@yuants/vendor-okx 0.29.5 → 0.29.7

package/dist/accountInfos/uid.js

@@ -1,8 +1,8 @@
 import { createCache } from '@yuants/cache';
 import { getAccountConfig } from '../api/private-api';
-const accountConfigCache = createCache((key) => getAccountConfig(JSON.parse(key)), {
-    expire: 100000,
-    swrAfter: 10000,
+export const accountConfigCache = createCache((key) => getAccountConfig(JSON.parse(key)), {
+    expire: 1000000,
+    swrAfter: 100000, // 100 秒后后台刷新
 });
 const accountUidCache = createCache(async (key) => {
     const config = await accountConfigCache.query(key);

package/dist/accountInfos/uid.js.map

@@ -1 +1 @@
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+{"version":3,"file":"uid.js","sourceRoot":"","sources":["../../src/accountInfos/uid.ts"],"names":[],"mappings":"AAAA,OAAO,EAAE,WAAW,EAAE,MAAM,eAAe,CAAC;AAC5C,OAAO,EAAE,gBAAgB,EAAe,MAAM,oBAAoB,CAAC;AAEnE,MAAM,CAAC,MAAM,kBAAkB,GAAG,WAAW,CAAC,CAAC,GAAG,EAAE,EAAE,CAAC,gBAAgB,CAAC,IAAI,CAAC,KAAK,CAAC,GAAG,CAAC,CAAC,EAAE;IACxF,MAAM,EAAE,OAAQ;IAChB,QAAQ,EAAE,MAAO,EAAE,aAAa;CACjC,CAAC,CAAC;AAEH,MAAM,eAAe,GAAG,WAAW,CAAC,KAAK,EAAE,GAAG,EAAE,EAAE;IAChD,MAAM,MAAM,GAAG,MAAM,kBAAkB,CAAC,KAAK,CAAC,GAAG,CAAC,CAAC;IACnD,OAAO,MAAM,aAAN,MAAM,uBAAN,MAAM,CAAE,IAAI,CAAC,CAAC,EAAE,GAAG,CAAC;AAC7B,CAAC,CAAC,CAAC;AAEH,MAAM,cAAc,GAAG,WAAW,CAAC,KAAK,EAAE,GAAG,EAAE,EAAE;IAC/C,MAAM,GAAG,GAAG,MAAM,eAAe,CAAC,KAAK,CAAC,GAAG,CAAC,CAAC;IAC7C,IAAI,CAAC,GAAG;QAAE,MAAM,IAAI,KAAK,CAAC,mBAAmB,CAAC,CAAC;IAC/C,OAAO;QACL,OAAO,EAAE,OAAO,GAAG,UAAU;QAC7B,QAAQ,EAAE,OAAO,GAAG,WAAW;QAC/B,IAAI,EAAE,OAAO,GAAG,YAAY;QAC5B,OAAO,EAAE,OAAO,GAAG,eAAe;QAClC,OAAO,EAAE,OAAO,GAAG,eAAe;KACnC,CAAC;AACJ,CAAC,CAAC,CAAC;AAEH,MAAM,CAAC,MAAM,MAAM,GAAG,KAAK,EAAE,UAAuB,EAAE,EAAE;IACtD,OAAO,eAAe,CAAC,KAAK,CAAC,IAAI,CAAC,SAAS,CAAC,UAAU,CAAC,CAAC,CAAC;AAC3D,CAAC,CAAC;AAEF,MAAM,CAAC,MAAM,aAAa,GAAG,KAAK,EAAE,UAAuB,EAAE,EAAE;IAC7D,OAAO,cAAc,CAAC,KAAK,CAAC,IAAI,CAAC,SAAS,CAAC,UAAU,CAAC,CAAC,CAAC;AAC1D,CAAC,CAAC;AAEF,MAAM,CAAC,MAAM,mBAAmB,GAAG,KAAK,EAAE,UAAuB,EAAE,EAAE,CACnE,aAAa,CAAC,UAAU,CAAC,CAAC,IAAI,CAAC,CAAC,CAAC,EAAE,EAAE,CAAC,CAAE,CAAC,OAAO,CAAC,CAAC;AAEpD,MAAM,CAAC,MAAM,oBAAoB,GAAG,KAAK,EAAE,UAAuB,EAAE,EAAE,CACpE,aAAa,CAAC,UAAU,CAAC,CAAC,IAAI,CAAC,CAAC,CAAC,EAAE,EAAE,CAAC,CAAE,CAAC,QAAQ,CAAC,CAAC;AAErD,MAAM,CAAC,MAAM,gBAAgB,GAAG,KAAK,EAAE,UAAuB,EAAE,EAAE,CAChE,aAAa,CAAC,UAAU,CAAC,CAAC,IAAI,CAAC,CAAC,CAAC,EAAE,EAAE,CAAC,CAAE,CAAC,IAAI,CAAC,CAAC;AAEjD,MAAM,CAAC,MAAM,mBAAmB,GAAG,KAAK,EAAE,UAAuB,EAAE,EAAE,CACnE,aAAa,CAAC,UAAU,CAAC,CAAC,IAAI,CAAC,CAAC,CAAC,EAAE,EAAE,CAAC,CAAE,CAAC,OAAO,CAAC,CAAC;AAEpD,MAAM,CAAC,MAAM,mBAAmB,GAAG,KAAK,EAAE,UAAuB,EAAE,EAAE,CACnE,aAAa,CAAC,UAAU,CAAC,CAAC,IAAI,CAAC,CAAC,CAAC,EAAE,EAAE,CAAC,CAAE,CAAC,OAAO,CAAC,CAAC","sourcesContent":["import { createCache } from '@yuants/cache';\nimport { getAccountConfig, ICredential } from '../api/private-api';\n\nexport const accountConfigCache = createCache((key) => getAccountConfig(JSON.parse(key)), {\n  expire: 1000_000, // 缓存 1000 秒\n  swrAfter: 100_000, // 100 秒后后台刷新\n});\n\nconst accountUidCache = createCache(async (key) => {\n  const config = await accountConfigCache.query(key);\n  return config?.data[0].uid;\n});\n\nconst accountIdCache = createCache(async (key) => {\n  const uid = await accountUidCache.query(key);\n  if (!uid) throw new Error('Failed to get UID');\n  return {\n    trading: `okx/${uid}/trading`,\n    strategy: `okx/${uid}/strategy`,\n    loan: `okx/${uid}/loan/USDT`,\n    earning: `okx/${uid}/earning/USDT`,\n    funding: `okx/${uid}/funding/USDT`,\n  };\n});\n\nexport const getUid = async (credential: ICredential) => {\n  return accountUidCache.query(JSON.stringify(credential));\n};\n\nexport const getAccountIds = async (credential: ICredential) => {\n  return accountIdCache.query(JSON.stringify(credential));\n};\n\nexport const getTradingAccountId = async (credential: ICredential) =>\n  getAccountIds(credential).then((x) => x!.trading);\n\nexport const getStrategyAccountId = async (credential: ICredential) =>\n  getAccountIds(credential).then((x) => x!.strategy);\n\nexport const getLoanAccountId = async (credential: ICredential) =>\n  getAccountIds(credential).then((x) => x!.loan);\n\nexport const getEarningAccountId = async (credential: ICredential) =>\n  getAccountIds(credential).then((x) => x!.earning);\n\nexport const getFundingAccountId = async (credential: ICredential) =>\n  getAccountIds(credential).then((x) => x!.funding);\n"]}

