@yuants/vendor-okx 0.29.0 → 0.29.2
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.
- package/dist/experimental/exchange.js +3 -3
- package/dist/experimental/exchange.js.map +1 -1
- package/dist/index.js +1 -0
- package/dist/index.js.map +1 -1
- package/dist/orders/cancelOrder.js +1 -1
- package/dist/orders/cancelOrder.js.map +1 -1
- package/dist/orders/modifyOrder.js +1 -1
- package/dist/orders/modifyOrder.js.map +1 -1
- package/dist/orders/submitOrder.js +2 -2
- package/dist/orders/submitOrder.js.map +1 -1
- package/dist/public-data/new-quote.js +192 -0
- package/dist/public-data/new-quote.js.map +1 -0
- package/dist/public-data/quote.js +11 -3
- package/dist/public-data/quote.js.map +1 -1
- package/dist/services.js +1 -1
- package/dist/services.js.map +1 -1
- package/dist/ws.js +3 -0
- package/dist/ws.js.map +1 -1
- package/lib/experimental/exchange.js +3 -3
- package/lib/experimental/exchange.js.map +1 -1
- package/lib/index.d.ts +1 -0
- package/lib/index.d.ts.map +1 -1
- package/lib/index.js +1 -0
- package/lib/index.js.map +1 -1
- package/lib/orders/cancelOrder.js +1 -1
- package/lib/orders/cancelOrder.js.map +1 -1
- package/lib/orders/modifyOrder.js +1 -1
- package/lib/orders/modifyOrder.js.map +1 -1
- package/lib/orders/submitOrder.js +2 -2
- package/lib/orders/submitOrder.js.map +1 -1
- package/lib/public-data/new-quote.d.ts +22 -0
- package/lib/public-data/new-quote.d.ts.map +1 -0
- package/lib/public-data/new-quote.js +195 -0
- package/lib/public-data/new-quote.js.map +1 -0
- package/lib/public-data/quote.d.ts.map +1 -1
- package/lib/public-data/quote.js +10 -2
- package/lib/public-data/quote.js.map +1 -1
- package/lib/services.js +1 -1
- package/lib/services.js.map +1 -1
- package/lib/ws.d.ts +15 -0
- package/lib/ws.d.ts.map +1 -1
- package/lib/ws.js +5 -1
- package/lib/ws.js.map +1 -1
- package/package.json +1 -1
- package/temp/package-deps.json +12 -14
- package/dist/experimental/cancelOrder.js +0 -13
- package/dist/experimental/cancelOrder.js.map +0 -1
- package/dist/experimental/modifyOrder.js +0 -58
- package/dist/experimental/modifyOrder.js.map +0 -1
- package/dist/experimental/submitOrder.js +0 -110
- package/dist/experimental/submitOrder.js.map +0 -1
- package/lib/experimental/cancelOrder.d.ts +0 -4
- package/lib/experimental/cancelOrder.d.ts.map +0 -1
- package/lib/experimental/cancelOrder.js +0 -17
- package/lib/experimental/cancelOrder.js.map +0 -1
- package/lib/experimental/modifyOrder.d.ts +0 -4
- package/lib/experimental/modifyOrder.d.ts.map +0 -1
- package/lib/experimental/modifyOrder.js +0 -62
- package/lib/experimental/modifyOrder.js.map +0 -1
- package/lib/experimental/submitOrder.d.ts +0 -6
- package/lib/experimental/submitOrder.d.ts.map +0 -1
- package/lib/experimental/submitOrder.js +0 -114
- package/lib/experimental/submitOrder.js.map +0 -1
package/dist/ws.js.map
CHANGED
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@@ -1 +1 @@
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1
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-
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{ GlobalPrometheusRegistry, 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 './public-data/market-order';\n\nconst MetricsWebSocketConnectionsGauge = GlobalPrometheusRegistry.gauge(\n 'okx_websocket_connections',\n 'Number of active OKX WebSocket connections',\n);\n\nconst MetricsWebSocketChannelGauge = GlobalPrometheusRegistry.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.labels({ path: this.path }).dec();\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.labels({ path: this.path, terminal_id: terminal.terminal_id }).inc();\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.labels({ channel, terminal_id: terminal.terminal_id }).inc();\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.labels({ channel }).dec();\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"]}
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1
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+
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{ GlobalPrometheusRegistry, 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 './public-data/market-order';\n\nconst MetricsWebSocketConnectionsGauge = GlobalPrometheusRegistry.gauge(\n 'okx_websocket_connections',\n 'Number of active OKX WebSocket connections',\n);\n\nconst MetricsWebSocketChannelGauge = GlobalPrometheusRegistry.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.labels({ path: this.path }).dec();\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.labels({ path: this.path, terminal_id: terminal.terminal_id }).inc();\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.labels({ channel, terminal_id: terminal.terminal_id }).inc();\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.labels({ channel }).dec();\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\nexport const useFundingRate = (instId: string) =>\n fromWsChannelAndInstId<\n {\n fundingRate: string;\n fundingTime: string;\n instId: string;\n instType: string;\n method: string;\n maxFundingRate: string;\n minFundingRate: string;\n nextFundingRate: string;\n nextFundingTime: string;\n premium: string;\n settFundingRate: string;\n settState: string;\n ts: string;\n }[]\n >('ws/v5/public', 'funding-rate', instId).pipe(\n //\n filter((data) => data.length > 0),\n );\n"]}
|
|
@@ -4,12 +4,12 @@ const exchange_1 = require("@yuants/exchange");
|
|
|
4
4
|
const protocol_1 = require("@yuants/protocol");
|
|
5
5
|
const utils_1 = require("@yuants/utils");
|
|
6
6
|
const private_api_1 = require("../api/private-api");
|
|
7
|
-
const cancelOrder_1 = require("
|
|
7
|
+
const cancelOrder_1 = require("../orders/cancelOrder");
|
|
8
|
+
const modifyOrder_1 = require("../orders/modifyOrder");
|
|
9
|
+
const submitOrder_1 = require("../orders/submitOrder");
|
|
8
10
|
const getOrders_1 = require("./getOrders");
|
|
9
11
|
const getPositions_1 = require("./getPositions");
|
|
10
|
-
const modifyOrder_1 = require("./modifyOrder");
|
|
11
12
|
const product_1 = require("./product");
|
|
12
|
-
const submitOrder_1 = require("./submitOrder");
|
|
13
13
|
const terminal = protocol_1.Terminal.fromNodeEnv();
|
|
14
14
|
(0, exchange_1.provideExchangeServices)(terminal, {
|
|
15
15
|
name: 'OKX',
|
|
@@ -1 +1 @@
|
|
|
1
|
-
{"version":3,"file":"exchange.js","sourceRoot":"","sources":["../../src/experimental/exchange.ts"],"names":[],"mappings":";;AAAA,+CAA2D;AAC3D,+CAA4C;AAC5C,yCAAqD;AACrD,oDAAmE;AACnE
|
|
1
|
+
