From 85a0031a78004e99fb821b5629c37d0c646ca042 Mon Sep 17 00:00:00 2001 From: Rekey Date: Mon, 8 Jun 2026 01:24:48 +0800 Subject: [PATCH] =?UTF-8?q?feat(data):=20=E5=AE=9E=E7=8E=B0=20Binance=20We?= =?UTF-8?q?bSocket=20=E9=80=82=E9=85=8D=E5=99=A8=E4=B8=8E=E6=9E=B6?= =?UTF-8?q?=E6=9E=84=E9=87=8D=E6=9E=84?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit - 新增 exchanges/ 模块：MarketDataFeed 统一接口、BaseExchangeAdapter 抽象基类、 BinanceAdapter 完整实现（WebSocket + REST） - WebSocket 层基于 binance 官方 SDK 的 WebsocketClient，自动多路复用与断线重连 - REST 层使用 MainClient（Spot），实现 fetchKlines 自动分页补拉 + fetchMarkets 元数据解析 - 数据标准化：Ticker/Trade/OrderBook/Kline 类型定义与 Binance 原生格式互转 - 引入 RxJS Subject 作为统一事件流管道，按 eventType 运行时路由分发 - 重构 config/：YAML 驱动配置加载 + 零依赖运行时校验（fail-fast） - 重构 db/：TypeORM DataSource 配置 + TimescaleDB K 线 Hypertable 实体 - 新增 utils/logger.ts：Pino 结构化日志（开发环境 pino-pretty 彩色输出） - 新增 env.yaml 作为 TS/Python 共享的统一环境配置源 - 删除旧版手写 SQL schema 与散落配置文件，收敛到 TypeORM 实体管理 - 安装 rxjs@7.8.2 依赖 --- data/.env.example | 38 - data/ARCHITECTURE.md | 1348 ++++++ data/bun.lock | 985 +++++ data/config.ts | 184 - data/config/index.ts | 160 + data/config/validators.ts | 149 + data/db/config-crud.ts | 530 --- data/db/data-source.ts | 29 + data/db/entities/common.entity.ts | 32 + data/db/entities/exchange.entity.ts | 41 + data/db/entities/index.ts | 12 + data/db/entities/kline.entity.ts | 138 + data/db/entities/trading-pair.entity.ts | 105 + data/db/index.ts | 121 - data/db/pg.ts | 364 -- data/db/queries.ts | 561 --- data/db/types.ts | 249 -- data/db/validators.ts | 245 -- data/exchanges/base.ts | 186 + data/exchanges/binance.ts | 1063 +++-- data/exchanges/types.ts | 330 +- data/init-db/001_init.sql | 228 - data/init-db/002_config.sql | 136 - data/package-lock.json | 5320 ----------------------- data/package.json | 8 +- data/run/exchange.ts | 19 - data/schema/config.sql | 177 - data/schema/klines.sql | 206 - data/tsconfig.json | 4 + data/utils/logger.ts | 20 + env.yaml | 30 + 31 files changed, 4261 insertions(+), 8757 deletions(-) delete mode 100644 data/.env.example create mode 100644 data/ARCHITECTURE.md create mode 100644 data/bun.lock delete mode 100644 data/config.ts create mode 100644 data/config/index.ts create mode 100644 data/config/validators.ts delete mode 100644 data/db/config-crud.ts create mode 100644 data/db/data-source.ts create mode 100644 data/db/entities/common.entity.ts create mode 100644 data/db/entities/exchange.entity.ts create mode 100644 data/db/entities/index.ts create mode 100644 data/db/entities/kline.entity.ts create mode 100644 data/db/entities/trading-pair.entity.ts delete mode 100644 data/db/index.ts delete mode 100644 data/db/pg.ts delete mode 100644 data/db/queries.ts delete mode 100644 data/db/types.ts delete mode 100644 data/db/validators.ts create mode 100644 data/exchanges/base.ts delete mode 100644 data/init-db/001_init.sql delete mode 100644 data/init-db/002_config.sql delete mode 100644 data/package-lock.json delete mode 100644 data/run/exchange.ts delete mode 100644 data/schema/config.sql delete mode 100644 data/schema/klines.sql create mode 100644 data/utils/logger.ts create mode 100644 env.yaml diff --git a/data/.env.example b/data/.env.example deleted file mode 100644 index 0c7e6b9..0000000 --- a/data/.env.example +++ /dev/null @@ -1,38 +0,0 @@ -# ============================================================ -# Trade Data Module — 环境变量配置模板 -# ============================================================ -# 复制为 .env 并修改： -# cp .env.example .env -# ============================================================ - -# --- TimescaleDB 连接 --- -DB_HOST=localhost -DB_PORT=5432 -DB_NAME=trade -DB_USER=trader -DB_PASSWORD=changeme - -# --- Redis 连接 --- -REDIS_URL=redis://localhost:6379 -# 是否启用 Redis 发布（开发时可关闭） -REDIS_PUBLISH_ENABLED=true - -# --- 批量写入 --- -# 缓冲区条数阈值（达到后自动刷新） -BATCH_SIZE=500 -# 最大缓冲时间（毫秒），超时后自动刷新 -FLUSH_INTERVAL_MS=1000 - -# --- WebSocket 连接 --- -# 断线重连延迟基数（毫秒），指数退避：基数 × 2^attempts -WS_RECONNECT_DELAY_MS=3000 -# 心跳间隔（毫秒） -WS_PING_INTERVAL_MS=30000 -# 最大重连次数 -WS_MAX_RECONNECT_ATTEMPTS=10 - -# --- 日志 --- -# 日志级别：trace / debug / info / warn / error / fatal -LOG_LEVEL=debug -# 生产环境（关闭 pretty print，输出 JSON） -NODE_ENV=development diff --git a/data/ARCHITECTURE.md b/data/ARCHITECTURE.md new file mode 100644 index 0000000..1566dbc --- /dev/null +++ b/data/ARCHITECTURE.md @@ -0,0 +1,1348 @@ +# Trade Data Module — 技术架构说明 + +> **模块定位**：数字货币量化交易系统的数据层，负责多交易所行情采集、K 线合成、时序数据持久化与实时发布。 +> +> **运行时**：[Bun](https://bun.sh) | **语言**：TypeScript 5.x | **数据库**：PostgreSQL + TimescaleDB | **ORM**：TypeORM + @timescaledb/typeorm + +--- + +## 目录 + +1. [技术选型与依赖矩阵](#1-技术选型与依赖矩阵) +2. [整体架构](#2-整体架构) +3. [目录结构](#3-目录结构) +4. [核心模块设计](#4-核心模块设计) + - [4.1 配置模块 (`config/`)](#41-配置模块-config) + - [4.2 TypeORM 数据源 (`db/`)](#42-typeorm-数据源-db) + - [4.3 TimescaleDB K 线实体 (`db/entities/klines/`)](#43-timescaledb-k-线实体-dbentitiesklines) + - [4.4 关系数据实体 (`db/entities/`)](#44-关系数据实体-dbentities) + - [4.5 交易所适配器 (`exchanges/`)](#45-交易所适配器-exchanges) + - [4.6 K 线合成管道 (`pipeline/`)](#46-k-线合成管道-pipeline) + - [4.7 数据发布 (`publisher/`)](#47-数据发布-publisher) +5. [数据流生命周期](#5-数据流生命周期) +6. [TypeORM + TimescaleDB 集成细节](#6-typeorm--timescaledb-集成细节) +7. [配置管理策略](#7-配置管理策略) +8. [日志与可观测性](#8-日志与可观测性) +9. [错误处理与容错](#9-错误处理与容错) +10. [性能考量](#10-性能考量) +11. [开发工作流](#11-开发工作流) +12. [风险提示](#12-风险提示) + +--- + +## 1. 技术选型与依赖矩阵 + +### 1.1 为什么选择 Bun + TypeScript？ + +| 决策点 | 选型 | 理由 | +|--------|------|------| +| **运行时** | Bun | 原生支持 TypeScript，零配置运行 `.ts` 文件；内置 `bun:sql` 可在无 ORM 场景直连 PG；启动速度比 Node.js 快 4×；兼容 Node.js ecosystem | +| **语言** | TypeScript 5.x | 编译期类型检查，在数据管道中消除 `undefined` / 类型不匹配导致的运行时崩溃 | +| **包管理** | `bun install` | 与 Bun 运行时一体，安装速度比 npm 快 25× | +| **测试** | Vitest | 原生 ESM 支持，与 Bun 兼容良好，内置断言 + 覆盖率 | + +### 1.2 依赖矩阵 + +| 类别 | 依赖包 | 版本 | 用途 | +|------|--------|------|------| +| **ORM 框架** | `typeorm` | ^1.0 | 关系数据（交易对配置、交易所元数据）的 ORM 映射 | +| **时序 ORM** | `@timescaledb/typeorm` | ^0.0.1 | TimescaleDB hypertable 实体定义、自动迁移、连续聚合管理 | +| **PG 驱动** | `pg` | ^8.21 | TypeORM 底层 PG 连接；独立批量写入场景的备选路径 | +| **Redis** | `ioredis` | ^5.11 | Pub/Sub 行情发布、缓存、跨语言消息队列 | +| **交易所 SDK** | `ccxt` | ^4.5 | 统一 100+ 交易所 REST API | +| **交易所 WS** | `binance` | ^3.5 | Binance 官方 WebSocket 客户端（ccxt 的 WS 能力较弱） | +| **WebSocket** | `ws` | ^8.21 | 通用 WebSocket 客户端（非 Binance 交易所） | +| **日志** | `pino` | ^10.3 | 高性能结构化日志（Bun 下吞吐 > 100k/s） | +| **YAML 解析** | `yaml` | ^2.9 | 解析项目根目录 env.yaml 配置文件 | + +### 1.3 TypeORM + TimescaleDB 分工边界 + +``` +┌─────────────────────────────────────────────────────────────┐ +│ PostgreSQL 实例 │ +│ │ +│ ┌─────────────────────────────────────┐ │ +│ │ TypeORM 管理域（关系数据） │ │ +│ │ · exchanges（交易所配置） │ │ +│ │ · trading_pairs（交易对配置） │ │ +│ │ · symbols（币种元数据） │ │ +│ │ · data_sources（数据源注册） │ │ +│ │ → Migration: TypeORM 自动/手动迁移 │ │ +│ └─────────────────────────────────────┘ │ +│ │ +│ ┌─────────────────────────────────────┐ │ +│ │ @timescaledb/typeorm 管理域（时序） │ │ +│ │ · klines_1m（1 分钟 K 线 hypertable）│ │ +│ │ · klines_1h（1 小时连续聚合视图） │ │ +│ │ · trades（逐笔成交 hypertable） │ │ +│ │ → Migration: @timescaledb/typeorm │ │ +│ │ 自动创建 hypertable + 压缩策略 │ │ +│ └─────────────────────────────────────┘ │ +└─────────────────────────────────────────────────────────────┘ +``` + +> **设计原则**：TypeORM 管理结构稳定的关系数据（schema 变更频率低）；`@timescaledb/typeorm` 管理写入密集型时序数据（利用 TimescaleDB 的自动分区、压缩、保留策略）。 + +--- + +## 2. 整体架构 + +``` +┌──────────────────────────────────────────────────────────────────────┐ +│ Trade Data Module (Bun + TS) │ +│ │ +│ ┌──────────┐ ┌──────────┐ ┌──────────┐ │ +│ │ Binance │ │ OKX │ │ Bybit │ ← 交易所 WebSocket 适配器 │ +│ │ Adapter │ │ Adapter │ │ Adapter │ │ +│ └────┬─────┘ └────┬─────┘ └────┬─────┘ │ +│ │ │ │ │ +│ └──────────────┼──────────────┘ │ +│ ▼ │ +│ ┌────────────────────────────────────────┐ │ +│ │ 统一行情事件流（RxJS） │ │ +│ │ ticker$ │ trade$ │ orderbook$ │ │ +│ └──────────────────┬─────────────────────┘ │ +│ ▼ │ +│ ┌────────────────────────────────────────┐ │ +│ │ K 线合成管道（时间桶算法） │ │ +│ │ Trade → 1m → 5m → 15m → 1h → 4h → 1d │ │ +│ └────────┬───────────────────┬───────────┘ │ +│ ▼ ▼ │ +│ ┌────────────────┐ ┌──────────────────┐ │ +│ │ TimescaleDB │ │ Redis Pub/Sub │ │ +│ │ @timescaledb/ │ │ (ioredis) │ │ +│ │ typeorm 写入 │ │ 行情实时发布 │ │ +│ └───────┬────────┘ └────────┬─────────┘ │ +│ │ │ │ +│ ┌───────▼────────┐ ┌───────▼─────────┐ │ +│ │ 连续聚合视图 │ │ Python 策略引擎 │ │ +│ │ (自动刷新) │ │ (消费实时行情) │ │ +│ └────────────────┘ └─────────────────┘ │ +│ │ +│ ┌────────────────────────────────────────┐ │ +│ │ TypeORM 实体（关系数据） │ │ +│ │ Exchange / TradingPair / Symbol / │ │ +│ │ DataSource / Subscription │ │ +│ └────────────────────────────────────────┘ │ +└──────────────────────────────────────────────────────────────────────┘ +``` + +--- + +## 3. 目录结构 + +``` +data/ +├── ARCHITECTURE.md # ← 本文件：技术架构说明 +├── package.json # 依赖与脚本 +├── tsconfig.json # TypeScript 配置 +├── bun.lock # Bun 依赖锁定文件 +│ +├── config/ # 中心化配置模块（目录） +│ ├── index.ts # 配置加载与分组导出（pgsql / redis / logging） +│ └── validators.ts # 零依赖运行时校验（env.yaml → EnvConfig） +│ +├── db/ # 数据库层 +│ ├── data-source.ts # TypeORM DataSource 配置 +│ │ +│ ├── entities/ # 所有 ORM 实体（关系 + 时序） +│ │ ├── index.ts # 实体统一导出 +│ │ ├── common.entity.ts # 公共基类（UUID 主键 + created_at/updated_at） +│ │ ├── exchange.entity.ts # 交易所（binance/okx/bybit） +│ │ ├── trading-pair.entity.ts # 交易对（BTCUSDT/ETHUSDT） +│ │ └── kline.entity.ts # TimescaleDB K 线 hypertable（1m） +│ │ +│ └── migrations/ # TypeORM 迁移文件（自动生成） +│ └── .gitkeep +├── exchanges/ # 交易所适配器（待实现） +├── pipeline/ # K 线合成管道（待实现） +├── publisher/ # Redis 数据发布（待实现） +├── types/ # 共享类型定义 +├── utils/ # 工具函数 +├── index.ts # 模块入口 +├── logger.ts # Pino 日志实例 +└── tests/ # 测试 +``` + +--- + +## 4. 核心模块设计 + +### 4.1 配置模块 [`config/`](config/index.ts:1) + +``` +加载流程： + 项目根目录 env.yaml → parseYaml() 解析 → validateConfig() 零依赖校验 + → 按职责分组导出: pgsql / redis / logging +``` + +| 导出对象 | 字段 | 来源 | 说明 | +|----------|------|------|------| +| `pgsql` | host, port, database, user, password, max, idleTimeoutMillis, connectionTimeoutMillis | `env.yaml` → 校验 + 硬编码 | pg Pool 配置，TypeORM DataSource 复用；`max`/`idleTimeoutMillis`/`connectionTimeoutMillis` 硬编码 | +| `redis` | url, publishEnabled, channelPrefix, retryDelayBaseMs, maxRetries | `env.yaml` → 校验 + 硬编码 | ioredis 连接与 Pub/Sub 配置；`channelPrefix`/`retryDelayBaseMs`/`maxRetries` 硬编码 | +| `logging` | level, nodeEnv, pretty | `env.yaml` → 校验 | Pino 日志配置；`pretty` 由 `node_env === "development"` 推导 | + +> **设计原则**：仅数据库连接、Redis 连接、日志级别等运维配置通过 `env.yaml` 暴露。配置源为项目根目录的 `env.yaml`，TypeScript/Python 模块共享同一份配置。 + +**校验定义位置**：[`config/validators.ts`](config/validators.ts) — 零依赖运行时校验（`assertString` / `assertPort` / `assertBoolean` / `assertEnum`），fail-fast 原则。 + +**配置分组详情**： + +```typescript +// —— pgsql: 数据库连接 —— +export const pgsql = { + host: rawConfig.db.host, // env.yaml default: "localhost" + port: rawConfig.db.port, // env.yaml default: 5432 + database: rawConfig.db.name, // env.yaml default: "trade" + user: rawConfig.db.user, // env.yaml default: "trader" + password: rawConfig.db.password, // env.yaml required + max: 20, // 硬编码：连接池上限 + idleTimeoutMillis: 30000, // 硬编码：空闲超时 30s + connectionTimeoutMillis: 5000, // 硬编码：连接获取超时 5s +} as const; + +// —— redis: 消息队列 —— +export const redis = { + url: rawConfig.redis.url, // env.yaml default: "redis://localhost:6379" + publishEnabled: rawConfig.redis.publish_enabled, // env.yaml default: true + channelPrefix: "trade", // 硬编码 + retryDelayBaseMs: 1000, // 硬编码 + maxRetries: 10, // 硬编码 +} as const; + +// —— logging: 日志 —— +export const logging = { + level: rawConfig.logging.level, // env.yaml default: "debug" + nodeEnv: rawConfig.logging.node_env, // env.yaml default: "development" + pretty: rawConfig.logging.node_env === "development", +} as const; +``` + +--- + +### 4.2 TypeORM 数据源 [`db/data-source.ts`](db/data-source.ts) + +```typescript +// data/db/data-source.ts +import { DataSource } from "typeorm"; +import { pgsql } from "../config"; +import * as entities from "./entities"; + +export const AppDataSource = new DataSource({ + type: "postgres", + host: pgsql.host, port: pgsql.port, + database: pgsql.database, + username: pgsql.user, password: pgsql.password, + // 所有实体（关系 + 时序）通过 db/entities/index.ts 统一注册 + entities: [...Object.values(entities)], + synchronize: true, // 开发环境自动同步 schema + migrations: [__dirname + "/migrations/*.{ts,js}"], + extra: { + max: pgsql.max, + idleTimeoutMillis: pgsql.idleTimeoutMillis, + connectionTimeoutMillis: pgsql.connectionTimeoutMillis, + }, +}); +await AppDataSource.initialize(); +``` + +#### 实体注册原则 + +- **关系实体**（`Exchange`, `TradingPair`）：继承 `CommonBaseEntity`（UUID 主键 + created_at/updated_at），标准 `@Entity()` 装饰器 +- **时序实体**（`Kline`）：不继承 `CommonBaseEntity`，使用 `@Hypertable()` + `@TimeColumn()` 自动创建 TimescaleDB hypertable +- **统一入口**：所有实体通过 [`db/entities/index.ts`](db/entities/index.ts) 导出，`...Object.values(entities)` 自动注册 + +--- + +### 4.3 TimescaleDB K 线实体 [`db/entities/klines/`](db/entities/klines/) + +#### [`kline.entity.ts`](db/entities/klines/kline.entity.ts) — 1m K 线 Hypertable + +```typescript +// data/db/entities/klines/kline.entity.ts +import { + Hypertable, + TimeColumn, + PartitionColumn, + Compress, + ContinuousAggregate, +} from "@timescaledb/typeorm"; +import { + Entity, + PrimaryColumn, + Column, + Unique, + Index, + CreateDateColumn, + UpdateDateColumn, +} from "typeorm"; + +/** + * 1 分钟 K 线 Hypertable + * + * TimescaleDB 自动按 time 列分区（chunk_time_interval = 1 day）， + * 按 exchange 做空间分区（number_partitions = 4）， + * 关闭 7 天后自动启用列式压缩。 + */ +@Hypertable({ + chunk_time_interval: "1 day", // 每个 chunk 含 1 天数据 + partitioning_column: "exchange", // 空间分区列 + number_partitions: 4, // 4 个空间分区 + if_not_exists: true, +}) +@Compress({ + segmentby: "exchange, symbol, interval", // 压缩分区键 + orderby: "time DESC", // 压缩排序键 + compress_after: "7 days", // 7 天后自动压缩 +}) +@Index(["exchange", "symbol", "interval", "time"], { unique: true }) +export class Kline { + @TimeColumn() // @timescaledb/typeorm: 标记为时间分区列 + @PrimaryColumn("timestamptz") + time!: Date; + + @PartitionColumn() // @timescaledb/typeorm: 标记为空间分区列 + @Column("text") + exchange!: string; + + @Column("text") + symbol!: string; + + @Column("text") + interval!: string; // "1m" + + // === OHLCV 价格数据（NUMERIC(20,8) 精度） === + @Column("numeric", { precision: 20, scale: 8 }) + open!: number; + + @Column("numeric", { precision: 20, scale: 8 }) + high!: number; + + @Column("numeric", { precision: 20, scale: 8 }) + low!: number; + + @Column("numeric", { precision: 20, scale: 8 }) + close!: number; + + @Column("numeric", { precision: 20, scale: 8 }) + volume!: number; + + // === 扩展字段 === + @Column("numeric", { precision: 20, scale: 8, nullable: true }) + quote_volume?: number; + + @Column("numeric", { precision: 20, scale: 8, nullable: true }) + taker_buy_base_vol?: number; + + @Column("numeric", { precision: 20, scale: 8, nullable: true }) + taker_buy_quote_vol?: number; + + @Column("integer", { nullable: true }) + trade_count?: number; + + @Column("boolean", { default: true }) + is_closed!: boolean; + + // === 审计字段 === + @CreateDateColumn("timestamptz") + created_at!: Date; + + @UpdateDateColumn("timestamptz") + updated_at!: Date; +} +``` + +> **@timescaledb/typeorm 关键装饰器**： +> +> | 装饰器 | 作用 | SQL 等价 | +> |--------|------|----------| +> | `@Hypertable()` | 将实体映射为 TimescaleDB hypertable | `SELECT create_hypertable(...)` | +> | `@TimeColumn()` | 标记时间分区列 | `-- time 列` | +> | `@PartitionColumn()` | 标记空间分区列 | `partitioning_column =>` | +> | `@Compress()` | 配置自动压缩策略 | `ALTER TABLE SET (timescaledb.compress)` + `add_compression_policy()` | +> | `@ContinuousAggregate()` | 声明连续聚合视图（见下文） | `CREATE MATERIALIZED VIEW ... WITH (timescaledb.continuous)` | + +#### [`trade.entity.ts`](db/entities/klines/trade.entity.ts) — 逐笔成交 Hypertable + +```typescript +// data/db/entities/klines/trade.entity.ts +/** + * 逐笔成交记录 Hypertable + * + * 存储交易所推送的每笔撮合成交，是 K 线合成器的数据源。 + * 数据量极大（BTCUSDT 高峰 >100tps），保留策略设为 3 天。 + */ +@Hypertable({ + chunk_time_interval: "1 hour", // 高频写入，chunk 更细 + partitioning_column: "exchange", + number_partitions: 4, + if_not_exists: true, +}) +@Compress({ + segmentby: "exchange, symbol", + orderby: "trade_time DESC", + compress_after: "1 day", // 1 天后即压缩 +}) +export class Trade { + @TimeColumn() + @PrimaryColumn("timestamptz") + trade_time!: Date; + + @PartitionColumn() + @Column("text") + exchange!: string; + + @Column("text") + symbol!: string; + + @Column("numeric", { precision: 20, scale: 8 }) + price!: number; + + @Column("numeric", { precision: 20, scale: 8 }) + amount!: number; // 成交数量（base 币种） + + @Column("numeric", { precision: 20, scale: 8 }) + quote_amount!: number; // 成交额（quote 币种） + + @Column("boolean") + is_buyer_maker!: boolean; // true = 主动卖出, false = 主动买入 + + @Column("bigint", { nullable: true }) + trade_id?: number; // 交易所成交 ID + + @CreateDateColumn("timestamptz") + created_at!: Date; +} +``` + +#### 连续聚合声明（5m / 15m / 1h / 1d） + +`@timescaledb/typeorm` 支持通过实体类声明连续聚合，替代手动编写 SQL 物化视图： + +```typescript +// data/db/entities/klines/kline-1h.entity.ts（示意） +import { ContinuousAggregate } from "@timescaledb/typeorm"; + +/** + * 1h K 线连续聚合视图 + * + * 从 klines (1m) 表自动聚合，刷新策略：每 5 分钟刷新最近 1 天数据。 + * 应用程序查询时自动路由到该视图，无需扫描 1m 表。 + */ +@ContinuousAggregate({ + source: () => Kline, // 源实体（1m K 线） + bucket_interval: "1 hour", // 聚合时间桶 + refresh: { + start_offset: "3 days", + end_offset: "1 hour", // 留 1 小时给延迟数据 + schedule_interval: "5 minutes", + }, +}) +export class Kline1h { + @TimeColumn() + @PrimaryColumn("timestamptz") + time!: Date; + + @Column("text") exchange!: string; + @Column("text") symbol!: string; + + // 聚合字段（由 timescaledb 自动填充） + open!: number; + high!: number; + low!: number; + close!: number; + volume!: number; + quote_volume!: number; + trade_count!: number; +} +``` + +> **注意**：`@timescaledb/typeorm` 的 `@ContinuousAggregate` 装饰器目前处于实验阶段（v0.0.1）。生产环境中建议同时保留 `db/init-db/` 下的原始 SQL 建表脚本作为 fallback，通过 Docker 的 `/docker-entrypoint-initdb.d/` 自动执行。 + +--- + +### 4.4 关系数据实体 [`db/entities/`](db/entities/) + +这些实体由标准 TypeORM 管理，存储业务配置数据。 + +#### [`exchange.entity.ts`](db/entities/exchange.entity.ts) + +```typescript +// data/db/entities/exchange.entity.ts +@Entity("exchanges") +export class Exchange { + @PrimaryGeneratedColumn("uuid") + id!: string; + + @Column("varchar", { length: 50, unique: true }) + name!: string; // "binance" | "okx" | "bybit" + + @Column("varchar", { length: 100 }) + label!: string; // "Binance" | "OKX" | "Bybit" + + @Column("boolean", { default: true }) + enabled!: boolean; // 是否启用该交易所 + + @Column("jsonb", { nullable: true }) + config?: Record; // 交易所特定配置（费率、最小下单量等） +} +``` + +#### [`trading-pair.entity.ts`](db/entities/trading-pair.entity.ts) + +```typescript +// data/db/entities/trading-pair.entity.ts +@Entity("trading_pairs") +@Index(["exchange_id", "symbol"], { unique: true }) +export class TradingPair { + @PrimaryGeneratedColumn("uuid") + id!: string; + + @ManyToOne(() => Exchange) + @JoinColumn({ name: "exchange_id" }) + exchange!: Exchange; + + @Column("varchar", { length: 20 }) + symbol!: string; // "BTCUSDT" + + @Column("varchar", { length: 10 }) + base_asset!: string; // "BTC" + + @Column("varchar", { length: 10 }) + quote_asset!: string; // "USDT" + + @Column("numeric", { precision: 20, scale: 8, nullable: true }) + min_qty?: number; // 最小下单量 + + @Column("numeric", { precision: 20, scale: 8, nullable: true }) + step_size?: number; // 下单步长 + + @Column("boolean", { default: true }) + active!: boolean; // 是否订阅 +} +``` + +#### [`symbol.entity.ts`](db/entities/symbol.entity.ts) + +```typescript +// data/db/entities/symbol.entity.ts +@Entity("symbols") +export class SymbolEntity { + @PrimaryGeneratedColumn("uuid") + id!: string; + + @Column("varchar", { length: 10, unique: true }) + asset!: string; // "BTC" | "ETH" + + @Column("varchar", { length: 50, nullable: true }) + name?: string; // "Bitcoin" | "Ethereum" + + @Column("boolean", { default: false }) + is_stablecoin!: boolean; // 是否为稳定币 +} +``` + +#### 实体 ER 关系 + +``` +┌─────────────┐ ┌──────────────────┐ ┌─────────────┐ +│ Exchange │──1:N──│ TradingPair │──N:1──│ SymbolEntity│ +│ │ │ │ │ │ +│ id (PK) │ │ id (PK) │ │ id (PK) │ +│ name │ │ exchange_id (FK) │ │ asset │ +│ label │ │ symbol │ │ name │ +│ enabled │ │ base_asset │ │ is_stablecoin│ +│ config │ │ quote_asset │ │ │ +└─────────────┘ │ min_qty │ └─────────────┘ + │ step_size │ + │ active │ + └──────────────────┘ +``` + +--- + +### 4.5 交易所适配器 [`exchanges/`](exchanges/) + +```typescript +// data/exchanges/types.ts +import type { Observable } from "rxjs"; + +/** 统一行情数据源接口 —— 所有交易所适配器必须实现 */ +export interface MarketDataFeed { + /** 交易所标识 */ + readonly exchange: string; + + /** 建立 WebSocket 连接 */ + connect(): Promise; + + /** 断开连接 */ + disconnect(): Promise; + + /** 订阅实时 Ticker 流 */ + subscribeTicker(symbols: string[]): Observable; + + /** 订阅逐笔成交流 */ + subscribeTrade(symbols: string[]): Observable; + + /** 订阅订单簿深度 */ + subscribeOrderbook(symbol: string, depth?: number): Observable; + + /** REST 拉取历史 K 线（用于补齐缺失数据） */ + fetchKlines( + symbol: string, + interval: KlineInterval, + startTime: number, + endTime: number, + limit?: number + ): Promise; + + /** 连接状态 */ + readonly connectionState: "disconnected" | "connecting" | "connected" | "error"; +} +``` + +#### 基类设计 [`base.ts`](exchanges/base.ts) + +```typescript +// data/exchanges/base.ts +export abstract class BaseExchangeAdapter implements MarketDataFeed { + abstract readonly exchange: string; + + protected connectionState: "disconnected" | "connecting" | "connected" | "error" = + "disconnected"; + + // 指数退避重连（所有子类复用） + // 重连参数在各子类构造函数中注入，默认值: baseDelay=3000ms, maxAttempts=10 + protected async reconnect(attempt: number, baseDelayMs = 3000): Promise { + const delay = baseDelayMs * Math.pow(2, Math.min(attempt, 5)); + logger.warn({ exchange: this.exchange, attempt, delay }, "WebSocket reconnecting"); + await sleep(delay); + await this.connect(); + } + + abstract connect(): Promise; + abstract disconnect(): Promise; + abstract subscribeTicker(symbols: string[]): Observable; + abstract subscribeTrade(symbols: string[]): Observable; + abstract subscribeOrderbook(symbol: string, depth?: number): Observable; + abstract fetchKlines( + symbol: string, interval: KlineInterval, + startTime: number, endTime: number, limit?: number + ): Promise; +} +``` + +**适配器实现矩阵**： + +| 交易所 | 适配器类 | WebSocket 库 | REST 库 | 备注 | +|--------|---------|-------------|---------|------| +| Binance | `BinanceAdapter` | `binance` (官方 SDK) | `ccxt` | 官方 WS 支持组合流（多 symbol 单连接），性能最优 | +| OKX | `OKXAdapter` | `ccxt.pro` | `ccxt` | ccxt.pro 内置 WS 管理 | +| Bybit | `BybitAdapter` | `ws` (裸库) | `ccxt` | Bybit V5 WebSocket 协议 | + +--- + +### 4.6 K 线合成管道 [`pipeline/`](pipeline/) + +#### 时间桶算法（核心） + +``` +每收到一条 Trade： + 1. 