desic-okx-agent 0.1.0
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.
- package/LICENSE +21 -0
- package/README.md +242 -0
- package/dist/account/private-websocket.d.ts +13 -0
- package/dist/account/private-websocket.js +102 -0
- package/dist/account/private-websocket.js.map +1 -0
- package/dist/account/service.d.ts +22 -0
- package/dist/account/service.js +118 -0
- package/dist/account/service.js.map +1 -0
- package/dist/account/store.d.ts +12 -0
- package/dist/account/store.js +48 -0
- package/dist/account/store.js.map +1 -0
- package/dist/cli/index.d.ts +2 -0
- package/dist/cli/index.js +122 -0
- package/dist/cli/index.js.map +1 -0
- package/dist/cli/prompts.d.ts +2 -0
- package/dist/cli/prompts.js +52 -0
- package/dist/cli/prompts.js.map +1 -0
- package/dist/config/loader.d.ts +9 -0
- package/dist/config/loader.js +87 -0
- package/dist/config/loader.js.map +1 -0
- package/dist/config/paths.d.ts +7 -0
- package/dist/config/paths.js +11 -0
- package/dist/config/paths.js.map +1 -0
- package/dist/config/schema.d.ts +42 -0
- package/dist/config/schema.js +30 -0
- package/dist/config/schema.js.map +1 -0
- package/dist/core/attribution.d.ts +2 -0
- package/dist/core/attribution.js +29 -0
- package/dist/core/attribution.js.map +1 -0
- package/dist/core/errors.d.ts +9 -0
- package/dist/core/errors.js +33 -0
- package/dist/core/errors.js.map +1 -0
- package/dist/core/okx-client.d.ts +13 -0
- package/dist/core/okx-client.js +102 -0
- package/dist/core/okx-client.js.map +1 -0
- package/dist/core/sanitize.d.ts +2 -0
- package/dist/core/sanitize.js +19 -0
- package/dist/core/sanitize.js.map +1 -0
- package/dist/core/types.d.ts +38 -0
- package/dist/core/types.js +18 -0
- package/dist/core/types.js.map +1 -0
- package/dist/derivatives/service.d.ts +28 -0
- package/dist/derivatives/service.js +144 -0
- package/dist/derivatives/service.js.map +1 -0
- package/dist/index.d.ts +4 -0
- package/dist/index.js +5 -0
- package/dist/index.js.map +1 -0
- package/dist/intelligence/service.d.ts +38 -0
- package/dist/intelligence/service.js +324 -0
- package/dist/intelligence/service.js.map +1 -0
- package/dist/market/indicators.d.ts +2 -0
- package/dist/market/indicators.js +74 -0
- package/dist/market/indicators.js.map +1 -0
- package/dist/market/service.d.ts +28 -0
- package/dist/market/service.js +232 -0
- package/dist/market/service.js.map +1 -0
- package/dist/market/store.d.ts +46 -0
- package/dist/market/store.js +158 -0
- package/dist/market/store.js.map +1 -0
- package/dist/market/websocket.d.ts +33 -0
- package/dist/market/websocket.js +213 -0
- package/dist/market/websocket.js.map +1 -0
- package/dist/mcp/server.d.ts +1 -0
- package/dist/mcp/server.js +28 -0
- package/dist/mcp/server.js.map +1 -0
- package/dist/runtime/client.d.ts +15 -0
- package/dist/runtime/client.js +106 -0
- package/dist/runtime/client.js.map +1 -0
- package/dist/runtime/server.d.ts +28 -0
- package/dist/runtime/server.js +140 -0
- package/dist/runtime/server.js.map +1 -0
- package/dist/runtime/state.d.ts +14 -0
- package/dist/runtime/state.js +98 -0
- package/dist/runtime/state.js.map +1 -0
- package/dist/storage/database.d.ts +23 -0
- package/dist/storage/database.js +106 -0
- package/dist/storage/database.js.map +1 -0
- package/dist/tools/catalog.d.ts +21 -0
- package/dist/tools/catalog.js +236 -0
- package/dist/tools/catalog.js.map +1 -0
- package/dist/trade/service.d.ts +128 -0
- package/dist/trade/service.js +470 -0
- package/dist/trade/service.js.map +1 -0
- package/examples/claude-code/mcp.json +8 -0
- package/examples/codex/config.toml +3 -0
- package/examples/config.example.json +18 -0
- package/package.json +71 -0
- package/skills/okx-account-analysis/SKILL.md +14 -0
- package/skills/okx-account-analysis/agents/openai.yaml +9 -0
- package/skills/okx-derivatives-analysis/SKILL.md +14 -0
- package/skills/okx-derivatives-analysis/agents/openai.yaml +9 -0
- package/skills/okx-market-analysis/SKILL.md +14 -0
- package/skills/okx-market-analysis/agents/openai.yaml +9 -0
- package/skills/okx-news-intelligence/SKILL.md +14 -0
- package/skills/okx-news-intelligence/agents/openai.yaml +9 -0
- package/skills/okx-smart-money-analysis/SKILL.md +15 -0
- package/skills/okx-smart-money-analysis/agents/openai.yaml +9 -0
- package/skills/okx-trading/SKILL.md +16 -0
- package/skills/okx-trading/agents/openai.yaml +9 -0