{"version":3,"file":"exchange.js","sourceRoot":"","sources":["../../src/experimental/exchange.ts"],"names":[],"mappings":";;AAAA,+CAA2D;AAC3D,+CAA4C;AAC5C,yCAAqD;AACrD,oDAAmE;AACnE,uDAAoD;AACpD,uDAAoD;AACpD,uDAAoD;AACpD,2CAAwC;AACxC,iDAA8C;AAC9C,uCAAyC;AAEzC,MAAM,QAAQ,GAAG,mBAAQ,CAAC,WAAW,EAAE,CAAC;AAExC,IAAA,kCAAuB,EAAc,QAAQ,EAAE;IAC7C,IAAI,EAAE,KAAK;IACX,gBAAgB,EAAE;QAChB,IAAI,EAAE,QAAQ;QACd,QAAQ,EAAE,CAAC,YAAY,EAAE,YAAY,EAAE,YAAY,CAAC;QACpD,UAAU,EAAE;YACV,UAAU,EAAE,EAAE,IAAI,EAAE,QAAQ,EAAE;YAC9B,UAAU,EAAE,EAAE,IAAI,EAAE,QAAQ,EAAE;YAC9B,UAAU,EAAE,EAAE,IAAI,EAAE,QAAQ,EAAE;SAC/B;KACF;IACD,eAAe,EAAE,KAAK,WAAW,UAAuB;;QACtD,MAAM,aAAa,GAAG,MAAM,IAAA,8BAAgB,EAAC,UAAU,CAAC,CAAC;QACzD,MAAM,GAAG,GAAG,MAAA,MAAA,aAAa,CAAC,IAAI,0CAAG,CAAC,CAAC,0CAAE,GAAG,CAAC;QACzC,IAAI,CAAC,GAAG;YAAE,MAAM,IAAA,gBAAQ,EAAC,wBAAwB,EAAE,EAAE,UAAU,EAAE,CAAC,CAAC;QACnE,OAAO,IAAA,kBAAU,EAAC,KAAK,EAAE,GAAG,CAAC,CAAC;IAChC,CAAC;IACD,YAAY,EAAE,sBAAY;IAC1B,YAAY,EAAE,2BAAY;IAC1B,SAAS,EAAT,qBAAS;IACT,uBAAuB,EAAE,KAAK,EAAE,UAAU,EAAE,UAAU,EAAE,EAAE;QACxD,MAAM,SAAS,GAAG,MAAM,IAAA,2BAAY,EAAC,UAAU,CAAC,CAAC;QACjD,OAAO,SAAS,CAAC,MAAM,CAAC,CAAC,CAAC,EAAE,EAAE,CAAC,CAAC,CAAC,UAAU,KAAK,UAAU,CAAC,CAAC;IAC9D,CAAC;IACD,oBAAoB,EAAE,KAAK,EAAE,UAAU,EAAE,UAAU,EAAE,EAAE;QACrD,MAAM,MAAM,GAAG,MAAM,IAAA,qBAAS,EAAC,UAAU,CAAC,CAAC;QAC3C,OAAO,MAAM,CAAC,MAAM,CAAC,CAAC,CAAC,EAAE,EAAE,CAAC,CAAC,CAAC,UAAU,KAAK,UAAU,CAAC,CAAC;IAC3D,CAAC;IACD,WAAW,EAAE,yBAAW;IACxB,WAAW,EAAE,yBAAW;IACxB,WAAW,EAAE,yBAAW;CACzB,CAAC,CAAC","sourcesContent":["import { provideExchangeServices } from '@yuants/exchange';\nimport { Terminal } from '@yuants/protocol';\nimport { encodePath, newError } from '@yuants/utils';\nimport { getAccountConfig, ICredential } from '../api/private-api';\nimport { cancelOrder } from '../orders/cancelOrder';\nimport { modifyOrder } from '../orders/modifyOrder';\nimport { submitOrder } from '../orders/submitOrder';\nimport { getOrders } from './getOrders';\nimport { getPositions } from './getPositions';\nimport { listProducts } from './product';\n\nconst terminal = Terminal.fromNodeEnv();\n\nprovideExchangeServices<ICredential>(terminal, {\n name: 'OKX',\n credentialSchema: {\n type: 'object',\n required: ['access_key', 'secret_key', 'passphrase'],\n properties: {\n access_key: { type: 'string' },\n secret_key: { type: 'string' },\n passphrase: { type: 'string' },\n },\n },\n getCredentialId: async function (credential: ICredential): Promise<string> {\n const accountConfig = await getAccountConfig(credential);\n const uid = accountConfig.data?.[0]?.uid;\n if (!uid) throw newError('OKX_CREDENTIAL_INVALID', { credential });\n return encodePath('OKX', uid);\n },\n listProducts: listProducts,\n getPositions: getPositions,\n getOrders,\n getPositionsByProductId: async (credential, product_id) => {\n const positions = await getPositions(credential);\n return positions.filter((x) => x.product_id === product_id);\n },\n getOrdersByProductId: async (credential, product_id) => {\n const orders = await getOrders(credential);\n return orders.filter((x) => x.product_id === product_id);\n },\n submitOrder: submitOrder,\n modifyOrder: modifyOrder,\n cancelOrder: cancelOrder,\n});\n"]}
|
package/lib/index.d.ts
CHANGED
package/lib/index.d.ts.map
CHANGED
|
@@ -1 +1 @@
|
|
|
1
|
-
{"version":3,"file":"index.d.ts","sourceRoot":"","sources":["../src/index.ts"],"names":[],"mappings":"AAAA,OAAO,WAAW,CAAC;AACnB,OAAO,mCAAmC,CAAC;AAC3C,OAAO,eAAe,CAAC;AACvB,OAAO,yBAAyB,CAAC;AACjC,OAAO,SAAS,CAAC;AACjB,OAAO,iBAAiB,CAAC;AACzB,OAAO,iCAAiC,CAAC;AACzC,OAAO,6BAA6B,CAAC;AACrC,OAAO,4BAA4B,CAAC;AACpC,OAAO,oBAAoB,CAAC;AAC5B,OAAO,qBAAqB,CAAC;AAC7B,OAAO,YAAY,CAAC;AACpB,OAAO,oBAAoB,CAAC;AAC5B,OAAO,SAAS,CAAC;AACjB,OAAO,YAAY,CAAC"}
|
|
1
|
+
{"version":3,"file":"index.d.ts","sourceRoot":"","sources":["../src/index.ts"],"names":[],"mappings":"AAAA,OAAO,WAAW,CAAC;AACnB,OAAO,mCAAmC,CAAC;AAC3C,OAAO,eAAe,CAAC;AACvB,OAAO,yBAAyB,CAAC;AACjC,OAAO,SAAS,CAAC;AACjB,OAAO,iBAAiB,CAAC;AACzB,OAAO,iCAAiC,CAAC;AACzC,OAAO,6BAA6B,CAAC;AACrC,OAAO,4BAA4B,CAAC;AACpC,OAAO,oBAAoB,CAAC;AAC5B,OAAO,qBAAqB,CAAC;AAC7B,OAAO,YAAY,CAAC;AACpB,OAAO,oBAAoB,CAAC;AAC5B,OAAO,SAAS,CAAC;AACjB,OAAO,YAAY,CAAC;AACpB,OAAO,yBAAyB,CAAC"}
|
package/lib/index.js
CHANGED
package/lib/index.js.map
CHANGED
|
@@ -1 +1 @@
|
|
|
1
|
-
{"version":3,"file":"index.js","sourceRoot":"","sources":["../src/index.ts"],"names":[],"mappings":";;AAAA,qBAAmB;AACnB,6CAA2C;AAC3C,yBAAuB;AACvB,mCAAiC;AACjC,mBAAiB;AACjB,2BAAyB;AACzB,2CAAyC;AACzC,uCAAqC;AACrC,sCAAoC;AACpC,8BAA4B;AAC5B,+BAA6B;AAC7B,sBAAoB;AACpB,8BAA4B;AAC5B,mBAAiB;AACjB,sBAAoB","sourcesContent":["import './account';\nimport './account-actions-with-credential';\nimport './api-service';\nimport './experimental/exchange';\nimport './order';\nimport './order-actions';\nimport './order-actions-with-credential';\nimport './public-data/interest_rate';\nimport './public-data/market-order';\nimport './public-data/ohlc';\nimport './public-data/quote';\nimport './services';\nimport './strategy-account';\nimport './trade';\nimport './transfer';\n"]}
|
|
1
|
+
{"version":3,"file":"index.js","sourceRoot":"","sources":["../src/index.ts"],"names":[],"mappings":";;AAAA,qBAAmB;AACnB,6CAA2C;AAC3C,yBAAuB;AACvB,mCAAiC;AACjC,mBAAiB;AACjB,2BAAyB;AACzB,2CAAyC;AACzC,uCAAqC;AACrC,sCAAoC;AACpC,8BAA4B;AAC5B,+BAA6B;AAC7B,sBAAoB;AACpB,8BAA4B;AAC5B,mBAAiB;AACjB,sBAAoB;AACpB,mCAAiC","sourcesContent":["import './account';\nimport './account-actions-with-credential';\nimport './api-service';\nimport './experimental/exchange';\nimport './order';\nimport './order-actions';\nimport './order-actions-with-credential';\nimport './public-data/interest_rate';\nimport './public-data/market-order';\nimport './public-data/ohlc';\nimport './public-data/quote';\nimport './services';\nimport './strategy-account';\nimport './trade';\nimport './transfer';\nimport './public-data/new-quote';\n"]}
|
|
@@ -4,7 +4,7 @@ exports.cancelOrder = void 0;
|
|
|
4
4
|
const utils_1 = require("@yuants/utils");
|
|
5
5
|
const private_api_1 = require("../api/private-api");
|
|
6
6
|
const cancelOrder = async (credential, order) => {
|
|
7
|
-
const [
|
|
7
|
+
const [instId] = (0, utils_1.decodePath)(order.product_id).slice(-1);
|
|
8
8
|
const res = await (0, private_api_1.postTradeCancelOrder)(credential, {
|
|
9
9
|
instId,
|
|
10
10
|
ordId: order.order_id,
|
|
@@ -1 +1 @@
|
|
|
1
|
-
{"version":3,"file":"cancelOrder.js","sourceRoot":"","sources":["../../src/orders/cancelOrder.ts"],"names":[],"mappings":";;;AACA,yCAA2C;AAC3C,oDAAuE;AAEhE,MAAM,WAAW,GAAG,KAAK,EAAE,UAAuB,EAAE,KAAa,EAAE,EAAE;IAC1E,MAAM,CAAC,
|
|
1
|
+
