@yuants/vendor-okx 0.29.1 → 0.29.3

package/dist/index.js

@@ -13,4 +13,5 @@ import './services';
 import './strategy-account';
 import './trade';
 import './transfer';
+import './public-data/new-quote';
 //# sourceMappingURL=index.js.map

package/dist/index.js.map

@@ -1 +1 @@
-{"version":3,"file":"index.js","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","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"]}
+{"version":3,"file":"index.js","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","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"]}

package/dist/public-data/new-quote.js

@@ -0,0 +1,192 @@
+import { Terminal } from '@yuants/protocol';
+import { writeToSQL } from '@yuants/sql';
+import { decodePath, encodePath, formatTime, listWatch } from '@yuants/utils';
+import { catchError, concatMap, defer, distinctUntilChanged, EMPTY, filter, first, firstValueFrom, from, groupBy, map, merge, mergeMap, reduce, repeat, retry, scan, share, shareReplay, switchMap, tap, toArray, } from 'rxjs';
+import { getInstruments, getMarketTickers, getOpenInterest } from '../api/public-api';
+import { useFundingRate, useOpenInterest, useTicker } from '../ws';
+const terminal = Terminal.fromNodeEnv();
+const swapInstruments$ = defer(() => getInstruments({ instType: 'SWAP' })).pipe(repeat({ delay: 3600000 }), retry({ delay: 10000 }), map((x) => x.data), shareReplay(1));
+const spotInstruments$ = defer(() => getInstruments({ instType: 'SPOT' })).pipe(repeat({ delay: 3600000 }), retry({ delay: 10000 }), map((x) => x.data), shareReplay(1));
+const shallowEqual = (a, b) => a.length === b.length && a.every((v, i) => v === b[i]);
+const spotInstIds$ = spotInstruments$.pipe(map((items) => items.map((item) => item.instId)), distinctUntilChanged(shallowEqual), shareReplay(1));
+const spotTickers$ = defer(() => getMarketTickers({ instType: 'SPOT' })).pipe(repeat({ delay: 5000 }), retry({ delay: 5000 }), shareReplay(1));
+// depend by SubmitOrders
+export const spotMarketTickers$ = defer(() => spotTickers$).pipe(mergeMap((x) => from(x.data).pipe(map((x) => [x.instId, x]), toArray(), map((x) => Object.fromEntries(x)))), repeat({ delay: 5000 }), retry({ delay: 5000 }), shareReplay(1));
+const spotTicker$ = spotInstruments$.pipe(tap((x) => {
+    console.info('SPOT INSTRUMENTS', x.length);
+}), listWatch((x) => x.instId, (x) => useTicker(x.instId), () => true), share());
+const quoteOfSwapFromRest$ = defer(() => getMarketTickers({ instType: 'SWAP' })).pipe(mergeMap((x) => x.data || []), map((x) => ({
+    datasource_id: 'OKX',
+    product_id: encodePath('OKX', x.instType, x.instId),
+    last_price: x.last,
+    ask_price: x.askPx,
+    bid_price: x.bidPx,
+    ask_volume: x.askSz,
+    bid_volume: x.bidSz,
+})), repeat({ delay: 1000 }), retry({ delay: 1000 }));
+const quoteOfSpotAndMarginFromRest$ = defer(() => getMarketTickers({ instType: 'SPOT' })).pipe(mergeMap((x) => x.data || []), mergeMap((x) => [
+    {
+        datasource_id: 'OKX',
+        product_id: encodePath('OKX', 'SPOT', x.instId),
+        last_price: x.last,
+        ask_price: x.askPx,
+        bid_price: x.bidPx,
+        ask_volume: x.askSz,
+        bid_volume: x.bidSz,
+    },
+    {
+        datasource_id: 'OKX',
+        product_id: encodePath('OKX', 'MARGIN', x.instId),
+        last_price: x.last,
+        ask_price: x.askPx,
+        bid_price: x.bidPx,
+        ask_volume: x.askSz,
+        bid_volume: x.bidSz,
+    },
+]), repeat({ delay: 1000 }), retry({ delay: 1000 }));
+const quoteOfSwapFromWs$ = swapInstruments$.pipe(listWatch((x) => x.instId, (x) => useTicker(x.instId), () => true), map((ticker) => ({
+    datasource_id: 'OKX',
+    product_id: encodePath('OKX', 'SWAP', ticker[0].instId),
+    last_price: ticker[0].last,
+    ask_price: ticker[0].askPx,
+    bid_price: ticker[0].bidPx,
+    ask_volume: ticker[0].askSz,
+    bid_volume: ticker[0].bidSz,
+})));
+const quoteOfSpotAndMarginFromWs$ = spotTicker$.pipe(mergeMap((ticker) => [
+    {
+        datasource_id: 'OKX',
+        product_id: encodePath('OKX', 'SPOT', ticker[0].instId),
+        last_price: ticker[0].last,
+        ask_price: ticker[0].askPx,
+        bid_price: ticker[0].bidPx,
+        ask_volume: ticker[0].askSz,
+        bid_volume: ticker[0].bidSz,
+    },
+    {
+        datasource_id: 'OKX',
+        product_id: encodePath('OKX', 'MARGIN', ticker[0].instId),
+        last_price: ticker[0].last,
+        ask_price: ticker[0].askPx,
+        bid_price: ticker[0].bidPx,
+        ask_volume: ticker[0].askSz,
+        bid_volume: ticker[0].bidSz,
+    },
+]));
+const swapOpenInterests$ = defer(() => getOpenInterest({ instType: 'SWAP' })).pipe(repeat({ delay: 10000 }), retry({ delay: 10000 }), shareReplay(1));
+const openInterestOfSwapFromWS$ = swapInstruments$.pipe(listWatch((x) => x.instId, (x) => useOpenInterest(x.instId), () => true), map((x) => ({
+    datasource_id: 'OKX',
+    product_id: encodePath('OKX', 'SWAP', x[0].instId),
+    open_interest: x[0].oi,
+})), share());
+const interestRateOfSwapFromWS$ = swapInstruments$.pipe(listWatch((x) => x.instId, (x) => useFundingRate(x.instId), () => true), map((x) => ({
+    datasource_id: 'OKX',
+    product_id: encodePath('OKX', 'SWAP', x[0].instId),
+    interest_rate_long: `${-+x[0].fundingRate}`,
+    interest_rate_short: x[0].fundingRate,
+    interest_rate_next_settled_at: x[0].fundingTime,
+})), share());
+const marginPositionTiersMap$ = defer(() => spotInstIds$.pipe(first(), map((instIds) => instIds.filter((id) => id.endsWith('USDT') || id.endsWith('USDC'))), switchMap((instIds) => {
+    const total = instIds.length;
+    let processed = 0;
+    return from(instIds).pipe(concatMap((instId) => defer(async () => {
+        const tiers = await terminal.client.requestForResponseData('OKX/PositionTiers', {
+            instType: 'MARGIN',
+            tdMode: 'cross',
+            instId,
+        });
+        if (!(tiers === null || tiers === void 0 ? void 0 : tiers.data)) {
+            throw new Error(`Failed to load position tiers for ${instId}: ${tiers.msg}`);
+        }
+        return {
+            instId,
+            tiers,
+        };
+    }).pipe(retry({ delay: 2000 }))), reduce((map, { instId, tiers }) => {
+        processed += 1;
+        console.info(formatTime(Date.now()), `Loaded margin position tiers ${processed}/${total} (${instId})`);
+        if (tiers === null || tiers === void 0 ? void 0 : tiers.data) {
+            map.set(instId, tiers.data);
+        }
+        return map;
+    }, new Map()));
+}))).pipe(
+//
+retry({ delay: 60000 }), repeat({ delay: 86400000 }), shareReplay(1));
+// Margin 的 open interest 只依赖 position-tier：
+// 1) 启动时先拉全量 MARGIN 仓位档位并缓存，下次直接命中；
+// 2) 档位内只保留同 tier 杠杆最高的记录；
+// 3) 当前策略只使用 tier=1 的 quoteMaxLoan 作为持仓上限，不再混合 /account/max-size；
+// 4) 每个 instId 60 秒刷新一次，并在接口报错时 10 秒重试。
+const marginOpenInterest$ = spotInstIds$.pipe(mergeMap((instIds) => from(instIds).pipe(mergeMap((instId) => defer(async () => {
+    var _a;
+    const tiersMap = await firstValueFrom(marginPositionTiersMap$);
+    const tiers = tiersMap.get(instId);
+    if (!(tiers === null || tiers === void 0 ? void 0 : tiers.length)) {
+        return null;
+    }
+    const tierByLevel = tiers
+        .filter((tier) => !tier.instId || tier.instId === instId)
+        .reduce((mapTierToTierInfo, tierInfo) => {
+        const existing = mapTierToTierInfo.get(tierInfo.tier);
+        if (!existing || +tierInfo.maxLever > +existing.maxLever) {
+            mapTierToTierInfo.set(tierInfo.tier, tierInfo);
+        }
+        return mapTierToTierInfo;
+    }, new Map());
+    // 获取一级杠杆的最大可借贷额度作为持仓量
+    const openInterest = +(((_a = tierByLevel.get('1')) === null || _a === void 0 ? void 0 : _a.quoteMaxLoan) || 0);
+    return {
+        instId,
+        openInterest,
+    };
+}).pipe(retry({ delay: 10000 }), repeat({ delay: 60000 }))))), filter((result) => result !== null), map(({ instId, openInterest }) => {
+    const partial = {
+        datasource_id: 'OKX',
+        product_id: encodePath('OKX', 'MARGIN', instId),
+    };
+    if (typeof openInterest === 'number' && Number.isFinite(openInterest)) {
+        partial.open_interest = `${openInterest}`;
+    }
+    return partial;
+}), share());
+marginOpenInterest$.subscribe();
+const quoteSources$ = [
+    quoteOfSwapFromWs$,
+    openInterestOfSwapFromWS$,
+    quoteOfSwapFromRest$,
+    quoteOfSpotAndMarginFromWs$,
+    quoteOfSpotAndMarginFromRest$,
+    marginOpenInterest$,
+    interestRateOfSwapFromWS$,
+];
+const quote$ = defer(() => merge(...quoteSources$.map((x$) => defer(() => x$).pipe(
+// 防止单个流关闭导致整体关闭
+catchError(() => EMPTY))))).pipe(groupBy((x) => encodePath(x.datasource_id, x.product_id)), mergeMap((group$) => {
+    return group$.pipe(
+    //
+    scan((acc, cur) => Object.assign(acc, cur), {}));
+}), share());
+// 合并不同来源的数据并进行合并，避免死锁
+if (process.env.WRITE_QUOTE_TO_SQL === 'true') {
+    terminal.channel.publishChannel('quote', { pattern: `^OKX/` }, (channel_id) => {
+        const [datasource_id, product_id] = decodePath(channel_id);
+        if (!datasource_id) {
+            throw 'datasource_id is required';
+        }
+        if (!product_id) {
+            throw 'product_id is required';
+        }
+        return quote$.pipe(filter((x) => x.product_id === product_id));
+    });
+    quote$
+        .pipe(writeToSQL({
+        terminal,
+        writeInterval: 1000,
+        tableName: 'quote',
+        conflictKeys: ['datasource_id', 'product_id'],
+    }))
+        .subscribe();
+}
+export const swapOpenInterest$ = defer(() => swapOpenInterests$).pipe(map((x) => new Map(x.data.map((x) => [x.instId, +x.oi]))), shareReplay(1));
+//# sourceMappingURL=new-quote.js.map