计算桶索引: bucketIndex = floor(timestamp / intervalMs) + 2. 若 bucketIndex ≠ 当前桶: + a. emit 当前桶 K 线（已关闭） + b. 创建新桶，O=H=L=C=price, V=amount + 3. 若仍在当前桶: + a. H = max(H, price) + b. L = min(L, price) + c. C = price + d. V += amount +``` + +#### 多周期合成策略（混合方案） + +``` +Trade 流 ────► 1m 合成器（时间桶，数据源= Trade） + │ + ▼ 输出 1m K 线 + ┌─────────────┐ + │ 1m → 5m 聚合 │ ← 5 根 1m → 1 根 5m + └──────┬──────┘ + ▼ + ┌──────────────┐ + │ 5m → 15m 聚合 │ ← 3 根 5m → 1 根 15m + └──────┬───────┘ + ▼ + ┌──────────────┐ + │ 15m → 1h 聚合 │ ← 4 根 15m → 1 根 1h + └──────────────┘ +``` + +> **设计理由**：1m 用 Trade 实时合成（精度最高），5m+ 从低周期聚合（计算量最小）。避免为每个周期维护独立的 Trade 缓存造成内存压力。 + +#### 核心代码骨架 + +```typescript +// data/pipeline/kline-synthesizer.ts +import { Subject, interval } from "rxjs"; +import type { Trade, Kline, KlineInterval } from "../types/market"; + +const INTERVAL_MS: Record = { + "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, +}; + +interface Bucket { + openTime: number; + open: number; + high: number; + low: number; + close: number; + volume: number; + tradeCount: number; + isClosed: boolean; +} + +export class KlineSynthesizer { + private buckets = new Map(); + + /** + * 输入一条 Trade，产出可能的闭合 K 线。 + * 返回 null 表示当前桶未关闭，暂不产出。 + */ + synthesize( + exchange: string, + symbol: string, + interval: KlineInterval, + trade: Trade, + ): Kline | null { + const intervalMs = INTERVAL_MS[interval]; + const bucketTime = Math.floor(trade.timestamp / intervalMs) * intervalMs; + const key = `${exchange}:${symbol}:${interval}:${bucketTime}`; + + const existing = this.buckets.get(key); + if (!existing) { + this.buckets.set(key, { + openTime: bucketTime, + open: trade.price, + high: trade.price, + low: trade.price, + close: trade.price, + volume: trade.amount, + tradeCount: 1, + isClosed: false, + }); + return null; // 新桶第一条，不产出 + } + + existing.high = Math.max(existing.high, trade.price); + existing.low = Math.min(existing.low, trade.price); + existing.close = trade.price; + existing.volume += trade.amount; + existing.tradeCount += 1; + return null; + } + + /** 定时关闭过期桶，返回已闭合 K 线列表 */ + closeExpired(now: number): Kline[] { + const closed: Kline[] = []; + for (const [key, bucket] of this.buckets.entries()) { + const intervalMs = INTERVAL_MS["1m"]; // 仅 1m 合成器有此方法 + if (!bucket.isClosed && now >= bucket.openTime + intervalMs + 15000) { + bucket.isClosed = true; + closed.push(/* 构建 Kline 对象 */); + this.buckets.delete(key); + } + } + return closed; + } + + /** 从 1m K 线聚合为高周期 K 线 */ + static aggregate( + klines: Kline[], + targetInterval: KlineInterval, + ): Kline[] { + const intervalMs = INTERVAL_MS[targetInterval]; + const groups = new Map(); + + for (const k of klines) { + const bucketTime = Math.floor(k.openTime / intervalMs) * intervalMs; + const group = groups.get(bucketTime) ?? []; + group.push(k); + groups.set(bucketTime, group); + } + + return Array.from(groups.entries()).map(([bucketTime, group]) => ({ + openTime: bucketTime, + closeTime: bucketTime + intervalMs, + open: group[0]!.open, + high: Math.max(...group.map(k => k.high)), + low: Math.min(...group.map(k => k.low)), + close: group[group.length - 1]!.close, + volume: group.reduce((sum, k) => sum + k.volume, 0), + // ... + })); + } +} +``` + +#### 数据清洗 [`cleaner.ts`](pipeline/cleaner.ts) + +| 清洗规则 | 触发条件 | 处理方式 | +|----------|----------|----------| +| 价格异常 | `|price - median| > 10 * MAD` | 丢弃该条 Trade | +| 空成交量 | `volume === 0 && tradeCount === 0` | 用前一根 K 线的 Close 填充（平盘 K 线） | +| 时间戳乱序 | `trade.timestamp < lastTimestamp` | 100ms 排序窗口内重排，超时则丢弃 | +| 断线缺失 | 连续 5 分钟无数据 | 标记 `gap: true`，策略端可选择跳过 | + +--- + +### 4.7 数据发布 [`publisher/`](publisher/) + +```typescript +// data/publisher/redis.ts +import Redis from "ioredis"; +import { redis as redisConfig } from "../../config"; + +export class RedisPublisher { + private client: Redis; + private readonly prefix: string; + + constructor() { + this.prefix = redisConfig.channelPrefix; // "trade" + this.client = new Redis(redisConfig.url, { + retryStrategy: (times) => { + if (times > redisConfig.maxRetries) return null; // 停止重试 + return redisConfig.retryDelayBaseMs * Math.pow(2, times); + }, + }); + } + + /** 发布实时 Ticker */ + async publishTicker(exchange: string, symbol: string, data: Ticker): Promise { + if (!redisConfig.publishEnabled) return; + const channel = `${this.prefix}:market:ticker:${exchange}:${symbol}`; + await this.client.publish(channel, JSON.stringify(data)); + } + + /** 发布 K 线（增量 — 只推送最新一根的 OHLCV 变化） */ + async publishKlineDelta( + exchange: string, symbol: string, interval: string, delta: KlineDelta, + ): Promise { + if (!redisConfig.publishEnabled) return; + const channel = `${this.prefix}:market:kline:${exchange}:${symbol}:${interval}`; + await this.client.publish(channel, JSON.stringify(delta)); + } +} +``` + +**Redis Pub/Sub 频道命名规范**： + +| 频道模式 | 说明 | 消费方 | +|----------|------|--------| +| `trade:market:ticker:{exchange}:{symbol}` | 实时 Ticker | Python 策略引擎 | +| `trade:market:kline:{exchange}:{symbol}:{interval}` | K 线增量更新 | Python 策略引擎 | +| `trade:market:trade:{exchange}:{symbol}` | 逐笔成交 | Python 策略引擎 | +| `trade:system:heartbeat:data` | 数据模块心跳 | 监控告警 | +| `trade:system:error:data` | 数据模块异常 | 监控告警 | + +--- + +## 5. 数据流生命周期 + +``` + 交易所 WebSocket + │ + ┌────────────┼────────────┐ + ▼ ▼ ▼ + Binance WS OKX WS Bybit WS + │ │ │ + └────────────┼────────────┘ + │ + ┌──────▼──────┐ + │ RxJS 流 │ + │ ticker$ │ + │ trade$ │ + │ orderbook$ │ + └──────┬──────┘ + │ + ┌────────────┼────────────┐ + ▼ ▼ ▼ + K线合成器 数据清洗 格式转换 + (时间桶) (异常过滤) (标准化) + │ │ │ + └────────────┼────────────┘ + │ + ┌────────────┼────────────┐ + ▼ ▼ + ┌──────────────────┐ ┌──────────────────┐ + │ @timescaledb/ │ │ Redis Pub/Sub │ + │ typeorm 批量写入 │ │ 实时行情发布 │ + │ │ │ │ + │ · Kline (1m) │ │ · ticker channel │ + │ · Trade (逐笔) │ │ · kline channel │ + │ │ │ · trade channel │ + └────────┬──────────┘ └────────┬─────────┘ + │ │ + ▼ ▼ + ┌──────────────────┐ ┌──────────────────┐ + │ TimescaleDB │ │ Python 策略引擎 │ + │ 连续聚合刷新 │ │ (消费 + 决策) │ + │ · klines_5m │ │ │ + │ · klines_15m │ │ │ + │ · klines_1h │ │ │ + │ · klines_1d │ │ │ + └──────────────────┘ └──────────────────┘ +``` + +### 启动时序 + +``` +1. 加载配置（config/index.ts → 读取 env.yaml → 零依赖校验） +2. 初始化 Pino 日志 +3. TypeORM DataSource.initialize() + ├── 连接 PostgreSQL + ├── 自动创建 TimescaleDB 扩展（如不存在） + ├── 执行 Migration（生产环境） + └── 注册 @timescaledb/typeorm 订阅者 +4. 初始化 Redis 连接（ioredis） +5. 从数据库加载 TradingPair 列表（active = true） +6. 启动交易所适配器（并行） + ├── connect() → WebSocket 连接 + └── subscribeTicker/Trade(symbols) → RxJS Observable +7. 启动管道 + ├── KlineSynthesizer 订阅 trade$ + ├── DataCleaner 订阅合成输出 + └── TimescaleDBWriter + RedisPublisher 订阅清洗输出 +8. 注册 SIGTERM/SIGINT 优雅关闭 +``` + +--- + +## 6. TypeORM + TimescaleDB 集成细节 + +### 6.1 写入路径选择 + +| 场景 | 方案 | 原因 | +|------|------|------| +| **关系数据 CRUD**（交易对配置、交易所） | TypeORM Repository API | 标准 ORM 操作，事务支持，类型安全 | +| **K 线批量写入**（高频） | TypeORM Repository `upsert()` + 批量 | TypeORM 的 `upsert` 方法支持 `ON CONFLICT DO UPDATE` | +| **K 线海量写入**（极端场景） | 裸 `pg` Pool + `INSERT ... ON CONFLICT` | 绕过 ORM 开销，直接参数化 SQL，批量 500 条/次 | + +```typescript +// 方案 A: TypeORM Repository upsert（推荐日常使用） +const klineRepo = AppDataSource.getRepository(Kline); +await klineRepo.upsert(batchRecords, { + conflictPaths: ["time", "exchange", "symbol", "interval"], + skipUpdateIfNoValuesChanged: true, +}); + +// 方案 B: 裸 pg 批量写入（极端性能场景） +import { Pool } from "pg"; +const pool = new Pool(pgsql); +await pool.query(` + INSERT INTO klines (...) VALUES ${values} + ON CONFLICT (time, exchange, symbol, interval) DO UPDATE SET + high = GREATEST(klines.high, EXCLUDED.high), + low = LEAST(klines.low, EXCLUDED.low), + close = EXCLUDED.close, + volume = klines.volume + EXCLUDED.volume, + updated_at = NOW() +`, params); +``` + +### 6.2 批量写入缓冲 + +```typescript +// data/pipeline/writer.ts +export class KlineWriter { + private buffer: Kline[] = []; + private flushTimer: ReturnType; + + constructor( + private readonly repo: Repository, + private readonly batchSize = 500, + private readonly flushIntervalMs = 1000, + ) { + // 定时刷新：即使未达阈值，也保证最大延迟 ≤ flushIntervalMs + this.flushTimer = setInterval(() => this.flush(), this.flushIntervalMs); + } + + async write(kline: Kline): Promise { + this.buffer.push(kline); + if (this.buffer.length >= this.batchSize) { + await this.flush(); + } + } + + private async flush(): Promise { + if (this.buffer.length === 0) return; + const batch = this.buffer.splice(0, this.batchSize); + await this.repo.upsert(batch, { + conflictPaths: ["time", "exchange", "symbol", "interval"], + }); + logger.debug({ count: batch.length }, "Kline batch flushed"); + } + + async destroy(): Promise { + clearInterval(this.flushTimer); + await this.flush(); // 最后刷新残留数据 + } +} +``` + +### 6.3 TimescaleDB 特定配置 + +通过 `@timescaledb/typeorm` 在 DataSource 初始化时自动设置： + +```typescript +// db/data-source.ts 初始化后执行 +await AppDataSource.initialize(); + +// @timescaledb/typeorm 会自动： +// 1. CREATE EXTENSION IF NOT EXISTS timescaledb; +// 2. 为 @Hypertable() 实体调用 create_hypertable() +// 3. 为 @Compress() 实体调用 add_compression_policy() +// 4. 为 @ContinuousAggregate() 实体创建物化视图 + 刷新策略 +``` + +如果 `@timescaledb/typeorm` 的自动迁移不稳定，推荐 fallback 方案：在 `docker-compose.yml` 中挂载初始化脚本到 `db/init-db/`，容器启动时自动执行原始 SQL。 + +--- + +## 7. 配置管理策略 + +### 7.1 配置文件 + +项目根目录 [`env.yaml`](../../env.yaml) 为统一环境配置源，TypeScript（`data/config/`）和 Python 模块共享同一份 YAML。 + +``` +/ +├── env.yaml ← 统一配置源（YAML，TS/Python 共享） +└── data/ + └── config/ + ├── index.ts ← 读取 env.yaml → 校验 → 导出分组配置 + └── validators.ts ← 零依赖运行时校验（assertString / assertPort / assertEnum） +``` + +### 7.2 env.yaml 配置段 + +```yaml +# --- TimescaleDB / PostgreSQL --- +db: + host: localhost + port: 5432 + name: trade + user: trader + password: fucketh + +# --- Redis --- +redis: + url: redis://localhost:6379 + publish_enabled: true + +# --- 日志 --- +logging: + level: debug # trace / debug / info / warn / error / fatal + node_env: development # development / production / test +``` + +### 7.3 使用方式 + +```typescript +// 任何模块中导入配置（所有导出对象均为强类型 as const） +import { pgsql, redis, logging } from "../config"; + +// TypeORM DataSource +const ds = new DataSource({ type: "postgres", ...pgsql }); + +// Redis 客户端 +const redisClient = new Redis(redis.url); + +// 环境判断 +if (logging.nodeEnv === "development") { + logger.info("Config loaded"); +} +``` + +--- + +## 8. 日志与可观测性 + +### 8.1 Pino 日志配置 + +```typescript +// data/logger.ts +import pino from "pino"; +import { logging } from "../config"; + +export const logger = pino({ + level: logging.level, + // 开发环境：使用 pino-pretty 彩色输出 + // 生产环境：JSON 格式，便于 ELK / Loki 采集 + ...(logging.pretty + ? { transport: { target: "pino-pretty", options: { colorize: true } } } + : {}), + // 自动注入模块名 + base: { module: "trade-data" }, + // 序列化 Error 对象 + serializers: { + err: pino.stdSerializers.err, + }, +}); +``` + +### 8.2 日志规范 + +| 级别 | 使用场景 | 示例 | +|------|----------|------| +| `trace` | 每条 Trade 的详细处理过程 | 开发调试用，生产关闭 | +| `debug` | 批量写入、WS 心跳 | `"Kline batch flushed: count=500"` | +| `info` | 模块启动/停止、连接建立 | `"Binance WS connected: symbols=15"` | +| `warn` | 重连、数据异常、限频触发 | `"WS reconnecting: attempt=3, delay=12000ms"` | +| `error` | 写入失败、WS 不可恢复 | `"TimescaleDB write failed: connection refused"` | +| `fatal` | 进程即将退出 | `"Unrecoverable error, shutting down"` | + +> **安全原则**：严禁在日志中记录 API Key、Secret、数据库密码等敏感信息。使用 `logger.info({ apiKey: "***" })` 脱敏。 + +--- + +## 9. 错误处理与容错 + +### 9.1 错误分类与策略 + +| 错误类型 | 处理策略 | 恢复方式 | +|----------|----------|----------| +| **WebSocket 断线** | 指数退避重连（基数 3s，上限 10 次） | 自动重连 → 重新订阅 → 补齐缺失数据 | +| **数据库写入失败** | 缓冲重试 3 次 → 丢弃并告警 | 下一批数据正常写入 | +| **数据库连接断开** | pg Pool 自动重连 | TypeORM DataSource 重建 | +| **Redis 发布失败** | 静默丢弃（发布是非关键路径） | 下一 tick 继续发布 | +| **配置校验失败** | 进程退出（fail-fast） | 修正 .env 后重启 | +| **交易所 API 限频** | 令牌桶限流，429 响应冷却 60s | 自动恢复 | + +### 9.2 优雅关闭（Graceful Shutdown） + +```typescript +// data/index.ts +async function shutdown(signal: string): Promise { + logger.info({ signal }, "Shutting down"); + + // 1. 停止 WebSocket 连接（停止接收新数据） + await Promise.all(adapters.map(a => a.disconnect())); + + // 2. 刷新 K 线写入缓冲区 + await klineWriter.destroy(); + + // 3. 关闭 TypeORM DataSource + await AppDataSource.destroy(); + + // 4. 关闭 Redis + await redisPublisher.disconnect(); + + logger.info("Shutdown complete"); + process.exit(0); +} + +process.on("SIGTERM", () => shutdown("SIGTERM")); +process.on("SIGINT", () => shutdown("SIGINT")); +``` + +### 9.3 重试工具 [`utils/retry.ts`](utils/retry.ts) + +```typescript +// data/utils/retry.ts +export async function withRetry( + fn: () => Promise, + options: { + maxAttempts?: number; + baseDelayMs?: number; + onRetry?: (attempt: number, error: Error) => void; + } = {}, +): Promise { + const { maxAttempts = 3, baseDelayMs = 1000, onRetry } = options; + + for (let attempt = 1; attempt <= maxAttempts; attempt++) { + try { + return await fn(); + } catch (err) { + if (attempt === maxAttempts) throw err; + const delay = baseDelayMs * Math.pow(2, attempt - 1); + onRetry?.(attempt, err as Error); + logger.warn({ attempt, delay, err }, "Retrying operation"); + await sleep(delay); + } + } + throw new Error("Unreachable"); +} +``` + +--- + +## 10. 性能考量 + +### 10.1 关键性能指标 + +| 指标 | 目标 | 说明 | +|------|------|------| +| **单笔 Trade 处理延迟** | < 1 μs | 时间桶 HashMap 查找 + 更新 | +| **WebSocket 消息吞吐** | > 10,000 msg/s | 单进程处理全部订阅对 | +| **批量写入延迟** | < 100 ms | 500 条批量 UPSERT | +| **内存占用（10 symbol × 5 周期）** | < 50 MB | 时间桶 + RxJS 缓存 | +| **进程启动时间** | < 3 s | Bun 启动 + TypeORM 初始化 | + +### 10.2 优化策略 + +| 策略 | 实现 | 收益 | +|------|------|------| +| **批量写入** | 500 条 / 1s 批量刷新 | 减少 99% DB 连接开销 | +| **TimescaleDB 压缩** | 7 天后自动列式压缩 | 存储减少 90%+ | +| **连续聚合** | 高周期从低周期视图读取 | 查询快 100×（1h K 线无需扫描 1m 表） | +| **连接池复用** | TypeORM DataSource 管理 20 连接 | 防止连接数暴涨 | +| **RxJS 操作符优化** | `share()` 多播 + `bufferTime()` 批量 | 避免重复计算 | +| **JSON 序列化** | 生产环境考虑 MessagePack | 体积减少 30-50%，序列化快 2× | + +### 10.3 磁盘空间估算 + +| 数据量（1m K 线） | 未压缩 | 压缩后（92%） | +|-------------------|--------|-------------| +| 10 币种 × 1 年 | ~945 MB | ~75 MB | +| 50 币种 × 1 年 | ~4.7 GB | ~375 MB | +| 200 币种 × 1 年 | ~18.9 GB | ~1.5 GB | + +--- + +## 11. 开发工作流 + +### 11.1 本地开发 + +```bash +# 1. 启动基础服务 +docker compose up -d timescaledb + +# 2. 安装依赖 +cd data && bun install + +# 3. 配置环境 +# 编辑项目根目录 env.yaml（如不存在则创建） + +# 4. 验证配置加载 +bun run db/data-source.ts # 测试 DataSource 初始化 + +# 5. 运行测试 +bun test +``` + +### 11.2 新增交易所适配器 + +```bash +# 1. 创建适配器文件 +touch exchanges/new-exchange.ts + +# 2. 实现 MarketDataFeed 接口 +# 3. 在 exchanges/types.ts 注册 +# 4. 编写测试 tests/exchanges/new-exchange.test.ts +# 5. 如需在数据库中配置，插入 exchanges 表和 trading_pairs 表 +``` + +### 11.3 数据库迁移 + +```bash +# 生成迁移文件（开发环境） +bunx typeorm migration:generate db/migrations/AddNewColumn -d db/data-source.ts + +# 执行迁移（生产环境） +bunx typeorm migration:run -d db/data-source.ts + +# 回滚最近一次迁移 +bunx typeorm migration:revert -d db/data-source.ts +``` + +### 11.4 目录与文件命名规范 + +| 规范 | 说明 | +|------|------| +| 文件名 | `kebab-case.ts` | +| 类名 | `PascalCase` | +| 函数/变量 | `camelCase` | +| 常量 | `UPPER_SNAKE_CASE` | +| 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） | + +--- + +## 12. 风险提示 + +> ⚠️ **重要声明**：本数据模块为量化交易系统的技术基础设施，仅提供数据采集、存储与发布功能。任何基于本系统构建的交易策略，其盈亏风险由使用者自行承担。本系统作者不提供任何形式的投资建议，不对策略收益做任何承诺。 + +### 技术风险 + +| 风险 | 影响 | 缓解措施 | +|------|------|----------| +| **交易所 API 变更** | 数据断流 | 适配器模式隔离，单个交易所变更不影响其他 | +| **WebSocket 数据丢失** | K 线不完整 | REST 补拉机制 + gap 标记 | +| **数据库写入瓶颈** | 数据积压 | 批量写入 + 连接池 + 监控告警 | +| **Redis 宕机** | 策略引擎收不到实时数据 | Python 侧增加 TimescaleDB 直读 fallback | +| **时钟偏差** | K 线时间戳错位 | NTP 时钟同步 + UTC 统一对齐 | + +### 实盘接入前置条件 + +1. ✅ 模拟盘环境连续运行 ≥ 2 周无致命错误 +2. ✅ 核心模块单元测试覆盖率 ≥ 80% +3. ✅ 数据库写入延迟 p99 < 200ms +4. ✅ WebSocket 断线自动恢复成功率 ≥ 99% +5. ✅ 日志采集与告警链路就绪 +6. ✅ 资金隔离：不同策略使用独立子账户 +7. ✅ 风控模块在 Python 侧就绪（熔断、仓位限制、最大回撤） + +--- + +## 附录 A：docker-compose.yml 数据库配置参考 + +```yaml +# docker-compose.yml（项目根目录） +services: + timescaledb: + image: timescale/timescaledb-ha:pg17.10-ts2.27.1 + container_name: trade-timescaledb + restart: unless-stopped + ports: + - "5432:5432" + environment: + POSTGRES_DB: trade + POSTGRES_USER: trader + POSTGRES_PASSWORD: ${DB_PASSWORD:-changeme} + volumes: + - ./db/pgsql:/var/lib/postgresql # 数据持久化 + - ./data/init-db:/docker-entrypoint-initdb.d # 自动执行建表 SQL（fallback） + command: > + -c shared_buffers=1GB + -c effective_cache_size=3GB + -c maintenance_work_mem=256MB + -c work_mem=64MB + -c wal_buffers=64MB + -c random_page_cost=1.1 + -c effective_io_concurrency=200 + -c max_connections=50 + healthcheck: + test: ["CMD-SHELL", "pg_isready -U trader -d trade"] + interval: 10s + timeout: 5s + retries: 5 +``` + +## 附录 B：核心依赖版本锁定 + +| 包 | 版本 | 说明 | +|----|------|------| +| `typescript` | ^6.0 | 语言编译器 | +| `bun` | ≥1.3 | 运行时 | +| `typeorm` | ^1.0 | 关系数据 ORM | +| `@timescaledb/typeorm` | ^0.0.1 | TimescaleDB TypeORM 扩展（实验性） | +| `pg` | ^8.21 | PostgreSQL 原生驱动 | +| `yaml` | ^2.9 | YAML 解析（env.yaml） | +| `pino` | ^10.3 | 日志 | +| `ioredis` | ^5.11 | 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redis / batch / ws / logging / symbols） -// -// 使用方式： -// import { pgsql, redis, batch, ws, logging, symbols } from "./config"; -// const pool = new pg.Pool(pgsql); -// const redisClient = new Redis(redis.url); -// ============================================================ - -import { readFileSync } from "node:fs"; -import { resolve, dirname } from "node:path"; -import { fileURLToPath } from "node:url"; -import { EnvConfigSchema, type EnvConfig } from "./db/validators"; - -// ============================================================ -// 1. 加载 .env 文件（零依赖实现） -// ============================================================ - -/** - * 手动解析 .env 文件为 key-value 对。 - * 规则： - * - 忽略空行和 # 开头的注释行 - * - 首个 = 分割 key=value - * - 去除首尾空白（不处理引号，值原样保留） - * - 跳过不含 = 的行 - * - * 不依赖 dotenv 包，保持依赖精简。 - */ -function parseEnvFile(filePath: string): Record { - const result: Record = {}; - - try { - const content = readFileSync(filePath, "utf-8"); - for (const line of content.split("\n")) { - const trimmed = line.trim(); - // 跳过空行和注释 - if (trimmed === "" || trimmed.startsWith("#")) { - continue; - } - const eqIdx = trimmed.indexOf("="); - if (eqIdx === -1) { - continue; - } - const key = trimmed.slice(0, eqIdx).trim(); - const value = trimmed.slice(eqIdx + 1).trim(); - if (key !== "") { - result[key] = value; - } - } - } catch { - // .env 文件不存在时不报错（生产环境变量由容器注入） - } - - return result; -} - -/** - * 将解析结果注入 process.env（已存在的变量不覆盖）。 - * 这使得后续 Zod 的 `z.coerce` 可以从 process.env 读取。 - */ -function loadEnvFile(): void { - // __dirname 在 ESM 中不可用，手动计算 - const __filename = fileURLToPath(import.meta.url); - const __dirname = dirname(__filename); - const envPath = resolve(__dirname, ".env"); - - const parsed = parseEnvFile(envPath); - for (const [key, value] of Object.entries(parsed)) { - // 不覆盖已由系统设置的环境变量（Docker / systemd 注入优先） - if (process.env[key] === undefined) { - process.env[key] = value; - } - } -} - -// 模块加载时立即执行 -loadEnvFile(); - -// ============================================================ -// 2. Zod 校验 & 类型收窄 -// ============================================================ - -/** - * 经 Zod 校验后的环境变量配置。 - * 所有字段均有默认值兜底，即使 .env 缺失也能正常运行。 - */ -const rawConfig: EnvConfig = EnvConfigSchema.parse(process.env); - -// ============================================================ -// 3. 按职责分组的导出配置对象 -// ============================================================ - -/** PostgreSQL / TimescaleDB 连接配置 */ -export const pgsql = { - host: rawConfig.DB_HOST, - port: rawConfig.DB_PORT, - database: rawConfig.DB_NAME, - user: rawConfig.DB_USER, - password: rawConfig.DB_PASSWORD, - /** pg.Pool 连接上限，避免连接数暴涨 */ - max: 20, - /** 连接空闲超时（毫秒） */ - idleTimeoutMillis: 30000, - /** 连接获取超时（毫秒） */ - connectionTimeoutMillis: 5000, -} as const; - -/** Redis 连接与发布配置 */ -export const redis = { - /** Redis 连接 URL（ioredis 可直接使用） */ - url: rawConfig.REDIS_URL, - /** 是否启用 Pub/Sub 发布行情数据（开发环境可关闭以节省资源） */ - publishEnabled: rawConfig.REDIS_PUBLISH_ENABLED === "true", - /** 频道前缀，避免多环境 key 冲突 */ - channelPrefix: "trade", - /** 重连策略：指数退避基数（毫秒） */ - retryDelayBaseMs: 1000, - /** 最大重试次数 */ - maxRetries: 10, -} as const; - -/** K 线批量写入配置 */ -export const batch = { - /** 缓冲区条数阈值（达到后自动刷新） */ - size: rawConfig.BATCH_SIZE, - /** 最大缓冲时间（毫秒），超时后即使未达阈值也刷新 */ - flushIntervalMs: rawConfig.FLUSH_INTERVAL_MS, -} as const; - -/** WebSocket 连接配置（全局默认值，交易所级别可覆盖） */ -export const ws = { - /** 断线重连延迟基数（毫秒），指数退避：基数 × 2^attempts */ - reconnectDelayMs: rawConfig.WS_RECONNECT_DELAY_MS, - /** 心跳间隔（毫秒） */ - pingIntervalMs: rawConfig.WS_PING_INTERVAL_MS, - /** 最大重连次数（超过后标记 error 状态） */ - maxReconnectAttempts: rawConfig.WS_MAX_RECONNECT_ATTEMPTS, -} as const; - -/** 日志配置 */ -export const logging = { - /** 日志级别：trace / debug / info / warn / error / fatal */ - level: rawConfig.LOG_LEVEL, - /** 运行环境（production 时 pino 输出 JSON 便于日志采集） */ - nodeEnv: rawConfig.NODE_ENV, - /** 是否启用 pino-pretty（开发环境友好输出） */ - pretty: rawConfig.NODE_ENV === "development", -} as const; - -/** 默认订阅的交易对列表（逗号分隔 → string[]） */ -export const symbols: string[] = rawConfig.SYMBOLS.split(",") - .map((s) => s.trim()) - .filter(Boolean); - -// ============================================================ -// 4. 