package/dist/orders/submitOrder.js

@@ -1,5 +1,6 @@
-import { decodePath, formatTime, roundToStep } from '@yuants/utils';
+import { decodePath, formatTime, newError, roundToStep } from '@yuants/utils';
 import { firstValueFrom, map } from 'rxjs';
+import { accountConfigCache } from '../accountInfos/uid';
 import { postTradeOrder } from '../api/private-api';
 import { productService } from '../public-data/product';
 import { spotMarketTickers$ } from '../public-data/quote';
@@ -14,17 +15,6 @@ const mapOrderDirectionToSide = (direction) => {
     }
     throw new Error(`Unknown direction: ${direction}`);
 };
-const mapOrderDirectionToPosSide = (direction) => {
-    switch (direction) {
-        case 'OPEN_LONG':
-        case 'CLOSE_LONG':
-            return 'long';
-        case 'CLOSE_SHORT':
-        case 'OPEN_SHORT':
-            return 'short';
-    }
-    throw new Error(`Unknown direction: ${direction}`);
-};
 const mapOrderTypeToOrdType = (order_type) => {
     switch (order_type) {
         case 'LIMIT':
@@ -37,7 +27,16 @@ const mapOrderTypeToOrdType = (order_type) => {
     throw new Error(`Unknown order type: ${order_type}`);
 };
 export const submitOrder = async (credential, order) => {
-    var _a, _b, _c;
+    var _a, _b, _c, _d;
+    const accountConfigRes = await accountConfigCache.query(JSON.stringify(credential));
+    if (!accountConfigRes)
+        throw newError('ACCOUNT_CONFIG_FETCH_ERROR', { accountConfigRes });
+    if (!((_a = accountConfigRes.data) === null || _a === void 0 ? void 0 : _a[0]))
+        throw newError('ACCOUNT_CONFIG_FETCH_ERROR', { accountConfigRes });
+    /**
+     * 是否为组合保证金模式
+     */
+    const isPortfolioMarginMode = accountConfigRes.data[0].acctLv === '4';
     const [instType, instId] = decodePath(order.product_id).slice(-2);
     // 交易数量，表示要购买或者出售的数量。
     // 当币币/币币杠杆以限价买入和卖出时，指交易货币数量。
@@ -81,6 +80,19 @@ export const submitOrder = async (credential, order) => {
         }
         throw new Error(`Unknown instType: ${instType}`);
     };
+    const mapOrderDirectionToPosSide = (direction) => {
+        if (isPortfolioMarginMode)
+            return undefined;
+        switch (direction) {
+            case 'OPEN_LONG':
+            case 'CLOSE_LONG':
+                return 'long';
+            case 'CLOSE_SHORT':
+            case 'OPEN_SHORT':
+                return 'short';
+        }
+        throw new Error(`Unknown direction: ${direction}`);
+    };
     const params = {
         instId,
         tdMode: instType === 'SPOT' ? 'cash' : 'cross',
@@ -91,7 +103,7 @@ export const submitOrder = async (credential, order) => {
         ordType: mapOrderTypeToOrdType(order.order_type),
         sz: (await mapOrderVolumeToSz(order)).toString(),
         tgtCcy: instType === 'SPOT' && order.order_type === 'MARKET' ? 'base_ccy' : undefined,
-        reduceOnly: instType === 'MARGIN' && ['CLOSE_LONG', 'CLOSE_SHORT'].includes((_a = order.order_direction) !== null && _a !== void 0 ? _a : '')
+        reduceOnly: instType === 'MARGIN' && ['CLOSE_LONG', 'CLOSE_SHORT'].includes((_b = order.order_direction) !== null && _b !== void 0 ? _b : '')
             ? 'true'
             : undefined,
         px: order.order_type === 'LIMIT' || order.order_type === 'MAKER' ? order.price.toString() : undefined,
@@ -100,7 +112,7 @@ export const submitOrder = async (credential, order) => {
     };
     console.info(formatTime(Date.now()), 'SubmitOrder', 'params', JSON.stringify(params));
     const res = await postTradeOrder(credential, params);
-    if (res.code === '0' && ((_c = (_b = res.data) === null || _b === void 0 ? void 0 : _b[0]) === null || _c === void 0 ? void 0 : _c.ordId)) {
+    if (res.code === '0' && ((_d = (_c = res.data) === null || _c === void 0 ? void 0 : _c[0]) === null || _d === void 0 ? void 0 : _d.ordId)) {
         return { order_id: res.data[0].ordId };
     }
     throw `Failed to submit order: ${res.code} ${res.msg}: ${res.data