package/dist/public-data/new-quote.js.map

@@ -0,0 +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"]}

package/dist/public-data/quote.js

@@ -3,7 +3,7 @@ import { writeToSQL } from '@yuants/sql';
 import { decodePath, encodePath, formatTime, listWatch } from '@yuants/utils';
 import { catchError, concatMap, defer, distinctUntilChanged, EMPTY, filter, first, firstValueFrom, from, groupBy, map, merge, mergeMap, reduce, repeat, retry, scan, share, shareReplay, switchMap, tap, toArray, } from 'rxjs';
 import { getInstruments, getMarketTickers, getOpenInterest } from '../api/public-api';
-import { useOpenInterest, useTicker } from '../ws';
+import { useFundingRate, useOpenInterest, useTicker } from '../ws';
 const terminal = Terminal.fromNodeEnv();
 const swapInstruments$ = defer(() => getInstruments({ instType: 'SWAP' })).pipe(repeat({ delay: 3600000 }), retry({ delay: 10000 }), map((x) => x.data), shareReplay(1));
 const spotInstruments$ = defer(() => getInstruments({ instType: 'SPOT' })).pipe(repeat({ delay: 3600000 }), retry({ delay: 10000 }), map((x) => x.data), shareReplay(1));
@@ -74,11 +74,18 @@ const quoteOfSpotAndMarginFromWs$ = spotTicker$.pipe(mergeMap((ticker) => [
     },
 ]));
 const swapOpenInterests$ = defer(() => getOpenInterest({ instType: 'SWAP' })).pipe(repeat({ delay: 10000 }), retry({ delay: 10000 }), shareReplay(1));
-const interestRateOfSwapFromWS$ = swapInstruments$.pipe(listWatch((x) => x.instId, (x) => useOpenInterest(x.instId), () => true), map((x) => ({
+const openInterestOfSwapFromWS$ = swapInstruments$.pipe(listWatch((x) => x.instId, (x) => useOpenInterest(x.instId), () => true), map((x) => ({
     datasource_id: 'OKX',
     product_id: encodePath('SWAP', x[0].instId),
     open_interest: x[0].oi,
 })), share());
+const interestRateOfSwapFromWS$ = swapInstruments$.pipe(listWatch((x) => x.instId, (x) => useFundingRate(x.instId), () => true), map((x) => ({
+    datasource_id: 'OKX',
+    product_id: encodePath('SWAP', x[0].instId),
+    interest_rate_long: `-${x[0].fundingRate}`,
+    interest_rate_short: x[0].fundingRate,
+    interest_rate_next_settled_at: x[0].fundingTime,
+})), share());
 const marginPositionTiersMap$ = defer(() => spotInstIds$.pipe(first(), map((instIds) => instIds.filter((id) => id.endsWith('USDT') || id.endsWith('USDC'))), switchMap((instIds) => {
     const total = instIds.length;
     let processed = 0;
@@ -146,11 +153,12 @@ const marginOpenInterest$ = spotInstIds$.pipe(mergeMap((instIds) => from(instIds
 marginOpenInterest$.subscribe();
 const quoteSources$ = [
     quoteOfSwapFromWs$,
-    interestRateOfSwapFromWS$,
+    openInterestOfSwapFromWS$,
     quoteOfSwapFromRest$,
     quoteOfSpotAndMarginFromWs$,
     quoteOfSpotAndMarginFromRest$,
     marginOpenInterest$,
+    interestRateOfSwapFromWS$,
 ];
 const quote$ = defer(() => merge(...quoteSources$.map((x$) => defer(() => x$).pipe(
 // 防止单个流关闭导致整体关闭

