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
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@@ -1,198 +1,299 @@
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# 接入 USDT-M 合约数据 — 改造方案
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# 接入 USDT-M 合约数据 — 改造方案（type 字段方案）
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## 设计思路
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**用 symbol 后缀区分账户类型**，而非新增 `account_type` 列。核心原则是尽量不动已有表结构和聚合视图。
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**用 `type` 列区分账户类型**，而非 symbol 后缀。`PairType` 枚举已在代码中定义（`'spot' | 'um' | 'cm'`），本次改造将 `type` 从实体层的死代码变成全链路透传的一等字段。
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### Symbol 命名约定
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### 为什么选 type 而非 .P 后缀
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| 账户类型 | symbol 示例 | 说明 |
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|---------|-------------|------|
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| 现货 | `BTCUSDT` | 不变 |
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| USDT-M 永续 | `BTCUSDT.P` | `.P` 后缀标记合约 |
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| Coin-M 永续 | `BTCUSDT_PERP` | 预留 |
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| | `.P` 后缀 | `type` 字段 |
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|---|---|---|
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| symbol 语义 | 污染标识符，BTCUSDT.P 不是交易对名称 | 干净，symbol 与 Binance 官方一致 |
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| 查询 | `WHERE symbol LIKE '%.P'` 不走索引 | `WHERE type = 'um'` 索引友好 |
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| 扩展 | Coin-M 需要 `_PERP` 新后缀规则 | 加 `'cm'` 枚举值即可 |
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| API 调用 | 每次 strip 后缀，容易遗漏 | symbol 原样传入，零变换 |
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| 与已有代码 | 与 TradingPair.type 字段矛盾 | 与已有 PairType、实体定义完全对齐 |
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**核心机制**：对外（入库、查询、展示）统一用带后缀的 symbol；对内（调用 Binance SDK）自动 strip 后缀。
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### Type 枚举
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| type | 说明 |
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|------|------|
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| `spot` | 现货（默认值） |
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| `um` | USDT-M 永续合约 |
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| `cm` | Coin-M 永续合约（预留） |
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### K 线复合主键
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5 列：`(exchange, symbol, type, interval, time)`。`type` 在主键中保证相同 symbol 的现货与合约 K 线不会 PK 冲突。
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---
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## 改动清单
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### 1. 配置层（3 文件）
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### 1. 配置层（已完成，无需再改）
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**`data/env.yaml`**
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```yaml
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exchange:
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binance: ← 保留不动（向后兼容）
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api_key: "..."
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api_secret: "..."
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binance_futures: ← 新增
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api_key: "..."
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api_secret: "..."
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```
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**`data/config/validators.ts`**
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- `ExchangeConfig` 接口中 `binance: ExchangeApiKeys` 保持不动
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- 新增 `binance_futures: ExchangeApiKeys`
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- `validateConfig()` 中新增解析 `exchange.binance_futures`
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**`data/config/index.ts`**
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- 导出 `exchange.binance`（已有）+ 新增 `exchange.binanceFutures`
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`data/env.yaml`、`data/config/validators.ts`、`data/config/index.ts` 已有 `binance_futures` 段，无需改动。
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---
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### 2. REST 客户端（1 文件，核心改动）
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### 2. 类型定义（1 文件）
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**`data/exchanges/rest.ts`**
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**`data/types/base.ts`** — Kline 接口加 `type` 字段
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```typescript
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import { USDMClient } from "binance"; // 新增引入
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// 工具函数：提取裸 symbol（移除 .P / _PERP 后缀）
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function stripSuffix(symbol: string): string {
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return symbol.replace(/\.(P|PERP)$/, "");
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}
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// 判断是否为合约 symbol
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function isFuturesSymbol(symbol: string): boolean {
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return symbol.endsWith(".P") || symbol.endsWith("_PERP");
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export interface Kline {
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exchange: string;
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symbol: string;
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/** 交易对类型（spot / um / cm） */
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type: PairType; // ← 新增
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interval: KlineInterval;
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openTime: number;
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closeTime: number;
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// ... 其余字段不变
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}
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```
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现有 `fetchBinanceKlines()` 保持不变（处理现货）。新增 `fetchFuturesKlines()`：
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---
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### 3. 实体层（1 文件）
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**`data/db/entities/kline.entity.ts`** — `type` 从 `@PrimaryColumn` 保持不动（已存在，无需改）。
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`trading-pair.entity.ts` — `type` 列已存在，无需改。
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---
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### 4. REST 客户端（2 文件，核心改动）
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**`data/exchanges/binance/rest.ts`**
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```typescript
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async function fetchFuturesKlines(
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symbol: string, // BTCUSDT.P
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import { MainClient, USDMClient } from "binance";
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// convertBinanceKline 加 type 参数
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function convertBinanceKline(
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raw: BinanceRestKline,
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symbol: string,
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interval: KlineInterval,
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startTime: number,
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endTime?: number,
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limit = 500,
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): Promise<Kline[]> {
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const rawSymbol = stripSuffix(symbol); // BTCUSDT
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const client = new USDMClient({
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api_key: exchange.binanceFutures.apiKey,
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api_secret: exchange.binanceFutures.apiSecret,
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}, { timeout: 3000 });
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const rawKlines = await client.getKlines({
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symbol: rawSymbol,
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type: PairType, // ← 新增
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): Kline {
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return {
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exchange: "binance",
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symbol,
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type, // ← 新增
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interval,
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startTime,
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endTime,
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limit: Math.min(limit, 1000),
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});
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return rawKlines.map(k => convertBinanceKline(k, symbol, interval));
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// ... 其余字段不变
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};
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}
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```
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`Client` 类 `fetchKlines()` 增加分支：
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// 现货客户端（已有，加 type = 'spot'）
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export class BinanceRestClient extends BaseRestClient {
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readonly exchange = "binance";
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private client = new MainClient({...}, { timeout: 3000 });
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```typescript
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async fetchKlines(...): Promise<Kline[]> {
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switch (this.exchange) {
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case "binance":
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if (isFuturesSymbol(symbol)) {
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return fetchFuturesKlines(symbol, interval, startTime, endTime, effectiveLimit);
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}
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return fetchBinanceKlines(symbol, interval, startTime, endTime, effectiveLimit);
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async fetchKlines(symbol, startTime, limit, endTime): Promise<Kline[]> {
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// ...