package/dist/orders/submitOrder.js.map

@@ -1 +1 @@
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{ IOrder } from '@yuants/data-order';\nimport { decodePath, formatTime, roundToStep } from '@yuants/utils';\nimport { firstValueFrom, map } from 'rxjs';\nimport { ICredential, postTradeOrder } from '../api/private-api';\nimport { productService } from '../public-data/product';\nimport { spotMarketTickers$ } from '../public-data/quote';\n\nconst mapOrderDirectionToSide = (direction?: string) => {\n  switch (direction) {\n    case 'OPEN_LONG':\n    case 'CLOSE_SHORT':\n      return 'buy';\n    case 'OPEN_SHORT':\n    case 'CLOSE_LONG':\n      return 'sell';\n  }\n  throw new Error(`Unknown direction: ${direction}`);\n};\n\nconst mapOrderDirectionToPosSide = (direction?: string) => {\n  switch (direction) {\n    case 'OPEN_LONG':\n    case 'CLOSE_LONG':\n      return 'long';\n    case 'CLOSE_SHORT':\n    case 'OPEN_SHORT':\n      return 'short';\n  }\n  throw new Error(`Unknown direction: ${direction}`);\n};\n\nconst mapOrderTypeToOrdType = (order_type?: string) => {\n  switch (order_type) {\n    case 'LIMIT':\n      return 'limit';\n    case 'MARKET':\n      return 'market';\n    case 'MAKER':\n      return 'post_only';\n  }\n  throw new Error(`Unknown order type: ${order_type}`);\n};\n\nexport const submitOrder = async (credential: ICredential, order: IOrder): Promise<{ order_id: string }> => {\n  const [instType, instId] = decodePath(order.product_id).slice(-2);\n\n  // 交易数量，表示要购买或者出售的数量。\n  // 当币币/币币杠杆以限价买入和卖出时，指交易货币数量。\n  // 当币币杠杆以市价买入时，指计价货币的数量。\n  // 当币币杠杆以市价卖出时，指交易货币的数量。\n  // 对于币币市价单，单位由 tgtCcy 决定\n  // 当交割、永续、期权买入和卖出时，指合约张数。\n  const mapOrderVolumeToSz = async (order: IOrder) => {\n    if (instType === 'SWAP') {\n      return order.volume;\n    }\n    if (instType === 'MARGIN') {\n      if (order.order_type === 'LIMIT') {\n        return order.volume;\n      }\n      if (order.order_type === 'MAKER') {\n        return order.volume;\n      }\n      if (order.order_type === 'MARKET') {\n        if (order.order_direction === 'OPEN_SHORT' || order.order_direction === 'CLOSE_LONG') {\n          return order.volume;\n        }\n        //\n        const price = await firstValueFrom(\n          spotMarketTickers$.pipe(\n            map((x) =>\n              mapOrderDirectionToPosSide(order.order_direction) === 'long'\n                ? +x[instId].askPx\n                : +x[instId].bidPx,\n            ),\n          ),\n        );\n        if (!price) {\n          throw new Error(`invalid tick: ${price}`);\n        }\n        console.info(formatTime(Date.now()), 'SubmitOrder', 'price', price);\n        const theProduct = await firstValueFrom(\n          productService.mapProductIdToProduct$.pipe(map((x) => x.get(order.product_id))),\n        );\n        if (!theProduct) {\n          throw new Error(`Unknown product: ${order.position_id}`);\n        }\n        return roundToStep(order.volume * price, theProduct.volume_step!);\n      }\n\n      return 0;\n    }\n\n    if (instType === 'SPOT') {\n      return order.volume;\n    }\n\n    throw new Error(`Unknown instType: ${instType}`);\n  };\n\n  const params = {\n    instId,\n    tdMode: instType === 'SPOT' ? 'cash' : 'cross',\n    side: mapOrderDirectionToSide(order.order_direction),\n    posSide:\n      instType === 'MARGIN' || instType === 'SPOT'\n        ? 'net'\n        : mapOrderDirectionToPosSide(order.order_direction),\n    ordType: mapOrderTypeToOrdType(order.order_type),\n    sz: (await mapOrderVolumeToSz(order)).toString(),\n    tgtCcy: instType === 'SPOT' && order.order_type === 'MARKET' ? 'base_ccy' : undefined,\n    reduceOnly:\n      instType === 'MARGIN' && ['CLOSE_LONG', 'CLOSE_SHORT'].includes(order.order_direction ?? '')\n        ? 'true'\n        : undefined,\n    px: order.order_type === 'LIMIT' || order.order_type === 'MAKER' ? order.price!.toString() : undefined,\n    ccy: instType === 'MARGIN' ? 'USDT' : undefined,\n    tag: process.env.BROKER_CODE,\n  };\n  console.info(formatTime(Date.now()), 'SubmitOrder', 'params', JSON.stringify(params));\n  const res = await postTradeOrder(credential, params);\n  if (res.code === '0' && res.data?.[0]?.ordId) {\n    return { order_id: res.data[0].ordId };\n  }\n  throw `Failed to submit order: ${res.code} ${res.msg}: ${res.data\n    .map((x) => `${x.sCode} ${x.sMsg}`)\n    .join('; ')}`;\n};\n"]}
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{ IOrder } from '@yuants/data-order';\nimport { decodePath, formatTime, newError, roundToStep } from '@yuants/utils';\nimport { firstValueFrom, map } from 'rxjs';\nimport { accountConfigCache } from '../accountInfos/uid';\nimport { ICredential, postTradeOrder } from '../api/private-api';\nimport { productService } from '../public-data/product';\nimport { spotMarketTickers$ } from '../public-data/quote';\n\nconst mapOrderDirectionToSide = (direction?: string) => {\n  switch (direction) {\n    case 'OPEN_LONG':\n    case 'CLOSE_SHORT':\n      return 'buy';\n    case 'OPEN_SHORT':\n    case 'CLOSE_LONG':\n      return 'sell';\n  }\n  throw new Error(`Unknown direction: ${direction}`);\n};\n\nconst mapOrderTypeToOrdType = (order_type?: string) => {\n  switch (order_type) {\n    case 'LIMIT':\n      return 'limit';\n    case 'MARKET':\n      return 'market';\n    case 'MAKER':\n      return 'post_only';\n  }\n  throw new Error(`Unknown order type: ${order_type}`);\n};\n\nexport const submitOrder = async (credential: ICredential, order: IOrder): Promise<{ order_id: string }> => {\n  const accountConfigRes = await accountConfigCache.query(JSON.stringify(credential));\n  if (!accountConfigRes) throw newError('ACCOUNT_CONFIG_FETCH_ERROR', { accountConfigRes });\n  if (!accountConfigRes.data?.[0]) throw newError('ACCOUNT_CONFIG_FETCH_ERROR', { accountConfigRes });\n\n  /**\n   * 是否为组合保证金模式\n   */\n  const isPortfolioMarginMode = accountConfigRes.data[0].acctLv === '4';\n\n  const [instType, instId] = decodePath(order.product_id).slice(-2);\n\n  // 交易数量，表示要购买或者出售的数量。\n  // 当币币/币币杠杆以限价买入和卖出时，指交易货币数量。\n  // 当币币杠杆以市价买入时，指计价货币的数量。\n  // 当币币杠杆以市价卖出时，指交易货币的数量。\n  // 对于币币市价单，单位由 tgtCcy 决定\n  // 当交割、永续、期权买入和卖出时，指合约张数。\n  const mapOrderVolumeToSz = async (order: IOrder) => {\n    if (instType === 'SWAP') {\n      return order.volume;\n    }\n    if (instType === 'MARGIN') {\n      if (order.order_type === 'LIMIT') {\n        return order.volume;\n      }\n      if (order.order_type === 'MAKER') {\n        return order.volume;\n      }\n      if (order.order_type === 'MARKET') {\n        if (order.order_direction === 'OPEN_SHORT' || order.order_direction === 'CLOSE_LONG') {\n          return order.volume;\n        }\n        //\n        const price = await firstValueFrom(\n          spotMarketTickers$.pipe(\n            map((x) =>\n              mapOrderDirectionToPosSide(order.order_direction) === 'long'\n                ? +x[instId].askPx\n                : +x[instId].bidPx,\n            ),\n          ),\n        );\n        if (!price) {\n          throw new Error(`invalid tick: ${price}`);\n        }\n        console.info(formatTime(Date.now()), 'SubmitOrder', 'price', price);\n        const theProduct = await firstValueFrom(\n          productService.mapProductIdToProduct$.pipe(map((x) => x.get(order.product_id))),\n        );\n        if (!theProduct) {\n          throw new Error(`Unknown product: ${order.position_id}`);\n        }\n        return roundToStep(order.volume * price, theProduct.volume_step!);\n      }\n\n      return 0;\n    }\n\n    if (instType === 'SPOT') {\n      return order.volume;\n    }\n\n    throw new Error(`Unknown instType: ${instType}`);\n  };\n\n  const mapOrderDirectionToPosSide = (direction?: string) => {\n    if (isPortfolioMarginMode) return undefined;\n    switch (direction) {\n      case 'OPEN_LONG':\n      case 'CLOSE_LONG':\n        return 'long';\n      case 'CLOSE_SHORT':\n      case 'OPEN_SHORT':\n        return 'short';\n    }\n    throw new Error(`Unknown direction: ${direction}`);\n  };\n\n  const params = {\n    instId,\n    tdMode: instType === 'SPOT' ? 'cash' : 'cross',\n    side: mapOrderDirectionToSide(order.order_direction),\n    posSide:\n      instType === 'MARGIN' || instType === 'SPOT'\n        ? 'net'\n        : mapOrderDirectionToPosSide(order.order_direction),\n    ordType: mapOrderTypeToOrdType(order.order_type),\n    sz: (await mapOrderVolumeToSz(order)).toString(),\n    tgtCcy: instType === 'SPOT' && order.order_type === 'MARKET' ? 'base_ccy' : undefined,\n    reduceOnly:\n      instType === 'MARGIN' && ['CLOSE_LONG', 'CLOSE_SHORT'].includes(order.order_direction ?? '')\n        ? 'true'\n        : undefined,\n    px: order.order_type === 'LIMIT' || order.order_type === 'MAKER' ? order.price!.toString() : undefined,\n    ccy: instType === 'MARGIN' ? 'USDT' : undefined,\n    tag: process.env.BROKER_CODE,\n  };\n  console.info(formatTime(Date.now()), 'SubmitOrder', 'params', JSON.stringify(params));\n  const res = await postTradeOrder(credential, params);\n  if (res.code === '0' && res.data?.[0]?.ordId) {\n    return { order_id: res.data[0].ordId };\n  }\n  throw `Failed to submit order: ${res.code} ${res.msg}: ${res.data\n    .map((x) => `${x.sCode} ${x.sMsg}`)\n    .join('; ')}`;\n};\n"]}