package/dist/public-data/quote.js.map

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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 { 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(x.instType, x.instId),\n      last_price: x.last,\n      ask_price: x.askPx,\n      bid_price: x.bidPx,\n      ask_volume: x.askSz,\n      bid_volume: x.bidSz,\n    }),\n  ),\n  repeat({ delay: 1000 }),\n  retry({ delay: 1000 }),\n);\n\nconst quoteOfSpotAndMarginFromRest$ = defer(() => getMarketTickers({ instType: 'SPOT' })).pipe(\n  mergeMap((x) => x.data || []),\n  mergeMap((x): Partial<IQuote>[] => [\n    {\n      datasource_id: 'OKX',\n      product_id: encodePath('SPOT', x.instId),\n      last_price: x.last,\n      ask_price: x.askPx,\n      bid_price: x.bidPx,\n      ask_volume: x.askSz,\n      bid_volume: x.bidSz,\n    },\n    {\n      datasource_id: 'OKX',\n      product_id: encodePath('MARGIN', x.instId),\n      last_price: x.last,\n      ask_price: x.askPx,\n      bid_price: x.bidPx,\n      ask_volume: x.askSz,\n      bid_volume: x.bidSz,\n    },\n  ]),\n  repeat({ delay: 1000 }),\n  retry({ delay: 1000 }),\n);\n\nconst quoteOfSwapFromWs$ = swapInstruments$.pipe(\n  listWatch(\n    (x) => x.instId,\n    (x) => useTicker(x.instId),\n    () => true,\n  ),\n  map(\n    (ticker): Partial<IQuote> => ({\n      datasource_id: 'OKX',\n      product_id: encodePath('SWAP', ticker[0].instId),\n      last_price: ticker[0].last,\n      ask_price: ticker[0].askPx,\n      bid_price: ticker[0].bidPx,\n      ask_volume: ticker[0].askSz,\n      bid_volume: ticker[0].bidSz,\n    }),\n  ),\n);\n\nconst quoteOfSpotAndMarginFromWs$ = spotTicker$.pipe(\n  mergeMap((ticker): Partial<IQuote>[] => [\n    {\n      datasource_id: 'OKX',\n      product_id: encodePath('SPOT', ticker[0].instId),\n      last_price: ticker[0].last,\n      ask_price: ticker[0].askPx,\n      bid_price: ticker[0].bidPx,\n      ask_volume: ticker[0].askSz,\n      bid_volume: ticker[0].bidSz,\n    },\n    {\n      datasource_id: 'OKX',\n      product_id: encodePath('MARGIN', ticker[0].instId),\n      last_price: ticker[0].last,\n      ask_price: ticker[0].askPx,\n      bid_price: ticker[0].bidPx,\n      ask_volume: ticker[0].askSz,\n      bid_volume: ticker[0].bidSz,\n    },\n  ]),\n);\n\nconst swapOpenInterests$ = defer(() => getOpenInterest({ instType: 'SWAP' })).pipe(\n  repeat({ delay: 10_000 }),\n  retry({ delay: 10_000 }),\n  shareReplay(1),\n);\n\nconst interestRateOfSwapFromWS$ = swapInstruments$.pipe(\n  listWatch(\n    (x) => x.instId,\n    (x) => useOpenInterest(x.instId),\n    () => true,\n  ),\n  map(\n    (x): Partial<IQuote> => ({\n      datasource_id: 'OKX',\n      product_id: encodePath('SWAP', x[0].instId),\n      open_interest: x[0].oi,\n    }),\n  ),\n  share(),\n);\n\ntype PositionTiersResponse = Awaited<ReturnType<typeof getPositionTiers>>;\ntype PositionTiersEntry = PositionTiersResponse['data'];\n\nconst marginPositionTiersMap$ = defer(() =>\n  spotInstIds$.pipe(\n    first(),\n    map((instIds) => instIds.filter((id) => id.endsWith('USDT') || id.endsWith('USDC'))),\n    switchMap((instIds) => {\n      const total = instIds.length;\n      let processed = 0;\n      return from(instIds).pipe(\n        concatMap((instId) =>\n          defer(async () => {\n            const tiers = await terminal.client.requestForResponseData<\n              { instType: string; tdMode: string; instId: string },\n              PositionTiersResponse\n            >('OKX/PositionTiers', {\n              instType: 'MARGIN',\n              tdMode: 'cross',\n              instId,\n            });\n            if (!tiers?.data) {\n              throw new Error(`Failed to load position tiers for ${instId}: ${tiers.msg}`);\n            }\n            return {\n              instId,\n              tiers,\n            };\n          }).pipe(retry({ delay: 2000 })),\n        ),\n        reduce((map, { instId, tiers }) => {\n          processed += 1;\n          console.info(\n            formatTime(Date.now()),\n            `Loaded margin position tiers ${processed}/${total} (${instId})`,\n          );\n          if (tiers?.data) {\n            map.set(instId, tiers.data);\n          }\n          return map;\n        }, new Map<string, PositionTiersEntry>()),\n      );\n    }),\n  ),\n).pipe(\n  //\n  retry({ delay: 60_000 }),\n  repeat({ delay: 86400_000 }),\n  shareReplay(1),\n);\n\n// Margin 的 open interest 只依赖 position-tier：\n// 1) 启动时先拉全量 MARGIN 仓位档位并缓存，下次直接命中；\n// 2) 档位内只保留同 tier 杠杆最高的记录；\n// 3) 当前策略只使用 tier=1 的 quoteMaxLoan 作为持仓上限，不再混合 /account/max-size；\n// 4) 每个 instId 60 秒刷新一次，并在接口报错时 10 秒重试。\nconst marginOpenInterest$ = spotInstIds$.pipe(\n  mergeMap((instIds) =>\n    from(instIds).pipe(\n      mergeMap((instId) =>\n        defer(async () => {\n          const tiersMap = await firstValueFrom(marginPositionTiersMap$);\n          const tiers = tiersMap.get(instId);\n          if (!tiers?.length) {\n            return null;\n          }\n\n          const tierByLevel = tiers\n            .filter((tier) => !tier.instId || tier.instId === instId)\n            .reduce((mapTierToTierInfo, tierInfo) => {\n              const existing = mapTierToTierInfo.get(tierInfo.tier);\n              if (!existing || +tierInfo.maxLever > +existing.maxLever) {\n                mapTierToTierInfo.set(tierInfo.tier, tierInfo);\n              }\n              return mapTierToTierInfo;\n            }, new Map<string, (typeof tiers)[number]>());\n          // 获取一级杠杆的最大可借贷额度作为持仓量\n          const openInterest = +(tierByLevel.get('1')?.quoteMaxLoan || 0);\n\n          return {\n            instId,\n            openInterest,\n          };\n        }).pipe(retry({ delay: 10_000 }), repeat({ delay: 60_000 })),\n      ),\n    ),\n  ),\n  filter((result): result is { instId: string; openInterest: number } => result !== null),\n  map(({ instId, openInterest }) => {\n    const partial: Partial<IQuote> = {\n      datasource_id: 'OKX',\n      product_id: encodePath('MARGIN', instId),\n    };\n    if (typeof openInterest === 'number' && Number.isFinite(openInterest)) {\n      partial.open_interest = `${openInterest}`;\n    }\n    return partial;\n  }),\n  share(),\n);\n\nmarginOpenInterest$.subscribe();\n\nconst quoteSources$ = [\n  quoteOfSwapFromWs$,\n  interestRateOfSwapFromWS$,\n  quoteOfSwapFromRest$,\n  quoteOfSpotAndMarginFromWs$,\n  quoteOfSpotAndMarginFromRest$,\n  marginOpenInterest$,\n];\n\nconst quote$ = defer(() =>\n  merge(\n    ...quoteSources$.map((x$) =>\n      defer(() => x$).pipe(\n        // 防止单个流关闭导致整体关闭\n        catchError(() => EMPTY),\n      ),\n    ),\n  ),\n).pipe(\n  groupBy((x) => encodePath(x.datasource_id, x.product_id)),\n  mergeMap((group$) => {\n    return group$.pipe(\n      //\n      scan((acc, cur) => Object.assign(acc, cur), {} as Partial<IQuote>),\n    );\n  }),\n  share(),\n);\n\n// 合并不同来源的数据并进行合并，避免死锁\nif (process.env.WRITE_QUOTE_TO_SQL === 'true') {\n  terminal.channel.publishChannel('quote', { pattern: `^OKX/` }, (channel_id) => {\n    const [datasource_id, product_id] = decodePath(channel_id);\n    if (!datasource_id) {\n      throw 'datasource_id is required';\n    }\n    if (!product_id) {\n      throw 'product_id is required';\n    }\n    return quote$.pipe(filter((x) => x.product_id === product_id));\n  });\n\n  quote$\n    .pipe(\n      writeToSQL({\n        terminal,\n        writeInterval: 1000,\n        tableName: 'quote',\n        conflictKeys: ['datasource_id', 'product_id'],\n      }),\n    )\n    .subscribe();\n}\n\nexport const swapOpenInterest$ = defer(() => swapOpenInterests$).pipe(\n  map((x) => new Map(x.data.map((x) => [x.instId, +x.oi] as const))),\n  shareReplay(1),\n);\n"]}
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{ IQuote } from '@yuants/data-quote';\nimport { Terminal } from '@yuants/protocol';\nimport { writeToSQL } from '@yuants/sql';\nimport { decodePath, encodePath, formatTime, listWatch } from '@yuants/utils';\nimport {\n  catchError,\n  concatMap,\n  defer,\n  distinctUntilChanged,\n  EMPTY,\n  filter,\n  first,\n  firstValueFrom,\n  from,\n  groupBy,\n  map,\n  merge,\n  mergeMap,\n  reduce,\n  repeat,\n  retry,\n  scan,\n  share,\n  shareReplay,\n  switchMap,\n  tap,\n  toArray,\n} from 'rxjs';\nimport { getInstruments, getMarketTickers, getOpenInterest, getPositionTiers } from '../api/public-api';\nimport { useFundingRate, useOpenInterest, useTicker } from '../ws';\n\nconst terminal = Terminal.fromNodeEnv();\n\nconst swapInstruments$ = 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(x.instType, x.instId),\n      last_price: x.last,\n      ask_price: x.askPx,\n      bid_price: x.bidPx,\n      ask_volume: x.askSz,\n      bid_volume: x.bidSz,\n    }),\n  ),\n  repeat({ delay: 1000 }),\n  retry({ delay: 1000 }),\n);\n\nconst quoteOfSpotAndMarginFromRest$ = defer(() => getMarketTickers({ instType: 'SPOT' })).pipe(\n  mergeMap((x) => x.data || []),\n  mergeMap((x): Partial<IQuote>[] => [\n    {\n      datasource_id: 'OKX',\n      product_id: encodePath('SPOT', x.instId),\n      last_price: x.last,\n      ask_price: x.askPx,\n      bid_price: x.bidPx,\n      ask_volume: x.askSz,\n      bid_volume: x.bidSz,\n    },\n    {\n      datasource_id: 'OKX',\n      product_id: encodePath('MARGIN', x.instId),\n      last_price: x.last,\n      ask_price: x.askPx,\n      bid_price: x.bidPx,\n      ask_volume: x.askSz,\n      bid_volume: x.bidSz,\n    },\n  ]),\n  repeat({ delay: 1000 }),\n  retry({ delay: 1000 }),\n);\n\nconst quoteOfSwapFromWs$ = swapInstruments$.pipe(\n  listWatch(\n    (x) => x.instId,\n    (x) => useTicker(x.instId),\n    () => true,\n  ),\n  map(\n    (ticker): Partial<IQuote> => ({\n      datasource_id: 'OKX',\n      product_id: encodePath('SWAP', ticker[0].instId),\n      last_price: ticker[0].last,\n      ask_price: ticker[0].askPx,\n      bid_price: ticker[0].bidPx,\n      ask_volume: ticker[0].askSz,\n      bid_volume: ticker[0].bidSz,\n    }),\n  ),\n);\n\nconst quoteOfSpotAndMarginFromWs$ = spotTicker$.pipe(\n  mergeMap((ticker): Partial<IQuote>[] => [\n    {\n      datasource_id: 'OKX',\n      product_id: encodePath('SPOT', ticker[0].instId),\n      last_price: ticker[0].last,\n      ask_price: ticker[0].askPx,\n      bid_price: ticker[0].bidPx,\n      ask_volume: ticker[0].askSz,\n      bid_volume: ticker[0].bidSz,\n    },\n    {\n      datasource_id: 'OKX',\n      product_id: encodePath('MARGIN', ticker[0].instId),\n      last_price: ticker[0].last,\n      ask_price: ticker[0].askPx,\n      bid_price: ticker[0].bidPx,\n      ask_volume: ticker[0].askSz,\n      bid_volume: ticker[0].bidSz,\n    },\n  ]),\n);\n\nconst swapOpenInterests$ = defer(() => getOpenInterest({ instType: 'SWAP' })).pipe(\n  repeat({ delay: 10_000 }),\n  retry({ delay: 10_000 }),\n  shareReplay(1),\n);\n\nconst openInterestOfSwapFromWS$ = swapInstruments$.pipe(\n  listWatch(\n    (x) => x.instId,\n    (x) => useOpenInterest(x.instId),\n    () => true,\n  ),\n  map(\n    (x): Partial<IQuote> => ({\n      datasource_id: 'OKX',\n      product_id: encodePath('SWAP', x[0].instId),\n      open_interest: x[0].oi,\n    }),\n  ),\n  share(),\n);\n\nconst interestRateOfSwapFromWS$ = swapInstruments$.pipe(\n  listWatch(\n    (x) => x.instId,\n    (x) => useFundingRate(x.instId),\n    () => true,\n  ),\n  map(\n    (x): Partial<IQuote> => ({\n      datasource_id: 'OKX',\n      product_id: encodePath('SWAP', x[0].instId),\n      interest_rate_long: `-${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('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"]}