- package/skills/trading-philosophy/SKILL.md +14 -0
- package/skills/trading-philosophy/agents/openai.yaml +4 -0
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|
|
@@ -0,0 +1,74 @@
|
|
|
1
|
+
export function calculateIndicators(candles) {
|
|
2
|
+
const closes = candles.map((row) => Number(row[4])).filter(Number.isFinite);
|
|
3
|
+
const highs = candles.map((row) => Number(row[2])).filter(Number.isFinite);
|
|
4
|
+
const lows = candles.map((row) => Number(row[3])).filter(Number.isFinite);
|
|
5
|
+
const volumes = candles.map((row) => Number(row[5])).filter(Number.isFinite);
|
|
6
|
+
const sma20 = sma(closes, 20);
|
|
7
|
+
const ema12 = ema(closes, 12);
|
|
8
|
+
const ema26 = ema(closes, 26);
|
|
9
|
+
const macd = ema12 !== null && ema26 !== null ? ema12 - ema26 : null;
|
|
10
|
+
const rsi14 = rsi(closes, 14);
|
|
11
|
+
const atr14 = atr(highs, lows, closes, 14);
|
|
12
|
+
const std20 = standardDeviation(closes.slice(-20));
|
|
13
|
+
const vwap = weightedAverage(closes.slice(-volumes.length), volumes);
|
|
14
|
+
return {
|
|
15
|
+
sampleSize: closes.length,
|
|
16
|
+
sma20,
|
|
17
|
+
ema12,
|
|
18
|
+
ema26,
|
|
19
|
+
macd,
|
|
20
|
+
rsi14,
|
|
21
|
+
atr14,
|
|
22
|
+
bollinger20: sma20 === null || std20 === null ? null : { middle: sma20, upper: sma20 + 2 * std20, lower: sma20 - 2 * std20 },
|
|
23
|
+
vwap
|
|
24
|
+
};
|
|
25
|
+
}
|
|
26
|
+
function sma(values, period) {
|
|
27
|
+
if (values.length < period)
|
|
28
|
+
return null;
|
|
29
|
+
return values.slice(-period).reduce((sum, value) => sum + value, 0) / period;
|
|
30
|
+
}
|
|
31
|
+
function ema(values, period) {
|
|
32
|
+
if (values.length < period)
|
|
33
|
+
return null;
|
|
34
|
+
const multiplier = 2 / (period + 1);
|
|
35
|
+
let current = values.slice(0, period).reduce((sum, value) => sum + value, 0) / period;
|
|
36
|
+
for (const value of values.slice(period))
|
|
37
|
+
current = (value - current) * multiplier + current;
|
|
38
|
+
return current;
|
|
39
|
+
}
|
|
40
|
+
function rsi(values, period) {
|
|
41
|
+
if (values.length <= period)
|
|
42
|
+
return null;
|
|
43
|
+
const deltas = values.slice(1).map((value, index) => value - values[index]);
|
|
44
|
+
const sample = deltas.slice(-period);
|
|
45
|
+
const gains = sample.reduce((sum, value) => sum + Math.max(0, value), 0) / period;
|
|
46
|
+
const losses = sample.reduce((sum, value) => sum + Math.max(0, -value), 0) / period;
|
|
47
|
+
if (losses === 0)
|
|
48
|
+
return 100;
|
|
49
|
+
return 100 - 100 / (1 + gains / losses);
|
|
50
|
+
}
|
|
51
|
+
function atr(highs, lows, closes, period) {
|
|
52
|
+
if (closes.length <= period || highs.length !== closes.length || lows.length !== closes.length)
|
|
53
|
+
return null;
|
|
54
|
+
const ranges = highs.slice(1).map((high, index) => {
|
|
55
|
+
const previousClose = closes[index];
|
|
56
|
+
return Math.max(high - lows[index + 1], Math.abs(high - previousClose), Math.abs(lows[index + 1] - previousClose));
|
|
57
|
+
});
|
|
58
|
+
return sma(ranges, period);
|
|
59
|
+
}
|
|
60
|
+
function standardDeviation(values) {
|
|
61
|
+
if (values.length === 0)
|
|
62
|
+
return null;
|
|
63
|
+
const average = values.reduce((sum, value) => sum + value, 0) / values.length;
|
|
64
|
+
return Math.sqrt(values.reduce((sum, value) => sum + (value - average) ** 2, 0) / values.length);
|
|
65
|
+
}
|
|
66
|
+
function weightedAverage(values, weights) {
|
|
67
|
+
if (!values.length || values.length !== weights.length)
|
|
68
|
+
return null;
|
|
69
|
+
const total = weights.reduce((sum, value) => sum + value, 0);
|
|
70
|
+
if (total === 0)
|
|
71
|
+
return null;
|
|
72
|
+
return values.reduce((sum, value, index) => sum + value * weights[index], 0) / total;
|
|
73
|
+
}
|
|
74
|
+
//# sourceMappingURL=indicators.js.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
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@@ -0,0 +1,28 @@
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1
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+
import type { RuntimeConfig } from "../config/schema.js";
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2
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+
import { OkxClient } from "../core/okx-client.js";
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3
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+
