IAAI,CAAC,MAAM,KAAK,CAAC,EAAE;wBAC7B,MAAM;qBACP;oBACD,OAAO,CAAC,IAAI,CAAC,UAAU,CAAC,IAAI,CAAC,GAAG,EAAE,CAAC,EAAE,uBAAuB,EAAE,IAAI,CAAC,SAAS,CAAC,OAAO,CAAC,IAAI,CAAC,CAAC,CAAC;oBAE5F,IAAI,QAAQ,CAAC,IAAI,KAAK,GAAG,EAAE;wBACzB,MAAM,iCAAiC,QAAQ,CAAC,IAAI,IAAI,QAAQ,CAAC,GAAG,EAAE,CAAC;qBACxE;oBACD,IAAI,QAAQ,CAAC,IAAI,CAAC,MAAM,KAAK,CAAC,EAAE;wBAC9B,MAAM;qBACP;oBACD,OAAO,CAAC,IAAI,CAAC,UAAU,CAAC,IAAI,CAAC,GAAG,EAAE,CAAC,EAAE,uBAAuB,EAAE,IAAI,CAAC,SAAS,CAAC,QAAQ,CAAC,IAAI,CAAC,CAAC,CAAC;oBAE7F,mCAAmC;oBACnC,wDAAwD;oBAExD,MAAM,eAAe,GAAG,IAAI,GAAG,EAAkB,CAAC;oBAClD,OAAO,CAAC,IAAI,CAAC,OAAO,CAAC,CAAC,CAAC,EAAE,EAAE;wBACzB,eAAe,CAAC,GAAG,CAAC,CAAC,CAAC,EAAE,EAAE,CAAC,CAAC,IAAI,CAAC,CAAC;oBACpC,CAAC,CAAC,CAAC;oBAEH,MAAM,IAAI,GAAoB,EAAE,CAAC;oBAEjC,QAAQ,CAAC,IAAI,CAAC,OAAO,CAAC,CAAC,CAAC,EAAE,EAAE;wBAC1B,IAAI,CAAC,eAAe,CAAC,GAAG,CAAC,CAAC,CAAC,EAAE,CAAC;4BAAE,OAAO;wBACvC,MAAM,SAAS,GAAG,CAAC,CAAC,CAAC,IAAI,GAAG,GAAG,GAAG,EAAE,CAAC,CAAC,UAAU;wBAChD,MAAM,UAAU,GAAG,CAAC,eAAe,CAAC,GAAG,CAAC,CAAC,CAAC,EAAE,CAAE,GAAG,GAAG,GAAG,EAAE,CAAC,CAAC,UAAU;wBACrE,IAAI,CAAC,IAAI,CAAC;4BACR,SAAS;4BACT,UAAU,EAAE,SAAS;4BACrB,aAAa,EAAE,KAAK;4BACpB,UAAU,EAAE,UAAU,CAAC,CAAC,CAAC,CAAC,EAAE,CAAC;4BAC7B,SAAS,EAAE,GAAG,CAAC,SAAS,EAAE;4BAC1B,UAAU,EAAE,GAAG,CAAC,UAAU,EAAE;4BAC5B,gBAAgB,EAAE,EAAE;yBACrB,CAAC,CAAC;oBACL,CAAC,CAAC,CAAC;oBAEH,oBAAM,IAAI,CAAA,CAAC;oBACX,WAAW,GAAG,IAAI,IAAI,CAAC,IAAI,CAAC,IAAI,CAAC,MAAM,GAAG,CAAC,CAAC,CAAC,UAAU,CAAC,CAAC,OAAO,EAAE,CAAC;oBACnE,IAAI,WAAW,IAAI,KAAK,EAAE;wBACxB,MAAM;qBACP;oBACD,qBAAqB;oBACrB,cAAM,cAAc,CAAC,KAAK,CAAC,IAAI,CAAC,CAAC,CAAA,CAAC;iBACnC;aACF;QACH,CAAC;KAAA;CACF,CAAC,CAAC","sourcesContent":["import { IInterestRate } from '@yuants/data-interest-rate';\nimport { createSeriesProvider } from '@yuants/data-series';\nimport { Terminal } from '@yuants/protocol';\nimport { decodePath, formatTime } from '@yuants/utils';\nimport { firstValueFrom, timer } from 'rxjs';\nimport { getFundingRateHistory, getLendingRateHistory } from '../api/public-api';\n\ncreateSeriesProvider<IInterestRate>(Terminal.fromNodeEnv(), {\n tableName: 'interest_rate',\n series_id_prefix_parts: ['OKX'],\n reversed: true,\n serviceOptions: { concurrent: 1 },\n queryFn: async function* ({ series_id, started_at, ended_at }) {\n const start = started_at || 0;\n const end = ended_at || Date.now();\n const [, instType, instId] = decodePath(series_id);\n\n if (instType === 'SWAP') {\n let current_end = end;\n while (true) {\n // 接口行为备注：向前翻页，时间降序，不含 after 当前时间点\n const res = await getFundingRateHistory({\n instId: instId,\n after: `${current_end}`,\n });\n if (res.code !== '0') {\n throw `getFundingRateHistory failed: ${res.code} ${res.msg}`;\n }\n // 如果没有数据了，就退出\n if (res.data.length === 0) {\n break;\n }\n console.info(formatTime(Date.now()), 'getFundingRateHistory', JSON.stringify(res.data));\n const data = res.data.map(\n (v): IInterestRate => ({\n series_id: series_id,\n product_id: series_id,\n datasource_id: 'OKX',\n created_at: formatTime(+v.fundingTime),\n long_rate: `${-v.fundingRate}`,\n short_rate: `${v.fundingRate}`,\n settlement_price: '',\n }),\n );\n yield data;\n current_end = +res.data[res.data.length - 1].fundingTime;\n if (current_end <= start) {\n break;\n }\n // for API rate limit\n await firstValueFrom(timer(1000));\n }\n }\n\n if (instType === 'MARGIN') {\n // MARGIN/BTC-USDT\n const [base, quote] = instId.split('-');\n let current_end = end;\n while (true) {\n const resBase = await getLendingRateHistory({ ccy: base, after: `${current_end}` });\n const resQuote = await getLendingRateHistory({ ccy: quote, after: `${current_end}` });\n\n if (resBase.code !