@yuants/vendor-okx 0.31.11 → 0.32.1

package/README.md

@@ -49,7 +49,6 @@ src/
 │   ├── ohlc.ts           # K线数据
 │   ├── product.ts        # 产品信息
 │   ├── quote.ts          # 报价数据
-│   ├── interest_rate.ts  # 利率数据
 │   └── market-order.ts   # 市价单数据
 ├── accountInfos/         # 账户信息处理
 │   ├── trading.ts        # 交易账户信息
@@ -61,9 +60,6 @@ src/
 │   ├── submitOrder.ts   # 提交订单
 │   ├── modifyOrder.ts   # 修改订单
 │   └── cancelOrder.ts   # 取消订单
-├── utils/               # 工具函数
-│   ├── provideOHLCFromTimeBackwardService.ts
-│   └── provideSeriesFromTimeBackwardService.ts
 └── *.ts                 # 核心服务模块
 ```
 

package/dist/index.js

@@ -5,7 +5,6 @@ import './experimental/exchange';
 import './order';
 import './order-actions';
 import './order-actions-with-credential';
-import './public-data/interest_rate';
 import './public-data/market-order';
 import './public-data/ohlc';
 import './public-data/quote';

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;AAC3B,OAAO,yBAAyB,CAAC;AACjC,OAAO,kCAAkC,CAAC;AAC1C,OAAO,oCAAoC,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';\nimport './services/interest-ledger-service';\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,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;AAC1C,OAAO,oCAAoC,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/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';\nimport './services/interest-ledger-service';\n"]}

package/dist/public-data/ohlc.js

@@ -1,44 +1,14 @@
-var __await = (this && this.__await) || function (v) { return this instanceof __await ? (this.v = v, this) : new __await(v); }
-var __asyncGenerator = (this && this.__asyncGenerator) || function (thisArg, _arguments, generator) {
-    if (!Symbol.asyncIterator) throw new TypeError("Symbol.asyncIterator is not defined.");
-    var g = generator.apply(thisArg, _arguments || []), i, q = [];
-    return i = Object.create((typeof AsyncIterator === "function" ? AsyncIterator : Object).prototype), verb("next"), verb("throw"), verb("return", awaitReturn), i[Symbol.asyncIterator] = function () { return this; }, i;
-    function awaitReturn(f) { return function (v) { return Promise.resolve(v).then(f, reject); }; }
-    function verb(n, f) { if (g[n]) { i[n] = function (v) { return new Promise(function (a, b) { q.push([n, v, a, b]) > 1 || resume(n, v); }); }; if (f) i[n] = f(i[n]); } }
-    function resume(n, v) { try { step(g[n](v)); } catch (e) { settle(q[0][3], e); } }
-    function step(r) { r.value instanceof __await ? Promise.resolve(r.value.v).then(fulfill, reject) : settle(q[0][2], r); }
-    function fulfill(value) { resume("next", value); }
-    function reject(value) { resume("throw", value); }
-    function settle(f, v) { if (f(v), q.shift(), q.length) resume(q[0][0], q[0][1]); }
-};
-import { createSeriesProvider } from '@yuants/data-series';
+import { decodeOHLCSeriesId, encodeOHLCSeriesId } from '@yuants/data-ohlc';
 import { Terminal } from '@yuants/protocol';
 import { writeToSQL } from '@yuants/sql';
 import { convertDurationToOffset, decodePath, encodePath, formatTime } from '@yuants/utils';
-import { firstValueFrom, map, timer } from 'rxjs';
-import { getHistoryCandles } from '../api/public-api';
-import { provideOHLCFromTimeBackwardService } from '../utils/provideOHLCFromTimeBackwardService';
+import { map } from 'rxjs';
 import { useOHLC } from '../ws';
 const terminal = Terminal.fromNodeEnv();
 // 时间粒度，默认值1m
 // 如 [1m/3m/5m/15m/30m/1H/2H/4H]
 // 香港时间开盘价k线：[6H/12H/1D/1W/1M]
 // UTC时间开盘价k线：[6Hutc/12Hutc/1Dutc/1Wutc/1Mutc]
-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 DURATION_TO_OKX_CANDLE_TYPE = {
     PT1M: 'candle1m',
     PT3M: 'candle3m',
@@ -65,86 +35,26 @@ const OHLC_V2_WRITE_COLUMNS = [
     'volume',
     'open_interest',
 ];
-createSeriesProvider(terminal, {
-    tableName: 'ohlc',
-    series_id_prefix_parts: ['OKX'],
-    reversed: true,
-    serviceOptions: { concurrent: 1 },
-    queryFn: function (_a) {
-        return __asyncGenerator(this, arguments, function* ({ series_id, ended_at }) {
-            const [datasource_id, product_id, duration] = decodePath(series_id);
-            const offset = convertDurationToOffset(duration);
-            if (!datasource_id) {
