refactor(data): 重构交易所适配器，修复 Kline 实体复合主键
- 废弃旧 adapter 体系 (base/binance/types.ts)，新增 base_rest/rest.ts 基于 Binance 官方 SDK 实现 REST K 线拉取 - Kline 实体改为四列复合主键 (exchange/symbol/interval/time)， 修复单列 time PK 导致的跨 symbol 写入冲突 - 新增 filterConsecutive()：K 线连续性过滤，首缺口截断策略 - 新增 service/kline.ts：批量 UPSERT K 线入库 - 新增 types/ 共享类型定义、example/ 示例、run/ 运行脚本
This commit is contained in:
Rekey
@@ -1,186 +0,0 @@
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// ============================================================
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// base.ts — 交易所适配器抽象基类
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// ============================================================
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// 所有交易所适配器（Binance / OKX / Bybit ...）继承此类，
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// 复用指数退避重连、连接状态管理、限流等通用逻辑。
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//
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// 子类只需实现：
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// - connect() — 建立 WebSocket/REST 连接
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// - disconnect() — 断开连接并清理资源
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// - subscribeTicker() / subscribeTrade() / subscribeOrderbook()
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// - fetchKlines() — REST 历史 K 线补拉
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// - fetchMarkets() — 交易对元数据拉取
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// ============================================================
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import { Subject, type Observable } from "rxjs";
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import { logger } from "../utils/logger";
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import type {
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MarketDataFeed,
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Ticker,
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Trade,
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OrderBook,
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Kline,
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KlineInterval,
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MarketInfo,
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ConnectionState,
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AdapterConfig,
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} from "./types";
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import { DEFAULT_ADAPTER_CONFIG } from "./types";
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// ============================================================
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// 工具：异步 sleep
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// ============================================================
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/** 返回一个在 ms 毫秒后 resolve 的 Promise */
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function sleep(ms: number): Promise<void> {
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return new Promise((resolve) => setTimeout(resolve, ms));
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}
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// ============================================================
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// BaseExchangeAdapter
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// ============================================================
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export abstract class BaseExchangeAdapter implements MarketDataFeed {
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/** 交易所标识（子类必须覆盖） */
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abstract readonly exchange: string;
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/** 适配器配置（可在子类构造函数中覆盖默认值） */
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protected readonly config: AdapterConfig;
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/** 当前连接状态 */
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protected _connectionState: ConnectionState = "disconnected";
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/** 当前重连尝试次数（成功连接后重置） */
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protected reconnectAttempt = 0;
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/** Subject 清理注册表 —— disconnect 时统一 complete */
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protected activeSubjects = new Set<Subject<unknown>>();
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// ============================================================
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// 构造函数
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// ============================================================
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constructor(config: Partial<AdapterConfig> = {}) {
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this.config = { ...DEFAULT_ADAPTER_CONFIG, ...config };
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}
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// ============================================================
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// 连接状态（只读暴露）
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// ============================================================
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get connectionState(): ConnectionState {
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return this._connectionState;
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}
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/** 更新连接状态并记录日志 */
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protected setConnectionState(state: ConnectionState): void {
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const prev = this._connectionState;
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this._connectionState = state;
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if (prev !== state) {
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logger.info(
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{ exchange: this.exchange, from: prev, to: state },
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`[${this.exchange}] connection state: ${prev} → ${state}`,
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);
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}
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}
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// ============================================================
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// 指数退避重连（所有子类复用）
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// ============================================================
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/**
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* 执行指数退避重连。
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*
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* 延迟公式：delay = baseDelay × 2^min(attempt, 5)
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* - attempt=0: 3s
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* - attempt=1: 6s
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* - attempt=2: 12s
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* - attempt=5: 96s（之后不再翻倍）
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*
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* 超过 maxReconnectAttempts 后抛出错误。
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*
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* @throws 达到最大重试次数后抛出
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*/
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protected async reconnect(): Promise<void> {
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const { reconnectBaseDelayMs: baseDelay, maxReconnectAttempts } = this.config;
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if (this.reconnectAttempt >= maxReconnectAttempts) {
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this.setConnectionState("error");
