diff --git a/data/.env.example b/data/.env.example index 11c53f1..0c7e6b9 100644 --- a/data/.env.example +++ b/data/.env.example @@ -5,10 +5,6 @@ # cp .env.example .env # ============================================================ -# --- 行情订阅 --- -# 逗号分隔的交易对列表（大写） -SYMBOLS=BTCUSDT,ETHUSDT - # --- TimescaleDB 连接 --- DB_HOST=localhost DB_PORT=5432 diff --git a/data/config.ts b/data/config.ts new file mode 100644 index 0000000..36023b3 --- /dev/null +++ b/data/config.ts @@ -0,0 +1,184 @@ +// ============================================================ +// 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 { + const result: Record = {}; + + try { + const content = readFileSync(filePath, "utf-8"); + for (const line of content.split("\n")) { + const trimmed = line.trim(); + // 跳过空行和注释 + if (trimmed === "" || trimmed.startsWith("#")) { + continue; + } + const eqIdx = trimmed.indexOf("="); + if (eqIdx === -1) { + continue; + } + const key = trimmed.slice(0, eqIdx).trim(); + const value = trimmed.slice(eqIdx + 1).trim(); + if (key !== "") { + result[key] = value; + } + } + } catch { + // .env 文件不存在时不报错（生产环境变量由容器注入） + } + + return result; +} + +/** + * 将解析结果注入 process.env（已存在的变量不覆盖）。 + * 这使得后续 Zod 的 `z.coerce` 可以从 process.env 读取。 + */ +function loadEnvFile(): void { + // __dirname 在 ESM 中不可用，手动计算 + const __filename = fileURLToPath(import.meta.url); + const __dirname = dirname(__filename); + const envPath = resolve(__dirname, ".env"); + + const parsed = parseEnvFile(envPath); + for (const [key, value] of Object.entries(parsed)) { + // 不覆盖已由系统设置的环境变量（Docker / systemd 注入优先） + if (process.env[key] === undefined) { + process.env[key] = value; + } + } +} + +// 模块加载时立即执行 +loadEnvFile(); + +// ============================================================ +// 2. Zod 校验 & 类型收窄 +// ============================================================ + +/** + * 经 Zod 校验后的环境变量配置。 + * 所有字段均有默认值兜底，即使 .env 缺失也能正常运行。 + */ +const rawConfig: EnvConfig = EnvConfigSchema.parse(process.env); + +// ============================================================ +// 3. 按职责分组的导出配置对象 +// ============================================================ + +/** PostgreSQL / TimescaleDB 连接配置 */ +export const pgsql = { + host: rawConfig.DB_HOST, + port: rawConfig.DB_PORT, + database: rawConfig.DB_NAME, + user: rawConfig.DB_USER, + password: rawConfig.DB_PASSWORD, + /** pg.Pool 连接上限，避免连接数暴涨 */ + max: 20, + /** 连接空闲超时（毫秒） */ + idleTimeoutMillis: 30000, + /** 连接获取超时（毫秒） */ + connectionTimeoutMillis: 5000, +} as const; + +/** Redis 连接与发布配置 */ +export const redis = { + /** Redis 连接 URL（ioredis 可直接使用） */ + url: rawConfig.REDIS_URL, + /** 是否启用 Pub/Sub 发布行情数据（开发环境可关闭以节省资源） */ + publishEnabled: rawConfig.REDIS_PUBLISH_ENABLED === "true", + /** 频道前缀，避免多环境 key 冲突 */ + channelPrefix: "trade", + /** 重连策略：指数退避基数（毫秒） */ + retryDelayBaseMs: 1000, + /** 最大重试次数 */ + maxRetries: 10, +} as const; + +/** K 线批量写入配置 */ +export const batch = { + /** 缓冲区条数阈值（达到后自动刷新） */ + size: rawConfig.BATCH_SIZE, + /** 最大缓冲时间（毫秒），超时后即使未达阈值也刷新 */ + flushIntervalMs: rawConfig.FLUSH_INTERVAL_MS, +} as const; + +/** WebSocket 连接配置（全局默认值，交易所级别可覆盖） */ +export const ws = { + /** 断线重连延迟基数（毫秒），指数退避：基数 × 2^attempts */ + reconnectDelayMs: rawConfig.WS_RECONNECT_DELAY_MS, + /** 心跳间隔（毫秒） */ + pingIntervalMs: rawConfig.WS_PING_INTERVAL_MS, + /** 最大重连次数（超过后标记 error 状态） */ + maxReconnectAttempts: rawConfig.WS_MAX_RECONNECT_ATTEMPTS, +} as const; + +/** 日志配置 */ +export const logging = { + /** 日志级别：trace / debug / info / warn / error / fatal */ + level: rawConfig.LOG_LEVEL, + /** 运行环境（production 时 pino 输出 JSON 便于日志采集） */ + nodeEnv: rawConfig.NODE_ENV, + /** 是否启用 pino-pretty（开发环境友好输出） */ + pretty: rawConfig.NODE_ENV === "development", +} as const; + +/** 默认订阅的交易对列表（逗号分隔 → string[]） */ +export const symbols: string[] = rawConfig.SYMBOLS.split(",") + .map((s) => s.trim()) + .filter(Boolean); + +// ============================================================ +// 4. 工具：运行时打印配置概要（不含敏感信息） +// ============================================================ + +/** 打印脱敏后的配置概要，便于启动排查 */ +export function printConfigSummary(): void { + const summary = { + pgsql: { + host: pgsql.host, + port: pgsql.port, + database: pgsql.database, + user: pgsql.user, + password: "***", + }, + redis: { + url: redis.url.replace(/\/\/.*@/, "//***@"), // 隐藏密码 + publishEnabled: redis.publishEnabled, + }, + batch, + ws, + logging, + symbols, + }; + console.log("[config] 配置概要:", JSON.stringify(summary, null, 2)); +} diff --git a/data/db/config-crud.ts b/data/db/config-crud.ts new file mode 100644 index 0000000..26b1475 --- /dev/null +++ b/data/db/config-crud.ts @@ -0,0 +1,530 @@ +// ============================================================ +// db/config-crud.ts — 配置表 CRUD 服务层 +// ============================================================ +// 职责： +// 1. 封装 monitored_symbols / exchange_config / app_config 三张配置表的增删改查 +// 2. 所有方法通过 pg.Pool 执行参数化 SQL（防注入） +// 3. 返回类型与 types.ts 严格对应，调用方无需手动断言 +// 4. 支持依赖注入：构造函数接收 Pool，便于单元测试 mock +// +// 使用方式： +// import { pool } from "./db"; +// import { MonitoredSymbolsRepo, ExchangeConfigRepo, AppConfigRepo } from "./db/config-crud"; +// +// const symbolsRepo = new MonitoredSymbolsRepo(pool); +// const all = await symbolsRepo.listAll(); +// ============================================================ + +import type pg from "pg"; +import type { + MonitoredSymbolRow, + MonitoredSymbolInsert, + MonitoredSymbolUpdate, + ExchangeConfigRow, + ExchangeConfigInsert, + AppConfigRow, + Exchange, + KlineInterval, +} from "./types"; +import { + // monitored_symbols + queryAllMonitoredSymbols, + queryEnabledSymbols, + querySymbolsByExchange, + queryMonitoredSymbolById, + queryMonitoredSymbolByKey, + upsertMonitoredSymbol, + updateMonitoredSymbol, + disableMonitoredSymbol, + deleteMonitoredSymbol, + deleteMonitoredSymbolByKey, + // exchange_config + queryAllExchangeConfigs, + queryEnabledExchanges, + queryExchangeConfig, + queryExchangeConfigById, + upsertExchangeConfig, + updateExchangeConfig, + deleteExchangeConfig, + deleteExchangeConfigByExchange, + // app_config + queryAllAppConfig, + queryAppConfig, + queryAppConfigById, + upsertAppConfig, + updateAppConfig, + deleteAppConfig, + deleteAppConfigById, +} from "./queries"; + +// ============================================================ +// 工具类型：将 Promise 解包的一行或 null +// ============================================================ + +/** pg query 返回的第一行，不存在则为 null */ +type FirstRow = T | null; + +// ============================================================ +// MonitoredSymbolsRepo — 监控交易对配置 CRUD +// ============================================================ + +export class MonitoredSymbolsRepo { + constructor(private readonly pool: pg.Pool) {} + + // ---------------------------------------------------------- + // CREATE / UPSERT + // ---------------------------------------------------------- + + /** + * 新增或更新监控标的。 + * 唯一键冲突时更新 enabled/priority/label/notes 并刷新 updated_at。 + * + * @returns 插入或更新后的完整行 + */ + async upsert( + insert: MonitoredSymbolInsert, + ): Promise { + const { rows } = await this.pool.query( + upsertMonitoredSymbol, + [ + insert.exchange, + insert.symbol, + insert.interval, + insert.enabled ?? true, + insert.priority ?? 0, + insert.label ?? null, + insert.notes ?? null, + ], + ); + return rows[0]!; + } + + // ---------------------------------------------------------- + // READ — 单条 + // ---------------------------------------------------------- + + /** 按主键 ID 查询 */ + async findById(id: number): Promise> { + const { rows } = await this.pool.query( + queryMonitoredSymbolById, + [id], + ); + return rows[0] ?? null; + } + + /** + * 按唯一业务键 (exchange, symbol, interval) 查询。 + * 这是最常用的精确查找方式。 + */ + async findByKey( + exchange: Exchange, + symbol: string, + interval: KlineInterval, + ): Promise> { + const { rows } = await this.pool.query( + queryMonitoredSymbolByKey, + [exchange, symbol, interval], + ); + return rows[0] ?? null; + } + + // ---------------------------------------------------------- + // READ — 列表 + // ---------------------------------------------------------- + + /** 查询所有监控标的（含已禁用），按优先级降序 */ + async listAll(): Promise { + const { rows } = await this.pool.query( + queryAllMonitoredSymbols, + ); + return rows; + } + + /** 查询所有启用的监控标的（采集服务启动时调用） */ + async listEnabled(): Promise { + const { rows } = await this.pool.query( + queryEnabledSymbols, + ); + return rows; + } + + /** 查询指定交易所下所有启用的监控标的 */ + async listByExchange(exchange: Exchange): Promise { + const { rows } = await this.pool.query( + querySymbolsByExchange, + [exchange], + ); + return rows; + } + + // ---------------------------------------------------------- + // UPDATE + // ---------------------------------------------------------- + + /** + * 按 ID 部分更新监控标的。 + * 仅更新传入的非 undefined 字段（COALESCE 语义）。 + * + * @returns 更新后的完整行；ID 不存在则返回 null + */ + async update( + id: number, + patch: MonitoredSymbolUpdate, + ): Promise> { + const { rows } = await this.pool.query( + updateMonitoredSymbol, + [ + id, + patch.enabled ?? null, + patch.priority ?? null, + patch.label ?? null, + patch.notes ?? null, + ], + ); + return rows[0] ?? null; + } + + /** + * 禁用指定监控标的（软删除）。 + * 不会删除记录，仅将 enabled 设为 FALSE。 + */ + async disable( + exchange: Exchange, + symbol: string, + interval: KlineInterval, + ): Promise | null> { + const { rows } = await this.pool.query< + Pick + >(disableMonitoredSymbol, [exchange, symbol, interval]); + return rows[0] ?? null; + } + + // ---------------------------------------------------------- + // DELETE（硬删除） + // ---------------------------------------------------------- + + /** 按 ID 硬删除。返回被删除的 id，不存在则返回 null */ + async deleteById(id: number): Promise { + const { rows } = await this.pool.query<{ id: number }>( + deleteMonitoredSymbol, + [id], + ); + return rows[0]?.id ?? null; + } + + /** 按唯一键硬删除。返回被删除的 id，不存在则返回 null */ + async deleteByKey( + exchange: Exchange, + symbol: string, + interval: KlineInterval, + ): Promise { + const { rows } = await this.pool.query<{ id: number }>( + deleteMonitoredSymbolByKey, + [exchange, symbol, interval], + ); + return rows[0]?.id ?? null; + } +} + +// ============================================================ +// ExchangeConfigRepo — 交易所连接配置 CRUD +// ============================================================ + +export class ExchangeConfigRepo { + constructor(private readonly pool: pg.Pool) {} + + // ---------------------------------------------------------- + // CREATE / UPSERT + // ---------------------------------------------------------- + + /** + * 新增或更新交易所配置。 + * 唯一键冲突时更新所有连接参数并刷新 updated_at。 + * + * @returns 插入或更新后的完整行 + */ + async upsert( + insert: ExchangeConfigInsert, + ): Promise { + const { rows } = await this.pool.query( + upsertExchangeConfig, + [ + insert.exchange, + insert.rest_url ?? null, + insert.ws_url ?? null, + insert.ws_ping_interval_ms ?? 30000, + insert.rate_limit_per_sec ?? 20, + insert.max_reconnect_attempts ?? 