-                throw 'datasource_id is required';
-            }
-            if (!product_id) {
-                throw 'product_id is required';
-            }
-            if (!offset) {
-                throw 'duration is invalid';
-            }
-            const [instType, instId] = decodePath(product_id);
-            if (!instId) {
-                throw `invalid product_id: ${product_id}`;
-            }
-            const bar = DURATION_TO_OKX_BAR_TYPE[duration];
-            if (!bar) {
-                throw `unsupported duration: ${duration}`;
-            }
-            let currentStartTime = ended_at;
-            while (true) {
-                // 向前翻页，时间降序，不含 after 时间点
-                const res = yield __await(getHistoryCandles({
-                    instId,
-                    bar,
-                    after: `${currentStartTime}`,
-                    limit: '100',
-                }));
-                if (res.code !== '0') {
-                    throw `API failed: ${res.code} ${res.msg}`;
-                }
-                if (res.data.length === 0)
-                    break;
-                currentStartTime = +res.data[res.data.length - 1][0];
-                const data = res.data.map((x) => ({
-                    series_id,
-                    datasource_id,
-                    product_id,
-                    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',
-                }));
-                yield yield __await(data);
-                yield __await(firstValueFrom(timer(1000)));
-            }
-        });
-    },
-});
 terminal.channel.publishChannel('ohlc', { pattern: `^OKX/` }, (series_id) => {
-    const [datasource_id, product_id, duration] = decodePath(series_id);
-    const [instType, instId] = decodePath(product_id);
+    const { product_id, duration } = decodeOHLCSeriesId(series_id);
+    const [datasource_id, instType, instId] = decodePath(product_id);
     const offset = convertDurationToOffset(duration);
     if (!datasource_id) {
         throw 'datasource_id is required';
     }
-    if (!product_id) {
-        throw 'product_id is required';
-    }
     if (!instType || !instId) {
         throw `invalid product_id: ${product_id}`;
     }
     if (!offset) {
         throw 'duration is invalid';
     }
-    const series_id_v2 = `${encodePath(datasource_id, instType, instId)}/${duration}`;
+    const product_id_path = encodePath(datasource_id, instType, instId);
     const candleType = DURATION_TO_OKX_CANDLE_TYPE[duration];
-    console.info(formatTime(Date.now()), `subscribe`, series_id, product_id);
+    if (!candleType) {
+        throw `unsupported duration: ${duration}`;
+    }
+    const normalized_series_id = encodeOHLCSeriesId(product_id_path, duration);
+    console.info(formatTime(Date.now()), `subscribe`, normalized_series_id, product_id_path);
     return useOHLC(candleType, instId).pipe(map((data) => {
         const created_at = Number(data[0][0]);
         const closed_at = created_at + offset;
@@ -160,79 +70,19 @@ terminal.channel.publishChannel('ohlc', { pattern: `^OKX/` }, (series_id) => {
             high,
             low,
             close,
-            series_id,
+            series_id: normalized_series_id,
             datasource_id,
             duration,
-            product_id,
+            product_id: product_id_path,
             volume,
             open_interest: '0',
         };
-    }), map((x) => ({
-        __origin: x,
-        series_id: series_id_v2,
-        created_at: x.created_at,
-        closed_at: x.closed_at,
-        open: x.open,
-        high: x.high,
-        low: x.low,
-        close: x.close,
-        volume: x.volume,
-        open_interest: x.open_interest,
-    })), writeToSQL({
+    }), writeToSQL({
         tableName: 'ohlc_v2',
         columns: OHLC_V2_WRITE_COLUMNS,
         conflictKeys: ['series_id', 'created_at'],
         writeInterval: 1000,
         terminal,
-    }), map((x) => x.__origin), writeToSQL({
-        tableName: 'ohlc',
-        conflictKeys: ['series_id', 'created_at'],
-        writeInterval: 1000,
-        terminal,
     }));
 });
-provideOHLCFromTimeBackwardService({
-    terminal,
