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feat(data): 实现 Binance WebSocket 适配器与架构重构

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- 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
This commit is contained in:
Rekey
2026-06-08 01:24:48 +08:00
parent e91cad79e6
commit 85a0031a78
31 changed files with 4261 additions and 8757 deletions
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data/.env.example
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# ============================================================
# 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
data/ARCHITECTURE.md
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data/bun.lock
+985
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@@ -0,0 +1,985 @@
{
"lockfileVersion": 1,
"workspaces": {
"": {
"name": "trade-data",
"dependencies": {
"@timescaledb/typeorm": "^0.0.1",
"binance": "^3.5.9",
"ccxt": "^4.5.56",
"ioredis": "^5.11.1",
"pg": "^8.21.0",
"pino": "^10.3.1",
"rxjs": "^7.8.2",
"typeorm": "^1.0.0",
"yaml": "^2.9.0",
},
"devDependencies": {
"@types/bun": "^1.3.14",
"@types/node": "^25.9.2",
"@types/pg": "^8.20.0",
"@types/ws": "^8.18.1",
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"prettier": "^3.8.3",
"tsx": "^4.22.4",
"typescript": "^6.0.3",
"vitest": "^4.1.8",
},
},
},
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}
data/config.ts
-184
View File
@@ -1,184 +0,0 @@
// ============================================================
// config.ts — 中心化配置模块（带 Zod 运行时校验）
// ============================================================
// 职责：
// 1. 从 .env 文件加载环境变量（零依赖，手动解析）
// 2. 使用 EnvConfigSchema 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 / 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<string, string> {
const result: Record<string, string> = {};
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));
}
data/config/index.ts
+160
View File
@@ -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：<project_root>/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/ → <project_root>/
*
* 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/ → <project_root>
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));
}
data/config/validators.ts
+149
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@@ -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<string, unknown>;
// --- 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<string, unknown>;
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<string, unknown>;
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<string, unknown>;
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<T extends readonly string[]>(
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)}`,
);
}
data/db/config-crud.ts
-530
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@@ -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> = 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<MonitoredSymbolRow> {
const { rows } = await this.pool.query<MonitoredSymbolRow>(
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<FirstRow<MonitoredSymbolRow>> {
const { rows } = await this.pool.query<MonitoredSymbolRow>(
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<FirstRow<MonitoredSymbolRow>> {
const { rows } = await this.pool.query<MonitoredSymbolRow>(
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<MonitoredSymbolRow[]> {
const { rows } = await this.pool.query<MonitoredSymbolRow>(
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<MonitoredSymbolRow[]> {
const { rows } = await this.pool.query<MonitoredSymbolRow>(
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<MonitoredSymbolRow[]> {
const { rows } = await this.pool.query<MonitoredSymbolRow>(
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<FirstRow<MonitoredSymbolRow>> {
const { rows } = await this.pool.query<MonitoredSymbolRow>(
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<Pick<MonitoredSymbolRow, "id" | "exchange" | "symbol" | "interval"> | null> {
const { rows } = await this.pool.query<
Pick<MonitoredSymbolRow, "id" | "exchange" | "symbol" | "interval">
>(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<number | null> {
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<number | null> {
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<ExchangeConfigRow> {
const { rows } = await this.pool.query<ExchangeConfigRow>(
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<FirstRow<ExchangeConfigRow>> {
const { rows } = await this.pool.query<ExchangeConfigRow>(
queryExchangeConfigById,
[id],
);
return rows[0] ?? null;
}
/** 按交易所标识查询（如 "binance"） */
async findByExchange(
exchange: Exchange,
): Promise<FirstRow<ExchangeConfigRow>> {