{"version":3,"file":"cancelOrder.js","sourceRoot":"","sources":["../../src/orders/cancelOrder.ts"],"names":[],"mappings":";;;AACA,yCAA2C;AAC3C,oDAAuE;AAEhE,MAAM,WAAW,GAAG,KAAK,EAAE,UAAuB,EAAE,KAAa,EAAE,EAAE;IAC1E,MAAM,CAAC,MAAM,CAAC,GAAG,IAAA,kBAAU,EAAC,KAAK,CAAC,UAAU,CAAC,CAAC,KAAK,CAAC,CAAC,CAAC,CAAC,CAAC;IACxD,MAAM,GAAG,GAAG,MAAM,IAAA,kCAAoB,EAAC,UAAU,EAAE;QACjD,MAAM;QACN,KAAK,EAAE,KAAK,CAAC,QAAS;KACvB,CAAC,CAAC;IACH,IAAI,GAAG,CAAC,IAAI,KAAK,GAAG,EAAE;QACpB,MAAM,IAAI,KAAK,CAAC,6BAA6B,GAAG,CAAC,IAAI,QAAQ,GAAG,CAAC,GAAG,EAAE,CAAC,CAAC;KACzE;AACH,CAAC,CAAC;AATW,QAAA,WAAW,eAStB","sourcesContent":["import { IOrder } from '@yuants/data-order';\nimport { decodePath } from '@yuants/utils';\nimport { ICredential, postTradeCancelOrder } from '../api/private-api';\n\nexport const cancelOrder = async (credential: ICredential, order: IOrder) => {\n const [instId] = decodePath(order.product_id).slice(-1);\n const res = await postTradeCancelOrder(credential, {\n instId,\n ordId: order.order_id!,\n });\n if (res.code !== '0') {\n throw new Error(`Cancel order failed: code=${res.code} msg=${res.msg}`);\n }\n};\n"]}
|
|
@@ -7,7 +7,7 @@ const private_api_1 = require("../api/private-api");
|
|
|
7
7
|
const product_1 = require("../public-data/product");
|
|
8
8
|
const quote_1 = require("../public-data/quote");
|
|
9
9
|
const modifyOrder = async (credential, order) => {
|
|
10
|
-
const [instType, instId] = (0, utils_1.decodePath)(order.product_id);
|
|
10
|
+
const [instType, instId] = (0, utils_1.decodePath)(order.product_id).slice(-2);
|
|
11
11
|
const params = {
|
|
12
12
|
instId,
|
|
13
13
|
ordId: order.order_id, // 使用现有订单ID
|
|
@@ -1 +1 @@
|
|
|
1
|
-
{"version":3,"file":"modifyOrder.js","sourceRoot":"","sources":["../../src/orders/modifyOrder.ts"],"names":[],"mappings":";;;AACA,yCAAoE;AACpE,+BAA2C;AAC3C,oDAAsE;AACtE,oDAAwD;AACxD,gDAA0D;AAEnD,MAAM,WAAW,GAAG,KAAK,EAAE,UAAuB,EAAE,KAAa,EAAE,EAAE;IAC1E,MAAM,CAAC,QAAQ,EAAE,MAAM,CAAC,GAAG,IAAA,kBAAU,EAAC,KAAK,CAAC,UAAU,CAAC,CAAC;
|
|
1
|
+
{"version":3,"file":"modifyOrder.js","sourceRoot":"","sources":["../../src/orders/modifyOrder.ts"],"names":[],"mappings":";;;AACA,yCAAoE;AACpE,+BAA2C;AAC3C,oDAAsE;AACtE,oDAAwD;AACxD,gDAA0D;AAEnD,MAAM,WAAW,GAAG,KAAK,EAAE,UAAuB,EAAE,KAAa,EAAE,EAAE;IAC1E,MAAM,CAAC,QAAQ,EAAE,MAAM,CAAC,GAAG,IAAA,kBAAU,EAAC,KAAK,CAAC,UAAU,CAAC,CAAC,KAAK,CAAC,CAAC,CAAC,CAAC,CAAC;IAClE,MAAM,MAAM,GAKR;QACF,MAAM;QACN,KAAK,EAAE,KAAK,CAAC,QAAS,EAAE,WAAW;KACpC,CAAC;IAEF,WAAW;IACX,IAAI,KAAK,CAAC,KAAK,KAAK,SAAS,EAAE;QAC7B,MAAM,CAAC,KAAK,GAAG,KAAK,CAAC,KAAK,CAAC,QAAQ,EAAE,CAAC;KACvC;IAED,WAAW;IACX,IAAI,KAAK,CAAC,MAAM,KAAK,SAAS,EAAE;QAC9B,8BAA8B;QAC9B,IAAI,QAAQ,KAAK,MAAM,EAAE;YACvB,MAAM,CAAC,KAAK,GAAG,KAAK,CAAC,MAAM,CAAC,QAAQ,EAAE,CAAC;SACxC;aAAM,IAAI,QAAQ,KAAK,MAAM,EAAE;YAC9B,MAAM,CAAC,KAAK,GAAG,KAAK,CAAC,MAAM,CAAC,QAAQ,EAAE,CAAC;SACxC;aAAM,IAAI,QAAQ,KAAK,QAAQ,EAAE;YAChC,IAAI,KAAK,CAAC,UAAU,KAAK,OAAO,EAAE;gBAChC,MAAM,CAAC,KAAK,GAAG,KAAK,CAAC,MAAM,CAAC,QAAQ,EAAE,CAAC;aACxC;YACD,IAAI,KAAK,CAAC,UAAU,KAAK,OAAO,EAAE;gBAChC,MAAM,CAAC,KAAK,GAAG,KAAK,CAAC,MAAM,CAAC,QAAQ,EAAE,CAAC;aACxC;YACD,IAAI,KAAK,CAAC,UAAU,KAAK,QAAQ,EAAE;gBACjC,yBAAyB;gBACzB,MAAM,KAAK,GAAG,MAAM,IAAA,qBAAc,EAChC,0BAAkB,CAAC,IAAI,CACrB,IAAA,UAAG,EAAC,CAAC,CAAC,EAAE,EAAE,CACR,KAAK,CAAC,eAAe,KAAK,WAAW,IAAI,KAAK,CAAC,eAAe,KAAK,aAAa;oBAC9E,CAAC,CAAC,CAAC,CAAC,CAAC,MAAM,CAAC,CAAC,KAAK;oBAClB,CAAC,CAAC,CAAC,CAAC,CAAC,MAAM,CAAC,CAAC,KAAK,CACrB,CACF,CACF,CAAC;gBACF,IAAI,CAAC,KAAK,EAAE;oBACV,MAAM,IAAI,KAAK,CAAC,iBAAiB,KAAK,EAAE,CAAC,CAAC;iBAC3C;gBACD,OAAO,CAAC,IAAI,CAAC,IAAA,kBAAU,EAAC,IAAI,CAAC,GAAG,EAAE,CAAC,EAAE,aAAa,EAAE,OAAO,EAAE,KAAK,CAAC,CAAC;gBACpE,MAAM,UAAU,GAAG,MAAM,IAAA,qBAAc,EACrC,wBAAc,CAAC,sBAAsB,CAAC,IAAI,CAAC,IAAA,UAAG,EAAC,CAAC,CAAC,EAAE,EAAE,CAAC,CAAC,CAAC,GAAG,CAAC,KAAK,CAAC,UAAU,CAAC,CAAC,CAAC,CAChF,CAAC;gBACF,IAAI,CAAC,UAAU,EAAE;oBACf,MAAM,IAAI,KAAK,CAAC,oBAAoB,KAAK,CAAC,WAAW,EAAE,CAAC,CAAC;iBAC1D;gBACD,MAAM,CAAC,KAAK,GAAG,IAAA,mBAAW,EAAC,KAAK,CAAC,MAAM,GAAG,KAAK,EAAE,UAAU,CAAC,WAAY,CAAC,CAAC,QAAQ,EAAE,CAAC;aACtF;SACF;aAAM;YACL,MAAM,IAAI,KAAK,CAAC,qBAAqB,QAAQ,EAAE,CAAC,CAAC;SAClD;KACF;IAED,OAAO,CAAC,IAAI,CAAC,IAAA,kBAAU,EAAC,IAAI,CAAC,GAAG,EAAE,CAAC,EAAE,aAAa,EAAE,QAAQ,EAAE,IAAI,CAAC,SAAS,CAAC,MAAM,CAAC,CAAC,CAAC;IAEtF,MAAM,GAAG,GAAG,MAAM,IAAA,iCAAmB,EAAC,UAAU,EAAE,MAAM,CAAC,CAAC;IAC1D,IAAI,GAAG,CAAC,IAAI,KAAK,GAAG,EAAE;QACpB,MAAM,IAAI,KAAK,CAAC,4BAA4B,GAAG,CAAC,IAAI,SAAS,GAAG,CAAC,GAAG,EAAE,CAAC,CAAC;KACzE;AACH,CAAC,CAAC;AAjEW,QAAA,WAAW,eAiEtB","sourcesContent":["import { IOrder } from '@yuants/data-order';\nimport { formatTime, decodePath, roundToStep } from '@yuants/utils';\nimport { firstValueFrom, map } from 'rxjs';\nimport { ICredential, postTradeAmendOrder } from '../api/private-api';\nimport { productService } from '../public-data/product';\nimport { spotMarketTickers$ } from '../public-data/quote';\n\nexport const modifyOrder = async (credential: ICredential, order: IOrder) => {\n const [instType, instId] = decodePath(order.product_id).slice(-2);\n const params: {\n instId: string;\n ordId: string;\n newPx?: string;\n newSz?: string;\n } = {\n instId,\n ordId: order.order_id!, // 使用现有订单ID\n };\n\n // 如果需要修改价格\n if (order.price !== undefined) {\n params.newPx = order.price.toString();\n }\n\n // 如果需要修改数量\n if (order.volume !== undefined) {\n // 处理数量修改，类似于 SubmitOrder 中的逻辑\n if (instType === 'SWAP') {\n params.newSz = order.volume.toString();\n } else if (instType === 'SPOT') {\n params.newSz = order.volume.toString();\n } else if (instType === 'MARGIN') {\n if (order.order_type === 'LIMIT') {\n params.newSz = order.volume.toString();\n }\n if (order.order_type === 'MAKER') {\n params.newSz = order.volume.toString();\n }\n if (order.order_type === 'MARKET') {\n // 对于市价单，可能需要根据当前价格计算新的数量\n const price = await firstValueFrom(\n spotMarketTickers$.pipe(\n map((x) =>\n order.order_direction === 'OPEN_LONG' || order.order_direction === 'CLOSE_SHORT'\n ? +x[instId].askPx\n : +x[instId].bidPx,\n ),\n ),\n );\n if (!price) {\n throw new Error(`invalid tick: ${price}`);\n }\n console.info(formatTime(Date.now()), 'ModifyOrder', 'price', price);\n const theProduct = await firstValueFrom(\n productService.mapProductIdToProduct$.pipe(map((x) => x.get(order.product_id))),\n );\n if (!theProduct) {\n throw new Error(`Unknown product: ${order.position_id}`);\n }\n params.newSz = roundToStep(order.volume * price, theProduct.volume_step!).toString();\n }\n } else {\n throw new Error(`Unknown instType: ${instType}`);\n }\n }\n\n console.info(formatTime(Date.now()), 'ModifyOrder', 'params', JSON.stringify(params));\n\n const res = await postTradeAmendOrder(credential, params);\n if (res.code !== '0') {\n throw new Error(`ModifyOrder failed: code=${res.code}, msg=${res.msg}`);\n }\n};\n"]}
|
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@@ -41,7 +41,7 @@ const mapOrderTypeToOrdType = (order_type) => {
