feat(options): push chain asks/bids via OKX WS + SSE
Replace soft REST polling with OKX public tickers WS ingest and browser SSE patches so list quotes stay live while watching an expiry. Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
@@ -7,6 +7,10 @@
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root.setAttribute("data-options-booted", "1");
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const panelCache = (window.__optionsPanelCache = window.__optionsPanelCache || {});
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if (!panelCache.quoteWatcherId) {
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panelCache.quoteWatcherId =
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"w" + Date.now().toString(36) + Math.random().toString(36).slice(2, 8);
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}
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const state = {
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underlying: root.dataset.defaultUnderly || "ETH",
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@@ -40,11 +44,17 @@
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let chainSoftTimer = null;
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let lastChainSoftAt = 0;
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let chainQuotedAt = 0;
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let quoteLiveEs = null;
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let quoteLiveReconnectTimer = null;
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let quoteLiveOk = false;
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let quoteLiveWsOk = false;
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let lastOrderQuoteLiveAt = 0;
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let pendingTtlSeconds = 600;
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const POSITIONS_STALE_MS = 45000;
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const PENDING_POLL_MS = 8000;
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/** 链卖一/买一静默刷新节流:无推送,靠拉;过密会撞 OKX 50011 */
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const CHAIN_SOFT_POLL_MS = 15000;
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/** SSE/WS 断开时的 REST 兜底;连上后停用 */
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const CHAIN_SOFT_POLL_MS = 30000;
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const ORDER_QUOTE_LIVE_MIN_MS = 800;
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const orderPanelHome = (function () {
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const host = document.getElementById("opt-order-panel-host");
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return host ? host.parentElement : null;
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@@ -659,16 +669,214 @@
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const line = document.getElementById("opt-index-line");
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if (line) {
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const liqHint = askLiqFilterOn() ? "仅显示卖一深度≥1张" : "显示全部卖一(含估算~)";
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const ageHint = chainQuotedAt ? " · 链报价 " + fmtChainQuotedAt() + "（约每15s静默刷新）" : "";
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let liveHint = "";
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if (quoteLiveOk && quoteLiveWsOk) {
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liveHint = chainQuotedAt
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? " · WS实时 " + fmtChainQuotedAt()
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: " · WS实时";
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} else if (quoteLiveOk) {
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liveHint = " · 推送已连,等待 OKX WS…";
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} else if (chainQuotedAt) {
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liveHint = " · 链报价 " + fmtChainQuotedAt() + "（REST兜底）";
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}
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line.textContent =
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"指数 " + state.underlying + " ≈ " + fmt(idx, 2) +
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" · 默认最近一期 · " + liqHint + " · 实值含平值 · 虚值=价外" + ageHint;
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" · 默认最近一期 · " + liqHint + " · 实值含平值 · 虚值=价外" + liveHint;
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}
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}
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function findChainContract(instId) {
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if (!state.chain || !instId) return null;
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const exps = state.chain.expiries || [];
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for (let i = 0; i < exps.length; i++) {
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const contracts = exps[i].contracts || [];
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for (let j = 0; j < contracts.length; j++) {
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if (String(contracts[j].inst_id) === String(instId)) return contracts[j];
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}
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}
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return null;
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}
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function currentExpiryContracts() {
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if (!state.chain) return [];
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const expMs = (document.getElementById("opt-exp-select") || {}).value;
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const exp = (state.chain.expiries || []).find(function (e) {
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return String(e.exp_time) === String(expMs);
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});
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return (exp && exp.contracts) || [];
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}
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async function watchCurrentExpiryQuotes() {
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if (!state.chain) return;
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const expMs = (document.getElementById("opt-exp-select") || {}).value;
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const contracts = currentExpiryContracts().map(function (c) {
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return {
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inst_id: c.inst_id,
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opt_type: c.opt_type,
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strike: c.strike,
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tick_sz: c.tick_sz,
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};
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});
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if (!contracts.length) return;
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try {
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await apiJson("/api/options/quotes/watch", {
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method: "POST",
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headers: { "Content-Type": "application/json" },
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body: JSON.stringify({
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underlying: state.underlying,
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exp_time: expMs,
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contracts: contracts,
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index_inst_id: state.underlying + "-USD",
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watcher_id: panelCache.quoteWatcherId,
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}),
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});
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} catch (_) {
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/* ignore watch errors; soft poll fallback remains */
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}
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}
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function patchListRowDom(instId, c) {
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const tr = document.querySelector('#opt-strike-tbody tr.opt-strike-row[data-inst="' + instId + '"]');
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if (!tr || !c) return;
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const indexPx = state.chain && state.chain.index_px;
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const tds = tr.children;