import { type ToolResult } from "../core/types.js";
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4
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+
import type { RuntimeDatabase } from "../storage/database.js";
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5
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+
import { MarketStore, type OrderBookSnapshot, type RawCandle, type RawMarketRow } from "./store.js";
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6
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+
import type { MarketWebSocket } from "./websocket.js";
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7
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export declare class MarketService {
|
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8
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readonly config: RuntimeConfig;
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9
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+
readonly store: MarketStore;
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10
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readonly client: OkxClient;
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11
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readonly database: RuntimeDatabase;
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private websocket?;
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constructor(config: RuntimeConfig, store: MarketStore, client: OkxClient, database: RuntimeDatabase);
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attachWebSocket(websocket: MarketWebSocket): void;
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15
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restorePersisted(): void;
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16
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getTicker(instId: string): Promise<ToolResult<RawMarketRow>>;
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17
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getInstrument(instId: string): Promise<ToolResult<RawMarketRow>>;
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18
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+
getOrderBook(instId: string, depth?: number): Promise<ToolResult<OrderBookSnapshot>>;
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19
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+
getRecentTrades(instId: string, limit?: number): Promise<ToolResult<RawMarketRow[]>>;
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20
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getCandles(instId: string, bar?: string, limit?: number): Promise<ToolResult<RawCandle[]>>;
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21
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+
getFundingRate(instId: string): Promise<ToolResult<RawMarketRow>>;
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22
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getMarkPrice(instId: string): Promise<ToolResult<RawMarketRow>>;
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23
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+
getOpenInterest(instId: string): Promise<ToolResult<RawMarketRow>>;
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24
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+
getIndicators(instId: string, bar?: string, limit?: number): Promise<ToolResult<Record<string, unknown>>>;
|
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25
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+
getDecisionSnapshot(instId: string, bar?: string, candleLimit?: number): Promise<ToolResult<Record<string, unknown>>>;
|
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26
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+
scanWatchlist(instIds?: string[], bar?: string): Promise<ToolResult<unknown[]>>;
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27
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+
private ensure;
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28
|
+
}
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@@ -0,0 +1,232 @@
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1
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+
import { RuntimeError } from "../core/errors.js";
|
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2
