@yuants/vendor-okx 0.29.18 → 0.30.1

package/dist/index.js

@@ -14,4 +14,5 @@ import './strategy-account';
 import './trade';
 import './transfer';
 import './public-data/new-quote';
+import './services/quotes';
 //# 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;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"]}
+{"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;AACjC,OAAO,mBAAmB,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';\nimport './services/quotes';\n"]}

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

@@ -1,3 +1,4 @@
+import { setMetricsQuoteState } from '@yuants/data-quote';
 import { Terminal } from '@yuants/protocol';
 import { writeToSQL } from '@yuants/sql';
 import { decodePath, encodePath, formatTime, listWatch } from '@yuants/utils';
@@ -181,7 +182,7 @@ if (process.env.WRITE_QUOTE_TO_SQL === 'true') {
         return quote$.pipe(filter((x) => x.product_id === product_id));
     });
     quote$
-        .pipe(writeToSQL({
+        .pipe(setMetricsQuoteState(terminal.terminal_id), writeToSQL({
         terminal,
         writeInterval: 1000,
         tableName: 'quote',

package/dist/public-data/new-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 {\n  getFundingRate,\n  getInstruments,\n  getMarketTickers,\n  getOpenInterest,\n  getPositionTiers,\n} 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('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$.pipe(\n  listWatch(\n    (x) => x.instId,\n    (x) => useOpenInterest(x.instId),\n    () => true,\n  ),\n  map(\n    (x): Partial<IQuote> => ({\n      datasource_id: 'OKX',\n      product_id: encodePath('OKX', 'SWAP', x[0].instId),\n      open_interest: x[0].oi,\n    }),\n  ),\n  share(),\n);\n\n// const interestRateOfSwapFromWS$ = 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 = `${openInterest}`;\n    }\n    return partial;\n  }),\n  share(),\n);\n\nconst fundingRate$ = defer(() => getFundingRate({ instId: 'ANY' })).pipe(\n  map((data) => data.data),\n  repeat({ delay: 50_000 }),\n  retry({ delay: 5000 }),\n  shareReplay({ bufferSize: 1, refCount: true }),\n);\n\n// Convert funding rate data to quote format\nconst interestRateOfSwap$ = fundingRate$.pipe(\n  mergeMap((premiumDataArray) => premiumDataArray),\n  map(\n    (premiumData): Partial<IQuote> => ({\n      datasource_id: 'OKX',\n      product_id: encodePath('OKX', 'SWAP', premiumData.instId),\n      interest_rate_long: premiumData.fundingRate ? `${-+premiumData.fundingRate}` : undefined,\n      interest_rate_short: premiumData.fundingRate,\n      interest_rate_next_settled_at: formatTime(+premiumData.fundingTime),\n    }),\n  ),\n);\n\nconst quoteSources$ = [\n  quoteOfSwapFromWs$,\n  openInterestOfSwapFromWS$,\n  quoteOfSwapFromRest$,\n  quoteOfSpotAndMarginFromWs$,\n  quoteOfSpotAndMarginFromRest$,\n  marginOpenInterest$,\n  interestRateOfSwap$,\n];\n\nconst quote$ = 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$).pipe(\n  map((x) => new Map(x.data.map((x) => [x.instId, +x.oi] as const))),\n  shareReplay(1),\n);\n"]}
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{ IQuote, setMetricsQuoteState } from '@yuants/data-quote';\nimport { Terminal } from '@yuants/protocol';\nimport { writeToSQL } from '@yuants/sql';\nimport { decodePath, encodePath, formatTime, listWatch } from '@yuants/utils';\nimport {\n  catchError,\n  concatMap,\n  defer,\n  distinctUntilChanged,\n  EMPTY,\n  filter,\n  first,\n  firstValueFrom,\n  from,\n  groupBy,\n  map,\n  merge,\n  mergeMap,\n  reduce,\n  repeat,\n  retry,\n  scan,\n  share,\n  shareReplay,\n  switchMap,\n  tap,\n  toArray,\n} from 'rxjs';\nimport {\n  getFundingRate,\n  getInstruments,\n  getMarketTickers,\n  getOpenInterest,\n  getPositionTiers,\n} from '../api/public-api';\nimport { useOpenInterest, useTicker } from '../ws';\n\nconst terminal = Terminal.fromNodeEnv();\n\nconst swapInstruments$ = 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('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$.pipe(\n  listWatch(\n    (x) => x.instId,\n    (x) => useOpenInterest(x.instId),\n    () => true,\n  ),\n  map(\n    (x): Partial<IQuote> => ({\n      datasource_id: 'OKX',\n      product_id: encodePath('OKX', 'SWAP', x[0].instId),\n      open_interest: x[0].oi,\n    }),\n  ),\n  share(),\n);\n\n// const interestRateOfSwapFromWS$ = 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 = `${openInterest}`;\n    }\n    return partial;\n  }),\n  share(),\n);\n\nconst fundingRate$ = defer(() => getFundingRate({ instId: 'ANY' })).pipe(\n  map((data) => data.data),\n  repeat({ delay: 50_000 }),\n  retry({ delay: 5000 }),\n  shareReplay({ bufferSize: 1, refCount: true }),\n);\n\n// Convert funding rate data to quote format\nconst interestRateOfSwap$ = fundingRate$.pipe(\n  mergeMap((premiumDataArray) => premiumDataArray),\n  map(\n    (premiumData): Partial<IQuote> => ({\n      datasource_id: 'OKX',\n      product_id: encodePath('OKX', 'SWAP', premiumData.instId),\n      interest_rate_long: premiumData.fundingRate ? `${-+premiumData.fundingRate}` : undefined,\n      interest_rate_short: premiumData.fundingRate,\n      interest_rate_next_settled_at: formatTime(+premiumData.fundingTime),\n    }),\n  ),\n);\n\nconst quoteSources$ = [\n  quoteOfSwapFromWs$,\n  openInterestOfSwapFromWS$,\n  quoteOfSwapFromRest$,\n  quoteOfSpotAndMarginFromWs$,\n  quoteOfSpotAndMarginFromRest$,\n  marginOpenInterest$,\n  interestRateOfSwap$,\n];\n\nconst quote$ = 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$\n    .pipe(\n      setMetricsQuoteState(terminal.terminal_id),\n      writeToSQL({\n        terminal,\n        writeInterval: 1000,\n        tableName: 'quote',\n        conflictKeys: ['datasource_id', 'product_id'],\n      }),\n    )\n    .subscribe();\n}\n\nexport const swapOpenInterest$ = 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/services/quotes.js