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return rawKlines.map(k => convertBinanceKline(k, symbol, "1m", "spot"));
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}
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}
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// 合约客户端（新增）
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export class BinanceFuturesRestClient extends BaseRestClient {
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readonly exchange = "binance";
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private client = new USDMClient(
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{ api_key: exchange.binanceFutures.apiKey, api_secret: exchange.binanceFutures.apiSecret },
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{ timeout: 3000 }
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);
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async fetchKlines(symbol, startTime, limit, endTime): Promise<Kline[]> {
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// USDMClient.getKlines() 与 MainClient 同构 12 元组，convertBinanceKline 直接复用
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const rawKlines = await this.client.getKlines({ symbol, interval: "1m", ... });
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return rawKlines.map(k => convertBinanceKline(k, symbol, "1m", "um"));
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}
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}
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```
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**关键**：`convertBinanceKline()` 传入原始 `"BTCUSDT.P"`，转换结果中 `kline.symbol` 自然就是 `"BTCUSDT.P"`，入库后与现货 `"BTCUSDT"` 不会 PK 冲突。
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**`data/exchanges/index.ts`** — 注册合约客户端
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```typescript
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const registry: Record<string, () => BaseRestClient> = {
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binance: () => new BinanceRestClient(),
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binance_futures: () => new BinanceFuturesRestClient(), // ← 新增
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};
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```
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---
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### 3. 服务层（1 文件）
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### 5. 服务层（1 文件）
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**`data/service/kline.ts`**
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- 不需任何改动。`upsertOrUpdateKlines()` 直接把 `Kline.symbol` 写入 `KlineEntity.symbol`，后缀天然带进去。
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```typescript
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const entities = KlineItems.map((item) => {
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const entity = new Kline();
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entity.type = item.type; // ← 新增
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// ... 其余字段映射不变
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});
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---
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### 4. 实体层（0 文件）
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**结论：不需要改。**
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- `kline.entity.ts` 的 4 列 PK 保持不变
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- `trading-pair.entity.ts` 不需要加 `account_type`，用 symbol 本身的 `.P` 后缀标识即可
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TradingPair 的 symbol 设成 `"BTCUSDT.P"`，唯一约束 `(exchange_id, symbol)` 自动不冲突。
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---
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### 5. SQL 初始化脚本（1 文件）
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**`data/db/init-db/02-init-tables.sql`**
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种子数据新增合约交易对：
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```sql
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INSERT INTO trading_pairs (exchange_id, symbol, base_asset, quote_asset,
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price_precision, quantity_precision, kline_interval, kline_intervals, active)
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SELECT
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e.id,
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sym.symbol,
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sym.base,
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sym.quote,
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2, 5, '1m', '1m,5m,15m,30m,1h,4h,1d,1w', TRUE
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FROM exchanges e
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CROSS JOIN (
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VALUES
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('BTCUSDT.P', 'BTC', 'USDT'),
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('ETHUSDT.P', 'ETH', 'USDT')
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) AS sym(symbol, 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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await repo.upsert(entities, {
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conflictPaths: ["exchange", "symbol", "type", "interval", "time"], // ← +type
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skipUpdateIfNoValuesChanged: true,
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});
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```
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**klines 表结构和连续聚合视图：完全不动。** symbol 值不同，数据天然隔离。
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---
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### 6. 运行脚本（1 文件）
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**`data/run/exchange.ts`**
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**`data/run/exchange.ts`** — 按 `pair.type` 选择客户端
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- `getAllPairs()` 不受影响，返回的 `symbol` 本身就是 `"BTCUSDT.P"`
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- `new Client("binance")` 的 `fetchKlines()` 内部已按 symbol 后缀分派到 `USDMClient`
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- 回补循环逻辑不变，`lastBackfillTime` 追踪机制不变
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**注意**：Binance 的 `USDMClient.getKlines()` 返回与 `MainClient.getKlines()` 同构的 12 元组，`convertBinanceKline()` 可以直接复用。
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```typescript
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for (const pair of allPairs) {
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const exchangeId = pair.type === 'um' ? 'binance_futures' : 'binance';
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const client = createRestClient(exchangeId);
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// ... 其余逻辑不变
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}
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```
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---
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### 7. 类型定义（0 文件）
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### 7. SQL 初始化脚本（2 文件）
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`Kline.symbol` 字段类型已是 `string`，直接存 `"BTCUSDT.P"`。无需改动。
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**`data/db/init-db/02-init-tables.sql`**
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klines 表：
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```sql
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CREATE TABLE IF NOT EXISTS klines (
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exchange TEXT NOT NULL,
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symbol TEXT NOT NULL,
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type TEXT NOT NULL DEFAULT 'spot', -- 新增
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interval TEXT NOT NULL,
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time TIMESTAMPTZ NOT NULL,
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-- OHLCV ...
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PRIMARY KEY (exchange, symbol, type, interval, time) -- 5 列
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);
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ALTER TABLE klines SET (
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timescaledb.compress,
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timescaledb.compress_segmentby = 'exchange,symbol,type', -- +type
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timescaledb.compress_orderby = 'time DESC'
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);
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```
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trading_pairs 表：
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```sql
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CREATE TABLE IF NOT EXISTS trading_pairs (
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-- ...
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symbol VARCHAR(20) NOT NULL,
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type TEXT NOT NULL DEFAULT 'spot', -- 新增
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-- ...
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CONSTRAINT uq_trading_pairs_exchange_symbol_type UNIQUE (exchange_id, symbol, type) -- +type
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);
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```
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种子数据：
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```sql
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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 e.id, sym.symbol, sym.type, sym.base, sym.quote, 2, 5, TRUE
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FROM exchanges e
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CROSS JOIN (
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VALUES
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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, type) DO NOTHING;
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```
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**`data/db/init-db/03-continuous-aggregates.sql`**
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12 个连续聚合视图，每个改 3 处（SELECT / GROUP BY / INDEX 各加 `type`）。以 `klines_3m` 为例：
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```sql
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CREATE MATERIALIZED VIEW IF NOT EXISTS klines_3m
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WITH (timescaledb.continuous) AS
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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, -- 新增
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'3m'::text AS interval,
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FIRST(open, time) AS open,
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-- ...