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+
import { resultMeta } from "../core/types.js";
|
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3
|
+
import { calculateIndicators } from "./indicators.js";
|
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4
|
+
const FRESH_MS = {
|
|
5
|
+
ticker: 5_000,
|
|
6
|
+
instrument: 3_600_000,
|
|
7
|
+
book: 3_000,
|
|
8
|
+
trades: 10_000,
|
|
9
|
+
candle: 10_000,
|
|
10
|
+
funding: 600_000,
|
|
11
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+
mark: 5_000,
|
|
12
|
+
openInterest: 10_000
|
|
13
|
+
};
|
|
14
|
+
export class MarketService {
|
|
15
|
+
config;
|
|
16
|
+
store;
|
|
17
|
+
client;
|
|
18
|
+
database;
|
|
19
|
+
websocket;
|
|
20
|
+
constructor(config, store, client, database) {
|
|
21
|
+
this.config = config;
|
|
22
|
+
this.store = store;
|
|
23
|
+
this.client = client;
|
|
24
|
+
this.database = database;
|
|
25
|
+
}
|
|
26
|
+
attachWebSocket(websocket) {
|
|
27
|
+
this.websocket = websocket;
|
|
28
|
+
}
|
|
29
|
+
restorePersisted() {
|
|
30
|
+
for (const instId of this.config.market.prewarm) {
|
|
31
|
+
for (const bar of this.config.market.bars) {
|
|
32
|
+
const candles = this.database.loadCandles(instId, bar, 300);
|
|
33
|
+
if (candles.length)
|
|
34
|
+
this.store.setCandles(instId, bar, candles, "sqlite");
|
|
35
|
+
}
|
|
36
|
+
}
|
|
37
|
+
}
|
|
38
|
+
async getTicker(instId) {
|
|
39
|
+
this.ensure(instId);
|
|
40
|
+
let cached = fresh(this.store.tickers.get(instId), FRESH_MS.ticker);
|
|
41
|
+
if (!cached) {
|
|
42
|
+
const [value] = await this.client.publicGet("/api/v5/market/ticker", { instId });
|
|
43
|
+
if (!value)
|
|
44
|
+
throw new RuntimeError("NOT_FOUND", `Ticker not found for ${instId}`);
|
|
45
|
+
this.store.setTicker(instId, value, "rest");
|
|
46
|
+
cached = this.store.tickers.get(instId);
|
|
47
|
+
}
|
|
48
|
+
return timedResult(cached);
|
|
49
|
+
}
|
|
50
|
+
async getInstrument(instId) {
|
|
51
|
+
let cached = fresh(this.store.instruments.get(instId), FRESH_MS.instrument);
|
|
52
|
+
if (!cached) {
|
|
53
|
+
const values = await this.client.publicGet("/api/v5/public/instruments", {
|
|
54
|
+
instType: instrumentType(instId),
|
|
55
|
+
instId
|
|
56
|
+
});
|
|
57
|
+
const value = values.find((item) => item.instId === instId);
|
|
58
|
+
if (!value)
|
|
59
|
+
throw new RuntimeError("NOT_FOUND", `Instrument not found: ${instId}`);
|
|
60
|
+
this.store.setInstrument(instId, value);
|
|
61
|
+
cached = this.store.instruments.get(instId);
|
|
62
|
+
}
|
|
63
|
+
return timedResult(cached);
|
|
64
|
+
}
|
|
65
|
+
async getOrderBook(instId, depth = this.config.market.orderBookDepth) {
|
|
66
|
+
this.ensure(instId);
|
|
67
|
+
let cached = fresh(this.store.books.get(instId), FRESH_MS.book);
|
|
68
|
+
if (!cached) {
|
|
69
|
+
const [value] = await this.client.publicGet("/api/v5/market/books", {
|
|
70
|
+
instId,
|
|
71
|
+
sz: Math.min(depth, 400)
|
|
72
|
+
});
|
|
73
|
+
if (!value)
|
|
74
|
+
throw new RuntimeError("NOT_FOUND", `Order book not found for ${instId}`);
|
|
75
|
+
this.store.setBook(instId, {
|
|
76
|
+
bids: (value.bids ?? []),
|
|
77
|
+
asks: (value.asks ?? []),
|
|
78
|
+
ts: String(value.ts ?? Date.now()),
|
|
79
|
+
...(value.checksum !== undefined ? { checksum: Number(value.checksum) } : {}),
|
|
80
|
+
...(value.seqId !== undefined ? { seqId: Number(value.seqId) } : {})
|
|
81
|
+
});
|
|
82
|
+
cached = this.store.books.get(instId);
|
|
83
|
+
}
|
|
84
|
+
return { data: { ...cached.value, bids: cached.value.bids.slice(0, depth), asks: cached.value.asks.slice(0, depth) }, meta: meta(cached) };
|
|
85
|
+
}
|
|
86
|
+
async getRecentTrades(instId, limit = 100) {
|
|
87
|
+
this.ensure(instId);
|
|
88
|
+
let cached = fresh(this.store.trades.get(instId), FRESH_MS.trades);
|
|
89
|
+
if (!cached) {
|
|
90
|
+
const values = await this.client.publicGet("/api/v5/market/trades", { instId, limit: Math.min(limit, 500) });
|
|
91
|
+
this.store.appendTrades(instId, values, "rest");
|
|
92
|
+
cached = this.store.trades.get(instId);
|
|
93
|
+
}
|
|
94
|
+
return { data: cached.value.slice(0, limit), meta: meta(cached) };
|
|
95
|
+
}
|
|
96
|
+
async getCandles(instId, bar = "1m", limit = 100) {
|
|
97
|
+
this.ensure(instId);
|
|
98
|
+
let cached = fresh(this.store.getCandles(instId, bar), FRESH_MS.candle);
|
|
99
|
+