工具：运行时打印配置概要（不含敏感信息） -// ============================================================ - -/** 打印脱敏后的配置概要，便于启动排查 */ -export function printConfigSummary(): void { - const summary = { - pgsql: { - host: pgsql.host, - port: pgsql.port, - database: pgsql.database, - user: pgsql.user, - password: "***", - }, - redis: { - url: redis.url.replace(/\/\/.*@/, "//***@"), // 隐藏密码 - publishEnabled: redis.publishEnabled, - }, - batch, - ws, - logging, - symbols, - }; - console.log("[config] 配置概要:", JSON.stringify(summary, null, 2)); -} diff --git a/data/config/index.ts b/data/config/index.ts new file mode 100644 index 0000000..99f2692 --- /dev/null +++ b/data/config/index.ts @@ -0,0 +1,160 @@ +// ============================================================ +// config.ts — 中心化配置模块（YAML 驱动） +// ============================================================ +// 职责： +// 1. 从项目根目录 env.yaml 加载配置 +// 2. 使用 validateConfig() 校验并类型收窄 +// 3. 导出按职责分组的强类型配置对象（pgsql / redis / logging） +// +// 使用方式： +// import { pgsql, redis, logging } from "./config"; +// const ds = new DataSource({ ...pgsql }); +// const redisClient = new Redis(redis.url); +// +// 配置文件位置：/env.yaml +// TypeScript / Python 模块共享同一份配置。 +// ============================================================ + +import { readFileSync } from "node:fs"; +import { resolve, dirname } from "node:path"; +import { fileURLToPath } from "node:url"; +import { parse as parseYaml } from "yaml"; +import { validateConfig, type EnvConfig } from "./validators"; + +// ============================================================ +// 1. 定位并读取 env.yaml +// ============================================================ + +/** + * 计算项目根目录的绝对路径。 + * data/config.ts → data/ → / + * + * 兼容 ESM（无 __dirname）和 Bun 运行时。 + */ +function getProjectRoot(): string { + const __filename = fileURLToPath(import.meta.url); + const __dirname = dirname(__filename); + // config/index.ts → config/ → data/ → + return resolve(__dirname, "../.."); +} + +/** + * 从项目根目录读取 env.yaml 并解析为原始对象。 + * 文件不存在时抛出明确错误，不做静默降级。 + */ +function loadYamlConfig(): unknown { + const root = getProjectRoot(); + const yamlPath = resolve(root, "env.yaml"); + + let content: string; + try { + content = readFileSync(yamlPath, "utf-8"); + } catch { + throw new Error( + `[config] 无法读取配置文件: ${yamlPath}\n` + + `请确保项目根目录存在 env.yaml（可参考 data/.env.example 的结构）。`, + ); + } + + const parsed = parseYaml(content); + if (parsed === null || parsed === undefined) { + throw new Error(`[config] env.yaml 解析结果为空: ${yamlPath}`); + } + + return parsed; +} + +// ============================================================ +// 2. 加载 & 校验 +// ============================================================ + +/** 经校验后的 env.yaml 配置（强类型） */ +const rawConfig: EnvConfig = (() => { + const raw = loadYamlConfig(); + return validateConfig(raw); +})(); + +// ============================================================ +// 3. 按职责分组的导出配置对象 +// ============================================================ + +/** + * PostgreSQL / TimescaleDB 连接配置 + * + * 连接池参数（max / idleTimeoutMillis / connectionTimeoutMillis） + * 为硬编码常量，不在 env.yaml 中暴露，避免误调导致连接耗尽。 + */ +export const pgsql = { + host: rawConfig.db.host, + port: rawConfig.db.port, + database: rawConfig.db.name, + user: rawConfig.db.user, + password: rawConfig.db.password, + /** pg.Pool 连接上限，避免连接数暴涨 */ + max: 20, + /** 连接空闲超时（毫秒） */ + idleTimeoutMillis: 30000, + /** 连接获取超时（毫秒） */ + connectionTimeoutMillis: 5000, +} as const; + +/** + * Redis 连接与发布配置 + * + * channelPrefix / retryDelayBaseMs / maxRetries 为硬编码常量， + * 跨模块保持一致，不需要通过配置文件修改。 + */ +export const redis = { + /** Redis 连接 URL（ioredis 可直接使用） */ + url: rawConfig.redis.url, + /** 是否启用 Pub/Sub 发布行情数据（开发环境可关闭以节省资源） */ + publishEnabled: rawConfig.redis.publish_enabled, + /** 频道前缀，避免多环境 key 冲突 */ + channelPrefix: "trade", + /** 重连策略：指数退避基数（毫秒） */ + retryDelayBaseMs: 1000, + /** 最大重试次数 */ + maxRetries: 10, +} as const; + +/** + * 日志配置 + * + * pretty 由 NODE_ENV 自动推导，不在 env.yaml 中独立配置。 + */ +export const logging = { + /** 日志级别：trace / debug / info / warn / error / fatal */ + level: rawConfig.logging.level, + /** 运行环境（production 时 pino 输出 JSON 便于日志采集） */ + nodeEnv: rawConfig.logging.node_env, + /** 是否启用 pino-pretty（开发环境友好输出） */ + pretty: rawConfig.logging.node_env === "development", +} as const; + +// ============================================================ +// 4. 工具：运行时打印配置概要（不含敏感信息） +// ============================================================ + +/** 打印脱敏后的配置概要，便于启动排查 */ +export function printConfigSummary(): void { + const summary = { + projectRoot: getProjectRoot(), + pgsql: { + host: pgsql.host, + port: pgsql.port, + database: pgsql.database, + user: pgsql.user, + password: "***", + }, + redis: { + url: redis.url.replace(/\/\/.*@/, "//***@"), // 隐藏密码 + publishEnabled: redis.publishEnabled, + }, + logging: { + level: logging.level, + nodeEnv: logging.nodeEnv, + pretty: logging.pretty, + }, + }; + console.log("[config] 配置概要:", JSON.stringify(summary, null, 2)); +} diff --git a/data/config/validators.ts b/data/config/validators.ts new file mode 100644 index 0000000..6a92ff2 --- /dev/null +++ b/data/config/validators.ts @@ -0,0 +1,149 @@ +// ============================================================ +// validators.ts — env.yaml 配置类型定义与运行时校验 +// ============================================================ +// 职责： +// 1. 定义 env.yaml 的 TypeScript 接口 +// 2. 提供运行时校验函数（零依赖，手动实现） +// 3. 为 config.ts 提供类型安全的配置读取 +// +// 使用方式： +// import { validateConfig, type EnvConfig } from "./db/validators"; +// const raw = validateConfig(parsedYaml); +// ============================================================ + +/** env.yaml 顶层结构 */ +export interface EnvConfig { + db: DbConfig; + redis: RedisConfig; + logging: LoggingConfig; +} + +export interface DbConfig { + host: string; + port: number; + name: string; + user: string; + password: string; +} + +export interface RedisConfig { + url: string; + publish_enabled: boolean; +} + +export interface LoggingConfig { + level: "trace" | "debug" | "info" | "warn" | "error" | "fatal"; + node_env: "development" | "production" | "test"; +} + +// ============================================================ +// 运行时校验（零依赖） +// ============================================================ + +const VALID_LOG_LEVELS = ["trace", "debug", "info", "warn", "error", "fatal"] as const; +const VALID_NODE_ENVS = ["development", "production", "test"] as const; + +/** + * 校验并返回类型安全的配置对象。 + * 校验失败时抛出明确错误信息，遵循 fail-fast 原则。 + */ +export function validateConfig(raw: unknown): EnvConfig { + if (typeof raw !== "object" || raw === null) { + throw new Error(`[config] env.yaml 顶层必须为 object，实际: ${typeof raw}`); + } + + const obj = raw as Record; + + // --- db --- + const db = obj["db"]; + if (typeof db !== "object" || db === null) { + throw new Error("[config] env.yaml 缺少 db 配置段"); + } + const dbObj = db as Record; + + const dbHost = assertString(dbObj["host"], "db.host"); + const dbPort = assertPort(dbObj["port"], "db.port"); + const dbName = assertString(dbObj["name"], "db.name"); + const dbUser = assertString(dbObj["user"], "db.user"); + const dbPassword = assertString(dbObj["password"], "db.password"); + + // --- redis --- + const redis = obj["redis"]; + if (typeof redis !== "object" || redis === null) { + throw new Error("[config] env.yaml 缺少 redis 配置段"); + } + const redisObj = redis as Record; + + const redisUrl = assertString(redisObj["url"], "redis.url"); + const redisPublishEnabled = assertBoolean(redisObj["publish_enabled"], "redis.publish_enabled"); + + // --- logging --- + const logging = obj["logging"]; + if (typeof logging !== "object" || logging === null) { + throw new Error("[config] env.yaml 缺少 logging 配置段"); + } + const logObj = logging as Record; + + const logLevel = assertEnum(logObj["level"], VALID_LOG_LEVELS, "logging.level"); + const nodeEnv = assertEnum(logObj["node_env"], VALID_NODE_ENVS, "logging.node_env"); + + return { + db: { + host: dbHost, + port: dbPort, + name: dbName, + user: dbUser, + password: dbPassword, + }, + redis: { + url: redisUrl, + publish_enabled: redisPublishEnabled, + }, + logging: { + level: logLevel, + node_env: nodeEnv, + }, + }; +} + +// ============================================================ +// 辅助校验函数 +// ============================================================ + +function assertString(value: unknown, path: string): string { + if (typeof value !== "string" || value.trim() === "") { + throw new Error(`[config] ${path} 必须为非空字符串，实际: ${JSON.stringify(value)}`); + } + return value; +} + +function assertPort(value: unknown, path: string): number { + if (typeof value === "number" && Number.isInteger(value) && value > 0 && value <= 65535) { + return value; + } + if (typeof value === "string" && /^\d+$/.test(value)) { + const n = parseInt(value, 10); + if (n > 0 && n <= 65535) return n; + } + throw new Error(`[config] ${path} 必须为有效端口号 (1-65535)，实际: ${JSON.stringify(value)}`); +} + +function assertBoolean(value: unknown, path: string): boolean { + if (typeof value === "boolean") return value; + if (value === "true" || value === "false") return value === "true"; + throw new Error(`[config] ${path} 必须为 boolean，实际: ${JSON.stringify(value)}`); +} + +function assertEnum( + value: unknown, + allowed: T, + path: string, +): T[number] { + const s = String(value); + if ((allowed as readonly string[]).includes(s)) { + return s as T[number]; + } + throw new Error( + `[config] ${path} 必须为 ${allowed.join(" | ")} 之一，实际: ${JSON.stringify(value)}`, + ); +} diff --git a/data/db/config-crud.ts b/data/db/config-crud.ts deleted file mode 100644 index 26b1475..0000000 --- a/data/db/config-crud.ts +++ /dev/null @@ -1,530 +0,0 @@ -// ============================================================ -// db/config-crud.ts — 配置表 CRUD 服务层 -// ============================================================ -// 职责： -// 1. 封装 monitored_symbols / exchange_config / app_config 三张配置表的增删改查 -// 2. 所有方法通过 pg.Pool 执行参数化 SQL（防注入） -// 3. 返回类型与 types.ts 严格对应，调用方无需手动断言 -// 4. 支持依赖注入：构造函数接收 Pool，便于单元测试 mock -// -// 使用方式： -// import { pool } from "./db"; -// import { MonitoredSymbolsRepo, ExchangeConfigRepo, AppConfigRepo } from "./db/config-crud"; -// -// const symbolsRepo = new MonitoredSymbolsRepo(pool); -// const all = await symbolsRepo.listAll(); -// ============================================================ - -import type pg from "pg"; -import type { - MonitoredSymbolRow, - MonitoredSymbolInsert, - MonitoredSymbolUpdate, - ExchangeConfigRow, - ExchangeConfigInsert, - AppConfigRow, - Exchange, - KlineInterval, -} from "./types"; -import { - // monitored_symbols - queryAllMonitoredSymbols, - queryEnabledSymbols, - querySymbolsByExchange, - queryMonitoredSymbolById, - queryMonitoredSymbolByKey, - upsertMonitoredSymbol, - updateMonitoredSymbol, - disableMonitoredSymbol, - deleteMonitoredSymbol, - deleteMonitoredSymbolByKey, - // exchange_config - queryAllExchangeConfigs, - queryEnabledExchanges, - queryExchangeConfig, - queryExchangeConfigById, - upsertExchangeConfig, - updateExchangeConfig, - deleteExchangeConfig, - deleteExchangeConfigByExchange, - // app_config - queryAllAppConfig, - queryAppConfig, - queryAppConfigById, - upsertAppConfig, - updateAppConfig, - deleteAppConfig, - deleteAppConfigById, -} from "./queries"; - -// ============================================================ -// 工具类型：将 Promise 解包的一行或 null -// ============================================================ - -/** pg query 返回的第一行，不存在则为 null */ -type FirstRow = T | null; - -// ============================================================ -// MonitoredSymbolsRepo — 监控交易对配置 CRUD -// ============================================================ - -export class MonitoredSymbolsRepo { - constructor(private readonly pool: pg.Pool) {} - - // ---------------------------------------------------------- - // CREATE / UPSERT - // ---------------------------------------------------------- - - /** - * 新增或更新监控标的。 - * 唯一键冲突时更新 enabled/priority/label/notes 并刷新 updated_at。 - * - * @returns 插入或更新后的完整行 - */ - async upsert( - insert: MonitoredSymbolInsert, - ): Promise { - const { rows } = await this.pool.query( - upsertMonitoredSymbol, - [ - insert.exchange, - insert.symbol, - insert.interval, - insert.enabled ?? true, - insert.priority ?? 0, - insert.label ?? null, - insert.notes ?? null, - ], - ); - return rows[0]!; - } - - // ---------------------------------------------------------- - // READ — 单条 - // ---------------------------------------------------------- - - /** 按主键 ID 查询 */ - async findById(id: number): Promise> { - const { rows } = await this.pool.query( - queryMonitoredSymbolById, - [id], - ); - return rows[0] ?? null; - } - - /** - * 按唯一业务键 (exchange, symbol, interval) 查询。 - * 这是最常用的精确查找方式。 - */ - async findByKey( - exchange: Exchange, - symbol: string, - interval: KlineInterval, - ): Promise> { - const { rows } = await this.pool.query( - queryMonitoredSymbolByKey, - [exchange, symbol, interval], - ); - return rows[0] ?? null; - } - - // ---------------------------------------------------------- - // READ — 列表 - // ---------------------------------------------------------- - - /** 查询所有监控标的（含已禁用），按优先级降序 */ - async listAll(): Promise { - const { rows } = await this.pool.query( - queryAllMonitoredSymbols, - ); - return rows; - } - - /** 查询所有启用的监控标的（采集服务启动时调用） */ - async listEnabled(): Promise { - const { rows } = await this.pool.query( - queryEnabledSymbols, - ); - return rows; - } - - /** 查询指定交易所下所有启用的监控标的 */ - async listByExchange(exchange: Exchange): Promise { - const { rows } = await this.pool.query( - querySymbolsByExchange, - [exchange], - ); - return rows; - } - - // ---------------------------------------------------------- - // UPDATE - // ---------------------------------------------------------- - - /** - * 按 ID 部分更新监控标的。 - * 仅更新传入的非 undefined 字段（COALESCE 语义）。 - * - * @returns 更新后的完整行；ID 不存在则返回 null - */ - async update( - id: number, - patch: MonitoredSymbolUpdate, - ): Promise> { - const { rows } = await this.pool.query( - updateMonitoredSymbol, - [ - id, - patch.enabled ?? null, - patch.priority ?? null, - patch.label ?? null, - patch.notes ?? null, - ], - ); - return rows[0] ?? null; - } - - /** - * 禁用指定监控标的（软删除）。 - * 不会删除记录，仅将 enabled 设为 FALSE。 - */ - async disable( - exchange: Exchange, - symbol: string, - interval: KlineInterval, - ): Promise | null> { - const { rows } = await this.pool.query< - Pick - >(disableMonitoredSymbol, [exchange, symbol, interval]); - return rows[0] ?? null; - } - - // ---------------------------------------------------------- - // DELETE（硬删除） - // ---------------------------------------------------------- - - /** 按 ID 硬删除。返回被删除的 id，不存在则返回 null */ - async deleteById(id: number): Promise { - const { rows } = await this.pool.query<{ id: number }>( - deleteMonitoredSymbol, - [id], - ); - return rows[0]?.id ?? null; - } - - /** 按唯一键硬删除。返回被删除的 id，不存在则返回 null */ - async deleteByKey( - exchange: Exchange, - symbol: string, - interval: KlineInterval, - ): Promise { - const { rows } = await this.pool.query<{ id: number }>( - deleteMonitoredSymbolByKey, - [exchange, symbol, interval], - ); - return rows[0]?.id ?? null; - } -} - -// ============================================================ -// ExchangeConfigRepo — 交易所连接配置 CRUD -// ============================================================ - -export class ExchangeConfigRepo { - constructor(private readonly pool: pg.Pool) {} - - // ---------------------------------------------------------- - // CREATE / UPSERT - // ---------------------------------------------------------- - - /** - * 新增或更新交易所配置。 - * 唯一键冲突时更新所有连接参数并刷新 updated_at。 - * - * @returns 插入或更新后的完整行 - */ - async upsert( - insert: ExchangeConfigInsert, - ): Promise { - const { rows } = await this.pool.query( - upsertExchangeConfig, - [ - insert.exchange, - insert.rest_url ?? null, - insert.ws_url ?? null, - insert.ws_ping_interval_ms ?? 30000, - insert.rate_limit_per_sec ?? 20, - insert.max_reconnect_attempts ?? 10, - insert.reconnect_delay_ms ?? 3000, - insert.enabled ?? true, - insert.notes ?? null, - ], - ); - return rows[0]!; - } - - // ---------------------------------------------------------- - // READ — 单条 - // ---------------------------------------------------------- - - /** 按主键 ID 查询 */ - async findById(id: number): Promise> { - const { rows } = await this.pool.query( - queryExchangeConfigById, - [id], - ); - return rows[0] ?? null; - } - - /** 按交易所标识查询（如 "binance"） */ - async findByExchange( - exchange: Exchange, - ): Promise> { - const { rows } = await this.pool.query( - queryExchangeConfig, - [exchange], - ); - return rows[0] ?? null; - } - - // ---------------------------------------------------------- - // READ — 列表 - // ---------------------------------------------------------- - - /** 查询所有交易所配置（含已禁用） */ - async listAll(): Promise { - const { rows } = await this.pool.query( - queryAllExchangeConfigs, - ); - return rows; - } - - /** 查询所有启用的交易所配置 */ - async listEnabled(): Promise { - const { rows } = await this.pool.query( - queryEnabledExchanges, - ); - return rows; - } - - // ---------------------------------------------------------- - // UPDATE - // ---------------------------------------------------------- - - /** - * 按 ID 部分更新交易所配置。 - * 仅更新传入的非 undefined 字段（COALESCE 语义）。 - * - * ⚠️ 风险提示：修改限频参数（rate_limit_per_sec）可能触发交易所封禁 IP。 - * 务必确认目标交易所的官方限频规则后再调整。 - * - * @returns 更新后的完整行；ID 不存在则返回 null - */ - async update( - id: number, - patch: Partial>, - ): Promise> { - const { rows } = await this.pool.query( - updateExchangeConfig, - [ - id, - patch.rest_url ?? null, - patch.ws_url ?? null, - patch.ws_ping_interval_ms ?? null, - patch.rate_limit_per_sec ?? null, - patch.max_reconnect_attempts ?? null, - patch.reconnect_delay_ms ?? null, - patch.enabled ?? null, - patch.notes ?? null, - ], - ); - return rows[0] ?? null; - } - - // ---------------------------------------------------------- - // DELETE（硬删除） - // ---------------------------------------------------------- - - /** 按 ID 硬删除。返回被删除的 id，不存在则返回 null */ - async deleteById(id: number): Promise { - const { rows } = await this.pool.query<{ id: number }>( - deleteExchangeConfig, - [id], - ); - return rows[0]?.id ?? null; - } - - /** 按交易所标识硬删除。返回被删除的 id，不存在则返回 null */ - async deleteByExchange(exchange: Exchange): Promise { - const { rows } = await this.pool.query<{ id: number }>( - deleteExchangeConfigByExchange, - [exchange], - ); - return rows[0]?.id ?? null; - } -} - -// ============================================================ -// AppConfigRepo — 全局应用配置（KV）CRUD -// ============================================================ - -export class AppConfigRepo { - constructor(private readonly pool: pg.Pool) {} - - // ---------------------------------------------------------- - // CREATE / UPSERT - // ---------------------------------------------------------- - - /** - * 设置一个配置项（新增或更新）。 - * - * @param key — 配置键 - * @param value — 配置值（字符串，消费方自行解析类型） - * @param description — 可选说明 - * @returns 插入或更新后的完整行 - */ - async set( - key: string, - value: string, - description?: string | null, - ): Promise { - const { rows } = await this.pool.query(upsertAppConfig, [ - key, - value, - description ?? null, - ]); - return rows[0]!; - } - - // ---------------------------------------------------------- - // READ — 单条 - // ---------------------------------------------------------- - - /** 按主键 ID 查询 */ - async findById(id: number): Promise> { - const { rows } = await this.pool.query( - queryAppConfigById, - [id], - ); - return rows[0] ?? null; - } - - /** - * 按 key 查询配置项。 - * - * @returns 配置行；不存在则返回 null - */ - async get(key: string): Promise> { - const { rows } = await this.pool.query(queryAppConfig, [key]); - return rows[0] ?? null; - } - - /** - * 按 key 获取配置值（字符串）。 - * 便捷方法——等价于 (await get(key))?.value ?? defaultValue。 - * - * @param key — 配置键 - * @param defaultValue — 默认值（key 不存在时返回） - */ - async getValue(key: string, defaultValue = ""): Promise { - const row = await this.get(key); - return row?.value ?? defaultValue; - } - - /** - * 按 key 获取配置值并解析为整数。 - * 解析失败时返回 defaultValue。 - */ - async getIntValue(key: string, defaultValue = 0): Promise { - const raw = await this.getValue(key, String(defaultValue)); - const parsed = parseInt(raw, 10); - return Number.isNaN(parsed) ? defaultValue : parsed; - } - - /** - * 按 key 获取配置值并解析为布尔。 - * 规则：'true' / '1' → true，其余 → false。 - */ - async getBoolValue(key: string, defaultValue = false): Promise { - const raw = await this.getValue(key, String(defaultValue)); - return raw === "true" || raw === "1"; - } - - // ---------------------------------------------------------- - // READ — 列表 - // ---------------------------------------------------------- - - /** 查询所有应用配置 */ - async listAll(): Promise { - const { rows } = await this.pool.query(queryAllAppConfig); - return rows; - } - - /** - * 批量获取多个 key 的值。 - * 一次性查询全表后过滤，避免 N+1 问题。 - * - * @param keys — 需要获取的 key 列表 - * @returns Map - */ - async getBatch(keys: string[]): Promise> { - const all = await this.listAll(); - const map = new Map(); - const keySet = new Set(keys); - for (const row of all) { - if (keySet.has(row.key)) { - map.set(row.key, row.value); - } - } - // 保证未找到的 key 也有默认值 "" - for (const k of keys) { - if (!map.has(k)) { - map.set(k, ""); - } - } - return map; - } - - // ---------------------------------------------------------- - // UPDATE - // ---------------------------------------------------------- - - /** - * 按 ID 部分更新应用配置。 - * - * @returns 更新后的完整行；ID 不存在则返回 null - */ - async update( - id: number, - value?: string, - description?: string | null, - ): Promise> { - const { rows } = await this.pool.query(updateAppConfig, [ - id, - value ?? null, - description ?? null, - ]); - return rows[0] ?? null; - } - - // ---------------------------------------------------------- - // DELETE - // ---------------------------------------------------------- - - /** 按 key 删除配置。返回被删除的 id，不存在则返回 null */ - async deleteByKey(key: string): Promise { - const { rows } = await this.pool.query<{ id: number }>(deleteAppConfig, [ - key, - ]); - return rows[0]?.id ?? null; - } - - /** 按 ID 删除配置。返回被删除的 id，不存在则返回 null */ - async deleteById(id: number): Promise { - const { rows } = await this.pool.query<{ id: number }>( - deleteAppConfigById, - [id], - ); - return rows[0]?.id ?? null; - } -} diff --git a/data/db/data-source.ts b/data/db/data-source.ts new file mode 100644 index 0000000..73adb63 --- /dev/null +++ b/data/db/data-source.ts @@ -0,0 +1,29 @@ +import { DataSource } from "typeorm"; +import { pgsql } from "../config"; +import * as entities from "./entities"; + +export const AppDataSource = new DataSource({ + type: "postgres", + host: pgsql.host, + port: pgsql.port, + database: pgsql.database, + username: pgsql.user, + password: pgsql.password, + // 实体注册：关系实体通过 entities/index.ts 统一导出 + // TimescaleDB K 线实体后续通过 @timescaledb/typeorm 装饰器注册 + entities: [ + ...Object.values(entities), + ], + // 生产环境禁用 synchronize，使用 Migration + synchronize: true, + migrations: [__dirname + "/migrations/*.{ts,js}"], + // 连接池 + extra: { + max: pgsql.max, // 最大连接数 20 + idleTimeoutMillis: pgsql.idleTimeoutMillis, // 空闲超时 30s + connectionTimeoutMillis: pgsql.connectionTimeoutMillis, // 连接超时 5s + }, + logging: process.env.NODE_ENV === "development" ? ["error", "warn"] : ["error"], +}); + +await AppDataSource.initialize(); \ No newline at end of file diff --git a/data/db/entities/common.entity.ts b/data/db/entities/common.entity.ts new file mode 100644 index 0000000..4ac8e1f --- /dev/null +++ b/data/db/entities/common.entity.ts @@ -0,0 +1,32 @@ +// ============================================================ +// common.entity.ts — 实体公共基类 +// ============================================================ +// 所有关系实体（TypeORM 管理域）继承此类，统一： +// - id: UUID 主键 +// - created_at: 记录创建时间（自动填充） +// - updated_at: 最后更新时间（自动填充） +// +// TimescaleDB K 线实体（@timescaledb/typeorm 管理域）不继承此类， +// 因为它们需要 @TimeColumn() 等特定装饰器。 +// ============================================================ + +import { + BaseEntity, + PrimaryGeneratedColumn, + CreateDateColumn, + UpdateDateColumn, +} from "typeorm"; + +export abstract class CommonBaseEntity extends BaseEntity { + /** UUID 主键（非自增整数，便于分布式场景） */ + @PrimaryGeneratedColumn("uuid") + id!: string; + + /** 记录创建时间 */ + @CreateDateColumn({ type: "timestamptz", name: "created_at" }) + createdAt!: Date; + + /** 最后更新时间（每次 UPDATE 自动刷新） */ + @UpdateDateColumn({ type: "timestamptz", name: "updated_at" }) + updatedAt!: Date; +} diff --git a/data/db/entities/exchange.entity.ts b/data/db/entities/exchange.entity.ts new file mode 100644 index 0000000..0ba60d1 --- /dev/null +++ b/data/db/entities/exchange.entity.ts @@ -0,0 +1,41 @@ +// ============================================================ +// exchange.entity.ts — 交易所配置实体 +// ============================================================ +// 映射到 PostgreSQL exchanges 表，存储已接入的交易所元信息。 +// 由 TypeORM 管理（关系数据），不与 TimescaleDB 耦合。 +// +// 继承 CommonBaseEntity：id (UUID) / created_at / updated_at +// ============================================================ + +import { + Entity, + Column, + OneToMany, +} from "typeorm"; +import { CommonBaseEntity } from "./common.entity"; + +@Entity("exchanges") +export class Exchange extends CommonBaseEntity { + /** 交易所唯一标识（如 binance / okx / bybit） */ + @Column("varchar", { length: 50, unique: true }) + name!: string; + + /** 交易所显示名称（如 Binance / OKX / Bybit） */ + @Column("varchar", { length: 100 }) + label!: string; + + /** 是否启用该交易所的数据采集 */ + @Column("boolean", { default: true }) + enabled!: boolean; + + /** 交易所特定配置（JSON：费率、最小下单量、API 限频等） */ + @Column("jsonb", { nullable: true }) + config?: Record; + + /** + * 该交易所下的所有交易对。 + * 使用字符串引用避免循环依赖（TradingPair 也引用 Exchange）。 + */ + @OneToMany("TradingPair", "exchange") + tradingPairs!: unknown[]; +} diff --git a/data/db/entities/index.ts b/data/db/entities/index.ts new file mode 100644 index 0000000..6ac700e --- /dev/null +++ b/data/db/entities/index.ts @@ -0,0 +1,12 @@ +// ============================================================ +// entities/index.ts — 实体统一导出 +// ============================================================ +// TypeORM DataSource 通过 import * as entities from "../entities" +// 自动注册所有实体，无需手动逐个添加。 +// ============================================================ + +export { CommonBaseEntity } from "./common.entity"; +export { Exchange } from "./exchange.entity"; +export { TradingPair } from "./trading-pair.entity"; +export { Kline } from "./kline.entity"; +export type { KlineInterval } from "./kline.entity"; diff --git a/data/db/entities/kline.entity.ts b/data/db/entities/kline.entity.ts new file mode 100644 index 0000000..a3912c5 --- /dev/null +++ b/data/db/entities/kline.entity.ts @@ -0,0 +1,138 @@ +// ============================================================ +// kline.entity.ts — TimescaleDB K 线 Hypertable 实体 +// ============================================================ +// 映射到 PostgreSQL klines 表（TimescaleDB hypertable）。 +// 不继承 CommonBaseEntity — 使用 @timescaledb/typeorm 的 +// @Hypertable / @TimeColumn 装饰器管理 TimescaleDB 特性。 +// +// 关键 TimescaleDB 特性（由 @Hypertable 装饰器自动配置）： +// - 自动按 time 列做时间分区（by_range） +// - 列式压缩（compress），7 天后自动执行 +// - 通过 ContinuousAggregate 生成高周期 K 线视图 +// +// 注意：@timescaledb/typeorm v0.0.1 为实验版本， +// 不支持空间分区（partitioning_column）。 +// 若需要空间分区，可通过 db/init-db/ 下的 SQL 脚本手动添加。 +// ============================================================ + +import { Hypertable, TimeColumn } from "@timescaledb/typeorm"; +import { + Entity, + PrimaryColumn, + Column, + Index, + CreateDateColumn, + UpdateDateColumn, +} from "typeorm"; + +/** K 线周期枚举 */ +export type KlineInterval = + | "1m" + | "5m" + | "15m" + | "30m" + | "1h" + | "4h" + | "1d" + | "1w"; + +/** + * 1 分钟 K 线 Hypertable + * + * 存储交易所推送的 OHLCV 数据。写入使用 UPSERT + * （ON CONFLICT DO UPDATE），已存在的 K 线只更新 + * high/low/close/volume 增量。 + * + * 高周期 K 线（5m+）通过 TimescaleDB 连续聚合视图 + * 从 1m 表自动生成，无需单独建表。 + */ +@Hypertable({ + compression: { + compress: true, + compress_orderby: "time DESC", + compress_segmentby: "exchange, symbol, interval", + policy: { + schedule_interval: "365 days", // 365 天后自动压缩 + }, + }, +}) +@Index(["exchange", "symbol", "interval", "time"], { unique: true }) +@Entity("klines") +export class Kline { + /** K 线开盘时间（UTC）— @timescaledb/typeorm 自动标记为时间分区列 */ + @TimeColumn() + @PrimaryColumn("timestamptz") + 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） + // ============================================================ + + /** 开盘价 */ + @Column("numeric", { precision: 20, scale: 8 }) + open!: number; + + /** 最高价 */ + @Column("numeric", { precision: 20, scale: 8 }) + high!: number; + + /** 最低价 */ + @Column("numeric", { precision: 20, scale: 8 }) + low!: number; + + /** 收盘价 */ + @Column("numeric", { precision: 20, scale: 8 }) + close!: number; + + /** 成交量（base 币种） */ + @Column("numeric", { precision: 20, scale: 8 }) + volume!: number; + + // ============================================================ + // 扩展字段（Binance 等交易所提供） + // ============================================================ + + /** 成交额（quote 币种） */ + @Column("numeric", { precision: 20, scale: 8, nullable: true }) + quote_volume?: number; + + /** 主动买入成交量（base 币种） */ + @Column("numeric", { precision: 20, scale: 8, nullable: true }) + taker_buy_base_vol?: number; + + /** 主动买入成交额（quote 币种） */ + @Column("numeric", { precision: 20, scale: 8, nullable: true }) + taker_buy_quote_vol?: number; + + /** 成交笔数 */ + @Column("integer", { nullable: true }) + trade_count?: number; + + /** K 线是否已关闭（true = 该周期 K 线不再变化） */ + @Column("boolean", { default: true }) + is_closed!: boolean; + + // ============================================================ + // 审计字段 + // ============================================================ + + /** 记录首次写入时间 */ + @CreateDateColumn({ type: "timestamptz", name: "created_at" }) + createdAt!: Date; + + /** 记录最后更新时间 */ + @UpdateDateColumn({ type: "timestamptz", name: "updated_at" }) + updatedAt!: Date; +} diff --git a/data/db/entities/trading-pair.entity.ts b/data/db/entities/trading-pair.entity.ts new file mode 100644 index 0000000..ca4d86b --- /dev/null +++ b/data/db/entities/trading-pair.entity.ts @@ -0,0 +1,105 @@ +// ============================================================ +// trading-pair.entity.ts — 交易对配置实体 +// ============================================================ +// 映射到 PostgreSQL trading_pairs 表，存储各交易所的交易对元信息。 +// 数据模块启动时从该表读取 active=true 的交易对列表， +// 决定 WebSocket 订阅范围和 K 线合成范围。 +// +// 继承 CommonBaseEntity：id (UUID) / created_at / updated_at +// +// 与 TimescaleDB klines 表的关系： +// klines.symbol → trading_pairs.symbol（逻辑外键，不做 DB 级约束） +// klines.exchange → exchanges.name（逻辑外键） +// ============================================================ + +import { + Entity, + Column, + ManyToOne, + JoinColumn, + Index, +} from "typeorm"; +import { Exchange } from "./exchange.entity"; +import { CommonBaseEntity } from "./common.entity"; + +@Entity("trading_pairs") +@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 +export class TradingPair extends CommonBaseEntity { + /** 所属交易所 */ + @ManyToOne(() => Exchange, { nullable: false }) + @JoinColumn({ name: "exchange_id" }) + exchange!: Exchange; + + /** 交易对符号（如 BTCUSDT / ETHUSDT） */ + @Column("varchar", { length: 20 }) + symbol!: string; + + /** 基础币种（如 BTC） */ + @Column("varchar", { length: 10 }) + base_asset!: string; + + /** 计价币种（如 USDT） */ + @Column("varchar", { length: 10 }) + quote_asset!: string; + + /** 价格精度（小数位数） */ + @Column("integer", { default: 10 }) + price_precision!: number; + + /** 数量精度（小数位数） */ + @Column("integer", { default: 10 }) + quantity_precision!: number; + + /** 最小下单量 */ + @Column("numeric", { precision: 32, scale: 8, nullable: true }) + min_qty?: number; + + /** 下单步长（数量增量） */ + @Column("numeric", { precision: 32, scale: 8, nullable: true }) + step_size?: number; + + /** 最小名义价值（USDT） */ + @Column("numeric", { precision: 32, scale: 8, nullable: true }) + min_notional?: number; + + /** 是否激活数据订阅（false 时不采集该交易对行情） */ + @Column("boolean", { default: true }) + active!: boolean; + + /** 是否启用 K 线合成（false 时仅采集原始行情，不合成） */ + @Column("boolean", { default: true }) + kline_synthesis_enabled!: boolean; + + /** 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" }) + kline_intervals!: string; + + /** + * 历史 K 线最后补全时间（UTC）。 + * 记录最近一次 REST 补拉 K 线的结束时间戳， + * 下次启动时从此时间点继续补全，避免重复拉取。 + * + * 默认值为 Unix 0（1970-01-01T00:00:00.000Z）， + * 新交易对从 epoch 起始时间开始全量补拉， + * 补全后更新为实际拉取到的最后时间。 + */ + @Column("timestamptz", { default: () => "to_timestamp(0)" }) + last_backfill_time!: Date; + + /** 备注 */ + @Column("text", { nullable: true }) + notes?: string; + + // ============================================================ + // 工具方法 + // ============================================================ + + /** 解析 kline_intervals 为周期数组 */ + getIntervals(): string[] { + return this.kline_intervals + .split(",") + .map((s) => s.trim()) + .filter(Boolean); + } +} diff --git a/data/db/index.ts b/data/db/index.ts deleted file mode 100644 index 18e1033..0000000 --- a/data/db/index.ts +++ /dev/null @@ -1,121 +0,0 @@ -// ============================================================ -// db/index.ts — 统一导出 -// ============================================================ -// 使用方式： -// import { KlineRow, KlineRawSchema, bulkUpsertKlines } from "./db"; -// import { MonitoredSymbolsRepo } from "./db"; -// ============================================================ - -// 类型定义 -export type { - Exchange, - KlineInterval, - LogLevel, - KlineRow, - KlineInsert, - AggregatedKlineRow, - MonitoredSymbolRow, - MonitoredSymbolInsert, - MonitoredSymbolUpdate, - ExchangeConfigRow, - ExchangeConfigInsert, - AppConfigRow, - AppConfigKey, - StreamKey, - StreamSubscription, -} from "./types"; - -// Zod 运行时校验 -export { - ExchangeSchema, - KlineIntervalSchema, - LogLevelSchema, - SymbolSchema, - NumericStringSchema, - KlineRawSchema, - KlineBatchSchema, - MonitoredSymbolInsertSchema, - MonitoredSymbolUpdateSchema, - ExchangeConfigInsertSchema, - StreamKeySchema, - EnvConfigSchema, -} from "./validators"; - -export type { - KlineRaw, - KlineBatch, - MonitoredSymbolInsert as MonitoredSymbolInsertValidated, - MonitoredSymbolUpdate as MonitoredSymbolUpdateValidated, - ExchangeConfigInsert as ExchangeConfigInsertValidated, - StreamKey as StreamKeyValidated, - EnvConfig, -} from "./validators"; - -// 参数化 SQL 查询 -export { - bulkUpsertKlines, - packBulkKlines, - queryKlinesRange, - queryKlinesLatest, - queryAggregatedKlines, - // monitored_symbols - queryAllMonitoredSymbols, - queryEnabledSymbols, - querySymbolsByExchange, - queryMonitoredSymbolById, - queryMonitoredSymbolByKey, - upsertMonitoredSymbol, - updateMonitoredSymbol, - disableMonitoredSymbol, - deleteMonitoredSymbol, - deleteMonitoredSymbolByKey, - // exchange_config - queryAllExchangeConfigs, - queryEnabledExchanges, - queryExchangeConfig, - queryExchangeConfigById, - upsertExchangeConfig, - updateExchangeConfig, - deleteExchangeConfig, - deleteExchangeConfigByExchange, - // app_config - queryAllAppConfig, - queryAppConfig, - queryAppConfigById, - upsertAppConfig, - updateAppConfig, - deleteAppConfig, - deleteAppConfigById, - // 复合查询 - queryStreamSubscriptions, -} from "./queries"; - -export type { BulkKlineParams } from "./queries"; - -// ============================================================ -// Config CRUD 服务层（推荐使用） -// ============================================================ - -export { - MonitoredSymbolsRepo, - ExchangeConfigRepo, - AppConfigRepo, -} from "./config-crud"; - -// ============================================================ -// PostgreSQL 连接池 & 工具 -// ============================================================ - -export { - pool, - healthCheck, - timescaleVersion, - withTransaction, - closePool, - registerShutdownHandlers, - initSchemaFromFile, - initSchema, - isSchemaInitialized, -} from "./pg"; - -export { default as defaultPool } from "./pg"; diff --git a/data/db/pg.ts b/data/db/pg.ts deleted file mode 100644 index 241db79..0000000 --- a/data/db/pg.ts +++ /dev/null @@ -1,364 +0,0 @@ -// ============================================================ -// db/pg.ts — PostgreSQL / TimescaleDB 连接池管理 -// ============================================================ -// 职责： -// 1. 基于 config.ts 的 pgsql 配置创建 pg.Pool 单例 -// 2. 连接生命周期事件监听（connect / acquire / remove / error） -// 3. 提供健康检查（healthCheck） -// 4. 提供事务辅助函数（withTransaction） -// 5. 进程退出时优雅关闭（SIGTERM / SIGINT） -// -// 使用方式： -// import { pool } from "./db"; // 通过 index.ts 统一导出 -// import { healthCheck } from "./db"; -// const { rows } = await pool.query("SELECT NOW()"); -// ============================================================ - -import pg from "pg"; -import { readFileSync, readdirSync } from "node:fs"; -import { resolve, dirname } from "node:path"; -import { fileURLToPath } from "node:url"; -import { pgsql } from "../config"; - -// ============================================================ -// 1. 连接池创建（单例） -// ============================================================ - -/** - * pg.Pool 单例。 - * 配置来源于 config.ts → pgsql，已包含连接数上限、超时等参数。 - * - * pg.Pool 内部使用懒连接——首次 query 时才建立连接， - * 因此模块加载时不会立即连接数据库。 - */ -export const pool = new pg.Pool({ - host: pgsql.host, - port: pgsql.port, - database: pgsql.database, - user: pgsql.user, - password: pgsql.password, - max: pgsql.max, - idleTimeoutMillis: pgsql.idleTimeoutMillis, - connectionTimeoutMillis: pgsql.connectionTimeoutMillis, - // TimescaleDB 特有的超时设置：分析查询可能较慢 - statement_timeout: 30000, // 单条 SQL 最大执行 30s - // application_name 便于在 pg_stat_activity 中识别 - application_name: "trade-data", -}); - -// ============================================================ -// 2. 连接池事件监听（可观测性） -// ============================================================ - -/** 新客户端连接建立 */ -pool.on("connect", (client) => { - // 为每个连接设置 TimescaleDB 优化参数 - // 跳过 WAL 日志可加速批量写入（仅在可接受丢失最近几秒数据的场景） - // client.query("SET timescaledb.enable_skip_scan = ON"); - console.log(`[pg] 新连接建立 (total: ${pool.totalCount}, idle: ${pool.idleCount})`); -}); - -/** 从池中获取连接 */ -pool.on("acquire", () => { - // 连接池耗尽时会频繁触发，可在此记录高负载信号 -}); - -/** 连接归还池 */ -pool.on("remove", () => { - console.log(`[pg] 连接关闭 (total: ${pool.totalCount}, idle: ${pool.idleCount})`); -}); - -/** - * 空闲客户端出错（如网络中断、PG 重启）。 - * pg.Pool 会自动移除问题连接并创建新连接，此处仅记录日志。 - */ -pool.on("error", (err: Error) => { - console.error(`[pg] 连接池错误: ${err.message}`); - // 不退出进程——连接池会自动恢复 -}); - -// ============================================================ -// 3. 健康检查 -// ============================================================ - -/** - * 数据库连通性检查。 - * 执行轻量查询 `SELECT 1`，超时 5 秒。 - * - * @returns true 表示数据库可达 - */ -export async function healthCheck(): Promise { - try { - const client = await pool.connect(); - try { - await client.query("SELECT 1"); - return true; - } finally { - client.release(); - } - } catch { - return false; - } -} - -/** - * 深度健康检查：验证 TimescaleDB 扩展是否已安装。 - * 仅在首次连接或定期巡检时调用。 - * - * @returns TimescaleDB 版本字符串，未安装则返回 null - */ -export async function timescaleVersion(): Promise { - try { - const { rows } = await pool.query<{ extversion: string }>( - "SELECT extversion FROM pg_extension WHERE extname = 'timescaledb'", - ); - return rows[0]?.extversion ?? null; - } catch { - return null; - } -} - -// ============================================================ -// 4. 事务辅助 -// ============================================================ - -/** - * 在单连接上执行事务。 - * 自动 BEGIN / COMMIT / ROLLBACK，连接用完即释放。 - * - * @param fn - 事务体，接收 pg.PoolClient，返回 Promise - * @returns fn 的返回值 - * @throws 事务内任何异常都会触发 ROLLBACK 并向上抛出 - * - * @example - * const result = await withTransaction(async (client) => { - * await client.query("INSERT INTO ..."); - * await client.query("UPDATE ..."); - * return { success: true }; - * }); - */ -export async function withTransaction( - fn: (client: pg.PoolClient) => Promise, -): Promise { - const client = await pool.connect(); - try { - await client.query("BEGIN"); - const result = await fn(client); - await client.query("COMMIT"); - return result; - } catch (err) { - await client.query("ROLLBACK"); - throw err; - } finally { - client.release(); - } -} - -// ============================================================ -// 5. 优雅关闭 -// ============================================================ - -/** 是否正在关闭（防止重复调用） */ -let shuttingDown = false; - -/** - * 关闭连接池。 - * 先等待所有进行中的查询完成（drain），再断开所有连接。 - * - * 应在进程退出前调用：SIGTERM / SIGINT 处理器中。 - */ -export async function closePool(): Promise { - if (shuttingDown) { - return; - } - shuttingDown = true; - - console.log("[pg] 正在关闭连接池..."); - // pool.end() 等待所有活跃查询完成后关闭 - await pool.end(); - console.log("[pg] 连接池已关闭"); -} - -/** - * 注册进程信号处理器——优雅关闭。 - * 在应用入口调用一次即可。 - */ -export function registerShutdownHandlers(): void { - const shutdown = async (signal: string) => { - console.log(`[pg] 收到 ${signal} 信号，开始优雅关闭...`); - await closePool(); - process.exit(0); - }; - - process.once("SIGTERM", () => shutdown("SIGTERM")); - process.once("SIGINT", () => shutdown("SIGINT")); -} - -// ============================================================ -// 6. Schema 初始化（基于 data/schema/*.sql） -// ============================================================ - -/** - * 将 SQL 文本按语句拆分为独立命令。 - * 规则： - * - 按 `;` 分割 - * - 跳过空行和纯注释行 - * - 单个语句去除首尾空白后若为空则跳过 - * - * 注意：此方法假设 SQL 中 `;` 仅作为语句分隔符， - * 不含存储过程/函数体内的 `;`（schema/*.sql 满足此条件）。 - */ -function splitSQLStatements(sql: string): string[] { - const statements: string[] = []; - for (const raw of sql.split(";")) { - const trimmed = raw.trim(); - // 跳过空语句 - if (trimmed === "") { - continue; - } - // 跳过仅包含注释的行（已在上层过滤，此处兜底） - statements.push(trimmed); - } - return statements; -} - -/** - * 从单个 .sql 文件初始化 Schema。 - * 读取文件 → 拆分语句 → 逐条执行（同一连接，保证顺序）。 - * - * 所有 SQL 均使用 IF NOT EXISTS / ON CONFLICT DO NOTHING， - * 因此重复执行安全幂等。 - * - * @param filePath - SQL 文件的绝对路径 - * @returns 成功执行的语句数 - */ -export async function initSchemaFromFile(filePath: string): Promise { - const sql = readFileSync(filePath, "utf-8"); - - // 预处理：移除纯注释行（以 -- 开头），减少无效语句 - const lines = sql - .split("\n") - .filter((line: string) => { - const trimmed = line.trim(); - return trimmed !