@@ -0,0 +1,70 @@
+import { provideQuoteService } from '@yuants/exchange';
+import { Terminal } from '@yuants/protocol';
+import { encodePath } from '@yuants/utils';
+import { getMarketTickers, getOpenInterest } from '../api/public-api';
+const terminal = Terminal.fromNodeEnv();
+const normalizeUpdatedAt = (ts) => (ts ? Number(ts) : Date.now());
+provideQuoteService(terminal, {
+    product_id_prefix: 'OKX/SWAP/',
+    fields: ['last_price', 'ask_price', 'ask_volume', 'bid_price', 'bid_volume'],
+}, async () => {
+    var _a;
+    const res = await getMarketTickers({ instType: 'SWAP' });
+    return ((_a = res.data) !== null && _a !== void 0 ? _a : []).map((ticker) => ({
+        product_id: encodePath('OKX', 'SWAP', ticker.instId),
+        updated_at: normalizeUpdatedAt(ticker.ts),
+        last_price: ticker.last,
+        ask_price: ticker.askPx,
+        ask_volume: ticker.askSz,
+        bid_price: ticker.bidPx,
+        bid_volume: ticker.bidSz,
+    }));
+});
+provideQuoteService(terminal, {
+    product_id_prefix: 'OKX/SPOT/',
+    fields: ['last_price', 'ask_price', 'ask_volume', 'bid_price', 'bid_volume'],
+}, async () => {
+    var _a;
+    const res = await getMarketTickers({ instType: 'SPOT' });
+    return ((_a = res.data) !== null && _a !== void 0 ? _a : []).map((ticker) => ({
+        product_id: encodePath('OKX', 'SPOT', ticker.instId),
+        updated_at: normalizeUpdatedAt(ticker.ts),
+        last_price: ticker.last,
+        ask_price: ticker.askPx,
+        ask_volume: ticker.askSz,
+        bid_price: ticker.bidPx,
+        bid_volume: ticker.bidSz,
+    }));
+});
+provideQuoteService(terminal, {
+    product_id_prefix: 'OKX/MARGIN/',
+    fields: ['last_price', 'ask_price', 'ask_volume', 'bid_price', 'bid_volume'],
+}, async () => {
+    var _a;
+    const res = await getMarketTickers({ instType: 'SPOT' });
+    return ((_a = res.data) !== null && _a !== void 0 ? _a : []).map((ticker) => ({
+        product_id: encodePath('OKX', 'MARGIN', ticker.instId),
+        updated_at: normalizeUpdatedAt(ticker.ts),
+        last_price: ticker.last,
+        ask_price: ticker.askPx,
+        ask_volume: ticker.askSz,
+        bid_price: ticker.bidPx,
+        bid_volume: ticker.bidSz,
+    }));
+});
+provideQuoteService(terminal, {
+    product_id_prefix: 'OKX/SWAP/',
+    fields: ['open_interest'],
+}, async () => {
+    var _a;
+    const res = await getOpenInterest({ instType: 'SWAP' });
+    return ((_a = res.data) !== null && _a !== void 0 ? _a : []).map((entry) => {
+        var _a;
+        return ({
+            product_id: encodePath('OKX', 'SWAP', entry.instId),
+            updated_at: normalizeUpdatedAt(entry.ts),
+            open_interest: (_a = entry.oi) !== null && _a !== void 0 ? _a : '0',
+        });
+    });
+});
+//# sourceMappingURL=quotes.js.map