10, + insert.reconnect_delay_ms ?? 3000, + insert.enabled ?? true, + insert.notes ?? null, + ], + ); + return rows[0]!; + } + + // ---------------------------------------------------------- + // READ — 单条 + // ---------------------------------------------------------- + + /** 按主键 ID 查询 */ + async findById(id: number): Promise> { + const { rows } = await this.pool.query( + queryExchangeConfigById, + [id], + ); + return rows[0] ?? null; + } + + /** 按交易所标识查询（如 "binance"） */ + async findByExchange( + exchange: Exchange, + ): Promise> { + const { rows } = await this.pool.query( + queryExchangeConfig, + [exchange], + ); + return rows[0] ?? null; + } + + // ---------------------------------------------------------- + // READ — 列表 + // ---------------------------------------------------------- + + /** 查询所有交易所配置（含已禁用） */ + async listAll(): Promise { + const { rows } = await this.pool.query( + queryAllExchangeConfigs, + ); + return rows; + } + + /** 查询所有启用的交易所配置 */ + async listEnabled(): Promise { + const { rows } = await this.pool.query( + queryEnabledExchanges, + ); + return rows; + } + + // ---------------------------------------------------------- + // UPDATE + // ---------------------------------------------------------- + + /** + * 按 ID 部分更新交易所配置。 + * 仅更新传入的非 undefined 字段（COALESCE 语义）。 + * + * ⚠️ 风险提示：修改限频参数（rate_limit_per_sec）可能触发交易所封禁 IP。 + * 务必确认目标交易所的官方限频规则后再调整。 + * + * @returns 更新后的完整行；ID 不存在则返回 null + */ + async update( + id: number, + patch: Partial>, + ): Promise> { + const { rows } = await this.pool.query( + updateExchangeConfig, + [ + id, + patch.rest_url ?? null, + patch.ws_url ?? null, + patch.ws_ping_interval_ms ?? null, + patch.rate_limit_per_sec ?? null, + patch.max_reconnect_attempts ?? null, + patch.reconnect_delay_ms ?? null, + patch.enabled ?? null, + patch.notes ?? null, + ], + ); + return rows[0] ?? null; + } + + // ---------------------------------------------------------- + // DELETE（硬删除） + // ---------------------------------------------------------- + + /** 按 ID 硬删除。返回被删除的 id，不存在则返回 null */ + async deleteById(id: number): Promise { + const { rows } = await this.pool.query<{ id: number }>( + deleteExchangeConfig, + [id], + ); + return rows[0]?.id ?? null; + } + + /** 按交易所标识硬删除。返回被删除的 id，不存在则返回 null */ + async deleteByExchange(exchange: Exchange): Promise { + const { rows } = await this.pool.query<{ id: number }>( + deleteExchangeConfigByExchange, + [exchange], + ); + return rows[0]?.id ?? null; + } +} + +// ============================================================ +// AppConfigRepo — 全局应用配置（KV）CRUD +// ============================================================ + +export class AppConfigRepo { + constructor(private readonly pool: pg.Pool) {} + + // ---------------------------------------------------------- + // CREATE / UPSERT + // ---------------------------------------------------------- + + /** + * 设置一个配置项（新增或更新）。 + * + * @param key — 配置键 + * @param value — 配置值（字符串，消费方自行解析类型） + * @param description — 可选说明 + * @returns 插入或更新后的完整行 + */ + async set( + key: string, + value: string, + description?: string | null, + ): Promise { + const { rows } = await this.pool.query(upsertAppConfig, [ + key, + value, + description ?? null, + ]); + return rows[0]!; + } + + // ---------------------------------------------------------- + // READ — 单条 + // ---------------------------------------------------------- + + /** 按主键 ID 查询 */ + async findById(id: number): Promise> { + const { rows } = await this.pool.query( + queryAppConfigById, + [id], + ); + return rows[0] ?? null; + } + + /** + * 按 key 查询配置项。 + * + * @returns 配置行；不存在则返回 null + */ + async get(key: string): Promise> { + const { rows } = await this.pool.query(queryAppConfig, [key]); + return rows[0] ?? null; + } + + /** + * 按 key 获取配置值（字符串）。 + * 便捷方法——等价于 (await get(key))?.value ?? defaultValue。 + * + * @param key — 配置键 + * @param defaultValue — 默认值（key 不存在时返回） + */ + async getValue(key: string, defaultValue = ""): Promise { + const row = await this.get(key); + return row?.value ?? defaultValue; + } + + /** + * 按 key 获取配置值并解析为整数。 + * 解析失败时返回 defaultValue。 + */ + async getIntValue(key: string, defaultValue = 0): Promise { + const raw = await this.getValue(key, String(defaultValue)); + const parsed = parseInt(raw, 10); + return Number.isNaN(parsed) ? defaultValue : parsed; + } + + /** + * 按 key 获取配置值并解析为布尔。 + * 规则：'true' / '1' → true，其余 → false。 + */ + async getBoolValue(key: string, defaultValue = false): Promise { + const raw = await this.getValue(key, String(defaultValue)); + return raw === "true" || raw === "1"; + } + + // ---------------------------------------------------------- + // READ — 列表 + // ---------------------------------------------------------- + + /** 查询所有应用配置 */ + async listAll(): Promise { + const { rows } = await this.pool.query(queryAllAppConfig); + return rows; + } + + /** + * 批量获取多个 key 的值。 + * 一次性查询全表后过滤，避免 N+1 问题。 + * + * @param keys — 需要获取的 key 列表 + * @returns Map + */ + async getBatch(keys: string[]): Promise> { + const all = await this.listAll(); + const map = new Map(); + const keySet = new Set(keys); + for (const row of all) { + if (keySet.has(row.key)) { + map.set(row.key, row.value); + } + } + // 保证未找到的 key 也有默认值 "" + for (const k of keys) { + if (!map.has(k)) { + map.set(k, ""); + } + } + return map; + } + + // ---------------------------------------------------------- + // UPDATE + // ---------------------------------------------------------- + + /** + * 按 ID 部分更新应用配置。 + * + * @returns 更新后的完整行；ID 不存在则返回 null + */ + async update( + id: number, + value?: string, + description?: string | null, + ): Promise> { + const { rows } = await this.pool.query(updateAppConfig, [ + id, + value ?? null, + description ?? null, + ]); + return rows[0] ?? null; + } + + // ---------------------------------------------------------- + // DELETE + // ---------------------------------------------------------- + + /** 按 key 删除配置。返回被删除的 id，不存在则返回 null */ + async deleteByKey(key: string): Promise { + const { rows } = await this.pool.query<{ id: number }>(deleteAppConfig, [ + key, + ]); + return rows[0]?.id ?? null; + } + + /** 按 ID 删除配置。返回被删除的 id，不存在则返回 null */ + async deleteById(id: number): Promise { + const { rows } = await this.pool.query<{ id: number }>( + deleteAppConfigById, + [id], + ); + return rows[0]?.id ?? null; + } +} diff --git a/data/db/index.ts b/data/db/index.ts new file mode 100644 index 0000000..18e1033 --- /dev/null +++ b/data/db/index.ts @@ -0,0 +1,121 @@ +// ============================================================ +// db/index.ts — 统一导出 +// ============================================================ +// 使用方式： +// import { KlineRow, KlineRawSchema, bulkUpsertKlines } from "./db"; +// import { MonitoredSymbolsRepo } from "./db"; +// ============================================================ + +// 类型定义 +export type { + Exchange, + KlineInterval, + LogLevel, + KlineRow, + KlineInsert, + AggregatedKlineRow, + MonitoredSymbolRow, + MonitoredSymbolInsert, + MonitoredSymbolUpdate, + ExchangeConfigRow, + ExchangeConfigInsert, + AppConfigRow, + AppConfigKey, + StreamKey, + StreamSubscription, +} from "./types"; + +// Zod 运行时校验 +export { + ExchangeSchema, + KlineIntervalSchema, + LogLevelSchema, + SymbolSchema, + NumericStringSchema, + KlineRawSchema, + KlineBatchSchema, + MonitoredSymbolInsertSchema, + MonitoredSymbolUpdateSchema, + ExchangeConfigInsertSchema, + StreamKeySchema, + EnvConfigSchema, +} from "./validators"; + +export type { + KlineRaw, + KlineBatch, + MonitoredSymbolInsert as MonitoredSymbolInsertValidated, + MonitoredSymbolUpdate as MonitoredSymbolUpdateValidated, + ExchangeConfigInsert as ExchangeConfigInsertValidated, + StreamKey as StreamKeyValidated, + EnvConfig, +} from "./validators"; + +// 参数化 SQL 查询 +export { + bulkUpsertKlines, + packBulkKlines, + queryKlinesRange, + queryKlinesLatest, + queryAggregatedKlines, + // monitored_symbols + queryAllMonitoredSymbols, + queryEnabledSymbols, + querySymbolsByExchange, + queryMonitoredSymbolById, + queryMonitoredSymbolByKey, + upsertMonitoredSymbol, + updateMonitoredSymbol, + disableMonitoredSymbol, + deleteMonitoredSymbol, + deleteMonitoredSymbolByKey, + // exchange_config + queryAllExchangeConfigs, + queryEnabledExchanges, + queryExchangeConfig, + queryExchangeConfigById, + upsertExchangeConfig, + updateExchangeConfig, + deleteExchangeConfig, + deleteExchangeConfigByExchange, + // app_config + queryAllAppConfig, + queryAppConfig, + queryAppConfigById, + upsertAppConfig, + updateAppConfig, + deleteAppConfig, + deleteAppConfigById, + // 复合查询 + queryStreamSubscriptions, +} from "./queries"; + +export type { BulkKlineParams } from "./queries"; + +// ============================================================ +// Config CRUD 服务层（推荐使用） +// ============================================================ + +export { + MonitoredSymbolsRepo, + ExchangeConfigRepo, + AppConfigRepo, +} from "./config-crud"; + +// ============================================================ +// PostgreSQL 连接池 & 工具 +// ============================================================ + +export { + pool, + healthCheck, + timescaleVersion, + withTransaction, + closePool, + registerShutdownHandlers, + initSchemaFromFile, + initSchema, + isSchemaInitialized, +} from "./pg"; + +export { default as defaultPool } from "./pg"; diff --git a/data/db/pg.ts b/data/db/pg.ts new file mode 100644 index 0000000..241db79 --- /dev/null +++ b/data/db/pg.ts @@ -0,0 +1,364 @@ +// ============================================================ +// db/pg.ts — PostgreSQL / TimescaleDB 连接池管理 +// ============================================================ +// 职责： +// 1. 基于 config.ts 的 pgsql 配置创建 pg.Pool 单例 +// 2. 连接生命周期事件监听（connect / acquire / remove / error） +// 3. 提供健康检查（healthCheck） +// 4. 提供事务辅助函数（withTransaction） +// 5. 进程退出时优雅关闭（SIGTERM / SIGINT） +// +// 使用方式： +// import { pool } from "./db"; // 通过 index.ts 统一导出 +// import { healthCheck } from "./db"; +// const { rows } = await pool.query("SELECT NOW()"); +// ============================================================ + +import pg from "pg"; +import { readFileSync, readdirSync } from "node:fs"; +import { resolve, dirname } from "node:path"; +import { fileURLToPath } from "node:url"; +import { pgsql } from "../config"; + +// ============================================================ +// 1. 连接池创建（单例） +// ============================================================ + +/** + * pg.Pool 单例。 + * 配置来源于 config.ts → pgsql，已包含连接数上限、超时等参数。 + * + * pg.Pool 内部使用懒连接——首次 query 时才建立连接， + * 因此模块加载时不会立即连接数据库。 + */ +export const pool = new pg.Pool({ + host: pgsql.host, + port: pgsql.port, + database: pgsql.database, + user: pgsql.user, + password: pgsql.password, + max: pgsql.max, + idleTimeoutMillis: pgsql.idleTimeoutMillis, + connectionTimeoutMillis: pgsql.connectionTimeoutMillis, + // TimescaleDB 特有的超时设置：分析查询可能较慢 + statement_timeout: 30000, // 单条 SQL 最大执行 30s + // application_name 便于在 pg_stat_activity 中识别 + application_name: "trade-data", +}); + +// ============================================================ +// 2. 