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throw new Error(
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`[${this.exchange}] 重连失败：已达最大重试次数 (${maxReconnectAttempts})`,
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);
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}
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const cappedAttempt = Math.min(this.reconnectAttempt, 5);
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const delay = baseDelay * Math.pow(2, cappedAttempt);
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logger.warn(
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{
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exchange: this.exchange,
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attempt: this.reconnectAttempt + 1,
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maxAttempts: maxReconnectAttempts,
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delayMs: delay,
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},
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`[${this.exchange}] WebSocket 重连中...`,
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);
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await sleep(delay);
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this.reconnectAttempt++;
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this.setConnectionState("connecting");
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await this.connect();
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}
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/** 成功连接后重置重连计数器 */
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protected resetReconnectAttempts(): void {
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if (this.reconnectAttempt > 0) {
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logger.info(
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{ exchange: this.exchange, attempts: this.reconnectAttempt },
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`[${this.exchange}] 重连成功，计数器重置`,
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);
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}
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this.reconnectAttempt = 0;
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}
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// ============================================================
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// Subject 管理工具
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// ============================================================
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/**
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* 创建一个受管理的 Subject，disconnect 时自动 complete。
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* 子类在 subscribe* 方法中使用此工具创建 Subject。
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*/
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protected createManagedSubject<T>(): Subject<T> {
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const subject = new Subject<T>();
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this.activeSubjects.add(subject as Subject<unknown>);
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return subject;
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}
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/** 完成所有受管理的 Subject（disconnect 时调用） */
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protected completeAllSubjects(): void {
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for (const subject of this.activeSubjects) {
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subject.complete();
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}
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this.activeSubjects.clear();
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}
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// ============================================================
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// 抽象方法 —— 子类必须实现
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// ============================================================
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abstract connect(): Promise<void>;
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abstract disconnect(): Promise<void>;
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abstract subscribeTicker(symbols: string[]): Observable<Ticker>;
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abstract subscribeTrade(symbols: string[]): Observable<Trade>;
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abstract subscribeOrderbook(symbol: string, depth?: number): Observable<OrderBook>;
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abstract fetchKlines(
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symbol: string,
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interval: KlineInterval,
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startTime: number,
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endTime: number,
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limit?: number,
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): Promise<Kline[]>;
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abstract fetchMarkets(): Promise<MarketInfo[]>;
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}
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export default BaseExchangeAdapter;
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@@ -0,0 +1,109 @@
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// ============================================================
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// base.ts — REST 客户端抽象基类
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// ============================================================
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// 各交易所适配器继承此类，复用 REST 请求限流、重试等通用逻辑。
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// 子类通过注入各交易所原生 SDK（binance / okx / bybit ...）
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// 实现具体的数据拉取，无需依赖 ccxt。
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//
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// 子类只需实现：
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// - fetchKlines() — 历史 K 线拉取（基于目标交易所 SDK）
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// - fetchMarkets() — 交易对元数据拉取（用于自动注册交易对）
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//
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// WebSocket 实时行情由各适配器自行管理，不在此基类范围内。
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// ============================================================
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import { logger } from "../utils/logger";
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import type { Kline, KlineInterval, MarketInfo, RestClientConfig } from "../types";
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import { DEFAULT_REST_CONFIG } from "../types/base";
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// ============================================================
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// 工具：异步 sleep
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// ============================================================
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/** 返回一个在 ms 毫秒后 resolve 的 Promise */
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function sleep(ms: number): Promise<void> {
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return new Promise((resolve) => setTimeout(resolve, ms));
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}
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// ============================================================
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// BaseRestClient
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// ============================================================
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export abstract class BaseRestClient {
