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
+140
-6
@@ -18,7 +18,8 @@
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- [4.4 关系数据实体 (`db/entities/`)](#44-关系数据实体-dbentities)
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- [4.4 关系数据实体 (`db/entities/`)](#44-关系数据实体-dbentities)
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- [4.5 交易所适配器 (`exchanges/`)](#45-交易所适配器-exchanges)
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- [4.5 交易所适配器 (`exchanges/`)](#45-交易所适配器-exchanges)
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- [4.6 K 线合成管道 (`pipeline/`)](#46-k-线合成管道-pipeline)
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- [4.6 K 线合成管道 (`pipeline/`)](#46-k-线合成管道-pipeline)
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- [4.7 数据发布 (`publisher/`)](#47-数据发布-publisher)
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- [4.7 数据发布 (`publisher/`)](#47-数据发布-publisher)
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- [4.8 数据补全服务 (`run/exchange.ts`)](#48-数据补全服务-runexchangets)
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5. [数据流生命周期](#5-数据流生命周期)
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5. [数据流生命周期](#5-数据流生命周期)
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6. [TypeORM + TimescaleDB 集成细节](#6-typeorm--timescaledb-集成细节)
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6. [TypeORM + TimescaleDB 集成细节](#6-typeorm--timescaledb-集成细节)
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7. [配置管理策略](#7-配置管理策略)
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7. [配置管理策略](#7-配置管理策略)
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@@ -138,6 +139,10 @@ data/
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├── tsconfig.json # TypeScript 配置
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├── tsconfig.json # TypeScript 配置
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├── bun.lock # Bun 依赖锁定文件
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├── bun.lock # Bun 依赖锁定文件
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│
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│
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├── run/ # 启动文件
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│ ├── main.ts # 模块入口：配置加载 → DB 连接 → Redis 连接 → 适配器启动 → 优雅关闭
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│ └── exchange.ts # 数据补全服务：读取 trading_pairs.last_backfill_time → 拉取缺失 K 线 → 批量写入 → 更新时间戳
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│
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├── config/ # 中心化配置模块（目录）
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├── config/ # 中心化配置模块（目录）
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│ ├── index.ts # 配置加载与分组导出（pgsql / redis / logging）
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│ ├── index.ts # 配置加载与分组导出（pgsql / redis / logging）
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│ └── validators.ts # 零依赖运行时校验（env.yaml → EnvConfig）
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│ └── validators.ts # 零依赖运行时校验（env.yaml → EnvConfig）
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@@ -159,8 +164,6 @@ data/
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├── publisher/ # Redis 数据发布（待实现）
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├── publisher/ # Redis 数据发布（待实现）
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├── types/ # 共享类型定义
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├── types/ # 共享类型定义
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├── utils/ # 工具函数
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├── utils/ # 工具函数
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├── index.ts # 模块入口
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├── logger.ts # Pino 日志实例
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└── tests/ # 测试
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└── tests/ # 测试
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```
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```
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@@ -849,6 +852,112 @@ export class RedisPublisher {
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---
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---
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### 4.8 数据补全服务 [`run/exchange.ts`](run/exchange.ts)
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独立启动的数据补全服务，从 `trading_pairs` 表中读取每个交易对的 `last_backfill_time`，据此确定需要拉取的历史 K 线范围，补全完成后将 `last_backfill_time` 更新为最新时间点。
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**核心机制 — 基于 `last_backfill_time` 的增量补全**：
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```
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trading_pairs 表：
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┌────┬──────────┬──────────────────────┬──────────────────────┐
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│ id │ symbol │ last_backfill_time │ kline_intervals │
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├────┼──────────┼──────────────────────┼──────────────────────┤
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│ 1 │ BTCUSDT │ 2026-06-07 12:00:00 │ 1m,5m,15m,1h,4h,1d │
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│ 2 │ ETHUSDT │ 2026-06-08 08:00:00 │ 1m,5m,1h,1d │
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└────┴──────────┴──────────────────────┴──────────────────────┘
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补全任务生成：
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BTCUSDT → [(1m, 06/07 12:00 → now), (5m, 06/07 12:00 → now), ...]
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ETHUSDT → [(1m, 06/08 08:00 → now), (5m, 06/08 08:00 → now), ...]
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```
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- `last_backfill_time` 初始值为 `1970-01-01T00:00:00Z`（epoch 起点），新交易对自动触发全量拉取
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- 每次补全完成后，更新为本次实际拉取到的最后一条 K 线时间
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- 下次运行时自动从上次结束位置继续，无重复拉取
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|
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|
**使用场景**：
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| 场景 | 触发方式 | 说明 |
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|------|----------|------|
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| **定期增量补全** | cron 定时触发 | 每日/每小时补齐最新数据 |
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| **首次上线初始化** | 手动执行 | 新交易对 `last_backfill_time` 为 epoch，自动拉全量历史 |
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| **定点修复** | `--start` / `--end` 覆盖 | 修复特定时间段的缺失数据 |
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| **补全后验证** | `--dry-run` | 仅展示需拉取的任务范围，不实际请求 |
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|
**命令行参数**：
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|
```bash
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# 全量模式：为所有 active 交易对执行增量补全
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bun run run/exchange.ts --concurrency 2
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# 指定交易对：
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bun run run/exchange.ts --symbols BTCUSDT,ETHUSDT
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# 手动覆盖时间范围（忽略 last_backfill_time）：
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bun run run/exchange.ts \
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--symbols BTCUSDT \
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--start "2026-06-01T00:00:00Z" \
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--end "2026-06-08T00:00:00Z"
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# 仅检测不拉取：
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bun run run/exchange.ts --dry-run
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```
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|
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|
| 参数 | 默认值 | 说明 |
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|
|------|--------|------|
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|
| `--exchange` | (从 DB 读取) | 限定交易所，不填则为所有启用交易所 |
