@yuants/vendor-okx 0.30.6 → 0.31.0

package/dist/index.js

@@ -15,4 +15,6 @@ import './trade';
 import './transfer';
 import './public-data/new-quote';
 import './services/quotes';
+import './services/ohlc-service';
+import './services/interest-rate-service';
 //# sourceMappingURL=index.js.map

package/dist/index.js.map

@@ -1 +1 @@
-{"version":3,"file":"index.js","sourceRoot":"","sources":["../src/index.ts"],"names":[],"mappings":"AAAA,OAAO,WAAW,CAAC;AACnB,OAAO,mCAAmC,CAAC;AAC3C,OAAO,eAAe,CAAC;AACvB,OAAO,yBAAyB,CAAC;AACjC,OAAO,SAAS,CAAC;AACjB,OAAO,iBAAiB,CAAC;AACzB,OAAO,iCAAiC,CAAC;AACzC,OAAO,6BAA6B,CAAC;AACrC,OAAO,4BAA4B,CAAC;AACpC,OAAO,oBAAoB,CAAC;AAC5B,OAAO,qBAAqB,CAAC;AAC7B,OAAO,YAAY,CAAC;AACpB,OAAO,oBAAoB,CAAC;AAC5B,OAAO,SAAS,CAAC;AACjB,OAAO,YAAY,CAAC;AACpB,OAAO,yBAAyB,CAAC;AACjC,OAAO,mBAAmB,CAAC","sourcesContent":["import './account';\nimport './account-actions-with-credential';\nimport './api-service';\nimport './experimental/exchange';\nimport './order';\nimport './order-actions';\nimport './order-actions-with-credential';\nimport './public-data/interest_rate';\nimport './public-data/market-order';\nimport './public-data/ohlc';\nimport './public-data/quote';\nimport './services';\nimport './strategy-account';\nimport './trade';\nimport './transfer';\nimport './public-data/new-quote';\nimport './services/quotes';\n"]}
+{"version":3,"file":"index.js","sourceRoot":"","sources":["../src/index.ts"],"names":[],"mappings":"AAAA,OAAO,WAAW,CAAC;AACnB,OAAO,mCAAmC,CAAC;AAC3C,OAAO,eAAe,CAAC;AACvB,OAAO,yBAAyB,CAAC;AACjC,OAAO,SAAS,CAAC;AACjB,OAAO,iBAAiB,CAAC;AACzB,OAAO,iCAAiC,CAAC;AACzC,OAAO,6BAA6B,CAAC;AACrC,OAAO,4BAA4B,CAAC;AACpC,OAAO,oBAAoB,CAAC;AAC5B,OAAO,qBAAqB,CAAC;AAC7B,OAAO,YAAY,CAAC;AACpB,OAAO,oBAAoB,CAAC;AAC5B,OAAO,SAAS,CAAC;AACjB,OAAO,YAAY,CAAC;AACpB,OAAO,yBAAyB,CAAC;AACjC,OAAO,mBAAmB,CAAC;AAC3B,OAAO,yBAAyB,CAAC;AACjC,OAAO,kCAAkC,CAAC","sourcesContent":["import './account';\nimport './account-actions-with-credential';\nimport './api-service';\nimport './experimental/exchange';\nimport './order';\nimport './order-actions';\nimport './order-actions-with-credential';\nimport './public-data/interest_rate';\nimport './public-data/market-order';\nimport './public-data/ohlc';\nimport './public-data/quote';\nimport './services';\nimport './strategy-account';\nimport './trade';\nimport './transfer';\nimport './public-data/new-quote';\nimport './services/quotes';\nimport './services/ohlc-service';\nimport './services/interest-rate-service';\n"]}

package/dist/services/interest-rate-service.js

@@ -0,0 +1,76 @@
+import { provideInterestRateService } from '@yuants/exchange';
+import { Terminal } from '@yuants/protocol';
+import { decodePath, formatTime } from '@yuants/utils';
+import { getFundingRateHistory, getLendingRateHistory } from '../api/public-api';
+const terminal = Terminal.fromNodeEnv();
+const fetchSwapFundingRateBackward = async (req) => {
+    const [, instType, instId] = decodePath(req.product_id);
+    if (instType !== 'SWAP' || !instId)
+        throw new Error(`Unsupported product_id: ${req.product_id}`);
+    const endedAtMs = req.time;
+    const res = await getFundingRateHistory({ instId, after: `${endedAtMs}` });
+    if (res.code !== '0') {
+        throw new Error(`OKX getFundingRateHistory failed: ${res.code} ${res.msg}`);
+    }
+    return res.data
+        .map((v) => {
+        const ms = Number(v.fundingTime);
+        const rate = Number(v.fundingRate);
+        return {
+            series_id: req.series_id,
+            product_id: req.product_id,
+            datasource_id: 'OKX',
+            created_at: formatTime(ms),
+            long_rate: `${-rate}`,
+            short_rate: `${rate}`,
+            settlement_price: '',
+        };
+    })
+        .filter((x) => Date.parse(x.created_at) < endedAtMs);
+};
+const fetchMarginInterestRateBackward = async (req) => {
+    const [, instType, instId] = decodePath(req.product_id);
+    if (instType !== 'MARGIN' || !instId)
+        throw new Error(`Unsupported product_id: ${req.product_id}`);
+    const [base, quote] = instId.split('-');
+    if (!base || !quote)
+        throw new Error(`Invalid MARGIN instId: ${instId}`);
+    const endedAtMs = req.time;
+    const [resBase, resQuote] = await Promise.all([
+        getLendingRateHistory({ ccy: base, after: `${endedAtMs}` }),
+        getLendingRateHistory({ ccy: quote, after: `${endedAtMs}` }),
+    ]);
+    if (resBase.code !== '0')
+        throw new Error(`OKX getLendingRateHistory failed: ${resBase.code} ${resBase.msg}`);
+    if (resQuote.code !== '0')
+        throw new Error(`OKX getLendingRateHistory failed: ${resQuote.code} ${resQuote.msg}`);
+    const mapTsToBaseRate = new Map();
+    resBase.data.forEach((v) => mapTsToBaseRate.set(v.ts, v.rate));
+    const data = [];
+    resQuote.data.forEach((v) => {
+        const baseRate = mapTsToBaseRate.get(v.ts);
+        if (!baseRate)
+            return;
+        const longRate = Number(v.rate) / 365 / 24;
+        const shortRate = Number(baseRate) / 365 / 24;
+        data.push({
+            series_id: req.series_id,
+            product_id: req.product_id,
+            datasource_id: 'OKX',
+            created_at: formatTime(+v.ts),
+            long_rate: `${-longRate}`,
+            short_rate: `${-shortRate}`,
+            settlement_price: '',
+        });
+    });
+    return data.filter((x) => Date.parse(x.created_at) < endedAtMs);
+};
+provideInterestRateService(terminal, {
+    product_id_prefix: 'OKX/SWAP/',
+    direction: 'backward',
+}, fetchSwapFundingRateBackward);
+provideInterestRateService(terminal, {
+    product_id_prefix: 'OKX/MARGIN/',
+    direction: 'backward',
+}, fetchMarginInterestRateBackward);
+//# sourceMappingURL=interest-rate-service.js.map

