feat: 接入 USDT-M 合约数据 — type 字段方案
- PairType 定义移至 types/kline.ts (spot/um/cm) - Kline 接口新增 type 字段，全链路透传 - klines 5列复合主键 (exchange, symbol, type, interval, time) - 拆出 BinanceFuturesRestClient (USDMClient) - exchanges/index.ts 注册 binance_futures - trading_pairs 唯一约束加 type，种子数据加合约对 - 12个连续聚合视图 SELECT/GROUP BY/INDEX 加 type - 清理 bnkline.ts 废弃代码和 pair.ts 空函数
This commit is contained in:
Rekey
@@ -24,7 +24,7 @@ import {
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UpdateDateColumn,
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} from "typeorm";
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import type { KlineInterval } from '../../types';
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import type { KlineInterval, PairType } from '../../types';
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/**
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* 1 分钟 K 线 Hypertable
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@@ -40,7 +40,7 @@ import type { KlineInterval } from '../../types';
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compression: {
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compress: true,
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compress_orderby: "time DESC",
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compress_segmentby: "exchange, symbol",
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compress_segmentby: "exchange, symbol, type",
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policy: {
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schedule_interval: "30 days", // 30 天后自动压缩
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},
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@@ -65,6 +65,10 @@ export class Kline {
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@PrimaryColumn("text")
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symbol!: string;
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/** 交易对类型（如 spot） */
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@PrimaryColumn("text", { default: 'spot' })
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type!: PairType;
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/** K 线周期（1m） */
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@PrimaryColumn("text")
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interval!: KlineInterval;
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@@ -21,9 +21,10 @@ import {
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} from "typeorm";
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import { Exchange } from "./exchange.entity";
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import { CommonBaseEntity } from "./common.entity";
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import type { KlineInterval, PairType } from '../../types';
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@Entity("trading_pairs")
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@Index(["exchange", "symbol"], { unique: true }) // 同一交易所下 symbol 唯一
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@Index(["exchange", "symbol", "type"], { unique: true }) // 同一交易所下 symbol + type 唯一
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@Index(["active"]) // 按激活状态快速筛选
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export class TradingPair extends CommonBaseEntity {
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/** 所属交易所 */
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@@ -35,6 +36,10 @@ export class TradingPair extends CommonBaseEntity {
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@Column("varchar", { length: 20 })
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symbol!: string;
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/** 交易对类型（如 spot） */
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@Column("text", { default: 'spot' })
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type!: PairType;
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/** 基础币种（如 BTC） */
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@Column("varchar", { length: 10 })
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base_asset!: string;
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@@ -69,6 +69,9 @@ CREATE TABLE IF NOT EXISTS trading_pairs (
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-- 交易对符号（如 BTCUSDT / ETHUSDT）
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symbol VARCHAR(20) NOT NULL,
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-- 交易对类型（spot / um / cm）
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type TEXT NOT NULL DEFAULT 'spot',
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-- 基础币种（如 BTC）
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base_asset VARCHAR(10) NOT NULL,
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@@ -104,14 +107,14 @@ CREATE TABLE IF NOT EXISTS trading_pairs (
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created_at TIMESTAMPTZ NOT NULL DEFAULT now(),
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updated_at TIMESTAMPTZ NOT NULL DEFAULT now(),
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-- 同一交易所下 symbol 唯一
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CONSTRAINT uq_trading_pairs_exchange_symbol UNIQUE (exchange_id, symbol)
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-- 同一交易所下 symbol + type 唯一
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CONSTRAINT uq_trading_pairs_exchange_symbol_type UNIQUE (exchange_id, symbol, type)
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);
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-- 按激活状态快速筛选
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CREATE INDEX IF NOT EXISTS idx_trading_pairs_active ON trading_pairs (active);
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-- 按交易所+交易对查询（最常用模式）
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CREATE INDEX IF NOT EXISTS idx_trading_pairs_exchange_symbol ON trading_pairs (exchange_id, symbol);
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CREATE INDEX IF NOT EXISTS idx_trading_pairs_exchange_symbol ON trading_pairs (exchange_id, symbol, type);
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-- ============================================================
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@@ -124,7 +127,7 @@ CREATE INDEX IF NOT EXISTS idx_trading_pairs_exchange_symbol ON trading_pairs (e
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-- TimescaleDB 配置：
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-- - chunk_time_interval: 7 days（周分区；1 day→7 days 减少 7× chunk 数）
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-- - 列式压缩：7 天后自动执行（压缩率 ~92%）