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FROM klines
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GROUP BY time_bucket('3 minutes', klines.time), exchange, symbol, type -- +type
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WITH NO DATA;
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CREATE INDEX IF NOT EXISTS idx_klines_3m_symbol_time
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ON klines_3m (exchange, symbol, type, time DESC); -- +type
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```
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---
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### 8. service/pair.ts（1 文件，小改）
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`getPairLastBackfillTime` / `updatePairLastBackfillTime` 按 `symbol` 查找时需要限定 `type`，避免现货/合约二义性：
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```typescript
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// 推荐：type 参数可选，默认 'spot' 向后兼容
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export async function getPairLastBackfillTime(symbol: string, type: PairType = 'spot') {
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const pair = await repo.findOneBy({ symbol, type });
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return pair?.last_backfill_time;
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}
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```
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实际调用处（`run/exchange.ts` 中）传 `pair.type`。
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---
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## 改动汇总
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| 文件 | 改动类型 | 行数估算 |
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|------|---------|---------|
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| `data/env.yaml` | 新增 `binance_futures` 段 | +4 |
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| `data/config/validators.ts` | `ExchangeConfig` + `validateConfig()` 新增解析 | +10 |
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| `data/config/index.ts` | 新增 `exchange.binanceFutures` 导出 | +5 |
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| `data/exchanges/rest.ts` | 引入 `USDMClient`，新增 `fetchFuturesKlines()`，`Client.fetchKlines()` 增加分支 | +40 |
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| `data/db/init-db/02-init-tables.sql` | seed 数据插入合约交易对 | +15 |
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| `data/run/exchange.ts` | 无实质改动（后缀自动路由） | 0 |
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| 文件 | 改动 | 行数 |
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|------|------|------|
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| `data/types/base.ts` | Kline 接口 +type | +1 |
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| `data/db/entities/kline.entity.ts` | 不动（type 已存在） | 0 |
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| `data/exchanges/binance/rest.ts` | 引入 USDMClient，拆现货/合约客户端，convertBinanceKline +type | +50 |
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| `data/exchanges/index.ts` | 注册 binance_futures | +2 |
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| `data/service/kline.ts` | entity.type 赋值，conflictPaths +1 | +3 |
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| `data/run/exchange.ts` | 按 pair.type 选择客户端 | +3 |
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| `data/service/pair.ts` | findOneBy 加 type 参数 | +5 |
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| `data/db/init-db/02-init-tables.sql` | klines +type列+PK+压缩键，trading_pairs +唯一约束+种子数据 | +10 |
|
||||
| `data/db/init-db/03-continuous-aggregates.sql` | 12 视图 × 3 处（SELECT/GROUP BY/INDEX） | +36 |
|
||||
|
||||
**不动**：klines 表结构、复合主键、连续聚合视图、service/kline.ts、types 目录、实体层。
|
||||
|
||||
共 **5-6 个文件，~70 行净改动**。
|
||||
**共 9 个文件，~110 行净改动。** 不动：配置层、env.yaml。
|
||||
|
||||
---
|
||||
|
||||
## 工作顺序
|
||||
## 迁移计划（重建数据库）
|
||||
|
||||
1. **env.yaml** — 配好 futures 的 API Key
|
||||
2. **config/validators.ts + config/index.ts** — 解析 + 导出 futures Key
|
||||
3. **exchanges/rest.ts** — 核心改动，USDMClient + 后缀分派
|
||||
4. **02-init-tables.sql** — 种子数据
|
||||
5. 验证：跑 `bun run data/run/exchange.ts` 看能否拉下 `BTCUSDT.P` 的 K 线
|
||||
6. Coin-M 同理扩展（只加 suffix 规则 + CoinMClient case）
|
||||
```
|
||||
第1步: 修改 SQL DDL
|
||||
├── 02-init-tables.sql: klines PK 加 type，trading_pairs 唯一约束加 type
|
||||
└── 03-continuous-aggregates.sql: 12 视图 SELECT/GROUP BY/INDEX 加 type
|
||||
|
||||
第2步: 修改代码
|
||||
├── types/base.ts: Kline 接口 +type
|
||||
├── exchanges/binance/rest.ts: 拆现货/合约客户端
|
||||
├── exchanges/index.ts: 注册 binance_futures
|
||||
├── service/kline.ts: entity.type + conflictPaths
|
||||
├── service/pair.ts: findOneBy 加 type
|
||||
└── run/exchange.ts: 按 pair.type 选客户端
|
||||
|
||||
第3步: 重建数据库
|
||||
├── docker compose down -v && docker compose up -d (清空数据)