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

@@ -190,9 +190,4 @@ if (process.env.WRITE_QUOTE_TO_SQL === 'true') {
         .subscribe();
 }
 export const swapOpenInterest$ = defer(() => swapOpenInterests$).pipe(map((x) => new Map(x.data.map((x) => [x.instId, +x.oi]))), shareReplay(1));
-quote$
-    .pipe(tap((quote) => {
-    console.log(quote);
-}))
-    .subscribe();
 //# sourceMappingURL=new-quote.js.map

package/dist/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$).pipe(\n  map((x) => new Map(x.data.map((x) => [x.instId, +x.oi] as const))),\n  shareReplay(1),\n);\n\nquote$\n  .pipe(\n    tap((quote) => {\n      console.log(quote);\n    }),\n  )\n  .subscribe();\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 {\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"]}

package/lib/accountInfos/uid.d.ts

@@ -1,4 +1,30 @@
 import { ICredential } from '../api/private-api';
+export declare const accountConfigCache: import("@yuants/cache").ICache<{
+    code: string;
+    data: {
+        acctLv: string;
+        autoLoan: boolean;
+        ctIsoMode: string;
+        greeksType: string;
+        level: string;
+        levelTmp: string;
+        mgnIsoMode: string;
+        posMode: string;
+        spotOffsetType: string;
+        uid: string;
+        label: string;
+        roleType: string;
+        traderInsts: unknown[];
+        spotRoleType: string;
+        spotTraderInsts: unknown[];
+        opAuth: string;
+        kycLv: string;
+        ip: string;
+        perm: string;
+        mainUid: string;
+    }[];
+    msg: string;
+}>;
 export declare const getUid: (credential: ICredential) => Promise<string | undefined>;
 export declare const getAccountIds: (credential: ICredential) => Promise<{
     trading: string;

package/lib/accountInfos/uid.d.ts.map

@@ -1 +1 @@
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+{"version":3,"file":"uid.d.ts","sourceRoot":"","sources":["../../src/accountInfos/uid.ts"],"names":[],"mappings":"AACA,OAAO,EAAoB,WAAW,EAAE,MAAM,oBAAoB,CAAC;AAEnE,eAAO,MAAM,kBAAkB;;;;;;;;;;;;;;;;;;;;;;;;;EAG7B,CAAC;AAmBH,eAAO,MAAM,MAAM,eAAsB,WAAW,gCAEnD,CAAC;AAEF,eAAO,MAAM,aAAa,eAAsB,WAAW;;;;;;cAE1D,CAAC;AAEF,eAAO,MAAM,mBAAmB,eAAsB,WAAW,oBACd,CAAC;AAEpD,eAAO,MAAM,oBAAoB,eAAsB,WAAW,oBACd,CAAC;AAErD,eAAO,MAAM,gBAAgB,eAAsB,WAAW,oBACd,CAAC;AAEjD,eAAO,MAAM,mBAAmB,eAAsB,WAAW,oBACd,CAAC;AAEpD,eAAO,MAAM,mBAAmB,eAAsB,WAAW,oBACd,CAAC"}

package/lib/accountInfos/uid.js

@@ -1,14 +1,14 @@
 "use strict";
 Object.defineProperty(exports, "__esModule", { value: true });
-exports.getFundingAccountId = exports.getEarningAccountId = exports.getLoanAccountId = exports.getStrategyAccountId = exports.getTradingAccountId = exports.getAccountIds = exports.getUid = void 0;
+exports.getFundingAccountId = exports.getEarningAccountId = exports.getLoanAccountId = exports.getStrategyAccountId = exports.getTradingAccountId = exports.getAccountIds = exports.getUid = exports.accountConfigCache = void 0;
 const cache_1 = require("@yuants/cache");
 const private_api_1 = require("../api/private-api");
-const accountConfigCache = (0, cache_1.createCache)((key) => (0, private_api_1.getAccountConfig)(JSON.parse(key)), {
-    expire: 100000,
-    swrAfter: 10000,
+exports.accountConfigCache = (0, cache_1.createCache)((key) => (0, private_api_1.getAccountConfig)(JSON.parse(key)), {
+    expire: 1000000,
+    swrAfter: 100000, // 100 秒后后台刷新
 });
 const accountUidCache = (0, cache_1.createCache)(async (key) => {
-    const config = await accountConfigCache.query(key);
+    const config = await exports.accountConfigCache.query(key);
     return config === null || config === void 0 ? void 0 : config.data[0].uid;
 });
 const accountIdCache = (0, cache_1.createCache)(async (key) => {