package/dist/services/quotes.js.map

@@ -0,0 +1 @@
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Number(ts) : Date.now());\n\nprovideQuoteService(\n  terminal,\n  {\n    product_id_prefix: 'OKX/SWAP/',\n    fields: ['last_price', 'ask_price', 'ask_volume', 'bid_price', 'bid_volume'],\n  },\n  async () => {\n    const res = await getMarketTickers({ instType: 'SWAP' });\n    return (res.data ?? []).map((ticker) => ({\n      product_id: encodePath('OKX', 'SWAP', ticker.instId),\n      updated_at: normalizeUpdatedAt(ticker.ts),\n      last_price: ticker.last,\n      ask_price: ticker.askPx,\n      ask_volume: ticker.askSz,\n      bid_price: ticker.bidPx,\n      bid_volume: ticker.bidSz,\n    }));\n  },\n);\n\nprovideQuoteService(\n  terminal,\n  {\n    product_id_prefix: 'OKX/SPOT/',\n    fields: ['last_price', 'ask_price', 'ask_volume', 'bid_price', 'bid_volume'],\n  },\n  async () => {\n    const res = await getMarketTickers({ instType: 'SPOT' });\n    return (res.data ?? []).map((ticker) => ({\n      product_id: encodePath('OKX', 'SPOT', ticker.instId),\n      updated_at: normalizeUpdatedAt(ticker.ts),\n      last_price: ticker.last,\n      ask_price: ticker.askPx,\n      ask_volume: ticker.askSz,\n      bid_price: ticker.bidPx,\n      bid_volume: ticker.bidSz,\n    }));\n  },\n);\n\nprovideQuoteService(\n  terminal,\n  {\n    product_id_prefix: 'OKX/MARGIN/',\n    fields: ['last_price', 'ask_price', 'ask_volume', 'bid_price', 'bid_volume'],\n  },\n  async () => {\n    const res = await getMarketTickers({ instType: 'SPOT' });\n    return (res.data ?? []).map((ticker) => ({\n      product_id: encodePath('OKX', 'MARGIN', ticker.instId),\n      updated_at: normalizeUpdatedAt(ticker.ts),\n      last_price: ticker.last,\n      ask_price: ticker.askPx,\n      ask_volume: ticker.askSz,\n      bid_price: ticker.bidPx,\n      bid_volume: ticker.bidSz,\n    }));\n  },\n);\n\nprovideQuoteService(\n  terminal,\n  {\n    product_id_prefix: 'OKX/SWAP/',\n    fields: ['open_interest'],\n  },\n  async () => {\n    const res = await getOpenInterest({ instType: 'SWAP' });\n    return (res.data ?? []).map((entry) => ({\n      product_id: encodePath('OKX', 'SWAP', entry.instId),\n      updated_at: normalizeUpdatedAt(entry.ts),\n      open_interest: entry.oi ?? '0',\n    }));\n  },\n);\n"]}

