refactor(data/exchanges): 多子类架构 + 工厂入口

- 每个交易所独立子类:BinanceRestClient extends BaseRestClient
- 统一入口 createRestClient(exchangeId) 工厂函数
- KLINE_INTERVAL_MS 移至 constants.ts
- fetchKlines 签名统一为 (symbol, startTime, limit?, endTime?)
- throttle 限流实际生效
- convertBinanceKline interval 参数化
- 删除 filterConsecutive 死代码
- 更新 run/exchange.ts 和 service/bnkline.ts 调用方
This commit is contained in:
Rekey
2026-06-16 17:53:36 +08:00
parent b540b7611c
commit 1adb093100
7 changed files with 197 additions and 254 deletions
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import { MainClient, type Kline as BinanceRestKline } from "binance";
import { logger } from "../../utils/logger";
import { exchange } from "../../config";
import { BaseRestClient } from "../base";
import type { Kline, MarketInfo, KlineInterval } from "../../types";
// ============================================================
// Binance REST K 线 → 本系统标准化 Kline 转换
// ============================================================
/**
* Binance SDK Kline 元组格式(getKlines / getUIKlines 返回):
* [0] openTime: number — 开盘时间(Unix ms)
* [1] open: numberInString — 开盘价
* [2] high: numberInString — 最高价
* [3] low: numberInString — 最低价
* [4] close: numberInString — 收盘价
* [5] volume: numberInString — 成交量(base 币种)
* [6] closeTime: number — 收盘时间(Unix ms)
* [7] quoteVolume: numberInString — 成交额(quote 币种)
* [8] tradeCount: number — 成交笔数
* [9] takerBuyBaseVol: numberInString — 主动买入成交量
* [10] takerBuyQuoteVol: numberInString — 主动买入成交额
* [11] ignore: numberInString — 忽略字段
*
* numberInString = string | number,通过 String() 统一转换。
*
* 参考:node_modules/binance/lib/types/shared.d.ts:85-98
*/
function convertBinanceKline(
raw: BinanceRestKline,
symbol: string,
interval: KlineInterval,
): Kline {
const [
openTime,
open,
high,
low,
close,
volume,
closeTime,
quoteVolume,
tradeCount,
takerBuyBaseVol,
takerBuyQuoteVol,
// [11] ignore — 丢弃
] = raw;
return {
exchange: "binance",
symbol,
interval,
openTime,
closeTime,
open: String(open),
high: String(high),
low: String(low),
close: String(close),
volume: String(volume),
quoteVolume: String(quoteVolume),
takerBuyBaseVol: String(takerBuyBaseVol),
takerBuyQuoteVol: String(takerBuyQuoteVol),
tradeCount: String(tradeCount),
isClosed: true, // REST 返回的 K 线均为已闭合历史数据
};
}
// ============================================================
// BinanceRestClient
// ============================================================
export class BinanceRestClient extends BaseRestClient {
readonly exchange = "binance";
private client: MainClient;
constructor() {
super();
this.client = new MainClient(
{
api_key: exchange.binance.apiKey,
api_secret: exchange.binance.apiSecret,
},
{ timeout: 3000 },
);
}
/**
* 拉取 1m K 线并转换为本系统标准化 Kline。
*
* Binance 硬限制单次最多 1000 条,超限自动裁切。
* 高周期 K 线通过 TimescaleDB 连续聚合视图生成。
*
* @param symbol - 交易对(如 BTCUSDT
* @param startTime - 起始时间(Unix ms
* @param limit - 单次拉取条数,默认取自 config.defaultLimit
* @param endTime - 结束时间(Unix ms),可选
*/
async fetchKlines(
symbol: string,
startTime: number,
limit?: number,
endTime?: number,
): Promise<Kline[]> {
const effectiveLimit = limit ?? this.config.defaultLimit;
// Binance 硬限制:单次最多 1000 条
const safeLimit = Math.min(effectiveLimit, 1000);
// 限流
await this.throttle(`${symbol}:1m`);
const rawKlines = await this.client.getKlines({
symbol,
interval: "1m",
startTime,
endTime,
limit: safeLimit,
});
logger.debug(
{ symbol, interval: "1m", startTime, endTime, limit: safeLimit },
"[binance] fetchKlines 请求参数",
);
if (!rawKlines || rawKlines.length === 0) {
return [];
}
// 按 openTime 升序排序(防御性),转换为标准化 Kline
return rawKlines
.map((k) => convertBinanceKline(k, symbol, "1m"))
.sort((a, b) => a.openTime - b.openTime);
}
async fetchMarkets(): Promise<MarketInfo[]> {
// TODO: 调用 Binance /exchangeInfo 接口
return [];
}
}