|
||||
├── 执行 01 → 02 → 03 SQL 初始化脚本
|
||||
└── bun run data/run/exchange.ts 全量回补
|
||||
```
|
||||
|
||||
---
|
||||
|
||||
## 注意事项
|
||||
|
||||
- `binance_futures` 的 API Key 需要在 Binance 开通合约交易权限，否则 `USDMClient` 调用会报权限错误。
|
||||
- 合约 K 线数量通常多于现货（7×24 交易），回补时间更长。
|
||||
- Coin-M 接入只需：`PairType` 已有 `'cm'`，新增 `CoinMClient` 类，种子数据加 `('BTCUSDT', 'cm', ...)` 即可。
|
||||
|
||||
@@ -24,7 +24,7 @@ import {
|
||||
UpdateDateColumn,
|
||||
} from "typeorm";
|
||||
|
||||
import type { KlineInterval } from '../../types';
|
||||
import type { KlineInterval, PairType } from '../../types';
|
||||
|
||||
/**
|
||||
* 1 分钟 K 线 Hypertable
|
||||
@@ -40,7 +40,7 @@ import type { KlineInterval } from '../../types';
|
||||
compression: {
|
||||
compress: true,
|
||||
compress_orderby: "time DESC",
|
||||
compress_segmentby: "exchange, symbol",
|
||||
compress_segmentby: "exchange, symbol, type",
|
||||
policy: {
|
||||
schedule_interval: "30 days", // 30 天后自动压缩
|
||||
},
|
||||
@@ -65,6 +65,10 @@ export class Kline {
|
||||
@PrimaryColumn("text")
|
||||
symbol!: string;
|
||||
|
||||
/** 交易对类型（如 spot） */
|
||||
@PrimaryColumn("text", { default: 'spot' })
|
||||
type!: PairType;
|
||||
|
||||
/** K 线周期（1m） */
|
||||
@PrimaryColumn("text")
|
||||
interval!: KlineInterval;
|
||||
|
||||
@@ -21,9 +21,10 @@ import {
|
||||
} from "typeorm";
|
||||
import { Exchange } from "./exchange.entity";
|
||||
import { CommonBaseEntity } from "./common.entity";
|
||||
import type { KlineInterval, PairType } from '../../types';
|
||||
|
||||
@Entity("trading_pairs")
|
||||
@Index(["exchange", "symbol"], { unique: true }) // 同一交易所下 symbol 唯一
|
||||
@Index(["exchange", "symbol", "type"], { unique: true }) // 同一交易所下 symbol + type 唯一
|
||||
@Index(["active"]) // 按激活状态快速筛选
|
||||
export class TradingPair extends CommonBaseEntity {
|
||||
/** 所属交易所 */
|
||||
@@ -35,6 +36,10 @@ export class TradingPair extends CommonBaseEntity {
|
||||
@Column("varchar", { length: 20 })
|
||||
symbol!: string;
|
||||
|
||||
/** 交易对类型（如 spot） */
|
||||
@Column("text", { default: 'spot' })
|
||||
type!: PairType;
|
||||
|
||||
/** 基础币种（如 BTC） */
|
||||
@Column("varchar", { length: 10 })
|
||||
base_asset!: string;
|
||||
|
||||
@@ -69,6 +69,9 @@ CREATE TABLE IF NOT EXISTS trading_pairs (
|
||||
-- 交易对符号（如 BTCUSDT / ETHUSDT）
|
||||
symbol VARCHAR(20) NOT NULL,
|
||||
|
||||
-- 交易对类型（spot / um / cm）
|
||||
type TEXT NOT NULL DEFAULT 'spot',
|
||||
|
||||
-- 基础币种（如 BTC）
|
||||
base_asset VARCHAR(10) NOT NULL,
|
||||
|
||||
@@ -104,14 +107,14 @@ CREATE TABLE IF NOT EXISTS trading_pairs (
|
||||
created_at TIMESTAMPTZ NOT NULL DEFAULT now(),
|
||||
updated_at TIMESTAMPTZ NOT NULL DEFAULT now(),
|
||||
|
||||
-- 同一交易所下 symbol 唯一
|
||||
CONSTRAINT uq_trading_pairs_exchange_symbol UNIQUE (exchange_id, symbol)
|
||||
-- 同一交易所下 symbol + type 唯一
|
||||
CONSTRAINT uq_trading_pairs_exchange_symbol_type UNIQUE (exchange_id, symbol, type)
|
||||
);
|
||||
|
||||
-- 按激活状态快速筛选
|
||||
CREATE INDEX IF NOT EXISTS idx_trading_pairs_active ON trading_pairs (active);
|
||||
-- 按交易所+交易对查询（最常用模式）
|
||||
CREATE INDEX IF NOT EXISTS idx_trading_pairs_exchange_symbol ON trading_pairs (exchange_id, symbol);
|
||||
CREATE INDEX IF NOT EXISTS idx_trading_pairs_exchange_symbol ON trading_pairs (exchange_id, symbol, type);
|
||||
|
||||
|
||||
-- ============================================================
|
||||
@@ -124,7 +127,7 @@ CREATE INDEX IF NOT EXISTS idx_trading_pairs_exchange_symbol ON trading_pairs (e
|
||||
-- TimescaleDB 配置：
|
||||
-- - chunk_time_interval: 7 days（周分区；1 day→7 days 减少 7× chunk 数）
|
||||
-- - 列式压缩：7 天后自动执行（压缩率 ~92%）
|
||||
-- - 压缩分段键：exchange, symbol（同交易对聚合压缩；interval 固定 1m 无需分段）
|
||||
-- - 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）
|
||||
-- - 压缩排序键：time DESC（查询通常按时间降序）
|
||||
--
|
||||
-- chunk 大小选择指南（16GB / i3-7300U / 1TB SSD）：
|
||||
@@ -145,6 +148,9 @@ CREATE TABLE IF NOT EXISTS klines (
|
||||
-- 交易对符号（如 BTCUSDT）
|
||||
symbol TEXT NOT NULL,
|
||||
|
||||
-- 交易对类型（spot / um / cm）
|
||||
type TEXT NOT NULL DEFAULT 'spot',
|
||||
|
||||
-- K 线周期（固定 "1m"，基表仅存 1 分钟）
|
||||
interval TEXT NOT NULL,
|
||||
|
||||
@@ -202,8 +208,8 @@ CREATE TABLE IF NOT EXISTS klines (
|
||||
created_at TIMESTAMPTZ NOT NULL DEFAULT now(),
|
||||
updated_at TIMESTAMPTZ NOT NULL DEFAULT now(),
|
||||
|
||||
-- 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
|
||||
PRIMARY KEY (exchange, symbol, interval, time)
|
||||
-- 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
|
||||
PRIMARY KEY (exchange, symbol, type, interval, time)
|
||||
);
|
||||
|
||||
-- ============================================================
|
||||
@@ -222,10 +228,9 @@ SELECT create_hypertable('klines', 'time',
|
||||
-- ============================================================
|
||||
|
||||
-- 启用列式压缩（先启用压缩，再设置分段/排序键）
|
||||
-- 注意：interval 在基表固定为 '1m'，从 segmentby 中移除以减少压缩分段数