const { rows } = await this.pool.query<ExchangeConfigRow>(
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<ExchangeConfigRow[]> {
const { rows } = await this.pool.query<ExchangeConfigRow>(
queryAllExchangeConfigs,
);
return rows;
}
/** 查询所有启用的交易所配置 */
async listEnabled(): Promise<ExchangeConfigRow[]> {
const { rows } = await this.pool.query<ExchangeConfigRow>(
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<Omit<ExchangeConfigRow, "id" | "created_at" | "updated_at">>,
): Promise<FirstRow<ExchangeConfigRow>> {
const { rows } = await this.pool.query<ExchangeConfigRow>(
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<number | null> {
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<number | null> {
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<AppConfigRow> {
const { rows } = await this.pool.query<AppConfigRow>(upsertAppConfig, [
key,
value,
description ?? null,
]);
return rows[0]!;
}
// ----------------------------------------------------------
// READ — 单条
// ----------------------------------------------------------
/** 按主键 ID 查询 */
async findById(id: number): Promise<FirstRow<AppConfigRow>> {
const { rows } = await this.pool.query<AppConfigRow>(
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<FirstRow<AppConfigRow>> {
const { rows } = await this.pool.query<AppConfigRow>(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<string> {
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<number> {
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<boolean> {
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<AppConfigRow[]> {
const { rows } = await this.pool.query<AppConfigRow>(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<key, value>
*/
async getBatch(keys: string[]): Promise<Map<string, string>> {
const all = await this.listAll();
const map = new Map<string, string>();
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<FirstRow<AppConfigRow>> {
const { rows } = await this.pool.query<AppConfigRow>(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<number | null> {
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<number | null> {
const { rows } = await this.pool.query<{ id: number }>(
deleteAppConfigById,
[id],
);
return rows[0]?.id ?? null;
}
}
data/db/data-source.ts
+29
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@@ -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();
data/db/entities/common.entity.ts
+32
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@@ -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;
}
data/db/entities/exchange.entity.ts
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// ============================================================
// 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<string, unknown>;
/**
* 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[];
}
data/db/entities/index.ts
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// ============================================================
// 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";
data/db/entities/kline.entity.ts
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// ============================================================
// 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;
}
data/db/entities/trading-pair.entity.ts
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// ============================================================
// 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);
}
}
data/db/index.ts
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// ============================================================
// 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";
data/db/pg.ts
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// ============================================================
// 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<boolean> {
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<string | null> {
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<T>
* @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<T>(
fn: (client: pg.PoolClient) => Promise<T>,
): Promise<T> {
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<void> {
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<number> {
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<boolean> {
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;
data/db/queries.ts
-561
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@@ -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
`;
data/db/types.ts
-249
View File
@@ -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;
}
data/db/validators.ts
-245
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@@ -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<typeof ExchangeSchema>;