package/lib/index.d.ts

@@ -14,4 +14,5 @@ import './strategy-account';
 import './trade';
 import './transfer';
 import './public-data/new-quote';
+import './services/quotes';
 //# 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;AACpB,OAAO,yBAAyB,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;AACjC,OAAO,mBAAmB,CAAC"}

package/lib/index.js

@@ -16,4 +16,5 @@ require("./strategy-account");
 require("./trade");
 require("./transfer");
 require("./public-data/new-quote");
+require("./services/quotes");
 //# 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;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"]}
+{"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;AACjC,6BAA2B","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';\nimport './services/quotes';\n"]}

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

@@ -1 +1 @@
-{"version":3,"file":"new-quote.d.ts","sourceRoot":"","sources":["../../src/public-data/new-quote.ts"],"names":[],"mappings":"AAmEA,eAAO,MAAM,kBAAkB;;;;;;;;;;;;;;;;;;;EAW9B,CAAC;AA4TF,eAAO,MAAM,iBAAiB,gDAG7B,CAAC"}
+{"version":3,"file":"new-quote.d.ts","sourceRoot":"","sources":["../../src/public-data/new-quote.ts"],"names":[],"mappings":"AAmEA,eAAO,MAAM,kBAAkB;;;;;;;;;;;;;;;;;;;EAW9B,CAAC;AA6TF,eAAO,MAAM,iBAAiB,gDAG7B,CAAC"}

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

@@ -1,6 +1,7 @@
 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
 exports.swapOpenInterest$ = exports.spotMarketTickers$ = void 0;
+const data_quote_1 = require("@yuants/data-quote");
 const protocol_1 = require("@yuants/protocol");
 const sql_1 = require("@yuants/sql");
 const utils_1 = require("@yuants/utils");
@@ -184,7 +185,7 @@ if (process.env.WRITE_QUOTE_TO_SQL === 'true') {
         return quote$.pipe((0, rxjs_1.filter)((x) => x.product_id === product_id));
     });
     quote$
-        .pipe((0, sql_1.writeToSQL)({
+        .pipe((0, data_quote_1.setMetricsQuoteState)(terminal.terminal_id), (0, sql_1.writeToSQL)({
         terminal,
         writeInterval: 1000,
         tableName: 'quote',