if (!cached || cached.value.length < limit) {
|
|
100
|
+
const persisted = this.database.loadCandles(instId, bar, Math.max(limit, 300));
|
|
101
|
+
if (persisted.length)
|
|
102
|
+
this.store.setCandles(instId, bar, persisted, "sqlite");
|
|
103
|
+
const values = await this.client.publicGet("/api/v5/market/candles", {
|
|
104
|
+
instId,
|
|
105
|
+
bar,
|
|
106
|
+
limit: Math.min(limit, 300)
|
|
107
|
+
});
|
|
108
|
+
this.store.setCandles(instId, bar, [...values].reverse(), "rest");
|
|
109
|
+
this.database.saveCandles(instId, bar, values.filter((row) => row[8] === "1"));
|
|
110
|
+
cached = this.store.getCandles(instId, bar);
|
|
111
|
+
}
|
|
112
|
+
return { data: cached.value.slice(-limit), meta: meta(cached) };
|
|
113
|
+
}
|
|
114
|
+
async getFundingRate(instId) {
|
|
115
|
+
this.ensure(instId);
|
|
116
|
+
let cached = fresh(this.store.fundingRates.get(instId), FRESH_MS.funding);
|
|
117
|
+
if (!cached) {
|
|
118
|
+
const [value] = await this.client.publicGet("/api/v5/public/funding-rate", { instId });
|
|
119
|
+
if (!value)
|
|
120
|
+
throw new RuntimeError("NOT_FOUND", `Funding rate not found for ${instId}`);
|
|
121
|
+
this.store.setFundingRate(instId, value, "rest");
|
|
122
|
+
cached = this.store.fundingRates.get(instId);
|
|
123
|
+
}
|
|
124
|
+
return timedResult(cached);
|
|
125
|
+
}
|
|
126
|
+
async getMarkPrice(instId) {
|
|
127
|
+
this.ensure(instId);
|
|
128
|
+
let cached = fresh(this.store.markPrices.get(instId), FRESH_MS.mark);
|
|
129
|
+
if (!cached) {
|
|
130
|
+
const [value] = await this.client.publicGet("/api/v5/public/mark-price", {
|
|
131
|
+
instType: instrumentType(instId),
|
|
132
|
+
instId
|
|
133
|
+
});
|
|
134
|
+
if (!value)
|
|
135
|
+
throw new RuntimeError("NOT_FOUND", `Mark price not found for ${instId}`);
|
|
136
|
+
this.store.setMarkPrice(instId, value, "rest");
|
|
137
|
+
cached = this.store.markPrices.get(instId);
|
|
138
|
+
}
|
|
139
|
+
return timedResult(cached);
|
|
140
|
+
}
|
|
141
|
+
async getOpenInterest(instId) {
|
|
142
|
+
this.ensure(instId);
|
|
143
|
+
let cached = fresh(this.store.openInterest.get(instId), FRESH_MS.openInterest);
|
|
144
|
+
if (!cached) {
|
|
145
|
+
const [value] = await this.client.publicGet("/api/v5/public/open-interest", {
|
|
146
|
+
instType: instrumentType(instId),
|
|
147
|
+
instId
|
|
148
|
+
});
|
|
149
|
+
if (!value)
|
|
150
|
+
throw new RuntimeError("NOT_FOUND", `Open interest not found for ${instId}`);
|
|
151
|
+
this.store.setOpenInterest(instId, value, "rest");
|
|
152
|
+
cached = this.store.openInterest.get(instId);
|
|
153
|
+
}
|
|
154
|
+
return timedResult(cached);
|
|
155
|
+
}
|
|
156
|
+
async getIndicators(instId, bar = "1m", limit = 200) {
|
|
157
|
+
const candles = await this.getCandles(instId, bar, Math.max(30, limit));
|
|
158
|
+
return { data: calculateIndicators(candles.data), meta: { ...candles.meta, source: "derived" } };
|
|
159
|
+
}
|
|
160
|
+
async getDecisionSnapshot(instId, bar = "1m", candleLimit = 100) {
|
|
161
|
+
const [ticker, instrument, book, trades, candles, fundingRate, markPrice, openInterest] = await Promise.all([
|
|
162
|
+
this.getTicker(instId),
|
|
163
|
+
this.getInstrument(instId),
|
|
164
|
+
this.getOrderBook(instId),
|
|
165
|
+
this.getRecentTrades(instId, 100),
|
|
166
|
+
this.getCandles(instId, bar, candleLimit),
|
|
167
|
+
this.getFundingRate(instId),
|
|
168
|
+
this.getMarkPrice(instId),
|
|
169
|
+
this.getOpenInterest(instId)
|
|
170
|
+
]);
|
|
171
|
+
const parts = { ticker, instrument, orderBook: book, trades, candles, fundingRate, markPrice, openInterest };
|
|
172
|
+
const dynamicParts = { ticker, orderBook: book, trades, candles, markPrice, openInterest };
|
|
173
|
+
const observed = Object.values(dynamicParts).map((part) => part.meta.receivedAt);
|
|
174
|
+
const maxTimeSkewMs = Math.max(...observed) - Math.min(...observed);
|
|
175
|
+
const now = Date.now();
|
|
176
|
+
const stale = Object.entries(dynamicParts)
|
|
177
|
+
.filter(([, part]) => now - part.meta.receivedAt > 60_000)
|
|
178
|
+
.map(([name]) => name);
|
|
179
|
+
const consistent = maxTimeSkewMs <= this.config.market.maxSnapshotSkewMs && stale.length === 0;
|
|
180
|
+
const warnings = [
|
|
181
|
+
...(consistent ? [] : [`Snapshot skew is ${maxTimeSkewMs}ms`]),
|
|
182
|
+
...(stale.length ? [`Stale components: ${stale.join(", ")}`] : [])
|
|