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if (tds.length < 8) return;
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tds[3].textContent = "";
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tds[3].className = "opt-px-sz";
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tds[3].innerHTML = fmtPxSz(c.ask, c.ask_sz, c.ask_estimated);
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tds[4].className = "opt-chain-lev";
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tds[4].textContent = fmtChainLeverage(calcAskLeverage(indexPx, c.ask));
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tds[5].className = "opt-px-sz";
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tds[5].innerHTML = fmtPxSz(c.bid, c.bid_sz);
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tds[6].textContent = c.expiry_be_px != null ? fmt(c.expiry_be_px, 0) : "—";
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tds[7].className = distBeClass(c.dist_expiry_be);
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tds[7].textContent = fmtDist(c.dist_expiry_be);
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}
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function patchTRowDom(instId, c) {
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if (!c) return;
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const callTr = document.querySelector(
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'#opt-strike-tbody tr.opt-strike-row-t[data-call-inst="' + instId + '"]'
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);
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const putTr = document.querySelector(
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'#opt-strike-tbody tr.opt-strike-row-t[data-put-inst="' + instId + '"]'
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);
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const tr = callTr || putTr;
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if (!tr) return;
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const callInst = tr.getAttribute("data-call-inst");
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const putInst = tr.getAttribute("data-put-inst");
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const call = callInst ? findChainContract(callInst) : null;
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const put = putInst ? findChainContract(putInst) : null;
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const callOk = call && (!askLiqFilterOn() || hasAskLiquidity(call)) ? call : null;
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const putOk = put && (!askLiqFilterOn() || hasAskLiquidity(put)) ? put : null;
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const tds = tr.children;
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if (tds.length < 9) return;
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tds[0].innerHTML = callOk ? fmtPxSz(callOk.ask, callOk.ask_sz, callOk.ask_estimated) : "—";
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tds[7].innerHTML = putOk ? fmtPxSz(putOk.ask, putOk.ask_sz, putOk.ask_estimated) : "—";
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const combined = straddleAskPerUnit(callOk && callOk.ask, putOk && putOk.ask);
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tds[4].innerHTML = formatStraddlePremiumCell(callOk && callOk.ask, putOk && putOk.ask);
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tds[5].innerHTML = formatStraddleBand(tr.getAttribute("data-strike"), combined);
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}
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function applyLiveQuotes(payload) {
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if (!payload || !state.chain) return;
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const uly = String(state.underlying || "").toUpperCase();
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if (payload.indexes && payload.indexes[uly] != null && Number.isFinite(Number(payload.indexes[uly]))) {
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state.chain.index_px = Number(payload.indexes[uly]);
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} else if (payload.underlying && String(payload.underlying).toUpperCase() === uly) {
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if (payload.index_px != null && Number.isFinite(Number(payload.index_px))) {
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state.chain.index_px = Number(payload.index_px);
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}
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} else if (payload.underlying && String(payload.underlying).toUpperCase() !== uly) {
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// 别的标的推送:仍可 patch 本页已有合约
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}
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const quotes = payload.quotes || [];
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quotes.forEach(function (q) {
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const instId = q && q.inst_id;
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if (!instId) return;
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if (q.underlying && String(q.underlying).toUpperCase() !== uly) return;
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const c = findChainContract(instId);
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if (!c) return;
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if (q.ask !== undefined) c.ask = q.ask;
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if (q.bid !== undefined) c.bid = q.bid;
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if (q.ask_sz !== undefined) c.ask_sz = q.ask_sz;
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if (q.bid_sz !== undefined) c.bid_sz = q.bid_sz;
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if (q.mark_px !== undefined) c.mark_px = q.mark_px;
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if (q.ask_estimated !== undefined) c.ask_estimated = !!q.ask_estimated;
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if (q.expiry_be_px !== undefined) c.expiry_be_px = q.expiry_be_px;
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if (q.dist_expiry_be !== undefined) c.dist_expiry_be = q.dist_expiry_be;
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if (state.chainView === "t") patchTRowDom(instId, c);
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else patchListRowDom(instId, c);
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});
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if (payload.ts) chainQuotedAt = Number(payload.ts) || Date.now();
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else if (quotes.length || payload.index_px != null) chainQuotedAt = Date.now();
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quoteLiveWsOk = payload.ws_ok !== false;
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renderIndexLine();
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if (state.selectedInst && quotes.some(function (q) { return q && q.inst_id === state.selectedInst; })) {
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const now = Date.now();
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if (now - lastOrderQuoteLiveAt >= ORDER_QUOTE_LIVE_MIN_MS) {
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lastOrderQuoteLiveAt = now;
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void selectContract(state.selectedInst, null, true);
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}
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}
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}
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function stopQuoteLiveStream() {
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if (quoteLiveReconnectTimer) {
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clearTimeout(quoteLiveReconnectTimer);
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quoteLiveReconnectTimer = null;
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}
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if (quoteLiveEs) {
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try { quoteLiveEs.close(); } catch (_) {}
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quoteLiveEs = null;
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}
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quoteLiveOk = false;
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quoteLiveWsOk = false;
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}
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function startQuoteLiveStream() {
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if (quoteLiveEs) return;
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if (typeof EventSource === "undefined") return;
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try {