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-- - 压缩分段键：exchange, symbol（同交易对聚合压缩；interval 固定 1m 无需分段）
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-- - 压缩分段键：exchange, symbol, type（同交易对+类型聚合压缩；interval 固定 1m 无需分段）
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-- - 压缩排序键：time DESC（查询通常按时间降序）
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--
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-- chunk 大小选择指南（16GB / i3-7300U / 1TB SSD）：
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@@ -145,6 +148,9 @@ CREATE TABLE IF NOT EXISTS klines (
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-- 交易对符号（如 BTCUSDT）
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symbol TEXT NOT NULL,
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-- 交易对类型（spot / um / cm）
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type TEXT NOT NULL DEFAULT 'spot',
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-- K 线周期（固定 "1m"，基表仅存 1 分钟）
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interval TEXT NOT NULL,
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@@ -202,8 +208,8 @@ CREATE TABLE IF NOT EXISTS klines (
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created_at TIMESTAMPTZ NOT NULL DEFAULT now(),
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updated_at TIMESTAMPTZ NOT NULL DEFAULT now(),
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-- 复合主键：同一交易所、同一交易对、同一周期、同一时间的 K 线唯一
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PRIMARY KEY (exchange, symbol, interval, time)
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-- 复合主键：同一交易所、同一交易对、同一类型、同一周期、同一时间的 K 线唯一
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PRIMARY KEY (exchange, symbol, type, interval, time)
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);
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-- ============================================================
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@@ -222,10 +228,9 @@ SELECT create_hypertable('klines', 'time',
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-- ============================================================
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-- 启用列式压缩（先启用压缩，再设置分段/排序键）
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-- 注意：interval 在基表固定为 '1m'，从 segmentby 中移除以减少压缩分段数
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ALTER TABLE klines SET (
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timescaledb.compress,
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timescaledb.compress_segmentby = 'exchange,symbol',
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timescaledb.compress_segmentby = 'exchange,symbol,type',
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timescaledb.compress_orderby = 'time DESC'
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);
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@@ -310,12 +315,13 @@ INSERT INTO exchanges (name, label, enabled, config) VALUES
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'{"rateLimit": 600, "minOrderSize": 0.001, "feeTaker": 0.001, "feeMaker": 0.001}'::jsonb)
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ON CONFLICT (name) DO NOTHING;
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-- 默认交易对（仅 Binance 主流 USDT 永续合约，幂等）
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INSERT INTO trading_pairs (exchange_id, symbol, base_asset, quote_asset,
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-- 默认交易对（幂等）
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INSERT INTO trading_pairs (exchange_id, symbol, type, base_asset, quote_asset,
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price_precision, quantity_precision, active)
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SELECT
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e.id,
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sym.symbol,
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sym.type,
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sym.base,
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sym.quote,
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2, -- price_precision（USDT 计价通常 2 位小数）
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@@ -324,10 +330,12 @@ SELECT
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FROM exchanges e
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CROSS JOIN (
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VALUES
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('BTCUSDT', 'BTC', 'USDT'),
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('ETHUSDT', 'ETH', 'USDT'),
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('BNBUSDT', 'BNB', 'USDT'),
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('SOLUSDT', 'SOL', 'USDT')
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) AS sym(symbol, base, quote)
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('BTCUSDT', 'spot', 'BTC', 'USDT'),
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('ETHUSDT', 'spot', 'ETH', 'USDT'),
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('BNBUSDT', 'spot', 'BNB', 'USDT'),
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('SOLUSDT', 'spot', 'SOL', 'USDT'),
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('BTCUSDT', 'um', 'BTC', 'USDT'),
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('ETHUSDT', 'um', 'ETH', 'USDT')
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) AS sym(symbol, type, base, quote)
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WHERE e.name = 'binance'
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ON CONFLICT (exchange_id, symbol) DO NOTHING;
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ON CONFLICT (exchange_id, symbol, type) DO NOTHING;
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@@ -4,6 +4,8 @@
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-- 从 klines（1m）基表创建分层连续聚合物化视图链：
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-- 1m → 3m → 5m → 15m → 30m → 1h → 2h → 4h → 6h → 8h → 1d → 1w → 1mon
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--
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-- GROUP BY 包含 type 列，现货与合约数据隔离聚合。
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--
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-- 执行前提：
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-- 1. klines hypertable 已创建（由 02-init-tables.sql 创建）
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-- 2. klines 表中已有数据（至少一条，否则视图创建成功但无数据）
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@@ -45,6 +47,7 @@ SELECT
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time_bucket('3 minutes', time) AS time,