连接池事件监听（可观测性） +// ============================================================ + +/** 新客户端连接建立 */ +pool.on("connect", (client) => { + // 为每个连接设置 TimescaleDB 优化参数 + // 跳过 WAL 日志可加速批量写入（仅在可接受丢失最近几秒数据的场景） + // client.query("SET timescaledb.enable_skip_scan = ON"); + console.log(`[pg] 新连接建立 (total: ${pool.totalCount}, idle: ${pool.idleCount})`); +}); + +/** 从池中获取连接 */ +pool.on("acquire", () => { + // 连接池耗尽时会频繁触发，可在此记录高负载信号 +}); + +/** 连接归还池 */ +pool.on("remove", () => { + console.log(`[pg] 连接关闭 (total: ${pool.totalCount}, idle: ${pool.idleCount})`); +}); + +/** + * 空闲客户端出错（如网络中断、PG 重启）。 + * pg.Pool 会自动移除问题连接并创建新连接，此处仅记录日志。 + */ +pool.on("error", (err: Error) => { + console.error(`[pg] 连接池错误: ${err.message}`); + // 不退出进程——连接池会自动恢复 +}); + +// ============================================================ +// 3. 健康检查 +// ============================================================ + +/** + * 数据库连通性检查。 + * 执行轻量查询 `SELECT 1`，超时 5 秒。 + * + * @returns true 表示数据库可达 + */ +export async function healthCheck(): Promise { + try { + const client = await pool.connect(); + try { + await client.query("SELECT 1"); + return true; + } finally { + client.release(); + } + } catch { + return false; + } +} + +/** + * 深度健康检查：验证 TimescaleDB 扩展是否已安装。 + * 仅在首次连接或定期巡检时调用。 + * + * @returns TimescaleDB 版本字符串，未安装则返回 null + */ +export async function timescaleVersion(): Promise { + try { + const { rows } = await pool.query<{ extversion: string }>( + "SELECT extversion FROM pg_extension WHERE extname = 'timescaledb'", + ); + return rows[0]?.extversion ?? null; + } catch { + return null; + } +} + +// ============================================================ +// 4. 事务辅助 +// ============================================================ + +/** + * 在单连接上执行事务。 + * 自动 BEGIN / COMMIT / ROLLBACK，连接用完即释放。 + * + * @param fn - 事务体，接收 pg.PoolClient，返回 Promise + * @returns fn 的返回值 + * @throws 事务内任何异常都会触发 ROLLBACK 并向上抛出 + * + * @example + * const result = await withTransaction(async (client) => { + * await client.query("INSERT INTO ..."); + * await client.query("UPDATE ..."); + * return { success: true }; + * }); + */ +export async function withTransaction( + fn: (client: pg.PoolClient) => Promise, +): Promise { + const client = await pool.connect(); + try { + await client.query("BEGIN"); + const result = await fn(client); + await client.query("COMMIT"); + return result; + } catch (err) { + await client.query("ROLLBACK"); + throw err; + } finally { + client.release(); + } +} + +// ============================================================ +// 5. 优雅关闭 +// ============================================================ + +/** 是否正在关闭（防止重复调用） */ +let shuttingDown = false; + +/** + * 关闭连接池。 + * 先等待所有进行中的查询完成（drain），再断开所有连接。 + * + * 应在进程退出前调用：SIGTERM / SIGINT 处理器中。 + */ +export async function closePool(): Promise { + if (shuttingDown) { + return; + } + shuttingDown = true; + + console.log("[pg] 正在关闭连接池..."); + // pool.end() 等待所有活跃查询完成后关闭 + await pool.end(); + console.log("[pg] 连接池已关闭"); +} + +/** + * 注册进程信号处理器——优雅关闭。 + * 在应用入口调用一次即可。 + */ +export function registerShutdownHandlers(): void { + const shutdown = async (signal: string) => { + console.log(`[pg] 收到 ${signal} 信号，开始优雅关闭...`); + await closePool(); + process.exit(0); + }; + + process.once("SIGTERM", () => shutdown("SIGTERM")); + process.once("SIGINT", () => shutdown("SIGINT")); +} + +// ============================================================ +// 6. Schema 初始化（基于 data/schema/*.sql） +// ============================================================ + +/** + * 将 SQL 文本按语句拆分为独立命令。 + * 规则： + * - 按 `;` 分割 + * - 跳过空行和纯注释行 + * - 单个语句去除首尾空白后若为空则跳过 + * + * 注意：此方法假设 SQL 中 `;` 仅作为语句分隔符， + * 不含存储过程/函数体内的 `;`（schema/*.sql 满足此条件）。 + */ +function splitSQLStatements(sql: string): string[] { + const statements: string[] = []; + for (const raw of sql.split(";")) { + const trimmed = raw.trim(); + // 跳过空语句 + if (trimmed === "") { + continue; + } + // 跳过仅包含注释的行（已在上层过滤，此处兜底） + statements.push(trimmed); + } + return statements; +} + +/** + * 从单个 .sql 文件初始化 Schema。 + * 读取文件 → 拆分语句 → 逐条执行（同一连接，保证顺序）。 + * + * 所有 SQL 均使用 IF NOT EXISTS / ON CONFLICT DO NOTHING， + * 因此重复执行安全幂等。 + * + * @param filePath - SQL 文件的绝对路径 + * @returns 成功执行的语句数 + */ +export async function initSchemaFromFile(filePath: string): Promise { + const sql = readFileSync(filePath, "utf-8"); + + // 预处理：移除纯注释行（以 -- 开头），减少无效语句 + const lines = sql + .split("\n") + .filter((line: string) => { + const trimmed = line.trim(); + return trimmed !== "" && !trimmed.startsWith("--"); + }) + .join("\n"); + + const statements = splitSQLStatements(lines); + if (statements.length === 0) { + return 0; + } + + let executed = 0; + // 使用单连接执行所有语句，保证 DDL 顺序（如先建表再建索引） + const client = await pool.connect(); + try { + for (const stmt of statements) { + await client.query(stmt); + executed++; + } + } finally { + client.release(); + } + + return executed; +} + +/** + * 从 data/schema/ 目录初始化所有表结构。 + * + * 执行顺序（按文件名排序）： + * 1. klines.sql — K 线主表（hypertable）、索引、压缩、连续聚合 + * 2. config.sql — 配置表（monitored_symbols / exchange_config / app_config）+ 预置数据 + * + * Docker Compose 首次启动时，001_init.sql 已被自动执行。 + * 此函数作为补充，确保以下场景： + * - 裸 PostgreSQL 安装（非 Docker 部署） + * - 版本升级时需要新增表/索引 + * - 开发环境快速重置 Schema + * + * @param schemaDir - schema 目录路径，默认 ../schema（相对于本文件） + * @returns 各文件执行结果摘要 + */ +export async function initSchema(schemaDir?: string): Promise<{ + files: string[]; + totalStatements: number; + errors: string[]; +}> { + // 计算 schema 目录绝对路径（ESM 中 __dirname 不可用） + const __filename = fileURLToPath(import.meta.url); + const __dirname = dirname(__filename); + const dir = schemaDir ?? resolve(__dirname, "..", "schema"); + + const result = { files: [] as string[], totalStatements: 0, errors: [] as string[] }; + + // 读取目录，按文件名排序保证执行顺序（klines.sql 先于 config.sql） + let entries: string[]; + try { + entries = readdirSync(dir) + .filter((f: string) => f.endsWith(".sql")) + .sort(); // 字母序 + } catch { + result.errors.push(`无法读取 schema 目录: ${dir}`); + return result; + } + + // 手动排序：klines.sql 必须在 config.sql 之前（外键/引用依赖） + const klinesFirst = ["klines.sql", "config.sql"]; + entries.sort((a, b) => { + const ia = klinesFirst.indexOf(a); + const ib = klinesFirst.indexOf(b); + if (ia !== -1 && ib !== -1) return ia - ib; + if (ia !== -1) return -1; + if (ib !== -1) return 1; + return a.localeCompare(b); + }); + + for (const entry of entries) { + const filePath = resolve(dir, entry); + try { + const count = await initSchemaFromFile(filePath); + result.files.push(`${entry} (${count} 条)`); + result.totalStatements += count; + } catch (err) { + const msg = `${entry}: ${(err as Error).message}`; + result.errors.push(msg); + console.error(`[pg] Schema 初始化失败 — ${msg}`); + } + } + + if (result.errors.length === 0) { + console.log( + `[pg] Schema 初始化完成 — ${result.files.length} 个文件, ${result.totalStatements} 条语句`, + ); + } + + return result; +} + +/** + * 快速判断核心表是否已存在（轻量级检查，不做全量 Schema 验证）。 + * 仅在执行 initSchema() 前做一次探测，已存在则跳过。 + * + * @returns true 表示 klines 和 monitored_symbols 表均已存在 + */ +export async function isSchemaInitialized(): Promise { + try { + const { rows } = await pool.query<{ count: string }>(` + SELECT COUNT(*)::TEXT AS count + FROM information_schema.tables + WHERE table_schema = 'public' + AND table_name IN ('klines', 'monitored_symbols', 'exchange_config', 'app_config') + `); + // 4 张核心表全部存在 + return parseInt(rows[0]?.count ?? "0", 10) >= 4; + } catch { + return false; + } +} + +// ============================================================ +// 7. 默认导出（便于 import pool from "./db/pg"） +// ============================================================ + +export default pool; diff --git a/data/db/queries.ts b/data/db/queries.ts new file mode 100644 index 0000000..5ad4431 --- /dev/null +++ b/data/db/queries.ts @@ -0,0 +1,561 @@ +// ============================================================ +// schema/queries.ts — 类型安全的参数化 SQL 查询 +// ============================================================ +// 每一条 SQL 都使用 $1, $2... 参数化，防止 SQL 注入。 +// 返回类型与 types.ts 中的接口严格对应。 +// +// 使用方式： +// import { pool } from "../db"; +// import { queryEnabledSymbols } from "./schema/queries"; +// const result = await pool.query(queryEnabledSymbols, ["binance"]); +// // result.rows 自动推断为 MonitoredSymbolRow[] +// ============================================================ + +import type { + KlineInsert, + KlineRow, + AggregatedKlineRow, + MonitoredSymbolRow, + MonitoredSymbolInsert, + ExchangeConfigRow, + ExchangeConfigInsert, + AppConfigRow, + Exchange, + KlineInterval, + StreamKey, +} from "./types"; + +// ============================================================ +// K 线查询 — klines +// ============================================================ + +/** + * 批量插入 K 线（UPSERT — 冲突时更新 OHLCV） + * + * 使用 UNNEST 批量写入，单次可插入数千条，性能远优于逐条 INSERT。 + * 冲突策略：ON CONFLICT 时更新价格/成交量/闭合状态。 + */ +export const bulkUpsertKlines = ` + INSERT INTO klines ( + time, exchange, symbol, interval, + open, high, low, close, volume, + quote_volume, taker_buy_base_vol, taker_buy_quote_vol, + trade_count, is_closed + ) + SELECT * FROM UNNEST( + $1::TIMESTAMPTZ[], -- time[] + $2::TEXT[], -- exchange[] + $3::TEXT[], -- symbol[] + $4::TEXT[], -- interval[] + $5::NUMERIC(20,8)[], -- open[] + $6::NUMERIC(20,8)[], -- high[] + $7::NUMERIC(20,8)[], -- low[] + $8::NUMERIC(20,8)[], -- close[] + $9::NUMERIC(20,8)[], -- volume[] + $10::NUMERIC(20,8)[],-- quote_volume[] + $11::NUMERIC(20,8)[],-- taker_buy_base_vol[] + $12::NUMERIC(20,8)[],-- taker_buy_quote_vol[] + $13::INTEGER[], -- trade_count[] + $14::BOOLEAN[] -- is_closed[] + ) + ON CONFLICT (time, exchange, symbol, interval) DO UPDATE SET + open = EXCLUDED.open, + high = EXCLUDED.high, + low = EXCLUDED.low, + close = EXCLUDED.close, + volume = EXCLUDED.volume, + quote_volume = EXCLUDED.quote_volume, + taker_buy_base_vol = EXCLUDED.taker_buy_base_vol, + taker_buy_quote_vol = EXCLUDED.taker_buy_quote_vol, + trade_count = EXCLUDED.trade_count, + is_closed = EXCLUDED.is_closed, + updated_at = NOW() +`; + +/** 批量插入的参数类型：每个字段是一个数组 */ +export interface BulkKlineParams { + time: Date[]; + exchange: Exchange[]; + symbol: string[]; + interval: KlineInterval[]; + open: string[]; + high: string[]; + low: string[]; + close: string[]; + volume: string[]; + quote_volume: string[]; + taker_buy_base_vol: string[]; + taker_buy_quote_vol: string[]; + trade_count: number[]; + is_closed: boolean[]; +} + +/** 将 KlineInsert[] 拆解为 BulkKlineParams */ +export function packBulkKlines(rows: KlineInsert[]): BulkKlineParams { + const len = rows.length; + const params: BulkKlineParams = { + time: new Array(len), + exchange: new Array(len), + symbol: new Array(len), + interval: new Array(len), + open: new Array(len), + high: new Array(len), + low: new Array(len), + close: new Array(len), + volume: new Array(len), + quote_volume: new Array(len), + taker_buy_base_vol: new Array(len), + taker_buy_quote_vol: new Array(len), + trade_count: new Array(len), + is_closed: new Array(len), + }; + + for (let i = 0; i < len; i++) { + const r = rows[i]!; + params.time[i] = r.time; + params.exchange[i] = r.exchange; + params.symbol[i] = r.symbol; + params.interval[i] = r.interval; + params.open[i] = r.open; + params.high[i] = r.high; + params.low[i] = r.low; + params.close[i] = r.close; + params.volume[i] = r.volume; + params.quote_volume[i] = r.quote_volume ?? "0"; + params.taker_buy_base_vol[i] = r.taker_buy_base_vol ?? "0"; + params.taker_buy_quote_vol[i] = r.taker_buy_quote_vol ?? "0"; + params.trade_count[i] = r.trade_count ?? 