== "" && !trimmed.startsWith("--"); - }) - .join("\n"); - - const statements = splitSQLStatements(lines); - if (statements.length === 0) { - return 0; - } - - let executed = 0; - // 使用单连接执行所有语句，保证 DDL 顺序（如先建表再建索引） - const client = await pool.connect(); - try { - for (const stmt of statements) { - await client.query(stmt); - executed++; - } - } finally { - client.release(); - } - - return executed; -} - -/** - * 从 data/schema/ 目录初始化所有表结构。 - * - * 执行顺序（按文件名排序）： - * 1. klines.sql — K 线主表（hypertable）、索引、压缩、连续聚合 - * 2. config.sql — 配置表（monitored_symbols / exchange_config / app_config）+ 预置数据 - * - * Docker Compose 首次启动时，001_init.sql 已被自动执行。 - * 此函数作为补充，确保以下场景： - * - 裸 PostgreSQL 安装（非 Docker 部署） - * - 版本升级时需要新增表/索引 - * - 开发环境快速重置 Schema - * - * @param schemaDir - schema 目录路径，默认 ../schema（相对于本文件） - * @returns 各文件执行结果摘要 - */ -export async function initSchema(schemaDir?: string): Promise<{ - files: string[]; - totalStatements: number; - errors: string[]; -}> { - // 计算 schema 目录绝对路径（ESM 中 __dirname 不可用） - const __filename = fileURLToPath(import.meta.url); - const __dirname = dirname(__filename); - const dir = schemaDir ?? resolve(__dirname, "..", "schema"); - - const result = { files: [] as string[], totalStatements: 0, errors: [] as string[] }; - - // 读取目录，按文件名排序保证执行顺序（klines.sql 先于 config.sql） - let entries: string[]; - try { - entries = readdirSync(dir) - .filter((f: string) => f.endsWith(".sql")) - .sort(); // 字母序 - } catch { - result.errors.push(`无法读取 schema 目录: ${dir}`); - return result; - } - - // 手动排序：klines.sql 必须在 config.sql 之前（外键/引用依赖） - const klinesFirst = ["klines.sql", "config.sql"]; - entries.sort((a, b) => { - const ia = klinesFirst.indexOf(a); - const ib = klinesFirst.indexOf(b); - if (ia !== -1 && ib !== -1) return ia - ib; - if (ia !== -1) return -1; - if (ib !== -1) return 1; - return a.localeCompare(b); - }); - - for (const entry of entries) { - const filePath = resolve(dir, entry); - try { - const count = await initSchemaFromFile(filePath); - result.files.push(`${entry} (${count} 条)`); - result.totalStatements += count; - } catch (err) { - const msg = `${entry}: ${(err as Error).message}`; - result.errors.push(msg); - console.error(`[pg] Schema 初始化失败 — ${msg}`); - } - } - - if (result.errors.length === 0) { - console.log( - `[pg] Schema 初始化完成 — ${result.files.length} 个文件, ${result.totalStatements} 条语句`, - ); - } - - return result; -} - -/** - * 快速判断核心表是否已存在（轻量级检查，不做全量 Schema 验证）。 - * 仅在执行 initSchema() 前做一次探测，已存在则跳过。 - * - * @returns true 表示 klines 和 monitored_symbols 表均已存在 - */ -export async function isSchemaInitialized(): Promise { - try { - const { rows } = await pool.query<{ count: string }>(` - SELECT COUNT(*)::TEXT AS count - FROM information_schema.tables - WHERE table_schema = 'public' - AND table_name IN ('klines', 'monitored_symbols', 'exchange_config', 'app_config') - `); - // 4 张核心表全部存在 - return parseInt(rows[0]?.count ?? "0", 10) >= 4; - } catch { - return false; - } -} - -// ============================================================ -// 7. 默认导出（便于 import pool from "./db/pg"） -// ============================================================ - -export default pool; diff --git a/data/db/queries.ts b/data/db/queries.ts deleted file mode 100644 index 5ad4431..0000000 --- a/data/db/queries.ts +++ /dev/null @@ -1,561 +0,0 @@ -// ============================================================ -// schema/queries.ts — 类型安全的参数化 SQL 查询 -// ============================================================ -// 每一条 SQL 都使用 $1, $2... 参数化，防止 SQL 注入。 -// 返回类型与 types.ts 中的接口严格对应。 -// -// 使用方式： -// import { pool } from "../db"; -// import { queryEnabledSymbols } from "./schema/queries"; -// const result = await pool.query(queryEnabledSymbols, ["binance"]); -// // result.rows 自动推断为 MonitoredSymbolRow[] -// ============================================================ - -import type { - KlineInsert, - KlineRow, - AggregatedKlineRow, - MonitoredSymbolRow, - MonitoredSymbolInsert, - ExchangeConfigRow, - ExchangeConfigInsert, - AppConfigRow, - Exchange, - KlineInterval, - StreamKey, -} from "./types"; - -// ============================================================ -// K 线查询 — klines -// ============================================================ - -/** - * 批量插入 K 线（UPSERT — 冲突时更新 OHLCV） - * - * 使用 UNNEST 批量写入，单次可插入数千条，性能远优于逐条 INSERT。 - * 冲突策略：ON CONFLICT 时更新价格/成交量/闭合状态。 - */ -export const bulkUpsertKlines = ` - INSERT INTO klines ( - time, exchange, symbol, interval, - open, high, low, close, volume, - quote_volume, taker_buy_base_vol, taker_buy_quote_vol, - trade_count, is_closed - ) - SELECT * FROM UNNEST( - $1::TIMESTAMPTZ[], -- time[] - $2::TEXT[], -- exchange[] - $3::TEXT[], -- symbol[] - $4::TEXT[], -- interval[] - $5::NUMERIC(20,8)[], -- open[] - $6::NUMERIC(20,8)[], -- high[] - $7::NUMERIC(20,8)[], -- low[] - $8::NUMERIC(20,8)[], -- close[] - $9::NUMERIC(20,8)[], -- volume[] - $10::NUMERIC(20,8)[],-- quote_volume[] - $11::NUMERIC(20,8)[],-- taker_buy_base_vol[] - $12::NUMERIC(20,8)[],-- taker_buy_quote_vol[] - $13::INTEGER[], -- trade_count[] - $14::BOOLEAN[] -- is_closed[] - ) - ON CONFLICT (time, exchange, symbol, interval) DO UPDATE SET - open = EXCLUDED.open, - high = EXCLUDED.high, - low = EXCLUDED.low, - close = EXCLUDED.close, - volume = EXCLUDED.volume, - quote_volume = EXCLUDED.quote_volume, - taker_buy_base_vol = EXCLUDED.taker_buy_base_vol, - taker_buy_quote_vol = EXCLUDED.taker_buy_quote_vol, - trade_count = EXCLUDED.trade_count, - is_closed = EXCLUDED.is_closed, - updated_at = NOW() -`; - -/** 批量插入的参数类型：每个字段是一个数组 */ -export interface BulkKlineParams { - time: Date[]; - exchange: Exchange[]; - symbol: string[]; - interval: KlineInterval[]; - open: string[]; - high: string[]; - low: string[]; - close: string[]; - volume: string[]; - quote_volume: string[]; - taker_buy_base_vol: string[]; - taker_buy_quote_vol: string[]; - trade_count: number[]; - is_closed: boolean[]; -} - -/** 将 KlineInsert[] 拆解为 BulkKlineParams */ -export function packBulkKlines(rows: KlineInsert[]): BulkKlineParams { - const len = rows.length; - const params: BulkKlineParams = { - time: new Array(len), - exchange: new Array(len), - symbol: new Array(len), - interval: new Array(len), - open: new Array(len), - high: new Array(len), - low: new Array(len), - close: new Array(len), - volume: new Array(len), - quote_volume: new Array(len), - taker_buy_base_vol: new Array(len), - taker_buy_quote_vol: new Array(len), - trade_count: new Array(len), - is_closed: new Array(len), - }; - - for (let i = 0; i < len; i++) { - const r = rows[i]!; - params.time[i] = r.time; - params.exchange[i] = r.exchange; - params.symbol[i] = r.symbol; - params.interval[i] = r.interval; - params.open[i] = r.open; - params.high[i] = r.high; - params.low[i] = r.low; - params.close[i] = r.close; - params.volume[i] = r.volume; - params.quote_volume[i] = r.quote_volume ?? "0"; - params.taker_buy_base_vol[i] = r.taker_buy_base_vol ?? "0"; - params.taker_buy_quote_vol[i] = r.taker_buy_quote_vol ?? "0"; - params.trade_count[i] = r.trade_count ?? 0; - params.is_closed[i] = r.is_closed ?? true; - } - - return params; -} - -/** - * 查询原始 K 线（时间范围） - * 返回类型：KlineRow[] - */ -export const queryKlinesRange = ` - SELECT time, exchange, symbol, interval, - open, high, low, close, volume, - quote_volume, taker_buy_base_vol, taker_buy_quote_vol, - trade_count, is_closed, created_at, updated_at - FROM klines - WHERE exchange = $1 - AND symbol = $2 - AND interval = $3 - AND time >= $4 - AND time < $5 - ORDER BY time ASC -`; - -/** - * 查询最新 N 根 K 线 - * 返回类型：KlineRow[] - */ -export const queryKlinesLatest = ` - SELECT time, exchange, symbol, interval, - open, high, low, close, volume, - quote_volume, taker_buy_base_vol, taker_buy_quote_vol, - trade_count, is_closed, created_at, updated_at - FROM klines - WHERE exchange = $1 - AND symbol = $2 - AND interval = $3 - ORDER BY time DESC - LIMIT $4 -`; - -// ============================================================ -// 聚合 K 线查询 — klines_5m / 15m / 1h / 1d -// ============================================================ - -/** - * 查询聚合 K 线（动态视图名） - * - * @param viewName — "klines_5m" | "klines_15m" | "klines_1h" | "klines_1d" - * - * 注意：视图名已通过枚举约束，不存在注入风险（不使用用户输入拼接） - */ -export function queryAggregatedKlines( - viewName: "klines_5m" | "klines_15m" | "klines_1h" | "klines_1d", -) { - // 视图名来自代码常量，安全拼接 - return ` - SELECT time, exchange, symbol, interval, - open, high, low, close, volume, - quote_volume, taker_buy_base_vol, taker_buy_quote_vol, trade_count - FROM ${viewName} - WHERE exchange = $1 - AND symbol = $2 - AND time >= $3 - AND time < $4 - ORDER BY time ASC - `; -} - -// ============================================================ -// 监控交易对查询 — monitored_symbols -// ============================================================ - -/** - * 查询所有启用的监控标的（采集服务启动时调用） - * 返回类型：MonitoredSymbolRow[] - */ -export const queryEnabledSymbols = ` - SELECT id, exchange, symbol, interval, - enabled, priority, label, notes, - created_at, updated_at - FROM monitored_symbols - WHERE enabled = TRUE - ORDER BY exchange, priority DESC, symbol, interval -`; - -/** - * 查询指定交易所的监控标的 - * 返回类型：MonitoredSymbolRow[] - */ -export const querySymbolsByExchange = ` - SELECT id, exchange, symbol, interval, - enabled, priority, label, notes, - created_at, updated_at - FROM monitored_symbols - WHERE exchange = $1 - AND enabled = TRUE - ORDER BY priority DESC, symbol, interval -`; - -/** - * 插入监控标的（UPSERT） - */ -export const upsertMonitoredSymbol = ` - INSERT INTO monitored_symbols (exchange, symbol, interval, enabled, priority, label, notes) - VALUES ($1, $2, $3, $4, $5, $6, $7) - ON CONFLICT (exchange, symbol, interval) DO UPDATE SET - enabled = EXCLUDED.enabled, - priority = EXCLUDED.priority, - label = EXCLUDED.label, - notes = EXCLUDED.notes, - updated_at = NOW() - RETURNING id, exchange, symbol, interval, - enabled, priority, label, notes, - created_at, updated_at -`; - -/** - * 禁用监控标的（软删除） - */ -export const disableMonitoredSymbol = ` - UPDATE monitored_symbols - SET enabled = FALSE, updated_at = NOW() - WHERE exchange = $1 AND symbol = $2 AND interval = $3 - RETURNING id, exchange, symbol, interval -`; - -/** - * 按 ID 查询单个监控标的 - * 返回类型：MonitoredSymbolRow | null - */ -export const queryMonitoredSymbolById = ` - SELECT id, exchange, symbol, interval, - enabled, priority, label, notes, - created_at, updated_at - FROM monitored_symbols - WHERE id = $1 -`; - -/** - * 查询所有监控标的（含已禁用） - * 返回类型：MonitoredSymbolRow[] - */ -export const queryAllMonitoredSymbols = ` - SELECT id, exchange, symbol, interval, - enabled, priority, label, notes, - created_at, updated_at - FROM monitored_symbols - ORDER BY exchange, priority DESC, symbol, interval -`; - -/** - * 按唯一键 (exchange, symbol, interval) 查询监控标的 - * 返回类型：MonitoredSymbolRow | null - */ -export const queryMonitoredSymbolByKey = ` - SELECT id, exchange, symbol, interval, - enabled, priority, label, notes, - created_at, updated_at - FROM monitored_symbols - WHERE exchange = $1 AND symbol = $2 AND interval = $3 -`; - -/** - * 按 ID 删除监控标的（硬删除） - * 返回被删除记录的 id - */ -export const deleteMonitoredSymbol = ` - DELETE FROM monitored_symbols - WHERE id = $1 - RETURNING id -`; - -/** - * 按唯一键删除监控标的（硬删除） - * 返回被删除记录的 id - */ -export const deleteMonitoredSymbolByKey = ` - DELETE FROM monitored_symbols - WHERE exchange = $1 AND symbol = $2 AND interval = $3 - RETURNING id -`; - -/** - * 更新监控标的（部分字段） - * 仅更新传入的非 NULL 字段，自动更新 updated_at - */ -export const updateMonitoredSymbol = ` - UPDATE monitored_symbols - SET enabled = COALESCE($2, enabled), - priority = COALESCE($3, priority), - label = COALESCE($4, label), - notes = COALESCE($5, notes), - updated_at = NOW() - WHERE id = $1 - RETURNING id, exchange, symbol, interval, - enabled, priority, label, notes, - created_at, updated_at -`; - -// ============================================================ -// 交易所配置查询 — exchange_config -// ============================================================ - -/** - * 查询所有启用的交易所配置 - * 返回类型：ExchangeConfigRow[] - */ -export const queryEnabledExchanges = ` - SELECT id, exchange, - rest_url, ws_url, ws_ping_interval_ms, - rate_limit_per_sec, max_reconnect_attempts, reconnect_delay_ms, - enabled, notes, created_at, updated_at - FROM exchange_config - WHERE enabled = TRUE - ORDER BY exchange -`; - -/** - * 查询单个交易所配置 - * 返回类型：ExchangeConfigRow | null - */ -export const queryExchangeConfig = ` - SELECT id, exchange, - rest_url, ws_url, ws_ping_interval_ms, - rate_limit_per_sec, max_reconnect_attempts, reconnect_delay_ms, - enabled, notes, created_at, updated_at - FROM exchange_config - WHERE exchange = $1 -`; - -/** - * 插入/更新交易所配置（UPSERT） - */ -export const upsertExchangeConfig = ` - INSERT INTO exchange_config ( - exchange, rest_url, ws_url, ws_ping_interval_ms, - rate_limit_per_sec, max_reconnect_attempts, reconnect_delay_ms, - enabled, notes - ) - VALUES ($1, $2, $3, $4, $5, $6, $7, $8, $9) - ON CONFLICT (exchange) DO UPDATE SET - rest_url = EXCLUDED.rest_url, - ws_url = EXCLUDED.ws_url, - ws_ping_interval_ms = EXCLUDED.ws_ping_interval_ms, - rate_limit_per_sec = EXCLUDED.rate_limit_per_sec, - max_reconnect_attempts = EXCLUDED.max_reconnect_attempts, - reconnect_delay_ms = EXCLUDED.reconnect_delay_ms, - enabled = EXCLUDED.enabled, - notes = EXCLUDED.notes, - updated_at = NOW() - RETURNING id, exchange, - rest_url, ws_url, ws_ping_interval_ms, - rate_limit_per_sec, max_reconnect_attempts, reconnect_delay_ms, - enabled, notes, created_at, updated_at -`; - -/** - * 按 ID 查询交易所配置 - * 返回类型：ExchangeConfigRow | null - */ -export const queryExchangeConfigById = ` - SELECT id, exchange, - rest_url, ws_url, ws_ping_interval_ms, - rate_limit_per_sec, max_reconnect_attempts, reconnect_delay_ms, - enabled, notes, created_at, updated_at - FROM exchange_config - WHERE id = $1 -`; - -/** - * 查询所有交易所配置（含已禁用） - * 返回类型：ExchangeConfigRow[] - */ -export const queryAllExchangeConfigs = ` - SELECT id, exchange, - rest_url, ws_url, ws_ping_interval_ms, - rate_limit_per_sec, max_reconnect_attempts, reconnect_delay_ms, - enabled, notes, created_at, updated_at - FROM exchange_config - ORDER BY exchange -`; - -/** - * 按 ID 删除交易所配置（硬删除） - * 返回被删除记录的 id - */ -export const deleteExchangeConfig = ` - DELETE FROM exchange_config - WHERE id = $1 - RETURNING id -`; - -/** - * 按交易所标识删除配置（硬删除） - * 返回被删除记录的 id - */ -export const deleteExchangeConfigByExchange = ` - DELETE FROM exchange_config - WHERE exchange = $1 - RETURNING id -`; - -/** - * 更新交易所配置（部分字段） - * 仅更新传入的非 NULL 字段，自动更新 updated_at - */ -export const updateExchangeConfig = ` - UPDATE exchange_config - SET rest_url = COALESCE($2, rest_url), - ws_url = COALESCE($3, ws_url), - ws_ping_interval_ms = COALESCE($4, ws_ping_interval_ms), - rate_limit_per_sec = COALESCE($5, rate_limit_per_sec), - max_reconnect_attempts = COALESCE($6, max_reconnect_attempts), - reconnect_delay_ms = COALESCE($7, reconnect_delay_ms), - enabled = COALESCE($8, enabled), - notes = COALESCE($9, notes), - updated_at = NOW() - WHERE id = $1 - RETURNING id, exchange, - rest_url, ws_url, ws_ping_interval_ms, - rate_limit_per_sec, max_reconnect_attempts, reconnect_delay_ms, - enabled, notes, created_at, updated_at -`; - -// ============================================================ -// 全局配置查询 — app_config -// ============================================================ - -/** - * 查询所有应用配置 - * 返回类型：AppConfigRow[] - */ -export const queryAllAppConfig = ` - SELECT id, key, value, description, updated_at - FROM app_config - ORDER BY key -`; - -/** - * 查询单个配置项 - * 返回类型：AppConfigRow | null - */ -export const queryAppConfig = ` - SELECT id, key, value, description, updated_at - FROM app_config - WHERE key = $1 -`; - -/** - * 设置配置项（UPSERT） - */ -export const upsertAppConfig = ` - INSERT INTO app_config (key, value, description) - VALUES ($1, $2, $3) - ON CONFLICT (key) DO UPDATE SET - value = EXCLUDED.value, - description = EXCLUDED.description, - updated_at = NOW() - RETURNING id, key, value, description, updated_at -`; - -/** - * 按 ID 查询应用配置 - * 返回类型：AppConfigRow | null - */ -export const queryAppConfigById = ` - SELECT id, key, value, description, updated_at - FROM app_config - WHERE id = $1 -`; - -/** - * 按 key 删除应用配置（硬删除） - * 返回被删除记录的 id - */ -export const deleteAppConfig = ` - DELETE FROM app_config - WHERE key = $1 - RETURNING id -`; - -/** - * 按 ID 删除应用配置（硬删除） - * 返回被删除记录的 id - */ -export const deleteAppConfigById = ` - DELETE FROM app_config - WHERE id = $1 - RETURNING id -`; - -/** - * 更新应用配置值（部分字段） - * 仅更新传入的非 NULL 字段，自动更新 updated_at - */ -export const updateAppConfig = ` - UPDATE app_config - SET value = COALESCE($2, value), - description = COALESCE($3, description), - updated_at = NOW() - WHERE id = $1 - RETURNING id, key, value, description, updated_at -`; - -// ============================================================ -// 复合查询：采集服务启动加载项 -// ============================================================ - -/** - * 一次性加载所有启动配置： - * 1. 启用的监控标的列表 - * 2. 对应交易所的连接配置 - * - * 返回两表 JOIN 结果，供采集服务初始化 WebSocket 连接池。 - */ -export const queryStreamSubscriptions = ` - SELECT - m.exchange, - m.symbol, - m.interval, - m.priority, - e.rest_url, - e.ws_url, - e.ws_ping_interval_ms, - e.rate_limit_per_sec, - e.max_reconnect_attempts, - e.reconnect_delay_ms - FROM monitored_symbols m - JOIN exchange_config e ON m.exchange = e.exchange - WHERE m.enabled = TRUE - AND e.enabled = TRUE - ORDER BY m.exchange, m.priority DESC, m.symbol, m.interval -`; diff --git a/data/db/types.ts b/data/db/types.ts deleted file mode 100644 index ed939df..0000000 --- a/data/db/types.ts +++ /dev/null @@ -1,249 +0,0 @@ -// ============================================================ -// schema/types.ts — PostgreSQL 表对应的 TypeScript 类型定义 -// ============================================================ -// 与 data/schema/*.sql 中的表结构一一对应 -// -// 类型约定： -// NUMERIC(20,8) → string （保留精度，避免 IEEE 754 浮点误差） -// TIMESTAMPTZ → Date （pg 默认解析为 Date） -// SERIAL / INT → number -// SMALLINT → number -// REAL → number -// BOOLEAN → boolean -// ============================================================ - -// ============================================================ -// 联合类型：约束 TEXT 字段的合法值 -// ============================================================ - -/** 支持的交易所标识 */ -export type Exchange = "binance" | "okx" | "bybit"; - -/** K 线周期（原始 1m + 聚合派生） */ -export type KlineInterval = "1m" | "5m" | "15m" | "1h" | "4h" | "1d"; - -/** 日志级别 */ -export type LogLevel = "trace" | "debug" | "info" | "warn" | "error" | "fatal"; - -// ============================================================ -// 1. K 线主表 — klines -// ============================================================ - -/** klines 表完整行类型 */ -export interface KlineRow { - /** K 线开盘时间（UTC） */ - time: Date; - /** 交易所 */ - exchange: Exchange; - /** 交易对，如 BTCUSDT */ - symbol: string; - /** K 线周期 */ - interval: KlineInterval; - /** 开盘价 */ - open: string; - /** 最高价 */ - high: string; - /** 最低价 */ - low: string; - /** 收盘价 */ - close: string; - /** 成交量（基准币种） */ - volume: string; - /** 成交额（计价币种） */ - quote_volume: string; - /** 主动买入量（基准币种） */ - taker_buy_base_vol: string; - /** 主动买入额（计价币种） */ - taker_buy_quote_vol: string; - /** 成交笔数 */ - trade_count: number; - /** K 线是否已闭合 */ - is_closed: boolean; - /** 记录创建时间 */ - created_at: Date; - /** 记录更新时间 */ - updated_at: Date; -} - -/** klines 表插入类型（省略自动生成的元数据列） */ -export interface KlineInsert { - time: Date; - exchange: Exchange; - symbol: string; - interval: KlineInterval; - open: string; - high: string; - low: string; - close: string; - volume: string; - quote_volume?: string; - taker_buy_base_vol?: string; - taker_buy_quote_vol?: string; - trade_count?: number; - is_closed?: boolean; -} - -// ============================================================ -// 2. 连续聚合视图 — klines_5m / klines_15m / klines_1h / klines_1d -// ============================================================ - -/** 聚合 K 线通用类型（OHLCV，无扩展字段） */ -export interface AggregatedKlineRow { - time: Date; - exchange: Exchange; - symbol: string; - interval: KlineInterval; - open: string; - high: string; - low: string; - close: string; - volume: string; - quote_volume: string; - taker_buy_base_vol: string; - taker_buy_quote_vol: string; - trade_count: number; -} - -// ============================================================ -// 3. 监控交易对配置 — monitored_symbols -// ============================================================ - -/** monitored_symbols 表完整行类型 */ -export interface MonitoredSymbolRow { - /** 自增主键 */ - id: number; - /** 交易所 */ - exchange: Exchange; - /** 交易对 */ - symbol: string; - /** K 线周期 */ - interval: KlineInterval; - /** 是否启用采集 */ - enabled: boolean; - /** 优先级（0-32767，越大越优先） */ - priority: number; - /** 人类可读标签 */ - label: string | null; - /** 备注 */ - notes: string | null; - /** 创建时间 */ - created_at: Date; - /** 更新时间 */ - updated_at: Date; -} - -/** monitored_symbols 插入类型 */ -export interface MonitoredSymbolInsert { - exchange: Exchange; - symbol: string; - interval: KlineInterval; - enabled?: boolean; - priority?: number; - label?: string | null; - notes?: string | null; -} - -/** monitored_symbols 更新类型（所有字段可选） */ -export interface MonitoredSymbolUpdate { - enabled?: boolean; - priority?: number; - label?: string | null; - notes?: string | null; -} - -// ============================================================ -// 4. 