package/lib/accountInfos/uid.js.map

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+{"version":3,"file":"uid.js","sourceRoot":"","sources":["../../src/accountInfos/uid.ts"],"names":[],"mappings":";;;AAAA,yCAA4C;AAC5C,oDAAmE;AAEtD,QAAA,kBAAkB,GAAG,IAAA,mBAAW,EAAC,CAAC,GAAG,EAAE,EAAE,CAAC,IAAA,8BAAgB,EAAC,IAAI,CAAC,KAAK,CAAC,GAAG,CAAC,CAAC,EAAE;IACxF,MAAM,EAAE,OAAQ;IAChB,QAAQ,EAAE,MAAO,EAAE,aAAa;CACjC,CAAC,CAAC;AAEH,MAAM,eAAe,GAAG,IAAA,mBAAW,EAAC,KAAK,EAAE,GAAG,EAAE,EAAE;IAChD,MAAM,MAAM,GAAG,MAAM,0BAAkB,CAAC,KAAK,CAAC,GAAG,CAAC,CAAC;IACnD,OAAO,MAAM,aAAN,MAAM,uBAAN,MAAM,CAAE,IAAI,CAAC,CAAC,EAAE,GAAG,CAAC;AAC7B,CAAC,CAAC,CAAC;AAEH,MAAM,cAAc,GAAG,IAAA,mBAAW,EAAC,KAAK,EAAE,GAAG,EAAE,EAAE;IAC/C,MAAM,GAAG,GAAG,MAAM,eAAe,CAAC,KAAK,CAAC,GAAG,CAAC,CAAC;IAC7C,IAAI,CAAC,GAAG;QAAE,MAAM,IAAI,KAAK,CAAC,mBAAmB,CAAC,CAAC;IAC/C,OAAO;QACL,OAAO,EAAE,OAAO,GAAG,UAAU;QAC7B,QAAQ,EAAE,OAAO,GAAG,WAAW;QAC/B,IAAI,EAAE,OAAO,GAAG,YAAY;QAC5B,OAAO,EAAE,OAAO,GAAG,eAAe;QAClC,OAAO,EAAE,OAAO,GAAG,eAAe;KACnC,CAAC;AACJ,CAAC,CAAC,CAAC;AAEI,MAAM,MAAM,GAAG,KAAK,EAAE,UAAuB,EAAE,EAAE;IACtD,OAAO,eAAe,CAAC,KAAK,CAAC,IAAI,CAAC,SAAS,CAAC,UAAU,CAAC,CAAC,CAAC;AAC3D,CAAC,CAAC;AAFW,QAAA,MAAM,UAEjB;AAEK,MAAM,aAAa,GAAG,KAAK,EAAE,UAAuB,EAAE,EAAE;IAC7D,OAAO,cAAc,CAAC,KAAK,CAAC,IAAI,CAAC,SAAS,CAAC,UAAU,CAAC,CAAC,CAAC;AAC1D,CAAC,CAAC;AAFW,QAAA,aAAa,iBAExB;AAEK,MAAM,mBAAmB,GAAG,KAAK,EAAE,UAAuB,EAAE,EAAE,CACnE,IAAA,qBAAa,EAAC,UAAU,CAAC,CAAC,IAAI,CAAC,CAAC,CAAC,EAAE,EAAE,CAAC,CAAE,CAAC,OAAO,CAAC,CAAC;AADvC,QAAA,mBAAmB,uBACoB;AAE7C,MAAM,oBAAoB,GAAG,KAAK,EAAE,UAAuB,EAAE,EAAE,CACpE,IAAA,qBAAa,EAAC,UAAU,CAAC,CAAC,IAAI,CAAC,CAAC,CAAC,EAAE,EAAE,CAAC,CAAE,CAAC,QAAQ,CAAC,CAAC;AADxC,QAAA,oBAAoB,wBACoB;AAE9C,MAAM,gBAAgB,GAAG,KAAK,EAAE,UAAuB,EAAE,EAAE,CAChE,IAAA,qBAAa,EAAC,UAAU,CAAC,CAAC,IAAI,CAAC,CAAC,CAAC,EAAE,EAAE,CAAC,CAAE,CAAC,IAAI,CAAC,CAAC;AADpC,QAAA,gBAAgB,oBACoB;AAE1C,MAAM,mBAAmB,GAAG,KAAK,EAAE,UAAuB,EAAE,EAAE,CACnE,IAAA,qBAAa,EAAC,UAAU,CAAC,CAAC,IAAI,CAAC,CAAC,CAAC,EAAE,EAAE,CAAC,CAAE,CAAC,OAAO,CAAC,CAAC;AADvC,QAAA,mBAAmB,uBACoB;AAE7C,MAAM,mBAAmB,GAAG,KAAK,EAAE,UAAuB,EAAE,EAAE,CACnE,IAAA,qBAAa,EAAC,UAAU,CAAC,CAAC,IAAI,CAAC,CAAC,CAAC,EAAE,EAAE,CAAC,CAAE,CAAC,OAAO,CAAC,CAAC;AADvC,QAAA,mBAAmB,uBACoB","sourcesContent":["import { createCache } from '@yuants/cache';\nimport { getAccountConfig, ICredential } from '../api/private-api';\n\nexport const accountConfigCache = createCache((key) => getAccountConfig(JSON.parse(key)), {\n  expire: 1000_000, // 缓存 1000 秒\n  swrAfter: 100_000, // 100 秒后后台刷新\n});\n\nconst accountUidCache = createCache(async (key) => {\n  const config = await accountConfigCache.query(key);\n  return config?.data[0].uid;\n});\n\nconst accountIdCache = createCache(async (key) => {\n  const uid = await accountUidCache.query(key);\n  if (!uid) throw new Error('Failed to get UID');\n  return {\n    trading: `okx/${uid}/trading`,\n    strategy: `okx/${uid}/strategy`,\n    loan: `okx/${uid}/loan/USDT`,\n    earning: `okx/${uid}/earning/USDT`,\n    funding: `okx/${uid}/funding/USDT`,\n  };\n});\n\nexport const getUid = async (credential: ICredential) => {\n  return accountUidCache.query(JSON.stringify(credential));\n};\n\nexport const getAccountIds = async (credential: ICredential) => {\n  return accountIdCache.query(JSON.stringify(credential));\n};\n\nexport const getTradingAccountId = async (credential: ICredential) =>\n  getAccountIds(credential).then((x) => x!.trading);\n\nexport const getStrategyAccountId = async (credential: ICredential) =>\n  getAccountIds(credential).then((x) => x!.strategy);\n\nexport const getLoanAccountId = async (credential: ICredential) =>\n  getAccountIds(credential).then((x) => x!.loan);\n\nexport const getEarningAccountId = async (credential: ICredential) =>\n  getAccountIds(credential).then((x) => x!.earning);\n\nexport const getFundingAccountId = async (credential: ICredential) =>\n  getAccountIds(credential).then((x) => x!.funding);\n"]}

