feat(data-model): ITick add fields about interest rate (#427)

No-Trade-No-Life · Feb 10, 2024 · c262b2b · c262b2b
1 parent e5627bd
commit c262b2b
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diff --git a/common/changes/@yuants/data-model/2024-02-10-21-18.json b/common/changes/@yuants/data-model/2024-02-10-21-18.json
@@ -0,0 +1,10 @@
+{
+  "changes": [
+    {
+      "packageName": "@yuants/data-model",
+      "comment": "add fields of ITick about interest rate",
+      "type": "minor"
+    }
+  ],
+  "packageName": "@yuants/data-model"
+}
diff --git a/common/changes/@yuants/kernel/2024-02-10-21-18.json b/common/changes/@yuants/kernel/2024-02-10-21-18.json
@@ -0,0 +1,10 @@
+{
+  "changes": [
+    {
+      "packageName": "@yuants/kernel",
+      "comment": "refactor for data-model",
+      "type": "patch"
+    }
+  ],
+  "packageName": "@yuants/kernel"
+}
diff --git a/libraries/data-model/etc/data-model.api.md b/libraries/data-model/etc/data-model.api.md
@@ -178,14 +178,15 @@ export interface ITick {
     ask?: number;
     bid?: number;
     datasource_id: string;
+    interest_rate_for_long?: number;
+    interest_rate_for_short?: number;
     open_interest?: number;
-    price: number;
+    price?: number;
     product_id: string;
+    settlement_scheduled_at?: number;
     spread?: number;
-    // @deprecated
-    timestamp_in_us: number;
-    updated_at?: number;
-    volume: number;
+    updated_at: number;
+    volume?: number;
 }
 
 // @public

diff --git a/libraries/data-model/src/interfaces.ts b/libraries/data-model/src/interfaces.ts
@@ -849,8 +849,8 @@ export interface IDataRecord<T = unknown> {
   origin: T;
 }
 /**
- * Tick: Market transaction data at a certain moment
- * Tick: 某个时刻的市场成交行情数据
+ * Tick: Market data at a certain moment
+ * Tick: 某个时刻的市场数据
  * @public
  */
 
@@ -865,27 +865,21 @@ export interface ITick {
    * 品种 ID
    */
   product_id: string;
-  /**
-   * Timestamp (in microseconds)
-   * 时间戳
-   * @deprecated use updated_at instead
-   */
-  timestamp_in_us: number;
   /**
    * Timestamp (in ms)
    * 时间戳
    */
-  updated_at?: number;
+  updated_at: number;
   /**
    * Price
    * 成交价
    */
-  price: number;
+  price?: number;
   /**
    * Volume
    * 成交量
    */
-  volume: number;
+  volume?: number;
   /**
    * Open interest
    * 持仓量
@@ -903,4 +897,24 @@ export interface ITick {
   ask?: number;
   /** 买一价 */
   bid?: number;
+  /**
+   * Next timestamp for settlement
+   */
+  settlement_scheduled_at?: number;
+  /**
+   * Current Interest Rate if you hold long position
+   *
+   * You will get the interest (rate * volume) when the next settlement.
+   *
+   * The rate is based on the volume (not the position value) of the position.
+   */
+  interest_rate_for_long?: number;
+  /**
+   * Current Interest Rate if you hold short position
+   *
+   * You will get the interest (rate * volume) when the next settlement.
+   *
+   * The rate is based on the volume (not the position value) of the position.
+   */
+  interest_rate_for_short?: number;
 }
diff --git a/libraries/kernel/etc/kernel.api.md b/libraries/kernel/etc/kernel.api.md
@@ -784,7 +784,7 @@ export class TickDataUnit extends BasicUnit {
 
 // Warnings were encountered during analysis:
 //
-// src/units/OrderMatchingUnit.ts:269:11 - (ae-forgotten-export) The symbol "IMatchingRange" needs to be exported by the entry point index.d.ts
+// src/units/OrderMatchingUnit.ts:270:11 - (ae-forgotten-export) The symbol "IMatchingRange" needs to be exported by the entry point index.d.ts
 
 // (No @packageDocumentation comment for this package)
 

diff --git a/libraries/kernel/src/units/OrderMatchingUnit.ts b/libraries/kernel/src/units/OrderMatchingUnit.ts
@@ -120,8 +120,9 @@ export class OrderMatchingUnit extends BasicUnit {
   }
 
   private updateRangeByTick(tick: ITick): void {
-    const ask = tick.ask || tick.price;
-    const bid = tick.bid || tick.price;
+    const ask = tick.ask;
+    const bid = tick.bid;
+    if (!ask || !bid) return;
     this.mapProductIdToRange.set(encodePath(tick.datasource_id, tick.product_id), {
       ask: {
         first: ask,

diff --git a/libraries/kernel/src/units/RealtimeTickLoadingUnit.ts b/libraries/kernel/src/units/RealtimeTickLoadingUnit.ts
@@ -30,10 +30,10 @@ export class RealtimeTickLoadingUnit extends BasicUnit {
 
   onEvent(): void | Promise<void> {
     const tick = this.mapEventIdToTick.get(this.kernel.currentEventId);
-    if (tick) {
+    if (tick && tick.ask && tick.bid) {
       this.quoteDataUnit.mapProductIdToQuote[tick.product_id] = {
-        ask: tick.ask || tick.price,
-        bid: tick.bid || tick.price,
+        ask: tick.ask,
+        bid: tick.bid,
       };
 
       this.tickDataUnit.setTick(tick);

diff --git a/ui/web/src/modules/Fund/RealtimeAsset.tsx b/ui/web/src/modules/Fund/RealtimeAsset.tsx
@@ -92,8 +92,8 @@ const fromConfig = (config: IFundConfig): Observable<IFundInfo> => {
     mergeMap((item) =>
       useTick(item.datasource_id, item.product_id).pipe(
         map((tick) => ({
-          [`${item.base_currency}${item.quoted_currency}`]: tick.price,
-          [`${item.quoted_currency}${item.base_currency}`]: 1 / tick.price,
+          [`${item.base_currency}${item.quoted_currency}`]: tick.price!,
+          [`${item.quoted_currency}${item.base_currency}`]: 1 / tick.price!,
         })),
       ),
     ),