183
|
+
];
|
|
184
|
+
const asOf = Math.max(...observed);
|
|
185
|
+
return {
|
|
186
|
+
data: {
|
|
187
|
+
instId,
|
|
188
|
+
bar,
|
|
189
|
+
asOf,
|
|
190
|
+
maxTimeSkewMs,
|
|
191
|
+
consistent,
|
|
192
|
+
components: Object.fromEntries(Object.entries(parts).map(([name, part]) => [name, { data: part.data, meta: part.meta }]))
|
|
193
|
+
},
|
|
194
|
+
meta: resultMeta({ source: "mixed", exchangeTs: asOf, receivedAt: now, warnings })
|
|
195
|
+
};
|
|
196
|
+
}
|
|
197
|
+
async scanWatchlist(instIds = this.config.market.prewarm, bar = "5m") {
|
|
198
|
+
const values = await Promise.all(instIds.map(async (instId) => {
|
|
199
|
+
const [ticker, indicators] = await Promise.all([this.getTicker(instId), this.getIndicators(instId, bar, 100)]);
|
|
200
|
+
return { instId, ticker: ticker.data, indicators: indicators.data, observedAt: ticker.meta.receivedAt };
|
|
201
|
+
}));
|
|
202
|
+
return { data: values, meta: resultMeta({ source: "mixed" }) };
|
|
203
|
+
}
|
|
204
|
+
ensure(instId) {
|
|
205
|
+
if (!instId.trim())
|
|
206
|
+
throw new RuntimeError("VALIDATION", "instId is required");
|
|
207
|
+
this.websocket?.ensureSubscribed(instId);
|
|
208
|
+
this.store.touch(instId);
|
|
209
|
+
}
|
|
210
|
+
}
|
|
211
|
+
function fresh(value, maxAgeMs) {
|
|
212
|
+
return value && Date.now() - value.receivedAt <= maxAgeMs ? value : undefined;
|
|
213
|
+
}
|
|
214
|
+
function timedResult(value) {
|
|
215
|
+
return { data: value.value, meta: meta(value) };
|
|
216
|
+
}
|
|
217
|
+
function meta(value) {
|
|
218
|
+
return resultMeta({
|
|
219
|
+
source: value.source,
|
|
220
|
+
exchangeTs: value.exchangeTs,
|
|
221
|
+
receivedAt: value.receivedAt
|
|
222
|
+
});
|
|
223
|
+
}
|
|
224
|
+
function instrumentType(instId) {
|
|
225
|
+
if (instId.endsWith("-SWAP"))
|
|
226
|
+
return "SWAP";
|
|
227
|
+
const parts = instId.split("-");
|
|
228
|
+
if (parts.length >= 3)
|
|
229
|
+
return "FUTURES";
|
|
230
|
+
return "SPOT";
|
|
231
|
+
}
|
|
232
|
+
//# sourceMappingURL=service.js.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
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@@ -0,0 +1,46 @@
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|
1
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+
import type { TimedValue } from "../core/types.js";
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2
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+
export type RawMarketRow = Record<string, unknown>;
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|
3
|
+
export type RawCandle = string[];
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|
4
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+
export type BookLevel = [string, string, string, string];
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|
5
|
+
export interface OrderBookSnapshot {
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|
6
|
+
bids: BookLevel[];
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|
7
|
+
asks: BookLevel[];
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|
8
|
+
ts: string;
|
|
9
|
+
checksum?: number;
|
|
10
|
+
seqId?: number;
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|
11
|
+
prevSeqId?: number;
|
|
12
|
+
}
|
|
13
|
+
interface SubscriptionState {
|
|
14
|
+
lastAccessAt: number;
|
|
15
|
+
prewarmed: boolean;
|
|
16
|
+
}
|
|
17
|
+
export declare class MarketStore {
|
|
18
|
+
private readonly tradeLimit;
|
|
19
|
+
private readonly bookDepth;
|
|
20
|
+
readonly tickers: Map<string, TimedValue<RawMarketRow>>;
|
|
21
|
+
readonly instruments: Map<string, TimedValue<RawMarketRow>>;
|
|
22
|
+
readonly fundingRates: Map<string, TimedValue<RawMarketRow>>;
|
|
23
|
+
readonly markPrices: Map<string, TimedValue<RawMarketRow>>;
|
|
24
|
+
readonly openInterest: Map<string, TimedValue<RawMarketRow>>;
|
|
25
|
+
readonly books: Map<string, TimedValue<OrderBookSnapshot>>;
|
|
26
|
+
readonly trades: Map<string, TimedValue<RawMarketRow[]>>;
|
|
27
|
+
readonly candles: Map<string, TimedValue<RawCandle[]>>;
|
|
28
|
+
readonly subscriptions: Map<string, SubscriptionState>;
|
|
29
|
+
private readonly mutableBooks;
|
|
30
|
+
constructor(tradeLimit: number, bookDepth: number);
|
|
31
|
+
touch(instId: string, prewarmed?: boolean): boolean;
|
|
32
|
+
idleSubscriptions(idleMs: number): string[];
|
|
33
|
+
removeSubscription(instId: string): void;