-    datasource_id: 'OKX',
-    supported_durations: Object.keys(DURATION_TO_OKX_BAR_TYPE),
-    queryFn: async ({ series_id, datasource_id, product_id, duration, offset, time }) => {
-        const [instType, instId] = decodePath(product_id);
-        if (!instId) {
-            throw `invalid product_id: ${product_id}`;
-        }
-        const bar = DURATION_TO_OKX_BAR_TYPE[duration];
-        if (!bar) {
-            throw `unsupported duration: ${duration}`;
-        }
-        // 从指定时间点向过去获取一页数据
-        const res = await getHistoryCandles({
-            instId,
-            bar,
-            after: `${new Date(time).getTime()}`, // 不包含该时间点 (标准的右开)
-            limit: `300`,
-        });
-        if (res.code !== '0') {
-            throw `API failed: ${res.code} ${res.msg}`;
-        }
-        return res.data.map((x) => ({
-            series_id,
-            datasource_id,
-            product_id,
-            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',
-        }));
-    },
-    serviceOptions: {
-        // Rate limit: 20 requests per 2 seconds
-        egress_token_capacity: 20,
-        egress_token_refill_interval: 2000,
-    },
-});
 //# sourceMappingURL=ohlc.js.map

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

@@ -1 +1 @@
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{ IOHLC } from '@yuants/data-ohlc';\nimport { createSeriesProvider } from '@yuants/data-series';\nimport { Terminal } from '@yuants/protocol';\nimport { writeToSQL } from '@yuants/sql';\nimport { convertDurationToOffset, decodePath, encodePath, formatTime } from '@yuants/utils';\nimport { firstValueFrom, map, timer } from 'rxjs';\nimport { getHistoryCandles } from '../api/public-api';\nimport { provideOHLCFromTimeBackwardService } from '../utils/provideOHLCFromTimeBackwardService';\nimport { useOHLC } from '../ws';\n\nconst terminal = Terminal.fromNodeEnv();\n\n// 时间粒度，默认值1m\n// 如 [1m/3m/5m/15m/30m/1H/2H/4H]\n// 香港时间开盘价k线：[6H/12H/1D/1W/1M]\n// UTC时间开盘价k线：[6Hutc/12Hutc/1Dutc/1Wutc/1Mutc]\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 DURATION_TO_OKX_CANDLE_TYPE: Record<string, string> = {\n  PT1M: 'candle1m',\n  PT3M: 'candle3m',\n  PT5M: 'candle5m',\n  PT15M: 'candle15m',\n  PT30M: 'candle30m',\n\n  PT1H: 'candle1H',\n  PT2H: 'candle2H',\n  PT4H: 'candle4H',\n  PT6H: 'candle6H',\n  PT12H: 'candle12H',\n\n  P1D: 'candle1D',\n  P1W: 'candle1W',\n  P1M: 'candle1M',\n};\n\ntype IOHLCV2WriteRow = Pick<\n  IOHLC,\n  'series_id' | 'created_at' | 'closed_at' | 'open' | 'high' | 'low' | 'close' | 'volume' | 'open_interest'\n> & { __origin: IOHLC };\n\nconst OHLC_V2_WRITE_COLUMNS: Array<keyof IOHLCV2WriteRow> = [\n  'series_id',\n  'created_at',\n  'closed_at',\n  'open',\n  'high',\n  'low',\n  'close',\n  'volume',\n  'open_interest',\n];\n\ncreateSeriesProvider<IOHLC>(terminal, {\n  tableName: 'ohlc',\n  series_id_prefix_parts: ['OKX'],\n  reversed: true,\n  serviceOptions: { concurrent: 1 },\n  queryFn: async function* ({ series_id, ended_at }) {\n    const [datasource_id, product_id, duration] = decodePath(series_id);\n    const offset = convertDurationToOffset(duration);\n    if (!datasource_id) {\n      throw 'datasource_id is required';\n    }\n    if (!product_id) {\n      throw 'product_id is required';\n    }\n    if (!offset) {\n      throw 'duration is invalid';\n    }\n    const [instType, instId] = decodePath(product_id);\n    if (!instId) {\n      throw `invalid product_id: ${product_id}`;\n    }\n\n    const bar = DURATION_TO_OKX_BAR_TYPE[duration];\n    if (!bar) {\n      throw `unsupported duration: ${duration}`;\n    }\n\n    let currentStartTime = ended_at;\n\n    while (true) {\n      // 向前翻页，时间降序，不含 after 时间点\n      const res = await getHistoryCandles({\n        instId,\n        bar,\n        after: `${currentStartTime}`,\n        limit: '100',\n      });\n      if (res.code !