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|
| `--symbols` | (从 DB 读取所有 active) | 限定交易对列表，逗号分隔 |
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|
| `--intervals` | (从 DB 读取 `kline_intervals`) | K 线周期，逗号分隔 |
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|
| `--start` | `last_backfill_time`（不低于 7 天前） | 补全起始时间 (ISO 格式)；不填则使用 DB 中的 `last_backfill_time` |
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|
| `--end` | `Date.now()` | 补全结束时间 (ISO 格式) |
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|
| `--concurrency` | `2` | 并发任务数 |
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|
| `--batch-size` | `500` | 单次 REST 请求最大 K 线条数 |
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||||||
|
| `--dry-run` | `false` | 仅列出任务范围，不拉取不写入 |
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|
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|
**执行流程**：
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|
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|
```
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1. 查询 trading_pairs 表（JOIN exchanges），获取 active=true 且 exchange.enabled=true 的交易对
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2. 为每个交易对 × 每个 kline_interval 生成一个 BackfillTask：
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|
- startTime = --start ?? last_backfill_time（若 last_backfill_time 为 epoch 则兜底为 now-7d）
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|
- endTime = --end ?? now
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- 若 startTime >= endTime → 跳过（已是最新）
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3. 按 exchange 分组，创建对应适配器实例
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|
4. Semaphore 并发执行（默认 2）：
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|
a. 按 batch-size 分段切分时间范围
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b. 逐段调用适配器 fetchKlines() → 写入 klines 表（UPSERT）
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c. 记录本次拉取的最后一条 K 线时间
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5. 所有任务完成后，更新每个交易对的 last_backfill_time
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|
```
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|
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**并发策略**：
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|
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|
- 不同（symbol, interval）任务之间并行执行
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- 同一任务内部的多次分页请求串行执行（受 REST API 限频约束）
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- 单个任务失败不影响其他任务，失败数记录到最终统计
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|
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||||||
|
**last_backfill_time 更新逻辑**：
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|
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||||||
|
```
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任务完成后：
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pairLastTimes[pairId] = max(pairLastTimes[pairId], 本次拉取最后一条 K 线的 openTime)
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|
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|
最后统一：
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UPDATE trading_pairs SET last_backfill_time = pairLastTimes[id]
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|
```
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|
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||||||
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**注意事项**：
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||||||
|
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||||||
|
- 未指定 `--symbols` 且非 `--dry-run` 时，走"全量增量"模式，覆盖所有 active 交易对
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|
- 指定 `--start` 时不使用 `last_backfill_time`，但仍会更新 `last_backfill_time` 为实际拉取时间
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|
- `--dry-run` 模式下不更新 `last_backfill_time`
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|
- 依赖交易所 REST API 限频，当前硬编码每次分页间隔 200ms（Binance）
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||||||
|
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||||||
|
---
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||||||
|
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||||||
## 5. 数据流生命周期
|
## 5. 数据流生命周期
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||||||
|
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||||||
```
|
```
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||||||
@@ -898,6 +1007,8 @@ export class RedisPublisher {
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|||||||
|
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||||||
### 启动时序
|
### 启动时序
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||||||
|
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||||||
|
入口文件：[`run/main.ts`](run/main.ts)
|
||||||
|
|
||||||
```
|
```
|
||||||
1. 加载配置（config/index.ts → 读取 env.yaml → 零依赖校验）
|
1. 加载配置（config/index.ts → 读取 env.yaml → 零依赖校验）
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||||||
2. 初始化 Pino 日志
|
2. 初始化 Pino 日志
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||||||
@@ -1124,7 +1235,7 @@ export const logger = pino({
|
|||||||
### 9.2 优雅关闭（Graceful Shutdown）
|
### 9.2 优雅关闭（Graceful Shutdown）
|
||||||
|
|
||||||
```typescript
|
```typescript
|
||||||
// data/index.ts
|
// data/run/main.ts
|
||||||
async function shutdown(signal: string): Promise<void> {
|
async function shutdown(signal: string): Promise<void> {
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||||||
logger.info({ signal }, "Shutting down");
|
logger.info({ signal }, "Shutting down");
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|
|
||||||
@@ -1226,8 +1337,8 @@ cd data && bun install
|
|||||||
# 3. 配置环境
|
# 3. 配置环境
|
||||||
# 编辑项目根目录 env.yaml（如不存在则创建）
|
# 编辑项目根目录 env.yaml（如不存在则创建）
|
||||||
|
|
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# 4. 验证配置加载
|
# 4. 启动数据模块
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bun run db/data-source.ts # 测试 DataSource 初始化
|
bun run run/main.ts
|
||||||
|
|
||||||
# 5. 运行测试
|
# 5. 运行测试
|
||||||
bun test
|
bun test
|
||||||
@@ -1269,6 +1380,29 @@ bunx typeorm migration:revert -d db/data-source.ts
|
|||||||
| 类型/接口 | `PascalCase` |
|
| 类型/接口 | `PascalCase` |
|
||||||
| 测试文件 | `*.test.ts`（与源文件同目录或 `tests/` 下镜像结构） |
|
| 测试文件 | `*.test.ts`（与源文件同目录或 `tests/` 下镜像结构） |
|
||||||
|
|
||||||
|
### 11.5 数据补全
|
||||||
|
|
||||||
|
```bash
|
||||||
|
# 增量模式：为所有 active 交易对补齐最新数据
|
||||||
|
bun run run/exchange.ts --concurrency 2
|
||||||
|
|
||||||
|
# 仅检测需补全的任务范围
|
||||||
|
bun run run/exchange.ts --dry-run
|
||||||
|
|
||||||
|
# 指定交易对增量补全
|
||||||
|
bun run run/exchange.ts --symbols BTCUSDT,ETHUSDT
|
||||||
|
|
||||||
|
# 首次上线：拉取最近 90 天全量历史
|
||||||
|
bun run run/exchange.ts \
|
||||||
|
--symbols BTCUSDT \
|
||||||
|
--start "$(date -u -v-90d '+%Y-%m-%dT%H:%M:%SZ')" \
|
||||||
|
--intervals 1m,5m,15m,1h,4h,1d \
|
||||||
|
--concurrency 1
|
||||||
|
|
||||||
|
# cron 定时任务（每小时执行）
|
||||||
|
0 * * * * cd /app && bun run data/run/exchange.ts --concurrency 2 >> /var/log/backfill.log 2>&1
|
||||||
|
```
|
||||||
|
|
||||||
---
|
---
|
||||||
|
|
||||||
## 12. 风险提示
|
## 12. 风险提示
|
||||||
|
|||||||
@@ -10,6 +10,7 @@
|
|||||||
"ioredis": "^5.11.1",
|
"ioredis": "^5.11.1",
|
||||||
"pg": "^8.21.0",
|
"pg": "^8.21.0",
|
||||||
"pino": "^10.3.1",
|
"pino": "^10.3.1",
|
||||||
|
"pino-pretty": "^13.1.3",
|
||||||
"rxjs": "^7.8.2",
|
"rxjs": "^7.8.2",
|
||||||
"typeorm": "^1.0.0",
|
"typeorm": "^1.0.0",
|
||||||
"yaml": "^2.9.0",
|
"yaml": "^2.9.0",
|
||||||
@@ -350,6 +351,8 @@
|
|||||||
|
|
||||||
"cross-spawn": ["cross-spawn@7.0.6", "", { "dependencies": { "path-key": "^3.1.0", "shebang-command": "^2.0.0", "which": "^2.0.1" } }, "sha512-uV2QOWP2nWzsy2aMp8aRibhi9dlzF5Hgh5SHaB9OiTGEyDTiJJyx0uy51QXdyWbtAHNua4XJzUKca3OzKUd3vA=="],
|
"cross-spawn": ["cross-spawn@7.0.6", "", { "dependencies": { "path-key": "^3.1.0", "shebang-command": "^2.0.0", "which": "^2.0.1" } }, "sha512-uV2QOWP2nWzsy2aMp8aRibhi9dlzF5Hgh5SHaB9OiTGEyDTiJJyx0uy51QXdyWbtAHNua4XJzUKca3OzKUd3vA=="],
|
||||||
|
|
||||||
|