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quoteLiveEs = new EventSource("/api/options/quotes/stream");
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} catch (_) {
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quoteLiveOk = false;
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return;
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}
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quoteLiveEs.addEventListener("quotes", function (ev) {
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try {
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const data = JSON.parse(ev.data || "{}");
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quoteLiveOk = true;
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if (data.reason === "connect") {
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quoteLiveWsOk = !!data.ws_ok;
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renderIndexLine();
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return;
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}
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applyLiveQuotes(data);
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} catch (_) {}
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});
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quoteLiveEs.onopen = function () {
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quoteLiveOk = true;
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renderIndexLine();
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void watchCurrentExpiryQuotes();
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};
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quoteLiveEs.onerror = function () {
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quoteLiveOk = false;
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quoteLiveWsOk = false;
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renderIndexLine();
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stopQuoteLiveStream();
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quoteLiveReconnectTimer = setTimeout(function () {
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quoteLiveReconnectTimer = null;
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startQuoteLiveStream();
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}, 8000);
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};
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}
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function softRefreshChainThrottled(force) {
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if (document.hidden) return;
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if (!document.getElementById("options-root")) return;
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// WS 推送正常时不靠 REST 刷卖一,避免 50011;仅结构兜底可 force
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if (!force && quoteLiveOk && quoteLiveWsOk) return;
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const now = Date.now();
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if (!force && now - lastChainSoftAt < CHAIN_SOFT_POLL_MS) return;
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lastChainSoftAt = now;
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@@ -1328,6 +1536,8 @@
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}
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// soft 时保留 selectedInst；renderStrikes 会先 park 再按 prevSelected 静默重挂下单面板
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renderStrikes();
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void watchCurrentExpiryQuotes();
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startQuoteLiveStream();
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} catch (e) {
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if (seq !== chainLoadSeq || soft) return;
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setExpirySelectStatus("选择到期日");
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@@ -2236,6 +2446,7 @@
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const expandCb = document.getElementById("opt-strike-expand-all");
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if (expandCb) expandCb.checked = false;
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renderStrikes();
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void watchCurrentExpiryQuotes();
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}
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function bootOptionsPanel() {
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@@ -2247,6 +2458,7 @@
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refreshPendingOrders();
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startPendingOrdersPoll();
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startChainSoftPoll();
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startQuoteLiveStream();
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const hasCache =
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chainHasExpiries(panelCache.chain) &&
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panelCache.underlying === state.underlying &&
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@@ -2256,7 +2468,8 @@
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renderExpiries();
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renderStrikes();
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refreshAllPositions();
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// 后台静默刷新,避免缓存过期后到期日变空 / 卖一过期
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void watchCurrentExpiryQuotes();
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// 后台静默刷新结构;卖一优先走 WS
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softRefreshChainThrottled(true);
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return;
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}
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@@ -2381,7 +2594,7 @@
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window.OptionsPanelLive = {
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refreshSoft: function () {
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refreshAllPositions();
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// embed SSE 只通知「该拉了」,不推送链报价;这里节流拉新鲜卖一/买一
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// 有 WS 实时报价时不再 REST 刷链;断开时才兜底
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softRefreshChainThrottled(false);
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},
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refreshChain: loadChain,
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@@ -0,0 +1,199 @@
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"""OKX 公共 WebSocket(同步线程):订阅 tickers / index-tickers,自动重连."""
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from __future__ import annotations
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import json
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import logging
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import threading
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import time
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from collections.abc import Callable
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from typing import Any
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logger = logging.getLogger(__name__)
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OKX_PUBLIC_WS_URL = "wss://ws.okx.com:8443/ws/v5/public"
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_SUBSCRIBE_CHUNK = 40
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_APP_PING_SEC = 20.0
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class OkxPublicWs:
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"""单连接公共 WS;set_subscriptions 全量对齐目标频道."""
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def __init__(
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self,
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*,
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on_data: Callable[[dict[str, Any]], None],
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url: str = OKX_PUBLIC_WS_URL,
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name: str = "okx-public-ws",
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) -> None:
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self._on_data = on_data
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self._url = url
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self._name = name
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self._lock = threading.RLock()
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self._desired: dict[str, dict[str, str]] = {}
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self._active: set[str] = set()