交易所连接配置 — exchange_config -// ============================================================ - -/** exchange_config 表完整行类型 */ -export interface ExchangeConfigRow { - /** 自增主键 */ - id: number; - /** 交易所标识（唯一） */ - exchange: Exchange; - /** REST API 基础 URL（null = 使用 SDK 默认值） */ - rest_url: string | null; - /** WebSocket 基础 URL（null = 使用 SDK 默认值） */ - ws_url: string | null; - /** 心跳间隔（毫秒） */ - ws_ping_interval_ms: number; - /** 每秒最大请求数 */ - rate_limit_per_sec: number; - /** 最大重连次数 */ - max_reconnect_attempts: number; - /** 重连延迟基数（毫秒） */ - reconnect_delay_ms: number; - /** 是否启用该交易所 */ - enabled: boolean; - /** 备注 */ - notes: string | null; - /** 创建时间 */ - created_at: Date; - /** 更新时间 */ - updated_at: Date; -} - -/** exchange_config 插入类型 */ -export interface ExchangeConfigInsert { - exchange: Exchange; - rest_url?: string | null; - ws_url?: string | null; - ws_ping_interval_ms?: number; - rate_limit_per_sec?: number; - max_reconnect_attempts?: number; - reconnect_delay_ms?: number; - enabled?: boolean; - notes?: string | null; -} - -// ============================================================ -// 5. 全局应用配置 — app_config -// ============================================================ - -/** app_config 表完整行类型 */ -export interface AppConfigRow { - /** 自增主键 */ - id: number; - /** 配置键 */ - key: string; - /** 配置值（统一存储为字符串） */ - value: string; - /** 说明 */ - description: string | null; - /** 更新时间 */ - updated_at: Date; -} - -/** 已知的 app_config 键名 */ -export type AppConfigKey = - | "batch_size" - | "flush_interval_ms" - | "log_level" - | "redis_publish_enabled"; - -// ============================================================ -// 6. 业务聚合类型 -// ============================================================ - -/** - * 唯一标识一个 K 线流 - * 对应 klines / monitored_symbols 的 (exchange, symbol, interval) 组合 - */ -export interface StreamKey { - exchange: Exchange; - symbol: string; - interval: KlineInterval; -} - -/** - * 采集服务启动时加载的完整订阅配置 - * = monitored_symbols JOIN exchange_config - */ -export interface StreamSubscription { - /** 流标识 */ - streamKey: StreamKey; - /** 优先级 */ - priority: number; - /** 连接配置 */ - exchangeConfig: ExchangeConfigRow; -} diff --git a/data/db/validators.ts b/data/db/validators.ts deleted file mode 100644 index 35c6c39..0000000 --- a/data/db/validators.ts +++ /dev/null @@ -1,245 +0,0 @@ -// ============================================================ -// schema/validators.ts — Zod 运行时校验 Schema -// ============================================================ -// 用途： -// 1. WebSocket 行情数据到达后校验字段完整性再入库 -// 2. 配置文件 / 环境变量加载后类型收窄 -// 3. API 输入参数校验 -// -// 依赖：zod ^4.x（已包含在 data/package.json） -// ============================================================ - -import { z } from "zod"; - -// ============================================================ -// 基础标量 Schema -// ============================================================ - -/** 交易所枚举 */ -export const ExchangeSchema = z.enum(["binance", "okx", "bybit"]); -export type Exchange = z.infer; - -/** K 线周期枚举 */ -export const KlineIntervalSchema = z.enum([ - "1m", - "5m", - "15m", - "1h", - "4h", - "1d", -]); -export type KlineInterval = z.infer; - -/** 日志级别 */ -export const LogLevelSchema = z.enum([ - "trace", - "debug", - "info", - "warn", - "error", - "fatal", -]); - -/** 交易对格式：大写字母 + 大写字母（如 BTCUSDT），3-12 字符 */ -export const SymbolSchema = z - .string() - .regex(/^[A-Z0-9]{4,14}$/, "交易对格式无效，示例：BTCUSDT"); - -/** - * NUMERIC(20,8) 数值字符串 - * pg 驱动默认以字符串返回 NUMERIC 以保留精度 - */ -export const NumericStringSchema = z - .string() - .regex(/^-?\d+(\.\d+)?$/, "期望 NUMERIC 字符串"); - -// ============================================================ -// 1. Kline 数据校验 — klines 表 -// ============================================================ - -/** WebSocket 原始 OHLCV 消息校验（单条 K 线，入库前） */ -export const KlineRawSchema = z.object({ - /** K 线开盘时间（UTC），Unix 毫秒时间戳 */ - time: z.number().int().positive(), - /** 交易所 */ - exchange: ExchangeSchema, - /** 交易对 */ - symbol: SymbolSchema, - /** 周期 */ - interval: KlineIntervalSchema, - /** 开盘价 */ - open: NumericStringSchema, - /** 最高价 */ - high: NumericStringSchema, - /** 最低价 */ - low: NumericStringSchema, - /** 收盘价 */ - close: NumericStringSchema, - /** 成交量 */ - volume: NumericStringSchema, - /** 成交额（可选） */ - quote_volume: NumericStringSchema.optional().default("0"), - /** 主动买入量（可选） */ - taker_buy_base_vol: NumericStringSchema.optional().default("0"), - /** 主动买入额（可选） */ - taker_buy_quote_vol: NumericStringSchema.optional().default("0"), - /** 成交笔数（可选） */ - trade_count: z.number().int().nonnegative().optional().default(0), - /** K 线是否闭合 */ - is_closed: z.boolean().optional().default(true), -}); - -export type KlineRaw = z.infer; - -/** 批量 K 线消息校验（WebSocket 可能一次推送多根） */ -export const KlineBatchSchema = z.array(KlineRawSchema).min(1); - -export type KlineBatch = z.infer; - -// ============================================================ -// 2. 监控交易对配置校验 — monitored_symbols -// ============================================================ - -/** 插入监控标的 */ -export const MonitoredSymbolInsertSchema = z.object({ - exchange: ExchangeSchema, - symbol: SymbolSchema, - interval: KlineIntervalSchema, - enabled: z.boolean().optional().default(true), - /** 优先级 0-32767（SMALLINT 范围） */ - priority: z - .number() - .int() - .min(0) - .max(32767) - .optional() - .default(0), - label: z.string().max(200).nullable().optional().default(null), - notes: z.string().max(1000).nullable().optional().default(null), -}); - -export type MonitoredSymbolInsert = z.infer< - typeof MonitoredSymbolInsertSchema ->; - -/** 更新监控标的 */ -export const MonitoredSymbolUpdateSchema = z.object({ - enabled: z.boolean().optional(), - priority: z.number().int().min(0).max(32767).optional(), - label: z.string().max(200).nullable().optional(), - notes: z.string().max(1000).nullable().optional(), -}); - -export type MonitoredSymbolUpdate = z.infer< - typeof MonitoredSymbolUpdateSchema ->; - -// ============================================================ -// 3. 交易所连接配置校验 — exchange_config -// ============================================================ - -/** 交易所连接配置输入 */ -export const ExchangeConfigInsertSchema = z.object({ - exchange: ExchangeSchema, - rest_url: z.string().url().nullable().optional().default(null), - ws_url: z.string().url().nullable().optional().default(null), - ws_ping_interval_ms: z - .number() - .int() - .min(5000) - .max(300000) - .optional() - .default(30000), - rate_limit_per_sec: z.number().positive().max(100).optional().default(20), - max_reconnect_attempts: z - .number() - .int() - .min(0) - .max(100) - .optional() - .default(10), - reconnect_delay_ms: z - .number() - .int() - .min(100) - .max(60000) - .optional() - .default(3000), - enabled: z.boolean().optional().default(true), - notes: z.string().max(500).nullable().optional().default(null), -}); - -export type ExchangeConfigInsert = z.infer< - typeof ExchangeConfigInsertSchema ->; - -// ============================================================ -// 4. 流标识校验 — StreamKey -// ============================================================ - -/** (exchange, symbol, interval) 三元组 */ -export const StreamKeySchema = z.object({ - exchange: ExchangeSchema, - symbol: SymbolSchema, - interval: KlineIntervalSchema, -}); - -export type StreamKey = z.infer; - -// ============================================================ -// 5. 环境变量 / 配置校验 -// ============================================================ - -/** .env 环境变量 schema */ -export const EnvConfigSchema = z.object({ - /** 逗号分隔的交易对列表 */ - SYMBOLS: z - .string() - .optional() - .default("BTCUSDT,ETHUSDT"), - DB_HOST: z.string().optional().default("localhost"), - DB_PORT: z.coerce.number().int().positive().optional().default(5432), - DB_NAME: z.string().optional().default("trade"), - DB_USER: z.string().optional().default("trader"), - DB_PASSWORD: z.string().optional().default("changeme"), - REDIS_URL: z.string().url().optional().default("redis://localhost:6379"), - REDIS_PUBLISH_ENABLED: z - .enum(["true", "false"]) - .optional() - .default("true"), - BATCH_SIZE: z.coerce.number().int().positive().optional().default(500), - FLUSH_INTERVAL_MS: z.coerce - .number() - .int() - .positive() - .optional() - .default(1000), - /** WebSocket 断线重连延迟基数（毫秒） */ - WS_RECONNECT_DELAY_MS: z.coerce - .number() - .int() - .positive() - .optional() - .default(3000), - /** WebSocket 心跳间隔（毫秒） */ - WS_PING_INTERVAL_MS: z.coerce - .number() - .int() - .positive() - .optional() - .default(30000), - /** WebSocket 最大重连次数 */ - WS_MAX_RECONNECT_ATTEMPTS: z.coerce - .number() - .int() - .nonnegative() - .optional() - .default(10), - LOG_LEVEL: LogLevelSchema.optional().default("info"), - NODE_ENV: z - .enum(["development", "production", "test"]) - .optional() - .default("development"), -}); - -export type EnvConfig = z.infer; diff --git a/data/exchanges/base.ts b/data/exchanges/base.ts new file mode 100644 index 0000000..ddf1c19 --- /dev/null +++ b/data/exchanges/base.ts @@ -0,0 +1,186 @@ +// ============================================================ +// 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 { + 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>(); + + // ============================================================ + // 构造函数 + // ============================================================ + + constructor(config: Partial = {}) { + 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} → ${state}`, + ); + } + } + + // ============================================================ + // 指数退避重连（所有子类复用） + // ============================================================ + + /** + * 执行指数退避重连。 + * + * 延迟公式：delay = baseDelay × 2^min(attempt, 5) + * - attempt=0: 3s + * - attempt=1: 6s + * - attempt=2: 12s + * - attempt=5: 96s（之后不再翻倍） + * + * 超过 maxReconnectAttempts 后抛出错误。 + * + * @throws 达到最大重试次数后抛出 + */ + protected async reconnect(): Promise { + const { reconnectBaseDelayMs: baseDelay, maxReconnectAttempts } = this.config; + + if (this.reconnectAttempt >= maxReconnectAttempts) { + this.setConnectionState("error"); + throw new Error( + `[${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(): Subject { + const subject = new Subject(); + this.activeSubjects.add(subject as Subject); + 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; + abstract disconnect(): Promise; + abstract subscribeTicker(symbols: string[]): Observable; + abstract subscribeTrade(symbols: string[]): Observable; + abstract subscribeOrderbook(symbol: string, depth?: number): Observable; + abstract fetchKlines( + symbol: string, + interval: KlineInterval, + startTime: number, + endTime: number, + limit?: number, + ): Promise; + abstract fetchMarkets(): Promise; +} + +export default BaseExchangeAdapter; diff --git a/data/exchanges/binance.ts b/data/exchanges/binance.ts index f474a9c..923629e 100644 --- a/data/exchanges/binance.ts +++ b/data/exchanges/binance.ts @@ -1,395 +1,782 @@ // ============================================================ -// exchanges/binance.ts — 通用交易所 WebSocket 行情采集类 +// binance.ts — Binance 交易所适配器 // ============================================================ -// 基于 ccxt.pro 实现，不限于 Binance，支持任意 ccxt 支持的交易所。 -// 构造即启动：传入交易所 ID + 交易对列表，自动开始 WebSocket 监听。 +// 基于 Binance 官方 SDK（binance@3.x）实现 MarketDataFeed 接口。 // -// 使用方式： -// import { ExchangeWs } from "./exchanges/binance"; -// const ws = new ExchangeWs({ -// exchangeId: "binance", -// symbols: ["BTCUSDT", "ETHUSDT"], -// interval: "1m", -// }); -// ws.on("kline", (data) => console.log(data)); +// 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 ccxt from "ccxt"; -import { EventEmitter } from "node:events"; - +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 { - KlineWsData, - ExchangeWsConfig, - WsConnectionState, + Ticker, + Trade, + OrderBook, + Kline, + KlineInterval, + MarketInfo, + AdapterConfig, + BinanceRawKline, } from "./types"; +import { KLINE_INTERVAL_MS } from "./types"; // ============================================================ -// 内部类型：ccxt pro 交易所实例的最小接口 -// ============================================================ -// 避免直接依赖 ccxt 内部类型（不同版本导出签名差异大）， -// 仅声明本类实际调用的方法签名。 - -/** ccxt OHLCV 数组：[timestamp_ms, open, high, low, close, volume] */ -type OHLCVCandle = [number, number, number, number, number, number]; - -/** ccxt.pro 交易所实例的最小接口 */ -interface IProExchange { - watchOHLCV(symbol: string, timeframe: string): Promise; - close(): Promise; -} - -// ============================================================ -// 类型声明：为 EventEmitter 添加严格的事件签名 +// Binance K 线周期 ← → 本系统 K 线周期映射 // ============================================================ -export declare interface ExchangeWs { - /** 新 K 线数据到达（含实时更新和闭合 K 线） */ - on(event: "kline", listener: (data: KlineWsData) => void): this; - /** WebSocket 错误（非致命，单 symbol 出错不影响其他） */ - on(event: "error", listener: (error: ExchangeWsError) => void): this; - /** 连接状态变更 */ - on( - event: "stateChange", - listener: (state: WsConnectionState, exchangeId: string) => void, - ): this; - /** 单个 symbol 的 watch 循环已启动 */ - on( - event: "symbolReady", - listener: (symbol: string, interval: string) => void, - ): this; - /** 所有 symbols 已进入监听状态 */ - on(event: "ready", listener: () => void): this; -} +/** + * 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"; -/** 带 symbol 上下文的错误类型 */ -export class ExchangeWsError extends Error { - symbol: string; - exchangeId: string; - constructor(message: string, exchangeId: string, symbol: string) { - super(message); - this.name = "ExchangeWsError"; - this.exchangeId = exchangeId; - this.symbol = symbol; - } -} +/** 本系统 KlineInterval → Binance SDK KlineInterval（1:1 子集映射） */ +const INTERVAL_TO_BINANCE: Record = { + "1m": "1m", + "5m": "5m", + "15m": "15m", + "30m": "30m", + "1h": "1h", + "4h": "4h", + "1d": "1d", + "1w": "1w", +}; // ============================================================ -// ExchangeWs — 主类 +// 默认适配器配置（Binance 专用覆盖） // ============================================================ -export class ExchangeWs extends EventEmitter { - // ---- 配置 ---- - private readonly exchangeId: string; - private readonly symbols: string[]; - private readonly interval: string; - private readonly ccxtOptions: Record; +const DEFAULT_BINANCE_CONFIG: AdapterConfig = { + reconnectBaseDelayMs: 3000, + maxReconnectAttempts: 10, + /** Binance REST API 权重制限频，保守设为 250ms */ + restRateLimitMs: 250, +}; - // ---- 运行时状态 ---- - private exchange: IProExchange | null = null; - private state: WsConnectionState = "idle"; - private abortController: AbortController | null = null; - /** 每个 symbol 一条 watch 循环 */ - private watchTasks: Promise[] = []; - /** 已成功启动监听的 symbol 集合 */ - private readonly readySymbols = new Set(); +// ============================================================ +// 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; + + /** 逐笔成交流（合并所有已订阅 symbol） */ + private tradeSubject!: Subject; + + /** 订单簿深度流（合并所有已订阅 symbol） */ + private orderbookSubjects = new Map>(); + + // ---------------------------------------------------------- + // 订阅追踪 + // ---------------------------------------------------------- + + /** 当前已订阅的 ticker symbol 集合 */ + private subscribedTickerSymbols = new Set(); + + /** 当前已订阅的 trade symbol 集合 */ + private subscribedTradeSymbols = new Set(); + + /** 当前已订阅的 orderbook symbol → depth 映射 */ + private subscribedOrderbookDepths = new Map(); + + /** 防止重复 REST 请求的节流 Map（symbol:interval → lastFetchTime） */ + private lastRestFetch = new Map(); // ============================================================ - // 构造器：传入参数，自动启动 WebSocket 监听 + // 构造函数 + // ============================================================ + + constructor(config: Partial = {}) { + super({ ...DEFAULT_BINANCE_CONFIG, ...config }); + } + + // ============================================================ + // 连接管理 // ============================================================ /** - * @param config.exchangeId - 交易所 ID（binance / okx / bybit / …） - * @param config.symbols - 要订阅的交易对列表 - * @param config.interval - K 线周期，默认 '1m' - * @param config.ccxtOptions - 传递给 ccxt.pro 交易所构造器的额外选项 + * 建立 WebSocket 连接并注册事件监听。 * - * 构造完成后 WebSocket 连接立即在后台启动， - * 监听 'ready' 事件确认全部就绪，或 'kline' 事件接收数据。 + * 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。 */ - constructor(config: ExchangeWsConfig) { - super(); - - // 参数校验 - if (!config.symbols || config.symbols.length === 0) { - throw new Error("symbols 不能为空"); - } - - this.exchangeId = config.exchangeId; - this.symbols = [...config.symbols]; // 防御性拷贝 - this.interval = config.interval ?? "1m"; - this.ccxtOptions = config.ccxtOptions ?? {}; - - // 构造即启动（fire-and-forget，错误通过 'error' 事件抛出） - this.start().catch((err) => { - this.emit( - "error", - new ExchangeWsError( - `启动失败: ${(err as Error).message}`, - this.exchangeId, - "ALL", - ), - ); - }); - } - - // ============================================================ - // 公开方法 - // ============================================================ - - /** 获取当前连接状态 */ - getState(): WsConnectionState { - return this.state; - } - - /** 获取已就绪的 symbol 列表 */ - getReadySymbols(): string[] { - return [...this.readySymbols]; - } - - /** - * 动态添加交易对（已监听的 symbol 会被忽略） - * 可在运行时增删监控标的，无需重启整个连接 - */ - async addSymbols(newSymbols: string[]): Promise { - const toAdd = newSymbols.filter((s) => !this.readySymbols.has(s)); - if (toAdd.length === 0) { + async connect(): Promise { + if (this._connectionState === "connected") { + logger.debug(`[binance] 已连接，跳过重复 connect`); return; - }; + } - for (const symbol of toAdd) { - this.symbols.push(symbol); - const task = this.watchSymbol(symbol); - this.watchTasks.push(task); + 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; } } /** - * 停止 WebSocket 监听并释放资源 - * 调用后实例不可复用，需重新 new + * 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 close(): Promise { - // 1. 取消所有 watch 循环 - this.abortController?.abort(); + async disconnect(): Promise { + logger.info(`[binance] 断开连接...`); - // 2. 等待所有 watch 循环退出 - await Promise.allSettled(this.watchTasks); - - // 3. 关闭 ccxt 交易所连接 - if (this.exchange) { - try { - await this.exchange.close(); - } catch { - // 忽略关闭时的错误 - } - this.exchange = null; - } - - this.setState("disconnected"); - this.removeAllListeners(); - } - - // ============================================================ - // 内部方法 - // ============================================================ - - /** 异步启动：初始化 ccxt 实例并为每个 symbol 启动 watch 循环 */ - private async start(): Promise { - this.abortController = new AbortController(); - this.setState("connecting"); - - // 1. 创建 ccxt.pro 交易所实例 - this.exchange = this.createExchange(); - - // 2. 为每个 symbol 启动独立的 watch 循环 - this.watchTasks = this.symbols.map((symbol) => this.watchSymbol(symbol)); - - // 3. 等待任意 symbol 就绪（或全部失败） try { - await this.waitForAnyReady(); - this.setState("connected"); - this.emit("ready"); - } catch { - this.setState("error"); - this.emit( - "error", - new ExchangeWsError("所有 symbol 连接失败", this.exchangeId, "ALL"), - ); - } - } - - /** 创建 ccxt.pro 交易所实例 */ - private createExchange(): IProExchange { - // 动态获取 ccxt.pro[exchangeId] 构造器 - const ccxtAny = ccxt as unknown as Record; - const proNamespace = ccxtAny.pro as - | Record) => IProExchange> - | undefined; - - if (!proNamespace || typeof proNamespace !== "object") { - throw new Error( - "ccxt.pro 不可用，请确认 ccxt 版本 >= 4.0 且已安装 pro 支持", - ); - } - - const ProExchange = proNamespace[this.exchangeId]; - - if (!ProExchange) { - throw new Error( - `不支持的交易所: ${this.exchangeId}，可用: ${Object.keys(proNamespace).join(", ")}`, - ); - } - - return new ProExchange({ - enableRateLimit: true, - ...this.ccxtOptions, - }); - } - - /** 单个 symbol 的 watch 循环 */ - private async watchSymbol(symbol: string): Promise { - const signal = this.abortController!.signal; - - // 带退避的重连循环 - let consecutiveErrors = 0; - const maxBackoff = 30000; // 最大退避 30s - - while (!signal.aborted) { - try { - // 检查是否已取消 - if (signal.aborted) break; - - // watchOHLCV 返回 Promise，在新数据到达时 resolve - // ccxt 返回格式：[timestamp_ms, open, high, low, close, volume] - const candles = await this.exchange!.watchOHLCV( - symbol, - this.interval, + // 取消所有订阅 + if (this.wsClient && this.subscribedTradeSymbols.size > 0) { + const topics = [...this.subscribedTradeSymbols].map( + (s) => `${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${depth}@100ms`; + await this.wsClient.unsubscribe([topic], "main"); + } + } + } catch (err) { + logger.warn({ err }, `[binance] 取消订阅时出错（忽略）`); + } - // 重置错误计数（成功获取数据） - consecutiveErrors = 0; + // 关闭 WS 客户端所有连接（SDK 自动关闭底层 WebSocket） + try { + this.wsClient?.closeAll(); + } catch { + // 忽略关闭错误 + } - // 标记该 symbol 已就绪 - if (!this.readySymbols.has(symbol)) { - this.readySymbols.add(symbol); - this.emit("symbolReady", symbol, this.interval); + // Complete 所有 Subject + this.tickerSubject?.complete(); + this.tradeSubject?.complete(); + for (const subject of this.orderbookSubjects.values()) { + subject.complete(); + } + this.orderbookSubjects.clear(); + + this.subscribedTickerSymbols.clear(); + this.subscribedTradeSymbols.clear(); + this.subscribedOrderbookDepths.clear(); + + this.setConnectionState("disconnected"); + logger.info(`[binance] 已断开连接`); + } + + // ============================================================ + // 订阅 Ticker（24h 滚动统计） + // ============================================================ + + subscribeTicker(symbols: string[]): Observable { + if (!this.tickerSubject) { + this.tickerSubject = this.createManagedSubject(); + } + + const newSymbols = symbols.filter( + (s) => !this.subscribedTickerSymbols.has(s), + ); + + if (newSymbols.length > 0 && this._connectionState === "connected") { + const topics = newSymbols.map( + (s) => `${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 { + if (!this.tradeSubject) { + this.tradeSubject = this.createManagedSubject(); + } + + const newSymbols = symbols.filter( + (s) => !this.subscribedTradeSymbols.has(s), + ); + + if (newSymbols.length > 0 && this._connectionState === "connected") { + const topics = newSymbols.map( + (s) => `${s.toLowerCase()}@trade`, + ); + this.wsClient.subscribe(topics, "main").catch((err) => { + logger.error({ err, symbols: newSymbols }, `[binance] 订阅 trade 失败`); + }); + for (const s of newSymbols) { + this.subscribedTradeSymbols.add(s); + } + logger.info( + { count: newSymbols.length, symbols: newSymbols }, + `[binance] 订阅 trade`, + ); + } + + return this.tradeSubject.asObservable(); + } + + // ============================================================ + // 订阅订单簿深度 + // ============================================================ + + subscribeOrderbook(symbol: string, depth: number = 20): Observable { + const key = `${symbol}@${depth}`; + let subject = this.orderbookSubjects.get(key); + if (subject) { + return subject.asObservable(); + } + + subject = this.createManagedSubject(); + this.orderbookSubjects.set(key, subject); + + if (this._connectionState === "connected") { + const topic = `${symbol.toLowerCase()}@depth${depth}@100ms`; + this.wsClient.subscribe([topic], "main").catch((err) => { + logger.error({ err, symbol, depth }, `[binance] 订阅 orderbook 失败`); + }); + this.subscribedOrderbookDepths.set(symbol, depth); + logger.info({ symbol, depth }, `[binance] 订阅 orderbook`); + } + + return subject.asObservable(); + } + + // ============================================================ + // REST：拉取历史 K 线（补缺失数据 / 回测） + // ============================================================ + + /** + * 通过 Binance REST API 拉取历史 K 线。 + * + * Binance 限制： + * - 单次最多 1000 条（默认 500） + * - 权重 2（1200 权重/分钟 → 600 次请求/分钟） + * - 自动分页逻辑：如果时间跨度超过 limit 条，自动多次请求拼接 + * + * @param symbol - 交易对（如 BTCUSDT） + * @param interval - K 线周期 + * @param startTime - 起始时间（Unix ms） + * @param endTime - 结束时间（Unix ms） + * @param limit - 单次最大条数（默认 500，最大 1000） + */ + async fetchKlines( + symbol: string, + interval: KlineInterval, + startTime: number, + endTime: number, + limit: number = 500, + ): Promise { + const binanceInterval = INTERVAL_TO_BINANCE[interval]; + const intervalMs = KLINE_INTERVAL_MS[interval]; + const maxLimit = Math.min(limit, 1000); // Binance 硬限制 1000 + + const allKlines: Kline[] = []; + let currentStart = startTime; + + // 自动分页：如果时间跨度超过 maxLimit 条 K 线，分批拉取 + while (currentStart < endTime) { + // 速率限制（保守节流） + const throttleKey = `${symbol}:${interval}`; + const lastFetch = this.lastRestFetch.get(throttleKey) ?? 0; + const elapsed = Date.now() - lastFetch; + if (elapsed < this.config.restRateLimitMs) { + await new Promise((r) => + setTimeout(r, this.config.restRateLimitMs - elapsed), + ); + } + this.lastRestFetch.set(throttleKey, Date.now()); + + try { + const rawKlines = await this.restClient.getKlines({ + symbol, + interval: binanceInterval, + startTime: currentStart, + endTime, + limit: maxLimit, + }); + + if (!rawKlines || rawKlines.length === 0) { + break; // 无更多数据 } - // 处理返回的 K 线数据 - this.processCandles(symbol, candles); - } catch (err) { - if (signal.aborted) break; - - consecutiveErrors++; - const delay = Math.min(1000 * 2 ** consecutiveErrors, maxBackoff); - - this.emit( - "error", - new ExchangeWsError( - `[${symbol}] ${(err as Error).message}，${delay / 1000}s 后重试 (第 ${consecutiveErrors} 次)`, - this.exchangeId, - symbol, - ), + // 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); - // 指数退避等待（可被 abort 中断） - await this.sleep(delay, signal); + // 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; } - /** 处理 ccxt watchOHLCV 返回的原始数据 */ - private processCandles(symbol: string, candles: OHLCVCandle[]): void { - // candles 是完整的 OHLCV 数组，最后一条是最新数据 - // ccxt 会返回增量更新，通常只包含新增的 candle - for (const candle of candles) { - // ccxt OHLCV 格式：[timestamp_ms, open, high, low, close, volume] - if (!Array.isArray(candle) || candle.length < 6) { - continue; - }; + // ============================================================ + // REST：拉取交易对元数据 + // ============================================================ - const data: KlineWsData = { - exchange: this.exchangeId, - symbol, - interval: this.interval, - time: candle[0], - open: candle[1], - high: candle[2], - low: candle[3], - close: candle[4], - volume: candle[5], - }; + /** + * 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 { + logger.info(`[binance] 拉取交易对信息...`); - this.emit("kline", data); + 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; } } - /** 等待至少一个 symbol 就绪（或超时/全部失败） */ - private async waitForAnyReady(): Promise { - return new Promise((resolve, reject) => { - let resolved = false; + // ============================================================ + // 内部：formattedMessage 事件分发 + // ============================================================ - const onReady = () => { - if (!resolved) { - resolved = true; - cleanup(); - resolve(); + /** + * 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); } - }; - - const onError = (err: ExchangeWsError) => { - // 仅在所有 symbol 都失败时 reject - if (!resolved && err.symbol === "ALL") { - resolved = true; - cleanup(); - reject(err); - } - }; - - const cleanup = () => { - this.off("symbolReady", onReady); - this.off("error", onError); - }; - - this.once("symbolReady", onReady); - this.once("error", onError); - - // 超时保护（30 秒） - setTimeout(() => { - if (!resolved) { - resolved = true; - cleanup(); - reject( - new ExchangeWsError("连接超时（30s）", this.exchangeId, "ALL"), - ); - } - }, 30000); - }); - } - - /** 带 AbortSignal 的 sleep */ - private sleep(ms: number, signal: AbortSignal): Promise { - return new Promise((resolve) => { - if (signal.aborted) { - resolve(); return; } - const timer = setTimeout(resolve, ms); - signal.addEventListener( - "abort", - () => { - clearTimeout(timer); - resolve(); - }, - { once: true }, - ); - }); - } - /** 更新状态并发出事件 */ - private setState(newState: WsConnectionState): void { - if (this.state !== newState) { - this.state = newState; - this.emit("stateChange", newState, this.exchangeId); + this.routeByEventType(msg as unknown as Record); + } catch (err) { + const raw = msg as unknown as Record; + 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): 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; diff --git a/data/exchanges/types.ts b/data/exchanges/types.ts index 87ed617..88d9173 100644 --- a/data/exchanges/types.ts +++ b/data/exchanges/types.ts @@ -1,45 +1,299 @@ // ============================================================ -// exchanges/types.ts — WebSocket 事件数据类型 +// types.ts — 统一行情数据类型定义与 MarketDataFeed 接口 +// ============================================================ +// 所有交易所适配器共享的数据结构和接口契约。 +// 适配器负责将交易所原生数据格式转换为以下标准化类型。 +// +// 设计原则： +// - 字段语义与 Binance/OKX/Bybit 通用概念对齐 +// - 时间戳统一使用 Unix 毫秒（number），便于排序和计算 +// - 价格/数量使用 number 类型（JavaScript 64-bit float）， +// 对精度敏感场景（如 orderbook 快照）保留原始字符串 // ============================================================ -/** 由 WebSocket 推送的单根 K 线数据 */ -export interface KlineWsData { - /** 交易所标识 */ - exchange: string; - /** 交易对，如 BTCUSDT */ - symbol: string; - /** K 线周期，如 1m / 1h / 1d */ - interval: string; - /** K 线开盘时间（Unix 毫秒时间戳） */ - time: number; - /** 开盘价 */ - open: number; - /** 最高价 */ - high: number; - /** 最低价 */ - low: number; - /** 收盘价 */ - close: number; - /** 成交量（基准币种） */ - volume: number; +import type { Observable } from "rxjs"; + +// ============================================================ +// K 线周期 +// ============================================================ + +/** K 线周期枚举（与 kline.entity.ts 中 KlineInterval 保持一致） */ +export type KlineInterval = + | "1m" + | "5m" + | "15m" + | "30m" + | "1h" + | "4h" + | "1d" + | "1w"; + +/** K 线周期 → 毫秒数映射（用于时间桶计算） */ +export const KLINE_INTERVAL_MS: Record = { + "1m": 60_000, + "5m": 300_000, + "15m": 900_000, + "30m": 1_800_000, + "1h": 3_600_000, + "4h": 14_400_000, + "1d": 86_400_000, + "1w": 604_800_000, +}; + +// ============================================================ +// 标准化行情数据结构 +// ============================================================ + +/** 24 小时滚动 Ticker 统计 */ +export interface Ticker { + /** 交易所标识 */ + exchange: string; + /** 交易对符号（大写，如 BTCUSDT） */ + symbol: string; + /** 最新成交价 */ + lastPrice: number; + /** 24h 开盘价 */ + openPrice: number; + /** 24h 最高价 */ + highPrice: number; + /** 24h 最低价 */ + lowPrice: number; + /** 24h 成交量（base 币种） */ + volume: number; + /** 24h 成交额（quote 币种） */ + quoteVolume: number; + /** 24h 价格变化 */ + priceChange: number; + /** 24h 价格变化百分比（0.05 = 5%） */ + priceChangePercent: number; + /** 买一价 */ + bidPrice: number; + /** 买一量 */ + bidQty: number; + /** 卖一价 */ + askPrice: number; + /** 卖一量 */ + askQty: number; + /** 事件发生时间（Unix ms） */ + eventTime: number; + /** 交易所收盘时间（Unix ms，用于判断 K 线是否闭合） */ + closeTime: number; } -/** ExchangeWs 构造参数 */ -export interface ExchangeWsConfig { - /** 交易所 ID，ccxt 支持的所有交易所标识 */ - exchangeId: string; - /** 要订阅的交易对列表，如 ['BTCUSDT', 'ETHUSDT'] */ - symbols: string[]; - /** K 线周期，默认 '1m' */ - interval?: string; - /** 传递给 ccxt.pro 交易所实例的额外选项（如 agent、apiKey 等） */ - ccxtOptions?: Record; +/** 逐笔成交 */ +export interface Trade { + /** 交易所标识 */ + exchange: string; + /** 交易对符号 */ + symbol: string; + /** 成交价 */ + price: number; + /** 成交数量（base 币种） */ + amount: number; + /** 成交额（quote 币种 = price × amount） */ + quoteAmount: number; + /** 成交时间（Unix ms） */ + timestamp: number; + /** 买方是否为挂单方（true = 主动卖出 / taker sell） */ + isBuyerMaker: boolean; + /** 交易所成交 ID（可能为字符串，如 Binance tradeId 为 bigint） */ + tradeId: string; } -/** ExchangeWs 连接状态 */ -export type WsConnectionState = - | "idle" // 尚未启动 - | "connecting" // 正在连接 WebSocket - | "connected" // 已连接，正在接收数据 - | "disconnected" // 已断开 - | "error"; // 错误状态 +/** 订单簿深度快照 */ +export interface OrderBook { + /** 交易所标识 */ + exchange: string; + /** 交易对符号 */ + symbol: string; + /** 买单列表 [[price, qty], ...]，按价格降序（买一在前） */ + bids: [number, number][]; + /** 卖单列表 [[price, qty], ...]，按价格升序（卖一在前） */ + asks: [number, number][]; + /** 上次更新 ID */ + lastUpdateId: number; + /** 事件发生时间（Unix ms） */ + eventTime: number; +} + +/** 标准化 K 线（OHLCV） */ +export interface Kline { + /** 交易所标识 */ + exchange: string; + /** 交易对符号 */ + symbol: string; + /** K 线周期 */ + interval: KlineInterval; + /** 开盘时间（Unix ms） */ + openTime: number; + /** 收盘时间（Unix ms） */ + closeTime: number; + /** 开盘价 */ + open: number; + /** 最高价 */ + high: number; + /** 最低价 */ + low: number; + /** 收盘价 */ + close: number; + /** 成交量（base 币种） */ + volume: number; + /** 成交额（quote 币种） */ + quoteVolume: number; + /** 主动买入成交量（base 币种） */ + takerBuyBaseVol: number; + /** 主动买入成交额（quote 币种） */ + takerBuyQuoteVol: number; + /** 成交笔数 */ + tradeCount: number; + /** 该 K 线是否已关闭（不再更新） */ + isClosed: boolean; +} + +/** K 线增量更新（仅推送最新一根 OHLCV 变化） */ +export interface KlineDelta { + exchange: string; + symbol: string; + interval: KlineInterval; + openTime: number; + closeTime: number; + open: number; + high: number; + low: number; + close: number; + volume: number; + isClosed: boolean; +} + +// ============================================================ +// WebSocket 连接状态 +// ============================================================ + +/** 连接状态枚举 */ +export type ConnectionState = + | "disconnected" + | "connecting" + | "connected" + | "error"; + +// ============================================================ +// 适配器配置 +// ============================================================ + +/** 交易所适配器通用配置 */ +export interface AdapterConfig { + /** 指数退避重连基数（毫秒），默认 3000 */ + reconnectBaseDelayMs: number; + /** 最大重连次数，默认 10 */ + maxReconnectAttempts: number; + /** REST API 请求冷却时间（毫秒），默认 200 */ + restRateLimitMs: number; +} + +/** 默认适配器配置 */ +export const DEFAULT_ADAPTER_CONFIG: AdapterConfig = { + reconnectBaseDelayMs: 3000, + maxReconnectAttempts: 10, + restRateLimitMs: 200, +}; + +// ============================================================ +// MarketDataFeed 接口 —— 所有交易所适配器必须实现 +// ============================================================ + +/** + * 统一行情数据源接口。 + * + * 每个交易所适配器实现此接口，向上层管道暴露标准化数据流。 + * 使用 RxJS Observable 作为统一推送机制，pipeline 层可自由 + * 组合、过滤、分流各交易所数据。 + */ +export interface MarketDataFeed { + /** 交易所标识（如 "binance"） */ + readonly exchange: string; + + /** 当前连接状态 */ + readonly connectionState: ConnectionState; + + /** 建立 WebSocket 连接 */ + connect(): Promise; + + /** 断开连接 */ + disconnect(): Promise; + + /** + * 订阅 24h 滚动 Ticker 流。 + * 每笔成交触发推送（Binance: @ticker）。 + */ + subscribeTicker(symbols: string[]): Observable; + + /** + * 订阅逐笔成交流。 + * 实时推送每笔撮合成交（Binance: @trade）。 + */ + subscribeTrade(symbols: string[]): Observable; + + /** + * 订阅订单簿深度。 + * depth 参数指定档位（如 5/10/20），默认 20。 + */ + subscribeOrderbook(symbol: string, depth?: number): Observable; + + /** + * REST 拉取历史 K 线（用于补齐缺失数据或回测）。 + * + * @param symbol - 交易对符号 + * @param interval - K 线周期 + * @param startTime - 起始时间（Unix ms） + * @param endTime - 结束时间（Unix ms） + * @param limit - 最大返回条数（默认 500） + * @returns 标准化 K 线数组，按时间升序 + */ + fetchKlines( + symbol: string, + interval: KlineInterval, + startTime: number, + endTime: number, + limit?: number, + ): Promise; + + /** + * 获取交易所交易对信息（用于自动注册到 trading_pairs 表）。 + * 返回标准化后的交易对元数据。 + */ + fetchMarkets(): Promise; +} + +/** 交易对元信息（从交易所 REST API 获取） */ +export interface MarketInfo { + symbol: string; + baseAsset: string; + quoteAsset: string; + pricePrecision: number; + quantityPrecision: number; + minQty?: number; + stepSize?: number; + minNotional?: number; +} + +// ============================================================ +// 工具类型 +// ============================================================ + +/** Binance WebSocket 原始 K 线数据（kline 事件中的 k 字段） */ +export interface BinanceRawKline { + t: number; // K 线开始时间 + T: number; // K 线结束时间 + s: string; // 交易对 + i: string; // 周期 + o: string; // 开盘价 + h: string; // 最高价 + l: string; // 最低价 + c: string; // 收盘价 + v: string; // 成交量 + n: number; // 成交笔数 + x: boolean; // 是否已关闭 + q: string; // 成交额 + V: string; // 主动买入成交量 + Q: string; // 主动买入成交额 +} diff --git a/data/init-db/001_init.sql b/data/init-db/001_init.sql deleted file mode 100644 index eab99de..0000000 --- a/data/init-db/001_init.sql +++ /dev/null @@ -1,228 +0,0 @@ --- ============================================================ --- 001_init.sql — TimescaleDB 数据初始化 --- --- Docker Compose 首次启动时自动执行 --- 挂载路径：./data/init-db:/docker-entrypoint-initdb.d --- ============================================================ - --- 扩展 -CREATE EXTENSION IF NOT EXISTS timescaledb; -CREATE EXTENSION IF NOT EXISTS timescaledb_toolkit; - --- ============================================================ --- 1. K 线主表 --- ============================================================ -CREATE TABLE IF NOT EXISTS klines ( - -- 时间维度 - time TIMESTAMPTZ NOT NULL, -- K 线开盘时间（UTC） - - -- 标识维度 - exchange TEXT NOT NULL, -- 交易所：binance/okx/bybit - symbol TEXT NOT NULL, -- 交易对：BTCUSDT/ETHUSDT - interval TEXT NOT NULL, -- 周期：1m/5m/15m/1h/4h/1d - - -- OHLCV - open NUMERIC(20,8) NOT NULL, - high NUMERIC(20,8) NOT NULL, - low NUMERIC(20,8) NOT NULL, - close NUMERIC(20,8) NOT NULL, - volume NUMERIC(20,8) NOT NULL DEFAULT 0, -- 成交量（基准币种） - - -- 扩展字段 - quote_volume NUMERIC(20,8) DEFAULT 0, -- 成交额（计价币种） - taker_buy_base_vol NUMERIC(20,8) DEFAULT 0, -- 主动买入量 - taker_buy_quote_vol NUMERIC(20,8) DEFAULT 0, -- 主动买入额 - trade_count INTEGER DEFAULT 0, -- 成交笔数 - is_closed BOOLEAN DEFAULT TRUE, -- K 线是否已闭合 - - -- 元数据 - created_at TIMESTAMPTZ DEFAULT NOW(), - updated_at TIMESTAMPTZ DEFAULT NOW(), - - -- 唯一约束（同一根 K 线不可重复） - UNIQUE (time, exchange, symbol, interval) -); - --- ============================================================ --- 2. 转换为 hypertable（时序分区） --- ============================================================ -SELECT create_hypertable( - 'klines', - 'time', -- 时间列 - chunk_time_interval => INTERVAL '1 day', -- 每个 chunk = 1 天数据 - partitioning_column => 'exchange', -- 空间分区列 - number_partitions => 4, -- 4 个空间分区 - if_not_exists => TRUE -); - --- ============================================================ --- 3. 索引 --- ============================================================ - --- 主力查询索引：按交易对+周期+时间范围查（覆盖 95% 查询） -CREATE INDEX IF NOT EXISTS idx_klines_lookup - ON klines (exchange, symbol, interval, time DESC); - --- 回测专用索引：按交易对+周期+时间正序 -CREATE INDEX IF NOT EXISTS idx_klines_backtest - ON klines (symbol, interval, time ASC); - --- 最新 K 线索引（部分索引，仅覆盖已闭合 K 线） -CREATE INDEX IF NOT EXISTS idx_klines_latest - ON klines (exchange, symbol, interval, time DESC) - WHERE is_closed = TRUE; - --- ============================================================ --- 4. 压缩策略 --- ============================================================ - --- 启用列式压缩（按 symbol+interval 分组，按 time 排序） -ALTER TABLE klines SET ( - timescaledb.compress, - timescaledb.compress_segmentby = 'exchange, symbol, interval', - timescaledb.compress_orderby = 'time DESC' -); - --- 自动压缩：K 线闭合 7 天后自动压缩（压缩比约 90%） -SELECT add_compression_policy('klines', INTERVAL '7 days', if_not_exists => TRUE); - --- ============================================================ --- 5. 数据保留策略 --- ============================================================ --- 1m K 线保留 90 天（回测通常用更粗粒度） -SELECT add_retention_policy('klines', INTERVAL '90 days', if_not_exists => TRUE); - --- ============================================================ --- 6. 连续聚合（从 1m 自动派生高周期 K 线） --- ============================================================ - --- ---------- 5m K 线 ---------- -CREATE MATERIALIZED VIEW IF NOT EXISTS klines_5m -WITH (timescaledb.continuous) AS -SELECT - time_bucket('5 minutes', time) AS time, - exchange, - symbol, - '5m'::TEXT AS interval, - FIRST(open, time) AS open, - MAX(high) AS high, - MIN(low) AS low, - LAST(close, time) AS close, - SUM(volume) AS volume, - SUM(quote_volume) AS quote_volume, - SUM(taker_buy_base_vol) AS taker_buy_base_vol, - SUM(taker_buy_quote_vol) AS taker_buy_quote_vol, - SUM(trade_count) AS trade_count -FROM klines -WHERE interval = '1m' -GROUP BY time_bucket('5 minutes', time), exchange, symbol; - -SELECT add_continuous_aggregate_policy('klines_5m', - start_offset => INTERVAL '1 day', - end_offset => INTERVAL '10 minutes', - schedule_interval => INTERVAL '1 minute', - if_not_exists => TRUE -); - --- ---------- 15m K 线 ---------- -CREATE MATERIALIZED VIEW IF NOT EXISTS klines_15m -WITH (timescaledb.continuous) AS -SELECT - time_bucket('15 minutes', time) AS time, - exchange, - symbol, - '15m'::TEXT AS interval, - FIRST(open, time) AS open, - MAX(high) AS high, - MIN(low) AS low, - LAST(close, time) AS close, - SUM(volume) AS volume, - SUM(quote_volume) AS quote_volume, - SUM(taker_buy_base_vol) AS taker_buy_base_vol, - SUM(taker_buy_quote_vol) AS taker_buy_quote_vol, - SUM(trade_count) AS trade_count -FROM klines -WHERE interval = '1m' -GROUP BY time_bucket('15 minutes', time), exchange, symbol; - -SELECT add_continuous_aggregate_policy('klines_15m', - start_offset => INTERVAL '2 days', - end_offset => INTERVAL '30 minutes', - schedule_interval => INTERVAL '5 minutes', - if_not_exists => TRUE -); - --- ---------- 1h K 线 ---------- -CREATE MATERIALIZED VIEW IF NOT EXISTS klines_1h -WITH (timescaledb.continuous) AS -SELECT - time_bucket('1 hour', time) AS time, - exchange, - symbol, - '1h'::TEXT AS interval, - FIRST(open, time) AS open, - MAX(high) AS high, - MIN(low) AS low, - LAST(close, time) AS close, - SUM(volume) AS volume, - SUM(quote_volume) AS quote_volume, - SUM(taker_buy_base_vol) AS taker_buy_base_vol, - SUM(taker_buy_quote_vol) AS taker_buy_quote_vol, - SUM(trade_count) AS trade_count -FROM klines -WHERE interval = '1m' -GROUP BY time_bucket('1 hour', time), exchange, symbol; - -SELECT add_continuous_aggregate_policy('klines_1h', - start_offset => INTERVAL '3 days', - end_offset => INTERVAL '1 hour', - schedule_interval => INTERVAL '5 minutes', - if_not_exists => TRUE -); - --- ---------- 1d K 线 ---------- -CREATE MATERIALIZED VIEW IF NOT EXISTS klines_1d -WITH (timescaledb.continuous) AS -SELECT - time_bucket('1 day', time) AS time, - exchange, - symbol, - '1d'::TEXT AS interval, - FIRST(open, time) AS open, - MAX(high) AS high, - MIN(low) AS low, - LAST(close, time) AS close, - SUM(volume) AS volume, - SUM(quote_volume) AS quote_volume, - SUM(taker_buy_base_vol) AS taker_buy_base_vol, - SUM(taker_buy_quote_vol) AS taker_buy_quote_vol, - SUM(trade_count) AS trade_count -FROM klines -WHERE interval = '1m' -GROUP BY time_bucket('1 day', time), exchange, symbol; - -SELECT add_continuous_aggregate_policy('klines_1d', - start_offset => INTERVAL '7 days', - end_offset => INTERVAL '2 hours', - schedule_interval => INTERVAL '1 hour', - if_not_exists => TRUE -); - --- ============================================================ --- 7. 