package/dist/services/interest-rate-service.js.map

@@ -0,0 +1 @@
+{"version":3,"file":"interest-rate-service.js","sourceRoot":"","sources":["../../src/services/interest-rate-service.ts"],"names":[],"mappings":"AACA,OAAO,EAAE,0BAA0B,EAAE,MAAM,kBAAkB,CAAC;AAC9D,OAAO,EAAE,QAAQ,EAAE,MAAM,kBAAkB,CAAC;AAC5C,OAAO,EAAE,UAAU,EAAE,UAAU,EAAE,MAAM,eAAe,CAAC;AACvD,OAAO,EAAE,qBAAqB,EAAE,qBAAqB,EAAE,MAAM,mBAAmB,CAAC;AAEjF,MAAM,QAAQ,GAAG,QAAQ,CAAC,WAAW,EAAE,CAAC;AAExC,MAAM,4BAA4B,GAAG,KAAK,EAAE,GAI3C,EAA4B,EAAE;IAC7B,MAAM,CAAC,EAAE,QAAQ,EAAE,MAAM,CAAC,GAAG,UAAU,CAAC,GAAG,CAAC,UAAU,CAAC,CAAC;IACxD,IAAI,QAAQ,KAAK,MAAM,IAAI,CAAC,MAAM;QAAE,MAAM,IAAI,KAAK,CAAC,2BAA2B,GAAG,CAAC,UAAU,EAAE,CAAC,CAAC;IAEjG,MAAM,SAAS,GAAG,GAAG,CAAC,IAAI,CAAC;IAC3B,MAAM,GAAG,GAAG,MAAM,qBAAqB,CAAC,EAAE,MAAM,EAAE,KAAK,EAAE,GAAG,SAAS,EAAE,EAAE,CAAC,CAAC;IAC3E,IAAI,GAAG,CAAC,IAAI,KAAK,GAAG,EAAE;QACpB,MAAM,IAAI,KAAK,CAAC,qCAAqC,GAAG,CAAC,IAAI,IAAI,GAAG,CAAC,GAAG,EAAE,CAAC,CAAC;KAC7E;IAED,OAAO,GAAG,CAAC,IAAI;SACZ,GAAG,CAAC,CAAC,CAAC,EAAiB,EAAE;QACxB,MAAM,EAAE,GAAG,MAAM,CAAC,CAAC,CAAC,WAAW,CAAC,CAAC;QACjC,MAAM,IAAI,GAAG,MAAM,CAAC,CAAC,CAAC,WAAW,CAAC,CAAC;QACnC,OAAO;YACL,SAAS,EAAE,GAAG,CAAC,SAAS;YACxB,UAAU,EAAE,GAAG,CAAC,UAAU;YAC1B,aAAa,EAAE,KAAK;YACpB,UAAU,EAAE,UAAU,CAAC,EAAE,CAAC;YAC1B,SAAS,EAAE,GAAG,CAAC,IAAI,EAAE;YACrB,UAAU,EAAE,GAAG,IAAI,EAAE;YACrB,gBAAgB,EAAE,EAAE;SACrB,CAAC;IACJ,CAAC,CAAC;SACD,MAAM,CAAC,CAAC,CAAC,EAAE,EAAE,CAAC,IAAI,CAAC,KAAK,CAAC,CAAC,CAAC,UAAU,CAAC,GAAG,SAAS,CAAC,CAAC;AACzD,CAAC,CAAC;AAEF,MAAM,+BAA+B,GAAG,KAAK,EAAE,GAI9C,EAA4B,EAAE;IAC7B,MAAM,CAAC,EAAE,QAAQ,EAAE,MAAM,CAAC,GAAG,UAAU,CAAC,GAAG,CAAC,UAAU,CAAC,CAAC;IACxD,IAAI,QAAQ,KAAK,QAAQ,IAAI,CAAC,MAAM;QAAE,MAAM,IAAI,KAAK,CAAC,2BAA2B,GAAG,CAAC,UAAU,EAAE,CAAC,CAAC;IAEnG,MAAM,CAAC,IAAI,EAAE,KAAK,CAAC,GAAG,MAAM,CAAC,KAAK,CAAC,GAAG,CAAC,CAAC;IACxC,IAAI,CAAC,IAAI,IAAI,CAAC,KAAK;QAAE,MAAM,IAAI,KAAK,CAAC,0BAA0B,MAAM,EAAE,CAAC,CAAC;IAEzE,MAAM,SAAS,GAAG,GAAG,CAAC,IAAI,CAAC;IAE3B,MAAM,CAAC,OAAO,EAAE,QAAQ,CAAC,GAAG,MAAM,OAAO,CAAC,GAAG,CAAC;QAC5C,qBAAqB,CAAC,EAAE,GAAG,EAAE,IAAI,EAAE,KAAK,EAAE,GAAG,SAAS,EAAE,EAAE,CAAC;QAC3D,qBAAqB,CAAC,EAAE,GAAG,EAAE,KAAK,EAAE,KAAK,EAAE,GAAG,SAAS,EAAE,EAAE,CAAC;KAC7D,CAAC,CAAC;IAEH,IAAI,OAAO,CAAC,IAAI,KAAK,GAAG;QACtB,MAAM,IAAI,KAAK,CAAC,qCAAqC,OAAO,CAAC,IAAI,IAAI,OAAO,CAAC,GAAG,EAAE,CAAC,CAAC;IACtF,IAAI,QAAQ,CAAC,IAAI,KAAK,GAAG;QACvB,MAAM,IAAI,KAAK,CAAC,qCAAqC,QAAQ,CAAC,IAAI,IAAI,QAAQ,CAAC,GAAG,EAAE,CAAC,CAAC;IAExF,MAAM,eAAe,GAAG,IAAI,GAAG,EAAkB,CAAC;IAClD,OAAO,CAAC,IAAI,CAAC,OAAO,CAAC,CAAC,CAAC,EAAE,EAAE,CAAC,eAAe,CAAC,GAAG,CAAC,CAAC,CAAC,EAAE,EAAE,CAAC,CAAC,IAAI,CAAC,CAAC,CAAC;IAE/D,MAAM,IAAI,GAAoB,EAAE,CAAC;IACjC,QAAQ,CAAC,IAAI,CAAC,OAAO,CAAC,CAAC,CAAC,EAAE,EAAE;QAC1B,MAAM,QAAQ,GAAG,eAAe,CAAC,GAAG,CAAC,CAAC,CAAC,EAAE,CAAC,CAAC;QAC3C,IAAI,CAAC,QAAQ;YAAE,OAAO;QAEtB,MAAM,QAAQ,GAAG,MAAM,CAAC,CAAC,CAAC,IAAI,CAAC,GAAG,GAAG,GAAG,EAAE,CAAC;QAC3C,MAAM,SAAS,GAAG,MAAM,CAAC,QAAQ,CAAC,GAAG,GAAG,GAAG,EAAE,CAAC;QAE9C,IAAI,CAAC,IAAI,CAAC;YACR,SAAS,EAAE,GAAG,CAAC,SAAS;YACxB,UAAU,EAAE,GAAG,CAAC,UAAU;YAC1B,aAAa,EAAE,KAAK;YACpB,UAAU,EAAE,UAAU,CAAC,CAAC,CAAC,CAAC,EAAE,CAAC;YAC7B,SAAS,EAAE,GAAG,CAAC,QAAQ,EAAE;YACzB,UAAU,EAAE,GAAG,CAAC,SAAS,EAAE;YAC3B,gBAAgB,EAAE,EAAE;SACrB,CAAC,CAAC;IACL,CAAC,CAAC,CAAC;IAEH,OAAO,IAAI,CAAC,MAAM,CAAC,CAAC,CAAC,EAAE,EAAE,CAAC,IAAI,CAAC,KAAK,CAAC,CAAC,CAAC,UAAU,CAAC,GAAG,SAAS,CAAC,CAAC;AAClE,CAAC,CAAC;AAEF,0BAA0B,CACxB,QAAQ,EACR;IACE,iBAAiB,EAAE,WAAW;IAC9B,SAAS,EAAE,UAAU;CACtB,EACD,4BAA4B,CAC7B,CAAC;AAEF,0BAA0B,CACxB,QAAQ,EACR;IACE,iBAAiB,EAAE,aAAa;IAChC,SAAS,EAAE,UAAU;CACtB,EACD,+BAA+B,CAChC,CAAC","sourcesContent":["import { IInterestRate } from '@yuants/data-interest-rate';\nimport { provideInterestRateService } from '@yuants/exchange';\nimport { Terminal } from '@yuants/protocol';\nimport { decodePath, formatTime } from '@yuants/utils';\nimport { getFundingRateHistory, getLendingRateHistory } from '../api/public-api';\n\nconst terminal = Terminal.fromNodeEnv();\n\nconst fetchSwapFundingRateBackward = async (req: {\n  product_id: string;\n  time: number;\n  series_id: string;\n}): Promise<IInterestRate[]> => {\n  const [, instType, instId] = decodePath(req.product_id);\n  if (instType !== 'SWAP' || !instId) throw new Error(`Unsupported product_id: ${req.product_id}`);\n\n  const endedAtMs = req.time;\n  const res = await getFundingRateHistory({ instId, after: `${endedAtMs}` });\n  if (res.code !== '0') {\n    throw new Error(`OKX getFundingRateHistory failed: ${res.code} ${res.msg}`);\n  }\n\n  return res.data\n    .map((v): IInterestRate => {\n      const ms = Number(v.fundingTime);\n      const rate = Number(v.fundingRate);\n      return {\n        series_id: req.series_id,\n        product_id: req.product_id,\n        datasource_id: 'OKX',\n        created_at: formatTime(ms),\n        long_rate: `${-rate}`,\n        short_rate: `${rate}`,\n        settlement_price: '',\n      };\n    })\n    .filter((x) => Date.parse(x.created_at) < endedAtMs);\n};\n\nconst fetchMarginInterestRateBackward = async (req: {\n  product_id: string;\n  time: number;\n  series_id: string;\n}): Promise<IInterestRate[]> => {\n  const [, instType, instId] = decodePath(req.product_id);\n  if (instType !== 'MARGIN' || !instId) throw new Error(`Unsupported product_id: ${req.product_id}`);\n\n  const [base, quote] = instId.split('-');\n  if (!base || !quote) throw new Error(`Invalid MARGIN instId: ${instId}`);\n\n  const endedAtMs = req.time;\n\n  const [resBase, resQuote] = await Promise.all([\n    getLendingRateHistory({ ccy: base, after: `${endedAtMs}` }),\n    getLendingRateHistory({ ccy: quote, after: `${endedAtMs}` }),\n  ]);\n\n  if (resBase.code !== '0')\n    throw new Error(`OKX getLendingRateHistory failed: ${resBase.code} ${resBase.msg}`);\n  if (resQuote.code !== '0')\n    throw new Error(`OKX getLendingRateHistory failed: ${resQuote.code} ${resQuote.msg}`);\n\n  const mapTsToBaseRate = new Map<string, string>();\n  resBase.data.forEach((v) => mapTsToBaseRate.set(v.ts, v.rate));\n\n  const data: IInterestRate[] = [];\n  resQuote.data.forEach((v) => {\n    const baseRate = mapTsToBaseRate.get(v.ts);\n    if (!baseRate) return;\n\n    const longRate = Number(v.rate) / 365 / 24;\n    const shortRate = Number(baseRate) / 365 / 24;\n\n    data.push({\n      series_id: req.series_id,\n      product_id: req.product_id,\n      datasource_id: 'OKX',\n      created_at: formatTime(+v.ts),\n      long_rate: `${-longRate}`,\n      short_rate: `${-shortRate}`,\n      settlement_price: '',\n    });\n  });\n\n  return data.filter((x) => Date.parse(x.created_at) < endedAtMs);\n};\n\nprovideInterestRateService(\n  terminal,\n  {\n    product_id_prefix: 'OKX/SWAP/',\n    direction: 'backward',\n  },\n  fetchSwapFundingRateBackward,\n);\n\nprovideInterestRateService(\n  terminal,\n  {\n    product_id_prefix: 'OKX/MARGIN/',\n    direction: 'backward',\n  },\n  fetchMarginInterestRateBackward,\n);\n"]}