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self._stop = threading.Event()
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self._thread: threading.Thread | None = None
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self._ws: Any = None
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self._connected = False
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self._last_msg_at = 0.0
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@property
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def connected(self) -> bool:
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return self._connected
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@property
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def last_msg_at(self) -> float:
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return self._last_msg_at
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def start(self) -> None:
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if self._thread and self._thread.is_alive():
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return
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self._stop.clear()
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self._thread = threading.Thread(target=self._run_loop, name=self._name, daemon=True)
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self._thread.start()
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def stop(self) -> None:
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self._stop.set()
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ws = self._ws
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if ws is not None:
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try:
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ws.close()
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except Exception:
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pass
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if self._thread and self._thread.is_alive():
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self._thread.join(timeout=3.0)
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def set_subscriptions(self, args: list[dict[str, str]]) -> None:
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desired: dict[str, dict[str, str]] = {}
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for raw in args:
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if not isinstance(raw, dict):
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continue
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channel = str(raw.get("channel") or "").strip()
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inst_id = str(raw.get("instId") or "").strip()
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if not channel or not inst_id:
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continue
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key = f"{channel}:{inst_id}"
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desired[key] = {"channel": channel, "instId": inst_id}
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with self._lock:
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self._desired = desired
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ws = self._ws
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connected = self._connected
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active = set(self._active)
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if connected and ws is not None:
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self._sync_subs(ws, active, desired)
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def _sync_subs(
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self,
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ws: Any,
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active: set[str],
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desired: dict[str, dict[str, str]],
|
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) -> None:
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unsub_args: list[dict[str, str]] = []
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for key in active - set(desired.keys()):
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channel, _, inst_id = key.partition(":")
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if channel and inst_id:
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unsub_args.append({"channel": channel, "instId": inst_id})
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sub_args = [desired[k] for k in (set(desired.keys()) - active)]
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if unsub_args:
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self._send_op(ws, "unsubscribe", unsub_args)
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if sub_args:
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self._send_op(ws, "subscribe", sub_args)
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with self._lock:
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self._active = set(desired.keys())
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def _send_op(self, ws: Any, op: str, args: list[dict[str, str]]) -> None:
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for i in range(0, len(args), _SUBSCRIBE_CHUNK):
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chunk = args[i : i + _SUBSCRIBE_CHUNK]
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try:
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ws.send(json.dumps({"op": op, "args": chunk}, ensure_ascii=False))
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except Exception as e:
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logger.warning("%s %s failed: %s", self._name, op, e)
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return
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if i + _SUBSCRIBE_CHUNK < len(args):
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time.sleep(0.08)
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def _run_loop(self) -> None:
|
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try:
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import websocket
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except ImportError:
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logger.error("%s: websocket-client not installed", self._name)
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return
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backoff = 1.0
|
||||
while not self._stop.is_set():
|
||||
opened = False
|
||||
try:
|
||||
self._connected = False
|
||||
with self._lock:
|
||||
self._active.clear()
|
||||
|
||||
def on_open(ws: Any) -> None:
|
||||
nonlocal opened
|
||||
opened = True
|
||||
self._connected = True
|
||||
self._last_msg_at = time.time()
|
||||
with self._lock:
|
||||
desired = dict(self._desired)
|
||||
self._sync_subs(ws, set(), desired)
|
||||
|
||||
def on_message(_ws: Any, message: str) -> None:
|
||||
self._last_msg_at = time.time()
|
||||
if message == "pong":
|
||||
return
|
||||
try:
|
||||
payload = json.loads(message)
|
||||
except Exception:
|
||||
return
|
||||
if not isinstance(payload, dict):
|
||||
return
|
||||
if payload.get("event") in ("subscribe", "unsubscribe", "error"):
|
||||
if payload.get("event") == "error":
|
||||
logger.warning("%s event error: %s", self._name, payload)
|
||||
return
|
||||
if payload.get("arg") and payload.get("data") is not None:
|
||||
try:
|
||||
self._on_data(payload)
|
||||
except Exception:
|
||||
logger.exception("%s on_data failed", self._name)
|
||||
|
||||
def on_error(_ws: Any, error: Any) -> None:
|
||||
logger.warning("%s error: %s", self._name, error)
|
||||
|
||||
def on_close(_ws: Any, *_args: Any) -> None:
|
||||
self._connected = False
|
||||
|
||||
self._ws = websocket.WebSocketApp(
|
||||
self._url,
|
||||
on_open=on_open,
|
||||
on_message=on_message,
|
||||
on_error=on_error,
|
||||
on_close=on_close,
|
||||
)
|
||||
ping_stop = threading.Event()
|
||||
|
||||
def ping_loop() -> None:
|
||||
while not self._stop.is_set() and not ping_stop.is_set():
|
||||
ws = self._ws
|
||||
if ws is not None and self._connected:
|
||||
try:
|
||||
ws.send("ping")
|
||||
except Exception:
|
||||
pass
|
||||
if ping_stop.wait(_APP_PING_SEC):
|
||||
break
|
||||
|
||||
ping_thread = threading.Thread(
|
||||
target=ping_loop, name=f"{self._name}-ping", daemon=True
|
||||
)
|
||||
ping_thread.start()
|
||||
self._ws.run_forever(ping_interval=0)
|
||||
ping_stop.set()
|
||||
except Exception as e:
|
||||
logger.warning("%s run failed: %s", self._name, e)
|
||||
finally:
|
||||
self._connected = False
|
||||
self._ws = None
|
||||
if self._stop.is_set():
|
||||
break
|
||||
time.sleep(backoff)
|
||||
backoff = 1.0 if opened else min(30.0, backoff * 1.7)
|
||||
|
||||
@@ -0,0 +1,458 @@
|
||||
"""期权链实时报价:OKX 公共 WS tickers → 内存缓存 → SSE 推前端."""