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/** 交易所标识（子类必须覆盖） */
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abstract readonly exchange: string;
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/** REST 客户端配置（可在子类构造函数中覆盖默认值） */
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protected readonly config: RestClientConfig;
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/** REST 请求节流 Map（key → 上次请求时间戳） */
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private lastRestFetch = new Map<string, number>();
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// ============================================================
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// 构造函数
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// ============================================================
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constructor(config: Partial<RestClientConfig> = {}) {
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this.config = { ...DEFAULT_REST_CONFIG, ...config };
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}
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// ============================================================
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// 限流工具
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// ============================================================
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/**
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* 对同一 key 的 REST 请求进行冷却节流。
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* 若距离上次请求不足 restRateLimitMs，自动等待剩余时间。
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*
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* @param key - 节流标识（如 `${symbol}:${interval}`）
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*/
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protected async throttle(key: string): Promise<void> {
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const lastFetch = this.lastRestFetch.get(key) ?? 0;
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const elapsed = Date.now() - lastFetch;
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if (elapsed < this.config.restRateLimitMs) {
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const waitMs = this.config.restRateLimitMs - elapsed;
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logger.debug(
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{ exchange: this.exchange, key, waitMs },
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`[${this.exchange}] REST 限流等待 ${waitMs}ms`,
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);
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await sleep(waitMs);
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}
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this.lastRestFetch.set(key, Date.now());
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}
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// ============================================================
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// 抽象方法 —— 子类必须使用各自的交易所 SDK 实现
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// ============================================================
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/**
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* 拉取历史 K 线数据（REST）。
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*
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* 子类负责：
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* 1. 调用交易所原生 SDK 的 K 线接口
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* 2. 将原始数据转换为本系统标准化 Kline 结构
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* 3. 处理分页逻辑（若时间跨度超过单次请求上限）
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*
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* @param symbol - 交易对符号（如 BTCUSDT）
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* @param interval - K 线周期
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* @param startTime - 起始时间（Unix ms）
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* @param endTime - 结束时间（Unix ms）
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* @param limit - 单次最大条数（默认取自 config.defaultLimit）
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*/
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abstract fetchKlines(
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symbol: string,
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interval: KlineInterval,
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startTime: number,
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endTime: number,
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limit?: number,
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): Promise<Kline[]>;
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/**
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* 获取交易所交易对信息（REST）。
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*
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* 子类负责调用交易所原生 SDK 的 /exchangeInfo 等价接口，
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* 并转换为本系统标准化 MarketInfo 结构。
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*/
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abstract fetchMarkets(): Promise<MarketInfo[]>;
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}
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export default BaseRestClient;
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@@ -1,782 +0,0 @@
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// ============================================================
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// binance.ts — Binance 交易所适配器
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// ============================================================
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// 基于 Binance 官方 SDK（binance@3.x）实现 MarketDataFeed 接口。
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//
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// WebSocket：使用 SDK 内置 WebsocketClient，自动处理多路复用、
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// 断线重连、心跳保活。通过 formattedMessage 事件接收已解析的
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// 类型化行情数据，转换为本系统标准化结构后通过 RxJS Subject 发布。
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//
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// REST：使用 SDK 内置 MainClient（Spot），用于：
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// - fetchKlines() 历史 K 线补拉
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// - fetchMarkets() 交易对元数据（用于自动注册到 trading_pairs 表）
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//
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// ============================================================
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// 风险提示：
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// - Binance WebSocket 单连接最多订阅 1024 个 stream，
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// 超出需拆分多连接（SDK 自动处理）
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// - 生产环境建议使用 Binance 的 combined streams 合并请求
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// - REST API 限频：1200 请求/分钟（权重制），fetchKlines 权重 2
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// ============================================================
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import { Subject, type Observable } from "rxjs";
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import {
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WebsocketClient,
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MainClient,
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type WsMessageKlineFormatted,
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type WsMessageTradeFormatted,
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type WsMessage24hrTickerFormatted,
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type WsMessageBookTickerEventFormatted,
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type WsMessagePartialBookDepthEventFormatted,
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type WsFormattedMessage,
