refactor: 将共用代码迁入 lib/ 模块化目录
统一 strategy、key_monitor、trade、hub 等共用库到 lib/ 子包，并补充 lib-structure 文档，便于四所与中控维护。 Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
+222
-223
@@ -1,223 +1,222 @@
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"""hub_ohlcv_lib：分页拉取（Gate 等单次不足 chunk 时仍继续）。"""
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from __future__ import annotations
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import unittest
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from hub_ohlcv_lib import (
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aggregate_ohlcv_bars,
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bars_spacing_matches_timeframe,
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fetch_ohlcv_for_hub,
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normalize_price_tick,
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)
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class _FakeExchange:
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def __init__(self, pages, *, timeframes=None):
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self.pages = list(pages)
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self.calls = []
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self.markets = {}
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self.timeframes = timeframes if timeframes is not None else {}
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def fetch_ohlcv(self, symbol, timeframe=None, since=None, limit=None):
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self.calls.append(
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{"symbol": symbol, "since": since, "limit": limit, "timeframe": timeframe}
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)
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if not self.pages:
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return []
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page = self.pages.pop(0)
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if since is None:
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return page
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return [b for b in page if b[0] >= since]
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class TestHubOhlcvLib(unittest.TestCase):
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def test_normalize_price_tick_snaps_powers_of_ten(self):
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self.assertAlmostEqual(normalize_price_tick(0.00001), 0.00001)
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self.assertAlmostEqual(normalize_price_tick(0.001), 0.001)
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self.assertIsNone(normalize_price_tick(0))
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def test_price_tick_from_decimal_precision(self):
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class _Ex:
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markets = {"BTC/USDT:USDT": {"precision": {"price": 2}, "info": {}, "limits": {}}}
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def load_markets(self):
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return self.markets
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def market(self, sym):
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return self.markets[sym]
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def price_to_precision(self, sym, price):
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return "12345.67"
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tick = __import__("hub_ohlcv_lib", fromlist=["price_tick_from_market"]).price_tick_from_market(
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_Ex(), "BTC/USDT:USDT"
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)
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self.assertAlmostEqual(tick, 0.01)
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def test_price_tick_from_binance_price_filter(self):
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class _Ex:
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markets = {
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"BTC/USDT:USDT": {
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"precision": {"price": 2},
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"info": {
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"filters": [
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{"filterType": "PRICE_FILTER", "tickSize": "0.10"},
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{"filterType": "LOT_SIZE", "stepSize": "0.001"},
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]
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},
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"limits": {},
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}
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}
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def load_markets(self):
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return self.markets
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def market(self, sym):
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return self.markets[sym]
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def price_to_precision(self, sym, price):
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return "12345.6"
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from hub_ohlcv_lib import price_tick_from_market
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tick = price_tick_from_market(_Ex(), "BTC/USDT:USDT")
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self.assertAlmostEqual(tick, 0.10)
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def test_price_tick_from_info_tick_size(self):
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class _Ex:
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markets = {
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"INJ/USDT:USDT": {
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"precision": {"price": 4},
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"info": {"tickSize": "0.001"},
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"limits": {},
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}
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}
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def load_markets(self):
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return self.markets
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def market(self, sym):
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return self.markets[sym]
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def price_to_precision(self, sym, price):
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return "7.123"
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from hub_ohlcv_lib import price_tick_from_market
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tick = price_tick_from_market(_Ex(), "INJ/USDT:USDT")
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self.assertAlmostEqual(tick, 0.001)
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def test_full_fetch_without_since_paginates_okx_style(self):
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"""OKX 等无 since 单次约 300 根，须分页至 limit。"""
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from hub_ohlcv_lib import TIMEFRAME_MS
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step = TIMEFRAME_MS["1h"]
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want = 1000
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base = max(0, int(__import__("time").time() * 1000) - want * step)