0; + params.is_closed[i] = r.is_closed ?? true; + } + + return params; +} + +/** + * 查询原始 K 线（时间范围） + * 返回类型：KlineRow[] + */ +export const queryKlinesRange = ` + SELECT time, exchange, symbol, interval, + open, high, low, close, volume, + quote_volume, taker_buy_base_vol, taker_buy_quote_vol, + trade_count, is_closed, created_at, updated_at + FROM klines + WHERE exchange = $1 + AND symbol = $2 + AND interval = $3 + AND time >= $4 + AND time < $5 + ORDER BY time ASC +`; + +/** + * 查询最新 N 根 K 线 + * 返回类型：KlineRow[] + */ +export const queryKlinesLatest = ` + SELECT time, exchange, symbol, interval, + open, high, low, close, volume, + quote_volume, taker_buy_base_vol, taker_buy_quote_vol, + trade_count, is_closed, created_at, updated_at + FROM klines + WHERE exchange = $1 + AND symbol = $2 + AND interval = $3 + ORDER BY time DESC + LIMIT $4 +`; + +// ============================================================ +// 聚合 K 线查询 — klines_5m / 15m / 1h / 1d +// ============================================================ + +/** + * 查询聚合 K 线（动态视图名） + * + * @param viewName — "klines_5m" | "klines_15m" | "klines_1h" | "klines_1d" + * + * 注意：视图名已通过枚举约束，不存在注入风险（不使用用户输入拼接） + */ +export function queryAggregatedKlines( + viewName: "klines_5m" | "klines_15m" | "klines_1h" | "klines_1d", +) { + // 视图名来自代码常量，安全拼接 + return ` + SELECT time, exchange, symbol, interval, + open, high, low, close, volume, + quote_volume, taker_buy_base_vol, taker_buy_quote_vol, trade_count + FROM ${viewName} + WHERE exchange = $1 + AND symbol = $2 + AND time >= $3 + AND time < $4 + ORDER BY time ASC + `; +} + +// ============================================================ +// 监控交易对查询 — monitored_symbols +// ============================================================ + +/** + * 查询所有启用的监控标的（采集服务启动时调用） + * 返回类型：MonitoredSymbolRow[] + */ +export const queryEnabledSymbols = ` + SELECT id, exchange, symbol, interval, + enabled, priority, label, notes, + created_at, updated_at + FROM monitored_symbols + WHERE enabled = TRUE + ORDER BY exchange, priority DESC, symbol, interval +`; + +/** + * 查询指定交易所的监控标的 + * 返回类型：MonitoredSymbolRow[] + */ +export const querySymbolsByExchange = ` + SELECT id, exchange, symbol, interval, + enabled, priority, label, notes, + created_at, updated_at + FROM monitored_symbols + WHERE exchange = $1 + AND enabled = TRUE + ORDER BY priority DESC, symbol, interval +`; + +/** + * 插入监控标的（UPSERT） + */ +export const upsertMonitoredSymbol = ` + INSERT INTO monitored_symbols (exchange, symbol, interval, enabled, priority, label, notes) + VALUES ($1, $2, $3, $4, $5, $6, $7) + ON CONFLICT (exchange, symbol, interval) DO UPDATE SET + enabled = EXCLUDED.enabled, + priority = EXCLUDED.priority, + label = EXCLUDED.label, + notes = EXCLUDED.notes, + updated_at = NOW() + RETURNING id, exchange, symbol, interval, + enabled, priority, label, notes, + created_at, updated_at +`; + +/** + * 禁用监控标的（软删除） + */ +export const disableMonitoredSymbol = ` + UPDATE monitored_symbols + SET enabled = FALSE, updated_at = NOW() + WHERE exchange = $1 AND symbol = $2 AND interval = $3 + RETURNING id, exchange, symbol, interval +`; + +/** + * 按 ID 查询单个监控标的 + * 返回类型：MonitoredSymbolRow | null + */ +export const queryMonitoredSymbolById = ` + SELECT id, exchange, symbol, interval, + enabled, priority, label, notes, + created_at, updated_at + FROM monitored_symbols + WHERE id = $1 +`; + +/** + * 查询所有监控标的（含已禁用） + * 返回类型：MonitoredSymbolRow[] + */ +export const queryAllMonitoredSymbols = ` + SELECT id, exchange, symbol, interval, + enabled, priority, label, notes, + created_at, updated_at + FROM monitored_symbols + ORDER BY exchange, priority DESC, symbol, interval +`; + +/** + * 按唯一键 (exchange, symbol, interval) 查询监控标的 + * 返回类型：MonitoredSymbolRow | null + */ +export const queryMonitoredSymbolByKey = ` + SELECT id, exchange, symbol, interval, + enabled, priority, label, notes, + created_at, updated_at + FROM monitored_symbols + WHERE exchange = $1 AND symbol = $2 AND interval = $3 +`; + +/** + * 按 ID 删除监控标的（硬删除） + * 返回被删除记录的 id + */ +export const deleteMonitoredSymbol = ` + DELETE FROM monitored_symbols + WHERE id = $1 + RETURNING id +`; + +/** + * 按唯一键删除监控标的（硬删除） + * 返回被删除记录的 id + */ +export const deleteMonitoredSymbolByKey = ` + DELETE FROM monitored_symbols + WHERE exchange = $1 AND symbol = $2 AND interval = $3 + RETURNING id +`; + +/** + * 更新监控标的（部分字段） + * 仅更新传入的非 NULL 字段，自动更新 updated_at + */ +export const updateMonitoredSymbol = ` + UPDATE monitored_symbols + SET enabled = COALESCE($2, enabled), + priority = COALESCE($3, priority), + label = COALESCE($4, label), + notes = COALESCE($5, notes), + updated_at = NOW() + WHERE id = $1 + RETURNING id, exchange, symbol, interval, + enabled, priority, label, notes, + created_at, updated_at +`; + +// ============================================================ +// 交易所配置查询 — exchange_config +// ============================================================ + +/** + * 查询所有启用的交易所配置 + * 返回类型：ExchangeConfigRow[] + */ +export const queryEnabledExchanges = ` + SELECT id, exchange, + rest_url, ws_url, ws_ping_interval_ms, + rate_limit_per_sec, max_reconnect_attempts, reconnect_delay_ms, + enabled, notes, created_at, updated_at + FROM exchange_config + WHERE enabled = TRUE + ORDER BY exchange +`; + +/** + * 查询单个交易所配置 + * 返回类型：ExchangeConfigRow | null + */ +export const queryExchangeConfig = ` + SELECT id, exchange, + rest_url, ws_url, ws_ping_interval_ms, + rate_limit_per_sec, max_reconnect_attempts, reconnect_delay_ms, + enabled, notes, created_at, updated_at + FROM exchange_config + WHERE exchange = $1 +`; + +/** + * 插入/更新交易所配置（UPSERT） + */ +export const upsertExchangeConfig = ` + INSERT INTO exchange_config ( + exchange, rest_url, ws_url, ws_ping_interval_ms, + rate_limit_per_sec, max_reconnect_attempts, reconnect_delay_ms, + enabled, notes + ) + VALUES ($1, $2, $3, $4, $5, $6, $7, $8, $9) + ON CONFLICT (exchange) DO UPDATE SET + rest_url = EXCLUDED.rest_url, + ws_url = EXCLUDED.ws_url, + ws_ping_interval_ms = EXCLUDED.ws_ping_interval_ms, + rate_limit_per_sec = EXCLUDED.rate_limit_per_sec, + max_reconnect_attempts = EXCLUDED.max_reconnect_attempts, + reconnect_delay_ms = EXCLUDED.reconnect_delay_ms, + enabled = EXCLUDED.enabled, + notes = EXCLUDED.notes, + updated_at = NOW() + RETURNING id, exchange, + rest_url, ws_url, ws_ping_interval_ms, + rate_limit_per_sec, max_reconnect_attempts, reconnect_delay_ms, + enabled, notes, created_at, updated_at +`; + +/** + * 按 ID 查询交易所配置 + * 返回类型：ExchangeConfigRow | null + */ +export const queryExchangeConfigById = ` + SELECT id, exchange, + rest_url, ws_url, ws_ping_interval_ms, + rate_limit_per_sec, max_reconnect_attempts, reconnect_delay_ms, + enabled, notes, created_at, updated_at + FROM exchange_config + WHERE id = $1 +`; + +/** + * 查询所有交易所配置（含已禁用） + * 返回类型：ExchangeConfigRow[] + */ +export const queryAllExchangeConfigs = ` + SELECT id, exchange, + rest_url, ws_url, ws_ping_interval_ms, + rate_limit_per_sec, max_reconnect_attempts, reconnect_delay_ms, + enabled, notes, created_at, updated_at + FROM exchange_config + ORDER BY exchange +`; + +/** + * 按 ID 删除交易所配置（硬删除） + * 返回被删除记录的 id + */ +export const deleteExchangeConfig = ` + DELETE FROM exchange_config + WHERE id = $1 + RETURNING id +`; + +/** + * 按交易所标识删除配置（硬删除） + * 返回被删除记录的 id + */ +export const deleteExchangeConfigByExchange = ` + DELETE FROM exchange_config + WHERE exchange = $1 + RETURNING id +`; + +/** + * 更新交易所配置（部分字段） + * 仅更新传入的非 NULL 字段，自动更新 updated_at + */ +export const updateExchangeConfig = ` + UPDATE exchange_config + SET rest_url = COALESCE($2, rest_url), + ws_url = COALESCE($3, ws_url), + ws_ping_interval_ms = COALESCE($4, ws_ping_interval_ms), + rate_limit_per_sec = COALESCE($5, rate_limit_per_sec), + max_reconnect_attempts = COALESCE($6, max_reconnect_attempts), + reconnect_delay_ms = COALESCE($7, reconnect_delay_ms), + enabled = COALESCE($8, enabled), + notes = COALESCE($9, notes), + updated_at = NOW() + WHERE id = $1 + RETURNING id, exchange, + rest_url, ws_url, ws_ping_interval_ms, + rate_limit_per_sec, max_reconnect_attempts, reconnect_delay_ms, + enabled, notes, created_at, updated_at +`; + +// ============================================================ +// 全局配置查询 — app_config +// ============================================================ + +/** + * 查询所有应用配置 + * 返回类型：AppConfigRow[] + */ +export const queryAllAppConfig = ` + SELECT id, key, value, description, updated_at + FROM app_config + ORDER BY key +`; + +/** + * 查询单个配置项 + * 返回类型：AppConfigRow | null + */ +export const queryAppConfig = ` + SELECT id, key, value, description, updated_at + FROM app_config + WHERE key = $1 +`; + +/** + * 设置配置项（UPSERT） + */ +export const upsertAppConfig = ` + INSERT INTO app_config (key, value, description) + VALUES ($1, $2, $3) + ON CONFLICT (key) DO UPDATE SET + value = EXCLUDED.value, + description = EXCLUDED.description, + updated_at = NOW() + RETURNING id, key, value, description, updated_at +`; + +/** + * 按 ID 查询应用配置 + * 返回类型：AppConfigRow | null + */ +export const queryAppConfigById = ` + SELECT id, key, value, description, updated_at + FROM app_config + WHERE id = $1 +`; + +/** + * 按 key 删除应用配置（硬删除） + * 返回被删除记录的 id + */ +export const deleteAppConfig = ` + DELETE FROM app_config + WHERE key = $1 + RETURNING id +`; + +/** + * 按 ID 删除应用配置（硬删除） + * 返回被删除记录的 id + */ +export const deleteAppConfigById = ` + DELETE FROM app_config + WHERE id = $1 + RETURNING id +`; + +/** + * 更新应用配置值（部分字段） + * 仅更新传入的非 NULL 字段，自动更新 updated_at + */ +export const updateAppConfig = ` + UPDATE app_config + SET value = COALESCE($2, value), + description = COALESCE($3, description), + updated_at = NOW() + WHERE id = $1 + RETURNING id, key, value, description, updated_at +`; + +// ============================================================ +// 复合查询：采集服务启动加载项 +// ============================================================ + +/** + * 一次性加载所有启动配置： + * 1. 启用的监控标的列表 + * 2. 对应交易所的连接配置 + * + * 返回两表 JOIN 结果，供采集服务初始化 WebSocket 连接池。 + */ +export const queryStreamSubscriptions = ` + SELECT + m.exchange, + m.symbol, + m.interval, + m.priority, + e.rest_url, + e.ws_url, + e.ws_ping_interval_ms, + e.rate_limit_per_sec, + e.max_reconnect_attempts, + e.reconnect_delay_ms + FROM monitored_symbols m + JOIN exchange_config e ON m.exchange = e.exchange + WHERE m.enabled = TRUE + AND e.enabled = TRUE + ORDER BY m.exchange, m.priority DESC, m.symbol, m.interval +`; diff --git a/data/db/types.ts b/data/db/types.ts new file mode 100644 index 0000000..ed939df --- /dev/null +++ b/data/db/types.ts @@ -0,0 +1,249 @@ +// ============================================================ +// schema/types.ts — PostgreSQL 表对应的 TypeScript 类型定义 +// ============================================================ +// 与 data/schema/*.sql 中的表结构一一对应 +// +// 类型约定： +// NUMERIC(20,8) → string （保留精度，避免 IEEE 754 浮点误差） +// TIMESTAMPTZ → Date （pg 默认解析为 Date） +// SERIAL / INT → number +// SMALLINT → number +// REAL → number +// BOOLEAN → boolean +// ============================================================ + +// ============================================================ +// 联合类型：约束 TEXT 字段的合法值 +// ============================================================ + +/** 支持的交易所标识 */ +export type Exchange = "binance" | "okx" | "bybit"; + +/** K 线周期（原始 1m + 聚合派生） */ +export type KlineInterval = "1m" | "5m" | "15m" | "1h" | "4h" | "1d"; + +/** 日志级别 */ +export type LogLevel = "trace" | "debug" | "info" | "warn" | "error" | "fatal"; + +// ============================================================ +// 1. K 线主表 — klines +// ============================================================ + +/** klines 表完整行类型 */ +export interface KlineRow { + /** K 线开盘时间（UTC） */ + time: Date; + /** 交易所 */ + exchange: Exchange; + /** 交易对，如 BTCUSDT */ + symbol: string; + /** K 线周期 */ + interval: KlineInterval; + /** 开盘价 */ + open: string; + /** 最高价 */ + high: string; + /** 最低价 */ + low: string; + /** 收盘价 */ + close: string; + /** 成交量（基准币种） */ + volume: string; + /** 成交额（计价币种） */ + quote_volume: string; + /** 主动买入量（基准币种） */ + taker_buy_base_vol: string; + /** 主动买入额（计价币种） */ + taker_buy_quote_vol: string; + /** 成交笔数 */ + trade_count: number; + /** K 线是否已闭合 */ + is_closed: boolean; + /** 记录创建时间 */ + created_at: Date; + /** 记录更新时间 */ + updated_at: Date; +} + +/** klines 表插入类型（省略自动生成的元数据列） */ +export interface KlineInsert { + time: Date; + exchange: Exchange; + symbol: string; + interval: KlineInterval; + open: string; + high: string; + low: string; + close: string; + volume: string; + quote_volume?: string; + taker_buy_base_vol?: string; + taker_buy_quote_vol?: string; + trade_count?: number; + is_closed?: boolean; +} + +// ============================================================ +// 2. 连续聚合视图 — klines_5m / klines_15m / klines_1h / klines_1d +// ============================================================ + +/** 聚合 K 线通用类型（OHLCV，无扩展字段） */ +export interface AggregatedKlineRow { + time: Date; + exchange: Exchange; + symbol: string; + interval: KlineInterval; + open: string; + high: string; + low: string; + close: string; + volume: string; + quote_volume: string; + taker_buy_base_vol: string; + taker_buy_quote_vol: string; + trade_count: number; +} + +// ============================================================ +// 3. 监控交易对配置 — monitored_symbols +// ============================================================ + +/** monitored_symbols 表完整行类型 */ +export interface MonitoredSymbolRow { + /** 自增主键 */ + id: number; + /** 交易所 */ + exchange: Exchange; + /** 交易对 */ + symbol: string; + /** K 线周期 */ + interval: KlineInterval; + /** 是否启用采集 */ + enabled: boolean; + /** 优先级（0-32767，越大越优先） */ + priority: number; + /** 人类可读标签 */ + label: string | null; + /** 备注 */ + notes: string | null; + /** 创建时间 */ + created_at: Date; + /** 更新时间 */ + updated_at: Date; +} + +/** monitored_symbols 插入类型 */ +export interface MonitoredSymbolInsert { + exchange: Exchange; + symbol: string; + interval: KlineInterval; + enabled?: boolean; + priority?: number; + label?: string | null; + notes?: string | null; +} + +/** monitored_symbols 更新类型（所有字段可选） */ +export interface MonitoredSymbolUpdate { + enabled?: boolean; + priority?: number; + label?: string | null; + notes?: string | null; +} + +// ============================================================ +// 4. 交易所连接配置 — exchange_config +// ============================================================ + +/** exchange_config 表完整行类型 */ +export interface ExchangeConfigRow { + /** 自增主键 */ + id: number; + /** 交易所标识（唯一） */ + exchange: Exchange; + /** REST API 基础 URL（null = 使用 SDK 默认值） */ + rest_url: string | null; + /** WebSocket 基础 URL（null = 使用 SDK 默认值） */ + ws_url: string | null; + /** 心跳间隔（毫秒） */ + ws_ping_interval_ms: number; + /** 每秒最大请求数 */ + rate_limit_per_sec: number; + /** 最大重连次数 */ + max_reconnect_attempts: number; + /** 重连延迟基数（毫秒） */ + reconnect_delay_ms: number; + /** 是否启用该交易所 */ + enabled: boolean; + /** 备注 */ + notes: string | null; + /** 创建时间 */ + created_at: Date; + /** 更新时间 */ + updated_at: Date; +} + +/** exchange_config 插入类型 */ +export interface ExchangeConfigInsert { + exchange: Exchange; + rest_url?: string | null; + ws_url?: string | null; + ws_ping_interval_ms?: number; + rate_limit_per_sec?: number; + max_reconnect_attempts?: number; + reconnect_delay_ms?: number; + enabled?: boolean; + notes?: string | null; +} + +// ============================================================ +// 5. 全局应用配置 — app_config +// ============================================================ + +/** app_config 表完整行类型 */ +export interface AppConfigRow { + /** 自增主键 */ + id: number; + /** 配置键 */ + key: string; + /** 配置值（统一存储为字符串） */ + value: string; + /** 说明 */ + description: string | null; + /** 更新时间 */ + updated_at: Date; +} + +/** 已知的 app_config 键名 */ +export type AppConfigKey = + | "batch_size" + | "flush_interval_ms" + | "log_level" + | "redis_publish_enabled"; + +// ============================================================ +// 6. 业务聚合类型 +// ============================================================ + +/** + * 唯一标识一个 K 线流 + * 对应 klines / monitored_symbols 的 (exchange, symbol, interval) 组合 + */ +export interface StreamKey { + exchange: Exchange; + symbol: string; + interval: KlineInterval; +} + +/** + * 采集服务启动时加载的完整订阅配置 + * = monitored_symbols JOIN exchange_config + */ +export interface StreamSubscription { + /** 流标识 */ + streamKey: StreamKey; + /** 优先级 */ + priority: number; + /** 连接配置 */ + exchangeConfig: ExchangeConfigRow; +} diff --git a/data/db/validators.ts b/data/db/validators.ts new file mode 100644 index 0000000..35c6c39 --- /dev/null +++ b/data/db/validators.ts @@ -0,0 +1,245 @@ +// ============================================================ +// schema/validators.ts — Zod 运行时校验 Schema +// ============================================================ +// 用途： +// 1. WebSocket 行情数据到达后校验字段完整性再入库 +// 2. 配置文件 / 环境变量加载后类型收窄 +// 3. API 输入参数校验 +// +// 依赖：zod ^4.x（已包含在 data/package.json） +// ============================================================ + +import { z } from "zod"; + +// ============================================================ +// 基础标量 Schema +// ============================================================ + +/** 交易所枚举 */ +export const ExchangeSchema = z.enum(["binance", "okx", "bybit"]); +export type Exchange = z.infer; + +/** K 线周期枚举 */ +export const KlineIntervalSchema = z.enum([ + "1m", + "5m", + "15m", + "1h", + "4h", + "1d", +]); +export type KlineInterval = z.infer; + +/** 日志级别 */ +export const LogLevelSchema = z.enum([ + "trace", + "debug", + "info", + "warn", + "error", + "fatal", +]); + +/** 交易对格式：大写字母 + 大写字母（如 BTCUSDT），3-12 字符 */ +export const SymbolSchema = z + .string() + .regex(/^[A-Z0-9]{4,14}$/, "交易对格式无效，示例：BTCUSDT"); + +/** + * NUMERIC(20,8) 数值字符串 + * pg 驱动默认以字符串返回 NUMERIC 以保留精度 + */ +export const NumericStringSchema = z + .string() + .regex(/^-?\d+(\.\d+)?$/, "期望 NUMERIC 字符串"); + +// ============================================================ +// 1. Kline 数据校验 — klines 表 +// ============================================================ + +/** WebSocket 原始 OHLCV 消息校验（单条 K 线，入库前） */ +export const KlineRawSchema = z.object({ + /** K 线开盘时间（UTC），Unix 毫秒时间戳 */ + time: z.number().int().positive(), + /** 交易所 */ + exchange: ExchangeSchema, + /** 交易对 */ + symbol: SymbolSchema, + /** 周期 */ + interval: KlineIntervalSchema, + /** 开盘价 */ + open: NumericStringSchema, + /** 最高价 */ + high: NumericStringSchema, + /** 最低价 */ + low: NumericStringSchema, + /** 收盘价 */ + close: NumericStringSchema, + /** 成交量 */ + volume: NumericStringSchema, + /** 成交额（可选） */ + quote_volume: NumericStringSchema.optional().default("0"), + /** 主动买入量（可选） */ + taker_buy_base_vol: NumericStringSchema.optional().default("0"), + /** 主动买入额（可选） */ + taker_buy_quote_vol: NumericStringSchema.optional().default("0"), + /** 成交笔数（可选） */ + trade_count: z.number().int().nonnegative().optional().default(0), + /** K 线是否闭合 */ + is_closed: z.boolean().optional().default(true), +}); + +export type KlineRaw = z.infer; + +/** 批量 K 线消息校验（WebSocket 可能一次推送多根） */ +export const KlineBatchSchema = z.array(KlineRawSchema).min(1); + +export type KlineBatch = z.infer; + +// ============================================================ +// 2. 监控交易对配置校验 — monitored_symbols +// ============================================================ + +/** 插入监控标的 */ +export const MonitoredSymbolInsertSchema = z.object({ + exchange: ExchangeSchema, + symbol: SymbolSchema, + interval: KlineIntervalSchema, + enabled: z.boolean().optional().default(true), + /** 优先级 0-32767（SMALLINT 范围） */ + priority: z + .number() + .int() + .min(0) + .max(32767) + .optional() + .default(0), + label: z.string().max(200).nullable().optional().default(null), + notes: z.string().max(1000).nullable().optional().default(null), +}); + +export type MonitoredSymbolInsert = z.infer< + typeof MonitoredSymbolInsertSchema +>; + +/** 更新监控标的 */ +export const MonitoredSymbolUpdateSchema = z.object({ + enabled: z.boolean().optional(), + priority: z.number().int().min(0).max(32767).optional(), + label: z.string().max(200).nullable().optional(), + notes: z.string().max(1000).nullable().optional(), +}); + +export type MonitoredSymbolUpdate = z.infer< + typeof MonitoredSymbolUpdateSchema +>; + +// ============================================================ +// 3. 交易所连接配置校验 — exchange_config +// ============================================================ + +/** 交易所连接配置输入 */ +export const ExchangeConfigInsertSchema = z.object({ + exchange: ExchangeSchema, + rest_url: z.string().url().nullable().optional().default(null), + ws_url: z.string().url().nullable().optional().default(null), + ws_ping_interval_ms: z + .number() + .int() + .min(5000) + .max(300000) + .optional() + .default(30000), + rate_limit_per_sec: z.number().positive().max(100).optional().default(20), + max_reconnect_attempts: z + .number() + .int() + .min(0) + .max(100) + .optional() + .default(10), + reconnect_delay_ms: z + .number() + .int() + .min(100) + .max(60000) + .optional() + .default(3000), + enabled: z.boolean().optional().default(true), + notes: z.string().max(500).nullable().optional().default(null), +}); + +export type ExchangeConfigInsert = z.infer< + typeof ExchangeConfigInsertSchema +>; + +// ============================================================ +// 4. 