@yuants/vendor-okx 0.30.0 → 0.30.2
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
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@@ -1,3 +1,4 @@
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1
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+
import { setMetricsQuoteState } from '@yuants/data-quote';
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1
2
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import { Terminal } from '@yuants/protocol';
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2
3
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import { writeToSQL } from '@yuants/sql';
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3
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import { decodePath, encodePath, formatTime, listWatch } from '@yuants/utils';
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@@ -181,7 +182,7 @@ if (process.env.WRITE_QUOTE_TO_SQL === 'true') {
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181
182
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return quote$.pipe(filter((x) => x.product_id === product_id));
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182
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});
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183
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quote$
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184
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-
.pipe(writeToSQL({
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185
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+
.pipe(setMetricsQuoteState(terminal.terminal_id), writeToSQL({
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185
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terminal,
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186
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writeInterval: 1000,
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187
188
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tableName: 'quote',
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@@ -1 +1 @@
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1
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-
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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$.pipe(\n tap((x) => {\n console.info('SPOT INSTRUMENTS', x.length);\n }),\n listWatch(\n (x) => x.instId,\n (x) => useTicker(x.instId),\n () 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x.bidSz,\n },\n ]),\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n);\n\nconst quoteOfSwapFromWs$ = 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$).pipe(\n map((x) => new Map(x.data.map((x) => [x.instId, +x.oi] as const))),\n shareReplay(1),\n);\n"]}
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|
1
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+
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{ IQuote, setMetricsQuoteState } from '@yuants/data-quote';\nimport { Terminal } from '@yuants/protocol';\nimport { writeToSQL } from '@yuants/sql';\nimport { decodePath, encodePath, formatTime, listWatch } from '@yuants/utils';\nimport {\n catchError,\n concatMap,\n defer,\n distinctUntilChanged,\n EMPTY,\n filter,\n first,\n firstValueFrom,\n from,\n groupBy,\n map,\n merge,\n mergeMap,\n reduce,\n repeat,\n retry,\n scan,\n share,\n shareReplay,\n switchMap,\n tap,\n toArray,\n} from 'rxjs';\nimport {\n getFundingRate,\n getInstruments,\n getMarketTickers,\n getOpenInterest,\n getPositionTiers,\n} from '../api/public-api';\nimport { useOpenInterest, useTicker } from '../ws';\n\nconst terminal = Terminal.fromNodeEnv();\n\nconst swapInstruments$ = 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$).pipe(\n map((x) => new Map(x.data.map((x) => [x.instId, +x.oi] as const))),\n shareReplay(1),\n);\n"]}
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{"version":3,"file":"new-quote.d.ts","sourceRoot":"","sources":["../../src/public-data/new-quote.ts"],"names":[],"mappings":"AAmEA,eAAO,MAAM,kBAAkB;;;;;;;;;;;;;;;;;;;EAW9B,CAAC;
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1
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+
{"version":3,"file":"new-quote.d.ts","sourceRoot":"","sources":["../../src/public-data/new-quote.ts"],"names":[],"mappings":"AAmEA,eAAO,MAAM,kBAAkB;;;;;;;;;;;;;;;;;;;EAW9B,CAAC;AA6TF,eAAO,MAAM,iBAAiB,gDAG7B,CAAC"}
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1
1
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"use strict";
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2
2
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Object.defineProperty(exports, "__esModule", { value: true });
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3
3
|
exports.swapOpenInterest$ = exports.spotMarketTickers$ = void 0;
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4
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+
const data_quote_1 = require("@yuants/data-quote");
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4
5
|
const protocol_1 = require("@yuants/protocol");
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5
6
|
const sql_1 = require("@yuants/sql");
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6
7
|
const utils_1 = require("@yuants/utils");
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@@ -184,7 +185,7 @@ if (process.env.WRITE_QUOTE_TO_SQL === 'true') {
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184
185
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return quote$.pipe((0, rxjs_1.filter)((x) => x.product_id === product_id));
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186
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});
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187
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quote$
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187
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-
.pipe((0, sql_1.writeToSQL)({
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+
.pipe((0, data_quote_1.setMetricsQuoteState)(terminal.terminal_id), (0, sql_1.writeToSQL)({
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189
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terminal,
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190
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writeInterval: 1000,
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tableName: 'quote',
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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: 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=> 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$).pipe(\n map((x) => new Map(x.data.map((x) => [x.instId, +x.oi] as const))),\n shareReplay(1),\n);\n"]}
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1
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+
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{ IQuote, setMetricsQuoteState } from '@yuants/data-quote';\nimport { Terminal } from '@yuants/protocol';\nimport { writeToSQL } from '@yuants/sql';\nimport { decodePath, encodePath, formatTime, listWatch } from '@yuants/utils';\nimport {\n catchError,\n concatMap,\n defer,\n distinctUntilChanged,\n EMPTY,\n filter,\n first,\n firstValueFrom,\n from,\n groupBy,\n map,\n merge,\n mergeMap,\n reduce,\n repeat,\n retry,\n scan,\n share,\n shareReplay,\n switchMap,\n tap,\n toArray,\n} from 'rxjs';\nimport {\n getFundingRate,\n getInstruments,\n getMarketTickers,\n getOpenInterest,\n getPositionTiers,\n} from '../api/public-api';\nimport { useOpenInterest, useTicker } from '../ws';\n\nconst terminal = Terminal.fromNodeEnv();\n\nconst swapInstruments$ = 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/package.json
CHANGED
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@@ -1,6 +1,6 @@
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1
1
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{
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"name": "@yuants/vendor-okx",
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-
"version": "0.30.