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exchange,
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symbol,
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type,
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'3m'::text AS interval,
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FIRST(open, time) AS open,
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MAX(high) AS high,
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@@ -56,7 +59,7 @@ SELECT
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SUM(taker_buy_quote_vol) AS taker_buy_quote_vol,
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SUM(trade_count)::integer AS trade_count
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FROM klines
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GROUP BY time_bucket('3 minutes', klines.time), exchange, symbol
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GROUP BY time_bucket('3 minutes', klines.time), exchange, symbol, type
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WITH NO DATA;
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-- 【模式 A 用户】取消下面注释以启用定时调度刷新
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@@ -76,6 +79,7 @@ SELECT
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time_bucket('5 minutes', time) AS time,
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exchange,
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symbol,
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type,
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'5m'::text AS interval,
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FIRST(open, time) AS open,
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MAX(high) AS high,
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@@ -87,7 +91,7 @@ SELECT
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SUM(taker_buy_quote_vol) AS taker_buy_quote_vol,
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SUM(trade_count)::integer AS trade_count
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FROM klines
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GROUP BY time_bucket('5 minutes', klines.time), exchange, symbol
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GROUP BY time_bucket('5 minutes', klines.time), exchange, symbol, type
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WITH NO DATA;
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-- 【模式 A 用户】取消下面注释以启用定时调度刷新
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@@ -107,6 +111,7 @@ SELECT
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time_bucket('15 minutes', time) AS time,
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exchange,
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symbol,
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type,
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'15m'::text AS interval,
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FIRST(open, time) AS open,
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MAX(high) AS high,
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@@ -118,7 +123,7 @@ SELECT
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SUM(taker_buy_quote_vol) AS taker_buy_quote_vol,
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SUM(trade_count)::integer AS trade_count
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FROM klines_5m
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GROUP BY time_bucket('15 minutes', klines_5m.time), exchange, symbol
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GROUP BY time_bucket('15 minutes', klines_5m.time), exchange, symbol, type
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WITH NO DATA;
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-- 【模式 A 用户】取消下面注释以启用定时调度刷新
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@@ -138,6 +143,7 @@ SELECT
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time_bucket('30 minutes', time) AS time,
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exchange,
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symbol,
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type,
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'30m'::text AS interval,
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FIRST(open, time) AS open,
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MAX(high) AS high,
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@@ -149,7 +155,7 @@ SELECT
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SUM(taker_buy_quote_vol) AS taker_buy_quote_vol,
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SUM(trade_count)::integer AS trade_count
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FROM klines_15m
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GROUP BY time_bucket('30 minutes', klines_15m.time), exchange, symbol
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GROUP BY time_bucket('30 minutes', klines_15m.time), exchange, symbol, type
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WITH NO DATA;
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-- 【模式 A 用户】取消下面注释以启用定时调度刷新
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@@ -169,6 +175,7 @@ SELECT
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time_bucket('1 hour', time) AS time,
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exchange,
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symbol,
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type,
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'1h'::text AS interval,
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FIRST(open, time) AS open,
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MAX(high) AS high,
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@@ -180,7 +187,7 @@ SELECT
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SUM(taker_buy_quote_vol) AS taker_buy_quote_vol,
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SUM(trade_count)::integer AS trade_count
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FROM klines_30m
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GROUP BY time_bucket('1 hour', klines_30m.time), exchange, symbol
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GROUP BY time_bucket('1 hour', klines_30m.time), exchange, symbol, type
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WITH NO DATA;
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-- 【模式 A 用户】取消下面注释以启用定时调度刷新
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@@ -200,6 +207,7 @@ SELECT
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time_bucket('2 hours', time) AS time,
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exchange,