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

@@ -1 +1 @@
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{ IQuote } from '@yuants/data-quote';\nimport { Terminal } from '@yuants/protocol';\nimport { writeToSQL } from '@yuants/sql';\nimport { decodePath, encodePath, formatTime, listWatch } from '@yuants/utils';\nimport {\n  catchError,\n  concatMap,\n  defer,\n  distinctUntilChanged,\n  EMPTY,\n  filter,\n  first,\n  firstValueFrom,\n  from,\n  groupBy,\n  map,\n  merge,\n  mergeMap,\n  reduce,\n  repeat,\n  retry,\n  scan,\n  share,\n  shareReplay,\n  switchMap,\n  tap,\n  toArray,\n} from 'rxjs';\nimport {\n  getFundingRate,\n  getInstruments,\n  getMarketTickers,\n  getOpenInterest,\n  getPositionTiers,\n} 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('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$.pipe(\n  listWatch(\n    (x) => x.instId,\n    (x) => useOpenInterest(x.instId),\n    () => true,\n  ),\n  map(\n    (x): Partial<IQuote> => ({\n      datasource_id: 'OKX',\n      product_id: encodePath('OKX', 'SWAP', x[0].instId),\n      open_interest: x[0].oi,\n    }),\n  ),\n  share(),\n);\n\n// const interestRateOfSwapFromWS$ = 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 = `${openInterest}`;\n    }\n    return partial;\n  }),\n  share(),\n);\n\nconst fundingRate$ = defer(() => getFundingRate({ instId: 'ANY' })).pipe(\n  map((data) => data.data),\n  repeat({ delay: 50_000 }),\n  retry({ delay: 5000 }),\n  shareReplay({ bufferSize: 1, refCount: true }),\n);\n\n// Convert funding rate data to quote format\nconst interestRateOfSwap$ = fundingRate$.pipe(\n  mergeMap((premiumDataArray) => premiumDataArray),\n  map(\n    (premiumData): Partial<IQuote> => ({\n      datasource_id: 'OKX',\n      product_id: encodePath('OKX', 'SWAP', premiumData.instId),\n      interest_rate_long: premiumData.fundingRate ? `${-+premiumData.fundingRate}` : undefined,\n      interest_rate_short: premiumData.fundingRate,\n      interest_rate_next_settled_at: formatTime(+premiumData.fundingTime),\n    }),\n  ),\n);\n\nconst quoteSources$ = [\n  quoteOfSwapFromWs$,\n  openInterestOfSwapFromWS$,\n  quoteOfSwapFromRest$,\n  quoteOfSpotAndMarginFromWs$,\n  quoteOfSpotAndMarginFromRest$,\n  marginOpenInterest$,\n  interestRateOfSwap$,\n];\n\nconst quote$ = 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$).pipe(\n  map((x) => new Map(x.data.map((x) => [x.instId, +x.oi] as const))),\n  shareReplay(1),\n);\n"]}
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{ IQuote, setMetricsQuoteState } from '@yuants/data-quote';\nimport { Terminal } from '@yuants/protocol';\nimport { writeToSQL } from '@yuants/sql';\nimport { decodePath, encodePath, formatTime, listWatch } from '@yuants/utils';\nimport {\n  catchError,\n  concatMap,\n  defer,\n  distinctUntilChanged,\n  EMPTY,\n  filter,\n  first,\n  firstValueFrom,\n  from,\n  groupBy,\n  map,\n  merge,\n  mergeMap,\n  reduce,\n  repeat,\n  retry,\n  scan,\n  share,\n  shareReplay,\n  switchMap,\n  tap,\n  toArray,\n} from 'rxjs';\nimport {\n  getFundingRate,\n  getInstruments,\n  getMarketTickers,\n  getOpenInterest,\n  getPositionTiers,\n} from '../api/public-api';\nimport { useOpenInterest, useTicker } from '../ws';\n\nconst terminal = Terminal.fromNodeEnv();\n\nconst swapInstruments$ = 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('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$.pipe(\n  listWatch(\n    (x) => x.instId,\n    (x) => useOpenInterest(x.instId),\n    () => true,\n  ),\n  map(\n    (x): Partial<IQuote> => ({\n      datasource_id: 'OKX',\n      product_id: encodePath('OKX', 'SWAP', x[0].instId),\n      open_interest: x[0].oi,\n    }),\n  ),\n  share(),\n);\n\n// const interestRateOfSwapFromWS$ = 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 = `${openInterest}`;\n    }\n    return partial;\n  }),\n  share(),\n);\n\nconst fundingRate$ = defer(() => getFundingRate({ instId: 'ANY' })).pipe(\n  map((data) => data.data),\n  repeat({ delay: 50_000 }),\n  retry({ delay: 5000 }),\n  shareReplay({ bufferSize: 1, refCount: true }),\n);\n\n// Convert funding rate data to quote format\nconst interestRateOfSwap$ = fundingRate$.pipe(\n  mergeMap((premiumDataArray) => premiumDataArray),\n  map(\n    (premiumData): Partial<IQuote> => ({\n      datasource_id: 'OKX',\n      product_id: encodePath('OKX', 'SWAP', premiumData.instId),\n      interest_rate_long: premiumData.fundingRate ? `${-+premiumData.fundingRate}` : undefined,\n      interest_rate_short: premiumData.fundingRate,\n      interest_rate_next_settled_at: formatTime(+premiumData.fundingTime),\n    }),\n  ),\n);\n\nconst quoteSources$ = [\n  quoteOfSwapFromWs$,\n  openInterestOfSwapFromWS$,\n  quoteOfSwapFromRest$,\n  quoteOfSpotAndMarginFromWs$,\n  quoteOfSpotAndMarginFromRest$,\n  marginOpenInterest$,\n  interestRateOfSwap$,\n];\n\nconst quote$ = 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$\n    .pipe(\n      setMetricsQuoteState(terminal.terminal_id),\n      writeToSQL({\n        terminal,\n        writeInterval: 1000,\n        tableName: 'quote',\n        conflictKeys: ['datasource_id', 'product_id'],\n      }),\n    )\n    .subscribe();\n}\n\nexport const swapOpenInterest$ = 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/services/quotes.d.ts

@@ -0,0 +1,2 @@
+export {};
+//# sourceMappingURL=quotes.d.ts.map

package/lib/services/quotes.d.ts.map

@@ -0,0 +1 @@
+{"version":3,"file":"quotes.d.ts","sourceRoot":"","sources":["../../src/services/quotes.ts"],"names":[],"mappings":""}

package/lib/services/quotes.js

@@ -0,0 +1,72 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+const exchange_1 = require("@yuants/exchange");
+const protocol_1 = require("@yuants/protocol");
+const utils_1 = require("@yuants/utils");
+const public_api_1 = require("../api/public-api");
+const terminal = protocol_1.Terminal.fromNodeEnv();
+const normalizeUpdatedAt = (ts) => (ts ? Number(ts) : Date.now());
+(0, exchange_1.provideQuoteService)(terminal, {
+    product_id_prefix: 'OKX/SWAP/',
+    fields: ['last_price', 'ask_price', 'ask_volume', 'bid_price', 'bid_volume'],
+}, async () => {
+    var _a;
+    const res = await (0, public_api_1.getMarketTickers)({ instType: 'SWAP' });
+    return ((_a = res.data) !== null && _a !== void 0 ? _a : []).map((ticker) => ({
+        product_id: (0, utils_1.encodePath)('OKX', 'SWAP', ticker.instId),
+        updated_at: normalizeUpdatedAt(ticker.ts),
+        last_price: ticker.last,
+        ask_price: ticker.askPx,
+        ask_volume: ticker.askSz,
+        bid_price: ticker.bidPx,
+        bid_volume: ticker.bidSz,
+    }));
+});
+(0, exchange_1.provideQuoteService)(terminal, {
+    product_id_prefix: 'OKX/SPOT/',
+    fields: ['last_price', 'ask_price', 'ask_volume', 'bid_price', 'bid_volume'],
+}, async () => {
+    var _a;
+    const res = await (0, public_api_1.getMarketTickers)({ instType: 'SPOT' });
+    return ((_a = res.data) !== null && _a !== void 0 ? _a : []).map((ticker) => ({
+        product_id: (0, utils_1.encodePath)('OKX', 'SPOT', ticker.instId),
+        updated_at: normalizeUpdatedAt(ticker.ts),
+        last_price: ticker.last,
+        ask_price: ticker.askPx,
+        ask_volume: ticker.askSz,
+        bid_price: ticker.bidPx,
+        bid_volume: ticker.bidSz,
+    }));
+});
+(0, exchange_1.provideQuoteService)(terminal, {
+    product_id_prefix: 'OKX/MARGIN/',
+    fields: ['last_price', 'ask_price', 'ask_volume', 'bid_price', 'bid_volume'],
+}, async () => {
+    var _a;
+    const res = await (0, public_api_1.getMarketTickers)({ instType: 'SPOT' });
+    return ((_a = res.data) !== null && _a !== void 0 ? _a : []).map((ticker) => ({
+        product_id: (0, utils_1.encodePath)('OKX', 'MARGIN', ticker.instId),
+        updated_at: normalizeUpdatedAt(ticker.ts),
+        last_price: ticker.last,
+        ask_price: ticker.askPx,
+        ask_volume: ticker.askSz,
+        bid_price: ticker.bidPx,
+        bid_volume: ticker.bidSz,
+    }));
+});
+(0, exchange_1.provideQuoteService)(terminal, {
+    product_id_prefix: 'OKX/SWAP/',
+    fields: ['open_interest'],