|
||||
from __future__ import annotations
|
||||
|
||||
import json
|
||||
import logging
|
||||
import os
|
||||
import queue
|
||||
import threading
|
||||
import time
|
||||
from collections.abc import Iterator
|
||||
from typing import Any, Callable
|
||||
|
||||
from lib.exchange.okx_public_ws_lib import OkxPublicWs
|
||||
from lib.options.options_pricing_lib import (
|
||||
expiry_breakeven_from_ask,
|
||||
idx_distance_to_be,
|
||||
)
|
||||
|
||||
logger = logging.getLogger(__name__)
|
||||
|
||||
OPTIONS_QUOTE_SSE_HEARTBEAT_SEC = float(os.getenv("OKX_OPTIONS_QUOTE_SSE_HEARTBEAT_SEC", "20"))
|
||||
OPTIONS_QUOTE_FLUSH_MS = float(os.getenv("OKX_OPTIONS_QUOTE_FLUSH_MS", "120"))
|
||||
# OKX 单连接约 240 频道;当前到期日合约 + 指数通常够用
|
||||
OPTIONS_QUOTE_MAX_INST = int(os.getenv("OKX_OPTIONS_QUOTE_MAX_INST", "220"))
|
||||
|
||||
|
||||
def _safe_float(v: Any) -> float | None:
|
||||
try:
|
||||
if v is None or v == "":
|
||||
return None
|
||||
return float(v)
|
||||
except (TypeError, ValueError):
|
||||
return None
|
||||
|
||||
|
||||
class OptionsQuoteLive:
|
||||
def __init__(self) -> None:
|
||||
self._lock = threading.RLock()
|
||||
self._watchers: dict[str, dict[str, Any]] = {}
|
||||
self._meta: dict[str, dict[str, Any]] = {}
|
||||
self._tickers: dict[str, dict[str, Any]] = {}
|
||||
self._index_by_uly: dict[str, float] = {}
|
||||
self._index_insts: set[str] = set()
|
||||
self._dirty_inst: set[str] = set()
|
||||
self._dirty_index: set[str] = set()
|
||||
self._version = 0
|
||||
self._subscribers: list[queue.Queue[str | None]] = []
|
||||
self._stop = threading.Event()
|
||||
self._flush_thread: threading.Thread | None = None
|
||||
ws_url = (os.getenv("OKX_PUBLIC_WS_URL") or "").strip() or None
|
||||
self._ws = OkxPublicWs(
|
||||
on_data=self._on_ws_data,
|
||||
name="okx-options-quote-ws",
|
||||
**({"url": ws_url} if ws_url else {}),
|
||||
)
|
||||
self._started = False
|
||||
|
||||
def start(self) -> None:
|
||||
if self._started:
|
||||
return
|
||||
self._started = True
|
||||
self._stop.clear()
|
||||
self._ws.start()
|
||||
self._flush_thread = threading.Thread(
|
||||
target=self._flush_loop, name="options-quote-flush", daemon=True
|
||||
)
|
||||
self._flush_thread.start()
|
||||
|
||||
def stop(self) -> None:
|
||||
self._stop.set()
|
||||
self._ws.stop()
|
||||
self._broadcast(close=True)
|
||||
self._started = False
|
||||
|
||||
def status(self) -> dict[str, Any]:
|
||||
with self._lock:
|
||||
uly = ""
|
||||
exp = ""
|
||||
index_inst = ""
|
||||
if self._watchers:
|
||||
last = next(reversed(list(self._watchers.values())))
|
||||
uly = str(last.get("underlying") or "")
|
||||
exp = str(last.get("exp_time") or "")
|
||||
index_inst = str(last.get("index_inst") or "")
|
||||
return {
|
||||
"ok": True,
|
||||
"started": self._started,
|
||||
"ws_ok": self._ws.connected,
|
||||
"underlying": uly,
|
||||
"index_inst": index_inst,
|
||||
"index_px": self._index_by_uly.get(uly),
|
||||
"watch_exp": exp,
|
||||
"watch_count": len(self._meta),
|
||||
"watcher_count": len(self._watchers),
|
||||
"version": self._version,
|
||||
"last_msg_at": self._ws.last_msg_at,
|
||||
}
|
||||
|
||||
def watch(
|
||||
self,
|
||||
*,
|
||||
underlying: str,
|
||||
exp_time: str | int | None,
|
||||
contracts: list[dict[str, Any]],
|
||||
index_inst_id: str | None = None,
|
||||
watcher_id: str | None = None,
|
||||
) -> dict[str, Any]:
|
||||
u = (underlying or "ETH").upper()
|
||||
index_id = (index_inst_id or f"{u}-USD").strip()
|
||||
wid = (watcher_id or "default").strip() or "default"
|
||||
meta: dict[str, dict[str, Any]] = {}
|
||||
for c in contracts or []:
|
||||
if not isinstance(c, dict):
|
||||
continue
|
||||
inst_id = str(c.get("inst_id") or c.get("instId") or "").strip()
|
||||
if not inst_id:
|
||||
continue
|
||||
meta[inst_id] = {
|
||||
"inst_id": inst_id,
|
||||
"opt_type": str(c.get("opt_type") or c.get("optType") or "").upper(),
|
||||
"strike": _safe_float(c.get("strike")),
|
||||
"tick_sz": c.get("tick_sz") or c.get("tickSz"),
|
||||
"underlying": u,
|
||||
}
|
||||
if len(meta) >= max(1, OPTIONS_QUOTE_MAX_INST):
|
||||
break
|
||||
with self._lock:
|
||||
self._watchers[wid] = {
|
||||
"underlying": u,
|
||||
"exp_time": str(exp_time or ""),
|
||||
"index_inst": index_id,
|
||||
"meta": meta,
|
||||
}
|
||||
self._rebuild_subscriptions_locked()
|
||||
if not self._started:
|
||||
self.start()
|
||||
return self.status()
|
||||
|
||||
def _rebuild_subscriptions_locked(self) -> None:
|
||||
merged: dict[str, dict[str, Any]] = {}
|
||||
index_insts: set[str] = set()
|
||||
for w in self._watchers.values():
|
||||
index_insts.add(str(w.get("index_inst") or ""))
|
||||
for inst_id, m in (w.get("meta") or {}).items():
|
||||
if inst_id not in merged:
|
||||
merged[inst_id] = dict(m)
|
||||
if len(merged) >= max(1, OPTIONS_QUOTE_MAX_INST):
|
||||
break
|
||||
if len(merged) >= max(1, OPTIONS_QUOTE_MAX_INST):
|
||||
break
|
||||
index_insts = {x for x in index_insts if x}
|
||||
self._meta = merged
|
||||
self._index_insts = index_insts
|
||||
keep = set(merged.keys())
|
||||
for k in list(self._tickers.keys()):
|
||||
if k not in keep:
|
||||
self._tickers.pop(k, None)
|
||||
args = [{"channel": "tickers", "instId": iid} for iid in merged]
|
||||
for iid in sorted(index_insts):
|
||||
args.append({"channel": "index-tickers", "instId": iid})
|
||||
self._ws.set_subscriptions(args)
|
||||
|
||||
def seed_from_chain(
|
||||
self,
|
||||
chain: dict[str, Any],
|
||||
*,
|
||||
exp_time: str | int | None = None,
|
||||
watcher_id: str | None = None,
|
||||
) -> None:
|
||||
"""REST 拉链后预填报价,并默认监视指定/最近到期."""