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symbol,
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type,
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'2h'::text AS interval,
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FIRST(open, time) AS open,
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MAX(high) AS high,
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@@ -211,7 +219,7 @@ SELECT
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SUM(taker_buy_quote_vol) AS taker_buy_quote_vol,
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SUM(trade_count)::integer AS trade_count
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FROM klines_1h
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GROUP BY time_bucket('2 hours', klines_1h.time), exchange, symbol
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GROUP BY time_bucket('2 hours', klines_1h.time), exchange, symbol, type
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WITH NO DATA;
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-- 【模式 A 用户】取消下面注释以启用定时调度刷新
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@@ -231,6 +239,7 @@ SELECT
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time_bucket('4 hours', time) AS time,
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exchange,
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symbol,
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type,
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'4h'::text AS interval,
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FIRST(open, time) AS open,
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MAX(high) AS high,
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@@ -242,7 +251,7 @@ SELECT
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SUM(taker_buy_quote_vol) AS taker_buy_quote_vol,
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SUM(trade_count)::integer AS trade_count
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FROM klines_1h
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GROUP BY time_bucket('4 hours', klines_1h.time), exchange, symbol
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GROUP BY time_bucket('4 hours', klines_1h.time), exchange, symbol, type
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WITH NO DATA;
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-- 【模式 A 用户】取消下面注释以启用定时调度刷新
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@@ -262,6 +271,7 @@ SELECT
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time_bucket('6 hours', time) AS time,
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exchange,
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symbol,
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type,
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'6h'::text AS interval,
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FIRST(open, time) AS open,
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MAX(high) AS high,
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@@ -273,7 +283,7 @@ SELECT
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SUM(taker_buy_quote_vol) AS taker_buy_quote_vol,
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SUM(trade_count)::integer AS trade_count
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FROM klines_1h
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GROUP BY time_bucket('6 hours', klines_1h.time), exchange, symbol
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GROUP BY time_bucket('6 hours', klines_1h.time), exchange, symbol, type
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WITH NO DATA;
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-- 【模式 A 用户】取消下面注释以启用定时调度刷新
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@@ -293,6 +303,7 @@ SELECT
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time_bucket('8 hours', time) AS time,
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exchange,
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symbol,
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type,
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'8h'::text AS interval,
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FIRST(open, time) AS open,
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MAX(high) AS high,
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@@ -304,7 +315,7 @@ SELECT
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SUM(taker_buy_quote_vol) AS taker_buy_quote_vol,
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SUM(trade_count)::integer AS trade_count
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FROM klines_4h
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GROUP BY time_bucket('8 hours', klines_4h.time), exchange, symbol
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GROUP BY time_bucket('8 hours', klines_4h.time), exchange, symbol, type
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WITH NO DATA;
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-- 【模式 A 用户】取消下面注释以启用定时调度刷新
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@@ -324,6 +335,7 @@ SELECT
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time_bucket('1 day', time) AS time,
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exchange,
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symbol,
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type,
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'1d'::text AS interval,
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FIRST(open, time) AS open,
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MAX(high) AS high,
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@@ -335,7 +347,7 @@ SELECT
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SUM(taker_buy_quote_vol) AS taker_buy_quote_vol,
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SUM(trade_count)::integer AS trade_count
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FROM klines_4h
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GROUP BY time_bucket('1 day', klines_4h.time), exchange, symbol
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GROUP BY time_bucket('1 day', klines_4h.time), exchange, symbol, type
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WITH NO DATA;
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-- 【模式 A 用户】取消下面注释以启用定时调度刷新
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@@ -355,6 +367,7 @@ SELECT
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time_bucket('1 week', time) AS time,
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exchange,
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symbol,