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41
41
|
};
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42
42
|
const submitOrder = async (credential, order) => {
|
|
43
43
|
var _a, _b, _c;
|
|
44
|
-
const [instType, instId] = (0, utils_1.decodePath)(order.product_id);
|
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44
|
+
const [instType, instId] = (0, utils_1.decodePath)(order.product_id).slice(-2);
|
|
45
45
|
// 交易数量，表示要购买或者出售的数量。
|
|
46
46
|
// 当币币/币币杠杆以限价买入和卖出时，指交易货币数量。
|
|
47
47
|
// 当币币杠杆以市价买入时，指计价货币的数量。
|
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@@ -99,7 +99,7 @@ const submitOrder = async (credential, order) => {
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|
|
99
99
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: undefined,
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100
100
|
px: order.order_type === 'LIMIT' || order.order_type === 'MAKER' ? order.price.toString() : undefined,
|
|
101
101
|
ccy: instType === 'MARGIN' ? 'USDT' : undefined,
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102
|
-
tag: process.env.
|
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102
|
+
tag: process.env.BROKER_CODE,
|
|
103
103
|
};
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104
104
|
console.info((0, utils_1.formatTime)(Date.now()), 'SubmitOrder', 'params', JSON.stringify(params));
|
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105
105
|
const res = await (0, private_api_1.postTradeOrder)(credential, params);
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@@ -1 +1 @@
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1
|
-
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|
|
1
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+
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{ IOrder } from '@yuants/data-order';\nimport { decodePath, formatTime, roundToStep } from '@yuants/utils';\nimport { firstValueFrom, map } from 'rxjs';\nimport { ICredential, postTradeOrder } from '../api/private-api';\nimport { productService } from '../public-data/product';\nimport { spotMarketTickers$ } from '../public-data/quote';\n\nconst mapOrderDirectionToSide = (direction?: string) => {\n switch (direction) {\n case 'OPEN_LONG':\n case 'CLOSE_SHORT':\n return 'buy';\n case 'OPEN_SHORT':\n case 'CLOSE_LONG':\n return 'sell';\n }\n throw new Error(`Unknown direction: ${direction}`);\n};\n\nconst mapOrderDirectionToPosSide = (direction?: string) => {\n switch (direction) {\n case 'OPEN_LONG':\n case 'CLOSE_LONG':\n return 'long';\n case 'CLOSE_SHORT':\n case 'OPEN_SHORT':\n return 'short';\n }\n throw new Error(`Unknown direction: ${direction}`);\n};\n\nconst mapOrderTypeToOrdType = (order_type?: string) => {\n switch (order_type) {\n case 'LIMIT':\n return 'limit';\n case 'MARKET':\n return 'market';\n case 'MAKER':\n return 'post_only';\n }\n throw new Error(`Unknown order type: ${order_type}`);\n};\n\nexport const submitOrder = async (credential: ICredential, order: IOrder): Promise<{ order_id: string }> => {\n const [instType, instId] = decodePath(order.product_id).slice(-2);\n\n // 交易数量，表示要购买或者出售的数量。\n // 当币币/币币杠杆以限价买入和卖出时，指交易货币数量。\n // 当币币杠杆以市价买入时，指计价货币的数量。\n // 当币币杠杆以市价卖出时，指交易货币的数量。\n // 对于币币市价单，单位由 tgtCcy 决定\n // 当交割、永续、期权买入和卖出时，指合约张数。\n const mapOrderVolumeToSz = async (order: IOrder) => {\n if (instType === 'SWAP') {\n return order.volume;\n }\n if (instType === 'MARGIN') {\n if (order.order_type === 'LIMIT') {\n return order.volume;\n }\n if (order.order_type === 'MAKER') {\n return order.volume;\n }\n if (order.order_type === 'MARKET') {\n if (order.order_direction === 'OPEN_SHORT' || order.order_direction === 'CLOSE_LONG') {\n return order.volume;\n }\n //\n const price = await firstValueFrom(\n spotMarketTickers$.pipe(\n map((x) =>\n mapOrderDirectionToPosSide(order.order_direction) === 'long'\n ? +x[instId].askPx\n : +x[instId].bidPx,\n ),\n ),\n );\n if (!price) {\n throw new Error(`invalid tick: ${price}`);\n }\n console.info(formatTime(Date.now()), 'SubmitOrder', 'price', price);\n const theProduct = await firstValueFrom(\n productService.mapProductIdToProduct$.pipe(map((x) => x.get(order.product_id))),\n );\n if (!theProduct) {\n throw new Error(`Unknown product: ${order.position_id}`);\n }\n return roundToStep(order.volume * price, theProduct.volume_step!);\n }\n\n return 0;\n }\n\n if (instType === 'SPOT') {\n return order.volume;\n }\n\n throw new Error(`Unknown instType: ${instType}`);\n };\n\n const params = {\n instId,\n tdMode: instType === 'SPOT' ? 'cash' : 'cross',\n side: mapOrderDirectionToSide(order.order_direction),\n posSide:\n instType === 'MARGIN' || instType === 'SPOT'\n ? 'net'\n : mapOrderDirectionToPosSide(order.order_direction),\n ordType: mapOrderTypeToOrdType(order.order_type),\n sz: (await mapOrderVolumeToSz(order)).toString(),\n tgtCcy: instType === 'SPOT' && order.order_type === 'MARKET' ? 'base_ccy' : undefined,\n reduceOnly:\n instType === 'MARGIN' && ['CLOSE_LONG', 'CLOSE_SHORT'].includes(order.order_direction ?? '')\n ? 'true'\n : undefined,\n px: order.order_type === 'LIMIT' || order.order_type === 'MAKER' ? order.price!.toString() : undefined,\n ccy: instType === 'MARGIN' ? 'USDT' : undefined,\n tag: process.env.BROKER_CODE,\n };\n console.info(formatTime(Date.now()), 'SubmitOrder', 'params', JSON.stringify(params));\n const res = await postTradeOrder(credential, params);\n if (res.code === '0' && res.data?.[0]?.ordId) {\n return { order_id: res.data[0].ordId };\n }\n throw `Failed to submit order: ${res.code} ${res.msg}: ${res.data\n .map((x) => `${x.sCode} ${x.sMsg}`)\n .join('; ')}`;\n};\n"]}
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@@ -0,0 +1,22 @@
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1
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+
export declare const spotMarketTickers$: import("rxjs").Observable<{
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[k: string]: {
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instType: string;
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instId: string;
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last: string;
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lastSz: string;
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askPx: string;
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askSz: string;
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bidPx: string;
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bidSz: string;
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open24h: string;
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high24h: string;