"dateformat": ["dateformat@4.6.3", "", {}, "sha512-2P0p0pFGzHS5EMnhdxQi7aJN+iMheud0UhG4dlE1DLAlvL8JHjJJTX/CSm4JXwV0Ka5nGk3zC5mcb5bUQUxxMA=="],
|
||||||
|
|
||||||
"dayjs": ["dayjs@1.11.21", "", {}, "sha512-98IT+HOahAisibz/yjKbzuOBwYcjJ7BCLPzARyHiyEBmRz4fatF+KPJszEHXsGYjUG234aH/cOjW1wwTbKUZlA=="],
|
"dayjs": ["dayjs@1.11.21", "", {}, "sha512-98IT+HOahAisibz/yjKbzuOBwYcjJ7BCLPzARyHiyEBmRz4fatF+KPJszEHXsGYjUG234aH/cOjW1wwTbKUZlA=="],
|
||||||
|
|
||||||
"debug": ["debug@4.4.3", "", { "dependencies": { "ms": "^2.1.3" } }, "sha512-RGwwWnwQvkVfavKVt22FGLw+xYSdzARwm0ru6DhTVA3umU5hZc28V3kO4stgYryrTlLpuvgI9GiijltAjNbcqA=="],
|
"debug": ["debug@4.4.3", "", { "dependencies": { "ms": "^2.1.3" } }, "sha512-RGwwWnwQvkVfavKVt22FGLw+xYSdzARwm0ru6DhTVA3umU5hZc28V3kO4stgYryrTlLpuvgI9GiijltAjNbcqA=="],
|
||||||
@@ -378,6 +381,8 @@
|
|||||||
|
|
||||||
"emojis-list": ["emojis-list@3.0.0", "", {}, "sha512-/kyM18EfinwXZbno9FyUGeFh87KC8HRQBQGildHZbEuRyWFOmv1U10o9BBp8XVZDVNNuQKyIGIu5ZYAAXJ0V2Q=="],
|
"emojis-list": ["emojis-list@3.0.0", "", {}, "sha512-/kyM18EfinwXZbno9FyUGeFh87KC8HRQBQGildHZbEuRyWFOmv1U10o9BBp8XVZDVNNuQKyIGIu5ZYAAXJ0V2Q=="],
|
||||||
|
|
||||||
|
"end-of-stream": ["end-of-stream@1.4.5", "", { "dependencies": { "once": "^1.4.0" } }, "sha512-ooEGc6HP26xXq/N+GCGOT0JKCLDGrq2bQUZrQ7gyrJiZANJ/8YDTxTpQBXGMn+WbIQXNVpyWymm7KYVICQnyOg=="],
|
||||||
|
|
||||||
"enhanced-resolve": ["enhanced-resolve@4.5.0", "", { "dependencies": { "graceful-fs": "^4.1.2", "memory-fs": "^0.5.0", "tapable": "^1.0.0" } }, "sha512-Nv9m36S/vxpsI+Hc4/ZGRs0n9mXqSWGGq49zxb/cJfPAQMbUtttJAlNPS4AQzaBdw/pKskw5bMbekT/Y7W/Wlg=="],
|
"enhanced-resolve": ["enhanced-resolve@4.5.0", "", { "dependencies": { "graceful-fs": "^4.1.2", "memory-fs": "^0.5.0", "tapable": "^1.0.0" } }, "sha512-Nv9m36S/vxpsI+Hc4/ZGRs0n9mXqSWGGq49zxb/cJfPAQMbUtttJAlNPS4AQzaBdw/pKskw5bMbekT/Y7W/Wlg=="],
|
||||||
|
|
||||||
"envinfo": ["envinfo@7.21.0", "", { "bin": { "envinfo": "dist/cli.js" } }, "sha512-Lw7I8Zp5YKHFCXL7+Dz95g4CcbMEpgvqZNNq3AmlT5XAV6CgAAk6gyAMqn2zjw08K9BHfcNuKrMiCPLByGafow=="],
|
"envinfo": ["envinfo@7.21.0", "", { "bin": { "envinfo": "dist/cli.js" } }, "sha512-Lw7I8Zp5YKHFCXL7+Dz95g4CcbMEpgvqZNNq3AmlT5XAV6CgAAk6gyAMqn2zjw08K9BHfcNuKrMiCPLByGafow=="],
|
||||||
@@ -422,12 +427,16 @@
|
|||||||
|
|
||||||
"expect-type": ["expect-type@1.3.0", "", {}, "sha512-knvyeauYhqjOYvQ66MznSMs83wmHrCycNEN6Ao+2AeYEfxUIkuiVxdEa1qlGEPK+We3n0THiDciYSsCcgW/DoA=="],
|
"expect-type": ["expect-type@1.3.0", "", {}, "sha512-knvyeauYhqjOYvQ66MznSMs83wmHrCycNEN6Ao+2AeYEfxUIkuiVxdEa1qlGEPK+We3n0THiDciYSsCcgW/DoA=="],
|
||||||
|
|
||||||
|
"fast-copy": ["fast-copy@4.0.3", "", {}, "sha512-58apWr0GUiDFM8+3afrO6eYwJBn9ZAhDOzG3L+/9llab/haCARS2UIfffmOurYLwbgDRs8n0rfr6qAAPEAuAQw=="],
|
||||||
|
|
||||||
"fast-deep-equal": ["fast-deep-equal@3.1.3", "", {}, "sha512-f3qQ9oQy9j2AhBe/H9VC91wLmKBCCU/gDOnKNAYG5hswO7BLKj09Hc5HYNz9cGI++xlpDCIgDaitVs03ATR84Q=="],
|
"fast-deep-equal": ["fast-deep-equal@3.1.3", "", {}, "sha512-f3qQ9oQy9j2AhBe/H9VC91wLmKBCCU/gDOnKNAYG5hswO7BLKj09Hc5HYNz9cGI++xlpDCIgDaitVs03ATR84Q=="],
|
||||||
|
|
||||||
"fast-json-stable-stringify": ["fast-json-stable-stringify@2.1.0", "", {}, "sha512-lhd/wF+Lk98HZoTCtlVraHtfh5XYijIjalXck7saUtuanSDyLMxnHhSXEDJqHxD7msR8D0uCmqlkwjCV8xvwHw=="],
|
"fast-json-stable-stringify": ["fast-json-stable-stringify@2.1.0", "", {}, "sha512-lhd/wF+Lk98HZoTCtlVraHtfh5XYijIjalXck7saUtuanSDyLMxnHhSXEDJqHxD7msR8D0uCmqlkwjCV8xvwHw=="],
|
||||||
|
|
||||||
"fast-levenshtein": ["fast-levenshtein@2.0.6", "", {}, "sha512-DCXu6Ifhqcks7TZKY3Hxp3y6qphY5SJZmrWMDrKcERSOXWQdMhU9Ig/PYrzyw/ul9jOIyh0N4M0tbC5hodg8dw=="],
|
"fast-levenshtein": ["fast-levenshtein@2.0.6", "", {}, "sha512-DCXu6Ifhqcks7TZKY3Hxp3y6qphY5SJZmrWMDrKcERSOXWQdMhU9Ig/PYrzyw/ul9jOIyh0N4M0tbC5hodg8dw=="],
|
||||||
|
|
||||||
|
"fast-safe-stringify": ["fast-safe-stringify@2.1.1", "", {}, "sha512-W+KJc2dmILlPplD/H4K9l9LcAHAfPtP6BY84uVLXQ6Evcz9Lcg33Y2z1IVblT6xdY54PXYVHEv+0Wpq8Io6zkA=="],
|
||||||
|
|
||||||
"fast-uri": ["fast-uri@3.1.2", "", {}, "sha512-rVjf7ArG3LTk+FS6Yw81V1DLuZl1bRbNrev6Tmd/9RaroeeRRJhAt7jg/6YFxbvAQXUCavSoZhPPj6oOx+5KjQ=="],
|
"fast-uri": ["fast-uri@3.1.2", "", {}, "sha512-rVjf7ArG3LTk+FS6Yw81V1DLuZl1bRbNrev6Tmd/9RaroeeRRJhAt7jg/6YFxbvAQXUCavSoZhPPj6oOx+5KjQ=="],
|
||||||
|
|
||||||
"fastest-levenshtein": ["fastest-levenshtein@1.0.16", "", {}, "sha512-eRnCtTTtGZFpQCwhJiUOuxPQWRXVKYDn0b2PeHfXL6/Zi53SLAzAHfVhVWK2AryC/WH05kGfxhFIPvTF0SXQzg=="],
|
"fastest-levenshtein": ["fastest-levenshtein@1.0.16", "", {}, "sha512-eRnCtTTtGZFpQCwhJiUOuxPQWRXVKYDn0b2PeHfXL6/Zi53SLAzAHfVhVWK2AryC/WH05kGfxhFIPvTF0SXQzg=="],
|
||||||
@@ -486,6 +495,8 @@
|
|||||||
|
|
||||||
"hasown": ["hasown@2.0.4", "", { "dependencies": { "function-bind": "^1.1.2" } }, "sha512-T2UbfbBEF32wiepXIsMlTW9+dDYC6wMh/t/vYA4tuOMKqWz/n3vr1NFSxQiyP+zk2mXsoMA/i/7qV6LKut1t1A=="],
|
"hasown": ["hasown@2.0.4", "", { "dependencies": { "function-bind": "^1.1.2" } }, "sha512-T2UbfbBEF32wiepXIsMlTW9+dDYC6wMh/t/vYA4tuOMKqWz/n3vr1NFSxQiyP+zk2mXsoMA/i/7qV6LKut1t1A=="],
|
||||||
|
|
||||||
|
"help-me": ["help-me@5.0.0", "", {}, "sha512-7xgomUX6ADmcYzFik0HzAxh/73YlKR9bmFzf51CZwR+b6YtzU2m0u49hQCqV6SvlqIqsaxovfwdvbnsw3b/zpg=="],
|
||||||
|
|
||||||
"html-escaper": ["html-escaper@3.0.3", "", {}, "sha512-RuMffC89BOWQoY0WKGpIhn5gX3iI54O6nRA0yC124NYVtzjmFWBIiFd8M0x+ZdX0P9R4lADg1mgP8C7PxGOWuQ=="],
|
"html-escaper": ["html-escaper@3.0.3", "", {}, "sha512-RuMffC89BOWQoY0WKGpIhn5gX3iI54O6nRA0yC124NYVtzjmFWBIiFd8M0x+ZdX0P9R4lADg1mgP8C7PxGOWuQ=="],
|
||||||
|
|
||||||
"https-proxy-agent": ["https-proxy-agent@5.0.1", "", { "dependencies": { "agent-base": "6", "debug": "4" } }, "sha512-dFcAjpTQFgoLMzC2VwU+C/CbS7uRL0lWmxDITmqm7C+7F0Odmj6s9l6alZc6AELXhrnggM2CeWSXHGOdX2YtwA=="],
|
"https-proxy-agent": ["https-proxy-agent@5.0.1", "", { "dependencies": { "agent-base": "6", "debug": "4" } }, "sha512-dFcAjpTQFgoLMzC2VwU+C/CbS7uRL0lWmxDITmqm7C+7F0Odmj6s9l6alZc6AELXhrnggM2CeWSXHGOdX2YtwA=="],
|
||||||
@@ -534,6 +545,8 @@
|
|||||||
|
|
||||||
"jest-worker": ["jest-worker@27.5.1", "", { "dependencies": { "@types/node": "*", "merge-stream": "^2.0.0", "supports-color": "^8.0.0" } }, "sha512-7vuh85V5cdDofPyxn58nrPjBktZo0u9x1g8WtjQol+jZDaE+fhN+cIvTj11GndBnMnyfrUOG1sZQxCdjKh+DKg=="],
|
"jest-worker": ["jest-worker@27.5.1", "", { "dependencies": { "@types/node": "*", "merge-stream": "^2.0.0", "supports-color": "^8.0.0" } }, "sha512-7vuh85V5cdDofPyxn58nrPjBktZo0u9x1g8WtjQol+jZDaE+fhN+cIvTj11GndBnMnyfrUOG1sZQxCdjKh+DKg=="],
|
||||||
|
|
||||||
|
"joycon": ["joycon@3.1.1", "", {}, "sha512-34wB/Y7MW7bzjKRjUKTa46I2Z7eV62Rkhva+KkopW7Qvv/OSWBqvkSY7vusOPrNuZcUG3tApvdVgNB8POj3SPw=="],
|
||||||
|
|
||||||
"json-buffer": ["json-buffer@3.0.1", "", {}, "sha512-4bV5BfR2mqfQTJm+V5tPPdf+ZpuhiIvTuAB5g8kcrXOZpTT/QwwVRWBywX1ozr6lEuPdbHxwaJlm9G6mI2sfSQ=="],
|
"json-buffer": ["json-buffer@3.0.1", "", {}, "sha512-4bV5BfR2mqfQTJm+V5tPPdf+ZpuhiIvTuAB5g8kcrXOZpTT/QwwVRWBywX1ozr6lEuPdbHxwaJlm9G6mI2sfSQ=="],
|
||||||
|
|
||||||
"json-schema-traverse": ["json-schema-traverse@0.4.1", "", {}, "sha512-xbbCH5dCYU5T8LcEhhuh7HJ88HXuW3qsI3Y0zOZFKfZEHcpWiHU/Jxzk629Brsab/mMiHQti9wMP+845RPe3Vg=="],
|
"json-schema-traverse": ["json-schema-traverse@0.4.1", "", {}, "sha512-xbbCH5dCYU5T8LcEhhuh7HJ88HXuW3qsI3Y0zOZFKfZEHcpWiHU/Jxzk629Brsab/mMiHQti9wMP+845RPe3Vg=="],
|
||||||
@@ -596,6 +609,8 @@
|
|||||||
|
|
||||||
"minimatch": ["minimatch@10.2.5", "", { "dependencies": { "brace-expansion": "^5.0.5" } }, "sha512-MULkVLfKGYDFYejP07QOurDLLQpcjk7Fw+7jXS2R2czRQzR56yHRveU5NDJEOviH+hETZKSkIk5c+T23GjFUMg=="],
|
"minimatch": ["minimatch@10.2.5", "", { "dependencies": { "brace-expansion": "^5.0.5" } }, "sha512-MULkVLfKGYDFYejP07QOurDLLQpcjk7Fw+7jXS2R2czRQzR56yHRveU5NDJEOviH+hETZKSkIk5c+T23GjFUMg=="],
|
||||||
|
|
||||||
|
"minimist": ["minimist@1.2.8", "", {}, "sha512-2yyAR8qBkN3YuheJanUpWC5U3bb5osDywNB8RzDVlDwDHbocAJveqqj1u8+SVD7jkWT4yvsHCpWqqWqAxb0zCA=="],
|
||||||
|
|
||||||
"minipass": ["minipass@7.1.3", "", {}, "sha512-tEBHqDnIoM/1rXME1zgka9g6Q2lcoCkxHLuc7ODJ5BxbP5d4c2Z5cGgtXAku59200Cx7diuHTOYfSBD8n6mm8A=="],
|
"minipass": ["minipass@7.1.3", "", {}, "sha512-tEBHqDnIoM/1rXME1zgka9g6Q2lcoCkxHLuc7ODJ5BxbP5d4c2Z5cGgtXAku59200Cx7diuHTOYfSBD8n6mm8A=="],