== '0') {\n        throw `API failed: ${res.code} ${res.msg}`;\n      }\n      if (res.data.length === 0) break;\n      currentStartTime = +res.data[res.data.length - 1][0];\n      const data = res.data.map(\n        (x): IOHLC => ({\n          series_id,\n          datasource_id,\n          product_id,\n          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      yield data;\n      await firstValueFrom(timer(1000));\n    }\n  },\n});\n\nterminal.channel.publishChannel('ohlc', { pattern: `^OKX/` }, (series_id) => {\n  const [datasource_id, product_id, duration] = decodePath(series_id);\n  const [instType, instId] = decodePath(product_id);\n  const offset = convertDurationToOffset(duration);\n  if (!datasource_id) {\n    throw 'datasource_id is required';\n  }\n  if (!product_id) {\n    throw 'product_id is required';\n  }\n  if (!instType || !instId) {\n    throw `invalid product_id: ${product_id}`;\n  }\n  if (!offset) {\n    throw 'duration is invalid';\n  }\n  const series_id_v2 = `${encodePath(datasource_id, instType, instId)}/${duration}`;\n  const candleType = DURATION_TO_OKX_CANDLE_TYPE[duration];\n  console.info(formatTime(Date.now()), `subscribe`, series_id, product_id);\n\n  return useOHLC(candleType, instId).pipe(\n    map((data): IOHLC => {\n      const created_at = Number(data[0][0]);\n      const closed_at = created_at + offset;\n      const open = data[0][1];\n      const high = data[0][2];\n      const low = data[0][3];\n      const close = data[0][4];\n      const volume = data[0][5];\n      return {\n        closed_at: formatTime(closed_at),\n        created_at: formatTime(created_at),\n        open,\n        high,\n        low,\n        close,\n        series_id,\n        datasource_id,\n        duration,\n        product_id,\n        volume,\n        open_interest: '0',\n      };\n    }),\n    map(\n      (x): IOHLCV2WriteRow => ({\n        __origin: x,\n        series_id: series_id_v2,\n        created_at: x.created_at,\n        closed_at: x.closed_at,\n        open: x.open,\n        high: x.high,\n        low: x.low,\n        close: x.close,\n        volume: x.volume,\n        open_interest: x.open_interest,\n      }),\n    ),\n    writeToSQL({\n      tableName: 'ohlc_v2',\n      columns: OHLC_V2_WRITE_COLUMNS,\n      conflictKeys: ['series_id', 'created_at'],\n      writeInterval: 1000,\n      terminal,\n    }),\n    map((x) => x.__origin),\n    writeToSQL({\n      tableName: 'ohlc',\n      conflictKeys: ['series_id', 'created_at'],\n      writeInterval: 1000,\n      terminal,\n    }),\n  );\n});\n\nprovideOHLCFromTimeBackwardService({\n  terminal,\n  datasource_id: 'OKX',\n  supported_durations: Object.keys(DURATION_TO_OKX_BAR_TYPE),\n  queryFn: async ({ series_id, datasource_id, product_id, duration, offset, time }) => {\n    const [instType, instId] = decodePath(product_id);\n    if (!instId) {\n      throw `invalid product_id: ${product_id}`;\n    }\n\n    const bar = DURATION_TO_OKX_BAR_TYPE[duration];\n    if (!bar) {\n      throw `unsupported duration: ${duration}`;\n    }\n\n    // 从指定时间点向过去获取一页数据\n    const res = await getHistoryCandles({\n      instId,\n      bar,\n      after: `${new Date(time).getTime()}`, // 不包含该时间点 (标准的右开)\n      limit: `300`,\n    });\n\n    if (res.code !== '0') {\n      throw `API failed: ${res.code} ${res.msg}`;\n    }\n\n    return res.data.map(\n      (x): IOHLC => ({\n        series_id,\n        datasource_id,\n        product_id,\n        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  },\n  serviceOptions: {\n    // Rate limit: 20 requests per 2 seconds\n    egress_token_capacity: 20,\n    egress_token_refill_interval: 2000,\n  },\n});\n"]}
+{"version":3,"file":"ohlc.js","sourceRoot":"","sources":["../../src/public-data/ohlc.ts"],"names":[],"mappings":"AAAA,OAAO,EAAE,kBAAkB,EAAE,kBAAkB,EAAS,MAAM,mBAAmB,CAAC;AAClF,OAAO,EAAE,QAAQ,EAAE,MAAM,kBAAkB,CAAC;AAC5C,OAAO,EAAE,UAAU,EAAE,MAAM,aAAa,CAAC;AACzC,OAAO,EAAE,uBAAuB,EAAE,UAAU,EAAE,UAAU,EAAE,UAAU,EAAE,MAAM,eAAe,CAAC;AAC5F,OAAO,EAAE,GAAG,EAAE,MAAM,MAAM,CAAC;AAC3B,OAAO,EAAE,OAAO,EAAE,MAAM,OAAO,CAAC;AAEhC,MAAM,QAAQ,GAAG,QAAQ,CAAC,WAAW,EAAE,CAAC;AAExC,aAAa;AACb,gCAAgC;AAChC,8BAA8B;AAC9B,8CAA8C;AAE9C,MAAM,2BAA2B,GAA2B;IAC1D,IAAI,EAAE,UAAU;IAChB,IAAI,EAAE,UAAU;IAChB,IAAI,EAAE,UAAU;IAChB,KAAK,EAAE,WAAW;IAClB,KAAK,EAAE,WAAW;IAElB,IAAI,EAAE,UAAU;IAChB,IAAI,EAAE,UAAU;IAChB,IAAI,EAAE,UAAU;IAChB,IAAI,EAAE,UAAU;IAChB,KAAK,EAAE,WAAW;IAElB,GAAG,EAAE,UAAU;IACf,GAAG,EAAE,UAAU;IACf,GAAG,EAAE,UAAU;CAChB,CAAC;AAEF,MAAM,qBAAqB,GAAuB;IAChD,WAAW;IACX,YAAY;IACZ,WAAW;IACX,MAAM;IACN,MAAM;IACN,KAAK;IACL,OAAO;IACP,QAAQ;IACR,eAAe;CAChB,CAAC;AAEF,QAAQ,CAAC,OAAO,CAAC,cAAc,CAAC,MAAM,EAAE,EAAE,OAAO,EAAE,OAAO,EAAE,EAAE,CAAC,SAAS,EAAE,EAAE;IAC1E,MAAM,EAAE,UAAU,EAAE,QAAQ,EAAE,GAAG,kBAAkB,CAAC,SAAS,CAAC,CAAC;IAC/D,MAAM,CAAC,aAAa,EAAE,QAAQ,EAAE,MAAM,CAAC,GAAG,UAAU,CAAC,UAAU,CAAC,CAAC;IACjE,MAAM,MAAM,GAAG,uBAAuB,CAAC,QAAQ,CAAC,CAAC;IACjD,IAAI,CAAC,aAAa,EAAE,CAAC;QACnB,MAAM,2BAA2B,CAAC;IACpC,CAAC;IACD,IAAI,CAAC,QAAQ,IAAI,CAAC,MAAM,EAAE,CAAC;QACzB,MAAM,uBAAuB,UAAU,EAAE,CAAC;IAC5C,CAAC;IACD,IAAI,CAAC,MAAM,EAAE,CAAC;QACZ,MAAM,qBAAqB,CAAC;IAC9B,CAAC;IACD,MAAM,eAAe,GAAG,UAAU,CAAC,aAAa,EAAE,QAAQ,EAAE,MAAM,CAAC,CAAC;IACpE,MAAM,UAAU,GAAG,2BAA2B,CAAC,QAAQ,CAAC,CAAC;IACzD,IAAI,CAAC,UAAU,EAAE,CAAC;QAChB,MAAM,yBAAyB,QAAQ,EAAE,CAAC;IAC5C,CAAC;IACD,MAAM,oBAAoB,GAAG,kBAAkB,CAAC,eAAe,EAAE,QAAQ,CAAC,CAAC;IAC3E,OAAO,CAAC,IAAI,CAAC,UAAU,CAAC,IAAI,CAAC,GAAG,EAAE,CAAC,EAAE,WAAW,EAAE,oBAAoB,EAAE,eAAe,CAAC,CAAC;IAEzF,OAAO,OAAO,CAAC,UAAU,EAAE,MAAM,CAAC,CAAC,IAAI,CACrC,GAAG,CAAC,CAAC,IAAI,EAAS,EAAE;QAClB,MAAM,UAAU,GAAG,MAAM,CAAC,IAAI,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC;QACtC,MAAM,SAAS,GAAG,UAAU,GAAG,MAAM,CAAC;QACtC,MAAM,IAAI,GAAG,IAAI,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC;QACxB,MAAM,IAAI,GAAG,IAAI,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC;QACxB,MAAM,GAAG,GAAG,IAAI,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC;QACvB,MAAM,KAAK,GAAG,IAAI,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC;QACzB,MAAM,MAAM,GAAG,IAAI,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC;QAC1B,OAAO;YACL,SAAS,EAAE,UAAU,CAAC,SAAS,CAAC;YAChC,UAAU,EAAE,UAAU,CAAC,UAAU,CAAC;YAClC,IAAI;YACJ,IAAI;YACJ,GAAG;YACH,KAAK;YACL,SAAS,EAAE,oBAAoB;YAC/B,aAAa;YACb,QAAQ;YACR,UAAU,EAAE,eAAe;YAC3B,MAAM;YACN,aAAa,EAAE,GAAG;SACnB,CAAC;IACJ,CAAC,CAAC,EACF,UAAU,CAAC;QACT,SAAS,EAAE,SAAS;QACpB,OAAO,EAAE,qBAAqB;QAC9B,YAAY,EAAE,CAAC,WAAW,EAAE,YAAY,CAAC;QACzC,aAAa,EAAE,IAAI;QACnB,QAAQ;KACT,CAAC,CACH,CAAC;AACJ,CAAC,CAAC,CAAC","sourcesContent":["import { decodeOHLCSeriesId, encodeOHLCSeriesId, IOHLC } from '@yuants/data-ohlc';\nimport { Terminal } from '@yuants/protocol';\nimport { writeToSQL } from '@yuants/sql';\nimport { convertDurationToOffset, decodePath, encodePath, formatTime } from '@yuants/utils';\nimport { map } from 'rxjs';\nimport { useOHLC } from '../ws';\n\nconst terminal = Terminal.fromNodeEnv();\n\n// 时间粒度，默认值1m\n// 如 [1m/3m/5m/15m/30m/1H/2H/4H]\n// 香港时间开盘价k线：[6H/12H/1D/1W/1M]\n// UTC时间开盘价k线：[6Hutc/12Hutc/1Dutc/1Wutc/1Mutc]\n\nconst DURATION_TO_OKX_CANDLE_TYPE: Record<string, string> = {\n  PT1M: 'candle1m',\n  PT3M: 'candle3m',\n  PT5M: 'candle5m',\n  PT15M: 'candle15m',\n  PT30M: 'candle30m',\n\n  PT1H: 'candle1H',\n  PT2H: 'candle2H',\n  PT4H: 'candle4H',\n  PT6H: 'candle6H',\n  PT12H: 'candle12H',\n\n  P1D: 'candle1D',\n  P1W: 'candle1W',\n  P1M: 'candle1M',\n};\n\nconst OHLC_V2_WRITE_COLUMNS: Array<keyof IOHLC> = [\n  'series_id',\n  'created_at',\n  'closed_at',\n  'open',\n  'high',\n  'low',\n  'close',\n  'volume',\n  'open_interest',\n];\n\nterminal.channel.publishChannel('ohlc', { pattern: `^OKX/` }, (series_id) => {\n  const { product_id, duration } = decodeOHLCSeriesId(series_id);\n  const [datasource_id, instType, instId] = decodePath(product_id);\n  const offset = convertDurationToOffset(duration);\n  if (!datasource_id) {\n    throw 'datasource_id is required';\n  }\n  if (!instType || !instId) {\n    throw `invalid product_id: ${product_id}`;\n  }\n  if (!offset) {\n    throw 'duration is invalid';\n  }\n  const product_id_path = encodePath(datasource_id, instType, instId);\n  const candleType = DURATION_TO_OKX_CANDLE_TYPE[duration];\n  if (!candleType) {\n    throw `unsupported duration: ${duration}`;\n  }\n  const normalized_series_id = encodeOHLCSeriesId(product_id_path, duration);\n  console.info(formatTime(Date.now()), `subscribe`, normalized_series_id, product_id_path);\n\n  return useOHLC(candleType, instId).pipe(\n    map((data): IOHLC => {\n      const created_at = Number(data[0][0]);\n      const closed_at = created_at + offset;\n      const open = data[0][1];\n      const high = data[0][2];\n      const low = data[0][3];\n      const close = data[0][4];\n      const volume = data[0][5];\n      return {\n        closed_at: formatTime(closed_at),\n        created_at: formatTime(created_at),\n        open,\n        high,\n        low,\n        close,\n        series_id: normalized_series_id,\n        datasource_id,\n        duration,\n        product_id: product_id_path,\n        volume,\n        open_interest: '0',\n      };\n    }),\n    writeToSQL({\n      tableName: 'ohlc_v2',\n      columns: OHLC_V2_WRITE_COLUMNS,\n      conflictKeys: ['series_id', 'created_at'],\n      writeInterval: 1000,\n      terminal,\n    }),\n  );\n});\n"]}