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} from "binance";
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import type { Kline as BinanceRestKline } from "binance";
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import { BaseExchangeAdapter } from "./base";
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import { logger } from "../utils/logger";
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import type {
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Ticker,
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Trade,
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OrderBook,
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Kline,
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KlineInterval,
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MarketInfo,
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AdapterConfig,
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BinanceRawKline,
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} from "./types";
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import { KLINE_INTERVAL_MS } from "./types";
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// ============================================================
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// Binance K 线周期 ← → 本系统 K 线周期映射
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// ============================================================
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/**
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* Binance SDK 支持的 K 线周期（比本系统更多）。
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* 本系统仅使用其中的子集，其余周期由 pipeline 合成。
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*/
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type BinanceKlineInterval =
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| "1m"
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| "5m"
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| "15m"
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| "30m"
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| "1h"
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| "4h"
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| "1d"
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| "1w";
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/** 本系统 KlineInterval → Binance SDK KlineInterval（1:1 子集映射） */
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const INTERVAL_TO_BINANCE: Record<KlineInterval, BinanceKlineInterval> = {
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"1m": "1m",
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"5m": "5m",
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"15m": "15m",
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"30m": "30m",
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"1h": "1h",
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"4h": "4h",
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"1d": "1d",
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"1w": "1w",
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};
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// ============================================================
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// 默认适配器配置（Binance 专用覆盖）
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// ============================================================
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const DEFAULT_BINANCE_CONFIG: AdapterConfig = {
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reconnectBaseDelayMs: 3000,
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maxReconnectAttempts: 10,
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/** Binance REST API 权重制限频，保守设为 250ms */
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restRateLimitMs: 250,
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};
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// ============================================================
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// BinanceAdapter
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// ============================================================
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export class BinanceAdapter extends BaseExchangeAdapter {
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readonly exchange = "binance";
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|
||||
// ----------------------------------------------------------
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||||
// SDK 客户端实例
|
||||
// ----------------------------------------------------------
|
||||
|
||||
/** Binance WebSocket 客户端（内置多路复用 + 自动重连） */
|
||||
private wsClient!: WebsocketClient;
|
||||
|
||||
/** Binance REST 客户端（Spot） */
|
||||
private restClient!: MainClient;
|
||||
|
||||
// ----------------------------------------------------------
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||||
// RxJS Subject —— 按事件类型分频道发布
|
||||
// ----------------------------------------------------------
|
||||
|
||||
/** 24h Ticker 流（合并所有已订阅 symbol） */
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||||
private tickerSubject!: Subject<Ticker>;
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||||
|
||||
/** 逐笔成交流（合并所有已订阅 symbol） */
|
||||
private tradeSubject!: Subject<Trade>;
|
||||
|
||||
/** 订单簿深度流（合并所有已订阅 symbol） */
|
||||
private orderbookSubjects = new Map<string, Subject<OrderBook>>();
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||||
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||||
// ----------------------------------------------------------
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||||
// 订阅追踪
|
||||
// ----------------------------------------------------------
|
||||
|
||||
/** 当前已订阅的 ticker symbol 集合 */
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||||
private subscribedTickerSymbols = new Set<string>();
|
||||
|
||||
/** 当前已订阅的 trade symbol 集合 */
|
||||
private subscribedTradeSymbols = new Set<string>();
|
||||
|
||||
/** 当前已订阅的 orderbook symbol → depth 映射 */
|
||||
private subscribedOrderbookDepths = new Map<string, number>();
|
||||
|
||||
/** 防止重复 REST 请求的节流 Map（symbol:interval → lastFetchTime） */
|
||||
private lastRestFetch = new Map<string, number>();
|
||||
|
||||
// ============================================================
|
||||
// 构造函数
|
||||
// ============================================================
|
||||
|
||||
constructor(config: Partial<AdapterConfig> = {}) {
|
||||
super({ ...DEFAULT_BINANCE_CONFIG, ...config });
|
||||
}
|
||||
|
||||
// ============================================================
|
||||
// 连接管理
|
||||
// ============================================================
|
||||
|
||||
/**
|
||||
* 建立 WebSocket 连接并注册事件监听。
|
||||
*
|
||||
* Binance SDK 的 WebsocketClient 在首次 subscribe() 时自动建连，
|
||||
* 此处主动调用 connectPublic() 预热连接并注册 formattedMessage 监听。
|
||||
*/
|
||||
async connect(): Promise<void> {
|
||||
if (this._connectionState === "connected") {
|
||||
logger.debug(`[binance] 已连接，跳过重复 connect`);
|
||||
return;
|
||||
}
|
||||
|
||||
this.setConnectionState("connecting");
|
||||
|
||||
try {
|
||||
// 初始化 WebSocket 客户端
|
||||
this.wsClient = new WebsocketClient({
|
||||
// 生产环境使用 Binance 主网
|
||||
// useTestnet: false 为默认值
|
||||
});
|
||||
|
||||
// 初始化 REST 客户端（公开接口无需 API Key）
|
||||
this.restClient = new MainClient();
|
||||
|
||||
// 注册 formattedMessage 事件 —— SDK 将原始 JSON 解析为类型化对象
|
||||
this.wsClient.on("formattedMessage", this.onFormattedMessage.bind(this));
|
||||
|
||||
// 注册重连事件（利用 SDK 内置的自动重连）
|
||||
this.wsClient.on("reconnecting", (evt) => {
|
||||
logger.warn(
|
||||
{ wsKey: evt.wsKey },
|
||||
`[binance] WebSocket 重连中...`,
|
||||
);
|
||||
this.setConnectionState("connecting");
|
||||
});
|
||||
|
||||
this.wsClient.on("reconnected", (evt) => {
|
||||
logger.info(
|
||||
{ wsKey: evt.wsKey, wsUrl: evt.wsUrl },
|
||||
`[binance] WebSocket 重连成功`,
|
||||
);
|
||||
this.setConnectionState("connected");
|
||||
this.resetReconnectAttempts();
|
||||
});
|
||||
|
||||