|
||||||
|
|
||||||
"mrmime": ["mrmime@2.0.1", "", {}, "sha512-Y3wQdFg2Va6etvQ5I82yUhGdsKrcYox6p7FfL1LbK2J4V01F9TGlepTIhnK24t7koZibmg82KGglhA1XK5IsLQ=="],
|
"mrmime": ["mrmime@2.0.1", "", {}, "sha512-Y3wQdFg2Va6etvQ5I82yUhGdsKrcYox6p7FfL1LbK2J4V01F9TGlepTIhnK24t7koZibmg82KGglhA1XK5IsLQ=="],
|
||||||
@@ -614,6 +629,8 @@
|
|||||||
|
|
||||||
"on-exit-leak-free": ["on-exit-leak-free@2.1.2", "", {}, "sha512-0eJJY6hXLGf1udHwfNftBqH+g73EU4B504nZeKpz1sYRKafAghwxEJunB2O7rDZkL4PGfsMVnTXZ2EjibbqcsA=="],
|
"on-exit-leak-free": ["on-exit-leak-free@2.1.2", "", {}, "sha512-0eJJY6hXLGf1udHwfNftBqH+g73EU4B504nZeKpz1sYRKafAghwxEJunB2O7rDZkL4PGfsMVnTXZ2EjibbqcsA=="],
|
||||||
|
|
||||||
|
"once": ["once@1.4.0", "", { "dependencies": { "wrappy": "1" } }, "sha512-lNaJgI+2Q5URQBkccEKHTQOPaXdUxnZZElQTZY0MFUAuaEqe1E+Nyvgdz/aIyNi6Z9MzO5dv1H8n58/GELp3+w=="],
|
||||||
|
|
||||||
"opener": ["opener@1.5.2", "", { "bin": { "opener": "bin/opener-bin.js" } }, "sha512-ur5UIdyw5Y7yEj9wLzhqXiy6GZ3Mwx0yGI+5sMn2r0N0v3cKJvUmFH5yPP+WXh9e0xfyzyJX95D8l088DNFj7A=="],
|
"opener": ["opener@1.5.2", "", { "bin": { "opener": "bin/opener-bin.js" } }, "sha512-ur5UIdyw5Y7yEj9wLzhqXiy6GZ3Mwx0yGI+5sMn2r0N0v3cKJvUmFH5yPP+WXh9e0xfyzyJX95D8l088DNFj7A=="],
|
||||||
|
|
||||||
"optionator": ["optionator@0.9.4", "", { "dependencies": { "deep-is": "^0.1.3", "fast-levenshtein": "^2.0.6", "levn": "^0.4.1", "prelude-ls": "^1.2.1", "type-check": "^0.4.0", "word-wrap": "^1.2.5" } }, "sha512-6IpQ7mKUxRcZNLIObR0hz7lxsapSSIYNZJwXPGeF0mTVqGKFIXj1DQcMoT22S3ROcLyY/rz0PWaWZ9ayWmad9g=="],
|
"optionator": ["optionator@0.9.4", "", { "dependencies": { "deep-is": "^0.1.3", "fast-levenshtein": "^2.0.6", "levn": "^0.4.1", "prelude-ls": "^1.2.1", "type-check": "^0.4.0", "word-wrap": "^1.2.5" } }, "sha512-6IpQ7mKUxRcZNLIObR0hz7lxsapSSIYNZJwXPGeF0mTVqGKFIXj1DQcMoT22S3ROcLyY/rz0PWaWZ9ayWmad9g=="],
|
||||||
@@ -660,6 +677,8 @@
|
|||||||
|
|
||||||
"pino-abstract-transport": ["pino-abstract-transport@3.0.0", "", { "dependencies": { "split2": "^4.0.0" } }, "sha512-wlfUczU+n7Hy/Ha5j9a/gZNy7We5+cXp8YL+X+PG8S0KXxw7n/JXA3c46Y0zQznIJ83URJiwy7Lh56WLokNuxg=="],
|
"pino-abstract-transport": ["pino-abstract-transport@3.0.0", "", { "dependencies": { "split2": "^4.0.0" } }, "sha512-wlfUczU+n7Hy/Ha5j9a/gZNy7We5+cXp8YL+X+PG8S0KXxw7n/JXA3c46Y0zQznIJ83URJiwy7Lh56WLokNuxg=="],
|
||||||
|
|
||||||
|
"pino-pretty": ["pino-pretty@13.1.3", "", { "dependencies": { "colorette": "^2.0.7", "dateformat": "^4.6.3", "fast-copy": "^4.0.0", "fast-safe-stringify": "^2.1.1", "help-me": "^5.0.0", "joycon": "^3.1.1", "minimist": "^1.2.6", "on-exit-leak-free": "^2.1.0", "pino-abstract-transport": "^3.0.0", "pump": "^3.0.0", "secure-json-parse": "^4.0.0", "sonic-boom": "^4.0.1", "strip-json-comments": "^5.0.2" }, "bin": { "pino-pretty": "bin.js" } }, "sha512-ttXRkkOz6WWC95KeY9+xxWL6AtImwbyMHrL1mSwqwW9u+vLp/WIElvHvCSDg0xO/Dzrggz1zv3rN5ovTRVowKg=="],
|
||||||
|
|
||||||
"pino-std-serializers": ["pino-std-serializers@7.1.0", "", {}, "sha512-BndPH67/JxGExRgiX1dX0w1FvZck5Wa4aal9198SrRhZjH3GxKQUKIBnYJTdj2HDN3UQAS06HlfcSbQj2OHmaw=="],
|
"pino-std-serializers": ["pino-std-serializers@7.1.0", "", {}, "sha512-BndPH67/JxGExRgiX1dX0w1FvZck5Wa4aal9198SrRhZjH3GxKQUKIBnYJTdj2HDN3UQAS06HlfcSbQj2OHmaw=="],
|
||||||
|
|
||||||
"pkg-dir": ["pkg-dir@4.2.0", "", { "dependencies": { "find-up": "^4.0.0" } }, "sha512-HRDzbaKjC+AOWVXxAU/x54COGeIv9eb+6CkDSQoNTt4XyWoIJvuPsXizxu/Fr23EiekbtZwmh1IcIG/l/a10GQ=="],
|
"pkg-dir": ["pkg-dir@4.2.0", "", { "dependencies": { "find-up": "^4.0.0" } }, "sha512-HRDzbaKjC+AOWVXxAU/x54COGeIv9eb+6CkDSQoNTt4XyWoIJvuPsXizxu/Fr23EiekbtZwmh1IcIG/l/a10GQ=="],
|
||||||
@@ -688,6 +707,8 @@
|
|||||||
|
|
||||||
"prr": ["prr@1.0.1", "", {}, "sha512-yPw4Sng1gWghHQWj0B3ZggWUm4qVbPwPFcRG8KyxiU7J2OHFSoEHKS+EZ3fv5l1t9CyCiop6l/ZYeWbrgoQejw=="],
|
"prr": ["prr@1.0.1", "", {}, "sha512-yPw4Sng1gWghHQWj0B3ZggWUm4qVbPwPFcRG8KyxiU7J2OHFSoEHKS+EZ3fv5l1t9CyCiop6l/ZYeWbrgoQejw=="],
|
||||||
|
|
||||||
|
"pump": ["pump@3.0.4", "", { "dependencies": { "end-of-stream": "^1.1.0", "once": "^1.3.1" } }, "sha512-VS7sjc6KR7e1ukRFhQSY5LM2uBWAUPiOPa/A3mkKmiMwSmRFUITt0xuj+/lesgnCv+dPIEYlkzrcyXgquIHMcA=="],
|
||||||
|
|
||||||
"punycode": ["punycode@2.3.1", "", {}, "sha512-vYt7UD1U9Wg6138shLtLOvdAu+8DsC/ilFtEVHcH+wydcSpNE20AfSOduf6MkRFahL5FY7X1oU7nKVZFtfq8Fg=="],
|
"punycode": ["punycode@2.3.1", "", {}, "sha512-vYt7UD1U9Wg6138shLtLOvdAu+8DsC/ilFtEVHcH+wydcSpNE20AfSOduf6MkRFahL5FY7X1oU7nKVZFtfq8Fg=="],
|
||||||
|
|
||||||
"quick-format-unescaped": ["quick-format-unescaped@4.0.4", "", {}, "sha512-tYC1Q1hgyRuHgloV/YXs2w15unPVh8qfu/qCTfhTYamaw7fyhumKa2yGpdSo87vY32rIclj+4fWYQXUMs9EHvg=="],
|
"quick-format-unescaped": ["quick-format-unescaped@4.0.4", "", {}, "sha512-tYC1Q1hgyRuHgloV/YXs2w15unPVh8qfu/qCTfhTYamaw7fyhumKa2yGpdSo87vY32rIclj+4fWYQXUMs9EHvg=="],
|
||||||
@@ -726,6 +747,8 @@
|
|||||||
|
|
||||||
"schema-utils": ["schema-utils@4.3.3", "", { "dependencies": { "@types/json-schema": "^7.0.9", "ajv": "^8.9.0", "ajv-formats": "^2.1.1", "ajv-keywords": "^5.1.0" } }, "sha512-eflK8wEtyOE6+hsaRVPxvUKYCpRgzLqDTb8krvAsRIwOGlHoSgYLgBXoubGgLd2fT41/OUYdb48v4k4WWHQurA=="],
|
"schema-utils": ["schema-utils@4.3.3", "", { "dependencies": { "@types/json-schema": "^7.0.9", "ajv": "^8.9.0", "ajv-formats": "^2.1.1", "ajv-keywords": "^5.1.0" } }, "sha512-eflK8wEtyOE6+hsaRVPxvUKYCpRgzLqDTb8krvAsRIwOGlHoSgYLgBXoubGgLd2fT41/OUYdb48v4k4WWHQurA=="],
|
||||||
|
|
||||||
|
"secure-json-parse": ["secure-json-parse@4.1.0", "", {}, "sha512-l4KnYfEyqYJxDwlNVyRfO2E4NTHfMKAWdUuA8J0yve2Dz/E/PdBepY03RvyJpssIpRFwJoCD55wA+mEDs6ByWA=="],
|
||||||
|
|
||||||
"semver": ["semver@7.8.2", "", { "bin": { "semver": "bin/semver.js" } }, "sha512-c8jsqUZm3omBOI66G90z1Dyw5z622G8oLG+omfsHBJf3CWQTlOcwOjvOG6wtiNfW6anKm/eA39LMwMtMez2TiQ=="],
|
"semver": ["semver@7.8.2", "", { "bin": { "semver": "bin/semver.js" } }, "sha512-c8jsqUZm3omBOI66G90z1Dyw5z622G8oLG+omfsHBJf3CWQTlOcwOjvOG6wtiNfW6anKm/eA39LMwMtMez2TiQ=="],
|
||||||
|
|
||||||
"set-function-length": ["set-function-length@1.2.2", "", { "dependencies": { "define-data-property": "^1.1.4", "es-errors": "^1.3.0", "function-bind": "^1.1.2", "get-intrinsic": "^1.2.4", "gopd": "^1.0.1", "has-property-descriptors": "^1.0.2" } }, "sha512-pgRc4hJ4/sNjWCSS9AmnS40x3bNMDTknHgL5UaMBTMyJnU90EgWh1Rz+MC9eFu4BuN/UwZjKQuY/1v3rM7HMfg=="],
|
"set-function-length": ["set-function-length@1.2.2", "", { "dependencies": { "define-data-property": "^1.1.4", "es-errors": "^1.3.0", "function-bind": "^1.1.2", "get-intrinsic": "^1.2.4", "gopd": "^1.0.1", "has-property-descriptors": "^1.0.2" } }, "sha512-pgRc4hJ4/sNjWCSS9AmnS40x3bNMDTknHgL5UaMBTMyJnU90EgWh1Rz+MC9eFu4BuN/UwZjKQuY/1v3rM7HMfg=="],
|
||||||
@@ -774,6 +797,8 @@
|
|||||||
|
|
||||||
"strip-ansi-cjs": ["strip-ansi@6.0.1", "", { "dependencies": { "ansi-regex": "^5.0.1" } }, "sha512-Y38VPSHcqkFrCpFnQ9vuSXmquuv5oXOKpGeT6aGrr3o3Gc9AlVa6JBfUSOCnbxGGZF+/0ooI7KrPuUSztUdU5A=="],
|
"strip-ansi-cjs": ["strip-ansi@6.0.1", "", { "dependencies": { "ansi-regex": "^5.0.1" } }, "sha512-Y38VPSHcqkFrCpFnQ9vuSXmquuv5oXOKpGeT6aGrr3o3Gc9AlVa6JBfUSOCnbxGGZF+/0ooI7KrPuUSztUdU5A=="],
|
||||||
|
|
||||||
|
"strip-json-comments": ["strip-json-comments@5.0.3", "", {}, "sha512-1tB5mhVo7U+ETBKNf92xT4hrQa3pm0MZ0PQvuDnWgAAGHDsfp4lPSpiS6psrSiet87wyGPh9ft6wmhOMQ0hDiw=="],
|
||||||
|
|
||||||
"supports-color": ["supports-color@7.2.0", "", { "dependencies": { "has-flag": "^4.0.0" } }, "sha512-qpCAvRl9stuOHveKsn7HncJRvv501qIacKzQlO/+Lwxc9+0q2wLyv4Dfvt80/DPn2pqOBsJdDiogXGR9+OvwRw=="],
|
"supports-color": ["supports-color@7.2.0", "", { "dependencies": { "has-flag": "^4.0.0" } }, "sha512-qpCAvRl9stuOHveKsn7HncJRvv501qIacKzQlO/+Lwxc9+0q2wLyv4Dfvt80/DPn2pqOBsJdDiogXGR9+OvwRw=="],
|
||||||
|
|
||||||
"supports-preserve-symlinks-flag": ["supports-preserve-symlinks-flag@1.0.0", "", {}, "sha512-ot0WnXS9fgdkgIcePe6RHNk1WA8+muPa6cSjeR3V8K27q9BB1rTE3R1p7Hv0z1ZyAc8s6Vvv8DIyWf681MAt0w=="],
|
"supports-preserve-symlinks-flag": ["supports-preserve-symlinks-flag@1.0.0", "", {}, "sha512-ot0WnXS9fgdkgIcePe6RHNk1WA8+muPa6cSjeR3V8K27q9BB1rTE3R1p7Hv0z1ZyAc8s6Vvv8DIyWf681MAt0w=="],
|
||||||
@@ -854,6 +879,8 @@
|
|||||||
|
|
||||||