连续聚合的压缩（减少视图存储） --- ============================================================ -ALTER MATERIALIZED VIEW klines_5m SET (timescaledb.compress = true); -ALTER MATERIALIZED VIEW klines_15m SET (timescaledb.compress = true); -ALTER MATERIALIZED VIEW klines_1h SET (timescaledb.compress = true); -ALTER MATERIALIZED VIEW klines_1d SET (timescaledb.compress = true); - --- ============================================================ --- 初始化完成 --- ============================================================ -DO $$ -BEGIN - RAISE NOTICE '001_init.sql — TimescaleDB initialization complete.'; - RAISE NOTICE 'Hypertable: klines'; - RAISE NOTICE 'Continuous aggregates: klines_5m, klines_15m, klines_1h, klines_1d'; - RAISE NOTICE 'Compression: 7 days delay, 90 days retention'; -END $$; diff --git a/data/init-db/002_config.sql b/data/init-db/002_config.sql deleted file mode 100644 index 550438b..0000000 --- a/data/init-db/002_config.sql +++ /dev/null @@ -1,136 +0,0 @@ --- ============================================================ --- 002_config.sql — 配置表初始化 --- ============================================================ --- Docker Compose 首次启动时在 001_init.sql 之后自动执行 --- 挂载路径：./data/init-db:/docker-entrypoint-initdb.d --- 执行顺序：按文件名排序（001 → 002） --- ============================================================ - --- ============================================================ --- 1. monitored_symbols — 监控交易对配置 --- ============================================================ --- 用途：声明数据采集模块需要订阅哪些交易对的 K 线流 --- 消费方：WebSocket 行情采集服务启动时读取此表决定订阅列表 -CREATE TABLE IF NOT EXISTS monitored_symbols ( - id SERIAL PRIMARY KEY, - - -- ---- 标识维度（与 klines 表对齐） ---- - exchange TEXT NOT NULL, -- 交易所：binance / okx / bybit - symbol TEXT NOT NULL, -- 交易对：BTCUSDT / ETHUSDT - interval TEXT NOT NULL, -- K 线周期：1m / 5m / 15m / 1h / 4h / 1d - - -- ---- 控制字段 ---- - enabled BOOLEAN NOT NULL DEFAULT TRUE, -- 是否启用采集 - priority SMALLINT NOT NULL DEFAULT 0, -- 优先级（数值越大越优先，用于限频时取舍） - - -- ---- 备注 ---- - label TEXT, -- 人类可读标签，如 "BTC/USDT 1分钟线" - notes TEXT, -- 备注说明 - - -- ---- 元数据 ---- - created_at TIMESTAMPTZ NOT NULL DEFAULT NOW(), - updated_at TIMESTAMPTZ NOT NULL DEFAULT NOW(), - - -- 同一 (exchange, symbol, interval) 组合不可重复 - UNIQUE (exchange, symbol, interval) -); - --- 索引：按启用状态快速筛选 -CREATE INDEX IF NOT EXISTS idx_monitored_symbols_enabled - ON monitored_symbols (enabled, exchange, priority DESC); - --- 索引：按交易对查找所有周期 -CREATE INDEX IF NOT EXISTS idx_monitored_symbols_symbol - ON monitored_symbols (symbol, interval); - --- ============================================================ --- 2. exchange_config — 交易所连接配置 --- ============================================================ --- 用途：存储各交易所的 API 端点、限频参数等连接级配置 --- ⚠️ 安全提醒：API Key/Secret 不应明文存储于此表， --- 建议通过环境变量或 Vault 注入，此表仅存非敏感参数 -CREATE TABLE IF NOT EXISTS exchange_config ( - id SERIAL PRIMARY KEY, - - -- ---- 交易所标识 ---- - exchange TEXT NOT NULL UNIQUE, -- 交易所：binance / okx / bybit - - -- ---- 连接参数 ---- - rest_url TEXT, -- REST API 基础 URL（留空则用 SDK 默认值） - ws_url TEXT, -- WebSocket 基础 URL（留空则用 SDK 默认值） - ws_ping_interval_ms INTEGER NOT NULL DEFAULT 30000, -- 心跳间隔（毫秒） - - -- ---- 限频控制 ---- - rate_limit_per_sec REAL NOT NULL DEFAULT 20.0, -- 每秒最大请求数 - max_reconnect_attempts INT NOT NULL DEFAULT 10, -- 最大重连次数 - reconnect_delay_ms INT NOT NULL DEFAULT 3000, -- 重连延迟基数（指数退避） - - -- ---- 开关 ---- - enabled BOOLEAN NOT NULL DEFAULT TRUE, -- 是否启用该交易所 - - -- ---- 备注 ---- - notes TEXT, - - -- ---- 元数据 ---- - created_at TIMESTAMPTZ NOT NULL DEFAULT NOW(), - updated_at TIMESTAMPTZ NOT NULL DEFAULT NOW() -); - --- ============================================================ --- 3. app_config — 全局应用配置（Key-Value） --- ============================================================ --- 用途：存储不适合硬编码的运行时参数，如批量写入阈值 -CREATE TABLE IF NOT EXISTS app_config ( - id SERIAL PRIMARY KEY, - key TEXT NOT NULL UNIQUE, -- 配置键 - value TEXT NOT NULL, -- 配置值（统一存为文本，消费方自行解析类型） - description TEXT, -- 说明 - updated_at TIMESTAMPTZ NOT NULL DEFAULT NOW() -); - --- 默认配置项（仅首次插入，已存在则跳过） -INSERT INTO app_config (key, value, description) VALUES - ('batch_size', '500', '批量写入缓冲区条数阈值'), - ('flush_interval_ms', '1000', '缓冲区最大等待时间（毫秒）'), - ('log_level', 'info', '日志级别：trace / debug / info / warn / error'), - ('redis_publish_enabled', 'true', '是否启用 Redis 发布') -ON CONFLICT (key) DO NOTHING; - --- ============================================================ --- 4. 预置种子数据 --- ============================================================ - --- 预置 Binance 主力交易对监控配置（仅首次插入） -INSERT INTO monitored_symbols (exchange, symbol, interval, enabled, priority, label) VALUES - -- Binance 主力交易对 — 1m - ('binance', 'BTCUSDT', '1m', TRUE, 10, 'BTC/USDT 1分钟线'), - ('binance', 'ETHUSDT', '1m', TRUE, 9, 'ETH/USDT 1分钟线'), - ('binance', 'SOLUSDT', '1m', TRUE, 8, 'SOL/USDT 1分钟线'), - ('binance', 'BNBUSDT', '1m', TRUE, 7, 'BNB/USDT 1分钟线'), - - -- Binance 主力交易对 — 1h（策略用） - ('binance', 'BTCUSDT', '1h', TRUE, 10, 'BTC/USDT 1小时线'), - ('binance', 'ETHUSDT', '1h', TRUE, 9, 'ETH/USDT 1小时线'), - ('binance', 'SOLUSDT', '1h', TRUE, 8, 'SOL/USDT 1小时线'), - - -- Binance 主力交易对 — 1d（日线） - ('binance', 'BTCUSDT', '1d', TRUE, 10, 'BTC/USDT 日线'), - ('binance', 'ETHUSDT', '1d', TRUE, 9, 'ETH/USDT 日线') -ON CONFLICT (exchange, symbol, interval) DO NOTHING; - --- 预置交易所默认连接配置（仅首次插入） -INSERT INTO exchange_config (exchange, rate_limit_per_sec, notes) VALUES - ('binance', 20.0, 'Binance 现货 — 默认权重限频 1200/min'), - ('okx', 10.0, 'OKX 现货 — 默认限频 10/s'), - ('bybit', 10.0, 'Bybit 现货 — 默认限频 10/s') -ON CONFLICT (exchange) DO NOTHING; - --- ============================================================ --- 初始化完成 --- ============================================================ -DO $$ -BEGIN - RAISE NOTICE '002_config.sql — Config tables initialized.'; - RAISE NOTICE 'Tables: monitored_symbols, exchange_config, app_config'; - RAISE NOTICE 'Seed data: 9 symbols (Binance), 3 exchanges'; -END $$; diff --git a/data/package-lock.json b/data/package-lock.json deleted file mode 100644 index a3c98d1..0000000 --- a/data/package-lock.json +++ /dev/null @@ -1,5320 +0,0 @@ -{ - 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"ws": "^8.21.0", - "zod": "^4.4.3" + "rxjs": "^7.8.2", + "typeorm": "^1.0.0", + "yaml": "^2.9.0" }, "devDependencies": { "@types/bun": "^1.3.14", @@ -32,4 +34,4 @@ "typescript": "^6.0.3", "vitest": "^4.1.8" } -} +} \ No newline at end of file diff --git a/data/run/exchange.ts b/data/run/exchange.ts deleted file mode 100644 index 474b3bc..0000000 --- a/data/run/exchange.ts +++ /dev/null @@ -1,19 +0,0 @@ -import ccxt from "ccxt"; -import { ExchangeWs } from '../exchanges/binance'; - -const exchange = new ExchangeWs({ - exchangeId: 'binance', - symbols: ['BTCUSDT'], - interval: '1m', -}); - -// exchange.on('kline', (data) => { -// console.log(data); -// }); - -exchange.on('ready', () => { - console.log(exchange.getState()); - console.log(exchange.getReadySymbols()); -}); - -const ccxtClient = new ccxt.binance(); \ No newline at end of file diff --git a/data/schema/config.sql b/data/schema/config.sql deleted file mode 100644 index ee883ad..0000000 --- a/data/schema/config.sql +++ /dev/null @@ -1,177 +0,0 @@ --- ============================================================ --- schema/config.sql — 配置表 DDL（参考副本） --- ============================================================ --- 数据库：TimescaleDB (PostgreSQL 17) --- 说明：管理系统配置、监控标的、交易所连接参数 --- --- ⚠️ 权威初始化脚本已迁移至：data/init-db/001_init.sql --- 本文件保留作为 pg.initSchema() 非 Docker 部署的回退方案和文档参考。 --- 修改表结构时请同步更新 001_init.sql。 --- ============================================================ - --- ============================================================ --- 1. monitored_symbols — 监控交易对配置 --- ============================================================ --- 用途：声明数据采集模块需要订阅哪些交易对的 K 线流 --- 消费方：WebSocket 行情采集服务启动时读取此表决定订阅列表 --- ============================================================ -CREATE TABLE IF NOT EXISTS monitored_symbols ( - id SERIAL PRIMARY KEY, - - -- ---- 标识维度（与 klines 表对齐） ---- - exchange TEXT NOT NULL, -- 交易所：binance / okx / bybit - symbol TEXT NOT NULL, -- 交易对：BTCUSDT / ETHUSDT - interval TEXT NOT NULL, -- K 线周期：1m / 5m / 15m / 1h / 4h / 1d - - -- ---- 控制字段 ---- - enabled BOOLEAN NOT NULL DEFAULT TRUE, -- 是否启用采集 - priority SMALLINT NOT NULL DEFAULT 0, -- 优先级（数值越大越优先，用于限频时取舍） - - -- ---- 备注 ---- - label TEXT, -- 人类可读标签，如 "BTC/USDT 1分钟线" - notes TEXT, -- 备注说明 - - -- ---- 元数据 ---- - created_at TIMESTAMPTZ NOT NULL DEFAULT NOW(), - updated_at TIMESTAMPTZ NOT NULL DEFAULT NOW(), - - -- 同一 (exchange, symbol, interval) 组合不可重复 - UNIQUE (exchange, symbol, interval) -); - --- 索引：按启用状态快速筛选 -CREATE INDEX IF NOT EXISTS idx_monitored_symbols_enabled - ON monitored_symbols (enabled, exchange, priority DESC); - --- 索引：按交易对查找所有周期 -CREATE INDEX IF NOT EXISTS idx_monitored_symbols_symbol - ON monitored_symbols (symbol, interval); - -COMMENT ON TABLE monitored_symbols IS '监控交易对配置表：声明哪些 (交易所,交易对,周期) 需要采集 K 线数据'; -COMMENT ON COLUMN monitored_symbols.exchange IS '交易所标识：binance / okx / bybit'; -COMMENT ON COLUMN monitored_symbols.symbol IS '交易对：BTCUSDT / ETHUSDT'; -COMMENT ON COLUMN monitored_symbols.interval IS 'K 线周期：1m / 5m / 15m / 1h / 4h / 1d'; -COMMENT ON COLUMN monitored_symbols.enabled IS '是否启用 WebSocket 订阅'; -COMMENT ON COLUMN monitored_symbols.priority IS '优先级（0-32767），限频时高优先级交易对优先保留'; - - --- ============================================================ --- 2. exchange_config — 交易所连接配置 --- ============================================================ --- 用途：存储各交易所的 API 端点、限频参数等连接级配置 --- 安全提醒：API Key/Secret 不应明文存储于此表， --- 建议通过环境变量或 Vault 注入，此表仅存非敏感参数 --- ============================================================ -CREATE TABLE IF NOT EXISTS exchange_config ( - id SERIAL PRIMARY KEY, - - -- ---- 交易所标识 ---- - exchange TEXT NOT NULL UNIQUE, -- 交易所：binance / okx / bybit - - -- ---- 连接参数 ---- - rest_url TEXT, -- REST API 基础 URL（留空则用 SDK 默认值） - ws_url TEXT, -- WebSocket 基础 URL（留空则用 SDK 默认值） - ws_ping_interval_ms INTEGER NOT NULL DEFAULT 30000, -- 心跳间隔（毫秒） - - -- ---- 限频控制 ---- - rate_limit_per_sec REAL NOT NULL DEFAULT 20.0, -- 每秒最大请求数 - max_reconnect_attempts INT NOT NULL DEFAULT 10, -- 最大重连次数 - reconnect_delay_ms INT NOT NULL DEFAULT 3000, -- 重连延迟基数（指数退避） - - -- ---- 开关 ---- - enabled BOOLEAN NOT NULL DEFAULT TRUE, -- 是否启用该交易所 - - -- ---- 备注 ---- - notes TEXT, - - -- ---- 元数据 ---- - created_at TIMESTAMPTZ NOT NULL DEFAULT NOW(), - updated_at TIMESTAMPTZ NOT NULL DEFAULT NOW() -); - -COMMENT ON TABLE exchange_config IS '交易所连接配置表：REST/WS 端点、限频、重连策略'; -COMMENT ON COLUMN exchange_config.rest_url IS 'REST API 地址，空则使用 SDK 默认'; -COMMENT ON COLUMN exchange_config.ws_url IS 'WebSocket 地址，空则使用 SDK 默认'; -COMMENT ON COLUMN exchange_config.rate_limit_per_sec IS '每秒最大请求数（Binance 默认 20/s）'; -COMMENT ON COLUMN exchange_config.max_reconnect_attempts IS 'WebSocket 断线最大重连次数'; -COMMENT ON COLUMN exchange_config.reconnect_delay_ms IS '重连退避基数（实际延迟 = 基数 × 2^attempts）'; - - --- ============================================================ --- 3. app_config — 全局应用配置（Key-Value） --- ============================================================ --- 用途：存储不适合硬编码的运行时参数，如批量写入阈值 --- ============================================================ -CREATE TABLE IF NOT EXISTS app_config ( - id SERIAL PRIMARY KEY, - key TEXT NOT NULL UNIQUE, -- 配置键 - value TEXT NOT NULL, -- 配置值（统一存为文本，消费方自行解析类型） - description TEXT, -- 说明 - updated_at TIMESTAMPTZ NOT NULL DEFAULT NOW() -); - -COMMENT ON TABLE app_config IS '全局应用配置（KV 结构），运行时参数集中管理'; - --- 默认配置项 -INSERT INTO app_config (key, value, description) VALUES - ('batch_size', '500', '批量写入缓冲区条数阈值'), - ('flush_interval_ms', '1000', '缓冲区最大等待时间（毫秒）'), - ('log_level', 'info', '日志级别：trace / debug / info / warn / error'), - ('redis_publish_enabled', 'true', '是否启用 Redis 发布') -ON CONFLICT (key) DO NOTHING; - - --- ============================================================ --- 4. 初始数据：预置常见交易对的监控配置 --- ============================================================ --- 以下为建议的默认监控列表，可根据实际需求增删 -INSERT INTO monitored_symbols (exchange, symbol, interval, enabled, priority, label) VALUES - -- Binance 主力交易对 — 1m - ('binance', 'BTCUSDT', '1m', TRUE, 10, 'BTC/USDT 1分钟线'), - ('binance', 'ETHUSDT', '1m', TRUE, 9, 'ETH/USDT 1分钟线'), - ('binance', 'SOLUSDT', '1m', TRUE, 8, 'SOL/USDT 1分钟线'), - ('binance', 'BNBUSDT', '1m', TRUE, 7, 'BNB/USDT 1分钟线'), - - -- Binance 主力交易对 — 1h（策略用） - ('binance', 'BTCUSDT', '1h', TRUE, 10, 'BTC/USDT 1小时线'), - ('binance', 'ETHUSDT', '1h', TRUE, 9, 'ETH/USDT 1小时线'), - ('binance', 'SOLUSDT', '1h', TRUE, 8, 'SOL/USDT 1小时线'), - - -- Binance 主力交易对 — 1d（日线） - ('binance', 'BTCUSDT', '1d', TRUE, 10, 'BTC/USDT 日线'), - ('binance', 'ETHUSDT', '1d', TRUE, 9, 'ETH/USDT 日线') -ON CONFLICT (exchange, symbol, interval) DO NOTHING; - --- 预置交易所默认连接配置 -INSERT INTO exchange_config (exchange, rate_limit_per_sec, notes) VALUES - ('binance', 20.0, 'Binance 现货 — 默认权重限频 1200/min'), - ('okx', 10.0, 'OKX 现货 — 默认限频 10/s'), - ('bybit', 10.0, 'Bybit 现货 — 默认限频 10/s') -ON CONFLICT (exchange) DO NOTHING; - - --- ============================================================ --- 5. 常用查询示例 --- ============================================================ - --- 查询所有启用的监控标的（采集服务启动时使用） --- SELECT exchange, symbol, interval, priority --- FROM monitored_symbols --- WHERE enabled = TRUE --- ORDER BY exchange, priority DESC, symbol, interval; - --- 查询某交易所下所有交易对 --- SELECT DISTINCT symbol --- FROM monitored_symbols --- WHERE exchange = 'binance' AND enabled = TRUE --- ORDER BY symbol; - --- 禁用某个交易对的采集 --- UPDATE monitored_symbols SET enabled = FALSE, updated_at = NOW() --- WHERE exchange = 'binance' AND symbol = 'BTCUSDT' AND interval = '1m'; - --- 新增监控标的（动态添加，无需重启） --- INSERT INTO monitored_symbols (exchange, symbol, interval, enabled, priority, label) --- VALUES ('binance', 'DOGEUSDT', '1m', TRUE, 5, 'DOGE/USDT 1分钟线') --- ON CONFLICT (exchange, symbol, interval) DO UPDATE --- SET enabled = TRUE, updated_at = NOW(); diff --git a/data/schema/klines.sql b/data/schema/klines.sql deleted file mode 100644 index 1d15807..0000000 --- a/data/schema/klines.sql +++ /dev/null @@ -1,206 +0,0 @@ --- ============================================================ --- schema/klines.sql — K 线表 DDL（参考副本） --- ============================================================ --- 数据库：TimescaleDB (PostgreSQL 17 + timescaledb 2.x) --- 说明：存储全交易所 OHLCV 数据，按时间自动分区压缩 --- --- ⚠️ 权威初始化脚本：data/init-db/001_init.sql --- 本文件保留作为 pg.initSchema() 非 Docker 部署的回退方案和文档参考。 --- 修改表结构时请同步更新 001_init.sql。 --- ============================================================ - --- ============================================================ --- 1. klines — K 线主表（hypertable） --- ============================================================ -CREATE TABLE IF NOT EXISTS klines ( - -- ---- 时间维度 ---- - time TIMESTAMPTZ NOT NULL, -- K 线开盘时间（UTC） - - -- ---- 标识维度 ---- - exchange TEXT NOT NULL, -- 交易所：binance / okx / bybit - symbol TEXT NOT NULL, -- 交易对：BTCUSDT / ETHUSDT - interval TEXT NOT NULL, -- 周期：1m / 5m / 15m / 1h / 4h / 1d - - -- ---- OHLCV 核心数据 ---- - open NUMERIC(20,8) NOT NULL, - high NUMERIC(20,8) NOT NULL, - low NUMERIC(20,8) NOT NULL, - close NUMERIC(20,8) NOT NULL, - volume NUMERIC(20,8) NOT NULL DEFAULT 0, -- 成交量（基准币种） - - -- ---- 扩展字段 ---- - quote_volume NUMERIC(20,8) DEFAULT 0, -- 成交额（计价币种） - taker_buy_base_vol NUMERIC(20,8) DEFAULT 0, -- 主动买入量（基准币种） - taker_buy_quote_vol NUMERIC(20,8) DEFAULT 0, -- 主动买入额（计价币种） - trade_count INTEGER DEFAULT 0, -- 成交笔数 - is_closed BOOLEAN DEFAULT TRUE, -- K 线是否已闭合 - - -- ---- 元数据 ---- - created_at TIMESTAMPTZ DEFAULT NOW(), - updated_at TIMESTAMPTZ DEFAULT NOW(), - - -- 唯一约束：同一根 K 线不可重复 - UNIQUE (time, exchange, symbol, interval) -); - --- ============================================================ --- 2. 转换为 TimescaleDB hypertable --- ============================================================ --- 按 time 列做 1 天分区，按 exchange 做 4 空间分区 -SELECT create_hypertable( - 'klines', - 'time', - chunk_time_interval => INTERVAL '1 day', - partitioning_column => 'exchange', - number_partitions => 4, - if_not_exists => TRUE -); - --- ============================================================ --- 3. 索引设计 --- ============================================================ - --- 主力查询索引（覆盖 95% 查询场景） --- 用途：按交易对+周期+时间范围查询最新 K 线 -CREATE INDEX IF NOT EXISTS idx_klines_lookup - ON klines (exchange, symbol, interval, time DESC); - --- 回测专用索引 --- 用途：按交易对+周期+时间正序遍历（策略回测） -CREATE INDEX IF NOT EXISTS idx_klines_backtest - ON klines (symbol, interval, time ASC); - --- 最新已闭合 K 线索引（部分索引，减小体积） --- 用途：获取已完成的最新 K 线（避免扫描未闭合数据） -CREATE INDEX IF NOT EXISTS idx_klines_latest - ON klines (exchange, symbol, interval, time DESC) - WHERE is_closed = TRUE; - --- ============================================================ --- 4. 压缩策略（列式压缩，压缩比约 90%） --- ============================================================ -ALTER TABLE klines SET ( - timescaledb.compress, - timescaledb.compress_segmentby = 'exchange, symbol, interval', - timescaledb.compress_orderby = 'time DESC' -); - --- K 线闭合 7 天后自动触发压缩 -SELECT add_compression_policy('klines', INTERVAL '7 days', if_not_exists => TRUE); - --- ============================================================ --- 5. 数据保留策略 --- ============================================================ --- 1m 粒度 K 线保留 90 天（更粗粒度由连续聚合视图覆盖） -SELECT add_retention_policy('klines', INTERVAL '90 days', if_not_exists => TRUE); - --- ============================================================ --- 6. 连续聚合视图（从 1m 自动派生高周期 K 线） --- ============================================================ - --- ---- 5m K 线 ---- -CREATE MATERIALIZED VIEW IF NOT EXISTS klines_5m -WITH (timescaledb.continuous) AS -SELECT - time_bucket('5 minutes', time) AS time, - exchange, - symbol, - '5m'::TEXT AS interval, - FIRST(open, time) AS open, - MAX(high) AS high, - MIN(low) AS low, - LAST(close, time) AS close, - SUM(volume) AS volume, - SUM(quote_volume) AS quote_volume, - SUM(taker_buy_base_vol) AS taker_buy_base_vol, - SUM(taker_buy_quote_vol) AS taker_buy_quote_vol, - SUM(trade_count) AS trade_count -FROM klines -WHERE interval = '1m' -GROUP BY time_bucket('5 minutes', time), exchange, symbol; - --- ---- 15m K 线 ---- -CREATE MATERIALIZED VIEW IF NOT EXISTS klines_15m -WITH (timescaledb.continuous) AS -SELECT - time_bucket('15 minutes', time) AS time, - exchange, - symbol, - '15m'::TEXT AS interval, - FIRST(open, time) AS open, - MAX(high) AS high, - MIN(low) AS low, - LAST(close, time) AS close, - SUM(volume) AS volume, - SUM(quote_volume) AS quote_volume, - SUM(taker_buy_base_vol) AS taker_buy_base_vol, - SUM(taker_buy_quote_vol) AS taker_buy_quote_vol, - SUM(trade_count) AS trade_count -FROM klines -WHERE interval = '1m' -GROUP BY time_bucket('15 minutes', time), exchange, symbol; - --- ---- 1h K 线 ---- -CREATE MATERIALIZED VIEW IF NOT EXISTS klines_1h -WITH (timescaledb.continuous) AS -SELECT - time_bucket('1 hour', time) AS time, - exchange, - symbol, - '1h'::TEXT AS interval, - FIRST(open, time) AS open, - MAX(high) AS high, - MIN(low) AS low, - LAST(close, time) AS close, - SUM(volume) AS volume, - SUM(quote_volume) AS quote_volume, - SUM(taker_buy_base_vol) AS taker_buy_base_vol, - SUM(taker_buy_quote_vol) AS taker_buy_quote_vol, - SUM(trade_count) AS trade_count -FROM klines -WHERE interval = '1m' -GROUP BY time_bucket('1 hour', time), exchange, symbol; - --- ---- 1d K 线 ---- -CREATE MATERIALIZED VIEW IF NOT EXISTS klines_1d -WITH (timescaledb.continuous) AS -SELECT - time_bucket('1 day', time) AS time, - exchange, - symbol, - '1d'::TEXT AS interval, - FIRST(open, time) AS open, - MAX(high) AS high, - MIN(low) AS low, - LAST(close, time) AS close, - SUM(volume) AS volume, - SUM(quote_volume) AS quote_volume, - SUM(taker_buy_base_vol) AS taker_buy_base_vol, - SUM(taker_buy_quote_vol) AS taker_buy_quote_vol, - SUM(trade_count) AS trade_count -FROM klines -WHERE interval = '1m' -GROUP BY time_bucket('1 day', time), exchange, symbol; - --- 连续聚合视图也启用压缩 -ALTER MATERIALIZED VIEW klines_5m SET (timescaledb.compress = true); -ALTER MATERIALIZED VIEW klines_15m SET (timescaledb.compress = true); -ALTER MATERIALIZED VIEW klines_1h SET (timescaledb.compress = true); -ALTER MATERIALIZED VIEW klines_1d SET (timescaledb.compress = true); - --- ============================================================ --- 7. 常用查询示例 --- ============================================================ - --- 查询最新 N 根 1h K 线 --- SELECT time, open, high, low, close, volume --- FROM klines_1h --- WHERE exchange = 'binance' AND symbol = 'BTCUSDT' --- ORDER BY time DESC LIMIT 100; - --- 查询某个时间范围内的原始 1m K 线 --- SELECT time, open, high, low, close, volume --- FROM klines --- WHERE exchange = 'binance' AND symbol = 'ETHUSDT' AND interval = '1m' --- AND time BETWEEN '2026-06-01' AND '2026-06-06' --- ORDER BY time ASC; diff --git a/data/tsconfig.json b/data/tsconfig.json index 734c0ef..e2baa0b 100644 --- a/data/tsconfig.json +++ b/data/tsconfig.json @@ -17,6 +17,10 @@ "allowImportingTsExtensions": true, "verbatimModuleSyntax": true, "noEmit": true, + // TypeORM decorator support + "experimentalDecorators": true, + "emitDecoratorMetadata": true, + "strictPropertyInitialization": false, // Best practices "strict": true, "skipLibCheck": true, diff --git a/data/utils/logger.ts b/data/utils/logger.ts new file mode 100644 index 0000000..8687a5e --- /dev/null +++ b/data/utils/logger.ts @@ -0,0 +1,20 @@ +// data/src/logger.ts +import pino from "pino"; +import { logging } from "../config"; + +export const logger = pino({ + level: logging.level, + // 开发环境：使用 pino-pretty 彩色输出 + // 生产环境：JSON 格式，便于 ELK / Loki 采集 + ...(logging.pretty + ? { transport: { target: "pino-pretty", options: { colorize: true } } } + : {}), + // 自动注入模块名 + base: { module: "trade-data" }, + // 序列化 Error 对象 + serializers: { + err: pino.stdSerializers.err, + }, +}); + +export default logger; diff --git a/env.yaml b/env.yaml new file mode 100644 index 0000000..fa6cf41 --- /dev/null +++ b/env.yaml @@ -0,0 +1,30 @@ +# ============================================================ +# Trade System — 统一环境配置（YAML） +# ============================================================ +# 使用方式： +# data 模块通过 data/config.ts 读取此文件 +# Python 模块通过 yaml.safe_load 读取此文件 +# +# 修改后重启服务即可生效，无需重新构建。 +# ============================================================ + +# --- TimescaleDB / PostgreSQL 连接 --- +db: + host: localhost + port: 5432 + name: trade + user: trader + password: fucketh + +# --- Redis 连接 --- +redis: + url: redis://localhost:6379 + # 是否启用 Pub/Sub 行情发布（开发时可关闭以节省资源） + publish_enabled: true + +# --- 日志 --- +logging: + # 日志级别：trace / debug / info / warn / error / fatal + level: debug + # 运行环境：development 启用 pretty print；production 输出 JSON + node_env: development