this.wsClient.on("close", (evt) => {
|
||||
logger.warn(
|
||||
{ wsKey: evt.wsKey },
|
||||
`[binance] WebSocket 连接关闭`,
|
||||
);
|
||||
// 如果之前是已连接状态，SDK 会自动重连
|
||||
if (this._connectionState === "connected") {
|
||||
this.setConnectionState("connecting");
|
||||
}
|
||||
});
|
||||
|
||||
// 预热连接（SDK 连接到 spot 公开行情端点）
|
||||
await this.wsClient.connectPublic();
|
||||
this.setConnectionState("connected");
|
||||
this.resetReconnectAttempts();
|
||||
|
||||
logger.info(`[binance] WebSocket 连接已建立`);
|
||||
|
||||
} catch (err) {
|
||||
this.setConnectionState("error");
|
||||
logger.error({ err }, `[binance] 连接失败`);
|
||||
throw err;
|
||||
}
|
||||
}
|
||||
|
||||
/**
|
||||
* 断开连接并清理资源。
|
||||
*
|
||||
* 1. 取消所有 WebSocket 订阅
|
||||
* 2. 关闭 WebSocket 客户端
|
||||
* 3. Complete 所有 RxJS Subject
|
||||
*/
|
||||
async disconnect(): Promise<void> {
|
||||
logger.info(`[binance] 断开连接...`);
|
||||
|
||||
try {
|
||||
// 取消所有订阅
|
||||
if (this.wsClient && this.subscribedTradeSymbols.size > 0) {
|
||||
const topics = [...this.subscribedTradeSymbols].map(
|
||||
(s) => `${s.toLowerCase()}@trade`,
|
||||
);
|
||||
await this.wsClient.unsubscribe(topics, "main");
|
||||
}
|
||||
if (this.wsClient && this.subscribedTickerSymbols.size > 0) {
|
||||
const topics = [...this.subscribedTickerSymbols].map(
|
||||
(s) => `${s.toLowerCase()}@ticker`,
|
||||
);
|
||||
await this.wsClient.unsubscribe(topics, "main");
|
||||
}
|
||||
if (this.wsClient && this.subscribedOrderbookDepths.size > 0) {
|
||||
for (const [symbol, depth] of this.subscribedOrderbookDepths) {
|
||||
const topic = `${symbol.toLowerCase()}@depth${depth}@100ms`;
|
||||
await this.wsClient.unsubscribe([topic], "main");
|
||||
}
|
||||
}
|
||||
} catch (err) {
|
||||
logger.warn({ err }, `[binance] 取消订阅时出错（忽略）`);
|
||||
}
|
||||
|
||||
// 关闭 WS 客户端所有连接（SDK 自动关闭底层 WebSocket）
|
||||
try {
|
||||
this.wsClient?.closeAll();
|
||||
} catch {
|
||||
// 忽略关闭错误
|
||||
}
|
||||
|
||||
// Complete 所有 Subject
|
||||
this.tickerSubject?.complete();
|
||||
this.tradeSubject?.complete();
|
||||
for (const subject of this.orderbookSubjects.values()) {
|
||||
subject.complete();
|
||||
}
|
||||
this.orderbookSubjects.clear();
|
||||
|
||||
this.subscribedTickerSymbols.clear();
|
||||
this.subscribedTradeSymbols.clear();
|
||||
this.subscribedOrderbookDepths.clear();
|
||||
|
||||
this.setConnectionState("disconnected");
|
||||
logger.info(`[binance] 已断开连接`);
|
||||
}
|
||||
|
||||
// ============================================================
|
||||
// 订阅 Ticker（24h 滚动统计）
|
||||
// ============================================================
|
||||
|
||||
subscribeTicker(symbols: string[]): Observable<Ticker> {
|
||||
if (!this.tickerSubject) {
|
||||
this.tickerSubject = this.createManagedSubject<Ticker>();
|
||||
}
|
||||
|
||||
const newSymbols = symbols.filter(
|
||||
(s) => !this.subscribedTickerSymbols.has(s),
|
||||
);
|
||||
|
||||
if (newSymbols.length > 0 && this._connectionState === "connected") {
|
||||
const topics = newSymbols.map(
|
||||
(s) => `${s.toLowerCase()}@ticker`,
|
||||
);
|
||||
this.wsClient.subscribe(topics, "main").catch((err) => {
|
||||
logger.error({ err, symbols: newSymbols }, `[binance] 订阅 ticker 失败`);
|
||||
});
|
||||
for (const s of newSymbols) {
|
||||
this.subscribedTickerSymbols.add(s);
|
||||
}
|
||||
logger.info(
|
||||
{ count: newSymbols.length, symbols: newSymbols },
|
||||
`[binance] 订阅 ticker`,
|
||||
);
|
||||
}
|
||||
|
||||
return this.tickerSubject.asObservable();
|
||||
}
|
||||
|
||||
// ============================================================
|
||||
// 订阅逐笔成交
|
||||
// ============================================================
|
||||
|
||||
subscribeTrade(symbols: string[]): Observable<Trade> {
|
||||
if (!this.tradeSubject) {
|
||||
this.tradeSubject = this.createManagedSubject<Trade>();
|
||||
}
|
||||
|
||||
const newSymbols = symbols.filter(
|
||||
(s) => !this.subscribedTradeSymbols.has(s),
|
||||
);
|
||||
|
||||
if (newSymbols.length > 0 && this._connectionState === "connected") {
|
||||
const topics = newSymbols.map(
|
||||
(s) => `${s.toLowerCase()}@trade`,
|
||||
);
|
||||
this.wsClient.subscribe(topics, "main").catch((err) => {
|
||||
logger.error({ err, symbols: newSymbols }, `[binance] 订阅 trade 失败`);
|
||||
});
|
||||
for (const s of newSymbols) {
|
||||
this.subscribedTradeSymbols.add(s);
|
||||
}
|
||||
logger.info(
|
||||
{ count: newSymbols.length, symbols: newSymbols },
|
||||
`[binance] 订阅 trade`,
|
||||
);
|
||||
}
|
||||
|
||||
return this.tradeSubject.asObservable();
|
||||
}
|
||||
|
||||
// ============================================================
|
||||
// 订阅订单簿深度
|
||||
// ============================================================
|
||||
|
||||
subscribeOrderbook(symbol: string, depth: number = 20): Observable<OrderBook> {
|
||||
const key = `${symbol}@${depth}`;
|
||||
let subject = this.orderbookSubjects.get(key);
|
||||
if (subject) {
|
||||
return subject.asObservable();
|
||||
}
|
||||
|
||||
subject = this.createManagedSubject<OrderBook>();
|
||||
this.orderbookSubjects.set(key, subject);
|
||||
|
||||
if (this._connectionState === "connected") {
|
||||
const topic = `${symbol.toLowerCase()}@depth${depth}@100ms`;
|
||||
this.wsClient.subscribe([topic], "main").catch((err) => {
|
||||
logger.error({ err, symbol, depth }, `[binance] 订阅 orderbook 失败`);
|
||||
});
|
||||
this.subscribedOrderbookDepths.set(symbol, depth);
|
||||
logger.info({ symbol, depth }, `[binance] 订阅 orderbook`);
|
||||
}
|
||||
|
||||
return subject.asObservable();
|
||||
}
|
||||
|
||||
// ============================================================
|
||||
// REST：拉取历史 K 线（补缺失数据 / 回测）
|
||||
// ============================================================
|
||||
|
||||
/**
|
||||
* 通过 Binance REST API 拉取历史 K 线。
|
||||
*
|
||||
* Binance 限制：
|
||||
* - 单次最多 1000 条（默认 500）
|
||||
* - 权重 2（1200 权重/分钟 → 600 次请求/分钟）
|
||||
* - 自动分页逻辑：如果时间跨度超过 limit 条，自动多次请求拼接
|
||||
*
|
||||
* @param symbol - 交易对（如 BTCUSDT）
|
||||
* @param interval - K 线周期
|
||||
* @param startTime - 起始时间（Unix ms）
|
||||
* @param endTime - 结束时间（Unix ms）
|
||||
* @param limit - 单次最大条数（默认 500，最大 1000）
|
||||
*/
|
||||
async fetchKlines(
|
||||
symbol: string,
|
||||
interval: KlineInterval,
|
||||
startTime: number,
|
||||
endTime: number,
|
||||
limit: number = 500,
|
||||
): Promise<Kline[]> {
|
||||
const binanceInterval = INTERVAL_TO_BINANCE[interval];
|
||||
const intervalMs = KLINE_INTERVAL_MS[interval];
|
||||
const maxLimit = Math.min(limit, 1000); // Binance 硬限制 1000
|
||||
|
||||
const allKlines: Kline[] = [];
|
||||
let currentStart = startTime;
|
||||
|
||||
// 自动分页：如果时间跨度超过 maxLimit 条 K 线，分批拉取
|
||||
while (currentStart < endTime) {
|
||||
// 速率限制（保守节流）
|
||||
const throttleKey = `${symbol}:${interval}`;
|
||||
const lastFetch = this.lastRestFetch.get(throttleKey) ?? 0;
|
||||
const elapsed = Date.now() - lastFetch;
|
||||
if (elapsed < this.config.restRateLimitMs) {
|
||||
await new Promise((r) =>
|
||||
setTimeout(r, this.config.restRateLimitMs - elapsed),
|
||||
);
|
||||
}
|
||||
this.lastRestFetch.set(throttleKey, Date.now());
|
||||
|
||||
try {
|
||||
const rawKlines = await this.restClient.getKlines({
|
||||
symbol,
|
||||
interval: binanceInterval,
|
||||
startTime: currentStart,
|
||||
endTime,
|
||||
limit: maxLimit,
|
||||
});
|
||||
|
||||
if (!rawKlines || rawKlines.length === 0) {
|
||||
break; // 无更多数据
|
||||
}
|
||||
|
||||
// 转换 Binance REST K 线 → 本系统标准化 K 线
|
||||
const converted = rawKlines.map((k) =>
|
||||
this.convertRestKline(k, symbol, interval),
|
||||
);
|
||||
allKlines.push(...converted);
|
||||
|
||||
// Binance REST K 线格式：[openTime, open, high, low, close, volume, closeTime, ...]
|
||||
// 最后一条的开盘时间 + interval 作为下一批的起点
|
||||
const lastKline = rawKlines[rawKlines.length - 1]!;
|
||||
const lastOpenTime = (lastKline as number[])[0] as number;
|
||||
currentStart = lastOpenTime + intervalMs;
|
||||
|
||||
// 如果返回数量 < limit，说明已拉完
|
||||
if (rawKlines.length < maxLimit) {
|
||||
break;
|
||||
}
|
||||
|
||||
} catch (err) {
|
||||
logger.error(
|
||||
{ err, symbol, interval, currentStart, endTime },
|
||||
