chore: 初始化项目骨架 — 数据模块依赖配置、TimescaleDB 建表脚本、Docker Compose 编排
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# ============================================================
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# Trade Data Module — 环境变量配置模板
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# ============================================================
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# 复制为 .env 并修改：
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# cp .env.example .env
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# ============================================================
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# --- 行情订阅 ---
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# 逗号分隔的交易对列表（大写）
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SYMBOLS=BTCUSDT,ETHUSDT
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# --- TimescaleDB 连接 ---
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DB_HOST=localhost
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DB_PORT=5432
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DB_NAME=trade
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DB_USER=trader
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DB_PASSWORD=changeme
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# --- Redis 连接 ---
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REDIS_URL=redis://localhost:6379
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# 是否启用 Redis 发布（开发时可关闭）
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REDIS_PUBLISH_ENABLED=true
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# --- 批量写入 ---
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# 缓冲区条数阈值（达到后自动刷新）
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BATCH_SIZE=500
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# 最大缓冲时间（毫秒），超时后自动刷新
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FLUSH_INTERVAL_MS=1000
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# --- WebSocket 连接 ---
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# 断线重连延迟基数（毫秒），指数退避：基数 × 2^attempts
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WS_RECONNECT_DELAY_MS=3000
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# 心跳间隔（毫秒）
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WS_PING_INTERVAL_MS=30000
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# 最大重连次数
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WS_MAX_RECONNECT_ATTEMPTS=10
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# --- 日志 ---
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# 日志级别：trace / debug / info / warn / error / fatal
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LOG_LEVEL=debug
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# 生产环境（关闭 pretty print，输出 JSON）
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NODE_ENV=development
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-- ============================================================
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-- 001_init.sql — TimescaleDB 数据初始化
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--
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-- Docker Compose 首次启动时自动执行
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-- 挂载路径：./data/init-db:/docker-entrypoint-initdb.d
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-- ============================================================
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-- 扩展
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CREATE EXTENSION IF NOT EXISTS timescaledb;
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CREATE EXTENSION IF NOT EXISTS timescaledb_toolkit;
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-- ============================================================
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-- 1. K 线主表
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-- ============================================================
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CREATE TABLE IF NOT EXISTS klines (
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-- 时间维度
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time TIMESTAMPTZ NOT NULL, -- K 线开盘时间（UTC）
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-- 标识维度
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exchange TEXT NOT NULL, -- 交易所：binance/okx/bybit
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symbol TEXT NOT NULL, -- 交易对：BTCUSDT/ETHUSDT
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interval TEXT NOT NULL, -- 周期：1m/5m/15m/1h/4h/1d
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-- OHLCV
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open NUMERIC(20,8) NOT NULL,
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high NUMERIC(20,8) NOT NULL,
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low NUMERIC(20,8) NOT NULL,
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close NUMERIC(20,8) NOT NULL,
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volume NUMERIC(20,8) NOT NULL DEFAULT 0, -- 成交量（基准币种）
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-- 扩展字段
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quote_volume NUMERIC(20,8) DEFAULT 0, -- 成交额（计价币种）
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taker_buy_base_vol NUMERIC(20,8) DEFAULT 0, -- 主动买入量
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taker_buy_quote_vol NUMERIC(20,8) DEFAULT 0, -- 主动买入额
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trade_count INTEGER DEFAULT 0, -- 成交笔数
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is_closed BOOLEAN DEFAULT TRUE, -- K 线是否已闭合
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-- 元数据
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created_at TIMESTAMPTZ DEFAULT NOW(),
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updated_at TIMESTAMPTZ DEFAULT NOW(),
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-- 唯一约束（同一根 K 线不可重复）
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UNIQUE (time, exchange, symbol, interval)
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);
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-- ============================================================
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-- 2. 转换为 hypertable（时序分区）
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-- ============================================================
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SELECT create_hypertable(
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'klines',
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'time', -- 时间列
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chunk_time_interval => INTERVAL '1 day', -- 每个 chunk = 1 天数据
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partitioning_column => 'exchange', -- 空间分区列
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number_partitions => 4, -- 4 个空间分区
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if_not_exists => TRUE
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);
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-- ============================================================
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-- 3. 索引
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-- ============================================================
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-- 主力查询索引：按交易对+周期+时间范围查（覆盖 95% 查询）
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CREATE INDEX IF NOT EXISTS idx_klines_lookup
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ON klines (exchange, symbol, interval, time DESC);
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-- 回测专用索引：按交易对+周期+时间正序
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CREATE INDEX IF NOT EXISTS idx_klines_backtest
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ON klines (symbol, interval, time ASC);
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-- 最新 K 线索引（部分索引，仅覆盖已闭合 K 线）
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CREATE INDEX IF NOT EXISTS idx_klines_latest
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ON klines (exchange, symbol, interval, time DESC)
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WHERE is_closed = TRUE;
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-- ============================================================
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-- 4. 压缩策略