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type,
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'1w'::text AS interval,
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FIRST(open, time) AS open,
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MAX(high) AS high,
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@@ -366,7 +379,7 @@ SELECT
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SUM(taker_buy_quote_vol) AS taker_buy_quote_vol,
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SUM(trade_count)::integer AS trade_count
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FROM klines_1d
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GROUP BY time_bucket('1 week', klines_1d.time), exchange, symbol
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GROUP BY time_bucket('1 week', klines_1d.time), exchange, symbol, type
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WITH NO DATA;
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-- 【模式 A 用户】取消下面注释以启用定时调度刷新
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@@ -386,6 +399,7 @@ SELECT
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time_bucket('1 month', time) AS time,
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exchange,
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symbol,
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type,
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'1mon'::text AS interval,
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FIRST(open, time) AS open,
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MAX(high) AS high,
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@@ -397,7 +411,7 @@ SELECT
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SUM(taker_buy_quote_vol) AS taker_buy_quote_vol,
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SUM(trade_count)::integer AS trade_count
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FROM klines_1d
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GROUP BY time_bucket('1 month', klines_1d.time), exchange, symbol
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GROUP BY time_bucket('1 month', klines_1d.time), exchange, symbol, type
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WITH NO DATA;
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-- 【模式 A 用户】取消下面注释以启用定时调度刷新
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@@ -409,29 +423,26 @@ WITH NO DATA;
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-- );
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-- ============================================================
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-- 推荐索引：加速按 symbol + time 的查询
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-- 推荐索引：加速按 symbol + type + time 的查询
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-- ============================================================
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CREATE INDEX IF NOT EXISTS idx_klines_3m_symbol_time ON klines_3m (exchange, symbol, time DESC);
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CREATE INDEX IF NOT EXISTS idx_klines_5m_symbol_time ON klines_5m (exchange, symbol, time DESC);
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CREATE INDEX IF NOT EXISTS idx_klines_15m_symbol_time ON klines_15m (exchange, symbol, time DESC);
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CREATE INDEX IF NOT EXISTS idx_klines_30m_symbol_time ON klines_30m (exchange, symbol, time DESC);
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CREATE INDEX IF NOT EXISTS idx_klines_1h_symbol_time ON klines_1h (exchange, symbol, time DESC);
|
||||
CREATE INDEX IF NOT EXISTS idx_klines_2h_symbol_time ON klines_2h (exchange, symbol, time DESC);
|
||||
CREATE INDEX IF NOT EXISTS idx_klines_4h_symbol_time ON klines_4h (exchange, symbol, time DESC);
|
||||
CREATE INDEX IF NOT EXISTS idx_klines_6h_symbol_time ON klines_6h (exchange, symbol, time DESC);
|
||||
CREATE INDEX IF NOT EXISTS idx_klines_8h_symbol_time ON klines_8h (exchange, symbol, time DESC);
|
||||
CREATE INDEX IF NOT EXISTS idx_klines_1d_symbol_time ON klines_1d (exchange, symbol, time DESC);
|
||||
CREATE INDEX IF NOT EXISTS idx_klines_1w_symbol_time ON klines_1w (exchange, symbol, time DESC);
|
||||
CREATE INDEX IF NOT EXISTS idx_klines_1mon_symbol_time ON klines_1mon (exchange, symbol, time DESC);
|
||||
CREATE INDEX IF NOT EXISTS idx_klines_3m_symbol_time ON klines_3m (exchange, symbol, type, time DESC);
|
||||
CREATE INDEX IF NOT EXISTS idx_klines_5m_symbol_time ON klines_5m (exchange, symbol, type, time DESC);
|
||||
CREATE INDEX IF NOT EXISTS idx_klines_15m_symbol_time ON klines_15m (exchange, symbol, type, time DESC);
|
||||
CREATE INDEX IF NOT EXISTS idx_klines_30m_symbol_time ON klines_30m (exchange, symbol, type, time DESC);
|
||||
CREATE INDEX IF NOT EXISTS idx_klines_1h_symbol_time ON klines_1h (exchange, symbol, type, time DESC);
|
||||
CREATE INDEX IF NOT EXISTS idx_klines_2h_symbol_time ON klines_2h (exchange, symbol, type, time DESC);
|
||||
CREATE INDEX IF NOT EXISTS idx_klines_4h_symbol_time ON klines_4h (exchange, symbol, type, time DESC);
|
||||
CREATE INDEX IF NOT EXISTS idx_klines_6h_symbol_time ON klines_6h (exchange, symbol, type, time DESC);
|
||||
CREATE INDEX IF NOT EXISTS idx_klines_8h_symbol_time ON klines_8h (exchange, symbol, type, time DESC);
|
||||
CREATE INDEX IF NOT EXISTS idx_klines_1d_symbol_time ON klines_1d (exchange, symbol, type, time DESC);
|
||||
CREATE INDEX IF NOT EXISTS idx_klines_1w_symbol_time ON klines_1w (exchange, symbol, type, time DESC);
|
||||
CREATE INDEX IF NOT EXISTS idx_klines_1mon_symbol_time ON klines_1mon (exchange, symbol, type, time DESC);
|
||||
|
||||
-- ============================================================
|
||||
-- 截面查询索引：加速同一时间点多品种回测查询
|
||||
-- 查询模式：WHERE exchange='binance' AND time='2024-01-01' AND symbol IN (…)
|
||||
-- 回测中跨品种截面查询最常见于日线和周线，因此只在这两层建额外索引。
|
||||
-- 如需其他周期（如 1h、4h）的截面查询，按同样模式扩展。
|
||||
-- ============================================================
|
||||
CREATE INDEX IF NOT EXISTS idx_klines_1d_exchange_time_symbol ON klines_1d (exchange, time DESC, symbol);
|
||||
CREATE INDEX IF NOT EXISTS idx_klines_1w_exchange_time_symbol ON klines_1w (exchange, time DESC, symbol);
|
||||
CREATE INDEX IF NOT EXISTS idx_klines_1d_exchange_time_symbol ON klines_1d (exchange, time DESC, symbol, type);
|
||||
CREATE INDEX IF NOT EXISTS idx_klines_1w_exchange_time_symbol ON klines_1w (exchange, time DESC, symbol, type);
|
||||
|
||||
-- ============================================================
|
||||
-- 首次创建后手动刷新所有视图（填充历史数据）
|
||||
|
||||
Reference in New Issue
Block a user