+}, async () => {
+    var _a;
+    const res = await (0, public_api_1.getOpenInterest)({ instType: 'SWAP' });
+    return ((_a = res.data) !== null && _a !== void 0 ? _a : []).map((entry) => {
+        var _a;
+        return ({
+            product_id: (0, utils_1.encodePath)('OKX', 'SWAP', entry.instId),
+            updated_at: normalizeUpdatedAt(entry.ts),
+            open_interest: (_a = entry.oi) !== null && _a !== void 0 ? _a : '0',
+        });
+    });
+});
+//# sourceMappingURL=quotes.js.map

package/lib/services/quotes.js.map

@@ -0,0 +1 @@
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Number(ts) : Date.now());\n\nprovideQuoteService(\n  terminal,\n  {\n    product_id_prefix: 'OKX/SWAP/',\n    fields: ['last_price', 'ask_price', 'ask_volume', 'bid_price', 'bid_volume'],\n  },\n  async () => {\n    const res = await getMarketTickers({ instType: 'SWAP' });\n    return (res.data ?? []).map((ticker) => ({\n      product_id: encodePath('OKX', 'SWAP', ticker.instId),\n      updated_at: normalizeUpdatedAt(ticker.ts),\n      last_price: ticker.last,\n      ask_price: ticker.askPx,\n      ask_volume: ticker.askSz,\n      bid_price: ticker.bidPx,\n      bid_volume: ticker.bidSz,\n    }));\n  },\n);\n\nprovideQuoteService(\n  terminal,\n  {\n    product_id_prefix: 'OKX/SPOT/',\n    fields: ['last_price', 'ask_price', 'ask_volume', 'bid_price', 'bid_volume'],\n  },\n  async () => {\n    const res = await getMarketTickers({ instType: 'SPOT' });\n    return (res.data ?? []).map((ticker) => ({\n      product_id: encodePath('OKX', 'SPOT', ticker.instId),\n      updated_at: normalizeUpdatedAt(ticker.ts),\n      last_price: ticker.last,\n      ask_price: ticker.askPx,\n      ask_volume: ticker.askSz,\n      bid_price: ticker.bidPx,\n      bid_volume: ticker.bidSz,\n    }));\n  },\n);\n\nprovideQuoteService(\n  terminal,\n  {\n    product_id_prefix: 'OKX/MARGIN/',\n    fields: ['last_price', 'ask_price', 'ask_volume', 'bid_price', 'bid_volume'],\n  },\n  async () => {\n    const res = await getMarketTickers({ instType: 'SPOT' });\n    return (res.data ?? []).map((ticker) => ({\n      product_id: encodePath('OKX', 'MARGIN', ticker.instId),\n      updated_at: normalizeUpdatedAt(ticker.ts),\n      last_price: ticker.last,\n      ask_price: ticker.askPx,\n      ask_volume: ticker.askSz,\n      bid_price: ticker.bidPx,\n      bid_volume: ticker.bidSz,\n    }));\n  },\n);\n\nprovideQuoteService(\n  terminal,\n  {\n    product_id_prefix: 'OKX/SWAP/',\n    fields: ['open_interest'],\n  },\n  async () => {\n    const res = await getOpenInterest({ instType: 'SWAP' });\n    return (res.data ?? []).map((entry) => ({\n      product_id: encodePath('OKX', 'SWAP', entry.instId),\n      updated_at: normalizeUpdatedAt(entry.ts),\n      open_interest: entry.oi ?? '0',\n    }));\n  },\n);\n"]}