/** K 线周期枚举 */
export const KlineIntervalSchema = z.enum([
"1m",
"5m",
"15m",
"1h",
"4h",
"1d",
]);
export type KlineInterval = z.infer<typeof KlineIntervalSchema>;
/** 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<typeof KlineRawSchema>;
/** 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<typeof KlineBatchSchema>;
// ============================================================
// 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<typeof StreamKeySchema>;
// ============================================================
// 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<typeof EnvConfigSchema>;
data/exchanges/base.ts
+186
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@@ -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<void> {
return new Promise((resolve) => setTimeout(resolve, ms));
}
// ============================================================
// BaseExchangeAdapter
// ============================================================
export abstract class BaseExchangeAdapter implements MarketDataFeed {
/** 交易所标识（子类必须覆盖） */
abstract readonly exchange: string;
/** 适配器配置（可在子类构造函数中覆盖默认值） */
protected readonly config: AdapterConfig;
/** 当前连接状态 */
protected _connectionState: ConnectionState = "disconnected";
/** 当前重连尝试次数（成功连接后重置） */
protected reconnectAttempt = 0;
/** Subject 清理注册表 —— disconnect 时统一 complete */
protected activeSubjects = new Set<Subject<unknown>>();
// ============================================================
// 构造函数
// ============================================================
constructor(config: Partial<AdapterConfig> = {}) {
this.config = { ...DEFAULT_ADAPTER_CONFIG, ...config };
}
// ============================================================
// 连接状态（只读暴露）
// ============================================================
get connectionState(): ConnectionState {
return this._connectionState;
}
/** 更新连接状态并记录日志 */
protected setConnectionState(state: ConnectionState): void {
const prev = this._connectionState;
this._connectionState = state;
if (prev !== state) {
logger.info(
{ exchange: this.exchange, from: prev, to: state },
`[${this.exchange}] connection state: ${prev} → ${state}`,
);
}
}
// ============================================================
// 指数退避重连（所有子类复用）
// ============================================================
/**
* 执行指数退避重连。
*
* 延迟公式：delay = baseDelay × 2^min(attempt, 5)
* - attempt=0: 3s
* - attempt=1: 6s
* - attempt=2: 12s
* - attempt=5: 96s（之后不再翻倍）
*
* 超过 maxReconnectAttempts 后抛出错误。
*
* @throws 达到最大重试次数后抛出
*/
protected async reconnect(): Promise<void> {
const { reconnectBaseDelayMs: baseDelay, maxReconnectAttempts } = this.config;
if (this.reconnectAttempt >= maxReconnectAttempts) {
this.setConnectionState("error");
throw new Error(
`[${this.exchange}] 重连失败：已达最大重试次数 (${maxReconnectAttempts})`,
);
}
const cappedAttempt = Math.min(this.reconnectAttempt, 5);
const delay = baseDelay * Math.pow(2, cappedAttempt);
logger.warn(
{
exchange: this.exchange,
attempt: this.reconnectAttempt + 1,
maxAttempts: maxReconnectAttempts,
delayMs: delay,
},
`[${this.exchange}] WebSocket 重连中...`,
);
await sleep(delay);
this.reconnectAttempt++;
this.setConnectionState("connecting");
await this.connect();
}
/** 成功连接后重置重连计数器 */
protected resetReconnectAttempts(): void {
if (this.reconnectAttempt > 0) {
logger.info(
{ exchange: this.exchange, attempts: this.reconnectAttempt },
`[${this.exchange}] 重连成功，计数器重置`,
);
}
this.reconnectAttempt = 0;
}
// ============================================================
// Subject 管理工具
// ============================================================
/**
* 创建一个受管理的 Subject，disconnect 时自动 complete。
* 子类在 subscribe* 方法中使用此工具创建 Subject。
*/
protected createManagedSubject<T>(): Subject<T> {
const subject = new Subject<T>();
this.activeSubjects.add(subject as Subject<unknown>);
return subject;
}
/** 完成所有受管理的 Subject（disconnect 时调用） */
protected completeAllSubjects(): void {
for (const subject of this.activeSubjects) {
subject.complete();
}
this.activeSubjects.clear();
}
// ============================================================
// 抽象方法 —— 子类必须实现
// ============================================================
abstract connect(): Promise<void>;
abstract disconnect(): Promise<void>;
abstract subscribeTicker(symbols: string[]): Observable<Ticker>;
abstract subscribeTrade(symbols: string[]): Observable<Trade>;
abstract subscribeOrderbook(symbol: string, depth?: number): Observable<OrderBook>;
abstract fetchKlines(
symbol: string,
interval: KlineInterval,
startTime: number,
endTime: number,
limit?: number,
): Promise<Kline[]>;
abstract fetchMarkets(): Promise<MarketInfo[]>;