package/dist/ws.js

@@ -242,4 +242,7 @@ filter((data) => data.length > 0));
 export const useMarketBooks = (channel, instId) => fromWsChannelAndInstId('ws/v5/public', channel, instId).pipe(
 //
 filter((data) => data.length > 0));
+export const useFundingRate = (instId) => fromWsChannelAndInstId('ws/v5/public', 'funding-rate', instId).pipe(
+//
+filter((data) => data.length > 0));
 //# sourceMappingURL=ws.js.map

package/dist/ws.js.map

@@ -1 +1 @@
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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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{ 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"]}

package/lib/index.d.ts

@@ -13,4 +13,5 @@ import './services';
 import './strategy-account';
 import './trade';
 import './transfer';
+import './public-data/new-quote';
 //# sourceMappingURL=index.d.ts.map

package/lib/index.d.ts.map

@@ -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"}
+{"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

@@ -15,4 +15,5 @@ require("./services");
 require("./strategy-account");
 require("./trade");
 require("./transfer");
+require("./public-data/new-quote");
 //# sourceMappingURL=index.js.map

package/lib/index.js.map

@@ -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"]}
+{"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"]}

package/lib/public-data/new-quote.d.ts

@@ -0,0 +1,22 @@
+export declare const spotMarketTickers$: import("rxjs").Observable<{
+    [k: string]: {
+        instType: string;
+        instId: string;
+        last: string;
+        lastSz: string;
+        askPx: string;
+        askSz: string;
+        bidPx: string;
+        bidSz: string;
+        open24h: string;
+        high24h: string;
+        low24h: string;
+        volCcy24h: string;
+        vol24h: string;
+        sodUtc0: string;
+        sodUtc8: string;
+        ts: string;
+    };
+}>;
+export declare const swapOpenInterest$: import("rxjs").Observable<Map<string, number>>;
+//# sourceMappingURL=new-quote.d.ts.map