|
||||
ALTER TABLE klines SET (
|
||||
timescaledb.compress,
|
||||
timescaledb.compress_segmentby = 'exchange,symbol',
|
||||
timescaledb.compress_segmentby = 'exchange,symbol,type',
|
||||
timescaledb.compress_orderby = 'time DESC'
|
||||
);
|
||||
|
||||
@@ -310,12 +315,13 @@ INSERT INTO exchanges (name, label, enabled, config) VALUES
|
||||
'{"rateLimit": 600, "minOrderSize": 0.001, "feeTaker": 0.001, "feeMaker": 0.001}'::jsonb)
|
||||
ON CONFLICT (name) DO NOTHING;
|
||||
|
||||
-- 默认交易对（仅 Binance 主流 USDT 永续合约，幂等）
|
||||
INSERT INTO trading_pairs (exchange_id, symbol, base_asset, quote_asset,
|
||||
-- 默认交易对（幂等）
|
||||
INSERT INTO trading_pairs (exchange_id, symbol, type, base_asset, quote_asset,
|
||||
price_precision, quantity_precision, active)
|
||||
SELECT
|
||||
e.id,
|
||||
sym.symbol,
|
||||
sym.type,
|
||||
sym.base,
|
||||
sym.quote,
|
||||
2, -- price_precision（USDT 计价通常 2 位小数）
|
||||
@@ -324,10 +330,12 @@ SELECT
|
||||
FROM exchanges e
|
||||
CROSS JOIN (
|
||||
VALUES
|
||||
('BTCUSDT', 'BTC', 'USDT'),
|
||||
('ETHUSDT', 'ETH', 'USDT'),
|
||||
('BNBUSDT', 'BNB', 'USDT'),
|
||||
('SOLUSDT', 'SOL', 'USDT')
|
||||
) AS sym(symbol, base, quote)
|
||||
('BTCUSDT', 'spot', 'BTC', 'USDT'),
|
||||
('ETHUSDT', 'spot', 'ETH', 'USDT'),
|
||||
('BNBUSDT', 'spot', 'BNB', 'USDT'),
|
||||
('SOLUSDT', 'spot', 'SOL', 'USDT'),
|
||||
('BTCUSDT', 'um', 'BTC', 'USDT'),
|
||||
('ETHUSDT', 'um', 'ETH', 'USDT')
|
||||
) AS sym(symbol, type, base, quote)
|
||||
WHERE e.name = 'binance'
|
||||
ON CONFLICT (exchange_id, symbol) DO NOTHING;
|
||||
ON CONFLICT (exchange_id, symbol, type) DO NOTHING;
|
||||
|
||||
@@ -4,6 +4,8 @@
|
||||
-- 从 klines（1m）基表创建分层连续聚合物化视图链：
|
||||
-- 1m → 3m → 5m → 15m → 30m → 1h → 2h → 4h → 6h → 8h → 1d → 1w → 1mon
|
||||
--
|
||||
-- GROUP BY 包含 type 列，现货与合约数据隔离聚合。
|
||||
--
|
||||
-- 执行前提：
|
||||
-- 1. klines hypertable 已创建（由 02-init-tables.sql 创建）
|
||||
-- 2. klines 表中已有数据（至少一条，否则视图创建成功但无数据）
|
||||
@@ -45,6 +47,7 @@ SELECT
|
||||
time_bucket('3 minutes', time) AS time,
|
||||
exchange,
|
||||
symbol,
|
||||
type,
|
||||
'3m'::text AS interval,
|
||||
FIRST(open, time) AS open,
|
||||
MAX(high) AS high,
|
||||
@@ -56,7 +59,7 @@ SELECT
|
||||
SUM(taker_buy_quote_vol) AS taker_buy_quote_vol,
|
||||
SUM(trade_count)::integer AS trade_count
|
||||
FROM klines
|
||||
GROUP BY time_bucket('3 minutes', klines.time), exchange, symbol
|
||||
GROUP BY time_bucket('3 minutes', klines.time), exchange, symbol, type
|
||||
WITH NO DATA;
|
||||
|
||||
-- 【模式 A 用户】取消下面注释以启用定时调度刷新
|
||||
@@ -76,6 +79,7 @@ SELECT
|
||||
time_bucket('5 minutes', time) AS time,
|
||||
exchange,
|
||||
symbol,
|
||||
type,
|
||||
'5m'::text AS interval,
|
||||
FIRST(open, time) AS open,
|
||||
MAX(high) AS high,
|
||||
@@ -87,7 +91,7 @@ SELECT
|
||||
SUM(taker_buy_quote_vol) AS taker_buy_quote_vol,
|
||||
SUM(trade_count)::integer AS trade_count
|
||||
FROM klines
|
||||
GROUP BY time_bucket('5 minutes', klines.time), exchange, symbol
|
||||
GROUP BY time_bucket('5 minutes', klines.time), exchange, symbol, type
|
||||
WITH NO DATA;
|
||||
|
||||
-- 【模式 A 用户】取消下面注释以启用定时调度刷新
|
||||
@@ -107,6 +111,7 @@ SELECT
|
||||
time_bucket('15 minutes', time) AS time,
|
||||
exchange,
|
||||
symbol,
|
||||
type,
|
||||
'15m'::text AS interval,
|
||||
FIRST(open, time) AS open,
|
||||
MAX(high) AS high,
|
||||
@@ -118,7 +123,7 @@ SELECT
|
||||
SUM(taker_buy_quote_vol) AS taker_buy_quote_vol,
|
||||
SUM(trade_count)::integer AS trade_count
|
||||
FROM klines_5m
|
||||
GROUP BY time_bucket('15 minutes', klines_5m.time), exchange, symbol
|
||||
GROUP BY time_bucket('15 minutes', klines_5m.time), exchange, symbol, type
|
||||
WITH NO DATA;
|
||||
|
||||
-- 【模式 A 用户】取消下面注释以启用定时调度刷新
|
||||
@@ -138,6 +143,7 @@ SELECT
|
||||
time_bucket('30 minutes', time) AS time,
|
||||
exchange,
|
||||
symbol,
|
||||
type,
|
||||
'30m'::text AS interval,
|
||||
FIRST(open, time) AS open,
|
||||
MAX(high) AS high,
|
||||
@@ -149,7 +155,7 @@ SELECT
|
||||
SUM(taker_buy_quote_vol) AS taker_buy_quote_vol,
|
||||
SUM(trade_count)::integer AS trade_count
|
||||
FROM klines_15m
|
||||
GROUP BY time_bucket('30 minutes', klines_15m.time), exchange, symbol
|
||||
GROUP BY time_bucket('30 minutes', klines_15m.time), exchange, symbol, type
|
||||
WITH NO DATA;
|
||||
|
||||
-- 【模式 A 用户】取消下面注释以启用定时调度刷新
|
||||
@@ -169,6 +175,7 @@ SELECT
|
||||
time_bucket('1 hour', time) AS time,
|
||||
exchange,
|
||||
symbol,
|
||||
type,
|
||||
'1h'::text AS interval,
|
||||
FIRST(open, time) AS open,
|
||||
MAX(high) AS high,
|
||||
@@ -180,7 +187,7 @@ SELECT
|
||||
SUM(taker_buy_quote_vol) AS taker_buy_quote_vol,
|
||||
SUM(trade_count)::integer AS trade_count
|
||||
FROM klines_30m
|
||||
GROUP BY time_bucket('1 hour', klines_30m.time), exchange, symbol
|
||||
GROUP BY time_bucket('1 hour', klines_30m.time), exchange, symbol, type
|
||||