|
|
34
|
+
setTicker(instId: string, value: RawMarketRow, source?: TimedValue<unknown>["source"]): void;
|
|
35
|
+
setInstrument(instId: string, value: RawMarketRow, source?: TimedValue<unknown>["source"]): void;
|
|
36
|
+
setFundingRate(instId: string, value: RawMarketRow, source?: TimedValue<unknown>["source"]): void;
|
|
37
|
+
setMarkPrice(instId: string, value: RawMarketRow, source?: TimedValue<unknown>["source"]): void;
|
|
38
|
+
setOpenInterest(instId: string, value: RawMarketRow, source?: TimedValue<unknown>["source"]): void;
|
|
39
|
+
appendTrades(instId: string, incoming: RawMarketRow[], source?: TimedValue<unknown>["source"]): void;
|
|
40
|
+
setCandles(instId: string, bar: string, incoming: RawCandle[], source?: TimedValue<unknown>["source"]): void;
|
|
41
|
+
getCandles(instId: string, bar: string): TimedValue<RawCandle[]> | undefined;
|
|
42
|
+
applyBook(instId: string, action: string, update: OrderBookSnapshot): void;
|
|
43
|
+
setBook(instId: string, book: OrderBookSnapshot, source?: TimedValue<unknown>["source"]): void;
|
|
44
|
+
}
|
|
45
|
+
export declare function candleKey(instId: string, bar: string): string;
|
|
46
|
+
export {};
|
|
@@ -0,0 +1,158 @@
|
|
|
1
|
+
import CRC32 from "crc-32";
|
|
2
|
+
import { RuntimeError } from "../core/errors.js";
|
|
3
|
+
export class MarketStore {
|
|
4
|
+
tradeLimit;
|
|
5
|
+
bookDepth;
|
|
6
|
+
tickers = new Map();
|
|
7
|
+
instruments = new Map();
|
|
8
|
+
fundingRates = new Map();
|
|
9
|
+
markPrices = new Map();
|
|
10
|
+
openInterest = new Map();
|
|
11
|
+
books = new Map();
|
|
12
|
+
trades = new Map();
|
|
13
|
+
candles = new Map();
|
|
14
|
+
subscriptions = new Map();
|
|
15
|
+
mutableBooks = new Map();
|
|
16
|
+
constructor(tradeLimit, bookDepth) {
|
|
17
|
+
this.tradeLimit = tradeLimit;
|
|
18
|
+
this.bookDepth = bookDepth;
|
|
19
|
+
}
|
|
20
|
+
touch(instId, prewarmed = false) {
|
|
21
|
+
const current = this.subscriptions.get(instId);
|
|
22
|
+
this.subscriptions.set(instId, {
|
|
23
|
+
lastAccessAt: Date.now(),
|
|
24
|
+
prewarmed: prewarmed || current?.prewarmed === true
|
|
25
|
+
});
|
|
26
|
+
return current === undefined;
|
|
27
|
+
}
|
|
28
|
+
idleSubscriptions(idleMs) {
|
|
29
|
+
const cutoff = Date.now() - idleMs;
|
|
30
|
+
return [...this.subscriptions.entries()]
|
|
31
|
+
.filter(([, state]) => !state.prewarmed && state.lastAccessAt < cutoff)
|
|
32
|
+
.map(([instId]) => instId);
|
|
33
|
+
}
|
|
34
|
+
removeSubscription(instId) {
|
|
35
|
+
this.subscriptions.delete(instId);
|
|
36
|
+
}
|
|
37
|
+
setTicker(instId, value, source = "websocket") {
|
|
38
|
+
this.tickers.set(instId, timed(value, value.ts, source));
|
|
39
|
+
}
|
|
40
|
+
setInstrument(instId, value, source = "rest") {
|
|
41
|
+
this.instruments.set(instId, timed(value, value.ts, source));
|
|
42
|
+
}
|
|
43
|
+
setFundingRate(instId, value, source = "websocket") {
|
|
44
|
+
this.fundingRates.set(instId, timed(value, value.ts ?? value.fundingTime, source));
|
|
45
|
+
}
|
|
46
|
+
setMarkPrice(instId, value, source = "websocket") {
|
|
47
|
+
this.markPrices.set(instId, timed(value, value.ts, source));
|
|
48
|
+
}
|
|
49
|
+
setOpenInterest(instId, value, source = "websocket") {
|
|
50
|
+
this.openInterest.set(instId, timed(value, value.ts, source));
|
|
51
|
+
}
|
|
52
|
+
appendTrades(instId, incoming, source = "websocket") {
|
|
53
|
+
const previous = this.trades.get(instId)?.value ?? [];
|
|
54
|
+
const byId = new Map();
|
|
55
|
+
for (const trade of [...incoming, ...previous]) {
|
|
56
|
+
const id = String(trade.tradeId ?? `${trade.ts}:${trade.px}:${trade.side}`);
|
|
57
|
+
if (!byId.has(id))
|
|
58
|
+
byId.set(id, trade);
|
|
59
|
+
}
|
|
60
|
+
const values = [...byId.values()]
|
|
61
|
+
.sort((a, b) => Number(b.ts ?? 0) - Number(a.ts ?? 0))
|
|
62
|
+
.slice(0, this.tradeLimit);
|
|
63
|
+
this.trades.set(instId, timed(values, values[0]?.ts, source));
|
|
64
|
+
}
|
|
65
|
+
setCandles(instId, bar, incoming, source = "websocket") {
|
|
66
|
+
const key = candleKey(instId, bar);
|
|
67
|
+
const previous = this.candles.get(key)?.value ?? [];
|
|
68
|
+
const byTimestamp = new Map();
|
|
69
|
+
for (const candle of [...incoming, ...previous]) {
|
|
70
|
+
if (candle[0] && !byTimestamp.has(candle[0]))
|
|
71
|
+
byTimestamp.set(candle[0], candle);
|
|
72
|
+
}
|
|