流标识校验 — StreamKey +// ============================================================ + +/** (exchange, symbol, interval) 三元组 */ +export const StreamKeySchema = z.object({ + exchange: ExchangeSchema, + symbol: SymbolSchema, + interval: KlineIntervalSchema, +}); + +export type StreamKey = z.infer; + +// ============================================================ +// 5. 环境变量 / 配置校验 +// ============================================================ + +/** .env 环境变量 schema */ +export const EnvConfigSchema = z.object({ + /** 逗号分隔的交易对列表 */ + SYMBOLS: z + .string() + .optional() + .default("BTCUSDT,ETHUSDT"), + DB_HOST: z.string().optional().default("localhost"), + DB_PORT: z.coerce.number().int().positive().optional().default(5432), + DB_NAME: z.string().optional().default("trade"), + DB_USER: z.string().optional().default("trader"), + DB_PASSWORD: z.string().optional().default("changeme"), + REDIS_URL: z.string().url().optional().default("redis://localhost:6379"), + REDIS_PUBLISH_ENABLED: z + .enum(["true", "false"]) + .optional() + .default("true"), + BATCH_SIZE: z.coerce.number().int().positive().optional().default(500), + FLUSH_INTERVAL_MS: z.coerce + .number() + .int() + .positive() + .optional() + .default(1000), + /** WebSocket 断线重连延迟基数（毫秒） */ + WS_RECONNECT_DELAY_MS: z.coerce + .number() + .int() + .positive() + .optional() + .default(3000), + /** WebSocket 心跳间隔（毫秒） */ + WS_PING_INTERVAL_MS: z.coerce + .number() + .int() + .positive() + .optional() + .default(30000), + /** WebSocket 最大重连次数 */ + WS_MAX_RECONNECT_ATTEMPTS: z.coerce + .number() + .int() + .nonnegative() + .optional() + .default(10), + LOG_LEVEL: LogLevelSchema.optional().default("info"), + NODE_ENV: z + .enum(["development", "production", "test"]) + .optional() + .default("development"), +}); + +export type EnvConfig = z.infer; diff --git a/data/exchanges/binance.ts b/data/exchanges/binance.ts new file mode 100644 index 0000000..f474a9c --- /dev/null +++ b/data/exchanges/binance.ts @@ -0,0 +1,395 @@ +// ============================================================ +// exchanges/binance.ts — 通用交易所 WebSocket 行情采集类 +// ============================================================ +// 基于 ccxt.pro 实现，不限于 Binance，支持任意 ccxt 支持的交易所。 +// 构造即启动：传入交易所 ID + 交易对列表，自动开始 WebSocket 监听。 +// +// 使用方式： +// import { ExchangeWs } from "./exchanges/binance"; +// const ws = new ExchangeWs({ +// exchangeId: "binance", +// symbols: ["BTCUSDT", "ETHUSDT"], +// interval: "1m", +// }); +// ws.on("kline", (data) => console.log(data)); +// ============================================================ + +import ccxt from "ccxt"; +import { EventEmitter } from "node:events"; + +import type { + KlineWsData, + ExchangeWsConfig, + WsConnectionState, +} from "./types"; + +// ============================================================ +// 内部类型：ccxt pro 交易所实例的最小接口 +// ============================================================ +// 避免直接依赖 ccxt 内部类型（不同版本导出签名差异大）， +// 仅声明本类实际调用的方法签名。 + +/** ccxt OHLCV 数组：[timestamp_ms, open, high, low, close, volume] */ +type OHLCVCandle = [number, number, number, number, number, number]; + +/** ccxt.pro 交易所实例的最小接口 */ +interface IProExchange { + watchOHLCV(symbol: string, timeframe: string): Promise; + close(): Promise; +} + +// ============================================================ +// 类型声明：为 EventEmitter 添加严格的事件签名 +// ============================================================ + +export declare interface ExchangeWs { + /** 新 K 线数据到达（含实时更新和闭合 K 线） */ + on(event: "kline", listener: (data: KlineWsData) => void): this; + /** WebSocket 错误（非致命，单 symbol 出错不影响其他） */ + on(event: "error", listener: (error: ExchangeWsError) => void): this; + /** 连接状态变更 */ + on( + event: "stateChange", + listener: (state: WsConnectionState, exchangeId: string) => void, + ): this; + /** 单个 symbol 的 watch 循环已启动 */ + on( + event: "symbolReady", + listener: (symbol: string, interval: string) => void, + ): this; + /** 所有 symbols 已进入监听状态 */ + on(event: "ready", listener: () => void): this; +} + +/** 带 symbol 上下文的错误类型 */ +export class ExchangeWsError extends Error { + symbol: string; + exchangeId: string; + constructor(message: string, exchangeId: string, symbol: string) { + super(message); + this.name = "ExchangeWsError"; + this.exchangeId = exchangeId; + this.symbol = symbol; + } +} + +// ============================================================ +// ExchangeWs — 主类 +// ============================================================ + +export class ExchangeWs extends EventEmitter { + // ---- 配置 ---- + private readonly exchangeId: string; + private readonly symbols: string[]; + private readonly interval: string; + private readonly ccxtOptions: Record; + + // ---- 运行时状态 ---- + private exchange: IProExchange | null = null; + private state: WsConnectionState = "idle"; + private abortController: AbortController | null = null; + /** 每个 symbol 一条 watch 循环 */ + private watchTasks: Promise[] = []; + /** 已成功启动监听的 symbol 集合 */ + private readonly readySymbols = new Set(); + + // ============================================================ + // 构造器：传入参数，自动启动 WebSocket 监听 + // ============================================================ + + /** + * @param config.exchangeId - 交易所 ID（binance / okx / bybit / …） + * @param config.symbols - 要订阅的交易对列表 + * @param config.interval - K 线周期，默认 '1m' + * @param config.ccxtOptions - 传递给 ccxt.pro 交易所构造器的额外选项 + * + * 构造完成后 WebSocket 连接立即在后台启动， + * 监听 'ready' 事件确认全部就绪，或 'kline' 事件接收数据。 + */ + constructor(config: ExchangeWsConfig) { + super(); + + // 参数校验 + if (!config.symbols || config.symbols.length === 0) { + throw new Error("symbols 不能为空"); + } + + this.exchangeId = config.exchangeId; + this.symbols = [...config.symbols]; // 防御性拷贝 + this.interval = config.interval ?? "1m"; + this.ccxtOptions = config.ccxtOptions ?? {}; + + // 构造即启动（fire-and-forget，错误通过 'error' 事件抛出） + this.start().catch((err) => { + this.emit( + "error", + new ExchangeWsError( + `启动失败: ${(err as Error).message}`, + this.exchangeId, + "ALL", + ), + ); + }); + } + + // ============================================================ + // 公开方法 + // ============================================================ + + /** 获取当前连接状态 */ + getState(): WsConnectionState { + return this.state; + } + + /** 获取已就绪的 symbol 列表 */ + getReadySymbols(): string[] { + return [...this.readySymbols]; + } + + /** + * 动态添加交易对（已监听的 symbol 会被忽略） + * 可在运行时增删监控标的，无需重启整个连接 + */ + async addSymbols(newSymbols: string[]): Promise { + const toAdd = newSymbols.filter((s) => !this.readySymbols.has(s)); + if (toAdd.length === 0) { + return; + }; + + for (const symbol of toAdd) { + this.symbols.push(symbol); + const task = this.watchSymbol(symbol); + this.watchTasks.push(task); + } + } + + /** + * 停止 WebSocket 监听并释放资源 + * 调用后实例不可复用，需重新 new + */ + async close(): Promise { + // 1. 取消所有 watch 循环 + this.abortController?.abort(); + + // 2. 等待所有 watch 循环退出 + await Promise.allSettled(this.watchTasks); + + // 3. 关闭 ccxt 交易所连接 + if (this.exchange) { + try { + await this.exchange.close(); + } catch { + // 忽略关闭时的错误 + } + this.exchange = null; + } + + this.setState("disconnected"); + this.removeAllListeners(); + } + + // ============================================================ + // 内部方法 + // ============================================================ + + /** 异步启动：初始化 ccxt 实例并为每个 symbol 启动 watch 循环 */ + private async start(): Promise { + this.abortController = new AbortController(); + this.setState("connecting"); + + // 1. 创建 ccxt.pro 交易所实例 + this.exchange = this.createExchange(); + + // 2. 为每个 symbol 启动独立的 watch 循环 + this.watchTasks = this.symbols.map((symbol) => this.watchSymbol(symbol)); + + // 3. 等待任意 symbol 就绪（或全部失败） + try { + await this.waitForAnyReady(); + this.setState("connected"); + this.emit("ready"); + } catch { + this.setState("error"); + this.emit( + "error", + new ExchangeWsError("所有 symbol 连接失败", this.exchangeId, "ALL"), + ); + } + } + + /** 创建 ccxt.pro 交易所实例 */ + private createExchange(): IProExchange { + // 动态获取 ccxt.pro[exchangeId] 构造器 + const ccxtAny = ccxt as unknown as Record; + const proNamespace = ccxtAny.pro as + | Record) => IProExchange> + | undefined; + + if (!proNamespace || typeof proNamespace !== "object") { + throw new Error( + "ccxt.pro 不可用，请确认 ccxt 版本 >= 4.0 且已安装 pro 支持", + ); + } + + const ProExchange = proNamespace[this.exchangeId]; + + if (!ProExchange) { + throw new Error( + `不支持的交易所: ${this.exchangeId}，可用: ${Object.keys(proNamespace).join(", ")}`, + ); + } + + return new ProExchange({ + enableRateLimit: true, + ...this.ccxtOptions, + }); + } + + /** 单个 symbol 的 watch 循环 */ + private async watchSymbol(symbol: string): Promise { + const signal = this.abortController!.signal; + + // 带退避的重连循环 + let consecutiveErrors = 0; + const maxBackoff = 30000; // 最大退避 30s + + while (!signal.aborted) { + try { + // 检查是否已取消 + if (signal.aborted) break; + + // watchOHLCV 返回 Promise，在新数据到达时 resolve + // ccxt 返回格式：[timestamp_ms, open, high, low, close, volume] + const candles = await this.exchange!.watchOHLCV( + symbol, + this.interval, + ); + + // 重置错误计数（成功获取数据） + consecutiveErrors = 0; + + // 标记该 symbol 已就绪 + if (!this.readySymbols.has(symbol)) { + this.readySymbols.add(symbol); + this.emit("symbolReady", symbol, this.interval); + } + + // 处理返回的 K 线数据 + this.processCandles(symbol, candles); + } catch (err) { + if (signal.aborted) break; + + consecutiveErrors++; + const delay = Math.min(1000 * 2 ** consecutiveErrors, maxBackoff); + + this.emit( + "error", + new ExchangeWsError( + `[${symbol}] ${(err as Error).message}，${delay / 1000}s 后重试 (第 ${consecutiveErrors} 次)`, + this.exchangeId, + symbol, + ), + ); + + // 指数退避等待（可被 abort 中断） + await this.sleep(delay, signal); + } + } + } + + /** 处理 ccxt watchOHLCV 返回的原始数据 */ + private processCandles(symbol: string, candles: OHLCVCandle[]): void { + // candles 是完整的 OHLCV 数组，最后一条是最新数据 + // ccxt 会返回增量更新，通常只包含新增的 candle + for (const candle of candles) { + // ccxt OHLCV 格式：[timestamp_ms, open, high, low, close, volume] + if (!Array.isArray(candle) || candle.length < 6) { + continue; + }; + + const data: KlineWsData = { + exchange: this.exchangeId, + symbol, + interval: this.interval, + time: candle[0], + open: candle[1], + high: candle[2], + low: candle[3], + close: candle[4], + volume: candle[5], + }; + + this.emit("kline", data); + } + } + + /** 等待至少一个 symbol 就绪（或超时/全部失败） */ + private async waitForAnyReady(): Promise { + return new Promise((resolve, reject) => { + let resolved = false; + + const onReady = () => { + if (!resolved) { + resolved = true; + cleanup(); + resolve(); + } + }; + + const onError = (err: ExchangeWsError) => { + // 仅在所有 symbol 都失败时 reject + if (!resolved && err.symbol === "ALL") { + resolved = true; + cleanup(); + reject(err); + } + }; + + const cleanup = () => { + this.off("symbolReady", onReady); + this.off("error", onError); + }; + + this.once("symbolReady", onReady); + this.once("error", onError); + + // 超时保护（30 秒） + setTimeout(() => { + if (!resolved) { + resolved = true; + cleanup(); + reject( + new ExchangeWsError("连接超时（30s）", this.exchangeId, "ALL"), + ); + } + }, 30000); + }); + } + + /** 带 AbortSignal 的 sleep */ + private sleep(ms: number, signal: AbortSignal): Promise { + return new Promise((resolve) => { + if (signal.aborted) { + resolve(); + return; + } + const timer = setTimeout(resolve, ms); + signal.addEventListener( + "abort", + () => { + clearTimeout(timer); + resolve(); + }, + { once: true }, + ); + }); + } + + /** 更新状态并发出事件 */ + private setState(newState: WsConnectionState): void { + if (this.state !