WITH NO DATA;
|
||||
|
||||
-- 【模式 A 用户】取消下面注释以启用定时调度刷新
|
||||
@@ -200,6 +207,7 @@ SELECT
|
||||
time_bucket('2 hours', time) AS time,
|
||||
exchange,
|
||||
symbol,
|
||||
type,
|
||||
'2h'::text AS interval,
|
||||
FIRST(open, time) AS open,
|
||||
MAX(high) AS high,
|
||||
@@ -211,7 +219,7 @@ SELECT
|
||||
SUM(taker_buy_quote_vol) AS taker_buy_quote_vol,
|
||||
SUM(trade_count)::integer AS trade_count
|
||||
FROM klines_1h
|
||||
GROUP BY time_bucket('2 hours', klines_1h.time), exchange, symbol
|
||||
GROUP BY time_bucket('2 hours', klines_1h.time), exchange, symbol, type
|
||||
WITH NO DATA;
|
||||
|
||||
-- 【模式 A 用户】取消下面注释以启用定时调度刷新
|
||||
@@ -231,6 +239,7 @@ SELECT
|
||||
time_bucket('4 hours', time) AS time,
|
||||
exchange,
|
||||
symbol,
|
||||
type,
|
||||
'4h'::text AS interval,
|
||||
FIRST(open, time) AS open,
|
||||
MAX(high) AS high,
|
||||
@@ -242,7 +251,7 @@ SELECT
|
||||
SUM(taker_buy_quote_vol) AS taker_buy_quote_vol,
|
||||
SUM(trade_count)::integer AS trade_count
|
||||
FROM klines_1h
|
||||
GROUP BY time_bucket('4 hours', klines_1h.time), exchange, symbol
|
||||
GROUP BY time_bucket('4 hours', klines_1h.time), exchange, symbol, type
|
||||
WITH NO DATA;
|
||||
|
||||
-- 【模式 A 用户】取消下面注释以启用定时调度刷新
|
||||
@@ -262,6 +271,7 @@ SELECT
|
||||
time_bucket('6 hours', time) AS time,
|
||||
exchange,
|
||||
symbol,
|
||||
type,
|
||||
'6h'::text AS interval,
|
||||
FIRST(open, time) AS open,
|
||||
MAX(high) AS high,
|
||||
@@ -273,7 +283,7 @@ SELECT
|
||||
SUM(taker_buy_quote_vol) AS taker_buy_quote_vol,
|
||||
SUM(trade_count)::integer AS trade_count
|
||||
FROM klines_1h
|
||||
GROUP BY time_bucket('6 hours', klines_1h.time), exchange, symbol
|
||||
GROUP BY time_bucket('6 hours', klines_1h.time), exchange, symbol, type
|
||||
WITH NO DATA;
|
||||
|
||||
-- 【模式 A 用户】取消下面注释以启用定时调度刷新
|
||||
@@ -293,6 +303,7 @@ SELECT
|
||||
time_bucket('8 hours', time) AS time,
|
||||
exchange,
|
||||
symbol,
|
||||
type,
|
||||
'8h'::text AS interval,
|
||||
FIRST(open, time) AS open,
|
||||
MAX(high) AS high,
|
||||
@@ -304,7 +315,7 @@ SELECT
|
||||
SUM(taker_buy_quote_vol) AS taker_buy_quote_vol,
|
||||
SUM(trade_count)::integer AS trade_count
|
||||
FROM klines_4h
|
||||
GROUP BY time_bucket('8 hours', klines_4h.time), exchange, symbol
|
||||
GROUP BY time_bucket('8 hours', klines_4h.time), exchange, symbol, type
|
||||
WITH NO DATA;
|
||||
|
||||
-- 【模式 A 用户】取消下面注释以启用定时调度刷新
|
||||
@@ -324,6 +335,7 @@ SELECT
|
||||
time_bucket('1 day', time) AS time,
|
||||
exchange,
|
||||
symbol,
|
||||
type,
|
||||
'1d'::text AS interval,
|
||||
FIRST(open, time) AS open,
|
||||
MAX(high) AS high,
|
||||
@@ -335,7 +347,7 @@ SELECT
|
||||
SUM(taker_buy_quote_vol) AS taker_buy_quote_vol,
|
||||
SUM(trade_count)::integer AS trade_count
|
||||
FROM klines_4h
|
||||
GROUP BY time_bucket('1 day', klines_4h.time), exchange, symbol
|
||||
GROUP BY time_bucket('1 day', klines_4h.time), exchange, symbol, type
|
||||
WITH NO DATA;
|
||||
|
||||
-- 【模式 A 用户】取消下面注释以启用定时调度刷新
|
||||
@@ -355,6 +367,7 @@ SELECT
|
||||
time_bucket('1 week', time) AS time,
|
||||
exchange,
|
||||
symbol,
|
||||
type,
|
||||
'1w'::text AS interval,
|
||||
FIRST(open, time) AS open,
|
||||
MAX(high) AS high,
|
||||
@@ -366,7 +379,7 @@ SELECT
|
||||
SUM(taker_buy_quote_vol) AS taker_buy_quote_vol,
|
||||
SUM(trade_count)::integer AS trade_count
|
||||
FROM klines_1d
|
||||
GROUP BY time_bucket('1 week', klines_1d.time), exchange, symbol
|
||||
GROUP BY time_bucket('1 week', klines_1d.time), exchange, symbol, type
|
||||
WITH NO DATA;
|
||||
|
||||
-- 【模式 A 用户】取消下面注释以启用定时调度刷新
|
||||
@@ -386,6 +399,7 @@ SELECT
|
||||
time_bucket('1 month', time) AS time,
|
||||
exchange,
|
||||
symbol,
|
||||
type,
|
||||
'1mon'::text AS interval,
|
||||
FIRST(open, time) AS open,
|
||||
MAX(high) AS high,
|
||||
@@ -397,7 +411,7 @@ SELECT
|
||||
SUM(taker_buy_quote_vol) AS taker_buy_quote_vol,
|
||||
SUM(trade_count)::integer AS trade_count
|
||||
FROM klines_1d
|
||||
GROUP BY time_bucket('1 month', klines_1d.time), exchange, symbol
|
||||
GROUP BY time_bucket('1 month', klines_1d.time), exchange, symbol, type
|
||||
WITH NO DATA;
|
||||
|
||||
-- 【模式 A 用户】取消下面注释以启用定时调度刷新
|
||||
@@ -409,29 +423,26 @@ WITH NO DATA;
|
||||
-- );
|
||||
|
||||
-- ============================================================
|
||||
-- 推荐索引：加速按 symbol + time 的查询
|
||||
-- 推荐索引：加速按 symbol + type + time 的查询
|
||||
-- ============================================================
|
||||
CREATE INDEX IF NOT EXISTS idx_klines_3m_symbol_time ON klines_3m (exchange, symbol, time DESC);
|
||||
CREATE INDEX IF NOT EXISTS idx_klines_5m_symbol_time ON klines_5m (exchange, symbol, time DESC);
|
||||
CREATE INDEX IF NOT EXISTS idx_klines_15m_symbol_time ON klines_15m (exchange, symbol, time DESC);
|
||||
CREATE INDEX IF NOT EXISTS idx_klines_30m_symbol_time ON klines_30m (exchange, symbol, time DESC);