package/lib/public-data/new-quote.d.ts.map

@@ -0,0 +1 @@
+{"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"}

package/lib/public-data/new-quote.js

@@ -0,0 +1,195 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.swapOpenInterest$ = exports.spotMarketTickers$ = void 0;
+const protocol_1 = require("@yuants/protocol");
+const sql_1 = require("@yuants/sql");
+const utils_1 = require("@yuants/utils");
+const rxjs_1 = require("rxjs");
+const public_api_1 = require("../api/public-api");
+const ws_1 = require("../ws");
+const terminal = protocol_1.Terminal.fromNodeEnv();
+const swapInstruments$ = (0, rxjs_1.defer)(() => (0, public_api_1.getInstruments)({ instType: 'SWAP' })).pipe((0, rxjs_1.repeat)({ delay: 3600000 }), (0, rxjs_1.retry)({ delay: 10000 }), (0, rxjs_1.map)((x) => x.data), (0, rxjs_1.shareReplay)(1));
+const spotInstruments$ = (0, rxjs_1.defer)(() => (0, public_api_1.getInstruments)({ instType: 'SPOT' })).pipe((0, rxjs_1.repeat)({ delay: 3600000 }), (0, rxjs_1.retry)({ delay: 10000 }), (0, rxjs_1.map)((x) => x.data), (0, rxjs_1.shareReplay)(1));
+const shallowEqual = (a, b) => a.length === b.length && a.every((v, i) => v === b[i]);
+const spotInstIds$ = spotInstruments$.pipe((0, rxjs_1.map)((items) => items.map((item) => item.instId)), (0, rxjs_1.distinctUntilChanged)(shallowEqual), (0, rxjs_1.shareReplay)(1));
+const spotTickers$ = (0, rxjs_1.defer)(() => (0, public_api_1.getMarketTickers)({ instType: 'SPOT' })).pipe((0, rxjs_1.repeat)({ delay: 5000 }), (0, rxjs_1.retry)({ delay: 5000 }), (0, rxjs_1.shareReplay)(1));
+// depend by SubmitOrders
+exports.spotMarketTickers$ = (0, rxjs_1.defer)(() => spotTickers$).pipe((0, rxjs_1.mergeMap)((x) => (0, rxjs_1.from)(x.data).pipe((0, rxjs_1.map)((x) => [x.instId, x]), (0, rxjs_1.toArray)(), (0, rxjs_1.map)((x) => Object.fromEntries(x)))), (0, rxjs_1.repeat)({ delay: 5000 }), (0, rxjs_1.retry)({ delay: 5000 }), (0, rxjs_1.shareReplay)(1));
+const spotTicker$ = spotInstruments$.pipe((0, rxjs_1.tap)((x) => {
+    console.info('SPOT INSTRUMENTS', x.length);
+}), (0, utils_1.listWatch)((x) => x.instId, (x) => (0, ws_1.useTicker)(x.instId), () => true), (0, rxjs_1.share)());
+const quoteOfSwapFromRest$ = (0, rxjs_1.defer)(() => (0, public_api_1.getMarketTickers)({ instType: 'SWAP' })).pipe((0, rxjs_1.mergeMap)((x) => x.data || []), (0, rxjs_1.map)((x) => ({
+    datasource_id: 'OKX',
+    product_id: (0, utils_1.encodePath)('OKX', x.instType, x.instId),
+    last_price: x.last,
+    ask_price: x.askPx,
+    bid_price: x.bidPx,
+    ask_volume: x.askSz,
+    bid_volume: x.bidSz,
+})), (0, rxjs_1.repeat)({ delay: 1000 }), (0, rxjs_1.retry)({ delay: 1000 }));
+const quoteOfSpotAndMarginFromRest$ = (0, rxjs_1.defer)(() => (0, public_api_1.getMarketTickers)({ instType: 'SPOT' })).pipe((0, rxjs_1.mergeMap)((x) => x.data || []), (0, rxjs_1.mergeMap)((x) => [
+    {
+        datasource_id: 'OKX',
+        product_id: (0, utils_1.encodePath)('OKX', 'SPOT', x.instId),
+        last_price: x.last,
+        ask_price: x.askPx,
+        bid_price: x.bidPx,
+        ask_volume: x.askSz,
+        bid_volume: x.bidSz,
+    },
+    {
+        datasource_id: 'OKX',
+        product_id: (0, utils_1.encodePath)('OKX', 'MARGIN', x.instId),
+        last_price: x.last,
+        ask_price: x.askPx,
+        bid_price: x.bidPx,
+        ask_volume: x.askSz,
+        bid_volume: x.bidSz,
+    },
+]), (0, rxjs_1.repeat)({ delay: 1000 }), (0, rxjs_1.retry)({ delay: 1000 }));
+const quoteOfSwapFromWs$ = swapInstruments$.pipe((0, utils_1.listWatch)((x) => x.instId, (x) => (0, ws_1.useTicker)(x.instId), () => true), (0, rxjs_1.map)((ticker) => ({
+    datasource_id: 'OKX',
+    product_id: (0, utils_1.encodePath)('OKX', 'SWAP', ticker[0].instId),
+    last_price: ticker[0].last,
+    ask_price: ticker[0].askPx,
+    bid_price: ticker[0].bidPx,
+    ask_volume: ticker[0].askSz,
+    bid_volume: ticker[0].bidSz,
+})));
+const quoteOfSpotAndMarginFromWs$ = spotTicker$.pipe((0, rxjs_1.mergeMap)((ticker) => [
+    {
+        datasource_id: 'OKX',
+        product_id: (0, utils_1.encodePath)('OKX', 'SPOT', ticker[0].instId),
+        last_price: ticker[0].last,
+        ask_price: ticker[0].askPx,
+        bid_price: ticker[0].bidPx,
+        ask_volume: ticker[0].askSz,
+        bid_volume: ticker[0].bidSz,
+    },
+    {
+        datasource_id: 'OKX',
+        product_id: (0, utils_1.encodePath)('OKX', 'MARGIN', ticker[0].instId),
+        last_price: ticker[0].last,
+        ask_price: ticker[0].askPx,
+        bid_price: ticker[0].bidPx,
+        ask_volume: ticker[0].askSz,
+        bid_volume: ticker[0].bidSz,
+    },
+]));
+const swapOpenInterests$ = (0, rxjs_1.defer)(() => (0, public_api_1.getOpenInterest)({ instType: 'SWAP' })).pipe((0, rxjs_1.repeat)({ delay: 10000 }), (0, rxjs_1.retry)({ delay: 10000 }), (0, rxjs_1.shareReplay)(1));
+const openInterestOfSwapFromWS$ = swapInstruments$.pipe((0, utils_1.listWatch)((x) => x.instId, (x) => (0, ws_1.useOpenInterest)(x.instId), () => true), (0, rxjs_1.map)((x) => ({
+    datasource_id: 'OKX',
+    product_id: (0, utils_1.encodePath)('OKX', 'SWAP', x[0].instId),
+    open_interest: x[0].oi,
+})), (0, rxjs_1.share)());
+const interestRateOfSwapFromWS$ = swapInstruments$.pipe((0, utils_1.listWatch)((x) => x.instId, (x) => (0, ws_1.useFundingRate)(x.instId), () => true), (0, rxjs_1.map)((x) => ({
+    datasource_id: 'OKX',
+    product_id: (0, utils_1.encodePath)('OKX', 'SWAP', x[0].instId),
+    interest_rate_long: `${-+x[0].fundingRate}`,
+    interest_rate_short: x[0].fundingRate,
+    interest_rate_next_settled_at: x[0].fundingTime,
+})), (0, rxjs_1.share)());
+const marginPositionTiersMap$ = (0, rxjs_1.defer)(() => spotInstIds$.pipe((0, rxjs_1.first)(), (0, rxjs_1.map)((instIds) => instIds.filter((id) => id.endsWith('USDT') || id.endsWith('USDC'))), (0, rxjs_1.switchMap)((instIds) => {
+    const total = instIds.length;
+    let processed = 0;
+    return (0, rxjs_1.from)(instIds).pipe((0, rxjs_1.concatMap)((instId) => (0, rxjs_1.defer)(async () => {
+        const tiers = await terminal.client.requestForResponseData('OKX/PositionTiers', {
+            instType: 'MARGIN',
+            tdMode: 'cross',
+            instId,
+        });
+        if (!(tiers === null || tiers === void 0 ? void 0 : tiers.data)) {
+            throw new Error(`Failed to load position tiers for ${instId}: ${tiers.msg}`);
+        }
+        return {
+            instId,
+            tiers,
+        };
+    }).pipe((0, rxjs_1.retry)({ delay: 2000 }))), (0, rxjs_1.reduce)((map, { instId, tiers }) => {
+        processed += 1;
+        console.info((0, utils_1.formatTime)(Date.now()), `Loaded margin position tiers ${processed}/${total} (${instId})`);
+        if (tiers === null || tiers === void 0 ? void 0 : tiers.data) {
+            map.set(instId, tiers.data);
+        }
+        return map;
+    }, new Map()));
+}))).pipe(
+//
+(0, rxjs_1.retry)({ delay: 60000 }), (0, rxjs_1.repeat)({ delay: 86400000 }), (0, rxjs_1.shareReplay)(1));
+// Margin 的 open interest 只依赖 position-tier：
+// 1) 启动时先拉全量 MARGIN 仓位档位并缓存，下次直接命中；
+// 2) 档位内只保留同 tier 杠杆最高的记录；
+// 3) 当前策略只使用 tier=1 的 quoteMaxLoan 作为持仓上限，不再混合 /account/max-size；
+// 4) 每个 instId 60 秒刷新一次，并在接口报错时 10 秒重试。
+const marginOpenInterest$ = spotInstIds$.pipe((0, rxjs_1.mergeMap)((instIds) => (0, rxjs_1.from)(instIds).pipe((0, rxjs_1.mergeMap)((instId) => (0, rxjs_1.defer)(async () => {
+    var _a;
+    const tiersMap = await (0, rxjs_1.firstValueFrom)(marginPositionTiersMap$);
+    const tiers = tiersMap.get(instId);
+    if (!(tiers === null || tiers === void 0 ? void 0 : tiers.length)) {
+        return null;
+    }
+    const tierByLevel = tiers
+        .filter((tier) => !tier.instId || tier.instId === instId)
+        .reduce((mapTierToTierInfo, tierInfo) => {
+        const existing = mapTierToTierInfo.get(tierInfo.tier);
+        if (!existing || +tierInfo.maxLever > +existing.maxLever) {
+            mapTierToTierInfo.set(tierInfo.tier, tierInfo);
+        }
+        return mapTierToTierInfo;
+    }, new Map());
+    // 获取一级杠杆的最大可借贷额度作为持仓量
+    const openInterest = +(((_a = tierByLevel.get('1')) === null || _a === void 0 ? void 0 : _a.quoteMaxLoan) || 0);
+    return {
+        instId,
+        openInterest,
+    };
+}).pipe((0, rxjs_1.retry)({ delay: 10000 }), (0, rxjs_1.repeat)({ delay: 60000 }))))), (0, rxjs_1.filter)((result) => result !== null), (0, rxjs_1.map)(({ instId, openInterest }) => {
+    const partial = {
+        datasource_id: 'OKX',
+        product_id: (0, utils_1.encodePath)('OKX', 'MARGIN', instId),
+    };
+    if (typeof openInterest === 'number' && Number.isFinite(openInterest)) {
+        partial.open_interest = `${openInterest}`;
+    }
+    return partial;
+}), (0, rxjs_1.share)());
+marginOpenInterest$.subscribe();
+const quoteSources$ = [
+    quoteOfSwapFromWs$,
+    openInterestOfSwapFromWS$,
+    quoteOfSwapFromRest$,
+    quoteOfSpotAndMarginFromWs$,
+    quoteOfSpotAndMarginFromRest$,
+    marginOpenInterest$,
+    interestRateOfSwapFromWS$,
+];
+const quote$ = (0, rxjs_1.defer)(() => (0, rxjs_1.merge)(...quoteSources$.map((x$) => (0, rxjs_1.defer)(() => x$).pipe(
+// 防止单个流关闭导致整体关闭
+(0, rxjs_1.catchError)(() => rxjs_1.EMPTY))))).pipe((0, rxjs_1.groupBy)((x) => (0, utils_1.encodePath)(x.datasource_id, x.product_id)), (0, rxjs_1.mergeMap)((group$) => {
+    return group$.pipe(
+    //
+    (0, rxjs_1.scan)((acc, cur) => Object.assign(acc, cur), {}));
+}), (0, rxjs_1.share)());
+// 合并不同来源的数据并进行合并，避免死锁
+if (process.env.WRITE_QUOTE_TO_SQL === 'true') {
+    terminal.channel.publishChannel('quote', { pattern: `^OKX/` }, (channel_id) => {
+        const [datasource_id, product_id] = (0, utils_1.decodePath)(channel_id);
+        if (!datasource_id) {
+            throw 'datasource_id is required';
+        }
+        if (!product_id) {
+            throw 'product_id is required';
+        }
+        return quote$.pipe((0, rxjs_1.filter)((x) => x.product_id === product_id));
+    });
+    quote$
+        .pipe((0, sql_1.writeToSQL)({
+        terminal,
+        writeInterval: 1000,
+        tableName: 'quote',
+        conflictKeys: ['datasource_id', 'product_id'],
+    }))
+        .subscribe();
+}
+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));
+//# sourceMappingURL=new-quote.js.map

