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Show bid/ask liquidity as price per sheet in options chain.

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Display OKX askSz and bidSz beside top-of-book prices in the chain table and order panel using price/sheets format.

Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
2026-07-07 16:28:08 +08:00
parent 99f13817f8
commit 2cfc1a490f
6 changed files with 76 additions and 12 deletions
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lib/exchange/okx_options_lib.py
+26 -5
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@@ -116,18 +116,27 @@ def format_option_px(px: float, tick_sz: Any) -> str:
def _fetch_book_bid_ask(ex: ccxt.okx, inst_id: str) -> tuple[float | None, float | None]:
bid, ask, _, _ = _fetch_book_top(ex, inst_id)
return bid, ask
def _fetch_book_top(
ex: ccxt.okx, inst_id: str
) -> tuple[float | None, float | None, float | None, float | None]:
try:
rows = ex.public_get_market_books({"instId": inst_id, "sz": "1"}).get("data") or []
if not rows:
return None, None
return None, None, None, None
row = rows[0]
asks = row.get("asks") or []
bids = row.get("bids") or []
ask = _safe_float(asks[0][0]) if asks else None
bid = _safe_float(bids[0][0]) if bids else None
return bid, ask
ask_sz = _safe_float(asks[0][1]) if asks and len(asks[0]) > 1 else None
bid_sz = _safe_float(bids[0][1]) if bids and len(bids[0]) > 1 else None
return bid, ask, bid_sz, ask_sz
except Exception:
return None, None
return None, None, None, None
def _pos_side_from_position(pos: dict[str, Any] | None) -> str | None:
@@ -338,6 +347,8 @@ def build_option_chain(
ask = _safe_float(t.get("askPx"))
bid = _safe_float(t.get("bidPx"))
mark = _safe_float(t.get("markPx"))
ask_sz = _safe_float(t.get("askSz"))
bid_sz = _safe_float(t.get("bidSz"))
if ask is None and bid is None and mark is None:
continue
expiry_be = expiry_breakeven_from_ask(
@@ -356,6 +367,8 @@ def build_option_chain(
"exp_time": exp_ms,
"ask": ask,
"bid": bid,
"ask_sz": ask_sz,
"bid_sz": bid_sz,
"mark_px": mark,
"expiry_be_px": expiry_be,
"dist_expiry_be": idx_distance_to_be(idx, expiry_be),
@@ -385,12 +398,18 @@ def quote_option_contract(ex: ccxt.okx, inst_id: str) -> dict[str, Any]:
t = t_rows[0] if t_rows else {}
ask = _safe_float(t.get("askPx"))
bid = _safe_float(t.get("bidPx"))
if ask is None or bid is None:
book_bid, book_ask = _fetch_book_bid_ask(ex, inst_id)
ask_sz = _safe_float(t.get("askSz"))
bid_sz = _safe_float(t.get("bidSz"))
if ask is None or bid is None or ask_sz is None or bid_sz is None:
book_bid, book_ask, book_bid_sz, book_ask_sz = _fetch_book_top(ex, inst_id)
if ask is None:
ask = book_ask
if bid is None:
bid = book_bid
if ask_sz is None:
ask_sz = book_ask_sz
if bid_sz is None:
bid_sz = book_bid_sz
mark = _safe_float(t.get("markPx"))
tick_sz = meta.get("tickSz")
if ask is None and mark is not None:
@@ -413,6 +432,8 @@ def quote_option_contract(ex: ccxt.okx, inst_id: str) -> dict[str, Any]:
"meta": meta,
"ask": ask,
"bid": bid,
"ask_sz": ask_sz,
"bid_sz": bid_sz,
"mark": mark,
"index_px": idx,
"expiry_be_px": expiry_be,