== '0') {\n throw `getLendingRateHistory failed: ${resBase.code} ${resBase.msg}`;\n }\n if (resBase.data.length === 0) {\n break;\n }\n console.info(formatTime(Date.now()), 'getLendingRateHistory', JSON.stringify(resBase.data));\n\n if (resQuote.code !== '0') {\n throw `getLendingRateHistory failed: ${resQuote.code} ${resQuote.msg}`;\n }\n if (resQuote.data.length === 0) {\n break;\n }\n console.info(formatTime(Date.now()), 'getLendingRateHistory', JSON.stringify(resQuote.data));\n\n // 做多时，借入 quote 的资金，做空时，借入 base 的资金\n // 用 quote 的 rate 作为 long_rate，base 的 rate 作为 short_rate\n\n const mapTsToBaseRate = new Map<string, string>();\n resBase.data.forEach((v) => {\n mapTsToBaseRate.set(v.ts, v.rate);\n });\n\n const data: IInterestRate[] = [];\n\n resQuote.data.forEach((v) => {\n if (!mapTsToBaseRate.has(v.ts)) return;\n const long_rate = +v.rate / 365 / 24; // 转换为小时利率\n const short_rate = +mapTsToBaseRate.get(v.ts)! / 365 / 24; // 转换为小时利率\n data.push({\n series_id,\n product_id: series_id,\n datasource_id: 'OKX',\n created_at: formatTime(+v.ts),\n long_rate: `${-long_rate}`,\n short_rate: `${-short_rate}`,\n settlement_price: '',\n });\n });\n\n yield data;\n current_end = new Date(data[data.length - 1].created_at).getTime();\n if (current_end <= start) {\n break;\n }\n // for API rate limit\n await firstValueFrom(timer(1000));\n }\n }\n },\n});\n"]}
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@@ -14,24 +14,9 @@ var __asyncGenerator = (this && this.__asyncGenerator) || function (thisArg, _ar
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Object.defineProperty(exports, "__esModule", { value: true });
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const data_series_1 = require("@yuants/data-series");
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const protocol_1 = require("@yuants/protocol");
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const sql_1 = require("@yuants/sql");
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const utils_1 = require("@yuants/utils");
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const rxjs_1 = require("rxjs");
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const public_api_1 = require("../api/public-api");
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const product_1 = require("./product");
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(0, sql_1.createSQLWriter)(protocol_1.Terminal.fromNodeEnv(), {
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data$: product_1.productService.products$.pipe((0, rxjs_1.mergeAll)(), (0, rxjs_1.map)((x) => ({
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series_id: (0, utils_1.encodePath)(x.datasource_id, x.product_id),
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table_name: 'interest_rate',
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disabled: false,
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replay_count: 0,
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}))),
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const [
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created_at: (0, utils_1.formatTime)(+v.fundingTime),
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long_rate: `${-v.fundingRate}`,
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const short_rate = +mapTsToBaseRate.get(v.ts) / 365 / 24; // 转换为小时利率
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product_id: series_id,
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datasource_id: 'OKX',
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created_at: (0, utils_1.formatTime)(+v.ts),
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long_rate: `${-long_rate}`,
