Rekey
e91cad79e6
- 新增 data/db/ 数据库访问层：pool 管理、类型定义、Zod 校验、参数化 SQL 查询 - 新增 data/db/config-crud.ts：MonitoredSymbolsRepo / ExchangeConfigRepo / AppConfigRepo 三个 CRUD 服务类 - 新增 data/config.ts：中心化配置模块，零依赖 .env 解析 + Zod 校验 - 新增 data/schema/：klines.sql + config.sql 参考 DDL - 新增 data/exchanges/：交易所类型定义与 Binance WebSocket 封装 - 新增 data/run/：交易所连接启动入口 - 重构 data/init-db/：001_init.sql 仅保留 TimescaleDB + klines，配置表拆分至 002_config.sql - 更新 docker-compose.yml：挂载 init-db 初始化脚本
396 lines
13 KiB
TypeScript
396 lines
13 KiB
TypeScript
// ============================================================
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// exchanges/binance.ts — 通用交易所 WebSocket 行情采集类
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// ============================================================
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// 基于 ccxt.pro 实现，不限于 Binance，支持任意 ccxt 支持的交易所。
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// 构造即启动：传入交易所 ID + 交易对列表，自动开始 WebSocket 监听。
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//
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// 使用方式：
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// import { ExchangeWs } from "./exchanges/binance";
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// const ws = new ExchangeWs({
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// exchangeId: "binance",
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// symbols: ["BTCUSDT", "ETHUSDT"],
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// interval: "1m",
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// });
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// ws.on("kline", (data) => console.log(data));
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// ============================================================
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import ccxt from "ccxt";
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import { EventEmitter } from "node:events";
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import type {
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KlineWsData,
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ExchangeWsConfig,
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WsConnectionState,
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} from "./types";
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// ============================================================
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// 内部类型：ccxt pro 交易所实例的最小接口
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// ============================================================
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// 避免直接依赖 ccxt 内部类型（不同版本导出签名差异大），
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// 仅声明本类实际调用的方法签名。
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/** ccxt OHLCV 数组：[timestamp_ms, open, high, low, close, volume] */
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type OHLCVCandle = [number, number, number, number, number, number];
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/** ccxt.pro 交易所实例的最小接口 */
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interface IProExchange {
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watchOHLCV(symbol: string, timeframe: string): Promise<OHLCVCandle[]>;
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close(): Promise<void>;
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}
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// ============================================================
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// 类型声明：为 EventEmitter 添加严格的事件签名
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// ============================================================
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export declare interface ExchangeWs {
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/** 新 K 线数据到达（含实时更新和闭合 K 线） */
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on(event: "kline", listener: (data: KlineWsData) => void): this;
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/** WebSocket 错误（非致命，单 symbol 出错不影响其他） */
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on(event: "error", listener: (error: ExchangeWsError) => void): this;
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/** 连接状态变更 */
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on(
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event: "stateChange",
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listener: (state: WsConnectionState, exchangeId: string) => void,
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): this;
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/** 单个 symbol 的 watch 循环已启动 */
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on(
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event: "symbolReady",
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listener: (symbol: string, interval: string) => void,
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): this;
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/** 所有 symbols 已进入监听状态 */
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on(event: "ready", listener: () => void): this;
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}
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/** 带 symbol 上下文的错误类型 */
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export class ExchangeWsError extends Error {
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symbol: string;
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exchangeId: string;
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constructor(message: string, exchangeId: string, symbol: string) {
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super(message);
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this.name = "ExchangeWsError";
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this.exchangeId = exchangeId;
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this.symbol = symbol;
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}
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}
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// ============================================================
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// ExchangeWs — 主类
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// ============================================================
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export class ExchangeWs extends EventEmitter {
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// ---- 配置 ----
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private readonly exchangeId: string;
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private readonly symbols: string[];
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private readonly interval: string;
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private readonly ccxtOptions: Record<string, unknown>;
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// ---- 运行时状态 ----
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private exchange: IProExchange | null = null;
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private state: WsConnectionState = "idle";
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private abortController: AbortController | null = null;
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/** 每个 symbol 一条 watch 循环 */
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private watchTasks: Promise<void>[] = [];
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/** 已成功启动监听的 symbol 集合 */
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private readonly readySymbols = new Set<string>();
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// ============================================================
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// 构造器：传入参数，自动启动 WebSocket 监听
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// ============================================================
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/**
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* @param config.exchangeId - 交易所 ID（binance / okx / bybit / …）
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* @param config.symbols - 要订阅的交易对列表
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* @param config.interval - K 线周期，默认 '1m'
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* @param config.ccxtOptions - 传递给 ccxt.pro 交易所构造器的额外选项
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*
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* 构造完成后 WebSocket 连接立即在后台启动，
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* 监听 'ready' 事件确认全部就绪，或 'kline' 事件接收数据。
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*/
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constructor(config: ExchangeWsConfig) {
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super();
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// 参数校验
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if (!config.symbols || config.symbols.length === 0) {