package/lib/orders/submitOrder.d.ts.map

@@ -1 +1 @@
-{"version":3,"file":"submitOrder.d.ts","sourceRoot":"","sources":["../../src/orders/submitOrder.ts"],"names":[],"mappings":"AAAA,OAAO,EAAE,MAAM,EAAE,MAAM,oBAAoB,CAAC;AAG5C,OAAO,EAAE,WAAW,EAAkB,MAAM,oBAAoB,CAAC;AAwCjE,eAAO,MAAM,WAAW,eAAsB,WAAW,SAAS,MAAM,KAAG,QAAQ;IAAE,QAAQ,EAAE,MAAM,CAAA;CAAE,CAoFtG,CAAC"}
+{"version":3,"file":"submitOrder.d.ts","sourceRoot":"","sources":["../../src/orders/submitOrder.ts"],"names":[],"mappings":"AAAA,OAAO,EAAE,MAAM,EAAE,MAAM,oBAAoB,CAAC;AAI5C,OAAO,EAAE,WAAW,EAAkB,MAAM,oBAAoB,CAAC;AA4BjE,eAAO,MAAM,WAAW,eAAsB,WAAW,SAAS,MAAM,KAAG,QAAQ;IAAE,QAAQ,EAAE,MAAM,CAAA;CAAE,CA0GtG,CAAC"}

package/lib/orders/submitOrder.js

@@ -3,6 +3,7 @@ Object.defineProperty(exports, "__esModule", { value: true });
 exports.submitOrder = void 0;
 const utils_1 = require("@yuants/utils");
 const rxjs_1 = require("rxjs");
+const uid_1 = require("../accountInfos/uid");
 const private_api_1 = require("../api/private-api");
 const product_1 = require("../public-data/product");
 const quote_1 = require("../public-data/quote");
@@ -17,17 +18,6 @@ const mapOrderDirectionToSide = (direction) => {
     }
     throw new Error(`Unknown direction: ${direction}`);
 };
-const mapOrderDirectionToPosSide = (direction) => {
-    switch (direction) {
-        case 'OPEN_LONG':
-        case 'CLOSE_LONG':
-            return 'long';
-        case 'CLOSE_SHORT':
-        case 'OPEN_SHORT':
-            return 'short';
-    }
-    throw new Error(`Unknown direction: ${direction}`);
-};
 const mapOrderTypeToOrdType = (order_type) => {
     switch (order_type) {
         case 'LIMIT':
@@ -40,7 +30,16 @@ const mapOrderTypeToOrdType = (order_type) => {
     throw new Error(`Unknown order type: ${order_type}`);
 };
 const submitOrder = async (credential, order) => {
-    var _a, _b, _c;
+    var _a, _b, _c, _d;
+    const accountConfigRes = await uid_1.accountConfigCache.query(JSON.stringify(credential));
+    if (!accountConfigRes)
+        throw (0, utils_1.newError)('ACCOUNT_CONFIG_FETCH_ERROR', { accountConfigRes });
+    if (!((_a = accountConfigRes.data) === null || _a === void 0 ? void 0 : _a[0]))
+        throw (0, utils_1.newError)('ACCOUNT_CONFIG_FETCH_ERROR', { accountConfigRes });
+    /**
+     * 是否为组合保证金模式
+     */
+    const isPortfolioMarginMode = accountConfigRes.data[0].acctLv === '4';
     const [instType, instId] = (0, utils_1.decodePath)(order.product_id).slice(-2);
     // 交易数量，表示要购买或者出售的数量。
     // 当币币/币币杠杆以限价买入和卖出时，指交易货币数量。
@@ -84,6 +83,19 @@ const submitOrder = async (credential, order) => {
         }
         throw new Error(`Unknown instType: ${instType}`);
     };
+    const mapOrderDirectionToPosSide = (direction) => {
+        if (isPortfolioMarginMode)
+            return undefined;
+        switch (direction) {
+            case 'OPEN_LONG':
+            case 'CLOSE_LONG':
+                return 'long';
+            case 'CLOSE_SHORT':
+            case 'OPEN_SHORT':
+                return 'short';
+        }
+        throw new Error(`Unknown direction: ${direction}`);
+    };
     const params = {
         instId,
         tdMode: instType === 'SPOT' ? 'cash' : 'cross',
@@ -94,7 +106,7 @@ const submitOrder = async (credential, order) => {
         ordType: mapOrderTypeToOrdType(order.order_type),
         sz: (await mapOrderVolumeToSz(order)).toString(),
         tgtCcy: instType === 'SPOT' && order.order_type === 'MARKET' ? 'base_ccy' : undefined,
-        reduceOnly: instType === 'MARGIN' && ['CLOSE_LONG', 'CLOSE_SHORT'].includes((_a = order.order_direction) !== null && _a !== void 0 ? _a : '')
+        reduceOnly: instType === 'MARGIN' && ['CLOSE_LONG', 'CLOSE_SHORT'].includes((_b = order.order_direction) !== null && _b !== void 0 ? _b : '')
             ? 'true'
             : undefined,
         px: order.order_type === 'LIMIT' || order.order_type === 'MAKER' ? order.price.toString() : undefined,
@@ -103,7 +115,7 @@ const submitOrder = async (credential, order) => {
     };
     console.info((0, utils_1.formatTime)(Date.now()), 'SubmitOrder', 'params', JSON.stringify(params));
     const res = await (0, private_api_1.postTradeOrder)(credential, params);
-    if (res.code === '0' && ((_c = (_b = res.data) === null || _b === void 0 ? void 0 : _b[0]) === null || _c === void 0 ? void 0 : _c.ordId)) {
+    if (res.code === '0' && ((_d = (_c = res.data) === null || _c === void 0 ? void 0 : _c[0]) === null || _d === void 0 ? void 0 : _d.ordId)) {
         return { order_id: res.data[0].ordId };
     }
     throw `Failed to submit order: ${res.code} ${res.msg}: ${res.data