package/lib/public-data/new-quote.js.map

@@ -0,0 +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"]}

package/lib/public-data/quote.d.ts.map

@@ -1 +1 @@
-{"version":3,"file":"quote.d.ts","sourceRoot":"","sources":["../../src/public-data/quote.ts"],"names":[],"mappings":"AA6DA,eAAO,MAAM,kBAAkB;;;;;;;;;;;;;;;;;;;EAW9B,CAAC;AAsRF,eAAO,MAAM,iBAAiB,gDAG7B,CAAC"}
+{"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"}

package/lib/public-data/quote.js

@@ -77,11 +77,18 @@ const quoteOfSpotAndMarginFromWs$ = spotTicker$.pipe((0, rxjs_1.mergeMap)((ticke
     },
 ]));
 const swapOpenInterests$ = (0, rxjs_1.defer)(() => (0, public_api_1.getOpenInterest)({ instType: 'SWAP' })).pipe((0, rxjs_1.repeat)({ delay: 10000 }), (0, rxjs_1.retry)({ delay: 10000 }), (0, rxjs_1.shareReplay)(1));
-const interestRateOfSwapFromWS$ = swapInstruments$.pipe((0, utils_1.listWatch)((x) => x.instId, (x) => (0, ws_1.useOpenInterest)(x.instId), () => true), (0, rxjs_1.map)((x) => ({
+const openInterestOfSwapFromWS$ = swapInstruments$.pipe((0, utils_1.listWatch)((x) => x.instId, (x) => (0, ws_1.useOpenInterest)(x.instId), () => true), (0, rxjs_1.map)((x) => ({
     datasource_id: 'OKX',
     product_id: (0, utils_1.encodePath)('SWAP', x[0].instId),
     open_interest: x[0].oi,
 })), (0, rxjs_1.share)());
+const interestRateOfSwapFromWS$ = swapInstruments$.pipe((0, utils_1.listWatch)((x) => x.instId, (x) => (0, ws_1.useFundingRate)(x.instId), () => true), (0, rxjs_1.map)((x) => ({
+    datasource_id: 'OKX',
+    product_id: (0, utils_1.encodePath)('SWAP', x[0].instId),
+    interest_rate_long: `-${x[0].fundingRate}`,
+    interest_rate_short: x[0].fundingRate,
+    interest_rate_next_settled_at: x[0].fundingTime,
+})), (0, rxjs_1.share)());
 const marginPositionTiersMap$ = (0, rxjs_1.defer)(() => spotInstIds$.pipe((0, rxjs_1.first)(), (0, rxjs_1.map)((instIds) => instIds.filter((id) => id.endsWith('USDT') || id.endsWith('USDC'))), (0, rxjs_1.switchMap)((instIds) => {
     const total = instIds.length;
     let processed = 0;
@@ -149,11 +156,12 @@ const marginOpenInterest$ = spotInstIds$.pipe((0, rxjs_1.mergeMap)((instIds) =>
 marginOpenInterest$.subscribe();
 const quoteSources$ = [
     quoteOfSwapFromWs$,
-    interestRateOfSwapFromWS$,
+    openInterestOfSwapFromWS$,
     quoteOfSwapFromRest$,
     quoteOfSpotAndMarginFromWs$,
     quoteOfSpotAndMarginFromRest$,
     marginOpenInterest$,
+    interestRateOfSwapFromWS$,
 ];
 const quote$ = (0, rxjs_1.defer)(() => (0, rxjs_1.merge)(...quoteSources$.map((x$) => (0, rxjs_1.defer)(() => x$).pipe(
 // 防止单个流关闭导致整体关闭