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

@@ -6,28 +6,32 @@ const terminal = Terminal.fromNodeEnv();
 const WINDOW_MS = 365 * 24 * 3600000;
 const fetchInterestRateLedgerBackward = async (req) => {
     var _a;
-    const params = {};
-    params.end = req.time.toString();
-    params.begin = (req.time - WINDOW_MS).toString();
-    params.limit = 100;
-    params.type = req.ledger_type;
-    const res = await getAccountBillsArchive(req.credential.payload, params);
-    return ((_a = res.data) !== null && _a !== void 0 ? _a : [])
-        .map((v) => {
-        const ms = Number(v.ts);
-        return {
-            id: v.billId,
-            product_id: encodePath('OKX', v.instType, v.instId),
-            amount: v.balChg,
-            account_id: req.account_id,
-            currency: v.ccy,
-            created_at: formatTime(ms),
-        };
-    })
-        .filter((x) => Date.parse(x.created_at) <= req.time);
+    if (req.ledger_type === 'FUNDING_FEE') {
+        const params = {};
+        params.end = req.time.toString();
+        params.begin = (req.time - WINDOW_MS).toString();
+        params.limit = 100;
+        params.type = '8';
+        const res = await getAccountBillsArchive(req.credential.payload, params);
+        return ((_a = res.data) !== null && _a !== void 0 ? _a : [])
+            .map((v) => {
+            const ms = Number(v.ts);
+            return {
+                id: v.billId,
+                product_id: encodePath('OKX', v.instType, v.instId),
+                amount: v.balChg,
+                account_id: req.account_id,
+                currency: v.ccy,
+                created_at: formatTime(ms),
+            };
+        })
+            .filter((x) => Date.parse(x.created_at) <= req.time);
+    }
+    return [];
 };
 provideInterestLedgerService(terminal, {
     direction: 'backward',
     type: 'OKX',
+    ledger_type: ['FUNDING_FEE'],
 }, fetchInterestRateLedgerBackward);
 //# sourceMappingURL=interest-ledger-service.js.map

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

@@ -1 +1 @@
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package/lib/index.d.ts

@@ -5,7 +5,6 @@ import './experimental/exchange';
 import './order';
 import './order-actions';
 import './order-actions-with-credential';
-import './public-data/interest_rate';
 import './public-data/market-order';
 import './public-data/ohlc';
 import './public-data/quote';

package/lib/index.d.ts.map

@@ -1 +1 @@
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+{"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,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;AAC1C,OAAO,oCAAoC,CAAC"}

package/lib/index.js

@@ -7,7 +7,6 @@ require("./experimental/exchange");
 require("./order");
 require("./order-actions");
 require("./order-actions-with-credential");
-require("./public-data/interest_rate");
 require("./public-data/market-order");
 require("./public-data/ohlc");
 require("./public-data/quote");

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;AAC3B,mCAAiC;AACjC,4CAA0C;AAC1C,8CAA4C","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';\nimport './services/interest-ledger-service';\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,sCAAoC;AACpC,8BAA4B;AAC5B,+BAA6B;AAC7B,sBAAoB;AACpB,8BAA4B;AAC5B,mBAAiB;AACjB,sBAAoB;AACpB,mCAAiC;AACjC,6BAA2B;AAC3B,mCAAiC;AACjC,4CAA0C;AAC1C,8CAA4C","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/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';\nimport './services/interest-ledger-service';\n"]}

package/lib/public-data/ohlc.js

@@ -1,46 +1,16 @@
 "use strict";