package/lib/orders/submitOrder.js.map

@@ -1 +1 @@
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{ IOrder } from '@yuants/data-order';\nimport { decodePath, formatTime, roundToStep } from '@yuants/utils';\nimport { firstValueFrom, map } from 'rxjs';\nimport { ICredential, postTradeOrder } from '../api/private-api';\nimport { productService } from '../public-data/product';\nimport { spotMarketTickers$ } from '../public-data/quote';\n\nconst mapOrderDirectionToSide = (direction?: string) => {\n  switch (direction) {\n    case 'OPEN_LONG':\n    case 'CLOSE_SHORT':\n      return 'buy';\n    case 'OPEN_SHORT':\n    case 'CLOSE_LONG':\n      return 'sell';\n  }\n  throw new Error(`Unknown direction: ${direction}`);\n};\n\nconst mapOrderDirectionToPosSide = (direction?: string) => {\n  switch (direction) {\n    case 'OPEN_LONG':\n    case 'CLOSE_LONG':\n      return 'long';\n    case 'CLOSE_SHORT':\n    case 'OPEN_SHORT':\n      return 'short';\n  }\n  throw new Error(`Unknown direction: ${direction}`);\n};\n\nconst mapOrderTypeToOrdType = (order_type?: string) => {\n  switch (order_type) {\n    case 'LIMIT':\n      return 'limit';\n    case 'MARKET':\n      return 'market';\n    case 'MAKER':\n      return 'post_only';\n  }\n  throw new Error(`Unknown order type: ${order_type}`);\n};\n\nexport const submitOrder = async (credential: ICredential, order: IOrder): Promise<{ order_id: string }> => {\n  const [instType, instId] = decodePath(order.product_id).slice(-2);\n\n  // 交易数量，表示要购买或者出售的数量。\n  // 当币币/币币杠杆以限价买入和卖出时，指交易货币数量。\n  // 当币币杠杆以市价买入时，指计价货币的数量。\n  // 当币币杠杆以市价卖出时，指交易货币的数量。\n  // 对于币币市价单，单位由 tgtCcy 决定\n  // 当交割、永续、期权买入和卖出时，指合约张数。\n  const mapOrderVolumeToSz = async (order: IOrder) => {\n    if (instType === 'SWAP') {\n      return order.volume;\n    }\n    if (instType === 'MARGIN') {\n      if (order.order_type === 'LIMIT') {\n        return order.volume;\n      }\n      if (order.order_type === 'MAKER') {\n        return order.volume;\n      }\n      if (order.order_type === 'MARKET') {\n        if (order.order_direction === 'OPEN_SHORT' || order.order_direction === 'CLOSE_LONG') {\n          return order.volume;\n        }\n        //\n        const price = await firstValueFrom(\n          spotMarketTickers$.pipe(\n            map((x) =>\n              mapOrderDirectionToPosSide(order.order_direction) === 'long'\n                ? +x[instId].askPx\n                : +x[instId].bidPx,\n            ),\n          ),\n        );\n        if (!price) {\n          throw new Error(`invalid tick: ${price}`);\n        }\n        console.info(formatTime(Date.now()), 'SubmitOrder', 'price', price);\n        const theProduct = await firstValueFrom(\n          productService.mapProductIdToProduct$.pipe(map((x) => x.get(order.product_id))),\n        );\n        if (!theProduct) {\n          throw new Error(`Unknown product: ${order.position_id}`);\n        }\n        return roundToStep(order.volume * price, theProduct.volume_step!);\n      }\n\n      return 0;\n    }\n\n    if (instType === 'SPOT') {\n      return order.volume;\n    }\n\n    throw new Error(`Unknown instType: ${instType}`);\n  };\n\n  const params = {\n    instId,\n    tdMode: instType === 'SPOT' ? 'cash' : 'cross',\n    side: mapOrderDirectionToSide(order.order_direction),\n    posSide:\n      instType === 'MARGIN' || instType === 'SPOT'\n        ? 'net'\n        : mapOrderDirectionToPosSide(order.order_direction),\n    ordType: mapOrderTypeToOrdType(order.order_type),\n    sz: (await mapOrderVolumeToSz(order)).toString(),\n    tgtCcy: instType === 'SPOT' && order.order_type === 'MARKET' ? 'base_ccy' : undefined,\n    reduceOnly:\n      instType === 'MARGIN' && ['CLOSE_LONG', 'CLOSE_SHORT'].includes(order.order_direction ?? '')\n        ? 'true'\n        : undefined,\n    px: order.order_type === 'LIMIT' || order.order_type === 'MAKER' ? order.price!.toString() : undefined,\n    ccy: instType === 'MARGIN' ? 'USDT' : undefined,\n    tag: process.env.BROKER_CODE,\n  };\n  console.info(formatTime(Date.now()), 'SubmitOrder', 'params', JSON.stringify(params));\n  const res = await postTradeOrder(credential, params);\n  if (res.code === '0' && res.data?.[0]?.ordId) {\n    return { order_id: res.data[0].ordId };\n  }\n  throw `Failed to submit order: ${res.code} ${res.msg}: ${res.data\n    .map((x) => `${x.sCode} ${x.sMsg}`)\n    .join('; ')}`;\n};\n"]}
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{ IOrder } from '@yuants/data-order';\nimport { decodePath, formatTime, newError, roundToStep } from '@yuants/utils';\nimport { firstValueFrom, map } from 'rxjs';\nimport { accountConfigCache } from '../accountInfos/uid';\nimport { ICredential, postTradeOrder } from '../api/private-api';\nimport { productService } from '../public-data/product';\nimport { spotMarketTickers$ } from '../public-data/quote';\n\nconst mapOrderDirectionToSide = (direction?: string) => {\n  switch (direction) {\n    case 'OPEN_LONG':\n    case 'CLOSE_SHORT':\n      return 'buy';\n    case 'OPEN_SHORT':\n    case 'CLOSE_LONG':\n      return 'sell';\n  }\n  throw new Error(`Unknown direction: ${direction}`);\n};\n\nconst mapOrderTypeToOrdType = (order_type?: string) => {\n  switch (order_type) {\n    case 'LIMIT':\n      return 'limit';\n    case 'MARKET':\n      return 'market';\n    case 'MAKER':\n      return 'post_only';\n  }\n  throw new Error(`Unknown order type: ${order_type}`);\n};\n\nexport const submitOrder = async (credential: ICredential, order: IOrder): Promise<{ order_id: string }> => {\n  const accountConfigRes = await accountConfigCache.query(JSON.stringify(credential));\n  if (!accountConfigRes) throw newError('ACCOUNT_CONFIG_FETCH_ERROR', { accountConfigRes });\n  if (!accountConfigRes.data?.[0]) throw newError('ACCOUNT_CONFIG_FETCH_ERROR', { accountConfigRes });\n\n  /**\n   * 是否为组合保证金模式\n   */\n  const isPortfolioMarginMode = accountConfigRes.data[0].acctLv === '4';\n\n  const [instType, instId] = decodePath(order.product_id).slice(-2);\n\n  // 交易数量，表示要购买或者出售的数量。\n  // 当币币/币币杠杆以限价买入和卖出时，指交易货币数量。\n  // 当币币杠杆以市价买入时，指计价货币的数量。\n  // 当币币杠杆以市价卖出时，指交易货币的数量。\n  // 对于币币市价单，单位由 tgtCcy 决定\n  // 当交割、永续、期权买入和卖出时，指合约张数。\n  const mapOrderVolumeToSz = async (order: IOrder) => {\n    if (instType === 'SWAP') {\n      return order.volume;\n    }\n    if (instType === 'MARGIN') {\n      if (order.order_type === 'LIMIT') {\n        return order.volume;\n      }\n      if (order.order_type === 'MAKER') {\n        return order.volume;\n      }\n      if (order.order_type === 'MARKET') {\n        if (order.order_direction === 'OPEN_SHORT' || order.order_direction === 'CLOSE_LONG') {\n          return order.volume;\n        }\n        //\n        const price = await firstValueFrom(\n          spotMarketTickers$.pipe(\n            map((x) =>\n              mapOrderDirectionToPosSide(order.order_direction) === 'long'\n                ? +x[instId].askPx\n                : +x[instId].bidPx,\n            ),\n          ),\n        );\n        if (!price) {\n          throw new Error(`invalid tick: ${price}`);\n        }\n        console.info(formatTime(Date.now()), 'SubmitOrder', 'price', price);\n        const theProduct = await firstValueFrom(\n          productService.mapProductIdToProduct$.pipe(map((x) => x.get(order.product_id))),\n        );\n        if (!theProduct) {\n          throw new Error(`Unknown product: ${order.position_id}`);\n        }\n        return roundToStep(order.volume * price, theProduct.volume_step!);\n      }\n\n      return 0;\n    }\n\n    if (instType === 'SPOT') {\n      return order.volume;\n    }\n\n    throw new Error(`Unknown instType: ${instType}`);\n  };\n\n  const mapOrderDirectionToPosSide = (direction?: string) => {\n    if (isPortfolioMarginMode) return undefined;\n    switch (direction) {\n      case 'OPEN_LONG':\n      case 'CLOSE_LONG':\n        return 'long';\n      case 'CLOSE_SHORT':\n      case 'OPEN_SHORT':\n        return 'short';\n    }\n    throw new Error(`Unknown direction: ${direction}`);\n  };\n\n  const params = {\n    instId,\n    tdMode: instType === 'SPOT' ? 'cash' : 'cross',\n    side: mapOrderDirectionToSide(order.order_direction),\n    posSide:\n      instType === 'MARGIN' || instType === 'SPOT'\n        ? 'net'\n        : mapOrderDirectionToPosSide(order.order_direction),\n    ordType: mapOrderTypeToOrdType(order.order_type),\n    sz: (await mapOrderVolumeToSz(order)).toString(),\n    tgtCcy: instType === 'SPOT' && order.order_type === 'MARKET' ? 'base_ccy' : undefined,\n    reduceOnly:\n      instType === 'MARGIN' && ['CLOSE_LONG', 'CLOSE_SHORT'].includes(order.order_direction ?? '')\n        ? 'true'\n        : undefined,\n    px: order.order_type === 'LIMIT' || order.order_type === 'MAKER' ? order.price!.toString() : undefined,\n    ccy: instType === 'MARGIN' ? 'USDT' : undefined,\n    tag: process.env.BROKER_CODE,\n  };\n  console.info(formatTime(Date.now()), 'SubmitOrder', 'params', JSON.stringify(params));\n  const res = await postTradeOrder(credential, params);\n  if (res.code === '0' && res.data?.[0]?.ordId) {\n    return { order_id: res.data[0].ordId };\n  }\n  throw `Failed to submit order: ${res.code} ${res.msg}: ${res.data\n    .map((x) => `${x.sCode} ${x.sMsg}`)\n    .join('; ')}`;\n};\n"]}