package/dist/services/ohlc-service.js

@@ -0,0 +1,71 @@
+import { provideOHLCService } from '@yuants/exchange';
+import { Terminal } from '@yuants/protocol';
+import { convertDurationToOffset, decodePath, formatTime } from '@yuants/utils';
+import { getHistoryCandles } from '../api/public-api';
+const terminal = Terminal.fromNodeEnv();
+const DURATION_TO_OKX_BAR_TYPE = {
+    PT1M: '1m',
+    PT3M: '3m',
+    PT5M: '5m',
+    PT15M: '15m',
+    PT30M: '30m',
+    PT1H: '1H',
+    PT2H: '2H',
+    PT4H: '4H',
+    PT6H: '6H',
+    PT12H: '12H',
+    P1D: '1D',
+    P1W: '1W',
+    P1M: '1M',
+};
+const fetchOHLCPageBackward = async (req) => {
+    const [, instType, instId] = decodePath(req.product_id);
+    if (!instType || !instId)
+        throw new Error(`Invalid product_id: ${req.product_id}`);
+    const bar = DURATION_TO_OKX_BAR_TYPE[req.duration];
+    if (!bar)
+        throw new Error(`Unsupported duration: ${req.duration}`);
+    const offset = convertDurationToOffset(req.duration);
+    const endedAtMs = req.time;
+    const res = await getHistoryCandles({
+        instId,
+        bar,
+        after: `${endedAtMs}`,
+        limit: '300',
+    });
+    if (res.code !== '0') {
+        throw new Error(`OKX getHistoryCandles failed: ${res.code} ${res.msg}`);
+    }
+    return res.data
+        .map((x) => ({
+        series_id: req.series_id,
+        datasource_id: 'OKX',
+        product_id: req.product_id,
+        duration: req.duration,
+        created_at: formatTime(+x[0]),
+        closed_at: formatTime(+x[0] + offset),
+        open: x[1],
+        high: x[2],
+        low: x[3],
+        close: x[4],
+        volume: x[5],
+        open_interest: '0',
+    }))
+        .filter((x) => Date.parse(x.created_at) < endedAtMs);
+};
+provideOHLCService(terminal, {
+    product_id_prefix: 'OKX/SWAP/',
+    duration_list: Object.keys(DURATION_TO_OKX_BAR_TYPE),
+    direction: 'backward',
+}, fetchOHLCPageBackward);
+provideOHLCService(terminal, {
+    product_id_prefix: 'OKX/SPOT/',
+    duration_list: Object.keys(DURATION_TO_OKX_BAR_TYPE),
+    direction: 'backward',
+}, fetchOHLCPageBackward);
+provideOHLCService(terminal, {
+    product_id_prefix: 'OKX/MARGIN/',
+    duration_list: Object.keys(DURATION_TO_OKX_BAR_TYPE),
+    direction: 'backward',
+}, fetchOHLCPageBackward);
+//# sourceMappingURL=ohlc-service.js.map