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short_rate: `${-short_rate}`,
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{"version":3,"file":"interest_rate.js","sourceRoot":"","sources":["../../src/public-data/interest_rate.ts"],"names":[],"mappings":";;;;;;;;;;;;;;AACA,
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{ IInterestRate } from '@yuants/data-interest-rate';\nimport { createSeriesProvider } from '@yuants/data-series';\nimport { Terminal } from '@yuants/protocol';\nimport { decodePath, formatTime } from '@yuants/utils';\nimport { firstValueFrom, timer } from 'rxjs';\nimport { getFundingRateHistory, getLendingRateHistory } from '../api/public-api';\n\ncreateSeriesProvider<IInterestRate>(Terminal.fromNodeEnv(), {\n tableName: 'interest_rate',\n series_id_prefix_parts: ['OKX'],\n reversed: true,\n serviceOptions: { concurrent: 1 },\n queryFn: async function* ({ series_id, started_at, ended_at }) {\n const start = started_at || 0;\n const end = ended_at || Date.now();\n const [, instType, instId] = decodePath(series_id);\n\n if (instType === 'SWAP') {\n let current_end = end;\n while (true) {\n // 接口行为备注：向前翻页，时间降序，不含 after 当前时间点\n const res = await getFundingRateHistory({\n instId: instId,\n after: `${current_end}`,\n });\n if (res.code !== '0') {\n throw `getFundingRateHistory failed: ${res.code} ${res.msg}`;\n }\n // 如果没有数据了，就退出\n if (res.data.length === 0) {\n break;\n }\n console.info(formatTime(Date.now()), 'getFundingRateHistory', JSON.stringify(res.data));\n const data = res.data.map(\n (v): IInterestRate => ({\n series_id: series_id,\n product_id: series_id,\n datasource_id: 'OKX',\n created_at: formatTime(+v.fundingTime),\n long_rate: `${-v.fundingRate}`,\n short_rate: `${v.fundingRate}`,\n settlement_price: '',\n }),\n );\n yield data;\n current_end = +res.data[res.data.length - 1].fundingTime;\n if (current_end <= start) {\n break;\n }\n // for API rate limit\n await firstValueFrom(timer(1000));\n }\n }\n\n if (instType === 'MARGIN') {\n // MARGIN/BTC-USDT\n const [base, quote] = instId.split('-');\n let current_end = end;\n while (true) {\n const resBase = await getLendingRateHistory({ ccy: base, after: `${current_end}` });\n const resQuote = await getLendingRateHistory({ ccy: quote, after: `${current_end}` });\n\n if (resBase.code !== '0') {\n throw `getLendingRateHistory failed: ${resBase.code} ${resBase.msg}`;\n }\n if (resBase.data.length === 0) {\n break;\n }\n console.info(formatTime(Date.now()), 'getLendingRateHistory', JSON.stringify(resBase.data));\n\n if (resQuote.code !== '0') {\n throw `getLendingRateHistory failed: ${resQuote.code} ${resQuote.msg}`;\n }\n if (resQuote.data.length === 0) {\n break;\n }\n console.info(formatTime(Date.now()), 'getLendingRateHistory', JSON.stringify(resQuote.data));\n\n // 做多时，借入 quote 的资金，做空时，借入 base 的资金\n // 用 quote 的 rate 作为 long_rate，base 的 rate 作为 short_rate\n\n const mapTsToBaseRate = new Map<string, string>();\n resBase.data.forEach((v) => {\n mapTsToBaseRate.set(v.ts, v.rate);\n });\n\n const data: IInterestRate[] = [];\n\n resQuote.data.forEach((v) => {\n if (!mapTsToBaseRate.has(v.ts)) return;\n const long_rate = +v.rate / 365 / 24; // 转换为小时利率\n const short_rate = +mapTsToBaseRate.get(v.ts)! / 365 / 24; // 转换为小时利率\n data.push({\n series_id,\n product_id: series_id,\n datasource_id: 'OKX',\n created_at: formatTime(+v.ts),\n long_rate: `${-long_rate}`,\n short_rate: `${-short_rate}`,\n settlement_price: '',\n });\n });\n\n yield data;\n current_end = new Date(data[data.length - 1].created_at).getTime();\n if (current_end <= start) {\n break;\n }\n // for API rate limit\n await firstValueFrom(timer(1000));\n }\n }\n },\n});\n"]}