|
||||
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）
|
||||
|
||||
@@ -1,9 +1,9 @@
|
||||
import { MainClient, type Kline as BinanceRestKline } from "binance";
|
||||
import { MainClient, USDMClient, type Kline as BinanceRestKline } from "binance";
|
||||
|
||||
import { logger } from "../../utils/logger";
|
||||
import { exchange } from "../../config";
|
||||
import { BaseRestClient } from "../base";
|
||||
import type { Kline, MarketInfo, KlineInterval } from "../../types";
|
||||
import type { Kline, MarketInfo, KlineInterval, PairType } from "../../types";
|
||||
|
||||
// ============================================================
|
||||
// Binance REST K 线 → 本系统标准化 Kline 转换
|
||||
@@ -32,6 +32,7 @@ function convertBinanceKline(
|
||||
raw: BinanceRestKline,
|
||||
symbol: string,
|
||||
interval: KlineInterval,
|
||||
type: PairType,
|
||||
): Kline {
|
||||
const [
|
||||
openTime,
|
||||
@@ -51,6 +52,7 @@ function convertBinanceKline(
|
||||
return {
|
||||
exchange: "binance",
|
||||
symbol,
|
||||
type,
|
||||
interval,
|
||||
openTime,
|
||||
closeTime,
|
||||
@@ -130,7 +132,7 @@ export class BinanceRestClient extends BaseRestClient {
|
||||
|
||||
// 按 openTime 升序排序（防御性），转换为标准化 Kline
|
||||
return rawKlines
|
||||
.map((k) => convertBinanceKline(k, symbol, "1m"))
|
||||
.map((k) => convertBinanceKline(k, symbol, "1m", "spot"))
|
||||
.sort((a, b) => a.openTime - b.openTime);
|
||||
}
|
||||
|
||||
@@ -139,3 +141,67 @@ export class BinanceRestClient extends BaseRestClient {
|
||||
return [];
|
||||
}
|
||||
}
|
||||
|
||||
// ============================================================
|
||||
// BinanceFuturesRestClient — USDT-M 永续合约
|
||||
// ============================================================
|
||||
|
||||
export class BinanceFuturesRestClient extends BaseRestClient {
|
||||
readonly exchange = "binance_futures";
|
||||
|
||||
private client: USDMClient;
|
||||
|
||||
constructor() {
|
||||
super();
|
||||
this.client = new USDMClient(
|
||||
{
|
||||
api_key: exchange.binanceFutures.apiKey,
|
||||
api_secret: exchange.binanceFutures.apiSecret,
|
||||
},
|
||||
{ timeout: 3000 },
|
||||
);
|
||||
}
|
||||
|
||||
/**
|
||||
* 拉取 USDT-M 永续合约 1m K 线。
|
||||
*
|
||||
* USDMClient.getKlines() 返回与 MainClient 同构的 12 元组，
|
||||
* convertBinanceKline 直接复用，type 固定为 'um'。
|
||||
*/
|
||||
async fetchKlines(
|
||||
symbol: string,
|
||||
startTime: number,
|
||||
limit?: number,
|
||||
endTime?: number,
|
||||
): Promise<Kline[]> {
|
||||
const effectiveLimit = limit ?? this.config.defaultLimit;
|
||||
const safeLimit = Math.min(effectiveLimit, 1000);
|
||||
|
||||
await this.throttle(`${symbol}:1m`);
|
||||
|
||||
const rawKlines = await this.client.getKlines({
|
||||
symbol,
|
||||
interval: "1m",
|
||||
startTime,
|
||||
endTime,
|
||||
limit: safeLimit,
|
||||
});
|
||||
|
||||
logger.debug(
|
||||
{ symbol, interval: "1m", startTime, endTime, limit: safeLimit },
|
||||
"[binance_futures] fetchKlines 请求参数",
|
||||
);
|
||||
|
||||
if (!rawKlines || rawKlines.length === 0) {
|
||||
return [];
|
||||
}
|
||||
|
||||
return rawKlines
|
||||
.map((k) => convertBinanceKline(k, symbol, "1m", "um"))
|
||||
.sort((a, b) => a.openTime - b.openTime);
|
||||
}
|
||||
|
||||
async fetchMarkets(): Promise<MarketInfo[]> {
|
||||
return [];
|
||||
}
|
||||
}
|
||||
|
||||
@@ -1,9 +1,10 @@
|
||||
import { BaseRestClient } from "./base";
|
||||
import { BinanceRestClient } from "./binance/rest";
|
||||
import { BinanceRestClient, BinanceFuturesRestClient } from "./binance/rest";
|
||||
|
||||
/** 交易所 ID 到 RestClient 构造器的注册表 */
|
||||
const registry: Record<string, () => BaseRestClient> = {
|
||||
binance: () => new BinanceRestClient(),
|
||||
binance_futures: () => new BinanceFuturesRestClient(),
|
||||
};
|
||||
|
||||
/**
|
||||
@@ -28,5 +29,5 @@ export function createRestClient(exchangeId: string): BaseRestClient {
|
||||
}
|
||||
|
||||
export { BaseRestClient } from "./base";
|
||||
export { BinanceRestClient } from "./binance/rest";
|
||||
export { BinanceRestClient, BinanceFuturesRestClient } from "./binance/rest";
|
||||
export { KLINE_INTERVAL_MS } from "./constants";
|
||||
|
||||
@@ -11,7 +11,8 @@ function getNowMinuteMS() {
|
||||
const allPairs = await getAllPairs();
|
||||
|
||||
for (const pair of allPairs) {
|
||||
const client = createRestClient("binance");
|
||||
const exchangeId = pair.type === 'um' ? 'binance_futures' : 'binance';
|
||||
const client = createRestClient(exchangeId);
|
||||
let lastBackfillTime = pair.last_backfill_time.getTime();
|
||||
try {
|
||||
while (lastBackfillTime < getNowMinuteMS()) {
|
||||
@@ -26,7 +27,7 @@ for (const pair of allPairs) {
|
||||
await upsertOrUpdateKlines(klines);
|
||||
const lastK = klines[klines.length - 1];
|
||||
if (lastK) {
|
||||
await updatePairLastBackfillTime(lastK?.symbol, new Date(lastK.openTime));