package/dist/services/ohlc-service.js.map

@@ -0,0 +1 @@
+{"version":3,"file":"ohlc-service.js","sourceRoot":"","sources":["../../src/services/ohlc-service.ts"],"names":[],"mappings":"AAAA,OAAO,EAAE,kBAAkB,EAAE,MAAM,kBAAkB,CAAC;AAEtD,OAAO,EAAE,QAAQ,EAAE,MAAM,kBAAkB,CAAC;AAC5C,OAAO,EAAE,uBAAuB,EAAE,UAAU,EAAE,UAAU,EAAE,MAAM,eAAe,CAAC;AAChF,OAAO,EAAE,iBAAiB,EAAE,MAAM,mBAAmB,CAAC;AAEtD,MAAM,QAAQ,GAAG,QAAQ,CAAC,WAAW,EAAE,CAAC;AAExC,MAAM,wBAAwB,GAA2B;IACvD,IAAI,EAAE,IAAI;IACV,IAAI,EAAE,IAAI;IACV,IAAI,EAAE,IAAI;IACV,KAAK,EAAE,KAAK;IACZ,KAAK,EAAE,KAAK;IAEZ,IAAI,EAAE,IAAI;IACV,IAAI,EAAE,IAAI;IACV,IAAI,EAAE,IAAI;IACV,IAAI,EAAE,IAAI;IACV,KAAK,EAAE,KAAK;IAEZ,GAAG,EAAE,IAAI;IACT,GAAG,EAAE,IAAI;IACT,GAAG,EAAE,IAAI;CACV,CAAC;AAEF,MAAM,qBAAqB,GAAG,KAAK,EAAE,GAKpC,EAAoB,EAAE;IACrB,MAAM,CAAC,EAAE,QAAQ,EAAE,MAAM,CAAC,GAAG,UAAU,CAAC,GAAG,CAAC,UAAU,CAAC,CAAC;IACxD,IAAI,CAAC,QAAQ,IAAI,CAAC,MAAM;QAAE,MAAM,IAAI,KAAK,CAAC,uBAAuB,GAAG,CAAC,UAAU,EAAE,CAAC,CAAC;IAEnF,MAAM,GAAG,GAAG,wBAAwB,CAAC,GAAG,CAAC,QAAQ,CAAC,CAAC;IACnD,IAAI,CAAC,GAAG;QAAE,MAAM,IAAI,KAAK,CAAC,yBAAyB,GAAG,CAAC,QAAQ,EAAE,CAAC,CAAC;IAEnE,MAAM,MAAM,GAAG,uBAAuB,CAAC,GAAG,CAAC,QAAQ,CAAC,CAAC;IACrD,MAAM,SAAS,GAAG,GAAG,CAAC,IAAI,CAAC;IAE3B,MAAM,GAAG,GAAG,MAAM,iBAAiB,CAAC;QAClC,MAAM;QACN,GAAG;QACH,KAAK,EAAE,GAAG,SAAS,EAAE;QACrB,KAAK,EAAE,KAAK;KACb,CAAC,CAAC;IACH,IAAI,GAAG,CAAC,IAAI,KAAK,GAAG,EAAE;QACpB,MAAM,IAAI,KAAK,CAAC,iCAAiC,GAAG,CAAC,IAAI,IAAI,GAAG,CAAC,GAAG,EAAE,CAAC,CAAC;KACzE;IAED,OAAO,GAAG,CAAC,IAAI;SACZ,GAAG,CACF,CAAC,CAAC,EAAS,EAAE,CAAC,CAAC;QACb,SAAS,EAAE,GAAG,CAAC,SAAS;QACxB,aAAa,EAAE,KAAK;QACpB,UAAU,EAAE,GAAG,CAAC,UAAU;QAC1B,QAAQ,EAAE,GAAG,CAAC,QAAQ;QACtB,UAAU,EAAE,UAAU,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC;QAC7B,SAAS,EAAE,UAAU,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,GAAG,MAAM,CAAC;QACrC,IAAI,EAAE,CAAC,CAAC,CAAC,CAAC;QACV,IAAI,EAAE,CAAC,CAAC,CAAC,CAAC;QACV,GAAG,EAAE,CAAC,CAAC,CAAC,CAAC;QACT,KAAK,EAAE,CAAC,CAAC,CAAC,CAAC;QACX,MAAM,EAAE,CAAC,CAAC,CAAC,CAAC;QACZ,aAAa,EAAE,GAAG;KACnB,CAAC,CACH;SACA,MAAM,CAAC,CAAC,CAAC,EAAE,EAAE,CAAC,IAAI,CAAC,KAAK,CAAC,CAAC,CAAC,UAAU,CAAC,GAAG,SAAS,CAAC,CAAC;AACzD,CAAC,CAAC;AAEF,kBAAkB,CAChB,QAAQ,EACR;IACE,iBAAiB,EAAE,WAAW;IAC9B,aAAa,EAAE,MAAM,CAAC,IAAI,CAAC,wBAAwB,CAAC;IACpD,SAAS,EAAE,UAAU;CACtB,EACD,qBAAqB,CACtB,CAAC;AAEF,kBAAkB,CAChB,QAAQ,EACR;IACE,iBAAiB,EAAE,WAAW;IAC9B,aAAa,EAAE,MAAM,CAAC,IAAI,CAAC,wBAAwB,CAAC;IACpD,SAAS,EAAE,UAAU;CACtB,EACD,qBAAqB,CACtB,CAAC;AAEF,kBAAkB,CAChB,QAAQ,EACR;IACE,iBAAiB,EAAE,aAAa;IAChC,aAAa,EAAE,MAAM,CAAC,IAAI,CAAC,wBAAwB,CAAC;IACpD,SAAS,EAAE,UAAU;CACtB,EACD,qBAAqB,CACtB,CAAC","sourcesContent":["import { provideOHLCService } from '@yuants/exchange';\nimport { IOHLC } from '@yuants/data-ohlc';\nimport { Terminal } from '@yuants/protocol';\nimport { convertDurationToOffset, decodePath, formatTime } from '@yuants/utils';\nimport { getHistoryCandles } from '../api/public-api';\n\nconst terminal = Terminal.fromNodeEnv();\n\nconst DURATION_TO_OKX_BAR_TYPE: Record<string, string> = {\n  PT1M: '1m',\n  PT3M: '3m',\n  PT5M: '5m',\n  PT15M: '15m',\n  PT30M: '30m',\n\n  PT1H: '1H',\n  PT2H: '2H',\n  PT4H: '4H',\n  PT6H: '6H',\n  PT12H: '12H',\n\n  P1D: '1D',\n  P1W: '1W',\n  P1M: '1M',\n};\n\nconst fetchOHLCPageBackward = async (req: {\n  product_id: string;\n  duration: string;\n  time: number;\n  series_id: string;\n}): Promise<IOHLC[]> => {\n  const [, instType, instId] = decodePath(req.product_id);\n  if (!instType || !instId) throw new Error(`Invalid product_id: ${req.product_id}`);\n\n  const bar = DURATION_TO_OKX_BAR_TYPE[req.duration];\n  if (!bar) throw new Error(`Unsupported duration: ${req.duration}`);\n\n  const offset = convertDurationToOffset(req.duration);\n  const endedAtMs = req.time;\n\n  const res = await getHistoryCandles({\n    instId,\n    bar,\n    after: `${endedAtMs}`,\n    limit: '300',\n  });\n  if (res.code !== '0') {\n    throw new Error(`OKX getHistoryCandles failed: ${res.code} ${res.msg}`);\n  }\n\n  return res.data\n    .map(\n      (x): IOHLC => ({\n        series_id: req.series_id,\n        datasource_id: 'OKX',\n        product_id: req.product_id,\n        duration: req.duration,\n        created_at: formatTime(+x[0]),\n        closed_at: formatTime(+x[0] + offset),\n        open: x[1],\n        high: x[2],\n        low: x[3],\n        close: x[4],\n        volume: x[5],\n        open_interest: '0',\n      }),\n    )\n    .filter((x) => Date.parse(x.created_at) < endedAtMs);\n};\n\nprovideOHLCService(\n  terminal,\n  {\n    product_id_prefix: 'OKX/SWAP/',\n    duration_list: Object.keys(DURATION_TO_OKX_BAR_TYPE),\n    direction: 'backward',\n  },\n  fetchOHLCPageBackward,\n);\n\nprovideOHLCService(\n  terminal,\n  {\n    product_id_prefix: 'OKX/SPOT/',\n    duration_list: Object.keys(DURATION_TO_OKX_BAR_TYPE),\n    direction: 'backward',\n  },\n  fetchOHLCPageBackward,\n);\n\nprovideOHLCService(\n  terminal,\n  {\n    product_id_prefix: 'OKX/MARGIN/',\n    duration_list: Object.keys(DURATION_TO_OKX_BAR_TYPE),\n    direction: 'backward',\n  },\n  fetchOHLCPageBackward,\n);\n"]}

package/lib/index.d.ts

@@ -15,4 +15,6 @@ import './trade';
 import './transfer';
 import './public-data/new-quote';
 import './services/quotes';
+import './services/ohlc-service';
+import './services/interest-rate-service';
 //# sourceMappingURL=index.d.ts.map

package/lib/index.d.ts.map

@@ -1 +1 @@
-{"version":3,"file":"index.d.ts","sourceRoot":"","sources":["../src/index.ts"],"names":[],"mappings":"AAAA,OAAO,WAAW,CAAC;AACnB,OAAO,mCAAmC,CAAC;AAC3C,OAAO,eAAe,CAAC;AACvB,OAAO,yBAAyB,CAAC;AACjC,OAAO,SAAS,CAAC;AACjB,OAAO,iBAAiB,CAAC;AACzB,OAAO,iCAAiC,CAAC;AACzC,OAAO,6BAA6B,CAAC;AACrC,OAAO,4BAA4B,CAAC;AACpC,OAAO,oBAAoB,CAAC;AAC5B,OAAO,qBAAqB,CAAC;AAC7B,OAAO,YAAY,CAAC;AACpB,OAAO,oBAAoB,CAAC;AAC5B,OAAO,SAAS,CAAC;AACjB,OAAO,YAAY,CAAC;AACpB,OAAO,yBAAyB,CAAC;AACjC,OAAO,mBAAmB,CAAC"}
+{"version":3,"file":"index.d.ts","sourceRoot":"","sources":["../src/index.ts"],"names":[],"mappings":"AAAA,OAAO,WAAW,CAAC;AACnB,OAAO,mCAAmC,CAAC;AAC3C,OAAO,eAAe,CAAC;AACvB,OAAO,yBAAyB,CAAC;AACjC,OAAO,SAAS,CAAC;AACjB,OAAO,iBAAiB,CAAC;AACzB,OAAO,iCAAiC,CAAC;AACzC,OAAO,6BAA6B,CAAC;AACrC,OAAO,4BAA4B,CAAC;AACpC,OAAO,oBAAoB,CAAC;AAC5B,OAAO,qBAAqB,CAAC;AAC7B,OAAO,YAAY,CAAC;AACpB,OAAO,oBAAoB,CAAC;AAC5B,OAAO,SAAS,CAAC;AACjB,OAAO,YAAY,CAAC;AACpB,OAAO,yBAAyB,CAAC;AACjC,OAAO,mBAAmB,CAAC;AAC3B,OAAO,yBAAyB,CAAC;AACjC,OAAO,kCAAkC,CAAC"}

package/lib/index.js

@@ -17,4 +17,6 @@ require("./trade");
 require("./transfer");
 require("./public-data/new-quote");
 require("./services/quotes");
+require("./services/ohlc-service");
+require("./services/interest-rate-service");
 //# sourceMappingURL=index.js.map