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

@@ -193,9 +193,4 @@ if (process.env.WRITE_QUOTE_TO_SQL === 'true') {
         .subscribe();
 }
 exports.swapOpenInterest$ = (0, rxjs_1.defer)(() => swapOpenInterests$).pipe((0, rxjs_1.map)((x) => new Map(x.data.map((x) => [x.instId, +x.oi]))), (0, rxjs_1.shareReplay)(1));
-quote$
-    .pipe((0, rxjs_1.tap)((quote) => {
-    console.log(quote);
-}))
-    .subscribe();
 //# sourceMappingURL=new-quote.js.map

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$).pipe(\n  map((x) => new Map(x.data.map((x) => [x.instId, +x.oi] as const))),\n  shareReplay(1),\n);\n\nquote$\n  .pipe(\n    tap((quote) => {\n      console.log(quote);\n    }),\n  )\n  .subscribe();\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 {\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"]}

package/package.json

@@ -1,6 +1,6 @@
 {
 	"name": "@yuants/vendor-okx",
-	"version": "0.29.5",
+	"version": "0.29.7",
 	"main": "lib/index.js",
 	"files": [
 		"dist",

package/temp/package-deps.json

@@ -1,13 +1,13 @@
 {
-    "apps/vendor-okx/CHANGELOG.json": "8432a1a0d744334101ef0465c4108c8b7385d23e",
-    "apps/vendor-okx/CHANGELOG.md": "fed9dc3b7d4b7fc6fee7392d3c4aceb57e66ac77",
+    "apps/vendor-okx/CHANGELOG.json": "ac9a0c60f6f78b6d86837f32cbf7c7b86165f256",
+    "apps/vendor-okx/CHANGELOG.md": "dd6422ae7ca2b319284128d886eece12ecd2d5ca",
     "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": "3a46cbd9b6430ddf9c89559f95cdd3f3805b846e",
+    "apps/vendor-okx/package.json": "f1a64c9e536c25bac2f2f22b8b213864b7ab674f",
     "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",
@@ -17,7 +17,7 @@
     "apps/vendor-okx/src/accountInfos/strategy.ts": "176add92022ad1fb43bad61880c5053aaa9fd5be",
     "apps/vendor-okx/src/accountInfos/trading.ts": "60ded8fdeb5c448fea467d3eb10aa9dab752f903",
     "apps/vendor-okx/src/accountInfos/types.ts": "c3c1096c3ad6849f6f679f1dfe0badb3ae876e41",
-    "apps/vendor-okx/src/accountInfos/uid.ts": "348b64b205771143974e5ac5f5a7d06e9391a9f9",
+    "apps/vendor-okx/src/accountInfos/uid.ts": "6dd95c14f0493ef3f7d2dcbf4f01a1c181817999",
     "apps/vendor-okx/src/api-service.ts": "f1d977b144b1096965c5990260d9e6c81b08cb8c",
     "apps/vendor-okx/src/api/private-api.ts": "73ab6b99249ebb73769e903cc356627eaf19b433",
     "apps/vendor-okx/src/api/public-api.ts": "05b9cddafd09b5c9f65ce4eaeab42832e7d60449",
@@ -32,10 +32,10 @@
     "apps/vendor-okx/src/orders/cancelOrder.ts": "9a6c6d976caddd896ce08afac1dd2e4e24879b54",
     "apps/vendor-okx/src/orders/listOrders.ts": "c4739eb4c0f54391164a7d8e6c7fde44b41cb268",
     "apps/vendor-okx/src/orders/modifyOrder.ts": "9101b5049743f302b0f0ad84f929ed8a88040bad",
-    "apps/vendor-okx/src/orders/submitOrder.ts": "564c8a659091dfb9676de753f0fceef1ec8ee168",
+    "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": "dcfc532ee523247f1c0a8d4f236b9eb81e5b2ece",
+    "apps/vendor-okx/src/public-data/new-quote.ts": "c184aae2008fcbceabc32fbc944b05d3dfb9b2a3",
     "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": "84db94c5af399e03b630037eb13382eb38b8c1e4",