== newState) { + this.state = newState; + this.emit("stateChange", newState, this.exchangeId); + } + } +} diff --git a/data/exchanges/types.ts b/data/exchanges/types.ts new file mode 100644 index 0000000..87ed617 --- /dev/null +++ b/data/exchanges/types.ts @@ -0,0 +1,45 @@ +// ============================================================ +// exchanges/types.ts — WebSocket 事件数据类型 +// ============================================================ + +/** 由 WebSocket 推送的单根 K 线数据 */ +export interface KlineWsData { + /** 交易所标识 */ + exchange: string; + /** 交易对，如 BTCUSDT */ + symbol: string; + /** K 线周期，如 1m / 1h / 1d */ + interval: string; + /** K 线开盘时间（Unix 毫秒时间戳） */ + time: number; + /** 开盘价 */ + open: number; + /** 最高价 */ + high: number; + /** 最低价 */ + low: number; + /** 收盘价 */ + close: number; + /** 成交量（基准币种） */ + volume: number; +} + +/** ExchangeWs 构造参数 */ +export interface ExchangeWsConfig { + /** 交易所 ID，ccxt 支持的所有交易所标识 */ + exchangeId: string; + /** 要订阅的交易对列表，如 ['BTCUSDT', 'ETHUSDT'] */ + symbols: string[]; + /** K 线周期，默认 '1m' */ + interval?: string; + /** 传递给 ccxt.pro 交易所实例的额外选项（如 agent、apiKey 等） */ + ccxtOptions?: Record; +} + +/** ExchangeWs 连接状态 */ +export type WsConnectionState = + | "idle" // 尚未启动 + | "connecting" // 正在连接 WebSocket + | "connected" // 已连接，正在接收数据 + | "disconnected" // 已断开 + | "error"; // 错误状态 diff --git a/data/init-db/001_init.sql b/data/init-db/001_init.sql index 3bab82d..eab99de 100644 --- a/data/init-db/001_init.sql +++ b/data/init-db/001_init.sql @@ -221,7 +221,7 @@ ALTER MATERIALIZED VIEW klines_1d SET (timescaledb.compress = true); -- ============================================================ DO $$ BEGIN - RAISE NOTICE 'TimescaleDB initialization complete.'; + 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'; diff --git a/data/init-db/002_config.sql b/data/init-db/002_config.sql new file mode 100644 index 0000000..550438b --- /dev/null +++ b/data/init-db/002_config.sql @@ -0,0 +1,136 @@ +-- ============================================================ +-- 002_config.sql — 配置表初始化 +-- ============================================================ +-- Docker Compose 首次启动时在 001_init.sql 之后自动执行 +-- 挂载路径：./data/init-db:/docker-entrypoint-initdb.d +-- 执行顺序：按文件名排序（001 → 002） +-- ============================================================ + +-- ============================================================ +-- 1. monitored_symbols — 监控交易对配置 +-- ============================================================ +-- 用途：声明数据采集模块需要订阅哪些交易对的 K 线流 +-- 消费方：WebSocket 行情采集服务启动时读取此表决定订阅列表 +CREATE TABLE IF NOT EXISTS monitored_symbols ( + id SERIAL PRIMARY KEY, + + -- ---- 标识维度（与 klines 表对齐） ---- + exchange TEXT NOT NULL, -- 交易所：binance / okx / bybit + symbol TEXT NOT NULL, -- 交易对：BTCUSDT / ETHUSDT + interval TEXT NOT NULL, -- K 线周期：1m / 5m / 15m / 1h / 4h / 1d + + -- ---- 控制字段 ---- + enabled BOOLEAN NOT NULL DEFAULT TRUE, -- 是否启用采集 + priority SMALLINT NOT NULL DEFAULT 0, -- 优先级（数值越大越优先，用于限频时取舍） + + -- ---- 备注 ---- + label TEXT, -- 人类可读标签，如 "BTC/USDT 1分钟线" + notes TEXT, -- 备注说明 + + -- ---- 元数据 ---- + created_at TIMESTAMPTZ NOT NULL DEFAULT NOW(), + updated_at TIMESTAMPTZ NOT NULL DEFAULT NOW(), + + -- 同一 (exchange, symbol, interval) 组合不可重复 + UNIQUE (exchange, symbol, interval) +); + +-- 索引：按启用状态快速筛选 +CREATE INDEX IF NOT EXISTS idx_monitored_symbols_enabled + ON monitored_symbols (enabled, exchange, priority DESC); + +-- 索引：按交易对查找所有周期 +CREATE INDEX IF NOT EXISTS idx_monitored_symbols_symbol + ON monitored_symbols (symbol, interval); + +-- ============================================================ +-- 2. exchange_config — 交易所连接配置 +-- ============================================================ +-- 用途：存储各交易所的 API 端点、限频参数等连接级配置 +-- ⚠️ 安全提醒：API Key/Secret 不应明文存储于此表， +-- 建议通过环境变量或 Vault 注入，此表仅存非敏感参数 +CREATE TABLE IF NOT EXISTS exchange_config ( + id SERIAL PRIMARY KEY, + + -- ---- 交易所标识 ---- + exchange TEXT NOT NULL UNIQUE, -- 交易所：binance / okx / bybit + + -- ---- 连接参数 ---- + rest_url TEXT, -- REST API 基础 URL（留空则用 SDK 默认值） + ws_url TEXT, -- WebSocket 基础 URL（留空则用 SDK 默认值） + ws_ping_interval_ms INTEGER NOT NULL DEFAULT 30000, -- 心跳间隔（毫秒） + + -- ---- 限频控制 ---- + rate_limit_per_sec REAL NOT NULL DEFAULT 20.0, -- 每秒最大请求数 + max_reconnect_attempts INT NOT NULL DEFAULT 10, -- 最大重连次数 + reconnect_delay_ms INT NOT NULL DEFAULT 3000, -- 重连延迟基数（指数退避） + + -- ---- 开关 ---- + enabled BOOLEAN NOT NULL DEFAULT TRUE, -- 是否启用该交易所 + + -- ---- 备注 ---- + notes TEXT, + + -- ---- 元数据 ---- + created_at TIMESTAMPTZ NOT NULL DEFAULT NOW(), + updated_at TIMESTAMPTZ NOT NULL DEFAULT NOW() +); + +-- ============================================================ +-- 3. app_config — 全局应用配置（Key-Value） +-- ============================================================ +-- 用途：存储不适合硬编码的运行时参数，如批量写入阈值 +CREATE TABLE IF NOT EXISTS app_config ( + id SERIAL PRIMARY KEY, + key TEXT NOT NULL UNIQUE, -- 配置键 + value TEXT NOT NULL, -- 配置值（统一存为文本，消费方自行解析类型） + description TEXT, -- 说明 + updated_at TIMESTAMPTZ NOT NULL DEFAULT NOW() +); + +-- 默认配置项（仅首次插入，已存在则跳过） +INSERT INTO app_config (key, value, description) VALUES + ('batch_size', '500', '批量写入缓冲区条数阈值'), + ('flush_interval_ms', '1000', '缓冲区最大等待时间（毫秒）'), + ('log_level', 'info', '日志级别：trace / debug / info / warn / error'), + ('redis_publish_enabled', 'true', '是否启用 Redis 发布') +ON CONFLICT (key) DO NOTHING; + +-- ============================================================ +-- 4. 预置种子数据 +-- ============================================================ + +-- 预置 Binance 主力交易对监控配置（仅首次插入） +INSERT INTO monitored_symbols (exchange, symbol, interval, enabled, priority, label) VALUES + -- Binance 主力交易对 — 1m + ('binance', 'BTCUSDT', '1m', TRUE, 10, 'BTC/USDT 1分钟线'), + ('binance', 'ETHUSDT', '1m', TRUE, 9, 'ETH/USDT 1分钟线'), + ('binance', 'SOLUSDT', '1m', TRUE, 8, 'SOL/USDT 1分钟线'), + ('binance', 'BNBUSDT', '1m', TRUE, 7, 'BNB/USDT 1分钟线'), + + -- Binance 主力交易对 — 1h（策略用） + ('binance', 'BTCUSDT', '1h', TRUE, 10, 'BTC/USDT 1小时线'), + ('binance', 'ETHUSDT', '1h', TRUE, 9, 'ETH/USDT 1小时线'), + ('binance', 'SOLUSDT', '1h', TRUE, 8, 'SOL/USDT 1小时线'), + + -- Binance 主力交易对 — 1d（日线） + ('binance', 'BTCUSDT', '1d', TRUE, 10, 'BTC/USDT 日线'), + ('binance', 'ETHUSDT', '1d', TRUE, 9, 'ETH/USDT 日线') +ON CONFLICT (exchange, symbol, interval) DO NOTHING; + +-- 预置交易所默认连接配置（仅首次插入） +INSERT INTO exchange_config (exchange, rate_limit_per_sec, notes) VALUES + ('binance', 20.0, 'Binance 现货 — 默认权重限频 1200/min'), + ('okx', 10.0, 'OKX 现货 — 默认限频 10/s'), + ('bybit', 10.0, 'Bybit 现货 — 默认限频 10/s') +ON CONFLICT (exchange) DO NOTHING; + +-- ============================================================ +-- 初始化完成 +-- ============================================================ +DO $$ +BEGIN + RAISE NOTICE '002_config.sql — Config tables initialized.'; + RAISE NOTICE 'Tables: monitored_symbols, exchange_config, app_config'; + RAISE NOTICE 'Seed data: 9 symbols (Binance), 3 exchanges'; +END $$; diff --git a/data/package-lock.json b/data/package-lock.json new file mode 100644 index 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b/data/schema/config.sql new file mode 100644 index 0000000..ee883ad --- /dev/null +++ b/data/schema/config.sql @@ -0,0 +1,177 @@ +-- ============================================================ +-- schema/config.sql — 配置表 DDL（参考副本） +-- ============================================================ +-- 数据库：TimescaleDB (PostgreSQL 17) +-- 说明：管理系统配置、监控标的、交易所连接参数 +-- +-- ⚠️ 权威初始化脚本已迁移至：data/init-db/001_init.sql +-- 本文件保留作为 pg.initSchema() 非 Docker 部署的回退方案和文档参考。 +-- 修改表结构时请同步更新 001_init.sql。 +-- ============================================================ + +-- ============================================================ +-- 1. monitored_symbols — 监控交易对配置 +-- ============================================================ +-- 用途：声明数据采集模块需要订阅哪些交易对的 K 线流 +-- 消费方：WebSocket 行情采集服务启动时读取此表决定订阅列表 +-- ============================================================ +CREATE TABLE IF NOT EXISTS monitored_symbols ( + id SERIAL PRIMARY KEY, + + -- ---- 标识维度（与 klines 表对齐） ---- + exchange TEXT NOT NULL, -- 交易所：binance / okx / bybit + symbol TEXT NOT NULL, -- 交易对：BTCUSDT / ETHUSDT + interval TEXT NOT NULL, -- K 线周期：1m / 5m / 15m / 1h / 4h / 1d + + -- ---- 控制字段 ---- + enabled BOOLEAN NOT NULL DEFAULT TRUE, -- 是否启用采集 + priority SMALLINT NOT NULL DEFAULT 0, -- 优先级（数值越大越优先，用于限频时取舍） + + -- ---- 备注 ---- + label TEXT, -- 人类可读标签，如 "BTC/USDT 1分钟线" + notes TEXT, -- 备注说明 + + -- ---- 元数据 ---- + created_at TIMESTAMPTZ NOT NULL DEFAULT NOW(), + updated_at TIMESTAMPTZ NOT NULL DEFAULT NOW(), + + -- 同一 (exchange, symbol, interval) 组合不可重复 + UNIQUE (exchange, symbol, interval) +); + +-- 索引：按启用状态快速筛选 +CREATE INDEX IF NOT EXISTS idx_monitored_symbols_enabled + ON monitored_symbols (enabled, exchange, priority DESC); + +-- 索引：按交易对查找所有周期 +CREATE INDEX IF NOT EXISTS idx_monitored_symbols_symbol + ON monitored_symbols (symbol, interval); + +COMMENT ON TABLE monitored_symbols IS '监控交易对配置表：声明哪些 (交易所,交易对,周期) 需要采集 K 线数据'; +COMMENT ON COLUMN monitored_symbols.exchange IS '交易所标识：binance / okx / bybit'; +COMMENT ON COLUMN monitored_symbols.symbol IS '交易对：BTCUSDT / ETHUSDT'; +COMMENT ON COLUMN monitored_symbols.interval IS 'K 线周期：1m / 5m / 15m / 1h / 4h / 1d'; +COMMENT ON COLUMN monitored_symbols.enabled IS '是否启用 WebSocket 订阅'; +COMMENT ON COLUMN monitored_symbols.priority IS '优先级（0-32767），限频时高优先级交易对优先保留'; + + +-- ============================================================ +-- 2. exchange_config — 交易所连接配置 +-- ============================================================ +-- 用途：存储各交易所的 API 端点、限频参数等连接级配置 +-- 安全提醒：API Key/Secret 不应明文存储于此表， +-- 建议通过环境变量或 Vault 注入，此表仅存非敏感参数 +-- ============================================================ +CREATE TABLE IF NOT EXISTS exchange_config ( + id SERIAL PRIMARY KEY, + + -- ---- 交易所标识 ---- + exchange TEXT NOT NULL UNIQUE, -- 交易所：binance / okx / bybit + + -- ---- 连接参数 ---- + rest_url TEXT, -- REST API 基础 URL（留空则用 SDK 默认值） + ws_url TEXT, -- WebSocket 基础 URL（留空则用 SDK 默认值） + ws_ping_interval_ms INTEGER NOT NULL DEFAULT 30000, -- 心跳间隔（毫秒） + + -- ---- 限频控制 ---- + rate_limit_per_sec REAL NOT NULL DEFAULT 20.0, -- 每秒最大请求数 + max_reconnect_attempts