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pages = [
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[[base + i * step, 1.0, 1.1, 0.9, 1.05, 100.0] for i in range(300)],
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[[base + (300 + i) * step, 2.0, 2.1, 1.9, 2.05, 200.0] for i in range(300)],
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[[base + (600 + i) * step, 3.0, 3.1, 2.9, 3.05, 300.0] for i in range(300)],
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[[base + (900 + i) * step, 4.0, 4.1, 3.9, 4.05, 400.0] for i in range(100)],
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]
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ex = _FakeExchange(pages)
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out = fetch_ohlcv_for_hub(
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symbol="ONDO/USDT",
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timeframe="1h",
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since_ms=None,
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limit=want,
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normalize_symbol_input=lambda s: str(s).strip().upper(),
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normalize_exchange_symbol=lambda s: f"{s}:USDT" if ":" not in s else s,
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ensure_markets_loaded=lambda: None,
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exchange=ex,
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)
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self.assertTrue(out.get("ok"))
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self.assertEqual(len(out.get("bars") or []), 1000)
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self.assertGreaterEqual(len(ex.calls), 4)
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self.assertAlmostEqual(out["bars"][-1]["close"], 4.05)
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def test_pagination_continues_when_page_smaller_than_chunk(self):
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"""Gate 等常返回 299 根/次，不应误判为已到末尾。"""
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base = 1_700_000_000_000
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step = 4 * 60 * 60 * 1000
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page1 = [
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[base + i * step, 1.0, 1.1, 0.9, 1.05, 100.0] for i in range(299)
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]
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page2 = [
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[base + (299 + i) * step, 2.0, 2.1, 1.9, 2.05, 200.0] for i in range(299)
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]
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page3 = [
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[base + (598 + i) * step, 3.0, 3.1, 2.9, 3.05, 300.0] for i in range(50)
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]
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ex = _FakeExchange([page1, page2, page3])
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out = fetch_ohlcv_for_hub(
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symbol="INJ/USDT",
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timeframe="4h",
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since_ms=base,
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limit=600,
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normalize_symbol_input=lambda s: str(s).strip().upper(),
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normalize_exchange_symbol=lambda s: f"{s}:USDT" if ":" not in s else s,
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ensure_markets_loaded=lambda: None,
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exchange=ex,
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)
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self.assertTrue(out.get("ok"))
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self.assertEqual(len(out.get("bars") or []), 600)
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self.assertGreaterEqual(len(ex.calls), 3)
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self.assertAlmostEqual(out["bars"][-1]["close"], 3.05)
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def test_pagination_stops_when_next_since_reaches_now(self):
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"""Gate 等：分页 since 不得越过当前时间，避免 from>to。"""
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from hub_ohlcv_lib import TIMEFRAME_MS
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step = TIMEFRAME_MS["1d"]
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now_ms = int(__import__("time").time() * 1000)
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# 最后一页最后一根 K 的 next_since 将 >= now_ms，应停止不再请求
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last_open = ((now_ms // step) - 2) * step
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page = [
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[last_open - step, 1.0, 1.1, 0.9, 1.0, 10.0],
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[last_open, 1.1, 1.2, 1.0, 1.1, 11.0],
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]
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ex = _FakeExchange([page])
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out = fetch_ohlcv_for_hub(
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symbol="ONDO/USDT",
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timeframe="1d",
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since_ms=last_open - step * 5,
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limit=10,
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normalize_symbol_input=lambda s: str(s).strip().upper(),
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normalize_exchange_symbol=lambda s: f"{s}:USDT" if ":" not in s else s,
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ensure_markets_loaded=lambda: None,
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exchange=ex,
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)
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self.assertTrue(out.get("ok"))
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self.assertGreaterEqual(len(out.get("bars") or []), 2)
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self.assertLessEqual(len(ex.calls), 4)
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def test_aggregate_ohlcv_bars_buckets(self):
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from hub_ohlcv_lib import TIMEFRAME_MS
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h1 = TIMEFRAME_MS["1h"]
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h4 = TIMEFRAME_MS["4h"]
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base = (1_700_000_000_000 // h4) * h4
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src = [
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{
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"open_time_ms": base + i * h1,
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"open": 1.0,
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"high": 2.0,
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"low": 0.5,
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"close": 1.5,
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"volume": 1.0,
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}
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for i in range(4)
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]
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out = aggregate_ohlcv_bars(src, "4h")