package/lib/index.js.map

@@ -1 +1 @@
-{"version":3,"file":"index.js","sourceRoot":"","sources":["../src/index.ts"],"names":[],"mappings":";;AAAA,qBAAmB;AACnB,6CAA2C;AAC3C,yBAAuB;AACvB,mCAAiC;AACjC,mBAAiB;AACjB,2BAAyB;AACzB,2CAAyC;AACzC,uCAAqC;AACrC,sCAAoC;AACpC,8BAA4B;AAC5B,+BAA6B;AAC7B,sBAAoB;AACpB,8BAA4B;AAC5B,mBAAiB;AACjB,sBAAoB;AACpB,mCAAiC;AACjC,6BAA2B","sourcesContent":["import './account';\nimport './account-actions-with-credential';\nimport './api-service';\nimport './experimental/exchange';\nimport './order';\nimport './order-actions';\nimport './order-actions-with-credential';\nimport './public-data/interest_rate';\nimport './public-data/market-order';\nimport './public-data/ohlc';\nimport './public-data/quote';\nimport './services';\nimport './strategy-account';\nimport './trade';\nimport './transfer';\nimport './public-data/new-quote';\nimport './services/quotes';\n"]}
+{"version":3,"file":"index.js","sourceRoot":"","sources":["../src/index.ts"],"names":[],"mappings":";;AAAA,qBAAmB;AACnB,6CAA2C;AAC3C,yBAAuB;AACvB,mCAAiC;AACjC,mBAAiB;AACjB,2BAAyB;AACzB,2CAAyC;AACzC,uCAAqC;AACrC,sCAAoC;AACpC,8BAA4B;AAC5B,+BAA6B;AAC7B,sBAAoB;AACpB,8BAA4B;AAC5B,mBAAiB;AACjB,sBAAoB;AACpB,mCAAiC;AACjC,6BAA2B;AAC3B,mCAAiC;AACjC,4CAA0C","sourcesContent":["import './account';\nimport './account-actions-with-credential';\nimport './api-service';\nimport './experimental/exchange';\nimport './order';\nimport './order-actions';\nimport './order-actions-with-credential';\nimport './public-data/interest_rate';\nimport './public-data/market-order';\nimport './public-data/ohlc';\nimport './public-data/quote';\nimport './services';\nimport './strategy-account';\nimport './trade';\nimport './transfer';\nimport './public-data/new-quote';\nimport './services/quotes';\nimport './services/ohlc-service';\nimport './services/interest-rate-service';\n"]}

package/lib/services/interest-rate-service.d.ts

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

package/lib/services/interest-rate-service.d.ts.map

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

package/lib/services/interest-rate-service.js

@@ -0,0 +1,78 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+const exchange_1 = require("@yuants/exchange");
+const protocol_1 = require("@yuants/protocol");
+const utils_1 = require("@yuants/utils");
+const public_api_1 = require("../api/public-api");
+const terminal = protocol_1.Terminal.fromNodeEnv();
+const fetchSwapFundingRateBackward = async (req) => {
+    const [, instType, instId] = (0, utils_1.decodePath)(req.product_id);
+    if (instType !== 'SWAP' || !instId)
+        throw new Error(`Unsupported product_id: ${req.product_id}`);
+    const endedAtMs = req.time;
+    const res = await (0, public_api_1.getFundingRateHistory)({ instId, after: `${endedAtMs}` });
+    if (res.code !== '0') {
+        throw new Error(`OKX getFundingRateHistory failed: ${res.code} ${res.msg}`);
+    }
+    return res.data
+        .map((v) => {
+        const ms = Number(v.fundingTime);
+        const rate = Number(v.fundingRate);
+        return {
+            series_id: req.series_id,
+            product_id: req.product_id,
+            datasource_id: 'OKX',
+            created_at: (0, utils_1.formatTime)(ms),
+            long_rate: `${-rate}`,
+            short_rate: `${rate}`,
+            settlement_price: '',
+        };
+    })
+        .filter((x) => Date.parse(x.created_at) < endedAtMs);
+};
+const fetchMarginInterestRateBackward = async (req) => {
+    const [, instType, instId] = (0, utils_1.decodePath)(req.product_id);
+    if (instType !== 'MARGIN' || !instId)
+        throw new Error(`Unsupported product_id: ${req.product_id}`);
+    const [base, quote] = instId.split('-');
+    if (!base || !quote)
+        throw new Error(`Invalid MARGIN instId: ${instId}`);
+    const endedAtMs = req.time;
+    const [resBase, resQuote] = await Promise.all([
+        (0, public_api_1.getLendingRateHistory)({ ccy: base, after: `${endedAtMs}` }),
+        (0, public_api_1.getLendingRateHistory)({ ccy: quote, after: `${endedAtMs}` }),
+    ]);
+    if (resBase.code !== '0')
+        throw new Error(`OKX getLendingRateHistory failed: ${resBase.code} ${resBase.msg}`);
+    if (resQuote.code !== '0')
+        throw new Error(`OKX getLendingRateHistory failed: ${resQuote.code} ${resQuote.msg}`);
+    const mapTsToBaseRate = new Map();
+    resBase.data.forEach((v) => mapTsToBaseRate.set(v.ts, v.rate));
+    const data = [];
+    resQuote.data.forEach((v) => {
+        const baseRate = mapTsToBaseRate.get(v.ts);
+        if (!baseRate)
+            return;
+        const longRate = Number(v.rate) / 365 / 24;
+        const shortRate = Number(baseRate) / 365 / 24;
+        data.push({
+            series_id: req.series_id,
+            product_id: req.product_id,
+            datasource_id: 'OKX',
+            created_at: (0, utils_1.formatTime)(+v.ts),
+            long_rate: `${-longRate}`,
+            short_rate: `${-shortRate}`,
+            settlement_price: '',
+        });
+    });
+    return data.filter((x) => Date.parse(x.created_at) < endedAtMs);
+};
+(0, exchange_1.provideInterestRateService)(terminal, {
+    product_id_prefix: 'OKX/SWAP/',
+    direction: 'backward',
+}, fetchSwapFundingRateBackward);
+(0, exchange_1.provideInterestRateService)(terminal, {
+    product_id_prefix: 'OKX/MARGIN/',
+    direction: 'backward',
+}, fetchMarginInterestRateBackward);
+//# sourceMappingURL=interest-rate-service.js.map