|
||||
if not isinstance(chain, dict):
|
||||
return
|
||||
u = str(chain.get("underlying") or "ETH").upper()
|
||||
index_px = _safe_float(chain.get("index_px"))
|
||||
expiries = chain.get("expiries") or []
|
||||
target = None
|
||||
if exp_time is not None and str(exp_time):
|
||||
for e in expiries:
|
||||
if str(e.get("exp_time")) == str(exp_time):
|
||||
target = e
|
||||
break
|
||||
if target is None and expiries:
|
||||
target = expiries[0]
|
||||
contracts = list((target or {}).get("contracts") or [])
|
||||
if index_px is not None:
|
||||
with self._lock:
|
||||
self._index_by_uly[u] = index_px
|
||||
self._dirty_index.add(u)
|
||||
for c in contracts:
|
||||
inst_id = str(c.get("inst_id") or "").strip()
|
||||
if not inst_id:
|
||||
continue
|
||||
patch = {
|
||||
"inst_id": inst_id,
|
||||
"ask": c.get("ask"),
|
||||
"bid": c.get("bid"),
|
||||
"ask_sz": c.get("ask_sz"),
|
||||
"bid_sz": c.get("bid_sz"),
|
||||
"mark_px": c.get("mark_px"),
|
||||
"ask_estimated": bool(c.get("ask_estimated")),
|
||||
"expiry_be_px": c.get("expiry_be_px"),
|
||||
"dist_expiry_be": c.get("dist_expiry_be"),
|
||||
"underlying": u,
|
||||
}
|
||||
with self._lock:
|
||||
self._tickers[inst_id] = patch
|
||||
self._dirty_inst.add(inst_id)
|
||||
self.watch(
|
||||
underlying=u,
|
||||
exp_time=(target or {}).get("exp_time"),
|
||||
contracts=contracts,
|
||||
index_inst_id=f"{u}-USD",
|
||||
watcher_id=watcher_id or f"seed:{u}",
|
||||
)
|
||||
|
||||
def _on_ws_data(self, payload: dict[str, Any]) -> None:
|
||||
arg = payload.get("arg") or {}
|
||||
channel = str(arg.get("channel") or "")
|
||||
rows = payload.get("data") or []
|
||||
if not isinstance(rows, list) or not rows:
|
||||
return
|
||||
if channel == "index-tickers":
|
||||
row = rows[0] if isinstance(rows[0], dict) else {}
|
||||
px = _safe_float(row.get("idxPx"))
|
||||
inst = str(row.get("instId") or arg.get("instId") or "")
|
||||
uly = inst.split("-")[0].upper() if inst else ""
|
||||
if px is None or not uly:
|
||||
return
|
||||
with self._lock:
|
||||
if self._index_by_uly.get(uly) == px:
|
||||
return
|
||||
self._index_by_uly[uly] = px
|
||||
self._dirty_index.add(uly)
|
||||
return
|
||||
if channel != "tickers":
|
||||
return
|
||||
for row in rows:
|
||||
if not isinstance(row, dict):
|
||||
continue
|
||||
inst_id = str(row.get("instId") or arg.get("instId") or "").strip()
|
||||
if not inst_id:
|
||||
continue
|
||||
patch = self._ticker_to_patch(inst_id, row)
|
||||
with self._lock:
|
||||
prev = self._tickers.get(inst_id) or {}
|
||||
if (
|
||||
prev.get("ask") == patch.get("ask")
|
||||
and prev.get("bid") == patch.get("bid")
|
||||
and prev.get("ask_sz") == patch.get("ask_sz")
|
||||
and prev.get("bid_sz") == patch.get("bid_sz")
|
||||
and prev.get("mark_px") == patch.get("mark_px")
|
||||
):
|
||||
continue
|
||||
self._tickers[inst_id] = patch
|
||||
self._dirty_inst.add(inst_id)
|
||||
|
||||
def _ticker_to_patch(self, inst_id: str, row: dict[str, Any]) -> dict[str, Any]:
|
||||
ask = _safe_float(row.get("askPx"))
|
||||
bid = _safe_float(row.get("bidPx"))
|
||||
ask_sz = _safe_float(row.get("askSz"))
|
||||
bid_sz = _safe_float(row.get("bidSz"))
|
||||
mark = _safe_float(row.get("markPx"))
|
||||
ask_estimated = False
|
||||
with self._lock:
|
||||
meta = dict(self._meta.get(inst_id) or {})
|
||||
uly = str(meta.get("underlying") or inst_id.split("-")[0] or "").upper()
|
||||
index_px = self._index_by_uly.get(uly)
|
||||
if ask is None and mark is not None and mark > 0:
|
||||
ask = mark
|
||||
ask_estimated = True
|
||||
ask_sz = None
|
||||
if bid is None and mark is not None and mark > 0:
|
||||
bid = mark
|
||||
be = expiry_breakeven_from_ask(
|
||||
opt_type=str(meta.get("opt_type") or ""),
|
||||
strike=meta.get("strike"),
|
||||
ask_px=None if ask_estimated else ask,