}
export default BaseExchangeAdapter;
data/exchanges/binance.ts
+735 -348
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data/exchanges/types.ts
+280 -26
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@@ -1,17 +1,133 @@
// ============================================================ // ============================================================
// 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 */ import type { Observable } from "rxjs";
export interface KlineWsData {
// ============================================================
// K 线周期
// ============================================================
/** K 线周期枚举（与 kline.entity.ts 中 KlineInterval 保持一致） */
export type KlineInterval =
| "1m"
| "5m"
| "15m"
| "30m"
| "1h"
| "4h"
| "1d"
| "1w";
/** K 线周期 → 毫秒数映射（用于时间桶计算） */
export const KLINE_INTERVAL_MS: Record<KlineInterval, number> = {
"1m": 60_000,
"5m": 300_000,
"15m": 900_000,
"30m": 1_800_000,
"1h": 3_600_000,
"4h": 14_400_000,
"1d": 86_400_000,
"1w": 604_800_000,
};
// ============================================================
// 标准化行情数据结构
// ============================================================
/** 24 小时滚动 Ticker 统计 */
export interface Ticker {
/** 交易所标识 */ /** 交易所标识 */
exchange: string; exchange: string;
/** 交易对，如 BTCUSDT */ /** 交易对符号（大写，如 BTCUSDT） */
symbol: string; symbol: string;
/** K 线周期，如 1m / 1h / 1d */ /** 最新成交价 */
interval: string; lastPrice: number;
/** K 线开盘时间（Unix 毫秒时间戳） */ /** 24h 开盘价 */
time: number; openPrice: number;
/** 24h 最高价 */
highPrice: number;
/** 24h 最低价 */
lowPrice: number;
/** 24h 成交量（base 币种） */
volume: number;
/** 24h 成交额（quote 币种） */
quoteVolume: number;
/** 24h 价格变化 */
priceChange: number;
/** 24h 价格变化百分比（0.05 = 5%） */
priceChangePercent: number;
/** 买一价 */
bidPrice: number;
/** 买一量 */
bidQty: number;
/** 卖一价 */
askPrice: number;
/** 卖一量 */
askQty: number;
/** 事件发生时间（Unix ms） */
eventTime: number;
/** 交易所收盘时间（Unix ms，用于判断 K 线是否闭合） */
closeTime: number;
}
/** 逐笔成交 */
export interface Trade {
/** 交易所标识 */
exchange: string;
/** 交易对符号 */
symbol: string;
/** 成交价 */
price: number;
/** 成交数量（base 币种） */
amount: number;
/** 成交额（quote 币种 = price × amount） */
quoteAmount: number;
/** 成交时间（Unix ms） */
timestamp: number;
/** 买方是否为挂单方（true = 主动卖出 / taker sell） */
isBuyerMaker: boolean;
/** 交易所成交 ID（可能为字符串，如 Binance tradeId 为 bigint） */
tradeId: string;
}
/** 订单簿深度快照 */
export interface OrderBook {
/** 交易所标识 */
exchange: string;
/** 交易对符号 */
symbol: string;
/** 买单列表 [[price, qty], ...]，按价格降序（买一在前） */
bids: [number, number][];
/** 卖单列表 [[price, qty], ...]，按价格升序（卖一在前） */
asks: [number, number][];
/** 上次更新 ID */
lastUpdateId: number;
/** 事件发生时间（Unix ms） */
eventTime: number;
}
/** 标准化 K 线（OHLCV） */
export interface Kline {
/** 交易所标识 */
exchange: string;
/** 交易对符号 */
symbol: string;
/** K 线周期 */
interval: KlineInterval;
/** 开盘时间（Unix ms） */
openTime: number;
/** 收盘时间（Unix ms） */
closeTime: number;
/** 开盘价 */ /** 开盘价 */
open: number; open: number;
/** 最高价 */ /** 最高价 */
@@ -20,26 +136,164 @@ export interface KlineWsData {
low: number; low: number;
/** 收盘价 */ /** 收盘价 */
close: number; close: number;
/** 成交量（基准币种） */ /** 成交量（base 币种） */
volume: number; 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;
} }
/** ExchangeWs 构造参数 */ /** K 线增量更新（仅推送最新一根 OHLCV 变化） */
export interface ExchangeWsConfig { export interface KlineDelta {
/** 交易所 ID，ccxt 支持的所有交易所标识 */ exchange: string;
exchangeId: string; symbol: string;
/** 要订阅的交易对列表，如 ['BTCUSDT', 'ETHUSDT'] */ interval: KlineInterval;
symbols: string[]; openTime: number;
/** K 线周期，默认 '1m' */ closeTime: number;
interval?: string; open: number;
/** 传递给 ccxt.pro 交易所实例的额外选项（如 agent、apiKey 等） */ high: number;
ccxtOptions?: Record<string, unknown>; low: number;
close: number;
volume: number;
isClosed: boolean;
} }
/** ExchangeWs 连接状态 */ // ============================================================
export type WsConnectionState = // WebSocket 连接状态
| "idle" // 尚未启动 // ============================================================
| "connecting" // 正在连接 WebSocket
| "connected" // 已连接，正在接收数据 /** 连接状态枚举 */
| "disconnected" // 已断开 export type ConnectionState =
| "error"; // 错误状态 | "disconnected"
| "connecting"
| "connected"
| "error";
// ============================================================
// 适配器配置
// ============================================================
/** 交易所适配器通用配置 */
export interface AdapterConfig {
/** 指数退避重连基数（毫秒），默认 3000 */
reconnectBaseDelayMs: number;
/** 最大重连次数，默认 10 */
maxReconnectAttempts: number;
/** REST API 请求冷却时间（毫秒），默认 200 */
restRateLimitMs: number;
}
/** 默认适配器配置 */
export const DEFAULT_ADAPTER_CONFIG: AdapterConfig = {
reconnectBaseDelayMs: 3000,
maxReconnectAttempts: 10,
restRateLimitMs: 200,