"wrap-ansi-cjs": ["wrap-ansi@7.0.0", "", { "dependencies": { "ansi-styles": "^4.0.0", "string-width": "^4.1.0", "strip-ansi": "^6.0.0" } }, "sha512-YVGIj2kamLSTxw6NsZjoBxfSwsn0ycdesmc4p+Q21c5zPuZ1pl+NfxVdxPtdHvmNVOQ6XSYG4AUtyt/Fi7D16Q=="],
|
"wrap-ansi-cjs": ["wrap-ansi@7.0.0", "", { "dependencies": { "ansi-styles": "^4.0.0", "string-width": "^4.1.0", "strip-ansi": "^6.0.0" } }, "sha512-YVGIj2kamLSTxw6NsZjoBxfSwsn0ycdesmc4p+Q21c5zPuZ1pl+NfxVdxPtdHvmNVOQ6XSYG4AUtyt/Fi7D16Q=="],
|
||||||
|
|
||||||
|
"wrappy": ["wrappy@1.0.2", "", {}, "sha512-l4Sp/DRseor9wL6EvV2+TuQn63dMkPjZ/sp9XkghTEbV9KlPS1xUsZ3u7/IQO4wxtcFB4bgpQPRcR3QCvezPcQ=="],
|
||||||
|
|
||||||
"ws": ["ws@7.5.11", "", { "peerDependencies": { "bufferutil": "^4.0.1", "utf-8-validate": "^5.0.2" }, "optionalPeers": ["bufferutil", "utf-8-validate"] }, "sha512-zS54Oen9bITtp7kp2XM3AydrCIq1D+HwJOuH+c+e4LfpL/lotP5osijd+UoMnxwAam1GN8R4KtLAyIrIcBNpiA=="],
|
"ws": ["ws@7.5.11", "", { "peerDependencies": { "bufferutil": "^4.0.1", "utf-8-validate": "^5.0.2" }, "optionalPeers": ["bufferutil", "utf-8-validate"] }, "sha512-zS54Oen9bITtp7kp2XM3AydrCIq1D+HwJOuH+c+e4LfpL/lotP5osijd+UoMnxwAam1GN8R4KtLAyIrIcBNpiA=="],
|
||||||
|
|
||||||
"xtend": ["xtend@4.0.2", "", {}, "sha512-LKYU1iAXJXUgAXn9URjiu+MWhyUXHsvfp7mcuYm9dSUKK0/CjtrUwFAxD82/mCWbtLsGjFIad0wIsod4zrTAEQ=="],
|
"xtend": ["xtend@4.0.2", "", {}, "sha512-LKYU1iAXJXUgAXn9URjiu+MWhyUXHsvfp7mcuYm9dSUKK0/CjtrUwFAxD82/mCWbtLsGjFIad0wIsod4zrTAEQ=="],
|
||||||
|
|||||||
@@ -20,21 +20,11 @@ import {
|
|||||||
Entity,
|
Entity,
|
||||||
PrimaryColumn,
|
PrimaryColumn,
|
||||||
Column,
|
Column,
|
||||||
Index,
|
|
||||||
CreateDateColumn,
|
CreateDateColumn,
|
||||||
UpdateDateColumn,
|
UpdateDateColumn,
|
||||||
} from "typeorm";
|
} from "typeorm";
|
||||||
|
|
||||||
/** K 线周期枚举 */
|
import type { KlineInterval } from '../../types';
|
||||||
export type KlineInterval =
|
|
||||||
| "1m"
|
|
||||||
| "5m"
|
|
||||||
| "15m"
|
|
||||||
| "30m"
|
|
||||||
| "1h"
|
|
||||||
| "4h"
|
|
||||||
| "1d"
|
|
||||||
| "1w";
|
|
||||||
|
|
||||||
/**
|
/**
|
||||||
* 1 分钟 K 线 Hypertable
|
* 1 分钟 K 线 Hypertable
|
||||||
@@ -56,26 +46,34 @@ export type KlineInterval =
|
|||||||
},
|
},
|
||||||
},
|
},
|
||||||
})
|
})
|
||||||
@Index(["exchange", "symbol", "interval", "time"], { unique: true })
|
|
||||||
@Entity("klines")
|
@Entity("klines")
|
||||||
export class Kline {
|
export class Kline {
|
||||||
|
/**
|
||||||
|
* 复合主键：交易所 + 交易对 + 周期 + 时间
|
||||||
|
*
|
||||||
|
* 设计原因：
|
||||||
|
* - 不同 symbol 在同一时刻有各自的 K 线，单列 time PK 会导致跨 symbol 冲突
|
||||||
|
* - 四列复合主键 = 业务唯一性语义，同时满足 TimescaleDB hypertable 要求
|
||||||
|
* （分区列 time 必须包含在主键中）
|
||||||
|
* - 不再需要额外的 @Index unique — 复合主键已保证唯一性
|
||||||
|
*/
|
||||||
|
/** 交易所标识（binance / okx / bybit） */
|
||||||
|
@PrimaryColumn("text")
|
||||||
|
exchange!: string;
|
||||||
|
|
||||||
|
/** 交易对符号（如 BTCUSDT） */
|
||||||
|
@PrimaryColumn("text")
|
||||||
|
symbol!: string;
|
||||||
|
|
||||||
|
/** K 线周期（1m） */
|
||||||
|
@PrimaryColumn("text")
|
||||||
|
interval!: KlineInterval;
|
||||||
|
|
||||||
/** K 线开盘时间（UTC）— @timescaledb/typeorm 自动标记为时间分区列 */
|
/** K 线开盘时间（UTC）— @timescaledb/typeorm 自动标记为时间分区列 */
|
||||||
@TimeColumn()
|
@TimeColumn()
|
||||||
@PrimaryColumn("timestamptz")
|
@PrimaryColumn("timestamptz")
|
||||||
time!: Date;
|
time!: Date;
|
||||||
|
|
||||||
/** 交易所标识（binance / okx / bybit） */
|
|
||||||
@Column("text")
|
|
||||||
exchange!: string;
|
|
||||||
|
|
||||||
/** 交易对符号（如 BTCUSDT） */
|
|
||||||
@Column("text")
|
|
||||||
symbol!: string;
|
|
||||||
|
|
||||||
/** K 线周期（1m） */
|
|
||||||
@Column("text")
|
|
||||||
interval!: KlineInterval;
|
|
||||||
|
|
||||||
// ============================================================
|
// ============================================================
|
||||||
// OHLCV 价格数据（NUMERIC(20,8) 精度，与交易所对齐）
|
// OHLCV 价格数据（NUMERIC(20,8) 精度，与交易所对齐）
|
||||||
// ============================================================
|
// ============================================================
|
||||||
|
|||||||
@@ -22,6 +22,8 @@ import {
|
|||||||
import { Exchange } from "./exchange.entity";
|
import { Exchange } from "./exchange.entity";
|
||||||
import { CommonBaseEntity } from "./common.entity";
|
import { CommonBaseEntity } from "./common.entity";
|
||||||
|
|
||||||
|
import type { KlineInterval } from '../../types';
|
||||||
|
|
||||||
@Entity("trading_pairs")
|
@Entity("trading_pairs")
|
||||||
@Index(["exchange", "symbol"], { unique: true }) // 同一交易所下 symbol 唯一
|
@Index(["exchange", "symbol"], { unique: true }) // 同一交易所下 symbol 唯一
|
||||||
@Index(["active"]) // 按激活状态快速筛选
|
@Index(["active"]) // 按激活状态快速筛选
|
||||||
@@ -71,6 +73,10 @@ export class TradingPair extends CommonBaseEntity {
|
|||||||
@Column("boolean", { default: true })
|
@Column("boolean", { default: true })
|
||||||
kline_synthesis_enabled!: boolean;
|
kline_synthesis_enabled!: boolean;
|
||||||
|
|
||||||
|
/** K 线时间周期 */
|
||||||
|
@Column("varchar", { length: 100, default: "1m" })
|
||||||
|
kline_interval!: KlineInterval;
|
||||||
|
|
||||||
/** K 线合成周期列表（逗号分隔，如 "1m,5m,15m,1h,4h,1d"） */
|
/** K 线合成周期列表（逗号分隔，如 "1m,5m,15m,1h,4h,1d"） */
|
||||||
@Column("varchar", { length: 100, default: "1m,5m,15m,1h,4h,1d" })
|
@Column("varchar", { length: 100, default: "1m,5m,15m,1h,4h,1d" })
|
||||||
kline_intervals!: string;
|
kline_intervals!: string;
|
||||||
|
|||||||
@@ -0,0 +1,77 @@
|
|||||||
|
import { logger } from "../utils/logger";
|
||||||
|
import { AppDataSource } from "../db/data-source";
|
||||||
|
import { Exchange } from "../db/entities/exchange.entity";
|
||||||
|
import { TradingPair } from "../db/entities/trading-pair.entity";
|
||||||
|
|
||||||
|
interface PairSeed {
|
||||||
|
symbol: string;
|
||||||
|
baseAsset: string;
|
||||||
|
quoteAsset: string;
|
||||||
|
}
|
||||||
|
|
||||||
|
const PAIRS: PairSeed[] = [
|
||||||
|
{ symbol: "BTCUSDT", baseAsset: "BTC", quoteAsset: "USDT" },
|
||||||
|
{ symbol: "ETHUSDT", baseAsset: "ETH", quoteAsset: "USDT" },
|
||||||
|
];
|
||||||
|
|
||||||
|
async function run(): Promise<void> {
|
||||||
|
logger.info("Seeding trading pairs...");
|
||||||
|
|
||||||
|
const exchangeRepo = AppDataSource.getRepository(Exchange);
|
||||||
|
const pairRepo = AppDataSource.getRepository(TradingPair);
|
||||||
|
|
||||||
|
// 1. 确保 binance 交易所存在
|
||||||
|
let exchange = await exchangeRepo.findOne({ where: { name: "binance" } });
|
||||||
|
if (!exchange) {
|
||||||
|
exchange = exchangeRepo.create({
|
||||||
|
name: "binance",
|
||||||
|
label: "Binance",
|
||||||
|
enabled: true,
|
||||||
|
});
|
||||||
|
await exchangeRepo.save(exchange);
|
||||||
|
logger.info("Created exchange: binance");
|
||||||
|
} else {
|
||||||
|
logger.info("Exchange already exists: binance");
|
||||||
|
}
|
||||||
|
|
||||||
|
// 2. 逐个插入交易对（跳过已存在的）
|
||||||
|
let created = 0;
|
||||||
|
let skipped = 0;
|
||||||
|
|
||||||
|
for (const seed of PAIRS) {
|
||||||
|
const existing = await pairRepo.findOne({
|
||||||
|
where: {
|
||||||
|
exchange: { id: exchange.id },
|
||||||
|
symbol: seed.symbol,
|
||||||
|
},
|
||||||
|
});
|
||||||
|
|
||||||
|
if (existing) {
|
||||||
|
logger.info({ symbol: seed.symbol }, "Trading pair already exists, skipping");
|
||||||
|
skipped++;
|
||||||
|
continue;
|
||||||
|
}
|
||||||
|
|
||||||
|
const pair = pairRepo.create({
|
||||||
|
exchange,
|
||||||
|
symbol: seed.symbol,
|
||||||
|
base_asset: seed.baseAsset,
|
||||||
|
quote_asset: seed.quoteAsset,
|
||||||
|
active: true,
|
||||||
|
kline_synthesis_enabled: true,
|
||||||
|
});
|
||||||
|
|
||||||
|
await pairRepo.save(pair);
|
||||||
|
created++;
|
||||||
|
logger.info({ symbol: seed.symbol, id: pair.id }, "Created trading pair");
|
||||||
|
}
|
||||||
|
|
||||||
|
logger.info({ created, skipped, total: PAIRS.length }, "Seeding complete");
|
||||||
|
await AppDataSource.destroy();
|
||||||
|
process.exit(0);
|
||||||
|
}
|
||||||
|
|
||||||
|
run().catch((err) => {
|
||||||
|
logger.error({ err }, "Seeding failed");
|
||||||
|
process.exit(1);
|
||||||
|
});
|
||||||
@@ -1,186 +0,0 @@
|
|||||||
// ============================================================