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-- ============================================================
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-- 启用列式压缩（按 symbol+interval 分组，按 time 排序）
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ALTER TABLE klines SET (
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timescaledb.compress,
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timescaledb.compress_segmentby = 'exchange, symbol, interval',
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timescaledb.compress_orderby = 'time DESC'
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);
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-- 自动压缩：K 线闭合 7 天后自动压缩（压缩比约 90%）
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SELECT add_compression_policy('klines', INTERVAL '7 days', if_not_exists => TRUE);
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-- ============================================================
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-- 5. 数据保留策略
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-- ============================================================
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-- 1m K 线保留 90 天（回测通常用更粗粒度）
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SELECT add_retention_policy('klines', INTERVAL '90 days', if_not_exists => TRUE);
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-- ============================================================
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-- 6. 连续聚合（从 1m 自动派生高周期 K 线）
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-- ============================================================
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-- ---------- 5m K 线 ----------
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CREATE MATERIALIZED VIEW IF NOT EXISTS klines_5m
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WITH (timescaledb.continuous) AS
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SELECT
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time_bucket('5 minutes', time) AS time,
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exchange,
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symbol,
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'5m'::TEXT AS interval,
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FIRST(open, time) AS open,
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MAX(high) AS high,
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MIN(low) AS low,
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LAST(close, time) AS close,
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SUM(volume) AS volume,
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SUM(quote_volume) AS quote_volume,
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SUM(taker_buy_base_vol) AS taker_buy_base_vol,
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SUM(taker_buy_quote_vol) AS taker_buy_quote_vol,
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SUM(trade_count) AS trade_count
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FROM klines
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WHERE interval = '1m'
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GROUP BY time_bucket('5 minutes', time), exchange, symbol;
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SELECT add_continuous_aggregate_policy('klines_5m',
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start_offset => INTERVAL '1 day',
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end_offset => INTERVAL '10 minutes',
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schedule_interval => INTERVAL '1 minute',
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if_not_exists => TRUE
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);
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-- ---------- 15m K 线 ----------
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CREATE MATERIALIZED VIEW IF NOT EXISTS klines_15m
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WITH (timescaledb.continuous) AS
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SELECT
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time_bucket('15 minutes', time) AS time,
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exchange,
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symbol,
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'15m'::TEXT AS interval,
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FIRST(open, time) AS open,
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MAX(high) AS high,
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MIN(low) AS low,
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LAST(close, time) AS close,
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SUM(volume) AS volume,
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SUM(quote_volume) AS quote_volume,
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SUM(taker_buy_base_vol) AS taker_buy_base_vol,
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SUM(taker_buy_quote_vol) AS taker_buy_quote_vol,
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SUM(trade_count) AS trade_count
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FROM klines
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WHERE interval = '1m'
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GROUP BY time_bucket('15 minutes', time), exchange, symbol;
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SELECT add_continuous_aggregate_policy('klines_15m',
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start_offset => INTERVAL '2 days',
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end_offset => INTERVAL '30 minutes',
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schedule_interval => INTERVAL '5 minutes',
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if_not_exists => TRUE
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);
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-- ---------- 1h K 线 ----------
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CREATE MATERIALIZED VIEW IF NOT EXISTS klines_1h
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WITH (timescaledb.continuous) AS
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SELECT
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time_bucket('1 hour', time) AS time,
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exchange,
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symbol,
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'1h'::TEXT AS interval,
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FIRST(open, time) AS open,
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MAX(high) AS high,
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MIN(low) AS low,
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LAST(close, time) AS close,
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SUM(volume) AS volume,
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SUM(quote_volume) AS quote_volume,
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SUM(taker_buy_base_vol) AS taker_buy_base_vol,
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SUM(taker_buy_quote_vol) AS taker_buy_quote_vol,
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SUM(trade_count) AS trade_count
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FROM klines
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WHERE interval = '1m'
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GROUP BY time_bucket('1 hour', time), exchange, symbol;
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SELECT add_continuous_aggregate_policy('klines_1h',
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start_offset => INTERVAL '3 days',
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end_offset => INTERVAL '1 hour',
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schedule_interval => INTERVAL '5 minutes',
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if_not_exists => TRUE
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);
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-- ---------- 1d K 线 ----------
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CREATE MATERIALIZED VIEW IF NOT EXISTS klines_1d
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WITH (timescaledb.continuous) AS
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SELECT