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self.assertEqual(len(out), 1)
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self.assertEqual(out[0]["volume"], 4.0)
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self.assertEqual(out[0]["high"], 2.0)
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self.assertEqual(out[0]["low"], 0.5)
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if __name__ == "__main__":
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unittest.main()
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"""hub_ohlcv_lib：分页拉取（Gate 等单次不足 chunk 时仍继续）。"""
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from __future__ import annotations
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import unittest
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from lib.hub.hub_ohlcv_lib import (
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aggregate_ohlcv_bars,
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bars_spacing_matches_timeframe,
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fetch_ohlcv_for_hub,
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normalize_price_tick,
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price_tick_from_market,
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)
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class _FakeExchange:
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def __init__(self, pages, *, timeframes=None):
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self.pages = list(pages)
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self.calls = []
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self.markets = {}
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self.timeframes = timeframes if timeframes is not None else {}
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def fetch_ohlcv(self, symbol, timeframe=None, since=None, limit=None):
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self.calls.append(
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{"symbol": symbol, "since": since, "limit": limit, "timeframe": timeframe}
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)
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if not self.pages:
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return []
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page = self.pages.pop(0)
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if since is None:
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return page
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return [b for b in page if b[0] >= since]
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class TestHubOhlcvLib(unittest.TestCase):
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def test_normalize_price_tick_snaps_powers_of_ten(self):
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self.assertAlmostEqual(normalize_price_tick(0.00001), 0.00001)
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self.assertAlmostEqual(normalize_price_tick(0.001), 0.001)
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self.assertIsNone(normalize_price_tick(0))
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def test_price_tick_from_decimal_precision(self):
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class _Ex:
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markets = {"BTC/USDT:USDT": {"precision": {"price": 2}, "info": {}, "limits": {}}}
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def load_markets(self):
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return self.markets
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def market(self, sym):
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return self.markets[sym]
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def price_to_precision(self, sym, price):
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return "12345.67"
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tick = price_tick_from_market(_Ex(), "BTC/USDT:USDT")
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self.assertAlmostEqual(tick, 0.01)
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def test_price_tick_from_binance_price_filter(self):
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class _Ex:
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markets = {
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"BTC/USDT:USDT": {
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"precision": {"price": 2},
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"info": {
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"filters": [
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{"filterType": "PRICE_FILTER", "tickSize": "0.10"},
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{"filterType": "LOT_SIZE", "stepSize": "0.001"},
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]
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},
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"limits": {},
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}
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}
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def load_markets(self):
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return self.markets
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def market(self, sym):
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return self.markets[sym]
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def price_to_precision(self, sym, price):
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return "12345.6"
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from lib.hub.hub_ohlcv_lib import price_tick_from_market
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tick = price_tick_from_market(_Ex(), "BTC/USDT:USDT")
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self.assertAlmostEqual(tick, 0.10)
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def test_price_tick_from_info_tick_size(self):
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class _Ex:
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markets = {
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"INJ/USDT:USDT": {
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"precision": {"price": 4},
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"info": {"tickSize": "0.001"},
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"limits": {},
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}
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}
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def load_markets(self):
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return self.markets
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def market(self, sym):
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return self.markets[sym]
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def price_to_precision(self, sym, price):
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return "7.123"
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from lib.hub.hub_ohlcv_lib import price_tick_from_market
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tick = price_tick_from_market(_Ex(), "INJ/USDT:USDT")
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self.assertAlmostEqual(tick, 0.001)
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def test_full_fetch_without_since_paginates_okx_style(self):
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"""OKX 等无 since 单次约 300 根，须分页至 limit。"""
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from lib.hub.hub_ohlcv_lib import TIMEFRAME_MS