|
|
||||||
// base.ts — 交易所适配器抽象基类
|
|
||||||
// ============================================================
|
|
||||||
// 所有交易所适配器（Binance / OKX / Bybit ...）继承此类，
|
|
||||||
// 复用指数退避重连、连接状态管理、限流等通用逻辑。
|
|
||||||
//
|
|
||||||
// 子类只需实现：
|
|
||||||
// - connect() — 建立 WebSocket/REST 连接
|
|
||||||
// - disconnect() — 断开连接并清理资源
|
|
||||||
// - subscribeTicker() / subscribeTrade() / subscribeOrderbook()
|
|
||||||
// - fetchKlines() — REST 历史 K 线补拉
|
|
||||||
// - fetchMarkets() — 交易对元数据拉取
|
|
||||||
// ============================================================
|
|
||||||
|
|
||||||
import { Subject, type Observable } from "rxjs";
|
|
||||||
import { logger } from "../utils/logger";
|
|
||||||
import type {
|
|
||||||
MarketDataFeed,
|
|
||||||
Ticker,
|
|
||||||
Trade,
|
|
||||||
OrderBook,
|
|
||||||
Kline,
|
|
||||||
KlineInterval,
|
|
||||||
MarketInfo,
|
|
||||||
ConnectionState,
|
|
||||||
AdapterConfig,
|
|
||||||
} from "./types";
|
|
||||||
import { DEFAULT_ADAPTER_CONFIG } from "./types";
|
|
||||||
|
|
||||||
// ============================================================
|
|
||||||
// 工具：异步 sleep
|
|
||||||
// ============================================================
|
|
||||||
|
|
||||||
/** 返回一个在 ms 毫秒后 resolve 的 Promise */
|
|
||||||
function sleep(ms: number): Promise<void> {
|
|
||||||
return new Promise((resolve) => setTimeout(resolve, ms));
|
|
||||||
}
|
|
||||||
|
|
||||||
// ============================================================
|
|
||||||
// BaseExchangeAdapter
|
|
||||||
// ============================================================
|
|
||||||
|
|
||||||
export abstract class BaseExchangeAdapter implements MarketDataFeed {
|
|
||||||
/** 交易所标识（子类必须覆盖） */
|
|
||||||
abstract readonly exchange: string;
|
|
||||||
|
|
||||||
/** 适配器配置（可在子类构造函数中覆盖默认值） */
|
|
||||||
protected readonly config: AdapterConfig;
|
|
||||||
|
|
||||||
/** 当前连接状态 */
|
|
||||||
protected _connectionState: ConnectionState = "disconnected";
|
|
||||||
|
|
||||||
/** 当前重连尝试次数（成功连接后重置） */
|
|
||||||
protected reconnectAttempt = 0;
|
|
||||||
|
|
||||||
/** Subject 清理注册表 —— disconnect 时统一 complete */
|
|
||||||
protected activeSubjects = new Set<Subject<unknown>>();
|
|
||||||
|
|
||||||
// ============================================================
|
|
||||||
// 构造函数
|
|
||||||
// ============================================================
|
|
||||||
|
|
||||||
constructor(config: Partial<AdapterConfig> = {}) {
|
|
||||||
this.config = { ...DEFAULT_ADAPTER_CONFIG, ...config };
|
|
||||||
}
|
|
||||||
|
|
||||||
// ============================================================
|
|
||||||
// 连接状态（只读暴露）
|
|
||||||
// ============================================================
|
|
||||||
|
|
||||||
get connectionState(): ConnectionState {
|
|
||||||
return this._connectionState;
|
|
||||||
}
|
|
||||||
|
|
||||||
/** 更新连接状态并记录日志 */
|
|
||||||
protected setConnectionState(state: ConnectionState): void {
|
|
||||||
const prev = this._connectionState;
|
|
||||||
this._connectionState = state;
|
|
||||||
if (prev !== state) {
|
|
||||||
logger.info(
|
|
||||||
{ exchange: this.exchange, from: prev, to: state },
|
|
||||||
`[${this.exchange}] connection state: ${prev} → ${state}`,
|
|
||||||
);
|
|
||||||
}
|
|
||||||
}
|
|
||||||
|
|
||||||
// ============================================================
|
|
||||||
// 指数退避重连（所有子类复用）
|
|
||||||
// ============================================================
|
|
||||||
|
|
||||||
/**
|
|
||||||
* 执行指数退避重连。
|
|
||||||
*
|
|
||||||
* 延迟公式：delay = baseDelay × 2^min(attempt, 5)
|
|
||||||
* - attempt=0: 3s
|
|
||||||
* - attempt=1: 6s
|
|
||||||
* - attempt=2: 12s
|
|
||||||
* - attempt=5: 96s（之后不再翻倍）
|
|
||||||
*
|
|
||||||
* 超过 maxReconnectAttempts 后抛出错误。
|
|
||||||
*
|
|
||||||
* @throws 达到最大重试次数后抛出
|
|
||||||
*/
|
|
||||||
protected async reconnect(): Promise<void> {
|
|
||||||
const { reconnectBaseDelayMs: baseDelay, maxReconnectAttempts } = this.config;
|
|
||||||
|
|
||||||
if (this.reconnectAttempt >= maxReconnectAttempts) {
|
|
||||||
this.setConnectionState("error");
|
|
||||||
throw new Error(
|
|
||||||
`[${this.exchange}] 重连失败：已达最大重试次数 (${maxReconnectAttempts})`,
|
|
||||||
);
|
|
||||||
}
|
|
||||||
|
|
||||||
const cappedAttempt = Math.min(this.reconnectAttempt, 5);
|
|
||||||
const delay = baseDelay * Math.pow(2, cappedAttempt);
|
|
||||||
|
|
||||||
logger.warn(
|
|
||||||
{
|
|
||||||
exchange: this.exchange,
|
|
||||||
attempt: this.reconnectAttempt + 1,
|
|
||||||
maxAttempts: maxReconnectAttempts,
|
|
||||||
delayMs: delay,
|
|
||||||
},
|
|
||||||
`[${this.exchange}] WebSocket 重连中...`,
|
|
||||||
);
|
|
||||||
|
|
||||||
await sleep(delay);
|
|
||||||
|
|
||||||
this.reconnectAttempt++;
|
|
||||||
this.setConnectionState("connecting");
|
|
||||||
await this.connect();
|
|
||||||
}
|
|
||||||
|
|
||||||
/** 成功连接后重置重连计数器 */
|
|
||||||
protected resetReconnectAttempts(): void {
|
|
||||||
if (this.reconnectAttempt > 0) {
|
|
||||||
logger.info(
|
|
||||||
{ exchange: this.exchange, attempts: this.reconnectAttempt },
|
|
||||||
`[${this.exchange}] 重连成功，计数器重置`,
|
|
||||||
);
|
|
||||||
}
|
|
||||||
this.reconnectAttempt = 0;
|
|
||||||
}
|
|
||||||
|
|
||||||
// ============================================================
|
|
||||||
// Subject 管理工具
|
|
||||||
// ============================================================
|
|
||||||
|
|
||||||
/**
|
|
||||||
* 创建一个受管理的 Subject，disconnect 时自动 complete。
|
|
||||||
* 子类在 subscribe* 方法中使用此工具创建 Subject。
|
|
||||||
*/
|
|
||||||
protected createManagedSubject<T>(): Subject<T> {
|
|
||||||
const subject = new Subject<T>();
|
|
||||||
this.activeSubjects.add(subject as Subject<unknown>);
|
|
||||||
return subject;
|
|
||||||
}
|
|
||||||
|
|
||||||
/** 完成所有受管理的 Subject（disconnect 时调用） */
|
|
||||||
protected completeAllSubjects(): void {
|
|
||||||
for (const subject of this.activeSubjects) {
|
|
||||||
subject.complete();
|
|
||||||
}
|
|
||||||
this.activeSubjects.clear();
|
|
||||||
}
|
|
||||||
|
|
||||||
// ============================================================
|
|
||||||
// 抽象方法 —— 子类必须实现
|
|
||||||
// ============================================================
|
|
||||||
|
|
||||||
abstract connect(): Promise<void>;
|
|
||||||
abstract disconnect(): Promise<void>;
|
|
||||||
abstract subscribeTicker(symbols: string[]): Observable<Ticker>;
|
|
||||||
abstract subscribeTrade(symbols: string[]): Observable<Trade>;
|
|
||||||
abstract subscribeOrderbook(symbol: string, depth?: number): Observable<OrderBook>;
|
|
||||||
abstract fetchKlines(
|
|
||||||
symbol: string,
|
|
||||||
interval: KlineInterval,
|
|
||||||
startTime: number,
|
|
||||||
endTime: number,
|
|
||||||
limit?: number,
|
|
||||||
): Promise<Kline[]>;
|
|
||||||
abstract fetchMarkets(): Promise<MarketInfo[]>;
|
|
||||||
}
|
|
||||||
|
|
||||||
export default BaseExchangeAdapter;
|
|
||||||
@@ -0,0 +1,109 @@
|
|||||||
|
// ============================================================
|
||||||
|
// base.ts — REST 客户端抽象基类
|
||||||
|
// ============================================================
|
||||||
|
// 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。
|
||||||
|
// 子类通过注入各交易所原生 SDK（binance / okx / bybit ...）
|
||||||
|
// 实现具体的数据拉取，无需依赖 ccxt。
|
||||||
|
//
|
||||||
|
// 子类只需实现：
|
||||||
|
// - fetchKlines() — 历史 K 线拉取（基于目标交易所 SDK）
|
||||||
|
// - fetchMarkets() — 交易对元数据拉取（用于自动注册交易对）
|
||||||
|
//
|
||||||
|
// WebSocket 实时行情由各适配器自行管理，不在此基类范围内。
|
||||||
|
// ============================================================
|
||||||
|
|
||||||
|
import { logger } from "../utils/logger";
|
||||||
|
import type { Kline, KlineInterval, MarketInfo, RestClientConfig } from "../types";
|
||||||
|
import { DEFAULT_REST_CONFIG } from "../types/base";
|
||||||
|
|
||||||
|
// ============================================================
|
||||||
|
// 工具：异步 sleep
|
||||||
|
// ============================================================
|
||||||
|
|
||||||
|
/** 返回一个在 ms 毫秒后 resolve 的 Promise */
|
||||||
|
function sleep(ms: number): Promise<void> {
|
||||||
|
return new Promise((resolve) => setTimeout(resolve, ms));