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+
"version": "0.30.2",
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"main": "lib/index.js",
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"files": [
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"dist",
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@@ -8,20 +8,20 @@
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"temp"
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],
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"dependencies": {
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-
"@yuants/protocol": "0.53.
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12
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-
"@yuants/transfer": "0.2.
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-
"@yuants/data-account": "0.10.
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-
"@yuants/data-order": "0.7.
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-
"@yuants/utils": "0.
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-
"@yuants/cache": "0.3.
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"@yuants/sql": "0.9.
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-
"@yuants/data-series": "0.3.
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-
"@yuants/data-product": "0.5.
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20
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-
"@yuants/data-ohlc": "0.4.
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-
"@yuants/data-interest-rate": "0.1.
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22
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-
"@yuants/data-quote": "0.3.
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23
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-
"@yuants/data-trade": "0.1.
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24
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-
"@yuants/exchange": "0.6.
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11
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+
"@yuants/protocol": "0.53.3",
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12
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+
"@yuants/transfer": "0.2.40",
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13
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+
"@yuants/data-account": "0.10.2",
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14
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+
"@yuants/data-order": "0.7.1",
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15
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+
"@yuants/utils": "0.15.0",
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16
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+
"@yuants/cache": "0.3.4",
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17
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+
"@yuants/sql": "0.9.31",
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18
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+
"@yuants/data-series": "0.3.53",
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+
"@yuants/data-product": "0.5.1",
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20
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+
"@yuants/data-ohlc": "0.4.23",
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+
"@yuants/data-interest-rate": "0.1.49",
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22
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+
"@yuants/data-quote": "0.3.1",
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+
"@yuants/data-trade": "0.1.22",
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+
"@yuants/exchange": "0.6.1",
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25
|
"rxjs": "~7.5.6",
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"ws": "~8.8.1"
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},
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@@ -32,7 +32,7 @@
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"@rushstack/heft-node-rig": "~1.10.7",
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33
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"@types/heft-jest": "1.0.3",
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34
34
|
"@types/node": "22",
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35
|
-
"@yuants/extension": "0.2.
|
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35
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+
"@yuants/extension": "0.2.32",
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36
36
|
"@yuants/tool-kit": "0.2.1",
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|
"typescript": "~4.7.4",
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"ts-node": "~10.9.2",
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package/temp/package-deps.json
CHANGED
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@@ -1,13 +1,13 @@
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{
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-
"apps/vendor-okx/CHANGELOG.json": "
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"apps/vendor-okx/CHANGELOG.md": "
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+
"apps/vendor-okx/CHANGELOG.json": "eb2971a77700512bbf30d2483f6e90293e5eac19",
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3
|
+
"apps/vendor-okx/CHANGELOG.md": "d1171e01de2935a6feb7c0d5ee91958a3603866c",
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|
"apps/vendor-okx/README.md": "68caeb8e383d77ece973cd70f4b167b86abb54c3",
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5
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"apps/vendor-okx/api-extractor.json": "62f4fd324425b9a235f0c117975967aab09ced0c",
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|
"apps/vendor-okx/config/jest.config.json": "4bb17bde3ee911163a3edb36a6eb71491d80b1bd",
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7
|
"apps/vendor-okx/config/rig.json": "f6c7b5537dc77a3170ba9f008bae3b6c3ee11956",
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|
"apps/vendor-okx/config/typescript.json": "854907e8a821f2050f6533368db160c649c25348",
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9