package/lib/services/interest-rate-service.js.map

@@ -0,0 +1 @@
+{"version":3,"file":"interest-rate-service.js","sourceRoot":"","sources":["../../src/services/interest-rate-service.ts"],"names":[],"mappings":";;AACA,+CAA8D;AAC9D,+CAA4C;AAC5C,yCAAuD;AACvD,kDAAiF;AAEjF,MAAM,QAAQ,GAAG,mBAAQ,CAAC,WAAW,EAAE,CAAC;AAExC,MAAM,4BAA4B,GAAG,KAAK,EAAE,GAI3C,EAA4B,EAAE;IAC7B,MAAM,CAAC,EAAE,QAAQ,EAAE,MAAM,CAAC,GAAG,IAAA,kBAAU,EAAC,GAAG,CAAC,UAAU,CAAC,CAAC;IACxD,IAAI,QAAQ,KAAK,MAAM,IAAI,CAAC,MAAM;QAAE,MAAM,IAAI,KAAK,CAAC,2BAA2B,GAAG,CAAC,UAAU,EAAE,CAAC,CAAC;IAEjG,MAAM,SAAS,GAAG,GAAG,CAAC,IAAI,CAAC;IAC3B,MAAM,GAAG,GAAG,MAAM,IAAA,kCAAqB,EAAC,EAAE,MAAM,EAAE,KAAK,EAAE,GAAG,SAAS,EAAE,EAAE,CAAC,CAAC;IAC3E,IAAI,GAAG,CAAC,IAAI,KAAK,GAAG,EAAE;QACpB,MAAM,IAAI,KAAK,CAAC,qCAAqC,GAAG,CAAC,IAAI,IAAI,GAAG,CAAC,GAAG,EAAE,CAAC,CAAC;KAC7E;IAED,OAAO,GAAG,CAAC,IAAI;SACZ,GAAG,CAAC,CAAC,CAAC,EAAiB,EAAE;QACxB,MAAM,EAAE,GAAG,MAAM,CAAC,CAAC,CAAC,WAAW,CAAC,CAAC;QACjC,MAAM,IAAI,GAAG,MAAM,CAAC,CAAC,CAAC,WAAW,CAAC,CAAC;QACnC,OAAO;YACL,SAAS,EAAE,GAAG,CAAC,SAAS;YACxB,UAAU,EAAE,GAAG,CAAC,UAAU;YAC1B,aAAa,EAAE,KAAK;YACpB,UAAU,EAAE,IAAA,kBAAU,EAAC,EAAE,CAAC;YAC1B,SAAS,EAAE,GAAG,CAAC,IAAI,EAAE;YACrB,UAAU,EAAE,GAAG,IAAI,EAAE;YACrB,gBAAgB,EAAE,EAAE;SACrB,CAAC;IACJ,CAAC,CAAC;SACD,MAAM,CAAC,CAAC,CAAC,EAAE,EAAE,CAAC,IAAI,CAAC,KAAK,CAAC,CAAC,CAAC,UAAU,CAAC,GAAG,SAAS,CAAC,CAAC;AACzD,CAAC,CAAC;AAEF,MAAM,+BAA+B,GAAG,KAAK,EAAE,GAI9C,EAA4B,EAAE;IAC7B,MAAM,CAAC,EAAE,QAAQ,EAAE,MAAM,CAAC,GAAG,IAAA,kBAAU,EAAC,GAAG,CAAC,UAAU,CAAC,CAAC;IACxD,IAAI,QAAQ,KAAK,QAAQ,IAAI,CAAC,MAAM;QAAE,MAAM,IAAI,KAAK,CAAC,2BAA2B,GAAG,CAAC,UAAU,EAAE,CAAC,CAAC;IAEnG,MAAM,CAAC,IAAI,EAAE,KAAK,CAAC,GAAG,MAAM,CAAC,KAAK,CAAC,GAAG,CAAC,CAAC;IACxC,IAAI,CAAC,IAAI,IAAI,CAAC,KAAK;QAAE,MAAM,IAAI,KAAK,CAAC,0BAA0B,MAAM,EAAE,CAAC,CAAC;IAEzE,MAAM,SAAS,GAAG,GAAG,CAAC,IAAI,CAAC;IAE3B,MAAM,CAAC,OAAO,EAAE,QAAQ,CAAC,GAAG,MAAM,OAAO,CAAC,GAAG,CAAC;QAC5C,IAAA,kCAAqB,EAAC,EAAE,GAAG,EAAE,IAAI,EAAE,KAAK,EAAE,GAAG,SAAS,EAAE,EAAE,CAAC;QAC3D,IAAA,kCAAqB,EAAC,EAAE,GAAG,EAAE,KAAK,EAAE,KAAK,EAAE,GAAG,SAAS,EAAE,EAAE,CAAC;KAC7D,CAAC,CAAC;IAEH,IAAI,OAAO,CAAC,IAAI,KAAK,GAAG;QACtB,MAAM,IAAI,KAAK,CAAC,qCAAqC,OAAO,CAAC,IAAI,IAAI,OAAO,CAAC,GAAG,EAAE,CAAC,CAAC;IACtF,IAAI,QAAQ,CAAC,IAAI,KAAK,GAAG;QACvB,MAAM,IAAI,KAAK,CAAC,qCAAqC,QAAQ,CAAC,IAAI,IAAI,QAAQ,CAAC,GAAG,EAAE,CAAC,CAAC;IAExF,MAAM,eAAe,GAAG,IAAI,GAAG,EAAkB,CAAC;IAClD,OAAO,CAAC,IAAI,CAAC,OAAO,CAAC,CAAC,CAAC,EAAE,EAAE,CAAC,eAAe,CAAC,GAAG,CAAC,CAAC,CAAC,EAAE,EAAE,CAAC,CAAC,IAAI,CAAC,CAAC,CAAC;IAE/D,MAAM,IAAI,GAAoB,EAAE,CAAC;IACjC,QAAQ,CAAC,IAAI,CAAC,OAAO,CAAC,CAAC,CAAC,EAAE,EAAE;QAC1B,MAAM,QAAQ,GAAG,eAAe,CAAC,GAAG,CAAC,CAAC,CAAC,EAAE,CAAC,CAAC;QAC3C,IAAI,CAAC,QAAQ;YAAE,OAAO;QAEtB,MAAM,QAAQ,GAAG,MAAM,CAAC,CAAC,CAAC,IAAI,CAAC,GAAG,GAAG,GAAG,EAAE,CAAC;QAC3C,MAAM,SAAS,GAAG,MAAM,CAAC,QAAQ,CAAC,GAAG,GAAG,GAAG,EAAE,CAAC;QAE9C,IAAI,CAAC,IAAI,CAAC;YACR,SAAS,EAAE,GAAG,CAAC,SAAS;YACxB,UAAU,EAAE,GAAG,CAAC,UAAU;YAC1B,aAAa,EAAE,KAAK;YACpB,UAAU,EAAE,IAAA,kBAAU,EAAC,CAAC,CAAC,CAAC,EAAE,CAAC;YAC7B,SAAS,EAAE,GAAG,CAAC,QAAQ,EAAE;YACzB,UAAU,EAAE,GAAG,CAAC,SAAS,EAAE;YAC3B,gBAAgB,EAAE,EAAE;SACrB,CAAC,CAAC;IACL,CAAC,CAAC,CAAC;IAEH,OAAO,IAAI,CAAC,MAAM,CAAC,CAAC,CAAC,EAAE,EAAE,CAAC,IAAI,CAAC,KAAK,CAAC,CAAC,CAAC,UAAU,CAAC,GAAG,SAAS,CAAC,CAAC;AAClE,CAAC,CAAC;AAEF,IAAA,qCAA0B,EACxB,QAAQ,EACR;IACE,iBAAiB,EAAE,WAAW;IAC9B,SAAS,EAAE,UAAU;CACtB,EACD,4BAA4B,CAC7B,CAAC;AAEF,IAAA,qCAA0B,EACxB,QAAQ,EACR;IACE,iBAAiB,EAAE,aAAa;IAChC,SAAS,EAAE,UAAU;CACtB,EACD,+BAA+B,CAChC,CAAC","sourcesContent":["import { IInterestRate } from '@yuants/data-interest-rate';\nimport { provideInterestRateService } from '@yuants/exchange';\nimport { Terminal } from '@yuants/protocol';\nimport { decodePath, formatTime } from '@yuants/utils';\nimport { getFundingRateHistory, getLendingRateHistory } from '../api/public-api';\n\nconst terminal = Terminal.fromNodeEnv();\n\nconst fetchSwapFundingRateBackward = async (req: {\n  product_id: string;\n  time: number;\n  series_id: string;\n}): Promise<IInterestRate[]> => {\n  const [, instType, instId] = decodePath(req.product_id);\n  if (instType !== 'SWAP' || !instId) throw new Error(`Unsupported product_id: ${req.product_id}`);\n\n  const endedAtMs = req.time;\n  const res = await getFundingRateHistory({ instId, after: `${endedAtMs}` });\n  if (res.code !== '0') {\n    throw new Error(`OKX getFundingRateHistory failed: ${res.code} ${res.msg}`);\n  }\n\n  return res.data\n    .map((v): IInterestRate => {\n      const ms = Number(v.fundingTime);\n      const rate = Number(v.fundingRate);\n      return {\n        series_id: req.series_id,\n        product_id: req.product_id,\n        datasource_id: 'OKX',\n        created_at: formatTime(ms),\n        long_rate: `${-rate}`,\n        short_rate: `${rate}`,\n        settlement_price: '',\n      };\n    })\n    .filter((x) => Date.parse(x.created_at) < endedAtMs);\n};\n\nconst fetchMarginInterestRateBackward = async (req: {\n  product_id: string;\n  time: number;\n  series_id: string;\n}): Promise<IInterestRate[]> => {\n  const [, instType, instId] = decodePath(req.product_id);\n  if (instType !== 'MARGIN' || !instId) throw new Error(`Unsupported product_id: ${req.product_id}`);\n\n  const [base, quote] = instId.split('-');\n  if (!base || !quote) throw new Error(`Invalid MARGIN instId: ${instId}`);\n\n  const endedAtMs = req.time;\n\n  const [resBase, resQuote] = await Promise.all([\n    getLendingRateHistory({ ccy: base, after: `${endedAtMs}` }),\n    getLendingRateHistory({ ccy: quote, after: `${endedAtMs}` }),\n  ]);\n\n  if (resBase.code !== '0')\n    throw new Error(`OKX getLendingRateHistory failed: ${resBase.code} ${resBase.msg}`);\n  if (resQuote.code !== '0')\n    throw new Error(`OKX getLendingRateHistory failed: ${resQuote.code} ${resQuote.msg}`);\n\n  const mapTsToBaseRate = new Map<string, string>();\n  resBase.data.forEach((v) => mapTsToBaseRate.set(v.ts, v.rate));\n\n  const data: IInterestRate[] = [];\n  resQuote.data.forEach((v) => {\n    const baseRate = mapTsToBaseRate.get(v.ts);\n    if (!baseRate) return;\n\n    const longRate = Number(v.rate) / 365 / 24;\n    const shortRate = Number(baseRate) / 365 / 24;\n\n    data.push({\n      series_id: req.series_id,\n      product_id: req.product_id,\n      datasource_id: 'OKX',\n      created_at: formatTime(+v.ts),\n      long_rate: `${-longRate}`,\n      short_rate: `${-shortRate}`,\n      settlement_price: '',\n    });\n  });\n\n  return data.filter((x) => Date.parse(x.created_at) < endedAtMs);\n};\n\nprovideInterestRateService(\n  terminal,\n  {\n    product_id_prefix: 'OKX/SWAP/',\n    direction: 'backward',\n  },\n  fetchSwapFundingRateBackward,\n);\n\nprovideInterestRateService(\n  terminal,\n  {\n    product_id_prefix: 'OKX/MARGIN/',\n    direction: 'backward',\n  },\n  fetchMarginInterestRateBackward,\n);\n"]}