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low24h: string;
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volCcy24h: string;
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vol24h: string;
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sodUtc0: string;
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sodUtc8: string;
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ts: string;
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};
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}>;
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export declare const swapOpenInterest$: import("rxjs").Observable<Map<string, number>>;
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//# sourceMappingURL=new-quote.d.ts.map
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{"version":3,"file":"new-quote.d.ts","sourceRoot":"","sources":["../../src/public-data/new-quote.ts"],"names":[],"mappings":"AA6DA,eAAO,MAAM,kBAAkB;;;;;;;;;;;;;;;;;;;EAW9B,CAAC;AAySF,eAAO,MAAM,iBAAiB,gDAG7B,CAAC"}
|
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@@ -0,0 +1,195 @@
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"use strict";
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Object.defineProperty(exports, "__esModule", { value: true });
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exports.swapOpenInterest$ = exports.spotMarketTickers$ = void 0;
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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 ws_1 = require("../ws");
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const terminal = protocol_1.Terminal.fromNodeEnv();
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const swapInstruments$ = (0, rxjs_1.defer)(() => (0, public_api_1.getInstruments)({ instType: 'SWAP' })).pipe((0, rxjs_1.repeat)({ delay: 3600000 }), (0, rxjs_1.retry)({ delay: 10000 }), (0, rxjs_1.map)((x) => x.data), (0, rxjs_1.shareReplay)(1));
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const spotInstruments$ = (0, rxjs_1.defer)(() => (0, public_api_1.getInstruments)({ instType: 'SPOT' })).pipe((0, rxjs_1.repeat)({ delay: 3600000 }), (0, rxjs_1.retry)({ delay: 10000 }), (0, rxjs_1.map)((x) => x.data), (0, rxjs_1.shareReplay)(1));
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const shallowEqual = (a, b) => a.length === b.length && a.every((v, i) => v === b[i]);
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const spotInstIds$ = spotInstruments$.pipe((0, rxjs_1.map)((items) => items.map((item) => item.instId)), (0, rxjs_1.distinctUntilChanged)(shallowEqual), (0, rxjs_1.shareReplay)(1));
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const spotTickers$ = (0, rxjs_1.defer)(() => (0, public_api_1.getMarketTickers)({ instType: 'SPOT' })).pipe((0, rxjs_1.repeat)({ delay: 5000 }), (0, rxjs_1.retry)({ delay: 5000 }), (0, rxjs_1.shareReplay)(1));
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// depend by SubmitOrders
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exports.spotMarketTickers$ = (0, rxjs_1.defer)(() => spotTickers$).pipe((0, rxjs_1.mergeMap)((x) => (0, rxjs_1.from)(x.data).pipe((0, rxjs_1.map)((x) => [x.instId, x]), (0, rxjs_1.toArray)(), (0, rxjs_1.map)((x) => Object.fromEntries(x)))), (0, rxjs_1.repeat)({ delay: 5000 }), (0, rxjs_1.retry)({ delay: 5000 }), (0, rxjs_1.shareReplay)(1));
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const spotTicker$ = spotInstruments$.pipe((0, rxjs_1.tap)((x) => {
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console.info('SPOT INSTRUMENTS', x.length);
|
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}), (0, utils_1.listWatch)((x) => x.instId, (x) => (0, ws_1.useTicker)(x.instId), () => true), (0, rxjs_1.share)());
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const quoteOfSwapFromRest$ = (0, rxjs_1.defer)(() => (0, public_api_1.getMarketTickers)({ instType: 'SWAP' })).pipe((0, rxjs_1.mergeMap)((x) => x.data || []), (0, rxjs_1.map)((x) => ({
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datasource_id: 'OKX',
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product_id: (0, utils_1.encodePath)('OKX', x.instType, x.instId),
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last_price: x.last,
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ask_price: x.askPx,
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bid_price: x.bidPx,
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ask_volume: x.askSz,
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bid_volume: x.bidSz,
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})), (0, rxjs_1.repeat)({ delay: 1000 }), (0, rxjs_1.retry)({ delay: 1000 }));
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const quoteOfSpotAndMarginFromRest$ = (0, rxjs_1.defer)(() => (0, public_api_1.getMarketTickers)({ instType: 'SPOT' })).pipe((0, rxjs_1.mergeMap)((x) => x.data || []), (0, rxjs_1.mergeMap)((x) => [
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{
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datasource_id: 'OKX',
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product_id: (0, utils_1.encodePath)('OKX', 'SPOT', x.instId),
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last_price: x.last,
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ask_price: x.askPx,
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bid_price: x.bidPx,
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ask_volume: x.askSz,
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bid_volume: x.bidSz,
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+
},
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+
{
|
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+
datasource_id: 'OKX',
|
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42
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+
product_id: (0, utils_1.encodePath)('OKX', 'MARGIN', x.instId),
|
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43
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+
last_price: x.last,
|
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44
|
+
ask_price: x.askPx,
|
|
45
|
+
bid_price: x.bidPx,
|
|
46
|
+
ask_volume: x.askSz,
|
|
47
|
+
bid_volume: x.bidSz,
|
|
48
|
+
},
|
|
49
|
+
]), (0, rxjs_1.repeat)({ delay: 1000 }), (0, rxjs_1.retry)({ delay: 1000 }));
|
|
50
|
+
const quoteOfSwapFromWs$ = swapInstruments$.pipe((0, utils_1.listWatch)((x) => x.instId, (x) => (0, ws_1.useTicker)(x.instId), () => true), (0, rxjs_1.map)((ticker) => ({
|
|
51
|
+
datasource_id: 'OKX',
|
|
52
|
+
product_id: (0, utils_1.encodePath)('OKX', 'SWAP', ticker[0].instId),
|
|
53
|
+
last_price: ticker[0].last,