`[binance] fetchKlines 失败`,
|
||||
);
|
||||
throw err;
|
||||
}
|
||||
}
|
||||
|
||||
logger.debug(
|
||||
{ symbol, interval, count: allKlines.length, startTime, endTime },
|
||||
`[binance] fetchKlines 完成`,
|
||||
);
|
||||
|
||||
return allKlines;
|
||||
}
|
||||
|
||||
// ============================================================
|
||||
// REST：拉取交易对元数据
|
||||
// ============================================================
|
||||
|
||||
/**
|
||||
* 从 Binance 获取所有现货交易对信息，转换为本系统 MarketInfo 格式。
|
||||
*
|
||||
* 用于自动注册到 trading_pairs 表，避免手动配置。
|
||||
*/
|
||||
async fetchMarkets(): Promise<MarketInfo[]> {
|
||||
logger.info(`[binance] 拉取交易对信息...`);
|
||||
|
||||
try {
|
||||
const exchangeInfo = await this.restClient.getExchangeInfo();
|
||||
|
||||
const markets: MarketInfo[] = [];
|
||||
|
||||
for (const symbolInfo of exchangeInfo.symbols) {
|
||||
// 仅保留状态为 TRADING 的现货交易对
|
||||
if (symbolInfo.status !== "TRADING") continue;
|
||||
|
||||
const filters = symbolInfo.filters;
|
||||
|
||||
// 从 filters 中提取交易规则
|
||||
let tickSize: string | undefined;
|
||||
let stepSize: string | undefined;
|
||||
let minQty: string | undefined;
|
||||
let minNotional: string | undefined;
|
||||
|
||||
for (const filter of filters) {
|
||||
switch (filter.filterType) {
|
||||
case "PRICE_FILTER":
|
||||
tickSize = (filter as { tickSize: string }).tickSize;
|
||||
break;
|
||||
case "LOT_SIZE":
|
||||
stepSize = (filter as { stepSize: string }).stepSize;
|
||||
minQty = (filter as { minQty: string }).minQty;
|
||||
break;
|
||||
case "MIN_NOTIONAL":
|
||||
case "NOTIONAL":
|
||||
minNotional = (filter as { minNotional: string }).minNotional;
|
||||
break;
|
||||
}
|
||||
}
|
||||
|
||||
markets.push({
|
||||
symbol: symbolInfo.symbol,
|
||||
baseAsset: symbolInfo.baseAsset,
|
||||
quoteAsset: symbolInfo.quoteAsset,
|
||||
pricePrecision: symbolInfo.quoteAssetPrecision,
|
||||
quantityPrecision: symbolInfo.baseAssetPrecision,
|
||||
minQty: minQty ? parseFloat(minQty) : undefined,
|
||||
stepSize: stepSize ? parseFloat(stepSize) : undefined,
|
||||
minNotional: minNotional ? parseFloat(minNotional) : undefined,
|
||||
});
|
||||
}
|
||||
|
||||
logger.info(
|
||||
{ count: markets.length },
|
||||
`[binance] 交易对信息拉取完成`,
|
||||
);
|
||||
|
||||
return markets;
|
||||
|
||||
} catch (err) {
|
||||
logger.error({ err }, `[binance] fetchMarkets 失败`);
|
||||
throw err;
|
||||
}
|
||||
}
|
||||
|
||||
// ============================================================
|
||||
// 内部：formattedMessage 事件分发
|
||||
// ============================================================
|
||||
|
||||
/**
|
||||
* Binance SDK formattedMessage 回调。
|
||||
*
|
||||
* SDK 已将原始 WebSocket JSON 解析为类型化事件对象。
|
||||
* WsFormattedMessage 是复杂联合类型（含单事件 + 事件数组），
|
||||
* TypeScript 的判别联合在此处不够精确。内部使用 `as any` 绕过
|
||||
* 联合类型限制，按 eventType 字符串运行时路由。
|
||||
*/
|
||||
private onFormattedMessage(msg: WsFormattedMessage): void {
|
||||
try {
|
||||
// 数组类型（如 !ticker@arr → WsMessage24hrTickerFormatted[]）
|
||||
if (Array.isArray(msg)) {
|
||||
for (const item of msg) {
|
||||
this.routeByEventType(item as unknown as Record<string, unknown>);
|
||||
}
|
||||
return;
|
||||
}
|
||||
|
||||
this.routeByEventType(msg as unknown as Record<string, unknown>);
|
||||
} catch (err) {
|
||||
const raw = msg as unknown as Record<string, unknown>;
|
||||
const eventType = String(raw["eventType"] ?? "unknown");
|
||||
logger.error(
|
||||
{ err, eventType },
|
||||
`[binance] 处理 formattedMessage 时出错`,
|
||||
);
|
||||
}
|
||||
}
|
||||
|
||||
/**
|
||||
* 按 eventType 运行时路由到对应 Subject。
|
||||
*
|
||||
* 此处使用 unknown → Record 转换，因为 WsFormattedMessage
|
||||
* 联合类型包含数组成员导致无法直接访问 eventType。
|
||||
*/
|
||||
private routeByEventType(raw: Record<string, unknown>): void {
|
||||
const eventType = String(raw["eventType"] ?? "");
|
||||
if (!eventType) return;
|
||||
|
||||
switch (eventType) {
|
||||
case "24hrTicker":
|
||||
case "!ticker@arr":
|
||||
this.handleTickerMessage(
|
||||
raw as unknown as WsMessage24hrTickerFormatted,
|
||||
);
|
||||
break;
|
||||
|
||||
case "trade":
|
||||
this.handleTradeMessage(
|
||||
raw as unknown as WsMessageTradeFormatted,
|
||||
);
|
||||
break;
|
||||
|
||||
case "bookTicker":
|
||||
this.handleBookTickerMessage(
|
||||
raw as unknown as WsMessageBookTickerEventFormatted,
|
||||
);
|
||||
break;
|
||||
|
||||
case "partialBookDepth":
|
||||
this.handleOrderbookMessage(
|
||||
raw as unknown as WsMessagePartialBookDepthEventFormatted,
|
||||
);
|
||||
break;
|
||||
|
||||
case "kline":
|
||||
// K 线事件不在 adapter 层分发，由 pipeline 的 KlineSynthesizer 处理
|
||||
break;
|
||||
|
||||
default:
|
||||
// 忽略其他事件类型（用户数据流、账户更新等）
|
||||
break;
|
||||
}
|
||||
}
|
||||
|
||||
// ----------------------------------------------------------
|
||||
// 事件转换器：Binance → 本系统标准化类型
|
||||
// ----------------------------------------------------------
|
||||
|
||||
/** 24h Ticker → Ticker */
|
||||
private handleTickerMessage(msg: WsMessage24hrTickerFormatted): void {
|
||||
if (!this.tickerSubject || this.tickerSubject.closed) return;
|
||||
|
||||
const ticker: Ticker = {
|
||||
exchange: "binance",
|
||||
symbol: msg.symbol,
|
||||
lastPrice: msg.currentClose,
|
||||
openPrice: msg.open,
|
||||
highPrice: msg.high,
|
||||
lowPrice: msg.low,
|
||||
volume: msg.baseAssetVolume,
|
||||
quoteVolume: msg.quoteAssetVolume,
|
||||
priceChange: msg.priceChange,
|
||||
priceChangePercent: msg.priceChangePercent,
|
||||
bidPrice: msg.bestBid,
|
||||
bidQty: msg.bestBidQuantity,
|
||||
askPrice: msg.bestAskPrice,
|
||||
askQty: msg.bestAskQuantity,
|
||||
eventTime: msg.eventTime,
|
||||
closeTime: msg.closeTime,
|
||||
};
|
||||
|
||||
this.tickerSubject.next(ticker);
|
||||
}
|
||||
|
||||
/** 逐笔成交 → Trade */
|
||||
private handleTradeMessage(msg: WsMessageTradeFormatted): void {
|
||||
if (!this.tradeSubject || this.tradeSubject.closed) return;
|
||||
|
||||
const trade: Trade = {
|
||||
exchange: "binance",
|
||||
symbol: msg.symbol,
|
||||
price: msg.price,
|
||||
amount: msg.quantity,
|
||||
quoteAmount: msg.price * msg.quantity,
|
||||
timestamp: msg.time,
|
||||
isBuyerMaker: msg.maker,
|
||||
tradeId: String(msg.tradeId),
|
||||
};
|
||||
|
||||
this.tradeSubject.next(trade);
|
||||
}
|
||||
|
||||
/** BookTicker → Ticker（精简版，仅有最佳买卖价） */
|
||||
private handleBookTickerMessage(msg: WsMessageBookTickerEventFormatted): void {
|
||||
// BookTicker 是 Ticker 的精简版，仅更新最佳买卖价
|
||||
// 如果有 tickerSubject，将其作为轻量 Ticker 推送
|
||||
if (!this.tickerSubject || this.tickerSubject.closed) return;
|
||||
|
||||
const ticker: Ticker = {
|
||||
exchange: "binance",
|
||||
symbol: msg.symbol,
|
||||
lastPrice: 0, // bookTicker 不含最新价
|
||||
openPrice: 0,
|
||||
highPrice: 0,
|
||||
lowPrice: 0,
|
||||
volume: 0,
|
||||
quoteVolume: 0,
|
||||
priceChange: 0,
|
||||
priceChangePercent: 0,
|
||||
bidPrice: msg.bidPrice,
|
||||
bidQty: msg.bidQty,
|
||||
askPrice: msg.askPrice,
|
||||
askQty: msg.askQty,
|
||||
eventTime: msg.eventTime,
|
||||
closeTime: 0,
|
||||
};
|
||||
|
||||
this.tickerSubject.next(ticker);
|
||||
}
|
||||
|
||||
/** 订单簿深度快照 → OrderBook */
|
||||
private handleOrderbookMessage(msg: WsMessagePartialBookDepthEventFormatted): void {
|
||||
// partialBookDepth 不含 symbol 字段（取决于 SDK 版本），
|
||||
// 从 stream 名称或上下文推断 symbol。此处假设 SDK 已填充 symbol。
|
||||
const symbol = (msg as WsMessagePartialBookDepthEventFormatted & { symbol?: string }).symbol;
|
||||
|
||||
if (!symbol) {
|
||||
logger.warn(`[binance] 收到无 symbol 的 orderbook 消息，丢弃`);
|
||||
return;
|
||||
}
|
||||
|
||||
// 查找匹配的 orderbook Subject（遍历所有已订阅 depth）
|
||||
for (const [key, subject] of this.orderbookSubjects) {
|
||||
const [subscribedSymbol] = key.split("@");
|
||||
if (
|
||||
subscribedSymbol?.toUpperCase() === symbol.toUpperCase() &&
|
||||
!subject.closed
|
||||
) {
|
||||
const orderbook: OrderBook = {
|
||||
exchange: "binance",
|
||||
symbol: symbol.toUpperCase(),
|
||||
bids: msg.bids.map(
|
||||
([price, qty]) => [parseFloat(String(price)), parseFloat(String(qty))] as [number, number],
|
||||
),
|
||||
asks: msg.asks.map(
|
||||
([price, qty]) => [parseFloat(String(price)), parseFloat(String(qty))] as [number, number],