|
||||
mark_px=mark,
|
||||
)
|
||||
dist = idx_distance_to_be(index_px, be)
|
||||
return {
|
||||
"inst_id": inst_id,
|
||||
"underlying": uly,
|
||||
"ask": ask,
|
||||
"bid": bid,
|
||||
"ask_sz": ask_sz,
|
||||
"bid_sz": bid_sz,
|
||||
"mark_px": mark,
|
||||
"ask_estimated": ask_estimated,
|
||||
"expiry_be_px": be,
|
||||
"dist_expiry_be": dist,
|
||||
}
|
||||
|
||||
def _flush_loop(self) -> None:
|
||||
interval = max(0.05, OPTIONS_QUOTE_FLUSH_MS / 1000.0)
|
||||
while not self._stop.is_set():
|
||||
if self._stop.wait(interval):
|
||||
break
|
||||
event = self._build_flush_event()
|
||||
if event is None:
|
||||
continue
|
||||
self._broadcast(event)
|
||||
|
||||
def _build_flush_event(self) -> str | None:
|
||||
with self._lock:
|
||||
if not self._dirty_inst and not self._dirty_index:
|
||||
return None
|
||||
dirty_uly = set(self._dirty_index)
|
||||
self._dirty_index.clear()
|
||||
quotes: list[dict[str, Any]] = []
|
||||
for inst_id in list(self._dirty_inst):
|
||||
q = self._tickers.get(inst_id)
|
||||
if q:
|
||||
quotes.append(dict(q))
|
||||
self._dirty_inst.clear()
|
||||
for uly in dirty_uly:
|
||||
index_px = self._index_by_uly.get(uly)
|
||||
if index_px is None:
|
||||
continue
|
||||
for inst_id, q in list(self._tickers.items()):
|
||||
if str(q.get("underlying") or "").upper() != uly:
|
||||
continue
|
||||
be = q.get("expiry_be_px")
|
||||
dist = idx_distance_to_be(index_px, be if be is not None else None)
|
||||
if q.get("dist_expiry_be") != dist:
|
||||
q2 = dict(q)
|
||||
q2["dist_expiry_be"] = dist
|
||||
self._tickers[inst_id] = q2
|
||||
quotes.append(q2)
|
||||
self._version += 1
|
||||
# 多标的时 index_px 取「最近一次 watch」的标的,前端仍以 payload.underlying 过滤
|
||||
uly = ""
|
||||
exp = ""
|
||||
if self._watchers:
|
||||
last = next(reversed(list(self._watchers.values())))
|
||||
uly = str(last.get("underlying") or "")
|
||||
exp = str(last.get("exp_time") or "")
|
||||
# 若本批只有单一 underlying 的 quotes/index,优先用它
|
||||
quote_ulys = {str(q.get("underlying") or "").upper() for q in quotes if q.get("underlying")}
|
||||
if len(dirty_uly) == 1:
|
||||
uly = next(iter(dirty_uly))
|
||||
elif len(quote_ulys) == 1:
|
||||
uly = next(iter(quote_ulys))
|
||||
payload = {
|
||||
"ok": True,
|
||||
"live": True,
|
||||
"ws_ok": self._ws.connected,
|
||||
"version": self._version,
|
||||
"underlying": uly,
|
||||
"watch_exp": exp,
|
||||
"index_px": self._index_by_uly.get(uly),
|
||||
"indexes": dict(self._index_by_uly),
|
||||
"quotes": quotes,
|
||||
"ts": int(time.time() * 1000),
|
||||
}
|
||||
return json.dumps(payload, ensure_ascii=False)
|
||||
|
||||
def _broadcast(self, event: str | None = None, *, close: bool = False) -> None:
|
||||
with self._lock:
|
||||
subs = list(self._subscribers)
|
||||
dead: list[queue.Queue[str | None]] = []
|
||||
for q in subs:
|
||||
try:
|
||||
q.put_nowait(None if close else event)
|
||||
except Exception:
|
||||
dead.append(q)
|
||||
if dead:
|
||||
with self._lock:
|
||||
for q in dead:
|
||||
if q in self._subscribers:
|
||||
self._subscribers.remove(q)
|
||||
|
||||
def _subscribe(self) -> queue.Queue[str | None]:
|
||||
q: queue.Queue[str | None] = queue.Queue(maxsize=64)
|
||||
with self._lock:
|
||||
self._subscribers.append(q)
|
||||
return q
|
||||
|
||||
def _unsubscribe(self, q: queue.Queue[str | None]) -> None:
|
||||
with self._lock:
|
||||
if q in self._subscribers:
|
||||
self._subscribers.remove(q)
|
||||
|
||||
def iter_sse(self) -> Iterator[str]:
|
||||
q = self._subscribe()
|
||||
try:
|
||||
yield self._format_event(
|
||||
{
|
||||
"ok": True,
|
||||
"reason": "connect",
|
||||
**self.status(),
|
||||
"quotes": [],
|
||||
"ts": int(time.time() * 1000),
|
||||
}
|
||||
)
|
||||
while True:
|
||||
try:
|
||||
raw = q.get(timeout=OPTIONS_QUOTE_SSE_HEARTBEAT_SEC)
|