|
|
54
|
+
ask_price: ticker[0].askPx,
|
|
55
|
+
bid_price: ticker[0].bidPx,
|
|
56
|
+
ask_volume: ticker[0].askSz,
|
|
57
|
+
bid_volume: ticker[0].bidSz,
|
|
58
|
+
})));
|
|
59
|
+
const quoteOfSpotAndMarginFromWs$ = spotTicker$.pipe((0, rxjs_1.mergeMap)((ticker) => [
|
|
60
|
+
{
|
|
61
|
+
datasource_id: 'OKX',
|
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62
|
+
product_id: (0, utils_1.encodePath)('OKX', 'SPOT', ticker[0].instId),
|
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63
|
+
last_price: ticker[0].last,
|
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64
|
+
ask_price: ticker[0].askPx,
|
|
65
|
+
bid_price: ticker[0].bidPx,
|
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66
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+
ask_volume: ticker[0].askSz,
|
|
67
|
+
bid_volume: ticker[0].bidSz,
|
|
68
|
+
},
|
|
69
|
+
{
|
|
70
|
+
datasource_id: 'OKX',
|
|
71
|
+
product_id: (0, utils_1.encodePath)('OKX', 'MARGIN', ticker[0].instId),
|
|
72
|
+
last_price: ticker[0].last,
|
|
73
|
+
ask_price: ticker[0].askPx,
|
|
74
|
+
bid_price: ticker[0].bidPx,
|
|
75
|
+
ask_volume: ticker[0].askSz,
|
|
76
|
+
bid_volume: ticker[0].bidSz,
|
|
77
|
+
},
|
|
78
|
+
]));
|
|
79
|
+
const swapOpenInterests$ = (0, rxjs_1.defer)(() => (0, public_api_1.getOpenInterest)({ instType: 'SWAP' })).pipe((0, rxjs_1.repeat)({ delay: 10000 }), (0, rxjs_1.retry)({ delay: 10000 }), (0, rxjs_1.shareReplay)(1));
|
|
80
|
+
const openInterestOfSwapFromWS$ = swapInstruments$.pipe((0, utils_1.listWatch)((x) => x.instId, (x) => (0, ws_1.useOpenInterest)(x.instId), () => true), (0, rxjs_1.map)((x) => ({
|
|
81
|
+
datasource_id: 'OKX',
|
|
82
|
+
product_id: (0, utils_1.encodePath)('OKX', 'SWAP', x[0].instId),
|
|
83
|
+
open_interest: x[0].oi,
|
|
84
|
+
})), (0, rxjs_1.share)());
|
|
85
|
+
const interestRateOfSwapFromWS$ = swapInstruments$.pipe((0, utils_1.listWatch)((x) => x.instId, (x) => (0, ws_1.useFundingRate)(x.instId), () => true), (0, rxjs_1.map)((x) => ({
|
|
86
|
+
datasource_id: 'OKX',
|
|
87
|
+
product_id: (0, utils_1.encodePath)('OKX', 'SWAP', x[0].instId),
|
|
88
|
+
interest_rate_long: `-${x[0].fundingRate}`,
|
|
89
|
+
interest_rate_short: x[0].fundingRate,
|
|
90
|
+
interest_rate_next_settled_at: x[0].fundingTime,
|
|
91
|
+
})), (0, rxjs_1.share)());
|
|
92
|
+
const marginPositionTiersMap$ = (0, rxjs_1.defer)(() => spotInstIds$.pipe((0, rxjs_1.first)(), (0, rxjs_1.map)((instIds) => instIds.filter((id) => id.endsWith('USDT') || id.endsWith('USDC'))), (0, rxjs_1.switchMap)((instIds) => {
|
|
93
|
+
const total = instIds.length;
|
|
94
|
+
let processed = 0;
|
|
95
|
+
return (0, rxjs_1.from)(instIds).pipe((0, rxjs_1.concatMap)((instId) => (0, rxjs_1.defer)(async () => {
|
|
96
|
+
const tiers = await terminal.client.requestForResponseData('OKX/PositionTiers', {
|
|
97
|
+
instType: 'MARGIN',
|
|
98
|
+
tdMode: 'cross',
|
|
99
|
+
instId,
|
|
100
|
+
});
|
|
101
|
+
if (!(tiers === null || tiers === void 0 ? void 0 : tiers.data)) {
|
|
102
|
+
throw new Error(`Failed to load position tiers for ${instId}: ${tiers.msg}`);
|
|
103
|
+
}
|
|
104
|
+
return {
|
|
105
|
+
instId,
|
|
106
|
+
tiers,
|
|
107
|
+
};
|
|
108
|
+
}).pipe((0, rxjs_1.retry)({ delay: 2000 }))), (0, rxjs_1.reduce)((map, { instId, tiers }) => {
|
|
109
|
+
processed += 1;
|
|
110
|
+
console.info((0, utils_1.formatTime)(Date.now()), `Loaded margin position tiers ${processed}/${total} (${instId})`);
|
|
111
|
+
if (tiers === null || tiers === void 0 ? void 0 : tiers.data) {
|
|
112
|
+
map.set(instId, tiers.data);
|
|
113
|
+
}
|
|
114
|
+
return map;
|
|
115
|
+
}, new Map()));
|
|
116
|
+
}))).pipe(
|
|
117
|
+
//
|
|
118
|
+
(0, rxjs_1.retry)({ delay: 60000 }), (0, rxjs_1.repeat)({ delay: 86400000 }), (0, rxjs_1.shareReplay)(1));
|
|
119
|
+
// Margin 的 open interest 只依赖 position-tier：
|
|
120
|
+
// 1) 启动时先拉全量 MARGIN 仓位档位并缓存，下次直接命中；
|
|
121
|
+
// 2) 档位内只保留同 tier 杠杆最高的记录；
|
|
122
|
+
// 3) 当前策略只使用 tier=1 的 quoteMaxLoan 作为持仓上限，不再混合 /account/max-size；
|
|
123
|
+
// 4) 每个 instId 60 秒刷新一次，并在接口报错时 10 秒重试。
|
|
124
|
+
const marginOpenInterest$ = spotInstIds$.pipe((0, rxjs_1.mergeMap)((instIds) => (0, rxjs_1.from)(instIds).pipe((0, rxjs_1.mergeMap)((instId) => (0, rxjs_1.defer)(async () => {
|
|
125
|
+
var _a;
|
|
126
|
+
const tiersMap = await (0, rxjs_1.firstValueFrom)(marginPositionTiersMap$);
|
|
127
|
+
const tiers = tiersMap.get(instId);
|
|
128
|
+
if (!(tiers === null || tiers === void 0 ? void 0 : tiers.length)) {
|
|
129
|
+
return null;
|
|
130
|
+
}
|
|
131
|
+
const tierByLevel = tiers
|
|
132
|
+
.filter((tier) => !tier.instId || tier.instId === instId)
|
|
133
|
+
.reduce((mapTierToTierInfo, tierInfo) => {
|
|
134
|
+
const existing = mapTierToTierInfo.get(tierInfo.tier);
|
|
135
|
+
if (!existing || +tierInfo.maxLever > +existing.maxLever) {
|
|
136
|
+
mapTierToTierInfo.set(tierInfo.tier, tierInfo);
|
|
137
|
+
}
|
|
138
|
+
return mapTierToTierInfo;
|
|
139
|
+
}, new Map());
|
|
140
|
+
// 获取一级杠杆的最大可借贷额度作为持仓量
|
|
141
|
+
const openInterest = +(((_a = tierByLevel.get('1')) === null || _a === void 0 ? void 0 : _a.quoteMaxLoan) || 0);
|
|
142
|
+
return {
|
|
143
|
+
instId,
|
|
144
|
+
openInterest,
|
|
145
|
+
};
|
|
146
|
+
}).pipe((0, rxjs_1.retry)({ delay: 10000 }), (0, rxjs_1.repeat)({ delay: 60000 }))))), (0, rxjs_1.filter)((result) => result !== null), (0, rxjs_1.map)(({ instId, openInterest }) => {
|
|
147
|
+
const partial = {
|
|
148
|
+
datasource_id: 'OKX',
|
|
149
|
+
product_id: (0, utils_1.encodePath)('OKX', 'MARGIN', instId),
|
|
150
|
+
};
|
|
151
|
+
if (typeof openInterest === 'number' && Number.isFinite(openInterest)) {
|
|
152
|
+
partial.open_interest = `${openInterest}`;
|
|
153
|
+
}
|
|
154
|
+
return partial;
|
|
155
|
+
}), (0, rxjs_1.share)());
|
|
156
|
+
marginOpenInterest$.subscribe();
|
|
157
|
+
const quoteSources$ = [
|
|
158
|
+
quoteOfSwapFromWs$,
|
|
159
|
+
openInterestOfSwapFromWS$,
|
|
160
|
+
quoteOfSwapFromRest$,
|
|
161
|
+
quoteOfSpotAndMarginFromWs$,
|
|
162
|
+
quoteOfSpotAndMarginFromRest$,
|
|
163
|
+
marginOpenInterest$,
|
|
164
|
+
interestRateOfSwapFromWS$,
|
|
165
|
+
];
|
|
166
|
+
const quote$ = (0, rxjs_1.defer)(() => (0, rxjs_1.merge)(...quoteSources$.map((x$) => (0, rxjs_1.defer)(() => x$).pipe(
|
|
167
|
+
// 防止单个流关闭导致整体关闭
|
|
168
|
+
(0, rxjs_1.catchError)(() => rxjs_1.EMPTY))))).pipe((0, rxjs_1.groupBy)((x) => (0, utils_1.encodePath)(x.datasource_id, x.product_id)), (0, rxjs_1.mergeMap)((group$) => {
|
|
169
|
+
return group$.pipe(
|
|
170
|
+
//
|
|
171
|
+
(0, rxjs_1.scan)((acc, cur) => Object.assign(acc, cur), {}));
|
|