package/lib/public-data/quote.js.map

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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 { 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(x.instType, x.instId),\n      last_price: x.last,\n      ask_price: x.askPx,\n      bid_price: x.bidPx,\n      ask_volume: x.askSz,\n      bid_volume: x.bidSz,\n    }),\n  ),\n  repeat({ delay: 1000 }),\n  retry({ delay: 1000 }),\n);\n\nconst quoteOfSpotAndMarginFromRest$ = defer(() => getMarketTickers({ instType: 'SPOT' })).pipe(\n  mergeMap((x) => x.data || []),\n  mergeMap((x): Partial<IQuote>[] => [\n    {\n      datasource_id: 'OKX',\n      product_id: encodePath('SPOT', x.instId),\n      last_price: x.last,\n      ask_price: x.askPx,\n      bid_price: x.bidPx,\n      ask_volume: x.askSz,\n      bid_volume: x.bidSz,\n    },\n    {\n      datasource_id: 'OKX',\n      product_id: encodePath('MARGIN', x.instId),\n      last_price: x.last,\n      ask_price: x.askPx,\n      bid_price: x.bidPx,\n      ask_volume: x.askSz,\n      bid_volume: x.bidSz,\n    },\n  ]),\n  repeat({ delay: 1000 }),\n  retry({ delay: 1000 }),\n);\n\nconst quoteOfSwapFromWs$ = swapInstruments$.pipe(\n  listWatch(\n    (x) => x.instId,\n    (x) => useTicker(x.instId),\n    () => true,\n  ),\n  map(\n    (ticker): Partial<IQuote> => ({\n      datasource_id: 'OKX',\n      product_id: encodePath('SWAP', ticker[0].instId),\n      last_price: ticker[0].last,\n      ask_price: ticker[0].askPx,\n      bid_price: ticker[0].bidPx,\n      ask_volume: ticker[0].askSz,\n      bid_volume: ticker[0].bidSz,\n    }),\n  ),\n);\n\nconst quoteOfSpotAndMarginFromWs$ = spotTicker$.pipe(\n  mergeMap((ticker): Partial<IQuote>[] => [\n    {\n      datasource_id: 'OKX',\n      product_id: encodePath('SPOT', ticker[0].instId),\n      last_price: ticker[0].last,\n      ask_price: ticker[0].askPx,\n      bid_price: ticker[0].bidPx,\n      ask_volume: ticker[0].askSz,\n      bid_volume: ticker[0].bidSz,\n    },\n    {\n      datasource_id: 'OKX',\n      product_id: encodePath('MARGIN', ticker[0].instId),\n      last_price: ticker[0].last,\n      ask_price: ticker[0].askPx,\n      bid_price: ticker[0].bidPx,\n      ask_volume: ticker[0].askSz,\n      bid_volume: ticker[0].bidSz,\n    },\n  ]),\n);\n\nconst swapOpenInterests$ = defer(() => getOpenInterest({ instType: 'SWAP' })).pipe(\n  repeat({ delay: 10_000 }),\n  retry({ delay: 10_000 }),\n  shareReplay(1),\n);\n\nconst interestRateOfSwapFromWS$ = swapInstruments$.pipe(\n  listWatch(\n    (x) => x.instId,\n    (x) => useOpenInterest(x.instId),\n    () => true,\n  ),\n  map(\n    (x): Partial<IQuote> => ({\n      datasource_id: 'OKX',\n      product_id: encodePath('SWAP', x[0].instId),\n      open_interest: x[0].oi,\n    }),\n  ),\n  share(),\n);\n\ntype PositionTiersResponse = Awaited<ReturnType<typeof getPositionTiers>>;\ntype PositionTiersEntry = PositionTiersResponse['data'];\n\nconst marginPositionTiersMap$ = defer(() =>\n  spotInstIds$.pipe(\n    first(),\n    map((instIds) => instIds.filter((id) => id.endsWith('USDT') || id.endsWith('USDC'))),\n    switchMap((instIds) => {\n      const total = instIds.length;\n      let processed = 0;\n      return from(instIds).pipe(\n        concatMap((instId) =>\n          defer(async () => {\n            const tiers = await terminal.client.requestForResponseData<\n              { instType: string; tdMode: string; instId: string },\n              PositionTiersResponse\n            >('OKX/PositionTiers', {\n              instType: 'MARGIN',\n              tdMode: 'cross',\n              instId,\n            });\n            if (!tiers?.data) {\n              throw new Error(`Failed to load position tiers for ${instId}: ${tiers.msg}`);\n            }\n            return {\n              instId,\n              tiers,\n            };\n          }).pipe(retry({ delay: 2000 })),\n        ),\n        reduce((map, { instId, tiers }) => {\n          processed += 1;\n          console.info(\n            formatTime(Date.now()),\n            `Loaded margin position tiers ${processed}/${total} (${instId})`,\n          );\n          if (tiers?.data) {\n            map.set(instId, tiers.data);\n          }\n          return map;\n        }, new Map<string, PositionTiersEntry>()),\n      );\n    }),\n  ),\n).pipe(\n  //\n  retry({ delay: 60_000 }),\n  repeat({ delay: 86400_000 }),\n  shareReplay(1),\n);\n\n// Margin 的 open interest 只依赖 position-tier：\n// 1) 启动时先拉全量 MARGIN 仓位档位并缓存，下次直接命中；\n// 2) 档位内只保留同 tier 杠杆最高的记录；\n// 3) 当前策略只使用 tier=1 的 quoteMaxLoan 作为持仓上限，不再混合 /account/max-size；\n// 4) 每个 instId 60 秒刷新一次，并在接口报错时 10 秒重试。\nconst marginOpenInterest$ = spotInstIds$.pipe(\n  mergeMap((instIds) =>\n    from(instIds).pipe(\n      mergeMap((instId) =>\n        defer(async () => {\n          const tiersMap = await firstValueFrom(marginPositionTiersMap$);\n          const tiers = tiersMap.get(instId);\n          if (!tiers?.length) {\n            return null;\n          }\n\n          const tierByLevel = tiers\n            .filter((tier) => !tier.instId || tier.instId === instId)\n            .reduce((mapTierToTierInfo, tierInfo) => {\n              const existing = mapTierToTierInfo.get(tierInfo.tier);\n              if (!existing || +tierInfo.maxLever > +existing.maxLever) {\n                mapTierToTierInfo.set(tierInfo.tier, tierInfo);\n              }\n              return mapTierToTierInfo;\n            }, new Map<string, (typeof tiers)[number]>());\n          // 获取一级杠杆的最大可借贷额度作为持仓量\n          const openInterest = +(tierByLevel.get('1')?.quoteMaxLoan || 0);\n\n          return {\n            instId,\n            openInterest,\n          };\n        }).pipe(retry({ delay: 10_000 }), repeat({ delay: 60_000 })),\n      ),\n    ),\n  ),\n  filter((result): result is { instId: string; openInterest: number } => result !== null),\n  map(({ instId, openInterest }) => {\n    const partial: Partial<IQuote> = {\n      datasource_id: 'OKX',\n      product_id: encodePath('MARGIN', instId),\n    };\n    if (typeof openInterest === 'number' && Number.isFinite(openInterest)) {\n      partial.open_interest = `${openInterest}`;\n    }\n    return partial;\n  }),\n  share(),\n);\n\nmarginOpenInterest$.subscribe();\n\nconst quoteSources$ = [\n  quoteOfSwapFromWs$,\n  interestRateOfSwapFromWS$,\n  quoteOfSwapFromRest$,\n  quoteOfSpotAndMarginFromWs$,\n  quoteOfSpotAndMarginFromRest$,\n  marginOpenInterest$,\n];\n\nconst quote$ = defer(() =>\n  merge(\n    ...quoteSources$.map((x$) =>\n      defer(() => x$).pipe(\n        // 防止单个流关闭导致整体关闭\n        catchError(() => EMPTY),\n      ),\n    ),\n  ),\n).pipe(\n  groupBy((x) => encodePath(x.datasource_id, x.product_id)),\n  mergeMap((group$) => {\n    return group$.pipe(\n      //\n      scan((acc, cur) => Object.assign(acc, cur), {} as Partial<IQuote>),\n    );\n  }),\n  share(),\n);\n\n// 合并不同来源的数据并进行合并，避免死锁\nif (process.env.WRITE_QUOTE_TO_SQL === 'true') {\n  terminal.channel.publishChannel('quote', { pattern: `^OKX/` }, (channel_id) => {\n    const [datasource_id, product_id] = decodePath(channel_id);\n    if (!datasource_id) {\n      throw 'datasource_id is required';\n    }\n    if (!product_id) {\n      throw 'product_id is required';\n    }\n    return quote$.pipe(filter((x) => x.product_id === product_id));\n  });\n\n  quote$\n    .pipe(\n      writeToSQL({\n        terminal,\n        writeInterval: 1000,\n        tableName: 'quote',\n        conflictKeys: ['datasource_id', 'product_id'],\n      }),\n    )\n    .subscribe();\n}\n\nexport const swapOpenInterest$ = defer(() => swapOpenInterests$).pipe(\n  map((x) => new Map(x.data.map((x) => [x.instId, +x.oi] as const))),\n  shareReplay(1),\n);\n"]}
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{ IQuote } from '@yuants/data-quote';\nimport { Terminal } from '@yuants/protocol';\nimport { writeToSQL } from '@yuants/sql';\nimport { decodePath, encodePath, formatTime, listWatch } from '@yuants/utils';\nimport {\n  catchError,\n  concatMap,\n  defer,\n  distinctUntilChanged,\n  EMPTY,\n  filter,\n  first,\n  firstValueFrom,\n  from,\n  groupBy,\n  map,\n  merge,\n  mergeMap,\n  reduce,\n  repeat,\n  retry,\n  scan,\n  share,\n  shareReplay,\n  switchMap,\n  tap,\n  toArray,\n} from 'rxjs';\nimport { getInstruments, getMarketTickers, getOpenInterest, getPositionTiers } from '../api/public-api';\nimport { useFundingRate, useOpenInterest, useTicker } from '../ws';\n\nconst terminal = Terminal.fromNodeEnv();\n\nconst swapInstruments$ = 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(x.instType, x.instId),\n      last_price: x.last,\n      ask_price: x.askPx,\n      bid_price: x.bidPx,\n      ask_volume: x.askSz,\n      bid_volume: x.bidSz,\n    }),\n  ),\n  repeat({ delay: 1000 }),\n  retry({ delay: 1000 }),\n);\n\nconst quoteOfSpotAndMarginFromRest$ = defer(() => getMarketTickers({ instType: 'SPOT' })).pipe(\n  mergeMap((x) => x.data || []),\n  mergeMap((x): Partial<IQuote>[] => [\n    {\n      datasource_id: 'OKX',\n      product_id: encodePath('SPOT', x.instId),\n      last_price: x.last,\n      ask_price: x.askPx,\n      bid_price: x.bidPx,\n      ask_volume: x.askSz,\n      bid_volume: x.bidSz,\n    },\n    {\n      datasource_id: 'OKX',\n      product_id: encodePath('MARGIN', x.instId),\n      last_price: x.last,\n      ask_price: x.askPx,\n      bid_price: x.bidPx,\n      ask_volume: x.askSz,\n      bid_volume: x.bidSz,\n    },\n  ]),\n  repeat({ delay: 1000 }),\n  retry({ delay: 1000 }),\n);\n\nconst quoteOfSwapFromWs$ = swapInstruments$.pipe(\n  listWatch(\n    (x) => x.instId,\n    (x) => useTicker(x.instId),\n    () => true,\n  ),\n  map(\n    (ticker): Partial<IQuote> => ({\n      datasource_id: 'OKX',\n      product_id: encodePath('SWAP', ticker[0].instId),\n      last_price: ticker[0].last,\n      ask_price: ticker[0].askPx,\n      bid_price: ticker[0].bidPx,\n      ask_volume: ticker[0].askSz,\n      bid_volume: ticker[0].bidSz,\n    }),\n  ),\n);\n\nconst quoteOfSpotAndMarginFromWs$ = spotTicker$.pipe(\n  mergeMap((ticker): Partial<IQuote>[] => [\n    {\n      datasource_id: 'OKX',\n      product_id: encodePath('SPOT', ticker[0].instId),\n      last_price: ticker[0].last,\n      ask_price: ticker[0].askPx,\n      bid_price: ticker[0].bidPx,\n      ask_volume: ticker[0].askSz,\n      bid_volume: ticker[0].bidSz,\n    },\n    {\n      datasource_id: 'OKX',\n      product_id: encodePath('MARGIN', ticker[0].instId),\n      last_price: ticker[0].last,\n      ask_price: ticker[0].askPx,\n      bid_price: ticker[0].bidPx,\n      ask_volume: ticker[0].askSz,\n      bid_volume: ticker[0].bidSz,\n    },\n  ]),\n);\n\nconst swapOpenInterests$ = defer(() => getOpenInterest({ instType: 'SWAP' })).pipe(\n  repeat({ delay: 10_000 }),\n  retry({ delay: 10_000 }),\n  shareReplay(1),\n);\n\nconst openInterestOfSwapFromWS$ = swapInstruments$.pipe(\n  listWatch(\n    (x) => x.instId,\n    (x) => useOpenInterest(x.instId),\n    () => true,\n  ),\n  map(\n    (x): Partial<IQuote> => ({\n      datasource_id: 'OKX',\n      product_id: encodePath('SWAP', x[0].instId),\n      open_interest: x[0].oi,\n    }),\n  ),\n  share(),\n);\n\nconst interestRateOfSwapFromWS$ = swapInstruments$.pipe(\n  listWatch(\n    (x) => x.instId,\n    (x) => useFundingRate(x.instId),\n    () => true,\n  ),\n  map(\n    (x): Partial<IQuote> => ({\n      datasource_id: 'OKX',\n      product_id: encodePath('SWAP', x[0].instId),\n      interest_rate_long: `-${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('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"]}

package/lib/ws.d.ts

@@ -14,4 +14,19 @@ export declare const useOpenInterest: (instId: string) => Observable<{
 }[]>;
 export declare const useOHLC: (candleType: string, instId: string) => Observable<string[][]>;
 export declare const useMarketBooks: (channel: 'books' | 'books5' | 'bbo-tbt' | 'books-l2-tbt' | 'books50-l2-tbt', instId: string) => Observable<IWSOrderBook[]>;
+export declare const useFundingRate: (instId: string) => Observable<{
+    fundingRate: string;
+    fundingTime: string;
+    instId: string;
+    instType: string;
+    method: string;
+    maxFundingRate: string;
+    minFundingRate: string;
+    nextFundingRate: string;
+    nextFundingTime: string;
+    premium: string;
+    settFundingRate: string;
+    settState: string;
+    ts: string;
+}[]>;
 //# sourceMappingURL=ws.d.ts.map