||||
except queue.Empty:
|
||||
yield ": heartbeat\n\n"
|
||||
continue
|
||||
if raw is None:
|
||||
break
|
||||
yield f"event: quotes\ndata: {raw}\n\n"
|
||||
finally:
|
||||
self._unsubscribe(q)
|
||||
|
||||
@staticmethod
|
||||
def _format_event(data: dict[str, Any]) -> str:
|
||||
return "event: quotes\ndata: " + json.dumps(data, ensure_ascii=False) + "\n\n"
|
||||
|
||||
|
||||
options_quote_live = OptionsQuoteLive()
|
||||
|
||||
|
||||
def start_options_quote_live() -> OptionsQuoteLive:
|
||||
options_quote_live.start()
|
||||
return options_quote_live
|
||||
|
||||
|
||||
def register_options_quote_live_routes(app: Any, login_required: Callable) -> None:
|
||||
from flask import Response, jsonify, request, stream_with_context
|
||||
|
||||
start_options_quote_live()
|
||||
|
||||
@app.route("/api/options/quotes/stream")
|
||||
@login_required
|
||||
def api_options_quotes_stream():
|
||||
return Response(
|
||||
stream_with_context(options_quote_live.iter_sse()),
|
||||
mimetype="text/event-stream",
|
||||
headers={
|
||||
"Cache-Control": "no-cache",
|
||||
"Connection": "keep-alive",
|
||||
"X-Accel-Buffering": "no",
|
||||
},
|
||||
)
|
||||
|
||||
@app.route("/api/options/quotes/watch", methods=["POST"])
|
||||
@login_required
|
||||
def api_options_quotes_watch():
|
||||
data = request.get_json(silent=True) or {}
|
||||
contracts = data.get("contracts") or []
|
||||
if not contracts and data.get("inst_ids"):
|
||||
contracts = [{"inst_id": x} for x in (data.get("inst_ids") or [])]
|
||||
st = options_quote_live.watch(
|
||||
underlying=str(data.get("underlying") or "ETH"),
|
||||
exp_time=data.get("exp_time"),
|
||||
contracts=contracts,
|
||||
index_inst_id=data.get("index_inst_id"),
|
||||
watcher_id=str(data.get("watcher_id") or "default"),
|
||||
)
|
||||
return jsonify({"ok": True, **st})
|
||||
|
||||
@app.route("/api/options/quotes/status")
|
||||
@login_required
|
||||
def api_options_quotes_status():
|
||||
return jsonify(options_quote_live.status())
|
||||
@@ -61,6 +61,14 @@ def install_options_trading(app: Flask, repo_root: str, app_module: Any) -> None
|
||||
register_options_routes(app, cfg)
|
||||
_register_options_hub_bridge(app, cfg)
|
||||
if enabled:
|
||||
try:
|
||||
from lib.options.options_quote_live_lib import register_options_quote_live_routes
|
||||
|
||||
register_options_quote_live_routes(app, cfg["login_required"])
|
||||
except Exception as e:
|
||||
import logging
|
||||
|
||||
logging.getLogger(__name__).exception("options quote live init failed: %s", e)
|
||||
_start_monitor_thread(app, cfg)
|
||||
|
||||
|
||||
@@ -381,6 +389,14 @@ def register_options_routes(app: Flask, cfg: dict[str, Any]) -> None:
|
||||
# 热更新:每次读 env,保存配置后刷新链即可生效
|
||||
ask_liq_filter = _env_bool("OKX_OPTIONS_CHAIN_ASK_LIQ_FILTER_ENABLED", True)
|
||||
budget_buffer = _env_float("OKX_OPTIONS_BUDGET_BUFFER", 0.95)
|
||||
if expiries:
|
||||
try:
|
||||
from lib.options.options_quote_live_lib import options_quote_live
|
||||
|
||||
watch_exp = (request.args.get("exp_time") or "").strip() or None
|
||||
options_quote_live.seed_from_chain(chain, exp_time=watch_exp)
|
||||
except Exception:
|
||||
pass
|
||||
if not expiries:
|
||||
return jsonify(
|
||||
{
|
||||
@@ -401,6 +417,7 @@ def register_options_routes(app: Flask, cfg: dict[str, Any]) -> None:
|
||||
"ask_liq_filter_enabled": ask_liq_filter,
|
||||
"budget_buffer": budget_buffer,
|
||||
"trade_budget": cfg["trade_budget"],
|
||||
"quote_live": True,
|
||||
}
|
||||
)
|
||||
|
||||
|
||||
@@ -322,4 +322,4 @@
|
||||
</div>
|
||||
</div>
|
||||
<script src="/static/options_expiry_countdown.js?v=1"></script>
|
||||
<script src="/static/options_panel.js?v=57"></script>
|
||||
<script src="/static/options_panel.js?v=58"></script>
|
||||
|
||||
Reference in New Issue
Block a user