|
||||
),
|
||||
lastUpdateId: msg.lastUpdateId,
|
||||
eventTime: Date.now(), // partialBookDepth 不含 eventTime
|
||||
};
|
||||
|
||||
subject.next(orderbook);
|
||||
return;
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
// ============================================================
|
||||
// 内部：REST K 线格式转换
|
||||
// ============================================================
|
||||
|
||||
/**
|
||||
* 将 Binance REST K 线数组（元组）转换为本系统 Kline 对象。
|
||||
*
|
||||
* Binance REST K 线格式：
|
||||
* [
|
||||
* 0: openTime (ms),
|
||||
* 1: open (string),
|
||||
* 2: high (string),
|
||||
* 3: low (string),
|
||||
* 4: close (string),
|
||||
* 5: volume (string),
|
||||
* 6: closeTime (ms),
|
||||
* 7: quoteVolume (string),
|
||||
* 8: tradeCount (number),
|
||||
* 9: takerBuyBaseVol (string),
|
||||
* 10: takerBuyQuoteVol (string),
|
||||
* 11: ignore (string)
|
||||
* ]
|
||||
*/
|
||||
private convertRestKline(
|
||||
raw: BinanceRestKline,
|
||||
symbol: string,
|
||||
interval: KlineInterval,
|
||||
): Kline {
|
||||
// BinanceRestKline 是元组类型，按位置索引
|
||||
const arr = raw as unknown as [
|
||||
number, // 0: openTime
|
||||
string, // 1: open
|
||||
string, // 2: high
|
||||
string, // 3: low
|
||||
string, // 4: close
|
||||
string, // 5: volume
|
||||
number, // 6: closeTime
|
||||
string, // 7: quoteVolume
|
||||
number, // 8: tradeCount
|
||||
string, // 9: takerBuyBaseVol
|
||||
string, // 10: takerBuyQuoteVol
|
||||
string, // 11: ignore
|
||||
];
|
||||
|
||||
return {
|
||||
exchange: "binance",
|
||||
symbol,
|
||||
interval,
|
||||
openTime: arr[0],
|
||||
closeTime: arr[6],
|
||||
open: parseFloat(arr[1]),
|
||||
high: parseFloat(arr[2]),
|
||||
low: parseFloat(arr[3]),
|
||||
close: parseFloat(arr[4]),
|
||||
volume: parseFloat(arr[5]),
|
||||
quoteVolume: parseFloat(arr[7]),
|
||||
takerBuyBaseVol: parseFloat(arr[9]),
|
||||
takerBuyQuoteVol: parseFloat(arr[10]),
|
||||
tradeCount: arr[8],
|
||||
isClosed: true, // REST 返回的 K 线都是已闭合的
|
||||
};
|
||||
}
|
||||
}
|
||||
|
||||
export default BinanceAdapter;
|
||||
@@ -0,0 +1,253 @@
|
||||
import { MainClient, type Kline as BinanceRestKline } from "binance";
|
||||
|
||||
import { logger } from "../utils/logger";
|
||||
import { BaseRestClient } from './base_rest';
|
||||
import type { KlineInterval, Kline, MarketInfo } from '../types';
|
||||
|
||||
/** K 线周期 → 毫秒数映射（用于时间桶计算） */
|
||||
export const KLINE_INTERVAL_MS: Record<KlineInterval, number> = {
|
||||
"1m": 60_000,
|
||||
"5m": 300_000,
|
||||
"15m": 900_000,
|
||||
"30m": 1_800_000,
|
||||
"1h": 3_600_000,
|
||||
"4h": 14_400_000,
|
||||
"1d": 86_400_000,
|
||||
"1w": 604_800_000,
|
||||
};
|
||||
|
||||
// ============================================================
|
||||
// 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 Number() 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: openTime,
|
||||
closeTime: 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
|
||||
};
|
||||
}
|
||||
|
||||
// ============================================================
|
||||
// Binance REST 拉取函数
|
||||
// ============================================================
|
||||
|
||||
/**
|
||||
* 通过 Binance 原生 SDK 拉取 UI K 线并转换为本系统 Kline。
|
||||
*
|
||||
* getUIKlines 与 getKlines 返回同构的 Kline[] 元组，
|
||||
* getUIKlines 额外支持 timeZone 参数，适合按交易所时区对齐。
|
||||
*
|
||||
* @param symbol - 交易对（如 BTCUSDT）
|
||||
* @param interval - K 线周期
|
||||
* @param startTime - 起始时间（Unix ms）
|
||||
* @param endTime - 结束时间（Unix ms），可选
|
||||
* @param limit - 单次拉取条数，默认 500（最大 1000）
|
||||
*/
|
||||
async function fetchBinanceKlines(
|
||||
symbol: string,
|
||||
interval: KlineInterval,
|
||||
startTime: number,
|
||||
endTime?: number,
|
||||
limit = 500,
|
||||
): Promise<Kline[]> {
|
||||
const client = new MainClient({
|
||||
api_key: 'ONSJKIGRpDYLn6FdV17aAKfjclZ4I2LzamflhuMpsoRQA427lLKeyJlGtg2RZ7DH',
|
||||
api_secret: '5Mfv4TgvDlRzCHbtl2nJL4mVHUvMm8pyjKiRjMoosBMxrhlqMw6CuQbg2qbS2Npd',
|
||||
});
|
||||
|
||||
// Binance 硬限制：单次最多 1000 条
|
||||
const safeLimit = Math.min(limit, 1000);
|
||||
|
||||
const rawKlines = await client.getKlines({
|
||||
symbol,
|
||||
interval,
|
||||
startTime,
|
||||
endTime,
|
||||
limit: safeLimit,
|
||||
});
|
||||
|
||||
logger.info({
|
||||
symbol,
|
||||
interval,
|
||||
startTime,
|
||||
endTime,
|
||||
limit: safeLimit,
|
||||
}, 'fetchBinanceKlines arguments');
|
||||
|
||||
if (!rawKlines || rawKlines.length === 0) {
|
||||
return [];
|
||||
}
|
||||
|
||||
return filterConsecutive(
|
||||
rawKlines.map((k, index) => {
|
||||
// if (index === rawKlines.length - 1) {
|
||||
// console.log(k);
|
||||
// }
|
||||
return convertBinanceKline(k, symbol, interval);
|
||||
}),
|
||||
interval,
|
||||
);
|
||||
}
|
||||
|
||||
/**
|
||||
* 过滤出严格连续（无时间缺口）的 K 线序列。
|
||||
*
|
||||
* 处理流程：
|
||||
* 1. 按 openTime 升序排序（防御性，确保时间单调递增）
|
||||
* 2. 从首条 K 线开始遍历，仅保留相邻间隔恰好等于 intervalMs 的条目
|
||||
* 3. 一旦检测到缺口（间隔 ≠ intervalMs），立即终止并丢弃后续所有数据
|
||||
*
|
||||
* 设计意图：
|
||||
* - 时间序列分析（回测、指标计算）依赖连续数据，缺口会引入偏误
|
||||
* - 缺口之后的数据可能来自另一段不连续的拉取结果，混入后风险更高
|
||||
* - "截断"策略优于"填充/跳过"，避免伪造数据或隐藏数据质量问题
|
||||
*
|
||||
* @param klines - 待过滤的 K 线数组（可能乱序、可能含缺口）
|
||||
* @param interval - K 线周期，用于查表获取 intervalMs
|
||||
* @returns 从首条开始严格连续的最大前缀子序列；空数组无缺口时返回完整排序结果
|
||||
*/
|
||||
function filterConsecutive(klines: Kline[], interval: KlineInterval) {
|
||||
// 查表获取当前 K 线周期对应的毫秒数
|
||||
const intervalMs = KLINE_INTERVAL_MS[interval];
|
||||
|
||||
// 防御性排序：Binance API 不保证返回顺序，升序排列确保时间单调
|
||||
const results = klines.sort((a: Kline, b: Kline) => {
|
||||
return a.openTime - b.openTime;
|
||||
});
|
||||
|
||||
return results;
|
||||
|
||||
// console.log(results);
|
||||
|
||||
// let _openTime = 0; // 哨兵：0 表示尚未初始化，非 0 表示上一条已收录 K 线的 openTime
|
||||
// const rets: Kline[] = []; // 累积连续 K 线结果
|
||||
|
||||
// for (let item of results) {
|
||||
|
||||
// console.log(item.openTime);
|
||||
// // 分支 1 —— 首条 K 线：无条件收录，并初始化哨兵
|
||||
// if (_openTime === 0) {
|
||||
// _openTime = item.openTime;
|
||||
// rets.push(item);
|
||||
// continue;
|
||||
// }
|
||||
|
||||
// // 分支 2 —— 严格连续：当前 openTime 与上一条恰好相差一个周期
|
||||
// if (item.openTime - _openTime === intervalMs) {
|
||||
// _openTime = item.openTime;
|
||||
// rets.push(item);
|
||||
// continue;
|
||||
// }
|
||||
|
||||
// // 分支 3 —— 检测到缺口：截断，丢弃当前及之后所有 K 线
|
||||
// break;
|
||||
// }
|
||||
|
||||
// return rets;
|
||||
}
|
||||
|
||||
// ============================================================
|
||||
// Client —— 多交易所 REST 客户端
|
||||
// ============================================================
|
||||
|
||||
export class Client extends BaseRestClient {
|
||||
exchange: string;
|
||||
|
||||
/**
|
||||
* @param exchange - 交易所 ID（如 "binance"、"okx"、"bybit"）
|
||||
* 内部根据 ID 分发到对应的 SDK 实现
|
||||
*/
|
||||
constructor(exchange: string) {
|
||||
super();
|
||||
this.exchange = exchange;
|
||||
}
|
||||
|
||||
/**
|
||||
* 拉取历史 K 线数据，返回标准化 Kline 数组。
|
||||
*
|
||||
* 根据交易所 ID 分发到各自的 SDK 拉取函数。
|
||||
*
|
||||
* @param symbol - 交易对符号（如 BTCUSDT）
|
||||
* @param interval - K 线周期
|
||||
* @param startTime - 起始时间（Unix ms）
|
||||
* @param endTime - 结束时间（Unix ms），可选
|
||||
* @param limit - 最大返回条数，默认取自 config.defaultLimit
|
||||
*/
|
||||
async fetchKlines(
|
||||
symbol: string,
|
||||
interval: KlineInterval,
|
||||
startTime: number,
|
||||
limit?: number,
|
||||
endTime?: number,
|
||||
): Promise<Kline[]> {
|
||||
const effectiveLimit = limit ?? this.config.defaultLimit;
|
||||
switch (this.exchange) {
|
||||
case "binance":
|
||||
return fetchBinanceKlines(symbol, interval, startTime, endTime, effectiveLimit);
|
||||
// TODO: 新增交易所在此添加 case
|
||||
// case "okx":
|
||||
// return fetchOkxKlines(symbol, interval, startTime, endTime, effectiveLimit);
|
||||
default:
|
||||
throw new Error(
|
||||
`[Client] 不支持的交易所: "${this.exchange}"，` +
|
||||
`当前仅支持: binance`,
|
||||
);
|
||||
}
|
||||
}
|
||||
|
||||
async fetchMarkets(): Promise<MarketInfo[]> {
|
||||
// TODO: 各交易所实现
|
||||
return [];
|
||||
}
|
||||
}
|
||||
@@ -1,299 +0,0 @@
|
||||
// ============================================================
|
||||
// types.ts — 统一行情数据类型定义与 MarketDataFeed 接口
|
||||