};
// ============================================================
// MarketDataFeed 接口 —— 所有交易所适配器必须实现
// ============================================================
/**
* 统一行情数据源接口。
*
* 每个交易所适配器实现此接口，向上层管道暴露标准化数据流。
* 使用 RxJS Observable 作为统一推送机制，pipeline 层可自由
* 组合、过滤、分流各交易所数据。
*/
export interface MarketDataFeed {
/** 交易所标识（如 "binance"） */
readonly exchange: string;
/** 当前连接状态 */
readonly connectionState: ConnectionState;
/** 建立 WebSocket 连接 */
connect(): Promise<void>;
/** 断开连接 */
disconnect(): Promise<void>;
/**
* 订阅 24h 滚动 Ticker 流。
* 每笔成交触发推送（Binance: <symbol>@ticker）。
*/
subscribeTicker(symbols: string[]): Observable<Ticker>;
/**
* 订阅逐笔成交流。
* 实时推送每笔撮合成交（Binance: <symbol>@trade）。
*/
subscribeTrade(symbols: string[]): Observable<Trade>;
/**
* 订阅订单簿深度。
* depth 参数指定档位（如 5/10/20），默认 20。
*/
subscribeOrderbook(symbol: string, depth?: number): Observable<OrderBook>;
/**
* REST 拉取历史 K 线（用于补齐缺失数据或回测）。
*
* @param symbol - 交易对符号
* @param interval - K 线周期
* @param startTime - 起始时间（Unix ms）
* @param endTime - 结束时间（Unix ms）
* @param limit - 最大返回条数（默认 500）
* @returns 标准化 K 线数组，按时间升序
*/
fetchKlines(
symbol: string,
interval: KlineInterval,
startTime: number,
endTime: number,
limit?: number,
): Promise<Kline[]>;
/**
* 获取交易所交易对信息（用于自动注册到 trading_pairs 表）。
* 返回标准化后的交易对元数据。
*/
fetchMarkets(): Promise<MarketInfo[]>;
}
/** 交易对元信息（从交易所 REST API 获取） */
export interface MarketInfo {
symbol: string;
baseAsset: string;
quoteAsset: string;
pricePrecision: number;
quantityPrecision: number;
minQty?: number;
stepSize?: number;
minNotional?: number;
}
// ============================================================
// 工具类型
// ============================================================
/** Binance WebSocket 原始 K 线数据（kline 事件中的 k 字段） */
export interface BinanceRawKline {
t: number; // K 线开始时间
T: number; // K 线结束时间
s: string; // 交易对
i: string; // 周期
o: string; // 开盘价
h: string; // 最高价
l: string; // 最低价
c: string; // 收盘价
v: string; // 成交量
n: number; // 成交笔数
x: boolean; // 是否已关闭
q: string; // 成交额
V: string; // 主动买入成交量
Q: string; // 主动买入成交额
}
data/init-db/001_init.sql
-228
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@@ -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 $$
BEGIN
RAISE NOTICE '001_init.sql — TimescaleDB initialization complete.';
RAISE NOTICE 'Hypertable: klines';
RAISE NOTICE 'Continuous aggregates: klines_5m, klines_15m, klines_1h, klines_1d';
RAISE NOTICE 'Compression: 7 days delay, 90 days retention';
END $$;
data/init-db/002_config.sql
-136
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@@ -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 $$
BEGIN
RAISE NOTICE '002_config.sql — Config tables initialized.';
RAISE NOTICE 'Tables: monitored_symbols, exchange_config, app_config';
RAISE NOTICE 'Seed data: 9 symbols (Binance), 3 exchanges';
END $$;
data/package-lock.json
Generated
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data/package.json
+4 -2
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@@ -13,13 +13,15 @@
"format": "prettier --write src/" "format": "prettier --write src/"
}, },
"dependencies": { "dependencies": {
"@timescaledb/typeorm": "^0.0.1",
"binance": "^3.5.9", "binance": "^3.5.9",
"ccxt": "^4.5.56", "ccxt": "^4.5.56",
"ioredis": "^5.11.1", "ioredis": "^5.11.1",
"pg": "^8.21.0", "pg": "^8.21.0",
"pino": "^10.3.1", "pino": "^10.3.1",
"ws": "^8.21.0", "rxjs": "^7.8.2",
"zod": "^4.4.3" "typeorm": "^1.0.0",
"yaml": "^2.9.0"
}, },
"devDependencies": { "devDependencies": {
"@types/bun": "^1.3.14", "@types/bun": "^1.3.14",
data/run/exchange.ts
-19
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@@ -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();
data/schema/config.sql
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@@ -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();
data/schema/klines.sql
-206
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@@ -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;
data/tsconfig.json
+4
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@@ -17,6 +17,10 @@
"allowImportingTsExtensions": true, "allowImportingTsExtensions": true,
"verbatimModuleSyntax": true, "verbatimModuleSyntax": true,
"noEmit": true, "noEmit": true,
// TypeORM decorator support
"experimentalDecorators": true,
"emitDecoratorMetadata": true,
"strictPropertyInitialization": false,
// Best practices // Best practices
"strict": true, "strict": true,
"skipLibCheck": true, "skipLibCheck": true,
data/utils/logger.ts
+20
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@@ -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;
env.yaml
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@@ -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