|
||||||
|
}
|
||||||
|
|
||||||
|
// ============================================================
|
||||||
|
// BaseRestClient
|
||||||
|
// ============================================================
|
||||||
|
|
||||||
|
export abstract class BaseRestClient {
|
||||||
|
/** 交易所标识（子类必须覆盖） */
|
||||||
|
abstract readonly exchange: string;
|
||||||
|
|
||||||
|
/** REST 客户端配置（可在子类构造函数中覆盖默认值） */
|
||||||
|
protected readonly config: RestClientConfig;
|
||||||
|
|
||||||
|
/** REST 请求节流 Map（key → 上次请求时间戳） */
|
||||||
|
private lastRestFetch = new Map<string, number>();
|
||||||
|
|
||||||
|
// ============================================================
|
||||||
|
// 构造函数
|
||||||
|
// ============================================================
|
||||||
|
|
||||||
|
constructor(config: Partial<RestClientConfig> = {}) {
|
||||||
|
this.config = { ...DEFAULT_REST_CONFIG, ...config };
|
||||||
|
}
|
||||||
|
|
||||||
|
// ============================================================
|
||||||
|
// 限流工具
|
||||||
|
// ============================================================
|
||||||
|
|
||||||
|
/**
|
||||||
|
* 对同一 key 的 REST 请求进行冷却节流。
|
||||||
|
* 若距离上次请求不足 restRateLimitMs，自动等待剩余时间。
|
||||||
|
*
|
||||||
|
* @param key - 节流标识（如 `${symbol}:${interval}`）
|
||||||
|
*/
|
||||||
|
protected async throttle(key: string): Promise<void> {
|
||||||
|
const lastFetch = this.lastRestFetch.get(key) ?? 0;
|
||||||
|
const elapsed = Date.now() - lastFetch;
|
||||||
|
if (elapsed < this.config.restRateLimitMs) {
|
||||||
|
const waitMs = this.config.restRateLimitMs - elapsed;
|
||||||
|
logger.debug(
|
||||||
|
{ exchange: this.exchange, key, waitMs },
|
||||||
|
`[${this.exchange}] REST 限流等待 ${waitMs}ms`,
|
||||||
|
);
|
||||||
|
await sleep(waitMs);
|
||||||
|
}
|
||||||
|
this.lastRestFetch.set(key, Date.now());
|
||||||
|
}
|
||||||
|
|
||||||
|
// ============================================================
|
||||||
|
// 抽象方法 —— 子类必须使用各自的交易所 SDK 实现
|
||||||
|
// ============================================================
|
||||||
|
|
||||||
|
/**
|
||||||
|
* 拉取历史 K 线数据（REST）。
|
||||||
|
*
|
||||||
|
* 子类负责：
|
||||||
|
* 1. 调用交易所原生 SDK 的 K 线接口
|
||||||
|
* 2. 将原始数据转换为本系统标准化 Kline 结构
|
||||||
|
* 3. 处理分页逻辑（若时间跨度超过单次请求上限）
|
||||||
|
*
|
||||||
|
* @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）
|
||||||
|
* @param limit - 单次最大条数（默认取自 config.defaultLimit）
|
||||||
|
*/
|
||||||
|
abstract fetchKlines(
|
||||||
|
symbol: string,
|
||||||
|
interval: KlineInterval,
|
||||||
|
startTime: number,
|
||||||
|
endTime: number,
|
||||||
|
limit?: number,
|
||||||
|
): Promise<Kline[]>;
|
||||||
|
|
||||||
|
/**
|
||||||
|
* 获取交易所交易对信息（REST）。
|
||||||
|
*
|
||||||
|
* 子类负责调用交易所原生 SDK 的 /exchangeInfo 等价接口，
|
||||||
|
* 并转换为本系统标准化 MarketInfo 结构。
|
||||||
|
*/
|
||||||
|
abstract fetchMarkets(): Promise<MarketInfo[]>;
|
||||||
|
}
|
||||||
|
|
||||||
|
export default BaseRestClient;
|
||||||
@@ -1,782 +0,0 @@
|
|||||||
// ============================================================
|
|
||||||
// binance.ts — Binance 交易所适配器
|
|
||||||
// ============================================================
|
|
||||||
// 基于 Binance 官方 SDK（binance@3.x）实现 MarketDataFeed 接口。
|
|
||||||
//
|
|
||||||
// WebSocket：使用 SDK 内置 WebsocketClient，自动处理多路复用、
|
|
||||||
// 断线重连、心跳保活。通过 formattedMessage 事件接收已解析的
|
|
||||||
// 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。
|
|
||||||
//
|
|
||||||
// REST：使用 SDK 内置 MainClient（Spot），用于：
|
|
||||||
// - fetchKlines() 历史 K 线补拉
|
|
||||||
// - fetchMarkets() 交易对元数据（用于自动注册到 trading_pairs 表）
|
|
||||||
//
|
|
||||||
// ============================================================
|
|
||||||
// 风险提示：
|
|
||||||
// - Binance WebSocket 单连接最多订阅 1024 个 stream，
|
|
||||||
// 超出需拆分多连接（SDK 自动处理）
|
|
||||||
// - 生产环境建议使用 Binance 的 combined streams 合并请求
|
|
||||||
// - REST API 限频：1200 请求/分钟（权重制），fetchKlines 权重 2
|
|
||||||
// ============================================================
|
|
||||||
|
|
||||||
import { Subject, type Observable } from "rxjs";
|
|
||||||
import {
|
|
||||||
WebsocketClient,
|
|
||||||
MainClient,
|
|
||||||
type WsMessageKlineFormatted,
|
|
||||||
type WsMessageTradeFormatted,
|
|
||||||
type WsMessage24hrTickerFormatted,
|
|
||||||
type WsMessageBookTickerEventFormatted,
|
|
||||||
type WsMessagePartialBookDepthEventFormatted,
|
|
||||||
type WsFormattedMessage,
|
|
||||||
} from "binance";
|
|
||||||
import type { Kline as BinanceRestKline } from "binance";
|
|
||||||
import { BaseExchangeAdapter } from "./base";
|
|
||||||
import { logger } from "../utils/logger";
|
|
||||||
import type {
|
|
||||||
Ticker,
|
|
||||||
Trade,
|
|
||||||
OrderBook,
|
|
||||||
Kline,
|
|
||||||
KlineInterval,
|
|
||||||
MarketInfo,
|
|
||||||
AdapterConfig,
|
|
||||||
BinanceRawKline,
|
|
||||||
} from "./types";
|
|
||||||
import { KLINE_INTERVAL_MS } from "./types";
|
|
||||||
|
|
||||||
// ============================================================
|
|
||||||
// Binance K 线周期 ← → 本系统 K 线周期映射
|
|
||||||
// ============================================================
|
|
||||||
|
|
||||||
/**
|
|
||||||
* Binance SDK 支持的 K 线周期（比本系统更多）。
|
|
||||||
* 本系统仅使用其中的子集，其余周期由 pipeline 合成。
|
|
||||||
*/
|
|
||||||
type BinanceKlineInterval =
|
|
||||||
| "1m"
|
|
||||||
| "5m"
|
|
||||||
| "15m"
|
|
||||||
| "30m"
|
|
||||||
| "1h"
|
|
||||||
| "4h"
|
|
||||||
| "1d"
|
|
||||||
| "1w";
|
|
||||||
|
|
||||||
/** 本系统 KlineInterval → Binance SDK KlineInterval（1:1 子集映射） */
|
|
||||||
const INTERVAL_TO_BINANCE: Record<KlineInterval, BinanceKlineInterval> = {
|
|
||||||
"1m": "1m",
|
|
||||||
"5m": "5m",
|
|
||||||
"15m": "15m",
|
|
||||||
"30m": "30m",
|
|
||||||
"1h": "1h",
|
|
||||||
"4h": "4h",
|
|
||||||
"1d": "1d",
|
|
||||||
"1w": "1w",
|
|
||||||
};
|
|
||||||
|
|
||||||
// ============================================================
|
|
||||||
// 默认适配器配置（Binance 专用覆盖）
|
|
||||||
// ============================================================
|
|
||||||
|
|
||||||
const DEFAULT_BINANCE_CONFIG: AdapterConfig = {
|
|
||||||
reconnectBaseDelayMs: 3000,
|
|
||||||
maxReconnectAttempts: 10,
|
|
||||||
/** Binance REST API 权重制限频，保守设为 250ms */
|
|
||||||
restRateLimitMs: 250,
|
|
||||||
};
|
|
||||||
|
|
||||||
// ============================================================
|
|
||||||
// BinanceAdapter
|
|
||||||
// ============================================================
|
|
||||||
|
|
||||||
export class BinanceAdapter extends BaseExchangeAdapter {
|
|
||||||
readonly exchange = "binance";
|
|
||||||
|
|
||||||
// ----------------------------------------------------------
|
|
||||||
// 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;
|
|
||||||
|
|
||||||
// ----------------------------------------------------------
|
|
||||||
// RxJS Subject —— 按事件类型分频道发布
|
|
||||||
// ----------------------------------------------------------
|
|
||||||
|
|
||||||
/** 24h Ticker 流（合并所有已订阅 symbol） */
|
|
||||||
private tickerSubject!: Subject<Ticker>;
|
|
||||||
|
|
||||||
/** 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>>();
|
|
||||||
|
|
||||||
// ----------------------------------------------------------
|
|
||||||
// 订阅追踪
|
|
||||||
// ----------------------------------------------------------
|
|
||||||
|
|
||||||
/** 当前已订阅的 ticker symbol 集合 */
|
|
||||||
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 [];
|
||||||
|
}
|
||||||
|
}
|
||||||
+6
-4
@@ -4,13 +4,14 @@
|
|||||||
"description": "数字货币量化交易系统 - TypeScript 数据模块",
|
"description": "数字货币量化交易系统 - TypeScript 数据模块",
|
||||||
"type": "module",
|
"type": "module",
|
||||||
"scripts": {
|
"scripts": {
|
||||||
"dev": "tsx watch src/index.ts",
|
"dev": "bun run run/main.ts",
|
||||||
|
"dev:watch": "bun --watch run/main.ts",
|
||||||
"build": "tsc",
|
"build": "tsc",
|
||||||
"start": "node dist/index.js",
|
"start": "bun run run/main.ts",
|
||||||
"test": "vitest run",
|
"test": "vitest run",
|
||||||
"test:watch": "vitest",
|
"test:watch": "vitest",
|
||||||
"lint": "eslint src/",
|
"lint": "eslint .",
|
||||||
"format": "prettier --write src/"
|
"format": "prettier --write ."