INT NOT NULL DEFAULT 10, -- 最大重连次数 + reconnect_delay_ms INT NOT NULL DEFAULT 3000, -- 重连延迟基数（指数退避） + + -- ---- 开关 ---- + enabled BOOLEAN NOT NULL DEFAULT TRUE, -- 是否启用该交易所 + + -- ---- 备注 ---- + notes TEXT, + + -- ---- 元数据 ---- + created_at TIMESTAMPTZ NOT NULL DEFAULT NOW(), + updated_at TIMESTAMPTZ NOT NULL DEFAULT NOW() +); + +COMMENT ON TABLE exchange_config IS '交易所连接配置表：REST/WS 端点、限频、重连策略'; +COMMENT ON COLUMN exchange_config.rest_url IS 'REST API 地址，空则使用 SDK 默认'; +COMMENT ON COLUMN exchange_config.ws_url IS 'WebSocket 地址，空则使用 SDK 默认'; +COMMENT ON COLUMN exchange_config.rate_limit_per_sec IS '每秒最大请求数（Binance 默认 20/s）'; +COMMENT ON COLUMN exchange_config.max_reconnect_attempts IS 'WebSocket 断线最大重连次数'; +COMMENT ON COLUMN exchange_config.reconnect_delay_ms IS '重连退避基数（实际延迟 = 基数 × 2^attempts）'; + + +-- ============================================================ +-- 3. app_config — 全局应用配置（Key-Value） +-- ============================================================ +-- 用途：存储不适合硬编码的运行时参数，如批量写入阈值 +-- ============================================================ +CREATE TABLE IF NOT EXISTS app_config ( + id SERIAL PRIMARY KEY, + key TEXT NOT NULL UNIQUE, -- 配置键 + value TEXT NOT NULL, -- 配置值（统一存为文本，消费方自行解析类型） + description TEXT, -- 说明 + updated_at TIMESTAMPTZ NOT NULL DEFAULT NOW() +); + +COMMENT ON TABLE app_config IS '全局应用配置（KV 结构），运行时参数集中管理'; + +-- 默认配置项 +INSERT INTO app_config (key, value, description) VALUES + ('batch_size', '500', '批量写入缓冲区条数阈值'), + ('flush_interval_ms', '1000', '缓冲区最大等待时间（毫秒）'), + ('log_level', 'info', '日志级别：trace / debug / info / warn / error'), + ('redis_publish_enabled', 'true', '是否启用 Redis 发布') +ON CONFLICT (key) DO NOTHING; + + +-- ============================================================ +-- 4. 初始数据：预置常见交易对的监控配置 +-- ============================================================ +-- 以下为建议的默认监控列表，可根据实际需求增删 +INSERT INTO monitored_symbols (exchange, symbol, interval, enabled, priority, label) VALUES + -- Binance 主力交易对 — 1m + ('binance', 'BTCUSDT', '1m', TRUE, 10, 'BTC/USDT 1分钟线'), + ('binance', 'ETHUSDT', '1m', TRUE, 9, 'ETH/USDT 1分钟线'), + ('binance', 'SOLUSDT', '1m', TRUE, 8, 'SOL/USDT 1分钟线'), + ('binance', 'BNBUSDT', '1m', TRUE, 7, 'BNB/USDT 1分钟线'), + + -- Binance 主力交易对 — 1h（策略用） + ('binance', 'BTCUSDT', '1h', TRUE, 10, 'BTC/USDT 1小时线'), + ('binance', 'ETHUSDT', '1h', TRUE, 9, 'ETH/USDT 1小时线'), + ('binance', 'SOLUSDT', '1h', TRUE, 8, 'SOL/USDT 1小时线'), + + -- Binance 主力交易对 — 1d（日线） + ('binance', 'BTCUSDT', '1d', TRUE, 10, 'BTC/USDT 日线'), + ('binance', 'ETHUSDT', '1d', TRUE, 9, 'ETH/USDT 日线') +ON CONFLICT (exchange, symbol, interval) DO NOTHING; + +-- 预置交易所默认连接配置 +INSERT INTO exchange_config (exchange, rate_limit_per_sec, notes) VALUES + ('binance', 20.0, 'Binance 现货 — 默认权重限频 1200/min'), + ('okx', 10.0, 'OKX 现货 — 默认限频 10/s'), + ('bybit', 10.0, 'Bybit 现货 — 默认限频 10/s') +ON CONFLICT (exchange) DO NOTHING; + + +-- ============================================================ +-- 5. 常用查询示例 +-- ============================================================ + +-- 查询所有启用的监控标的（采集服务启动时使用） +-- SELECT exchange, symbol, interval, priority +-- FROM monitored_symbols +-- WHERE enabled = TRUE +-- ORDER BY exchange, priority DESC, symbol, interval; + +-- 查询某交易所下所有交易对 +-- SELECT DISTINCT symbol +-- FROM monitored_symbols +-- WHERE exchange = 'binance' AND enabled = TRUE +-- ORDER BY symbol; + +-- 禁用某个交易对的采集 +-- UPDATE monitored_symbols SET enabled = FALSE, updated_at = NOW() +-- WHERE exchange = 'binance' AND symbol = 'BTCUSDT' AND interval = '1m'; + +-- 新增监控标的（动态添加，无需重启） +-- INSERT INTO monitored_symbols (exchange, symbol, interval, enabled, priority, label) +-- VALUES ('binance', 'DOGEUSDT', '1m', TRUE, 5, 'DOGE/USDT 1分钟线') +-- ON CONFLICT (exchange, symbol, interval) DO UPDATE +-- SET enabled = TRUE, updated_at = NOW(); diff --git a/data/schema/klines.sql b/data/schema/klines.sql new file mode 100644 index 0000000..1d15807 --- /dev/null +++ b/data/schema/klines.sql @@ -0,0 +1,206 @@ +-- ============================================================ +-- schema/klines.sql — K 线表 DDL（参考副本） +-- ============================================================ +-- 数据库：TimescaleDB (PostgreSQL 17 + timescaledb 2.x) +-- 说明：存储全交易所 OHLCV 数据，按时间自动分区压缩 +-- +-- ⚠️ 权威初始化脚本：data/init-db/001_init.sql +-- 本文件保留作为 pg.initSchema() 非 Docker 部署的回退方案和文档参考。 +-- 修改表结构时请同步更新 001_init.sql。 +-- ============================================================ + +-- ============================================================ +-- 1. klines — K 线主表（hypertable） +-- ============================================================ +CREATE TABLE IF NOT EXISTS klines ( + -- ---- 时间维度 ---- + time TIMESTAMPTZ NOT NULL, -- K 线开盘时间（UTC） + + -- ---- 标识维度 ---- + exchange TEXT NOT NULL, -- 交易所：binance / okx / bybit + symbol TEXT NOT NULL, -- 交易对：BTCUSDT / ETHUSDT + interval TEXT NOT NULL, -- 周期：1m / 5m / 15m / 1h / 4h / 1d + + -- ---- OHLCV 核心数据 ---- + open NUMERIC(20,8) NOT NULL, + high NUMERIC(20,8) NOT NULL, + low NUMERIC(20,8) NOT NULL, + close NUMERIC(20,8) NOT NULL, + volume NUMERIC(20,8) NOT NULL DEFAULT 0, -- 成交量（基准币种） + + -- ---- 扩展字段 ---- + quote_volume NUMERIC(20,8) DEFAULT 0, -- 成交额（计价币种） + taker_buy_base_vol NUMERIC(20,8) DEFAULT 0, -- 主动买入量（基准币种） + taker_buy_quote_vol NUMERIC(20,8) DEFAULT 0, -- 主动买入额（计价币种） + trade_count INTEGER DEFAULT 0, -- 成交笔数 + is_closed BOOLEAN DEFAULT TRUE, -- K 线是否已闭合 + + -- ---- 元数据 ---- + created_at TIMESTAMPTZ DEFAULT NOW(), + updated_at TIMESTAMPTZ DEFAULT NOW(), + + -- 唯一约束：同一根 K 线不可重复 + UNIQUE (time, exchange, symbol, interval) +); + +-- ============================================================ +-- 2. 转换为 TimescaleDB hypertable +-- ============================================================ +-- 按 time 列做 1 天分区，按 exchange 做 4 空间分区 +SELECT create_hypertable( + 'klines', + 'time', + chunk_time_interval => INTERVAL '1 day', + partitioning_column => 'exchange', + number_partitions => 4, + if_not_exists => TRUE +); + +-- ============================================================ +-- 3. 索引设计 +-- ============================================================ + +-- 主力查询索引（覆盖 95% 查询场景） +-- 用途：按交易对+周期+时间范围查询最新 K 线 +CREATE INDEX IF NOT EXISTS idx_klines_lookup + ON klines (exchange, symbol, interval, time DESC); + +-- 回测专用索引 +-- 用途：按交易对+周期+时间正序遍历（策略回测） +CREATE INDEX IF NOT EXISTS idx_klines_backtest + ON klines (symbol, interval, time ASC); + +-- 最新已闭合 K 线索引（部分索引，减小体积） +-- 用途：获取已完成的最新 K 线（避免扫描未闭合数据） +CREATE INDEX IF NOT EXISTS idx_klines_latest + ON klines (exchange, symbol, interval, time DESC) + WHERE is_closed = TRUE; + +-- ============================================================ +-- 4. 压缩策略（列式压缩，压缩比约 90%） +-- ============================================================ +ALTER TABLE klines SET ( + timescaledb.compress, + timescaledb.compress_segmentby = 'exchange, symbol, interval', + timescaledb.compress_orderby = 'time DESC' +); + +-- K 线闭合 7 天后自动触发压缩 +SELECT add_compression_policy('klines', INTERVAL '7 days', if_not_exists => TRUE); + +-- ============================================================ +-- 5. 数据保留策略 +-- ============================================================ +-- 1m 粒度 K 线保留 90 天（更粗粒度由连续聚合视图覆盖） +SELECT add_retention_policy('klines', INTERVAL '90 days', if_not_exists => TRUE); + +-- ============================================================ +-- 6. 连续聚合视图（从 1m 自动派生高周期 K 线） +-- ============================================================ + +-- ---- 5m K 线 ---- +CREATE MATERIALIZED VIEW IF NOT EXISTS klines_5m +WITH (timescaledb.continuous) AS +SELECT + time_bucket('5 minutes', time) AS time, + exchange, + symbol, + '5m'::TEXT AS interval, + FIRST(open, time) AS open, + MAX(high) AS high, + MIN(low) AS low, + LAST(close, time) AS close, + SUM(volume) AS volume, + SUM(quote_volume) AS quote_volume, + SUM(taker_buy_base_vol) AS taker_buy_base_vol, + SUM(taker_buy_quote_vol) AS taker_buy_quote_vol, + SUM(trade_count) AS trade_count +FROM klines +WHERE interval = '1m' +GROUP BY time_bucket('5 minutes', time), exchange, symbol; + +-- ---- 15m K 线 ---- +CREATE MATERIALIZED VIEW IF NOT EXISTS klines_15m +WITH (timescaledb.continuous) AS +SELECT + time_bucket('15 minutes', time) AS time, + exchange, + symbol, + '15m'::TEXT AS interval, + FIRST(open, time) AS open, + MAX(high) AS high, + MIN(low) AS low, + LAST(close, time) AS close, + SUM(volume) AS volume, + SUM(quote_volume) AS quote_volume, + SUM(taker_buy_base_vol) AS taker_buy_base_vol, + SUM(taker_buy_quote_vol) AS taker_buy_quote_vol, + SUM(trade_count) AS trade_count +FROM klines +WHERE interval = '1m' +GROUP BY time_bucket('15 minutes', time), exchange, symbol; + +-- ---- 1h K 线 ---- +CREATE MATERIALIZED VIEW IF NOT EXISTS klines_1h +WITH (timescaledb.continuous) AS +SELECT + time_bucket('1 hour', time) AS time, + exchange, + symbol, + '1h'::TEXT AS interval, + FIRST(open, time) AS open, + MAX(high) AS high, + MIN(low) AS low, + LAST(close, time) AS close, + SUM(volume) AS volume, + SUM(quote_volume) AS quote_volume, + SUM(taker_buy_base_vol) AS taker_buy_base_vol, + SUM(taker_buy_quote_vol) AS taker_buy_quote_vol, + SUM(trade_count) AS trade_count +FROM klines +WHERE interval = '1m' +GROUP BY time_bucket('1 hour', time), exchange, symbol; + +-- ---- 1d K 线 ---- +CREATE MATERIALIZED VIEW IF NOT EXISTS klines_1d +WITH (timescaledb.continuous) AS +SELECT + time_bucket('1 day', time) AS time, + exchange, + symbol, + '1d'::TEXT AS interval, + FIRST(open, time) AS open, + MAX(high) AS high, + MIN(low) AS low, + LAST(close, time) AS close, + SUM(volume) AS volume, + SUM(quote_volume) AS quote_volume, + SUM(taker_buy_base_vol) AS taker_buy_base_vol, + SUM(taker_buy_quote_vol) AS taker_buy_quote_vol, + SUM(trade_count) AS trade_count +FROM klines +WHERE interval = '1m' +GROUP BY time_bucket('1 day', time), exchange, symbol; + +-- 连续聚合视图也启用压缩 +ALTER MATERIALIZED VIEW klines_5m SET (timescaledb.compress = true); +ALTER MATERIALIZED VIEW klines_15m SET (timescaledb.compress = true); +ALTER MATERIALIZED VIEW klines_1h SET (timescaledb.compress = true); +ALTER MATERIALIZED VIEW klines_1d SET (timescaledb.compress = true); + +-- ============================================================ +-- 7. 常用查询示例 +-- ============================================================ + +-- 查询最新 N 根 1h K 线 +-- SELECT time, open, high, low, close, volume +-- FROM klines_1h +-- WHERE exchange = 'binance' AND symbol = 'BTCUSDT' +-- ORDER BY time DESC LIMIT 100; + +-- 查询某个时间范围内的原始 1m K 线 +-- SELECT time, open, high, low, close, volume +-- FROM klines +-- WHERE exchange = 'binance' AND symbol = 'ETHUSDT' AND interval = '1m' +-- AND time BETWEEN '2026-06-01' AND '2026-06-06' +-- ORDER BY time ASC; diff --git a/docker-compose.yml b/docker-compose.yml index 58070ef..4a927a7 100644 --- a/docker-compose.yml +++ b/docker-compose.yml @@ -26,3 +26,9 @@ services: interval: 10s timeout: 5s retries: 5 + + adminer: + image: adminer + restart: always + ports: + - 8080:8080