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step = TIMEFRAME_MS["1h"]
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want = 1000
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base = max(0, int(__import__("time").time() * 1000) - want * step)
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pages = [
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[[base + i * step, 1.0, 1.1, 0.9, 1.05, 100.0] for i in range(300)],
|
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[[base + (300 + i) * step, 2.0, 2.1, 1.9, 2.05, 200.0] for i in range(300)],
|
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[[base + (600 + i) * step, 3.0, 3.1, 2.9, 3.05, 300.0] for i in range(300)],
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[[base + (900 + i) * step, 4.0, 4.1, 3.9, 4.05, 400.0] for i in range(100)],
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]
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ex = _FakeExchange(pages)
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out = fetch_ohlcv_for_hub(
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symbol="ONDO/USDT",
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timeframe="1h",
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since_ms=None,
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limit=want,
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normalize_symbol_input=lambda s: str(s).strip().upper(),
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normalize_exchange_symbol=lambda s: f"{s}:USDT" if ":" not in s else s,
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ensure_markets_loaded=lambda: None,
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exchange=ex,
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)
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self.assertTrue(out.get("ok"))
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self.assertEqual(len(out.get("bars") or []), 1000)
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self.assertGreaterEqual(len(ex.calls), 4)
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self.assertAlmostEqual(out["bars"][-1]["close"], 4.05)
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def test_pagination_continues_when_page_smaller_than_chunk(self):
|
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"""Gate 等常返回 299 根/次，不应误判为已到末尾。"""
|
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base = 1_700_000_000_000
|
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step = 4 * 60 * 60 * 1000
|
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page1 = [
|
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[base + i * step, 1.0, 1.1, 0.9, 1.05, 100.0] for i in range(299)
|
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]
|
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page2 = [
|
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[base + (299 + i) * step, 2.0, 2.1, 1.9, 2.05, 200.0] for i in range(299)
|
||||
]
|
||||
page3 = [
|
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[base + (598 + i) * step, 3.0, 3.1, 2.9, 3.05, 300.0] for i in range(50)
|
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]
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ex = _FakeExchange([page1, page2, page3])
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out = fetch_ohlcv_for_hub(
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symbol="INJ/USDT",
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timeframe="4h",
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since_ms=base,
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limit=600,
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normalize_symbol_input=lambda s: str(s).strip().upper(),
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normalize_exchange_symbol=lambda s: f"{s}:USDT" if ":" not in s else s,
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ensure_markets_loaded=lambda: None,
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exchange=ex,
|
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)
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self.assertTrue(out.get("ok"))
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self.assertEqual(len(out.get("bars") or []), 600)
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self.assertGreaterEqual(len(ex.calls), 3)
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self.assertAlmostEqual(out["bars"][-1]["close"], 3.05)
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def test_pagination_stops_when_next_since_reaches_now(self):
|
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"""Gate 等：分页 since 不得越过当前时间，避免 from>to。"""
|
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from lib.hub.hub_ohlcv_lib import TIMEFRAME_MS
|
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|
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step = TIMEFRAME_MS["1d"]
|
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now_ms = int(__import__("time").time() * 1000)
|
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# 最后一页最后一根 K 的 next_since 将 >= now_ms，应停止不再请求
|
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last_open = ((now_ms // step) - 2) * step
|
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page = [
|
||||
[last_open - step, 1.0, 1.1, 0.9, 1.0, 10.0],
|
||||
[last_open, 1.1, 1.2, 1.0, 1.1, 11.0],
|
||||
]
|
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ex = _FakeExchange([page])
|
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|
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out = fetch_ohlcv_for_hub(
|
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symbol="ONDO/USDT",
|
||||
timeframe="1d",
|
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since_ms=last_open - step * 5,
|
||||
limit=10,
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normalize_symbol_input=lambda s: str(s).strip().upper(),
|
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normalize_exchange_symbol=lambda s: f"{s}:USDT" if ":" not in s else s,
|
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ensure_markets_loaded=lambda: None,
|
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exchange=ex,
|
||||
)
|
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self.assertTrue(out.get("ok"))
|
||||
self.assertGreaterEqual(len(out.get("bars") or []), 2)
|
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self.assertLessEqual(len(ex.calls), 4)
|
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|
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def test_aggregate_ohlcv_bars_buckets(self):
|
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from lib.hub.hub_ohlcv_lib import TIMEFRAME_MS
|
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|
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h1 = TIMEFRAME_MS["1h"]
|
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h4 = TIMEFRAME_MS["4h"]
|
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base = (1_700_000_000_000 // h4) * h4
|
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src = [
|
||||
{
|
||||
"open_time_ms": base + i * h1,
|
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"open": 1.0,
|
||||
"high": 2.0,
|
||||
"low": 0.5,
|
||||
"close": 1.5,
|
||||
"volume": 1.0,
|
||||
}
|
||||
for i in range(4)
|
||||
]
|
||||
out = aggregate_ohlcv_bars(src, "4h")
|
||||
self.assertEqual(len(out), 1)
|
||||
self.assertEqual(out[0]["volume"], 4.0)
|
||||
self.assertEqual(out[0]["high"], 2.0)
|
||||
self.assertEqual(out[0]["low"], 0.5)
|
||||
|
||||
|
||||
if __name__ == "__main__":
|
||||
unittest.main()
|
||||
|
||||
Reference in New Issue
Block a user