172
|
+
}), (0, rxjs_1.share)());
|
|
173
|
+
// 合并不同来源的数据并进行合并，避免死锁
|
|
174
|
+
if (process.env.WRITE_QUOTE_TO_SQL === 'true') {
|
|
175
|
+
terminal.channel.publishChannel('quote', { pattern: `^OKX/` }, (channel_id) => {
|
|
176
|
+
const [datasource_id, product_id] = (0, utils_1.decodePath)(channel_id);
|
|
177
|
+
if (!datasource_id) {
|
|
178
|
+
throw 'datasource_id is required';
|
|
179
|
+
}
|
|
180
|
+
if (!product_id) {
|
|
181
|
+
throw 'product_id is required';
|
|
182
|
+
}
|
|
183
|
+
return quote$.pipe((0, rxjs_1.filter)((x) => x.product_id === product_id));
|
|
184
|
+
});
|
|
185
|
+
quote$
|
|
186
|
+
.pipe((0, sql_1.writeToSQL)({
|
|
187
|
+
terminal,
|
|
188
|
+
writeInterval: 1000,
|
|
189
|
+
tableName: 'quote',
|
|
190
|
+
conflictKeys: ['datasource_id', 'product_id'],
|
|
191
|
+
}))
|
|
192
|
+
.subscribe();
|
|
193
|
+
}
|
|
194
|
+
exports.swapOpenInterest$ = (0, rxjs_1.defer)(() => swapOpenInterests$).pipe((0, rxjs_1.map)((x) => new Map(x.data.map((x) => [x.instId, +x.oi]))), (0, rxjs_1.shareReplay)(1));
|
|
195
|
+
//# sourceMappingURL=new-quote.js.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
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{ IQuote } from '@yuants/data-quote';\nimport { Terminal } from '@yuants/protocol';\nimport { writeToSQL } from '@yuants/sql';\nimport { decodePath, encodePath, formatTime, listWatch } from '@yuants/utils';\nimport {\n catchError,\n concatMap,\n defer,\n distinctUntilChanged,\n EMPTY,\n filter,\n first,\n firstValueFrom,\n from,\n groupBy,\n map,\n merge,\n mergeMap,\n reduce,\n repeat,\n retry,\n scan,\n share,\n shareReplay,\n switchMap,\n tap,\n toArray,\n} from 'rxjs';\nimport { getInstruments, getMarketTickers, getOpenInterest, getPositionTiers } from '../api/public-api';\nimport { useFundingRate, useOpenInterest, useTicker } from '../ws';\n\nconst terminal = Terminal.fromNodeEnv();\n\nconst swapInstruments$ = defer(() => getInstruments({ instType: 'SWAP' })).pipe(\n repeat({ delay: 3600_000 }),\n retry({ delay: 10_000 }),\n map((x) => x.data),\n shareReplay(1),\n);\nconst spotInstruments$ = defer(() => getInstruments({ instType: 'SPOT' })).pipe(\n repeat({ delay: 3600_000 }),\n retry({ delay: 10_000 }),\n map((x) => x.data),\n shareReplay(1),\n);\n\nconst shallowEqual = (a: string[], b: string[]) => a.length === b.length && a.every((v, i) => v === b[i]);\n\nconst spotInstIds$ = spotInstruments$.pipe(\n map((items) => items.map((item) => item.instId)),\n distinctUntilChanged(shallowEqual),\n shareReplay(1),\n);\n\nconst spotTickers$ = defer(() => getMarketTickers({ instType: 'SPOT' })).pipe(\n repeat({ delay: 5000 }),\n retry({ delay: 5000 }),\n shareReplay(1),\n);\n\n// depend by SubmitOrders\nexport const spotMarketTickers$ = defer(() => spotTickers$).pipe(\n mergeMap((x) =>\n from(x.data).pipe(\n map((x) => [x.instId, x] as const),\n toArray(),\n map((x) => Object.fromEntries(x)),\n ),\n ),\n repeat({ delay: 5000 }),\n retry({ delay: 5000 }),\n shareReplay(1),\n);\n\nconst spotTicker$ = spotInstruments$.pipe(\n tap((x) => {\n console.info('SPOT INSTRUMENTS', x.length);\n }),\n listWatch(\n (x) => x.instId,\n (x) => useTicker(x.instId),\n () => true,\n ),\n share(),\n);\n\nconst quoteOfSwapFromRest$ = defer(() => getMarketTickers({ instType: 'SWAP' })).pipe(\n mergeMap((x) => x.data || []),\n map(\n (x): Partial<IQuote> => ({\n datasource_id: 'OKX',\n product_id: encodePath('OKX', x.instType, x.instId),\n last_price: x.last,\n ask_price: x.askPx,\n bid_price: x.bidPx,\n ask_volume: x.askSz,\n bid_volume: x.bidSz,\n }),\n ),\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n);\n\nconst quoteOfSpotAndMarginFromRest$ = defer(() => getMarketTickers({ instType: 'SPOT' })).pipe(\n mergeMap((x) => x.data || []),\n mergeMap((x): Partial<IQuote>[] => [\n {\n datasource_id: 'OKX',\n product_id: encodePath('OKX', 'SPOT', x.instId),\n last_price: x.last,\n ask_price: x.askPx,\n bid_price: x.bidPx,\n ask_volume: x.askSz,\n bid_volume: x.bidSz,\n },\n {\n datasource_id: 'OKX',\n product_id: encodePath('OKX', 'MARGIN', x.instId),\n last_price: x.last,\n ask_price: x.askPx,\n bid_price: x.bidPx,\n ask_volume: x.askSz,\n bid_volume: x.bidSz,\n },\n ]),\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n);\n\nconst quoteOfSwapFromWs$ = swapInstruments$.pipe(\n listWatch(\n (x) => x.instId,\n (x) => useTicker(x.instId),\n () => true,\n ),\n map(\n (ticker): Partial<IQuote> => ({\n datasource_id: 'OKX',\n product_id: encodePath('OKX', 'SWAP', ticker[0].instId),\n last_price: ticker[0].last,\n ask_price: ticker[0].askPx,\n bid_price: ticker[0].bidPx,\n ask_volume: ticker[0].askSz,\n bid_volume: ticker[0].bidSz,\n }),\n ),\n);\n\nconst quoteOfSpotAndMarginFromWs$ = spotTicker$.pipe(\n mergeMap((ticker): Partial<IQuote>[] => [\n {\n datasource_id: 'OKX',\n product_id: encodePath('OKX', 'SPOT', ticker[0].instId),\n last_price: ticker[0].last,\n ask_price: ticker[0].askPx,\n bid_price: ticker[0].bidPx,\n ask_volume: ticker[0].askSz,\n bid_volume: ticker[0].bidSz,\n },\n {\n datasource_id: 'OKX',\n product_id: encodePath('OKX', 'MARGIN', ticker[0].instId),\n last_price: ticker[0].last,\n ask_price: ticker[0].askPx,\n bid_price: ticker[0].bidPx,\n ask_volume: ticker[0].askSz,\n bid_volume: ticker[0].bidSz,\n },\n ]),\n);\n\nconst swapOpenInterests$ = defer(() => getOpenInterest({ instType: 'SWAP' })).pipe(\n repeat({ delay: 10_000 }),\n retry({ delay: 10_000 }),\n shareReplay(1),\n);\n\nconst openInterestOfSwapFromWS$ = swapInstruments$.pipe(\n listWatch(\n (x) => x.instId,\n (x) => useOpenInterest(x.instId),\n () => true,\n ),\n map(\n (x): Partial<IQuote> => ({\n datasource_id: 'OKX',\n product_id: encodePath('OKX', 'SWAP', x[0].instId),\n open_interest: x[0].oi,\n }),\n ),\n share(),\n);\n\nconst interestRateOfSwapFromWS$ = swapInstruments$.pipe(\n listWatch(\n (x) => x.instId,\n (x) => useFundingRate(x.instId),\n () => true,\n ),\n map(\n (x): Partial<IQuote> => ({\n datasource_id: 'OKX',\n product_id: encodePath('OKX', 'SWAP', x[0].instId),\n interest_rate_long: `-${x[0].fundingRate}`,\n interest_rate_short: x[0].fundingRate,\n interest_rate_next_settled_at: x[0].fundingTime,\n }),\n ),\n share(),\n);\n\ntype PositionTiersResponse = Awaited<ReturnType<typeof getPositionTiers>>;\ntype PositionTiersEntry = PositionTiersResponse['data'];\n\nconst marginPositionTiersMap$ = defer(() =>\n spotInstIds$.pipe(\n first(),\n map((instIds) => instIds.filter((id) => id.endsWith('USDT') || id.endsWith('USDC'))),\n switchMap((instIds) => {\n const total = instIds.length;\n let processed = 0;\n return from(instIds).pipe(\n concatMap((instId) =>\n defer(async () => {\n const tiers = await terminal.client.requestForResponseData<\n { instType: string; tdMode: string; instId: string },\n PositionTiersResponse\n >('OKX/PositionTiers', {\n instType: 'MARGIN',\n tdMode: 'cross',\n instId,\n });\n if (!tiers?.data) {\n throw new Error(`Failed to load position tiers for ${instId}: ${tiers.msg}`);\n }\n return {\n instId,\n tiers,\n };\n }).pipe(retry({ delay: 2000 })),\n ),\n reduce((map, { instId, tiers }) => {\n processed += 1;\n console.info(\n formatTime(Date.now()),\n `Loaded margin position tiers ${processed}/${total} (${instId})`,\n );\n if (tiers?.data) {\n map.set(instId, tiers.data);\n }\n return map;\n }, new Map<string, PositionTiersEntry>()),\n );\n }),\n ),\n).pipe(\n //\n retry({ delay: 60_000 }),\n repeat({ delay: 86400_000 }),\n shareReplay(1),\n);\n\n// Margin 的 open interest 只依赖 position-tier：\n// 1) 启动时先拉全量 MARGIN 仓位档位并缓存，下次直接命中；\n// 2) 档位内只保留同 tier 杠杆最高的记录；\n// 3) 当前策略只使用 tier=1 的 quoteMaxLoan 作为持仓上限，不再混合 /account/max-size；\n// 4) 每个 instId 60 秒刷新一次，并在接口报错时 10 秒重试。\nconst marginOpenInterest$ = spotInstIds$.pipe(\n mergeMap((instIds) =>\n from(instIds).pipe(\n mergeMap((instId) =>\n defer(async () => {\n const tiersMap = await firstValueFrom(marginPositionTiersMap$);\n const tiers = tiersMap.get(instId);\n if (!tiers?.length) {\n return null;\n }\n\n const tierByLevel = tiers\n .filter((tier) => !tier.instId || tier.instId === instId)\n .reduce((mapTierToTierInfo, tierInfo) => {\n const existing = mapTierToTierInfo.get(tierInfo.tier);\n if (!existing || +tierInfo.maxLever > +existing.maxLever) {\n mapTierToTierInfo.set(tierInfo.tier, tierInfo);\n }\n return mapTierToTierInfo;\n }, new Map<string, (typeof tiers)[number]>());\n // 获取一级杠杆的最大可借贷额度作为持仓量\n const openInterest = +(tierByLevel.get('1')?.quoteMaxLoan || 0);\n\n return {\n instId,\n openInterest,\n };\n }).pipe(retry({ delay: 10_000 }), repeat({ delay: 60_000 })),\n ),\n ),\n ),\n filter((result): result is { instId: string; openInterest: number } => result !== null),\n map(({ instId, openInterest }) => {\n const partial: Partial<IQuote> = {\n datasource_id: 'OKX',\n product_id: encodePath('OKX', 'MARGIN', instId),\n };\n if (typeof openInterest === 'number' && Number.isFinite(openInterest)) {\n partial.open_interest = `${openInterest}`;\n }\n return partial;\n }),\n share(),\n);\n\nmarginOpenInterest$.subscribe();\n\nconst quoteSources$ = [\n quoteOfSwapFromWs$,\n openInterestOfSwapFromWS$,\n quoteOfSwapFromRest$,\n quoteOfSpotAndMarginFromWs$,\n quoteOfSpotAndMarginFromRest$,\n marginOpenInterest$,\n interestRateOfSwapFromWS$,\n];\n\nconst quote$ = defer(() =>\n merge(\n ...quoteSources$.map((x$) =>\n defer(() => x$).pipe(\n // 防止单个流关闭导致整体关闭\n catchError(() => EMPTY),\n ),\n ),\n ),\n).pipe(\n groupBy((x) => encodePath(x.datasource_id, x.product_id)),\n mergeMap((group$) => {\n return group$.pipe(\n //\n scan((acc, cur) => Object.assign(acc, cur), {} as Partial<IQuote>),\n );\n }),\n share(),\n);\n\n// 合并不同来源的数据并进行合并，避免死锁\nif (process.env.WRITE_QUOTE_TO_SQL === 'true') {\n terminal.channel.publishChannel('quote', { pattern: `^OKX/` }, (channel_id) => {\n const [datasource_id, product_id] = decodePath(channel_id);\n if (!datasource_id) {\n throw 'datasource_id is required';\n }\n if (!product_id) {\n throw 'product_id is required';\n }\n return quote$.pipe(filter((x) => x.product_id === product_id));\n });\n\n quote$\n .pipe(\n writeToSQL({\n terminal,\n writeInterval: 1000,\n tableName: 'quote',\n conflictKeys: ['datasource_id', 'product_id'],\n }),\n )\n .subscribe();\n}\n\nexport const swapOpenInterest$ = defer(() => swapOpenInterests$).pipe(\n map((x) => new Map(x.data.map((x) => [x.instId, +x.oi] as const))),\n shareReplay(1),\n);\n"]}
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{"version":3,"file":"quote.d.ts","sourceRoot":"","sources":["../../src/public-data/quote.ts"],"names":[],"mappings":"AA6DA,eAAO,MAAM,kBAAkB;;;;;;;;;;;;;;;;;;;EAW9B,CAAC;
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1
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+
{"version":3,"file":"quote.d.ts","sourceRoot":"","sources":["../../src/public-data/quote.ts"],"names":[],"mappings":"AA6DA,eAAO,MAAM,kBAAkB;;;;;;;;;;;;;;;;;;;EAW9B,CAAC;AAySF,eAAO,MAAM,iBAAiB,gDAG7B,CAAC"}
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package/lib/public-data/quote.js
CHANGED
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@@ -77,11 +77,18 @@ const quoteOfSpotAndMarginFromWs$ = spotTicker$.pipe((0, rxjs_1.mergeMap)((ticke
|
|
|
77
77
|
},
|
|
78
78
|
]));
|
|
79
79
|
const swapOpenInterests$ = (0, rxjs_1.defer)(() => (0, public_api_1.getOpenInterest)({ instType: 'SWAP' })).pipe((0, rxjs_1.repeat)({ delay: 10000 }), (0, rxjs_1.retry)({ delay: 10000 }), (0, rxjs_1.shareReplay)(1));
|
|
80
|
-
const
|
|
80
|
+
const openInterestOfSwapFromWS$ = swapInstruments$.pipe((0, utils_1.listWatch)((x) => x.instId, (x) => (0, ws_1.useOpenInterest)(x.instId), () => true), (0, rxjs_1.map)((x) => ({
|
|
81
81
|
datasource_id: 'OKX',
|
|
82
82
|
product_id: (0, utils_1.encodePath)('SWAP', x[0].instId),
|
|
83
83
|
open_interest: x[0].oi,
|
|
84
84
|
})), (0, rxjs_1.share)());
|
|
85
|
+
const interestRateOfSwapFromWS$ = swapInstruments$.pipe((0, utils_1.listWatch)((x) => x.instId, (x) => (0, ws_1.useFundingRate)(x.instId), () => true), (0, rxjs_1.map)((x) => ({
|
|
86
|
+
datasource_id: 'OKX',
|
|
87
|
+
product_id: (0, utils_1.encodePath)('SWAP', x[0].instId),
|
|
88
|
+
interest_rate_long: `-${x[0].fundingRate}`,
|
|
89
|
+
interest_rate_short: x[0].fundingRate,
|
|
90
|
+
interest_rate_next_settled_at: x[0].fundingTime,
|
|
91
|
+
})), (0, rxjs_1.share)());
|
|
85
92
|
const marginPositionTiersMap$ = (0, rxjs_1.defer)(() => spotInstIds$.pipe((0, rxjs_1.first)(), (0, rxjs_1.map)((instIds) => instIds.filter((id) => id.endsWith('USDT') || id.endsWith('USDC'))), (0, rxjs_1.switchMap)((instIds) => {
|
|
86
93
|
const total = instIds.length;
|
|
87
94
|
let processed = 0;
|
|
@@ -149,11 +156,12 @@ const marginOpenInterest$ = spotInstIds$.pipe((0, rxjs_1.mergeMap)((instIds) =>
|
|
|
149
156
|
marginOpenInterest$.subscribe();
|
|
150
157
|
const quoteSources$ = [
|
|
151
158
|
quoteOfSwapFromWs$,
|
|
152
|
-
|
|
159
|
+
openInterestOfSwapFromWS$,
|
|
153
160
|
quoteOfSwapFromRest$,
|
|
154
161
|
quoteOfSpotAndMarginFromWs$,
|
|
155
162
|
quoteOfSpotAndMarginFromRest$,
|
|
156
163
|
marginOpenInterest$,
|
|
164
|
+
interestRateOfSwapFromWS$,
|
|
157
165
|
];
|
|
158
166
|
const quote$ = (0, rxjs_1.defer)(() => (0, rxjs_1.merge)(...quoteSources$.map((x$) => (0, rxjs_1.defer)(() => x$).pipe(
|
|
159
167
|
// 防止单个流关闭导致整体关闭
|