// ============================================================
|
||||
// 所有交易所适配器共享的数据结构和接口契约。
|
||||
// 适配器负责将交易所原生数据格式转换为以下标准化类型。
|
||||
//
|
||||
// 设计原则：
|
||||
// - 字段语义与 Binance/OKX/Bybit 通用概念对齐
|
||||
// - 时间戳统一使用 Unix 毫秒（number），便于排序和计算
|
||||
// - 价格/数量使用 number 类型（JavaScript 64-bit float），
|
||||
// 对精度敏感场景（如 orderbook 快照）保留原始字符串
|
||||
// ============================================================
|
||||
|
||||
import type { Observable } from "rxjs";
|
||||
|
||||
// ============================================================
|
||||
// K 线周期
|
||||
// ============================================================
|
||||
|
||||
/** K 线周期枚举（与 kline.entity.ts 中 KlineInterval 保持一致） */
|
||||
export type KlineInterval =
|
||||
| "1m"
|
||||
| "5m"
|
||||
| "15m"
|
||||
| "30m"
|
||||
| "1h"
|
||||
| "4h"
|
||||
| "1d"
|
||||
| "1w";
|
||||
|
||||
/** K 线周期 → 毫秒数映射（用于时间桶计算） */
|
||||
export const KLINE_INTERVAL_MS: Record<KlineInterval, number> = {
|
||||
"1m": 60_000,
|
||||
"5m": 300_000,
|
||||
"15m": 900_000,
|
||||
"30m": 1_800_000,
|
||||
"1h": 3_600_000,
|
||||
"4h": 14_400_000,
|
||||
"1d": 86_400_000,
|
||||
"1w": 604_800_000,
|
||||
};
|
||||
|
||||
// ============================================================
|
||||
// 标准化行情数据结构
|
||||
// ============================================================
|
||||
|
||||
/** 24 小时滚动 Ticker 统计 */
|
||||
export interface Ticker {
|
||||
/** 交易所标识 */
|
||||
exchange: string;
|
||||
/** 交易对符号（大写，如 BTCUSDT） */
|
||||
symbol: string;
|
||||
/** 最新成交价 */
|
||||
lastPrice: number;
|
||||
/** 24h 开盘价 */
|
||||
openPrice: number;
|
||||
/** 24h 最高价 */
|
||||
highPrice: number;
|
||||
/** 24h 最低价 */
|
||||
lowPrice: number;
|
||||
/** 24h 成交量（base 币种） */
|
||||
volume: number;
|
||||
/** 24h 成交额（quote 币种） */
|
||||
quoteVolume: number;
|
||||
/** 24h 价格变化 */
|
||||
priceChange: number;
|
||||
/** 24h 价格变化百分比（0.05 = 5%） */
|
||||
priceChangePercent: number;
|
||||
/** 买一价 */
|
||||
bidPrice: number;
|
||||
/** 买一量 */
|
||||
bidQty: number;
|
||||
/** 卖一价 */
|
||||
askPrice: number;
|
||||
/** 卖一量 */
|
||||
askQty: number;
|
||||
/** 事件发生时间（Unix ms） */
|
||||
eventTime: number;
|
||||
/** 交易所收盘时间（Unix ms，用于判断 K 线是否闭合） */
|
||||
closeTime: number;
|
||||
}
|
||||
|
||||
/** 逐笔成交 */
|
||||
export interface Trade {
|
||||
/** 交易所标识 */
|
||||
exchange: string;
|
||||
/** 交易对符号 */
|
||||
symbol: string;
|
||||
/** 成交价 */
|
||||
price: number;
|
||||
/** 成交数量（base 币种） */
|
||||
amount: number;
|
||||
/** 成交额（quote 币种 = price × amount） */
|
||||
quoteAmount: number;
|
||||
/** 成交时间（Unix ms） */
|
||||
timestamp: number;
|
||||
/** 买方是否为挂单方（true = 主动卖出 / taker sell） */
|
||||
isBuyerMaker: boolean;
|
||||
/** 交易所成交 ID（可能为字符串，如 Binance tradeId 为 bigint） */
|
||||
tradeId: string;
|
||||
}
|
||||
|
||||
/** 订单簿深度快照 */
|
||||
export interface OrderBook {
|
||||
/** 交易所标识 */
|
||||
exchange: string;
|
||||
/** 交易对符号 */
|
||||
symbol: string;
|
||||
/** 买单列表 [[price, qty], ...]，按价格降序（买一在前） */
|
||||
bids: [number, number][];
|
||||
/** 卖单列表 [[price, qty], ...]，按价格升序（卖一在前） */
|
||||
asks: [number, number][];
|
||||
/** 上次更新 ID */
|
||||
lastUpdateId: number;
|
||||
/** 事件发生时间（Unix ms） */
|
||||
eventTime: number;
|
||||
}
|
||||
|
||||
/** 标准化 K 线（OHLCV） */
|
||||
export interface Kline {
|
||||
/** 交易所标识 */
|
||||
exchange: string;
|
||||
/** 交易对符号 */
|
||||
symbol: string;
|
||||
/** K 线周期 */
|
||||
interval: KlineInterval;
|
||||
/** 开盘时间（Unix ms） */
|
||||
openTime: number;
|
||||
/** 收盘时间（Unix ms） */
|
||||
closeTime: number;
|
||||
/** 开盘价 */
|
||||
open: number;
|
||||
/** 最高价 */
|
||||
high: number;
|
||||
/** 最低价 */
|
||||
low: number;
|
||||
/** 收盘价 */
|
||||
close: number;
|
||||
/** 成交量（base 币种） */
|
||||
volume: number;
|
||||
/** 成交额（quote 币种） */
|
||||
quoteVolume: number;
|
||||
/** 主动买入成交量（base 币种） */
|
||||
takerBuyBaseVol: number;
|
||||
/** 主动买入成交额（quote 币种） */
|
||||
takerBuyQuoteVol: number;
|
||||
/** 成交笔数 */
|
||||
tradeCount: number;
|
||||
/** 该 K 线是否已关闭（不再更新） */
|
||||
isClosed: boolean;
|
||||
}
|
||||
|
||||
/** K 线增量更新（仅推送最新一根 OHLCV 变化） */
|
||||
export interface KlineDelta {
|
||||
exchange: string;
|
||||
symbol: string;
|
||||
interval: KlineInterval;
|
||||
openTime: number;
|
||||
closeTime: number;
|
||||
open: number;
|
||||
high: number;
|
||||
low: number;
|
||||
close: number;
|
||||
volume: number;
|
||||
isClosed: boolean;
|
||||
}
|
||||
|
||||
// ============================================================
|
||||
// WebSocket 连接状态
|
||||
// ============================================================
|
||||
|
||||
/** 连接状态枚举 */
|
||||
export type ConnectionState =
|
||||
| "disconnected"
|
||||
| "connecting"
|
||||
| "connected"
|
||||
| "error";
|
||||
|
||||
// ============================================================
|
||||
// 适配器配置
|
||||
// ============================================================
|
||||
|
||||
/** 交易所适配器通用配置 */
|
||||
export interface AdapterConfig {
|
||||
/** 指数退避重连基数（毫秒），默认 3000 */
|
||||
reconnectBaseDelayMs: number;
|
||||
/** 最大重连次数，默认 10 */
|
||||
maxReconnectAttempts: number;
|
||||
/** REST API 请求冷却时间（毫秒），默认 200 */
|
||||
restRateLimitMs: number;
|
||||
}
|
||||
|
||||
/** 默认适配器配置 */
|
||||
export const DEFAULT_ADAPTER_CONFIG: AdapterConfig = {
|
||||
reconnectBaseDelayMs: 3000,
|
||||
maxReconnectAttempts: 10,
|
||||
restRateLimitMs: 200,
|
||||
};
|
||||
|
||||
// ============================================================
|
||||
// MarketDataFeed 接口 —— 所有交易所适配器必须实现
|
||||
// ============================================================
|
||||
|
||||
/**
|
||||
* 统一行情数据源接口。
|
||||
*
|
||||
* 每个交易所适配器实现此接口，向上层管道暴露标准化数据流。
|
||||
* 使用 RxJS Observable 作为统一推送机制，pipeline 层可自由
|
||||
* 组合、过滤、分流各交易所数据。
|
||||
*/
|
||||
export interface MarketDataFeed {
|
||||
/** 交易所标识（如 "binance"） */
|
||||
readonly exchange: string;
|
||||
|
||||
/** 当前连接状态 */
|
||||
readonly connectionState: ConnectionState;
|
||||
|
||||
/** 建立 WebSocket 连接 */
|
||||
connect(): Promise<void>;
|
||||
|
||||
/** 断开连接 */
|
||||
disconnect(): Promise<void>;
|
||||
|
||||
/**
|
||||
* 订阅 24h 滚动 Ticker 流。
|
||||
* 每笔成交触发推送（Binance: <symbol>@ticker）。
|
||||
*/
|
||||
subscribeTicker(symbols: string[]): Observable<Ticker>;
|
||||
|
||||
/**
|
||||
* 订阅逐笔成交流。
|
||||
* 实时推送每笔撮合成交（Binance: <symbol>@trade）。
|
||||
*/
|
||||
subscribeTrade(symbols: string[]): Observable<Trade>;
|
||||
|
||||
/**
|
||||
* 订阅订单簿深度。
|
||||
* depth 参数指定档位（如 5/10/20），默认 20。
|
||||
*/
|
||||
subscribeOrderbook(symbol: string, depth?: number): Observable<OrderBook>;
|
||||
|
||||
/**
|
||||
* REST 拉取历史 K 线（用于补齐缺失数据或回测）。
|
||||
*
|
||||
* @param symbol - 交易对符号
|
||||
* @param interval - K 线周期
|
||||
* @param startTime - 起始时间（Unix ms）
|
||||
* @param endTime - 结束时间（Unix ms）
|
||||
* @param limit - 最大返回条数（默认 500）
|
||||
* @returns 标准化 K 线数组，按时间升序
|
||||
*/
|
||||
fetchKlines(
|
||||
symbol: string,
|
||||
interval: KlineInterval,
|
||||
startTime: number,
|
||||
endTime: number,
|
||||
limit?: number,
|
||||
): Promise<Kline[]>;
|
||||
|
||||
/**
|
||||
* 获取交易所交易对信息（用于自动注册到 trading_pairs 表）。
|
||||
* 返回标准化后的交易对元数据。
|
||||
*/
|
||||
fetchMarkets(): Promise<MarketInfo[]>;
|
||||
}
|
||||
|
||||
/** 交易对元信息（从交易所 REST API 获取） */
|
||||
export interface MarketInfo {
|
||||
symbol: string;
|
||||
baseAsset: string;
|
||||
quoteAsset: string;
|
||||
pricePrecision: number;
|
||||
quantityPrecision: number;
|
||||
minQty?: number;
|
||||
stepSize?: number;
|
||||
minNotional?: number;
|
||||
}
|
||||
|
||||
// ============================================================
|
||||
// 工具类型
|
||||
// ============================================================
|
||||
|
||||
/** Binance WebSocket 原始 K 线数据（kline 事件中的 k 字段） */
|
||||
export interface BinanceRawKline {
|
||||
t: number; // K 线开始时间
|
||||
T: number; // K 线结束时间
|
||||
s: string; // 交易对
|
||||
i: string; // 周期
|
||||
o: string; // 开盘价
|
||||
h: string; // 最高价
|
||||
l: string; // 最低价
|
||||
c: string; // 收盘价
|
||||
v: string; // 成交量
|
||||
n: number; // 成交笔数
|
||||
x: boolean; // 是否已关闭
|
||||
q: string; // 成交额
|
||||
V: string; // 主动买入成交量
|
||||
Q: string; // 主动买入成交额
|
||||
}
|
||||
Reference in New Issue
Block a user