package/lib/ws.d.ts.map

@@ -1 +1 @@
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+{"version":3,"file":"ws.d.ts","sourceRoot":"","sources":["../src/ws.ts"],"names":[],"mappings":"AAEA,OAAO,EAA8C,UAAU,EAA8B,MAAM,MAAM,CAAC;AAC1G,OAAO,EAAE,YAAY,EAAE,MAAM,4BAA4B,CAAC;AAgS1D,eAAO,MAAM,SAAS,WAAY,MAAM;YAG1B,MAAM;UACR,MAAM;WACL,MAAM;WACN,MAAM;WACN,MAAM;WACN,MAAM;IAKhB,CAAC;AAEJ,eAAO,MAAM,eAAe,WAAY,MAAM;YAGhC,MAAM;QACV,MAAM;IAKb,CAAC;AAEJ,eAAO,MAAM,OAAO,eAAgB,MAAM,UAAU,MAAM,2BAIvD,CAAC;AAEJ,eAAO,MAAM,cAAc,YAChB,OAAO,GAAG,QAAQ,GAAG,SAAS,GAAG,cAAc,GAAG,gBAAgB,UACnE,MAAM,+BAKb,CAAC;AAEJ,eAAO,MAAM,cAAc,WAAY,MAAM;iBAG1B,MAAM;iBACN,MAAM;YACX,MAAM;cACJ,MAAM;YACR,MAAM;oBACE,MAAM;oBACN,MAAM;qBACL,MAAM;qBACN,MAAM;aACd,MAAM;qBACE,MAAM;eACZ,MAAM;QACb,MAAM;IAKb,CAAC"}

package/lib/ws.js

@@ -1,6 +1,6 @@
 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
-exports.useMarketBooks = exports.useOHLC = exports.useOpenInterest = exports.useTicker = void 0;
+exports.useFundingRate = exports.useMarketBooks = exports.useOHLC = exports.useOpenInterest = exports.useTicker = void 0;
 const protocol_1 = require("@yuants/protocol");
 const utils_1 = require("@yuants/utils");
 const rxjs_1 = require("rxjs");
@@ -249,4 +249,8 @@ const useMarketBooks = (channel, instId) => fromWsChannelAndInstId('ws/v5/public
 //
 (0, rxjs_1.filter)((data) => data.length > 0));
 exports.useMarketBooks = useMarketBooks;
+const useFundingRate = (instId) => fromWsChannelAndInstId('ws/v5/public', 'funding-rate', instId).pipe(
+//
+(0, rxjs_1.filter)((data) => data.length > 0));
+exports.useFundingRate = useFundingRate;
 //# sourceMappingURL=ws.js.map

package/lib/ws.js.map

@@ -1 +1 @@
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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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{ 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"]}

package/package.json

@@ -1,6 +1,6 @@
 {
 	"name": "@yuants/vendor-okx",
-	"version": "0.29.1",
+	"version": "0.29.3",
 	"main": "lib/index.js",
 	"files": [
 		"dist",

package/temp/package-deps.json

@@ -1,13 +1,13 @@
 {
-    "apps/vendor-okx/CHANGELOG.json": "96e11227a2922723344689b2a35a032617e765d5",
-    "apps/vendor-okx/CHANGELOG.md": "2cdf45546d6c7943fe5b8fbf6ac5760f06db8ed2",
+    "apps/vendor-okx/CHANGELOG.json": "bdad91c7a85236b7c03f9d9b4abd20f259a863ad",
+    "apps/vendor-okx/CHANGELOG.md": "0a58ccbc18047e4e99bad810de5751de728c5c4f",
     "apps/vendor-okx/README.md": "68caeb8e383d77ece973cd70f4b167b86abb54c3",
     "apps/vendor-okx/api-extractor.json": "62f4fd324425b9a235f0c117975967aab09ced0c",
     "apps/vendor-okx/config/jest.config.json": "4bb17bde3ee911163a3edb36a6eb71491d80b1bd",
     "apps/vendor-okx/config/rig.json": "f6c7b5537dc77a3170ba9f008bae3b6c3ee11956",
     "apps/vendor-okx/config/typescript.json": "854907e8a821f2050f6533368db160c649c25348",
     "apps/vendor-okx/etc/vendor-okx.api.md": "92c54ccd547d2ad81ca6088158ca193e85c208df",
-    "apps/vendor-okx/package.json": "1d18b3e95dd1f4d1b539eaeab489dad7e04ddbd1",
+    "apps/vendor-okx/package.json": "b07c8112a8c5d938cd285e3ad6e79a165db4a417",
     "apps/vendor-okx/src/account-actions-with-credential.ts": "1a2de787b588e98ceef60b3ffb951f298504bf12",
     "apps/vendor-okx/src/account.ts": "672014c974457b438cf026f763d6eecfe585c82b",
     "apps/vendor-okx/src/accountInfos/earning.ts": "62aaeb3b62fa9197d07ee14155625530cdb9b1cd",
@@ -25,7 +25,7 @@
     "apps/vendor-okx/src/experimental/getOrders.ts": "f89b8334fa55163a78f91cf675cea8c7c869d4a7",
     "apps/vendor-okx/src/experimental/getPositions.ts": "1cbbe0873a4dc1358eb43e5a1f62cc132bcd58e2",
     "apps/vendor-okx/src/experimental/product.ts": "808bb037c1559ead2260a6b1eb2552f246da45c6",
-    "apps/vendor-okx/src/index.ts": "9432e574a30efe43cc1ddba8a2def12c992c4430",
+    "apps/vendor-okx/src/index.ts": "4bad32deb2845ce1314dd849bbd2780619b296f3",
     "apps/vendor-okx/src/order-actions-with-credential.ts": "f58b164c57a776db0fd0ad3a9f7197603ab2f66e",
     "apps/vendor-okx/src/order-actions.ts": "18907924c81ab679bf8a58142fcbc3addd160a94",
     "apps/vendor-okx/src/order.ts": "342f08dbc4a760e5f29bdaa1fe840872219f9ab5",
@@ -35,16 +35,17 @@
     "apps/vendor-okx/src/orders/submitOrder.ts": "564c8a659091dfb9676de753f0fceef1ec8ee168",
     "apps/vendor-okx/src/public-data/interest_rate.ts": "f3171f2753955d500ae00ce7e263ea26e05e5421",
     "apps/vendor-okx/src/public-data/market-order.ts": "c7269e9fe1f339b320e8b4cd98652854446a245c",
+    "apps/vendor-okx/src/public-data/new-quote.ts": "703eaa20f74b20365e598666a946a840e015fbe9",
     "apps/vendor-okx/src/public-data/ohlc.ts": "0b5a568e30b3070f74b0e64614e8c1cc9ba507fb",
     "apps/vendor-okx/src/public-data/product.ts": "9caa1b0d9fa621800870ef47086767f6f5810ad9",
-    "apps/vendor-okx/src/public-data/quote.ts": "4ab43a1d668393d90ae90ec1221de51a28101b32",
+    "apps/vendor-okx/src/public-data/quote.ts": "e6a73bb79acbdd57fc5bd0f422a335dc64bf5df3",
     "apps/vendor-okx/src/services.ts": "aeaf5f9d0a87347be6150b28961c5a7c0886b1d8",
     "apps/vendor-okx/src/strategy-account.ts": "2d8f913e19c4402eab249291aaab0b77bc4d9ff8",
     "apps/vendor-okx/src/trade.ts": "cbb88bc535b8377ecd54a18e39082923fd5a4fda",
     "apps/vendor-okx/src/transfer.ts": "381e4bf18846c8f79d3e970277d8800a2f94dacd",
     "apps/vendor-okx/src/utils/provideOHLCFromTimeBackwardService.ts": "3a44206410b5b73683f2395d6c551549b553d7bd",
     "apps/vendor-okx/src/utils/provideSeriesFromTimeBackwardService.ts": "daf3c793eb4fc20e59a740bb69e50fadab5f62f0",
-    "apps/vendor-okx/src/ws.ts": "67e46658d3424cc6bf98e534b86036f33607640d",
+    "apps/vendor-okx/src/ws.ts": "c3e29df777a8d900b0ee2e28ff77c32e0fc541ee",
     "apps/vendor-okx/tsconfig.json": "81da8f78196974b5d15da0edb6b2d9f48641063c",
     "apps/vendor-okx/.rush/temp/shrinkwrap-deps.json": "38417f6f35b760ade667d08782f1175046c7b64d",
     "libraries/protocol/temp/package-deps.json": "0bd43721e96039b52d7b59c834dc6df45cf75e3f",