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throw new Error("symbols 不能为空");
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}
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this.exchangeId = config.exchangeId;
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this.symbols = [...config.symbols]; // 防御性拷贝
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this.interval = config.interval ?? "1m";
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this.ccxtOptions = config.ccxtOptions ?? {};
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// 构造即启动（fire-and-forget，错误通过 'error' 事件抛出）
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this.start().catch((err) => {
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this.emit(
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"error",
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new ExchangeWsError(
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`启动失败: ${(err as Error).message}`,
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this.exchangeId,
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"ALL",
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),
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);
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});
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}
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// ============================================================
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// 公开方法
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// ============================================================
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/** 获取当前连接状态 */
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getState(): WsConnectionState {
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return this.state;
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}
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/** 获取已就绪的 symbol 列表 */
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getReadySymbols(): string[] {
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return [...this.readySymbols];
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}
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/**
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* 动态添加交易对（已监听的 symbol 会被忽略）
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* 可在运行时增删监控标的，无需重启整个连接
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*/
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async addSymbols(newSymbols: string[]): Promise<void> {
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const toAdd = newSymbols.filter((s) => !this.readySymbols.has(s));
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if (toAdd.length === 0) {
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return;
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};
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for (const symbol of toAdd) {
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this.symbols.push(symbol);
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const task = this.watchSymbol(symbol);
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this.watchTasks.push(task);
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}
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}
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/**
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* 停止 WebSocket 监听并释放资源
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* 调用后实例不可复用，需重新 new
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*/
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async close(): Promise<void> {
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// 1. 取消所有 watch 循环
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this.abortController?.abort();
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// 2. 等待所有 watch 循环退出
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await Promise.allSettled(this.watchTasks);
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// 3. 关闭 ccxt 交易所连接
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if (this.exchange) {
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try {
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await this.exchange.close();
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} catch {
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// 忽略关闭时的错误
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}
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this.exchange = null;
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}
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this.setState("disconnected");
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this.removeAllListeners();
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}
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// ============================================================
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// 内部方法
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// ============================================================
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/** 异步启动：初始化 ccxt 实例并为每个 symbol 启动 watch 循环 */
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private async start(): Promise<void> {
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this.abortController = new AbortController();
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this.setState("connecting");
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// 1. 创建 ccxt.pro 交易所实例
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this.exchange = this.createExchange();
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// 2. 为每个 symbol 启动独立的 watch 循环
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this.watchTasks = this.symbols.map((symbol) => this.watchSymbol(symbol));
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// 3. 等待任意 symbol 就绪（或全部失败）
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try {
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await this.waitForAnyReady();
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this.setState("connected");
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this.emit("ready");
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} catch {
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this.setState("error");
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this.emit(
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"error",
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new ExchangeWsError("所有 symbol 连接失败", this.exchangeId, "ALL"),
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);
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}
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}
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/** 创建 ccxt.pro 交易所实例 */
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private createExchange(): IProExchange {
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// 动态获取 ccxt.pro[exchangeId] 构造器
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const ccxtAny = ccxt as unknown as Record<string, unknown>;
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const proNamespace = ccxtAny.pro as
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| Record<string, new (opts?: Record<string, unknown>) => IProExchange>
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| undefined;
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if (!proNamespace || typeof proNamespace !== "object") {
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throw new Error(
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"ccxt.pro 不可用，请确认 ccxt 版本 >= 4.0 且已安装 pro 支持",
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);
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}
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const ProExchange = proNamespace[this.exchangeId];
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if (!ProExchange) {
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throw new Error(
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`不支持的交易所: ${this.exchangeId}，可用: ${Object.keys(proNamespace).join(", ")}`,
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);
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}
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return new ProExchange({
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enableRateLimit: true,
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...this.ccxtOptions,
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});
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}
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/** 单个 symbol 的 watch 循环 */
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private async watchSymbol(symbol: string): Promise<void> {
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const signal = this.abortController!.signal;
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// 带退避的重连循环
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let consecutiveErrors = 0;
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const maxBackoff = 30000; // 最大退避 30s