|
||||
await updatePairLastBackfillTime(lastK?.symbol, new Date(lastK.openTime), pair.type);
|
||||
if (lastBackfillTime === lastK.openTime) {
|
||||
break;
|
||||
}
|
||||
|
||||
@@ -20,7 +20,4 @@ export async function fetchKlines(
|
||||
limit = 500,
|
||||
): Promise<Kline[]> {
|
||||
return client.fetchKlines(symbol, startTime, limit);
|
||||
}
|
||||
|
||||
|
||||
console.log(await fetchKlines('BTCUSDT.P', 0, 10));
|
||||
}
|
||||
@@ -9,14 +9,14 @@ 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），
|
||||
* 实现幂等写入。冲突列为 [exchange, symbol, type, interval, time]（五列复合主键），
|
||||
* 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]。
|
||||
* 注意：依赖 Kline 实体的五列复合主键 [exchange, symbol, type, 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
|
||||
@@ -35,6 +35,7 @@ export async function upsertOrUpdateKlines(KlineItems: KlineItem[]) {
|
||||
entity.time = new Date(item.openTime); // Unix ms → Date
|
||||
entity.exchange = item.exchange;
|
||||
entity.symbol = item.symbol;
|
||||
entity.type = item.type;
|
||||
entity.interval = item.interval;
|
||||
entity.open = Number(item.open);
|
||||
entity.high = Number(item.high);
|
||||
@@ -54,11 +55,11 @@ export async function upsertOrUpdateKlines(KlineItems: KlineItem[]) {
|
||||
});
|
||||
|
||||
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
|
||||
// UPSERT: 冲突列匹配复合主键 [exchange, symbol, type, interval, time]
|
||||
// 实体已改为五列复合 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"],
|
||||
conflictPaths: ["exchange", "symbol", "type", "interval", "time"],
|
||||
skipUpdateIfNoValuesChanged: true,
|
||||
});
|
||||
|
||||
|
||||
@@ -1,5 +1,6 @@
|
||||
import { AppDataSource } from "../db/data-source";
|
||||
import { TradingPair } from "../db/entities/trading-pair.entity";
|
||||
import type { PairType } from '../types';
|
||||
|
||||
const repo = AppDataSource.getRepository(TradingPair);
|
||||
|
||||
@@ -18,11 +19,13 @@ export async function getAllPairs() {
|
||||
* 获取指定交易对的历史 K 线最后补全时间。
|
||||
*
|
||||
* @param symbol - 交易对名称（如 "BTCUSDT"）
|
||||
* @param type - 交易对类型（默认 'spot'）
|
||||
* @returns 最后补全时间（UTC），若交易对不存在返回 undefined
|
||||
*/
|
||||
export async function getPairLastBackfillTime(symbol: string) {
|
||||
export async function getPairLastBackfillTime(symbol: string, type: PairType = 'spot') {
|
||||
const pair = await repo.findOneBy({
|
||||
symbol
|
||||
symbol,
|
||||
type,
|
||||
});
|
||||
return pair?.last_backfill_time;
|
||||
}
|
||||
@@ -35,11 +38,13 @@ export async function getPairLastBackfillTime(symbol: string) {
|
||||
*
|
||||
* @param symbol - 交易对名称（如 "BTCUSDT"）
|
||||
* @param time - 新的最后补全时间（UTC）
|
||||
* @param type - 交易对类型（默认 'spot'）
|
||||
* @returns 保存后的交易对实体，若交易对不存在返回 undefined
|
||||
*/
|
||||
export async function updatePairLastBackfillTime(symbol: string, time: Date) {
|
||||
export async function updatePairLastBackfillTime(symbol: string, time: Date, type: PairType = 'spot') {
|
||||
const pair = await repo.findOneBy({
|
||||
symbol
|
||||
symbol,
|
||||
type,
|
||||
});
|
||||
if (pair === null) {
|
||||
return;
|
||||
|
||||
@@ -0,0 +1,27 @@
|
||||
import { MainClient, type Kline as BinanceRestKline, CoinMClient, USDMClient } from "binance";
|
||||
|
||||
const usdMClient = new USDMClient();
|
||||
const coinMClient = new CoinMClient();
|
||||
|
||||
console.log(await usdMClient.getKlines({
|
||||
symbol: 'BTCUSDT',
|
||||
interval: "1m",
|
||||
startTime: 0,
|
||||
limit: 2,
|
||||
}));
|
||||
|
||||
// console.log(await coinMClient.getKlines({
|
||||
// symbol: 'BTCUSD_PERP',
|
||||
// interval: "1d",
|
||||
// startTime: 0,
|
||||
// limit: 2,
|
||||
// }));
|
||||
|
||||
// const data = await coinMClient.getExchangeInfo();
|
||||
|
||||
// for (const item of data.symbols) {
|
||||
// if (item.pair !== 'BTCUSD') {
|
||||
// continue;
|
||||
// }
|
||||
// console.log(item);
|
||||
// }
|
||||
+3
-1
@@ -13,7 +13,7 @@
|
||||
|
||||
import type { Observable } from "rxjs";
|
||||
|
||||
import type { KlineInterval } from "./kline";
|
||||
import type { KlineInterval, PairType } from "./kline";
|
||||
|
||||
// ============================================================
|
||||
// 标准化行情数据结构
|
||||
@@ -97,6 +97,8 @@ export interface Kline {
|
||||
exchange: string;
|
||||
/** 交易对符号 */
|
||||
symbol: string;
|
||||
/** 交易对类型（spot / um / cm） */
|
||||
type: PairType;
|
||||
/** K 线周期 */
|
||||
interval: KlineInterval;
|
||||
/** 开盘时间（Unix ms） */
|
||||
|
||||
+2
-1
@@ -1,3 +1,4 @@
|
||||
export type * from './kline';
|
||||
export type * from './base';
|
||||
export * from './base';
|
||||
export * from './base';
|
||||
export type { PairType } from './kline';
|
||||
@@ -1,3 +1,6 @@
|
||||
/** 交易对类型 */
|
||||
export type PairType = 'spot' | 'um' | 'cm';
|
||||
|
||||
/** K 线周期枚举 */
|
||||
export type KlineInterval =
|
||||
| "1m"
|
||||
|
||||
Reference in New Issue
Block a user