package/package.json

@@ -1,6 +1,6 @@
 {
 	"name": "@yuants/vendor-okx",
-	"version": "0.29.18",
+	"version": "0.30.1",
 	"main": "lib/index.js",
 	"files": [
 		"dist",

package/temp/package-deps.json

@@ -1,13 +1,13 @@
 {
-    "apps/vendor-okx/CHANGELOG.json": "66aee5b6551f664e22dfdcf4d46e72995fc37743",
-    "apps/vendor-okx/CHANGELOG.md": "c2a6a56c2b3a0141cbd8208d8b5caab4416db5ba",
+    "apps/vendor-okx/CHANGELOG.json": "b367aed69491f82e48093bde50429f25f60ec6a9",
+    "apps/vendor-okx/CHANGELOG.md": "59e235e6ee25227f9ae62b54b78f43b6ad7e7eac",
     "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": "b83434d6a0ba50306bdfc58231a9dc38016a9772",
+    "apps/vendor-okx/package.json": "9c14f351544cbabf5b007de697fa816a86421f90",
     "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": "5fe0bd5ebc3db151be7ae897aaad256dea878122",
     "apps/vendor-okx/src/experimental/product.ts": "808bb037c1559ead2260a6b1eb2552f246da45c6",
-    "apps/vendor-okx/src/index.ts": "4bad32deb2845ce1314dd849bbd2780619b296f3",
+    "apps/vendor-okx/src/index.ts": "f59f1ff5f6c97ae517621d46c0ef5a46bcef3070",
     "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",
@@ -35,11 +35,12 @@
     "apps/vendor-okx/src/orders/submitOrder.ts": "626ff6d2f14d22e0b3a3ffa447d33a78d9d0a38b",
     "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": "c184aae2008fcbceabc32fbc944b05d3dfb9b2a3",
+    "apps/vendor-okx/src/public-data/new-quote.ts": "1f49de0f24902b5ff921478b65126e4b2a9ec1c4",
     "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": "da471098f6c59376f7221bf6fc3d2625eeacecee",
     "apps/vendor-okx/src/services.ts": "aeaf5f9d0a87347be6150b28961c5a7c0886b1d8",
+    "apps/vendor-okx/src/services/quotes.ts": "2f2278acf1884c8c8b29f9bb79221955b2eb8016",
     "apps/vendor-okx/src/strategy-account.ts": "2d8f913e19c4402eab249291aaab0b77bc4d9ff8",
     "apps/vendor-okx/src/trade.ts": "17a2afcdbf2ec69944a73d3d097660675dbe09a4",
     "apps/vendor-okx/src/transfer.ts": "381e4bf18846c8f79d3e970277d8800a2f94dacd",