-var __await = (this && this.__await) || function (v) { return this instanceof __await ? (this.v = v, this) : new __await(v); }
-var __asyncGenerator = (this && this.__asyncGenerator) || function (thisArg, _arguments, generator) {
-    if (!Symbol.asyncIterator) throw new TypeError("Symbol.asyncIterator is not defined.");
-    var g = generator.apply(thisArg, _arguments || []), i, q = [];
-    return i = Object.create((typeof AsyncIterator === "function" ? AsyncIterator : Object).prototype), verb("next"), verb("throw"), verb("return", awaitReturn), i[Symbol.asyncIterator] = function () { return this; }, i;
-    function awaitReturn(f) { return function (v) { return Promise.resolve(v).then(f, reject); }; }
-    function verb(n, f) { if (g[n]) { i[n] = function (v) { return new Promise(function (a, b) { q.push([n, v, a, b]) > 1 || resume(n, v); }); }; if (f) i[n] = f(i[n]); } }
-    function resume(n, v) { try { step(g[n](v)); } catch (e) { settle(q[0][3], e); } }
-    function step(r) { r.value instanceof __await ? Promise.resolve(r.value.v).then(fulfill, reject) : settle(q[0][2], r); }
-    function fulfill(value) { resume("next", value); }
-    function reject(value) { resume("throw", value); }
-    function settle(f, v) { if (f(v), q.shift(), q.length) resume(q[0][0], q[0][1]); }
-};
 Object.defineProperty(exports, "__esModule", { value: true });
-const data_series_1 = require("@yuants/data-series");
+const data_ohlc_1 = require("@yuants/data-ohlc");
 const protocol_1 = require("@yuants/protocol");
 const sql_1 = require("@yuants/sql");
 const utils_1 = require("@yuants/utils");
 const rxjs_1 = require("rxjs");
-const public_api_1 = require("../api/public-api");
-const provideOHLCFromTimeBackwardService_1 = require("../utils/provideOHLCFromTimeBackwardService");
 const ws_1 = require("../ws");
 const terminal = protocol_1.Terminal.fromNodeEnv();
 // 时间粒度，默认值1m
 // 如 [1m/3m/5m/15m/30m/1H/2H/4H]
 // 香港时间开盘价k线：[6H/12H/1D/1W/1M]
 // UTC时间开盘价k线：[6Hutc/12Hutc/1Dutc/1Wutc/1Mutc]
-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 DURATION_TO_OKX_CANDLE_TYPE = {
     PT1M: 'candle1m',
     PT3M: 'candle3m',
@@ -67,86 +37,26 @@ const OHLC_V2_WRITE_COLUMNS = [
     'volume',
     'open_interest',
 ];
-(0, data_series_1.createSeriesProvider)(terminal, {
-    tableName: 'ohlc',
-    series_id_prefix_parts: ['OKX'],
-    reversed: true,
-    serviceOptions: { concurrent: 1 },
-    queryFn: function (_a) {
-        return __asyncGenerator(this, arguments, function* ({ series_id, ended_at }) {
-            const [datasource_id, product_id, duration] = (0, utils_1.decodePath)(series_id);
-            const offset = (0, utils_1.convertDurationToOffset)(duration);
-            if (!datasource_id) {
-                throw 'datasource_id is required';
-            }
-            if (!product_id) {
-                throw 'product_id is required';
-            }
-            if (!offset) {
-                throw 'duration is invalid';
-            }
-            const [instType, instId] = (0, utils_1.decodePath)(product_id);
-            if (!instId) {
-                throw `invalid product_id: ${product_id}`;
-            }
-            const bar = DURATION_TO_OKX_BAR_TYPE[duration];
-            if (!bar) {
-                throw `unsupported duration: ${duration}`;
-            }
-            let currentStartTime = ended_at;
-            while (true) {
-                // 向前翻页，时间降序，不含 after 时间点
-                const res = yield __await((0, public_api_1.getHistoryCandles)({
-                    instId,
-                    bar,
-                    after: `${currentStartTime}`,
-                    limit: '100',
-                }));
-                if (res.code !== '0') {
-                    throw `API failed: ${res.code} ${res.msg}`;
-                }
-                if (res.data.length === 0)
-                    break;
-                currentStartTime = +res.data[res.data.length - 1][0];
-                const data = res.data.map((x) => ({
-                    series_id,
-                    datasource_id,
-                    product_id,
-                    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',
-                }));
-                yield yield __await(data);