package/lib/services/ohlc-service.d.ts

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

package/lib/services/ohlc-service.d.ts.map

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

package/lib/services/ohlc-service.js

@@ -0,0 +1,73 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+const exchange_1 = require("@yuants/exchange");
+const protocol_1 = require("@yuants/protocol");
+const utils_1 = require("@yuants/utils");
+const public_api_1 = require("../api/public-api");
+const terminal = protocol_1.Terminal.fromNodeEnv();
+const DURATION_TO_OKX_BAR_TYPE = {
+    PT1M: '1m',
+    PT3M: '3m',
+    PT5M: '5m',
+    PT15M: '15m',
+    PT30M: '30m',
+    PT1H: '1H',
+    PT2H: '2H',
+    PT4H: '4H',
+    PT6H: '6H',
+    PT12H: '12H',
+    P1D: '1D',
+    P1W: '1W',
+    P1M: '1M',
+};
+const fetchOHLCPageBackward = async (req) => {
+    const [, instType, instId] = (0, utils_1.decodePath)(req.product_id);
+    if (!instType || !instId)
+        throw new Error(`Invalid product_id: ${req.product_id}`);
+    const bar = DURATION_TO_OKX_BAR_TYPE[req.duration];
+    if (!bar)
+        throw new Error(`Unsupported duration: ${req.duration}`);
+    const offset = (0, utils_1.convertDurationToOffset)(req.duration);
+    const endedAtMs = req.time;
+    const res = await (0, public_api_1.getHistoryCandles)({
+        instId,
+        bar,
+        after: `${endedAtMs}`,
+        limit: '300',
+    });
+    if (res.code !== '0') {
+        throw new Error(`OKX getHistoryCandles failed: ${res.code} ${res.msg}`);
+    }
+    return res.data
+        .map((x) => ({
+        series_id: req.series_id,
+        datasource_id: 'OKX',
+        product_id: req.product_id,
+        duration: req.duration,
+        created_at: (0, utils_1.formatTime)(+x[0]),
+        closed_at: (0, utils_1.formatTime)(+x[0] + offset),
+        open: x[1],
+        high: x[2],
+        low: x[3],
+        close: x[4],
+        volume: x[5],
+        open_interest: '0',
+    }))
+        .filter((x) => Date.parse(x.created_at) < endedAtMs);
+};
+(0, exchange_1.provideOHLCService)(terminal, {
+    product_id_prefix: 'OKX/SWAP/',
+    duration_list: Object.keys(DURATION_TO_OKX_BAR_TYPE),
+    direction: 'backward',
+}, fetchOHLCPageBackward);
+(0, exchange_1.provideOHLCService)(terminal, {
+    product_id_prefix: 'OKX/SPOT/',
+    duration_list: Object.keys(DURATION_TO_OKX_BAR_TYPE),
+    direction: 'backward',
+}, fetchOHLCPageBackward);
+(0, exchange_1.provideOHLCService)(terminal, {
+    product_id_prefix: 'OKX/MARGIN/',
+    duration_list: Object.keys(DURATION_TO_OKX_BAR_TYPE),
+    direction: 'backward',
+}, fetchOHLCPageBackward);
+//# sourceMappingURL=ohlc-service.js.map

package/lib/services/ohlc-service.js.map

@@ -0,0 +1 @@
+{"version":3,"file":"ohlc-service.js","sourceRoot":"","sources":["../../src/services/ohlc-service.ts"],"names":[],"mappings":";;AAAA,+CAAsD;AAEtD,+CAA4C;AAC5C,yCAAgF;AAChF,kDAAsD;AAEtD,MAAM,QAAQ,GAAG,mBAAQ,CAAC,WAAW,EAAE,CAAC;AAExC,MAAM,wBAAwB,GAA2B;IACvD,IAAI,EAAE,IAAI;IACV,IAAI,EAAE,IAAI;IACV,IAAI,EAAE,IAAI;IACV,KAAK,EAAE,KAAK;IACZ,KAAK,EAAE,KAAK;IAEZ,IAAI,EAAE,IAAI;IACV,IAAI,EAAE,IAAI;IACV,IAAI,EAAE,IAAI;IACV,IAAI,EAAE,IAAI;IACV,KAAK,EAAE,KAAK;IAEZ,GAAG,EAAE,IAAI;IACT,GAAG,EAAE,IAAI;IACT,GAAG,EAAE,IAAI;CACV,CAAC;AAEF,MAAM,qBAAqB,GAAG,KAAK,EAAE,GAKpC,EAAoB,EAAE;IACrB,MAAM,CAAC,EAAE,QAAQ,EAAE,MAAM,CAAC,GAAG,IAAA,kBAAU,EAAC,GAAG,CAAC,UAAU,CAAC,CAAC;IACxD,IAAI,CAAC,QAAQ,IAAI,CAAC,MAAM;QAAE,MAAM,IAAI,KAAK,CAAC,uBAAuB,GAAG,CAAC,UAAU,EAAE,CAAC,CAAC;IAEnF,MAAM,GAAG,GAAG,wBAAwB,CAAC,GAAG,CAAC,QAAQ,CAAC,CAAC;IACnD,IAAI,CAAC,GAAG;QAAE,MAAM,IAAI,KAAK,CAAC,yBAAyB,GAAG,CAAC,QAAQ,EAAE,CAAC,CAAC;IAEnE,MAAM,MAAM,GAAG,IAAA,+BAAuB,EAAC,GAAG,CAAC,QAAQ,CAAC,CAAC;IACrD,MAAM,SAAS,GAAG,GAAG,CAAC,IAAI,CAAC;IAE3B,MAAM,GAAG,GAAG,MAAM,IAAA,8BAAiB,EAAC;QAClC,MAAM;QACN,GAAG;QACH,KAAK,EAAE,GAAG,SAAS,EAAE;QACrB,KAAK,EAAE,KAAK;KACb,CAAC,CAAC;IACH,IAAI,GAAG,CAAC,IAAI,KAAK,GAAG,EAAE;QACpB,MAAM,IAAI,KAAK,CAAC,iCAAiC,GAAG,CAAC,IAAI,IAAI,GAAG,CAAC,GAAG,EAAE,CAAC,CAAC;KACzE;IAED,OAAO,GAAG,CAAC,IAAI;SACZ,GAAG,CACF,CAAC,CAAC,EAAS,EAAE,CAAC,CAAC;QACb,SAAS,EAAE,GAAG,CAAC,SAAS;QACxB,aAAa,EAAE,KAAK;QACpB,UAAU,EAAE,GAAG,CAAC,UAAU;QAC1B,QAAQ,EAAE,GAAG,CAAC,QAAQ;QACtB,UAAU,EAAE,IAAA,kBAAU,EAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC;QAC7B,SAAS,EAAE,IAAA,kBAAU,EAAC,CAAC,CAAC,CAAC,CAAC,CAAC,GAAG,MAAM,CAAC;QACrC,IAAI,EAAE,CAAC,CAAC,CAAC,CAAC;QACV,IAAI,EAAE,CAAC,CAAC,CAAC,CAAC;QACV,GAAG,EAAE,CAAC,CAAC,CAAC,CAAC;QACT,KAAK,EAAE,CAAC,CAAC,CAAC,CAAC;QACX,MAAM,EAAE,CAAC,CAAC,CAAC,CAAC;QACZ,aAAa,EAAE,GAAG;KACnB,CAAC,CACH;SACA,MAAM,CAAC,CAAC,CAAC,EAAE,EAAE,CAAC,IAAI,CAAC,KAAK,CAAC,CAAC,CAAC,UAAU,CAAC,GAAG,SAAS,CAAC,CAAC;AACzD,CAAC,CAAC;AAEF,IAAA,6BAAkB,EAChB,QAAQ,EACR;IACE,iBAAiB,EAAE,WAAW;IAC9B,aAAa,EAAE,MAAM,CAAC,IAAI,CAAC,wBAAwB,CAAC;IACpD,SAAS,EAAE,UAAU;CACtB,EACD,qBAAqB,CACtB,CAAC;AAEF,IAAA,6BAAkB,EAChB,QAAQ,EACR;IACE,iBAAiB,EAAE,WAAW;IAC9B,aAAa,EAAE,MAAM,CAAC,IAAI,CAAC,wBAAwB,CAAC;IACpD,SAAS,EAAE,UAAU;CACtB,EACD,qBAAqB,CACtB,CAAC;AAEF,IAAA,6BAAkB,EAChB,QAAQ,EACR;IACE,iBAAiB,EAAE,aAAa;IAChC,aAAa,EAAE,MAAM,CAAC,IAAI,CAAC,wBAAwB,CAAC;IACpD,SAAS,EAAE,UAAU;CACtB,EACD,qBAAqB,CACtB,CAAC","sourcesContent":["import { provideOHLCService } from '@yuants/exchange';\nimport { IOHLC } from '@yuants/data-ohlc';\nimport { Terminal } from '@yuants/protocol';\nimport { convertDurationToOffset, decodePath, formatTime } from '@yuants/utils';\nimport { getHistoryCandles } from '../api/public-api';\n\nconst terminal = Terminal.fromNodeEnv();\n\nconst DURATION_TO_OKX_BAR_TYPE: Record<string, string> = {\n  PT1M: '1m',\n  PT3M: '3m',\n  PT5M: '5m',\n  PT15M: '15m',\n  PT30M: '30m',\n\n  PT1H: '1H',\n  PT2H: '2H',\n  PT4H: '4H',\n  PT6H: '6H',\n  PT12H: '12H',\n\n  P1D: '1D',\n  P1W: '1W',\n  P1M: '1M',\n};\n\nconst fetchOHLCPageBackward = async (req: {\n  product_id: string;\n  duration: string;\n  time: number;\n  series_id: string;\n}): Promise<IOHLC[]> => {\n  const [, instType, instId] = decodePath(req.product_id);\n  if (!instType || !instId) throw new Error(`Invalid product_id: ${req.product_id}`);\n\n  const bar = DURATION_TO_OKX_BAR_TYPE[req.duration];\n  if (!bar) throw new Error(`Unsupported duration: ${req.duration}`);\n\n  const offset = convertDurationToOffset(req.duration);\n  const endedAtMs = req.time;\n\n  const res = await getHistoryCandles({\n    instId,\n    bar,\n    after: `${endedAtMs}`,\n    limit: '300',\n  });\n  if (res.code !== '0') {\n    throw new Error(`OKX getHistoryCandles failed: ${res.code} ${res.msg}`);\n  }\n\n  return res.data\n    .map(\n      (x): IOHLC => ({\n        series_id: req.series_id,\n        datasource_id: 'OKX',\n        product_id: req.product_id,\n        duration: req.duration,\n        created_at: formatTime(+x[0]),\n        closed_at: formatTime(+x[0] + offset),\n        open: x[1],\n        high: x[2],\n        low: x[3],\n        close: x[4],\n        volume: x[5],\n        open_interest: '0',\n      }),\n    )\n    .filter((x) => Date.parse(x.created_at) < endedAtMs);\n};\n\nprovideOHLCService(\n  terminal,\n  {\n    product_id_prefix: 'OKX/SWAP/',\n    duration_list: Object.keys(DURATION_TO_OKX_BAR_TYPE),\n    direction: 'backward',\n  },\n  fetchOHLCPageBackward,\n);\n\nprovideOHLCService(\n  terminal,\n  {\n    product_id_prefix: 'OKX/SPOT/',\n    duration_list: Object.keys(DURATION_TO_OKX_BAR_TYPE),\n    direction: 'backward',\n  },\n  fetchOHLCPageBackward,\n);\n\nprovideOHLCService(\n  terminal,\n  {\n    product_id_prefix: 'OKX/MARGIN/',\n    duration_list: Object.keys(DURATION_TO_OKX_BAR_TYPE),\n    direction: 'backward',\n  },\n  fetchOHLCPageBackward,\n);\n"]}