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package/package.json
CHANGED
package/temp/package-deps.json
CHANGED
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{
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"apps/vendor-okx/CHANGELOG.json": "
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"apps/vendor-okx/CHANGELOG.md": "
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"apps/vendor-okx/CHANGELOG.json": "7649a74c2edbe498f313408d95212d4180583036",
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"apps/vendor-okx/CHANGELOG.md": "8acce719942e6fd2619a20f1e89a29d02fa9a37d",
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"apps/vendor-okx/README.md": "68caeb8e383d77ece973cd70f4b167b86abb54c3",
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5
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"apps/vendor-okx/api-extractor.json": "62f4fd324425b9a235f0c117975967aab09ced0c",
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"apps/vendor-okx/config/jest.config.json": "4bb17bde3ee911163a3edb36a6eb71491d80b1bd",
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"apps/vendor-okx/config/rig.json": "f6c7b5537dc77a3170ba9f008bae3b6c3ee11956",
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"apps/vendor-okx/config/typescript.json": "854907e8a821f2050f6533368db160c649c25348",
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"apps/vendor-okx/etc/vendor-okx.api.md": "92c54ccd547d2ad81ca6088158ca193e85c208df",
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"apps/vendor-okx/package.json": "
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"apps/vendor-okx/package.json": "3e058d461b5df4e71a7b58c8bc6659c9f0f36b92",
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11
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"apps/vendor-okx/src/account-actions-with-credential.ts": "1a2de787b588e98ceef60b3ffb951f298504bf12",
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12
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"apps/vendor-okx/src/account.ts": "672014c974457b438cf026f763d6eecfe585c82b",
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"apps/vendor-okx/src/accountInfos/earning.ts": "62aaeb3b62fa9197d07ee14155625530cdb9b1cd",
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"apps/vendor-okx/src/orders/listOrders.ts": "c4739eb4c0f54391164a7d8e6c7fde44b41cb268",
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"apps/vendor-okx/src/orders/modifyOrder.ts": "ab30a4b204bcf08c2762541a4bbbf01d0e0f2d1a",
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38
38
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"apps/vendor-okx/src/orders/submitOrder.ts": "d9200e3cfb2dd2bef090cab768e61c15e5d044d7",
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-
"apps/vendor-okx/src/public-data/interest_rate.ts": "
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+
"apps/vendor-okx/src/public-data/interest_rate.ts": "f3171f2753955d500ae00ce7e263ea26e05e5421",
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40
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"apps/vendor-okx/src/public-data/market-order.ts": "c7269e9fe1f339b320e8b4cd98652854446a245c",
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"apps/vendor-okx/src/public-data/ohlc.ts": "0b5a568e30b3070f74b0e64614e8c1cc9ba507fb",
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42
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"apps/vendor-okx/src/public-data/product.ts": "9caa1b0d9fa621800870ef47086767f6f5810ad9",
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