-                yield __await((0, rxjs_1.firstValueFrom)((0, rxjs_1.timer)(1000)));
-            }
-        });
-    },
-});
 terminal.channel.publishChannel('ohlc', { pattern: `^OKX/` }, (series_id) => {
-    const [datasource_id, product_id, duration] = (0, utils_1.decodePath)(series_id);
-    const [instType, instId] = (0, utils_1.decodePath)(product_id);
+    const { product_id, duration } = (0, data_ohlc_1.decodeOHLCSeriesId)(series_id);
+    const [datasource_id, instType, instId] = (0, utils_1.decodePath)(product_id);
     const offset = (0, utils_1.convertDurationToOffset)(duration);
     if (!datasource_id) {
         throw 'datasource_id is required';
     }
-    if (!product_id) {
-        throw 'product_id is required';
-    }
     if (!instType || !instId) {
         throw `invalid product_id: ${product_id}`;
     }
     if (!offset) {
         throw 'duration is invalid';
     }
-    const series_id_v2 = `${(0, utils_1.encodePath)(datasource_id, instType, instId)}/${duration}`;
+    const product_id_path = (0, utils_1.encodePath)(datasource_id, instType, instId);
     const candleType = DURATION_TO_OKX_CANDLE_TYPE[duration];
-    console.info((0, utils_1.formatTime)(Date.now()), `subscribe`, series_id, product_id);
+    if (!candleType) {
+        throw `unsupported duration: ${duration}`;
+    }
+    const normalized_series_id = (0, data_ohlc_1.encodeOHLCSeriesId)(product_id_path, duration);
+    console.info((0, utils_1.formatTime)(Date.now()), `subscribe`, normalized_series_id, product_id_path);
     return (0, ws_1.useOHLC)(candleType, instId).pipe((0, rxjs_1.map)((data) => {
         const created_at = Number(data[0][0]);
         const closed_at = created_at + offset;
@@ -162,79 +72,19 @@ terminal.channel.publishChannel('ohlc', { pattern: `^OKX/` }, (series_id) => {
             high,
             low,
             close,
-            series_id,
+            series_id: normalized_series_id,
             datasource_id,
             duration,
-            product_id,
+            product_id: product_id_path,
             volume,
             open_interest: '0',
         };
-    }), (0, rxjs_1.map)((x) => ({
-        __origin: x,
-        series_id: series_id_v2,
-        created_at: x.created_at,
-        closed_at: x.closed_at,
-        open: x.open,
-        high: x.high,
-        low: x.low,
-        close: x.close,
-        volume: x.volume,
-        open_interest: x.open_interest,
-    })), (0, sql_1.writeToSQL)({
+    }), (0, sql_1.writeToSQL)({
         tableName: 'ohlc_v2',
         columns: OHLC_V2_WRITE_COLUMNS,
         conflictKeys: ['series_id', 'created_at'],
         writeInterval: 1000,
         terminal,
-    }), (0, rxjs_1.map)((x) => x.__origin), (0, sql_1.writeToSQL)({
-        tableName: 'ohlc',
-        conflictKeys: ['series_id', 'created_at'],
-        writeInterval: 1000,
-        terminal,
     }));
 });
-(0, provideOHLCFromTimeBackwardService_1.provideOHLCFromTimeBackwardService)({
-    terminal,
-    datasource_id: 'OKX',
-    supported_durations: Object.keys(DURATION_TO_OKX_BAR_TYPE),
-    queryFn: async ({ series_id, datasource_id, product_id, duration, offset, time }) => {
-        const [instType, instId] = (0, utils_1.decodePath)(product_id);
-        if (!instId) {
-            throw `invalid product_id: ${product_id}`;
-        }
-        const bar = DURATION_TO_OKX_BAR_TYPE[duration];
-        if (!bar) {
-            throw `unsupported duration: ${duration}`;
-        }
-        // 从指定时间点向过去获取一页数据
-        const res = await (0, public_api_1.getHistoryCandles)({
-            instId,
-            bar,
-            after: `${new Date(time).getTime()}`, // 不包含该时间点 (标准的右开)
-            limit: `300`,
-        });
-        if (res.code !== '0') {
-            throw `API failed: ${res.code} ${res.msg}`;
-        }
-        return res.data.map((x) => ({
-            series_id,
-            datasource_id,
-            product_id,
-            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',
-        }));
-    },
-    serviceOptions: {
-        // Rate limit: 20 requests per 2 seconds
-        egress_token_capacity: 20,
-        egress_token_refill_interval: 2000,
-    },
-});
 //# sourceMappingURL=ohlc.js.map