package/package.json

@@ -1,6 +1,6 @@
 {
 	"name": "@yuants/vendor-okx",
-	"version": "0.30.6",
+	"version": "0.31.0",
 	"main": "lib/index.js",
 	"files": [
 		"dist",
@@ -21,7 +21,7 @@
 		"@yuants/data-interest-rate": "0.1.49",
 		"@yuants/data-quote": "0.4.0",
 		"@yuants/data-trade": "0.1.22",
-		"@yuants/exchange": "0.8.0",
+		"@yuants/exchange": "0.8.1",
 		"rxjs": "~7.5.6",
 		"ws": "~8.8.1"
 	},

package/temp/package-deps.json

@@ -1,13 +1,13 @@
 {
-    "apps/vendor-okx/CHANGELOG.json": "79fa6827cc5fe6f053c1a6c18b14b264940f12c7",
-    "apps/vendor-okx/CHANGELOG.md": "ad79f2f5b961858d1eb5b6bd68363bb5a1afb57c",
+    "apps/vendor-okx/CHANGELOG.json": "16b5b139d0f1697c5afe150d2c001465d146ba8e",
+    "apps/vendor-okx/CHANGELOG.md": "3df9a6bc407ca1192e0b5ae9b3781cb5bc1d27a8",
     "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": "4f6db5f3cfed52876e3c4a9a81a051c5ce9ecbfb",
+    "apps/vendor-okx/package.json": "a0499c56919700d3e96b9f1d33ff0958c19001d6",
     "apps/vendor-okx/src/account-actions-with-credential.ts": "1a2de787b588e98ceef60b3ffb951f298504bf12",
     "apps/vendor-okx/src/account.ts": "672014c974457b438cf026f763d6eecfe585c82b",
     "apps/vendor-okx/src/accountInfos/earning.ts": "62aaeb3b62fa9197d07ee14155625530cdb9b1cd",
@@ -25,7 +25,7 @@
     "apps/vendor-okx/src/experimental/getOrders.ts": "f89b8334fa55163a78f91cf675cea8c7c869d4a7",
     "apps/vendor-okx/src/experimental/getPositions.ts": "5fe0bd5ebc3db151be7ae897aaad256dea878122",
     "apps/vendor-okx/src/experimental/product.ts": "808bb037c1559ead2260a6b1eb2552f246da45c6",
-    "apps/vendor-okx/src/index.ts": "f59f1ff5f6c97ae517621d46c0ef5a46bcef3070",
+    "apps/vendor-okx/src/index.ts": "59cc7955ae001a71f0c1b61b858536e40587d6a0",
     "apps/vendor-okx/src/order-actions-with-credential.ts": "f58b164c57a776db0fd0ad3a9f7197603ab2f66e",
     "apps/vendor-okx/src/order-actions.ts": "18907924c81ab679bf8a58142fcbc3addd160a94",
     "apps/vendor-okx/src/order.ts": "342f08dbc4a760e5f29bdaa1fe840872219f9ab5",
@@ -40,6 +40,8 @@
     "apps/vendor-okx/src/public-data/product.ts": "9caa1b0d9fa621800870ef47086767f6f5810ad9",
     "apps/vendor-okx/src/public-data/quote.ts": "da471098f6c59376f7221bf6fc3d2625eeacecee",
     "apps/vendor-okx/src/services.ts": "aeaf5f9d0a87347be6150b28961c5a7c0886b1d8",
+    "apps/vendor-okx/src/services/interest-rate-service.ts": "d4efc6db95aae1526ad202837b03f6cc4a88dbb7",
+    "apps/vendor-okx/src/services/ohlc-service.ts": "fa686c562a50e2abf05a9c60677bebb28d326ee5",
     "apps/vendor-okx/src/services/quotes.ts": "2f2278acf1884c8c8b29f9bb79221955b2eb8016",
     "apps/vendor-okx/src/strategy-account.ts": "2d8f913e19c4402eab249291aaab0b77bc4d9ff8",
     "apps/vendor-okx/src/trade.ts": "17a2afcdbf2ec69944a73d3d097660675dbe09a4",
@@ -62,7 +64,7 @@
     "libraries/data-interest-rate/temp/package-deps.json": "5a1011b097b18b96c2d8c932d874f69472621efd",
     "libraries/data-quote/temp/package-deps.json": "c2f009f818a503342bef588da21c9abd52beea00",
     "libraries/data-trade/temp/package-deps.json": "95dcb14d4678f4a4165dd214ae5286bb8fd94eaf",
-    "libraries/exchange/temp/package-deps.json": "98f6e1318166102a07cf64b69399b35cb4575222",
+    "libraries/exchange/temp/package-deps.json": "0f0549ddf97292ceadb8c3cbcc8799e31e7a0901",
     "libraries/extension/temp/package-deps.json": "3e0a81b0c863c2daf342dfaf284b8fd7d18c8562",
     "tools/toolkit/temp/package-deps.json": "23e053490eb8feade23e4d45de4e54883e322711"
 }