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time_bucket('1 day', time) AS time,
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exchange,
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symbol,
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'1d'::TEXT AS interval,
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FIRST(open, time) AS open,
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MAX(high) AS high,
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MIN(low) AS low,
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LAST(close, time) AS close,
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SUM(volume) AS volume,
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SUM(quote_volume) AS quote_volume,
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SUM(taker_buy_base_vol) AS taker_buy_base_vol,
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SUM(taker_buy_quote_vol) AS taker_buy_quote_vol,
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SUM(trade_count) AS trade_count
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FROM klines
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WHERE interval = '1m'
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GROUP BY time_bucket('1 day', time), exchange, symbol;
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SELECT add_continuous_aggregate_policy('klines_1d',
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start_offset => INTERVAL '7 days',
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end_offset => INTERVAL '2 hours',
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schedule_interval => INTERVAL '1 hour',
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if_not_exists => TRUE
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);
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-- ============================================================
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-- 7. 连续聚合的压缩（减少视图存储）
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-- ============================================================
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ALTER MATERIALIZED VIEW klines_5m SET (timescaledb.compress = true);
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ALTER MATERIALIZED VIEW klines_15m SET (timescaledb.compress = true);
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ALTER MATERIALIZED VIEW klines_1h SET (timescaledb.compress = true);
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ALTER MATERIALIZED VIEW klines_1d SET (timescaledb.compress = true);
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-- ============================================================
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-- 初始化完成
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-- ============================================================
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DO $$
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BEGIN
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RAISE NOTICE 'TimescaleDB initialization complete.';
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RAISE NOTICE 'Hypertable: klines';
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RAISE NOTICE 'Continuous aggregates: klines_5m, klines_15m, klines_1h, klines_1d';
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RAISE NOTICE 'Compression: 7 days delay, 90 days retention';
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END $$;
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@@ -0,0 +1,34 @@
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{
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"name": "trade-data",
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"version": "0.1.0",
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"description": "数字货币量化交易系统 - TypeScript 数据模块",
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"type": "module",
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"scripts": {
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"dev": "tsx watch src/index.ts",
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"build": "tsc",
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"start": "node dist/index.js",
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"test": "vitest run",
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"test:watch": "vitest",
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"lint": "eslint src/",
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"format": "prettier --write src/"
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},
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"dependencies": {
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"binance": "^3.5.9",
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"ccxt": "^4.5.56",
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"ioredis": "^5.11.1",
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"pg": "^8.21.0",
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"pino": "^10.3.1",
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"ws": "^8.21.0",
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"zod": "^4.4.3"
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},
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"devDependencies": {
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"@types/node": "^25.9.2",
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"@types/pg": "^8.20.0",
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"@types/ws": "^8.18.1",
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"eslint": "^10.4.1",
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"prettier": "^3.8.3",
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"tsx": "^4.22.4",
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"typescript": "^6.0.3",
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"vitest": "^4.1.8"
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}
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}
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@@ -0,0 +1,31 @@
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{
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"compilerOptions": {
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// Environment setup & latest features
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"lib": [
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"ESNext"
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],
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"target": "ESNext",
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"module": "Preserve",
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"moduleDetection": "force",
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"jsx": "react-jsx",
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"allowJs": true,
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"types": [
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"bun"
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],
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// Bundler mode
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"moduleResolution": "bundler",
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"allowImportingTsExtensions": true,
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"verbatimModuleSyntax": true,
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"noEmit": true,
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// Best practices
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"strict": true,
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"skipLibCheck": true,
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"noFallthroughCasesInSwitch": true,
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"noUncheckedIndexedAccess": true,
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"noImplicitOverride": true,
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// Some stricter flags (disabled by default)
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"noUnusedLocals": false,
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"noUnusedParameters": false,
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"noPropertyAccessFromIndexSignature": false
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}
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}
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