73
|
+
const values = [...byTimestamp.values()]
|
|
74
|
+
.sort((a, b) => Number(a[0]) - Number(b[0]))
|
|
75
|
+
.slice(-1_000);
|
|
76
|
+
const receivedAt = Date.now();
|
|
77
|
+
this.candles.set(key, { value: values, exchangeTs: receivedAt, receivedAt, source });
|
|
78
|
+
}
|
|
79
|
+
getCandles(instId, bar) {
|
|
80
|
+
return this.candles.get(candleKey(instId, bar));
|
|
81
|
+
}
|
|
82
|
+
applyBook(instId, action, update) {
|
|
83
|
+
const next = action === "snapshot" || !this.mutableBooks.has(instId)
|
|
84
|
+
? { bids: new Map(), asks: new Map(), ts: update.ts, checksum: update.checksum, seqId: update.seqId }
|
|
85
|
+
: this.mutableBooks.get(instId);
|
|
86
|
+
if (action !== "snapshot" && update.seqId !== undefined && next.seqId !== undefined && update.seqId <= next.seqId)
|
|
87
|
+
return;
|
|
88
|
+
if (action !== "snapshot" && update.prevSeqId !== undefined && next.seqId !== undefined && update.prevSeqId !== next.seqId && update.prevSeqId !== -1) {
|
|
89
|
+
this.mutableBooks.delete(instId);
|
|
90
|
+
this.books.delete(instId);
|
|
91
|
+
throw new RuntimeError("STALE_DATA", `Order book sequence gap for ${instId}`, true);
|
|
92
|
+
}
|
|
93
|
+
applyLevels(next.bids, update.bids);
|
|
94
|
+
applyLevels(next.asks, update.asks);
|
|
95
|
+
next.ts = update.ts;
|
|
96
|
+
next.checksum = update.checksum;
|
|
97
|
+
next.seqId = update.seqId;
|
|
98
|
+
if (update.checksum !== undefined && bookChecksum(next) !== update.checksum) {
|
|
99
|
+
this.mutableBooks.delete(instId);
|
|
100
|
+
this.books.delete(instId);
|
|
101
|
+
throw new RuntimeError("STALE_DATA", `Order book checksum mismatch for ${instId}`, true);
|
|
102
|
+
}
|
|
103
|
+
this.mutableBooks.set(instId, next);
|
|
104
|
+
const value = materializeBook(next, this.bookDepth);
|
|
105
|
+
this.books.set(instId, timed(value, update.ts, "websocket"));
|
|
106
|
+
}
|
|
107
|
+
setBook(instId, book, source = "rest") {
|
|
108
|
+
const mutable = { bids: new Map(), asks: new Map(), ts: book.ts, checksum: book.checksum, seqId: book.seqId };
|
|
109
|
+
applyLevels(mutable.bids, book.bids);
|
|
110
|
+
applyLevels(mutable.asks, book.asks);
|
|
111
|
+
this.mutableBooks.set(instId, mutable);
|
|
112
|
+
this.books.set(instId, timed(materializeBook(mutable, this.bookDepth), book.ts, source));
|
|
113
|
+
}
|
|
114
|
+
}
|
|
115
|
+
export function candleKey(instId, bar) {
|
|
116
|
+
return `${instId}:${bar}`;
|
|
117
|
+
}
|
|
118
|
+
function timed(value, timestamp, source) {
|
|
119
|
+
const receivedAt = Date.now();
|
|
120
|
+
const parsed = Number(timestamp);
|
|
121
|
+
return { value, exchangeTs: Number.isFinite(parsed) ? parsed : receivedAt, receivedAt, source };
|
|
122
|
+
}
|
|
123
|
+
function applyLevels(target, levels) {
|
|
124
|
+
for (const level of levels) {
|
|
125
|
+
const price = level[0];
|
|
126
|
+
if (!price)
|
|
127
|
+
continue;
|
|
128
|
+
if (Number(level[1]) === 0)
|
|
129
|
+
target.delete(price);
|
|
130
|
+
else
|
|
131
|
+
target.set(price, level);
|
|
132
|
+
}
|
|
133
|
+
}
|
|
134
|
+
function materializeBook(book, depth) {
|
|
135
|
+
return {
|
|
136
|
+
bids: [...book.bids.values()].sort((a, b) => Number(b[0]) - Number(a[0])).slice(0, depth),
|
|
137
|
+
asks: [...book.asks.values()].sort((a, b) => Number(a[0]) - Number(b[0])).slice(0, depth),
|
|
138
|
+
ts: book.ts,
|
|
139
|
+
...(book.checksum !== undefined ? { checksum: book.checksum } : {}),
|
|
140
|
+
...(book.seqId !== undefined ? { seqId: book.seqId } : {})
|
|
141
|
+
};
|
|
142
|
+
}
|
|
143
|
+
function bookChecksum(book) {
|
|
144
|
+
const bids = [...book.bids.values()].sort((a, b) => Number(b[0]) - Number(a[0])).slice(0, 25);
|
|
145
|
+
const asks = [...book.asks.values()].sort((a, b) => Number(a[0]) - Number(b[0])).slice(0, 25);
|
|
146
|
+
const values = [];
|
|
147
|
+
const length = Math.max(bids.length, asks.length);
|
|
148
|
+
for (let index = 0; index < length; index += 1) {
|
|
149
|
+
const bid = bids[index];
|
|
150
|
+
const ask = asks[index];
|
|
151
|
+
if (bid)
|
|
152
|
+
values.push(bid[0], bid[1]);
|
|
153
|
+
if (ask)
|
|
154
|
+
values.push(ask[0], ask[1]);
|
|
155
|
+
}
|
|
156
|
+
return CRC32.str(values.join(":"));
|
|
157
|
+
}
|
|
158
|
+
//# sourceMappingURL=store.js.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
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