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while (!signal.aborted) {
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try {
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// 检查是否已取消
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if (signal.aborted) break;
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// watchOHLCV 返回 Promise<OHLCV[]>，在新数据到达时 resolve
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// ccxt 返回格式：[timestamp_ms, open, high, low, close, volume]
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const candles = await this.exchange!.watchOHLCV(
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symbol,
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this.interval,
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);
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// 重置错误计数（成功获取数据）
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consecutiveErrors = 0;
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// 标记该 symbol 已就绪
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if (!this.readySymbols.has(symbol)) {
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this.readySymbols.add(symbol);
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this.emit("symbolReady", symbol, this.interval);
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}
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// 处理返回的 K 线数据
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this.processCandles(symbol, candles);
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} catch (err) {
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if (signal.aborted) break;
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consecutiveErrors++;
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const delay = Math.min(1000 * 2 ** consecutiveErrors, maxBackoff);
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this.emit(
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"error",
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new ExchangeWsError(
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`[${symbol}] ${(err as Error).message}，${delay / 1000}s 后重试 (第 ${consecutiveErrors} 次)`,
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this.exchangeId,
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symbol,
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),
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);
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// 指数退避等待（可被 abort 中断）
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await this.sleep(delay, signal);
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}
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}
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}
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/** 处理 ccxt watchOHLCV 返回的原始数据 */
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private processCandles(symbol: string, candles: OHLCVCandle[]): void {
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// candles 是完整的 OHLCV 数组，最后一条是最新数据
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// ccxt 会返回增量更新，通常只包含新增的 candle
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for (const candle of candles) {
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// ccxt OHLCV 格式：[timestamp_ms, open, high, low, close, volume]
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if (!Array.isArray(candle) || candle.length < 6) {
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continue;
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};
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const data: KlineWsData = {
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exchange: this.exchangeId,
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symbol,
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interval: this.interval,
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time: candle[0],
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open: candle[1],
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high: candle[2],
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low: candle[3],
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close: candle[4],
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volume: candle[5],
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};
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this.emit("kline", data);
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}
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}
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/** 等待至少一个 symbol 就绪（或超时/全部失败） */
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private async waitForAnyReady(): Promise<void> {
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return new Promise((resolve, reject) => {
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let resolved = false;
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const onReady = () => {
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if (!resolved) {
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resolved = true;
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cleanup();
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resolve();
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}
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};
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const onError = (err: ExchangeWsError) => {
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// 仅在所有 symbol 都失败时 reject
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if (!resolved && err.symbol === "ALL") {
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resolved = true;
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cleanup();
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reject(err);
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}
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};
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const cleanup = () => {
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this.off("symbolReady", onReady);
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this.off("error", onError);
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};
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this.once("symbolReady", onReady);
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this.once("error", onError);
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// 超时保护（30 秒）
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setTimeout(() => {
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if (!resolved) {
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resolved = true;
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cleanup();
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reject(
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new ExchangeWsError("连接超时（30s）", this.exchangeId, "ALL"),
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);
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}
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}, 30000);
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});
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}
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/** 带 AbortSignal 的 sleep */
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private sleep(ms: number, signal: AbortSignal): Promise<void> {
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return new Promise((resolve) => {
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if (signal.aborted) {
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resolve();
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return;
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}
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const timer = setTimeout(resolve, ms);
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signal.addEventListener(
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"abort",
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() => {
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clearTimeout(timer);
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resolve();
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},
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{ once: true },
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);
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});
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}
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/** 更新状态并发出事件 */
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private setState(newState: WsConnectionState): void {
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if (this.state !== newState) {
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this.state = newState;
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this.emit("stateChange", newState, this.exchangeId);
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}
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}
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}
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