|
||||||
},
|
},
|
||||||
"dependencies": {
|
"dependencies": {
|
||||||
"@timescaledb/typeorm": "^0.0.1",
|
"@timescaledb/typeorm": "^0.0.1",
|
||||||
@@ -19,6 +20,7 @@
|
|||||||
"ioredis": "^5.11.1",
|
"ioredis": "^5.11.1",
|
||||||
"pg": "^8.21.0",
|
"pg": "^8.21.0",
|
||||||
"pino": "^10.3.1",
|
"pino": "^10.3.1",
|
||||||
|
"pino-pretty": "^13.1.3",
|
||||||
"rxjs": "^7.8.2",
|
"rxjs": "^7.8.2",
|
||||||
"typeorm": "^1.0.0",
|
"typeorm": "^1.0.0",
|
||||||
"yaml": "^2.9.0"
|
"yaml": "^2.9.0"
|
||||||
|
|||||||
@@ -0,0 +1,44 @@
|
|||||||
|
import { logger } from "../utils/logger";
|
||||||
|
import { getAllPairs, updatePairLastBackfillTime } from '../service/pair';
|
||||||
|
import { upsertOrUpdateKlines } from "../service/kline";
|
||||||
|
import { Client } from '../exchanges/rest';
|
||||||
|
|
||||||
|
function getNowMinuteMS() {
|
||||||
|
const minuteMS = 1000 * 60;
|
||||||
|
return Math.floor(Date.now() / minuteMS) * minuteMS
|
||||||
|
}
|
||||||
|
|
||||||
|
const allPairs = await getAllPairs();
|
||||||
|
|
||||||
|
for (const pair of allPairs) {
|
||||||
|
const client = new Client("binance");
|
||||||
|
let lastBackfillTime = pair.last_backfill_time.getTime();
|
||||||
|
try {
|
||||||
|
while (lastBackfillTime < getNowMinuteMS()) {
|
||||||
|
console.log('lastBackfillTime', lastBackfillTime);
|
||||||
|
const klines = await client.fetchKlines(
|
||||||
|
pair.symbol,
|
||||||
|
pair.kline_interval,
|
||||||
|
lastBackfillTime,
|
||||||
|
500
|
||||||
|
);
|
||||||
|
console.log(`拉取到 ${klines.length} 条 K 线`);
|
||||||
|
if (klines.length > 0) {
|
||||||
|
await upsertOrUpdateKlines(klines);
|
||||||
|
const lastK = klines[klines.length - 1];
|
||||||
|
if (lastK) {
|
||||||
|
await updatePairLastBackfillTime(lastK?.symbol, new Date(lastK.openTime));
|
||||||
|
if (lastBackfillTime === lastK.openTime) {
|
||||||
|
break;
|
||||||
|
}
|
||||||
|
lastBackfillTime = lastK.openTime;
|
||||||
|
}
|
||||||
|
}
|
||||||
|
await new Promise((resolve) => {
|
||||||
|
setTimeout(resolve, Math.random() * 1000);
|
||||||
|
});
|
||||||
|
}
|
||||||
|
} catch (err) {
|
||||||
|
console.error("拉取失败:", err);
|
||||||
|
}
|
||||||
|
}
|
||||||
@@ -0,0 +1,73 @@
|
|||||||
|
import { AppDataSource } from "../db/data-source";
|
||||||
|
import { Kline } from "../db/entities/kline.entity";
|
||||||
|
import type { Kline as KlineItem } from "../types";
|
||||||
|
import { logger } from "../utils/logger";
|
||||||
|
|
||||||
|
const repo = AppDataSource.getRepository(Kline);
|
||||||
|
|
||||||
|
/**
|
||||||
|
* 批量 UPSERT K 线数据到 TimescaleDB。
|
||||||
|
*
|
||||||
|
* 映射应用层 KlineItem → 数据库实体，通过 INSERT ... ON CONFLICT DO UPDATE
|
||||||
|
* 实现幂等写入。冲突列为 [exchange, symbol, interval, time]（四列复合主键），
|
||||||
|
* 冲突时更新 OHLCV 及扩展字段。
|
||||||
|
*
|
||||||
|
* 适用场景：
|
||||||
|
* - 回补历史 K 线（幂等，重复拉取不产生重复行）
|
||||||
|
* - WebSocket 实时 K 线增量刷新（更新最新一根未闭合 K 线的 high/low/close/volume）
|
||||||
|
*
|
||||||
|
* 注意：依赖 Kline 实体的四列复合主键 [exchange, symbol, interval, time]。
|
||||||
|
* 若实体 PK 结构变更，需同步更新 conflictPaths。
|
||||||
|
*
|
||||||
|
* @param KlineItems - 应用层标准化 K 线数组
|
||||||
|
*/
|
||||||
|
export async function upsertOrUpdateKlines(KlineItems: KlineItem[]) {
|
||||||
|
if (KlineItems.length === 0) {
|
||||||
|
return;
|
||||||
|
}
|
||||||
|
|
||||||
|
logger.debug({ count: KlineItems.length }, "开始批量 UPSERT K 线");
|
||||||
|
|
||||||
|
// 应用层 KlineItem → 数据库实体 Kline
|
||||||
|
// 注意类型转换：应用层价格为 string（兼容交易所 SDK），DB 层为 NUMERIC(number)
|
||||||
|
const entities = KlineItems.map((item) => {
|
||||||
|
const entity = new Kline();
|
||||||
|
entity.time = new Date(item.openTime); // Unix ms → Date
|
||||||
|
entity.exchange = item.exchange;
|
||||||
|
entity.symbol = item.symbol;
|
||||||
|
entity.interval = item.interval;
|
||||||
|
entity.open = Number(item.open);
|
||||||
|
entity.high = Number(item.high);
|
||||||
|
entity.low = Number(item.low);
|
||||||
|
entity.close = Number(item.close);
|
||||||
|
entity.volume = Number(item.volume);
|
||||||
|
entity.quote_volume = item.quoteVolume ? Number(item.quoteVolume) : undefined;
|
||||||
|
entity.taker_buy_base_vol = item.takerBuyBaseVol
|
||||||
|
? Number(item.takerBuyBaseVol)
|
||||||
|
: undefined;
|
||||||
|
entity.taker_buy_quote_vol = item.takerBuyQuoteVol
|
||||||
|
? Number(item.takerBuyQuoteVol)
|
||||||
|
: undefined;
|
||||||
|
entity.trade_count = item.tradeCount ? Number(item.tradeCount) : undefined;
|
||||||
|
entity.is_closed = item.isClosed;
|
||||||
|
return entity;
|
||||||
|
});
|
||||||
|
|
||||||
|
try {
|
||||||
|
// UPSERT: 冲突列匹配复合主键 [exchange, symbol, interval, time]
|
||||||
|
// 实体已改为四列复合 PK，ON CONFLICT 直接命中主键约束
|
||||||
|
// skipUpdateIfNoValuesChanged: 减少不必要的写操作
|
||||||
|
const result = await repo.upsert(entities, {
|
||||||
|
conflictPaths: ["exchange", "symbol", "interval", "time"],
|
||||||
|
skipUpdateIfNoValuesChanged: true,
|
||||||
|
});
|
||||||
|
|
||||||
|
logger.info(
|
||||||
|
{ count: KlineItems.length, generatedMaps: result.generatedMaps.length },
|
||||||
|
"K 线 UPSERT 完成",
|
||||||
|
);
|
||||||
|
} catch (err) {
|
||||||
|
logger.error({ err, count: KlineItems.length }, "K 线 UPSERT 失败");
|
||||||
|
throw err;
|
||||||
|
}
|
||||||
|
}
|
||||||
@@ -0,0 +1,27 @@
|
|||||||
|
import { AppDataSource } from "../db/data-source";
|
||||||
|
import { TradingPair } from "../db/entities/trading-pair.entity";
|
||||||
|
|
||||||
|
const repo = AppDataSource.getRepository(TradingPair);
|
||||||
|
|
||||||
|
export async function getAllPairs() {
|
||||||
|
const pairs = await repo.find({});
|
||||||
|
return pairs;
|
||||||
|
}
|
||||||
|
|
||||||
|
export async function getPairLastBackfillTime(symbol: string) {
|
||||||
|
const pair = await repo.findOneBy({
|
||||||
|
symbol
|
||||||
|
});
|
||||||
|
return pair?.last_backfill_time;
|
||||||
|
}
|
||||||
|
|
||||||
|
export async function updatePairLastBackfillTime(symbol: string, time: Date) {
|
||||||
|
const pair = await repo.findOneBy({
|
||||||
|
symbol
|
||||||
|
});
|
||||||
|
if (pair === null) {
|
||||||
|
return;
|
||||||
|
}
|
||||||
|
pair.last_backfill_time = time;
|
||||||
|
return pair.save();
|
||||||
|
}
|
||||||
@@ -13,32 +13,7 @@
|
|||||||
|
|
||||||
import type { Observable } from "rxjs";
|
import type { Observable } from "rxjs";
|
||||||
|
|
||||||
// ============================================================
|
import type { KlineInterval } from "./kline";
|
||||||
// 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
|
// 标准化行情数据结构
|
||||||
@@ -129,23 +104,23 @@ export interface Kline {
|
|||||||
/** 收盘时间（Unix ms） */
|
/** 收盘时间（Unix ms） */
|
||||||
closeTime: number;
|
closeTime: number;
|
||||||
/** 开盘价 */
|
/** 开盘价 */
|
||||||
open: number;
|
open: string;
|
||||||
/** 最高价 */
|
/** 最高价 */
|
||||||
high: number;
|
high: string;
|
||||||
/** 最低价 */
|
/** 最低价 */
|
||||||
low: number;
|
low: string;
|
||||||
/** 收盘价 */
|
/** 收盘价 */
|
||||||
close: number;
|
close: string;
|
||||||
/** 成交量（base 币种） */
|
/** 成交量（base 币种） */
|
||||||
volume: number;
|
volume: string;
|
||||||
/** 成交额（quote 币种） */
|
/** 成交额（quote 币种） */
|
||||||
quoteVolume: number;
|
quoteVolume: string;
|
||||||
/** 主动买入成交量（base 币种） */
|
/** 主动买入成交量（base 币种） */
|
||||||
takerBuyBaseVol: number;
|
takerBuyBaseVol: string;
|
||||||
/** 主动买入成交额（quote 币种） */
|
/** 主动买入成交额（quote 币种） */
|
||||||
takerBuyQuoteVol: number;
|
takerBuyQuoteVol: string;
|
||||||
/** 成交笔数 */
|
/** 成交笔数 */
|
||||||
tradeCount: number;
|
tradeCount: string;
|
||||||
/** 该 K 线是否已关闭（不再更新） */
|
/** 该 K 线是否已关闭（不再更新） */
|
||||||
isClosed: boolean;
|
isClosed: boolean;
|
||||||
}
|
}
|
||||||
@@ -177,24 +152,40 @@ export type ConnectionState =
|
|||||||
| "error";
|
| "error";
|
||||||
|
|
||||||
// ============================================================
|
// ============================================================
|
||||||
// 适配器配置
|
// REST 客户端配置
|
||||||
// ============================================================
|
// ============================================================
|
||||||
|
|
||||||
/** 交易所适配器通用配置 */
|
/** REST 客户端通用配置（各交易所 SDK 共用） */
|
||||||
export interface AdapterConfig {
|
export interface RestClientConfig {
|
||||||
|
/** REST API 请求冷却时间（毫秒），默认 200 */
|
||||||
|
restRateLimitMs: number;
|
||||||
|
/** 单次请求默认拉取条数 */
|
||||||
|
defaultLimit: number;
|
||||||
|
}
|
||||||
|
|
||||||
|
/** 默认 REST 客户端配置 */
|
||||||
|
export const DEFAULT_REST_CONFIG: RestClientConfig = {
|
||||||
|
restRateLimitMs: 200,
|
||||||
|
defaultLimit: 500,
|
||||||
|
};
|
||||||
|
|
||||||
|
// ============================================================
|
||||||
|
// 适配器配置（含 WebSocket 重连）
|
||||||
|
// ============================================================
|
||||||
|
|
||||||
|
/** 交易所适配器完整配置（REST + WebSocket） */
|
||||||
|
export interface AdapterConfig extends RestClientConfig {
|
||||||
/** 指数退避重连基数（毫秒），默认 3000 */
|
/** 指数退避重连基数（毫秒），默认 3000 */
|
||||||
reconnectBaseDelayMs: number;
|
reconnectBaseDelayMs: number;
|
||||||
/** 最大重连次数，默认 10 */
|
/** 最大重连次数，默认 10 */
|
||||||
maxReconnectAttempts: number;
|
maxReconnectAttempts: number;
|
||||||
/** REST API 请求冷却时间（毫秒），默认 200 */
|
|
||||||
restRateLimitMs: number;
|
|
||||||
}
|
}
|
||||||
|
|
||||||
/** 默认适配器配置 */
|
/** 默认适配器配置 */
|
||||||
export const DEFAULT_ADAPTER_CONFIG: AdapterConfig = {
|
export const DEFAULT_ADAPTER_CONFIG: AdapterConfig = {
|
||||||
|
...DEFAULT_REST_CONFIG,
|
||||||
reconnectBaseDelayMs: 3000,
|
reconnectBaseDelayMs: 3000,
|
||||||
maxReconnectAttempts: 10,
|
maxReconnectAttempts: 10,
|
||||||
restRateLimitMs: 200,
|
|
||||||
};
|
};
|
||||||
|
|
||||||
// ============================================================
|
// ============================================================
|
||||||
@@ -0,0 +1,3 @@
|
|||||||
|
export type * from './kline';
|
||||||
|
export type * from './base';
|
||||||
|
export * from './base';
|
||||||
@@ -0,0 +1,10 @@
|
|||||||
|
/** K 线周期枚举 */
|
||||||
|
export type KlineInterval =
|
||||||
|
| "1m"
|
||||||
|
| "5m"
|
||||||
|
| "15m"
|
||||||
|
| "30m"
|
||||||
|
| "1h"
|
||||||
|
| "4h"
|
||||||
|
| "1d"
|
||||||
|
| "1w";
|
||||||
Reference in New Issue
Block a user