|
"apps/vendor-okx/etc/vendor-okx.api.md": "92c54ccd547d2ad81ca6088158ca193e85c208df",
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|
-
"apps/vendor-okx/package.json": "
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|
+
"apps/vendor-okx/package.json": "ff2a542b3010352ce6c6ee5efe2d8c995d83cec4",
|
|
11
11
|
"apps/vendor-okx/src/account-actions-with-credential.ts": "1a2de787b588e98ceef60b3ffb951f298504bf12",
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|
"apps/vendor-okx/src/account.ts": "672014c974457b438cf026f763d6eecfe585c82b",
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"apps/vendor-okx/src/accountInfos/earning.ts": "62aaeb3b62fa9197d07ee14155625530cdb9b1cd",
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"apps/vendor-okx/src/orders/submitOrder.ts": "626ff6d2f14d22e0b3a3ffa447d33a78d9d0a38b",
|
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36
|
"apps/vendor-okx/src/public-data/interest_rate.ts": "f3171f2753955d500ae00ce7e263ea26e05e5421",
|
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|
"apps/vendor-okx/src/public-data/market-order.ts": "c7269e9fe1f339b320e8b4cd98652854446a245c",
|
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|
-
"apps/vendor-okx/src/public-data/new-quote.ts": "
|
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|
+
"apps/vendor-okx/src/public-data/new-quote.ts": "1f49de0f24902b5ff921478b65126e4b2a9ec1c4",
|
|
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|
"apps/vendor-okx/src/public-data/ohlc.ts": "0b5a568e30b3070f74b0e64614e8c1cc9ba507fb",
|
|
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40
|
"apps/vendor-okx/src/public-data/product.ts": "9caa1b0d9fa621800870ef47086767f6f5810ad9",
|
|
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41
|
"apps/vendor-okx/src/public-data/quote.ts": "da471098f6c59376f7221bf6fc3d2625eeacecee",
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@@ -49,20 +49,20 @@
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|
"apps/vendor-okx/src/ws.ts": "5e8fe8c97c7da92c08ddf07ab47faf7976433ca3",
|
|
50
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|
"apps/vendor-okx/tsconfig.json": "81da8f78196974b5d15da0edb6b2d9f48641063c",
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"apps/vendor-okx/.rush/temp/shrinkwrap-deps.json": "c9b5d11ff2d36318a68aca38e2baeffbaf3bfc4c",
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"libraries/protocol/temp/package-deps.json": "
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"libraries/transfer/temp/package-deps.json": "
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"libraries/data-account/temp/package-deps.json": "
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"libraries/data-order/temp/package-deps.json": "
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"libraries/utils/temp/package-deps.json": "
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"libraries/cache/temp/package-deps.json": "
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"libraries/sql/temp/package-deps.json": "
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"libraries/data-series/temp/package-deps.json": "
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"libraries/data-product/temp/package-deps.json": "
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"libraries/data-ohlc/temp/package-deps.json": "
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"libraries/data-interest-rate/temp/package-deps.json": "
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"libraries/data-quote/temp/package-deps.json": "
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"libraries/data-trade/temp/package-deps.json": "
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"libraries/exchange/temp/package-deps.json": "
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"libraries/extension/temp/package-deps.json": "
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"libraries/protocol/temp/package-deps.json": "c94931cb0eab7180d90a06d740c1a97c0ac0c6b6",
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+
"libraries/transfer/temp/package-deps.json": "7b0db8291734d10d4f1d9c2c25d9e3918cabc79e",
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"libraries/data-account/temp/package-deps.json": "61641a5eb18cbaceedb085230d86589ea8d076ae",
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"libraries/data-order/temp/package-deps.json": "8aa3e27ff80629d417bfe920e85d8525fbb52f42",
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"libraries/utils/temp/package-deps.json": "7f1eab07acae68df931b001594a522f050ace396",
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"libraries/cache/temp/package-deps.json": "e1f94620bc6245add32a4f9d379ed2901129d818",
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"libraries/sql/temp/package-deps.json": "041074e0102f9a01820c0fddcf82b9eaee226c79",
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"libraries/data-series/temp/package-deps.json": "a94e2f373c448a6205ee6c47e41d9283a76ee352",
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"libraries/data-product/temp/package-deps.json": "899bba8ace3f04b2035488ff9059e40732ef1d97",
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"libraries/data-ohlc/temp/package-deps.json": "8415ee90c49d7e84faaa2565cc1122fdacf73dab",
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"libraries/data-interest-rate/temp/package-deps.json": "5a1011b097b18b96c2d8c932d874f69472621efd",
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"libraries/data-quote/temp/package-deps.json": "272c0fe62ababfa66a7589139c31231a6fdce2b4",
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"libraries/data-trade/temp/package-deps.json": "95dcb14d4678f4a4165dd214ae5286bb8fd94eaf",
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"libraries/exchange/temp/package-deps.json": "3928985332795cb9b230ced140003ccf2287af41",
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"libraries/extension/temp/package-deps.json": "3e0a81b0c863c2daf342dfaf284b8fd7d18c8562",
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"tools/toolkit/temp/package-deps.json": "23e053490eb8feade23e4d45de4e54883e322711"
|
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|
}
|